UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09997
Baird Funds, Inc.
(Exact name of Registrant as specified in charter)
(Exact name of Registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
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
Date of reporting period: June 30, 2019
Item 1. Reports to Stockholders.
Semi-Annual Report –
Baird Funds
June 30, 2019
Taxable Bond Funds
Baird Ultra Short Bond Fund | Baird Aggregate Bond Fund |
Baird Short-Term Bond Fund | Baird Core Plus Bond Fund |
Baird Intermediate Bond Fund |
Municipal Bond Funds
Baird Short-Term Municipal Bond Fund
Baird Quality Intermediate Municipal Bond Fund
Baird Core Intermediate Municipal Bond Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature) and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary or, if you are a direct investor, by calling 1-866-442-2473, or sending an e-mail request to prospectus@bairdfunds.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 1-866-442-2473 or send an e-mail request to prospectus@bairdfunds.com to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held in your account if you invest through your financial intermediary or all Funds held with the fund complex if you invest directly with the Funds.
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
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 | 36 | |
Baird Short-Term Municipal Bond Fund | 47 | |
Baird Quality Intermediate Municipal Bond Fund | 60 | |
Baird Core Intermediate Municipal Bond Fund | 71 | |
Additional Information on Fund Expenses | 84 | |
Statements of Assets and Liabilities | 86 | |
Statements of Operations | 89 | |
Statements of Changes in Net Assets | 92 | |
Financial Highlights | 100 | |
Notes to the Financial Statements | 116 | |
Additional Information | 129 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Baird Ultra Short Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,407,209,709 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | ||||
(after waivers) | 2.45% | |||
Institutional Class | ||||
(before waivers) | 2.30% | |||
Investor Class | ||||
(after waivers) | 2.17% | |||
Investor Class | ||||
(before waivers) | 2.02% | |||
Average | ||||
Effective | ||||
Duration | 0.47 years | |||
Sector Weightings(1) | ||||
Average | ||||
| Effective | |||
Maturity | 0.77 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) | 28% | |||
Number of | ||||
Holdings | 293 |
(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, 2019. |
(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, 2020. 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, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Three | Five | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 1.78% | 2.87% | 1.89% | 1.39% | 1.47% |
Investor Class Shares | 1.77% | 2.72% | 1.64% | 1.15% | 1.23% |
Bloomberg Barclays U.S. Short-Term | |||||
Government/Corporate Index(2) | 1.53% | 2.71% | 1.60% | 1.12% | 1.04% |
(1) | For the period from December 31, 2013 (inception date) through June 30, 2019. |
(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, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT 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%, 12/15/2019 | $ | 171,000,000 | $ | 170,458,946 | 12.1 | % | ||||||
1.375%, 02/15/2020 | 56,000,000 | 55,759,375 | 4.0 | % | ||||||||
1.500%, 06/15/2020 | 93,000,000 | 92,589,490 | 6.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $318,158,720) | 318,807,811 | 22.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Syngenta Finance NV, | ||||||||||||
3.698%, 04/24/2020(1)(2) | 7,500,000 | 7,552,508 | 0.6 | % | ||||||||
Other Government Related Securities(1)(2)(3)(6) | 6,037,827 | 0.4 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $13,549,993) | 13,590,335 | 1.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Actavis Funding SCS, | ||||||||||||
3.000%, 03/12/2020(1) | 6,500,000 | 6,519,057 | 0.5 | % | ||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.750%, 09/15/2019 | 6,450,000 | 6,483,256 | 0.5 | % | ||||||||
Broadcom, Inc., | ||||||||||||
2.375%, 01/15/2020 | 10,500,000 | 10,481,747 | 0.7 | % | ||||||||
Cardinal Health, Inc., | ||||||||||||
2.400%, 11/15/2019 | 7,000,000 | 6,994,413 | 0.5 | % | ||||||||
CVS Health Corp., | ||||||||||||
3.173%, 03/09/2021 | ||||||||||||
(3 Month LIBOR USD + 0.720%)(3) | 7,485,000 | 7,518,003 | 0.5 | % | ||||||||
Dollar Tree, Inc., | ||||||||||||
3.288%, 04/17/2020 | ||||||||||||
(3 Month LIBOR USD + 0.700%)(3) | 10,231,000 | 10,232,180 | 0.7 | % | ||||||||
EMD Finance LLC, | ||||||||||||
2.400%, 03/19/2020(2) | 11,200,000 | 11,190,221 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
5.200%, 03/15/2020 | $ | 9,930,000 | $ | 10,100,955 | 0.7 | % | ||||||
Harris Corp., | ||||||||||||
2.700%, 04/27/2020 | 8,760,000 | 8,768,987 | 0.6 | % | ||||||||
International Business Machines Corp., | ||||||||||||
2.935%, 05/13/2021 | ||||||||||||
(3 Month LIBOR USD + 0.400%)(3) | 6,400,000 | 6,416,525 | 0.5 | % | ||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 9,475,000 | 9,485,525 | 0.7 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 11,004,000 | 11,009,352 | 0.8 | % | ||||||||
ONEOK Partners LP, | ||||||||||||
3.800%, 03/15/2020 | 8,000,000 | 8,055,151 | 0.6 | % | ||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020(2) | 7,000,000 | 7,113,750 | 0.5 | % | ||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
1.900%, 09/23/2019(1) | 8,000,000 | 7,987,600 | 0.6 | % | ||||||||
Smithfield Foods, Inc., | ||||||||||||
2.700%, 01/31/2020(2) | 6,372,000 | 6,358,759 | 0.5 | % | ||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 09/29/2019(1)(2) | 7,516,000 | 7,512,074 | 0.5 | % | ||||||||
Time Warner Cable LLC, | ||||||||||||
5.000%, 02/01/2020 | 10,252,000 | 10,386,797 | 0.7 | % | ||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020(1)(2) | 8,000,000 | 8,266,080 | 0.6 | % | ||||||||
Vulcan Materials Co., | ||||||||||||
3.170%, 03/01/2021 | ||||||||||||
(3 Month LIBOR USD + 0.650%)(3) | 9,236,000 | 9,243,019 | 0.7 | % | ||||||||
Williams Partners LP, | ||||||||||||
5.250%, 03/15/2020 | 9,976,000 | 10,160,315 | 0.7 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 11,200,000 | 11,213,951 | 0.8 | % | ||||||||
Other Industrials(2)(3)(6) | 283,520,171 | 20.1 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $473,894,285) | 475,017,888 | 33.8 | % | |||||||||
Utilities | ||||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020(1)(2) | 10,925,000 | 10,949,035 | 0.7 | % | ||||||||
Other Utilities(2)(3)(6) | 20,783,630 | 1.5 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $31,694,649) | 31,732,665 | 2.2 | % | |||||||||
Financials | ||||||||||||
Barclays PLC, | ||||||||||||
2.750%, 11/08/2019(1) | 8,000,000 | 7,991,875 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Citibank NA, | ||||||||||||
3.123%, 05/20/2022 | ||||||||||||
(3 Month LIBOR USD + 0.600%)(3) | $ | 7,000,000 | $ | 7,008,760 | 0.5 | % | ||||||
Discover Bank, | ||||||||||||
7.000%, 04/15/2020 | 7,000,000 | 7,239,024 | 0.5 | % | ||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 6,250,000 | 6,257,162 | 0.4 | % | ||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.519%, 12/29/2021 | ||||||||||||
(3 Month LIBOR USD + 1.200%)(3) | 7,000,000 | 7,019,879 | 0.5 | % | ||||||||
Morgan Stanley, | ||||||||||||
5.500%, 01/26/2020 | 7,500,000 | 7,628,864 | 0.6 | % | ||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.650%, 04/17/2020 | 6,225,000 | 6,223,271 | 0.4 | % | ||||||||
SunTrust Banks, Inc., | ||||||||||||
3.115%, 05/17/2022 | ||||||||||||
(3 Month LIBOR USD + 0.590%)(3) | 8,400,000 | 8,413,068 | 0.6 | % | ||||||||
Other Financials(1)(2)(3)(6) | 149,022,870 | 10.6 | % | |||||||||
Total Financials | ||||||||||||
(Cost $206,321,970) | 206,804,773 | 14.7 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $711,910,904) | 713,555,326 | 50.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(4)(6) | 1,170,000 | 0.1 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $1,170,000) | 1,170,000 | 0.1 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(6) | 6,359 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $6,219) | 6,359 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(2)(3)(6) | 23,296,388 | 1.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $23,216,754) | 23,296,388 | 1.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(6) | 207,608 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $207,705) | 207,608 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(6) | $ | 4,042,484 | 0.3 | % | ||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $4,012,367) | 4,042,484 | 0.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Ally Auto Receivables Trust, | ||||||||||||
Series 2019-1, Class A2, 2.850%, 03/15/2022 | $ | 10,560,000 | 10,596,757 | 0.8 | % | |||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 8,384,000 | 8,366,855 | 0.6 | % | ||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2014-3, Class A, 2.410%, 07/15/2022 | 6,992,000 | 6,990,717 | 0.5 | % | ||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2014-A6, Class A6, 2.150%, 07/15/2021 | 3,600,000 | 3,599,616 | 0.3 | % | ||||||||
Series 2017-A9, Class A9, 1.800%, 09/20/2021 | 4,700,000 | 4,693,554 | 0.3 | % | ||||||||
Series 2016-A1, Class A1, 1.750%, 11/19/2021 | 4,735,000 | 4,725,478 | 0.3 | % | ||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 11,125,000 | 11,101,591 | 0.8 | % | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2017-A, Class A4, 2.130%, 04/15/2021(2) | 6,350,000 | 6,346,852 | 0.5 | % | ||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021(2) | 10,130,000 | 10,124,390 | 0.7 | % | ||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022(2) | 6,977,987 | 6,971,993 | 0.5 | % | ||||||||
Nissan Auto Receivables Owner Trust, | ||||||||||||
Series 2017-B, Class A3, 1.750%, 10/15/2021 | 9,755,000 | 9,725,100 | 0.7 | % | ||||||||
PFS Financing Corp., | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(2) | 15,497,000 | 15,463,912 | 1.1 | % | ||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022(2) | 10,000,000 | 9,999,451 | 0.7 | % | ||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2016-3, Class A, 1.580%, 09/15/2022 | 6,370,000 | 6,357,128 | 0.4 | % | ||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,075,000 | 12,076,331 | 0.9 | % | ||||||||
Toyota Auto Receivables Owner Trust, | ||||||||||||
Series 2017-B, Class A3, 1.760%, 07/15/2021 | 8,765,350 | 8,740,600 | 0.6 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2017-1A, Class A, 2.060%, 09/20/2021(2) | 7,480,626 | 7,470,398 | 0.5 | % | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-B, Class A, 1.980%, 06/15/2023 | 13,813,000 | 13,802,068 | 1.0 | % | ||||||||
Other Asset Backed Securities(2)(6) | 142,200,797 | 10.1 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $298,373,742) | 299,353,588 | 21.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,370,606,404) | 1,374,029,899 | 97.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 6
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 2.32%(5) | 19,702,975 | $ | 19,702,975 | 1.4 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $19,702,975) | 19,702,975 | 1.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,390,309,379) | 1,393,732,874 | 99.0 | % | |||||||||
Other Assets in Excess of Liabilities | 13,476,835 | 1.0 | % | |||||||||
TOTAL NET ASSETS | $ | 1,407,209,709 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $345,759,533, which represents 24.57% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(4) | Variable rate security, or group of securities contain a 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, 2019. |
(5) | Seven-day yield. |
(6) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at June 30, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 7
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 318,807,811 | $ | — | $ | 318,807,811 | ||||||||
Other Government Related Securities | — | 13,590,335 | — | 13,590,335 | ||||||||||||
Corporate Bonds | — | 713,555,326 | — | 713,555,326 | ||||||||||||
Municipal Bonds | — | 1,170,000 | — | 1,170,000 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 6,359 | — | 6,359 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 23,296,388 | — | 23,296,388 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 207,608 | — | 207,608 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 4,042,484 | — | 4,042,484 | ||||||||||||
Asset Backed Securities | — | 299,353,588 | — | 299,353,588 | ||||||||||||
Total Long-Term Investments | — | 1,374,029,899 | — | 1,374,029,899 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 19,702,975 | — | — | 19,702,975 | ||||||||||||
Total Short-Term Investment | 19,702,975 | — | — | 19,702,975 | ||||||||||||
Total Investments | $ | 19,702,975 | $ | 1,374,029,899 | $ | — | $ | 1,393,732,874 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $6,618,517,538 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.21% | |||
Investor Class | 1.96% | |||
Average | ||||
Effective | ||||
Duration | 1.89 years | |||
Average | ||||
Effective | ||||
Maturity | 2.01 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
| Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 32% | |||
Number of | ||||
Holdings | 503 | |||
(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, 2019. |
(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, 2019 (Unaudited)
Total Returns
Average Annual | ||||||
Since | Since | |||||
Six | One | Five | Ten | Inception | Inception | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 3.14% | 4.55% | 1.89% | 2.68% | 2.79% | N/A |
Investor Class Shares | 3.01% | 4.40% | 1.64% | N/A | N/A | 1.65% |
Bloomberg Barclays 1-3 Year U.S. | ||||||
Government/Credit Bond Index(1) | 2.71% | 4.27% | 1.46% | 1.59% | 2.40% | 1.29% |
(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, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT 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: | ||||||||||||
2.375%, 04/15/2021 | $ | 655,000,000 | $ | 661,652,344 | 10.0 | % | ||||||
2.000%, 08/31/2021 | 348,900,000 | 350,753,531 | 5.3 | % | ||||||||
1.125%, 09/30/2021 | 747,225,000 | 737,359,299 | 11.1 | % | ||||||||
1.750%, 03/31/2022 | 16,825,000 | 16,835,516 | 0.3 | % | ||||||||
1.875%, 03/31/2022 | 245,340,000 | 246,422,945 | 3.7 | % | ||||||||
1.625%, 08/31/2022 | 115,000,000 | 114,647,410 | 1.7 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,097,235,774) | 2,127,671,045 | 32.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(3)(8) | 64,626,048 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $63,831,735) | 64,626,048 | 1.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022(1)(2) | 32,985,000 | 33,050,006 | 0.5 | % | ||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 27,700,000 | 28,334,128 | 0.4 | % | ||||||||
ArcelorMittal, | ||||||||||||
6.250%, 02/25/2022(1) | 28,418,000 | 30,830,900 | 0.5 | % | ||||||||
Bayer US Finance II LLC, | ||||||||||||
3.500%, 06/25/2021(2) | 26,245,000 | 26,625,136 | 0.4 | % | ||||||||
Becton Dickinson and Co., | ||||||||||||
2.894%, 06/06/2022 | 22,500,000 | 22,805,674 | 0.3 | % | ||||||||
Broadcom, Inc., | ||||||||||||
3.000%, 01/15/2022 | 29,970,000 | 30,047,873 | 0.5 | % | ||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020(1)(2) | 20,000,000 | 19,953,400 | 0.3 | % | ||||||||
Conagra Brands, Inc., | ||||||||||||
2.811%, 10/09/2020 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(3) | 20,000,000 | 19,954,228 | 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, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | $ | 21,772,000 | $ | 22,434,749 | 0.3 | % | ||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021(2) | 32,689,000 | 33,398,233 | 0.5 | % | ||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021(1) | 32,690,000 | 33,484,724 | 0.5 | % | ||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 20,045,000 | 20,961,582 | 0.3 | % | ||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 25,496,822 | 0.4 | % | ||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020(1)(2) | 28,075,000 | 28,636,224 | 0.4 | % | ||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | 22,343,000 | 22,857,240 | 0.4 | % | ||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
2.530%, 11/15/2021 | 23,880,000 | 23,849,610 | 0.4 | % | ||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 29,075,000 | 29,107,298 | 0.4 | % | ||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,246,752 | 0.5 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 31,303,000 | 31,318,224 | 0.5 | % | ||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
2.150%, 07/13/2020(2) | 20,000,000 | 19,917,244 | 0.3 | % | ||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1) | 20,686,000 | 21,036,836 | 0.3 | % | ||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022(1)(2) | 25,600,000 | 25,592,524 | 0.4 | % | ||||||||
Total System Services, Inc., | ||||||||||||
3.800%, 04/01/2021 | 26,676,000 | 27,169,563 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 30,880,000 | 31,548,313 | 0.5 | % | ||||||||
Volkswagen Group of America Finance LLC, | ||||||||||||
4.000%, 11/12/2021(2) | 24,700,000 | 25,493,751 | 0.4 | % | ||||||||
Williams Companies, Inc., | ||||||||||||
3.700%, 01/15/2023 | 22,537,000 | 23,292,438 | 0.4 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,644,392 | 0.4 | % | ||||||||
Other Industrials(1)(2)(3)(8) | 1,372,676,663 | 20.7 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $2,068,885,068) | 2,091,764,527 | 31.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(3)(7)(8) | $ | 108,471,544 | 1.6 | % | ||||||||
Total Utilities | ||||||||||||
(Cost $108,306,141) | 108,471,544 | 1.6 | % | |||||||||
Financials | ||||||||||||
AerCap Holdings N.V., | ||||||||||||
4.450%, 12/16/2021(1) | $ | 25,000,000 | 25,958,067 | 0.4 | % | |||||||
Bank of Nova Scotia, | ||||||||||||
3.125%, 04/20/2021(1) | 20,000,000 | 20,309,534 | 0.3 | % | ||||||||
BNP Paribas SA, | ||||||||||||
2.950%, 05/23/2022(1)(2) | 23,125,000 | 23,367,216 | 0.3 | % | ||||||||
BPCE SA, | ||||||||||||
3.000%, 05/22/2022(1)(2) | 32,127,000 | 32,418,456 | 0.5 | % | ||||||||
Credit Agricole SA, | ||||||||||||
3.375%, 01/10/2022(1)(2) | 19,895,000 | 20,290,142 | 0.3 | % | ||||||||
JPMorgan Chase & Co., | ||||||||||||
3.514%, 06/18/2022 | ||||||||||||
(3 Month LIBOR USD + 0.610%)(3) | 23,010,000 | 23,515,430 | 0.4 | % | ||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,373,000 | 27,672,238 | 0.4 | % | ||||||||
Zions Bancorp NA, | ||||||||||||
3.350%, 03/04/2022 | 20,000,000 | 20,371,993 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(8) | 1,098,136,508 | 16.6 | % | |||||||||
Total Financials | ||||||||||||
(Cost $1,274,938,293) | 1,292,039,584 | 19.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $3,452,129,502) | 3,492,275,655 | 52.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(8) | 58,810,679 | 0.9 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $58,664,992) | 58,810,679 | 0.9 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
CSMC Trust, Series 2019-RPL1, | ||||||||||||
Class A1A, 3.650%, 07/25/2058(2)(4) | 20,861,247 | 21,486,576 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(8) | 160,458,122 | 2.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $180,930,556) | 181,944,698 | 2.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2019 (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(4)(8) | $ | 10,179,946 | 0.2 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $10,038,732) | 10,179,946 | 0.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2013-C14, Class ASB, 2.977%, 06/15/2046 | $ | 20,262,985 | 20,475,001 | 0.3 | % | |||||||
Other Non-U.S. Government Agency Issues(8) | 141,759,618 | 2.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $161,944,092) | 162,234,619 | 2.5 | % | |||||||||
Asset Backed Securities | ||||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-A2, Class A2, 3.000%, 09/15/2023 | 30,100,000 | 30,618,042 | 0.5 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024(2) | 27,550,000 | 27,897,342 | 0.4 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028(2) | 23,917,000 | 24,201,192 | 0.4 | % | ||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,532,338 | 0.4 | % | ||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,856,583 | 0.5 | % | ||||||||
Verizon Owner Trust: | ||||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022(2) | 28,600,000 | 28,799,019 | 0.4 | % | ||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 21,450,000 | 21,514,760 | 0.3 | % | ||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022(2) | 42,800,000 | 42,873,924 | 0.7 | % | ||||||||
Other Asset Backed Securities(2)(8) | 218,702,102 | 3.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $451,275,580) | 456,995,302 | 6.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $6,476,050,963) | 6,554,737,992 | 99.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 2.32%(5) | 40,118,363 | $ | 40,118,363 | 0.6 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $40,118,363) | 40,118,363 | 0.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $6,516,169,326) | 6,594,856,355 | 99.6 | % | |||||||||
Other Assets in Excess of Liabilities | 23,661,183 | 0.4 | % | |||||||||
TOTAL NET ASSETS | $ | 6,618,517,538 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $1,559,954,826, which represents 23.57% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(4) | Variable rate security, or group of securities contain a 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, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2019. |
(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. |
Summary of Fair Value Exposure at June 30, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 15
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,127,671,045 | $ | — | $ | 2,127,671,045 | ||||||||
Other Government Related Securities | — | 64,626,048 | — | 64,626,048 | ||||||||||||
Corporate Bonds | — | 3,492,275,655 | — | 3,492,275,655 | ||||||||||||
Municipal Bonds | — | 58,810,679 | — | 58,810,679 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 181,944,698 | — | 181,944,698 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 10,179,946 | — | 10,179,946 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 162,234,619 | — | 162,234,619 | ||||||||||||
Asset Backed Securities | — | 456,995,302 | — | 456,995,302 | ||||||||||||
Total Long-Term Investments | — | 6,554,737,992 | — | 6,554,737,992 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 40,118,363 | — | — | 40,118,363 | ||||||||||||
Total Short-Term Investment | 40,118,363 | — | — | 40,118,363 | ||||||||||||
Total Investments | $ | 40,118,363 | $ | 6,554,737,992 | $ | — | $ | 6,594,856,355 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 16
Baird Intermediate Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $4,230,995,459 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.26% | |||
Investor Class | 2.01% | |||
Average | ||||
Effective | ||||
Duration | 3.92 years | |||
Average | ||||
Effective | ||||
Maturity | 4.34 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(4) | ||||
| Institutional Class | 0.30% | ||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 12% | |||
Number of | ||||
Holdings | 510 | |||
(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, 2019. |
(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, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 5.20% | 7.05% | 2.60% | 4.17% | 4.79% |
Investor Class Shares | 5.11% | 6.83% | 2.36% | 3.93% | 4.53% |
Bloomberg Barclays Intermediate | |||||
U.S. Government/Credit Bond Index(2) | 4.97% | 6.93% | 2.39% | 3.24% | 4.35% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2019. |
(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.
Total Returns
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.
Total Returns
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.
Total Returns
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.
Total Returns
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.
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, doing business as U.S. Bank Global Fund Services, 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.
Total Returns
Total Returns
Total Returns
Total Returns
Total Returns
Total Returns
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.
Baird Small/Mid Cap Value Fund
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 at all times, and is subject to certain restrictions and covenants. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total eligible net assets (including the amount borrowed) of the respective Fund, or $600,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at the U.S. Bank’s Prime Rate less 2%, but in no event less than a net rate of 1% per annum. The LOC matures on May 25, 2020, unless renewed. The Funds have authorized U.S. Bank to charge any of the accounts of the borrowing Fund subject to the agreement for any missed payments.
For 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, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT 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 | $ | 133,600,000 | $ | 132,775,437 | 3.1 | % | ||||||
1.750%, 03/31/2022 | 265,050,000 | 265,215,656 | 6.3 | % | ||||||||
1.875%, 03/31/2022 | 510,250,000 | 512,502,274 | 12.1 | % | ||||||||
2.500%, 05/15/2024 | 351,025,000 | 363,077,774 | 8.6 | % | ||||||||
2.250%, 11/15/2025 | 297,625,000 | 304,798,227 | 7.2 | % | ||||||||
2.000%, 11/15/2026 | 106,975,000 | 107,789,849 | 2.5 | % | ||||||||
2.250%, 11/15/2027 | 160,375,000 | 164,183,906 | 3.9 | % | ||||||||
3.125%, 11/15/2028 | 34,900,000 | 38,279,574 | 0.9 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,834,810,756) | 1,888,622,697 | 44.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(9) | 34,096,881 | 0.8 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $33,523,309) | 34,096,881 | 0.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 13,175,494 | 0.3 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
5.450%, 06/15/2023(2) | 12,100,000 | 13,041,280 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,771,034 | 0.3 | % | ||||||||
Energy Transfer Partners LP, | ||||||||||||
4.750%, 01/15/2026 | 10,326,000 | 11,065,265 | 0.3 | % | ||||||||
Ford Motor Credit Co. LLC, | ||||||||||||
2.979%, 08/03/2022 | 12,000,000 | 11,872,769 | 0.3 | % | ||||||||
Kinder Morgan, Inc., | ||||||||||||
7.800%, 08/01/2031 | 12,425,000 | 16,709,941 | 0.4 | % | ||||||||
MPLX LP, | ||||||||||||
4.875%, 06/01/2025 | 10,219,000 | 11,106,232 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023(1) | $ | 18,275,000 | $ | 18,531,109 | 0.4 | % | ||||||
Penske Truck Leasing Co., | ||||||||||||
3.950%, 03/10/2025(2) | 12,000,000 | 12,594,179 | 0.3 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 11,118,814 | 0.3 | % | ||||||||
Wabtec Corp., | ||||||||||||
4.375%, 08/15/2023 | 12,302,000 | 12,743,505 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(8)(9) | 677,870,505 | 16.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $798,601,505) | 824,600,127 | 19.5 | % | |||||||||
Utilities | ||||||||||||
Avangrid, Inc., | ||||||||||||
3.800%, 06/01/2029 | 10,975,000 | 11,485,671 | 0.3 | % | ||||||||
Edison International, | ||||||||||||
4.125%, 03/15/2028 | 13,600,000 | 13,299,401 | 0.3 | % | ||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020(1)(2) | 15,000,000 | 15,033,000 | 0.4 | % | ||||||||
Enel Finance International NV, | ||||||||||||
3.500%, 04/06/2028(1)(2) | 13,550,000 | 13,358,134 | 0.3 | % | ||||||||
Other Utilities(1)(2)(3)(9) | 32,868,594 | 0.8 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $85,234,096) | 86,044,800 | 2.1 | % | |||||||||
Financials | ||||||||||||
Bank of America Corp., | ||||||||||||
2.369%, 07/21/2021 | ||||||||||||
(3 Month LIBOR USD + 0.660%)(3) | 11,000,000 | 10,988,010 | 0.3 | % | ||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,428,604 | 0.3 | % | ||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,214,290 | 0.3 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,354,191 | 0.3 | % | ||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 10,350,000 | 10,660,412 | 0.2 | % | ||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 | 11,325,000 | 13,328,972 | 0.3 | % | ||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023(2) | 9,906,000 | 11,520,341 | 0.3 | % | ||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 10,350,000 | 10,783,460 | 0.3 | % | ||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025(2) | 8,300,000 | 10,703,738 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | $ | 10,139,000 | $ | 10,641,235 | 0.2 | % | ||||||
Other Financials(1)(2)(3)(9) | 748,005,583 | 17.7 | % | |||||||||
Total Financials | ||||||||||||
(Cost $842,877,511) | 864,628,836 | 20.4 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,726,713,112) | 1,775,273,763 | 42.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(9) | 37,950,223 | 0.9 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $37,128,908) | 37,950,223 | 0.9 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(9) | 40,868 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $39,374) | 40,868 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(9) | 69,123,532 | 1.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $67,422,565) | 69,123,532 | 1.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 16,125,000 | 16,362,707 | 0.4 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,327,736 | 0.4 | % | ||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 14,689,048 | 0.4 | % | ||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,579,846 | 0.1 | % | ||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,127,796 | 0.1 | % | ||||||||
Series K043, Class A2, 3.062%, 12/25/2024 | 3,250,000 | 3,383,692 | 0.1 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 8,725,000 | 9,209,182 | 0.2 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,375,000 | 13,113,106 | 0.3 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 9,859,392 | 0.2 | % | ||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,354,000 | 9,904,872 | 0.2 | % | ||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 7,521,133 | 0.2 | % | ||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 9,707,813 | 0.2 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $115,592,362) | 118,786,323 | 2.8 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,550,000 | 11,888,646 | 0.3 | % | ||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 12,083,333 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | $ | 13,000,000 | $ | 13,975,827 | 0.3 | % | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,816,119 | 0.3 | % | ||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 16,400,000 | 16,826,125 | 0.4 | % | ||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,675,000 | 12,240,510 | 0.3 | % | ||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 13,211,144 | 14,165,411 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(9) | 45,193,351 | 1.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $137,893,573) | 140,189,322 | 3.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Dell Equipment Finance Trust: | ||||||||||||
Series 2018-1, Class A3, 3.180%, 06/22/2023(2) | 16,285,000 | 16,468,315 | 0.4 | % | ||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024(2) | 11,375,000 | 11,518,413 | 0.3 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030(2) | 10,825,000 | 11,320,412 | 0.2 | % | ||||||||
PFS Financing Corp.: | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 14,555,000 | 14,580,446 | 0.3 | % | ||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024(2) | 12,125,000 | 12,262,860 | 0.3 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022(2) | 12,250,000 | 12,237,144 | 0.3 | % | ||||||||
Other Asset Backed Securities(2)(9) | 32,619,148 | 0.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $109,707,636) | 111,006,738 | 2.6 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $4,062,831,595) | 4,175,090,347 | 98.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 2.32%(5) | 61,501,251 | $ | 61,501,251 | 1.5 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $61,501,251) | 61,501,251 | 1.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $4,124,332,846) | 4,236,591,598 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (5,596,139 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,230,995,459 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $793,610,994, which represents 18.76% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(4) | Variable rate security, or group of securities contain a 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, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2019. |
(8) | Security in default, or group of securities contain a security in default. |
(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, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,888,622,697 | $ | — | $ | 1,888,622,697 | ||||||||
Other Government Related Securities | — | 34,096,881 | — | 34,096,881 | ||||||||||||
Corporate Bonds | — | 1,775,273,763 | — | 1,775,273,763 | ||||||||||||
Municipal Bonds | — | 37,950,223 | — | 37,950,223 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 40,868 | — | 40,868 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 69,123,532 | — | 69,123,532 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 118,786,323 | — | 118,786,323 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 140,189,322 | — | 140,189,322 | ||||||||||||
Asset Backed Securities | — | 111,006,738 | — | 111,006,738 | ||||||||||||
Total Long-Term Investments | — | 4,175,090,347 | — | 4,175,090,347 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 61,501,251 | — | — | 61,501,251 | ||||||||||||
Total Short-Term Investment | 61,501,251 | — | — | 61,501,251 | ||||||||||||
Total Investments | $ | 61,501,251 | $ | 4,175,090,347 | $ | — | $ | 4,236,591,598 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 24
Baird Aggregate Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $20,591,949,042 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.66% | |||
Investor Class | 2.41% | |||
Average | ||||
Effective | ||||
Duration | 5.73 years | |||
Average | ||||
Effective | ||||
Maturity | 7.61 years | |||
Sector Weightings(1) | ||||
Annualized | ||||
| Expense | |||
Ratio(4) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 16% | |||
Number of | ||||
Holdings | 1,178 | |||
(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, 2019. |
(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, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 6.58% | 8.16% | 3.29% | 5.06% | 5.34% |
Investor Class Shares | 6.51% | 7.99% | 3.04% | 4.81% | 5.09% |
Bloomberg Barclays U.S. | |||||
Aggregate Bond Index(2) | 6.11% | 7.87% | 2.95% | 3.90% | 4.85% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2019. |
(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, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT 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 | $ | 94,925,000 | $ | 94,984,328 | 0.5 | % | ||||||
1.875%, 03/31/2022 | 1,200,700,000 | 1,205,999,962 | 5.9 | % | ||||||||
2.500%, 05/15/2024 | 417,950,000 | 432,300,706 | 2.1 | % | ||||||||
2.250%, 11/15/2025 | 511,600,000 | 523,930,358 | 2.5 | % | ||||||||
2.000%, 11/15/2026 | 173,300,000 | 174,620,059 | 0.8 | % | ||||||||
2.250%, 11/15/2027 | 309,050,000 | 316,389,938 | 1.5 | % | ||||||||
3.125%, 11/15/2028 | 161,675,000 | 177,330,951 | 0.9 | % | ||||||||
3.500%, 02/15/2039 | 368,530,900 | 437,760,004 | 2.1 | % | ||||||||
2.875%, 05/15/2043 | 802,075,000 | 857,844,277 | 4.2 | % | ||||||||
2.500%, 02/15/2045 | 496,500,000 | 494,618,732 | 2.4 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $4,502,207,320) | 4,715,779,315 | 22.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 163,328,860 | 0.8 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $161,552,697) | 163,328,860 | 0.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 44,750,000 | 48,582,541 | 0.2 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 50,575,000 | 52,114,525 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.250%, 04/15/2024 | 49,525,000 | 51,894,719 | 0.3 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 45,000,000 | 51,423,085 | 0.2 | % | ||||||||
Other Industrials(1)(2)(3)(7)(8)(10) | 3,902,843,413 | 19.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $3,947,598,096) | 4,106,858,283 | 20.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | $ | 188,639,490 | 0.9 | % | ||||||||
Total Utilities | ||||||||||||
(Cost $185,982,286) | 188,639,490 | 0.9 | % | |||||||||
Financials | ||||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | $ | 47,525,000 | 52,573,608 | 0.2 | % | |||||||
Other Financials(1)(2)(3)(10) | 3,723,270,202 | 18.1 | % | |||||||||
Total Financials | ||||||||||||
(Cost $3,667,667,773) | 3,775,843,810 | 18.3 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $7,801,248,155) | 8,071,341,583 | 39.2 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(10) | 104,853,000 | 0.5 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $100,578,104) | 104,853,000 | 0.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 2,722 | 2,732 | 0.0 | % | ||||||||
3.000%, 12/01/2026 | 804,355 | 823,650 | 0.0 | % | ||||||||
2.500%, 04/01/2028 | 2,527,474 | 2,551,470 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 106,906 | 119,480 | 0.0 | % | ||||||||
3.000%, 04/01/2031 | 7,542,341 | 7,714,361 | 0.0 | % | ||||||||
3.000%, 02/01/2032 | 68,718,974 | 70,330,390 | 0.3 | % | ||||||||
3.500%, 05/01/2032 | 19,215,583 | 19,942,650 | 0.1 | % | ||||||||
3.000%, 07/01/2032 | 16,616,047 | 17,006,179 | 0.1 | % | ||||||||
3.500%, 07/01/2032 | 24,032,012 | 24,941,459 | 0.1 | % | ||||||||
5.000%, 08/01/2033 | 4,646,424 | 5,047,461 | 0.0 | % | ||||||||
3.500%, 01/01/2034 | 19,385,532 | 20,116,907 | 0.1 | % | ||||||||
5.000%, 09/01/2035 | 9,799,777 | 10,721,783 | 0.1 | % | ||||||||
5.500%, 01/01/2036 | 161,424 | 179,436 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 4,227,366 | 4,626,256 | 0.0 | % | ||||||||
6.000%, 12/01/2036 | 147,910 | 167,843 | 0.0 | % | ||||||||
5.000%, 02/01/2038 | 2,323,659 | 2,541,545 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 498,612 | 541,859 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 10,279,812 | 11,424,899 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 8,166,841 | 8,776,076 | 0.0 | % | ||||||||
4.500%, 12/01/2039 | 23,035,697 | 24,758,531 | 0.1 | % | ||||||||
5.000%, 03/01/2040 | 901,341 | 980,191 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 825,888 | 887,617 | 0.0 | % | ||||||||
4.500%, 09/01/2040 | 3,095,648 | 3,327,043 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
4.000%, 01/01/2041 | $ | 45,711,516 | $ | 48,238,303 | 0.2 | % | ||||||
4.500%, 03/01/2041 | 2,300,115 | 2,472,035 | 0.0 | % | ||||||||
3.500%, 10/01/2041 | 9,600,932 | 9,922,860 | 0.1 | % | ||||||||
4.000%, 03/01/2042 | 7,064,130 | 7,454,873 | 0.0 | % | ||||||||
3.500%, 06/01/2042 | 4,847,451 | 5,035,855 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 13,042,261 | 13,549,183 | 0.1 | % | ||||||||
3.000%, 08/01/2042 | 17,115,283 | 17,420,799 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 6,604,318 | 6,722,217 | 0.0 | % | ||||||||
3.000%, 11/01/2042 | 35,771,345 | 36,497,119 | 0.2 | % | ||||||||
3.500%, 12/01/2042 | 13,849,149 | 14,387,187 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 39,915,670 | 40,559,740 | 0.2 | % | ||||||||
3.500%, 01/01/2043 | 21,468,732 | 22,302,938 | 0.1 | % | ||||||||
3.000%, 02/01/2043 | 3,624,298 | 3,689,000 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 30,559,171 | 31,118,392 | 0.2 | % | ||||||||
3.500%, 04/01/2043 | 63,139,793 | 65,551,246 | 0.3 | % | ||||||||
4.000%, 04/01/2043 | 19,344,194 | 20,687,737 | 0.1 | % | ||||||||
3.500%, 05/01/2043 | 13,057,189 | 13,541,202 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 18,613,269 | 18,931,155 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 5,790,839 | 5,894,228 | 0.0 | % | ||||||||
3.500%, 11/01/2043 | 10,183,506 | 10,578,521 | 0.1 | % | ||||||||
3.500%, 01/01/2044 | 11,392,698 | 11,834,772 | 0.1 | % | ||||||||
3.500%, 02/01/2044 | 40,616,948 | 42,191,514 | 0.2 | % | ||||||||
4.000%, 03/01/2044 | 6,231,542 | 6,536,961 | 0.0 | % | ||||||||
3.500%, 05/01/2044 | 41,434,474 | 43,172,866 | 0.2 | % | ||||||||
4.000%, 05/01/2044 | 22,409,029 | 23,646,074 | 0.1 | % | ||||||||
4.000%, 07/01/2044 | 5,222,504 | 5,473,118 | 0.0 | % | ||||||||
3.500%, 10/01/2044 | 93,277,355 | 96,633,573 | 0.5 | % | ||||||||
4.000%, 10/01/2044 | 12,375,849 | 13,044,010 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 28,855,030 | 29,973,645 | 0.1 | % | ||||||||
4.500%, 01/01/2045 | 34,789,868 | 37,444,191 | 0.2 | % | ||||||||
3.500%, 06/01/2045 | 21,067,700 | 21,952,069 | 0.1 | % | ||||||||
3.000%, 10/01/2045 | 41,094,719 | 41,828,035 | 0.2 | % | ||||||||
4.000%, 10/01/2045 | 8,426,243 | 8,818,956 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 16,925,164 | 17,713,970 | 0.1 | % | ||||||||
3.500%, 01/01/2046 | 39,296,616 | 40,749,006 | 0.2 | % | ||||||||
4.000%, 02/01/2046 | 18,728,819 | 19,605,047 | 0.1 | % | ||||||||
4.000%, 04/01/2046 | 11,768,598 | 12,403,898 | 0.1 | % | ||||||||
3.500%, 05/01/2046 | 11,236,633 | 11,587,873 | 0.1 | % | ||||||||
3.000%, 08/01/2046 | 5,299,992 | 5,373,317 | 0.0 | % | ||||||||
3.500%, 08/01/2046 | 35,174,263 | 36,643,948 | 0.2 | % | ||||||||
3.000%, 10/01/2046(9) | 134,274,950 | 136,789,597 | 0.7 | % | ||||||||
3.000%, 05/01/2047 | 68,093,289 | 69,266,986 | 0.3 | % | ||||||||
4.000%, 08/01/2048 | 51,640,881 | 54,103,653 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | $ | 27,700 | $ | 28,342 | 0.0 | % | ||||||
3.000%, 04/01/2027 | 6,563,389 | 6,717,062 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 8,522,602 | 8,598,631 | 0.0 | % | ||||||||
2.500%, 05/01/2028 | 11,480,576 | 11,583,009 | 0.1 | % | ||||||||
5.000%, 05/01/2028 | 166,248 | 175,715 | 0.0 | % | ||||||||
3.000%, 11/01/2028 | 21,892,648 | 22,405,868 | 0.1 | % | ||||||||
4.500%, 08/01/2029 | 1,312,624 | 1,375,175 | 0.0 | % | ||||||||
4.500%, 09/01/2029 | 1,512,318 | 1,584,335 | 0.0 | % | ||||||||
2.500%, 04/01/2030 | 4,296,215 | 4,330,652 | 0.0 | % | ||||||||
2.500%, 05/01/2030 | 13,571,246 | 13,679,998 | 0.1 | % | ||||||||
3.500%, 11/01/2030 | 35,959,463 | 37,398,053 | 0.2 | % | ||||||||
3.000%, 12/01/2030 | 35,718,096 | 36,534,647 | 0.2 | % | ||||||||
2.500%, 09/01/2031 | 47,917,311 | 48,316,162 | 0.2 | % | ||||||||
3.500%, 01/01/2032 | 47,585,108 | 49,351,864 | 0.2 | % | ||||||||
2.500%, 02/01/2032 | 7,700,298 | 7,762,143 | 0.0 | % | ||||||||
3.000%, 09/01/2032 | 3,102,088 | 3,183,024 | 0.0 | % | ||||||||
6.000%, 03/01/2033 | 40,957 | 46,437 | 0.0 | % | ||||||||
3.500%, 10/01/2033 | 22,452,835 | 23,288,017 | 0.1 | % | ||||||||
4.500%, 10/01/2033 | 15,876,665 | 16,955,403 | 0.1 | % | ||||||||
5.000%, 10/01/2033 | 16,926,744 | 18,400,407 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 96,556,496 | 99,015,338 | 0.5 | % | ||||||||
5.000%, 11/01/2033 | 47,789 | 51,979 | 0.0 | % | ||||||||
4.000%, 01/01/2034 | 7,108,335 | 7,486,759 | 0.0 | % | ||||||||
5.500%, 04/01/2034 | 5,757,650 | 6,395,231 | 0.0 | % | ||||||||
4.000%, 06/01/2034 | 9,397,589 | 9,897,614 | 0.1 | % | ||||||||
4.000%, 09/01/2034 | 11,121,934 | 11,713,758 | 0.1 | % | ||||||||
5.500%, 09/01/2034 | 151,118 | 167,853 | 0.0 | % | ||||||||
6.000%, 11/01/2034 | 40,923 | 46,399 | 0.0 | % | ||||||||
3.500%, 01/01/2035 | 64,174,772 | 66,248,459 | 0.3 | % | ||||||||
5.500%, 02/01/2035 | 516,017 | 573,172 | 0.0 | % | ||||||||
5.000%, 07/01/2035 | 4,419,698 | 4,830,579 | 0.0 | % | ||||||||
5.000%, 10/01/2035 | 2,194,626 | 2,399,520 | 0.0 | % | ||||||||
5.000%, 02/01/2036 | 3,156,212 | 3,451,206 | 0.0 | % | ||||||||
5.500%, 11/01/2036 | 199,893 | 222,051 | 0.0 | % | ||||||||
2.500%, 12/01/2036 | 31,153,023 | 31,212,300 | 0.2 | % | ||||||||
5.500%, 04/01/2037 | 1,287,646 | 1,416,624 | 0.0 | % | ||||||||
4.000%, 05/01/2037 | 50,356,194 | 52,652,483 | 0.3 | % | ||||||||
2.500%, 04/01/2038 | 68,240,927 | 68,664,308 | 0.3 | % | ||||||||
4.000%, 04/01/2039 | 12,381,354 | 13,056,653 | 0.1 | % | ||||||||
5.000%, 06/01/2039 | 25,685,810 | 28,075,605 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 215,592 | 231,430 | 0.0 | % | ||||||||
4.000%, 08/01/2040 | 1,578,406 | 1,664,566 | 0.0 | % | ||||||||
3.500%, 12/01/2040 | 9,788,989 | 10,099,285 | 0.1 | % | ||||||||
4.000%, 12/01/2040 | 9,538,172 | 10,059,334 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.500%, 02/01/2041 | $ | 15,199,475 | $ | 15,690,389 | 0.1 | % | ||||||
4.000%, 02/01/2041 | 22,395,644 | 23,619,409 | 0.1 | % | ||||||||
4.500%, 02/01/2041 | 57,812,816 | 61,924,848 | 0.3 | % | ||||||||
3.500%, 03/01/2041 | 22,017,883 | 22,715,980 | 0.1 | % | ||||||||
4.500%, 05/01/2041 | 8,021,706 | 8,615,687 | 0.0 | % | ||||||||
4.000%, 06/01/2041 | 17,831,281 | 18,803,429 | 0.1 | % | ||||||||
4.500%, 07/01/2041 | 8,238,750 | 8,848,481 | 0.0 | % | ||||||||
5.000%, 07/01/2041 | 11,693,886 | 12,780,738 | 0.1 | % | ||||||||
3.500%, 09/01/2041 | 22,368,557 | 23,104,271 | 0.1 | % | ||||||||
4.000%, 09/01/2041 | 2,448,798 | 2,582,562 | 0.0 | % | ||||||||
4.000%, 10/01/2041 | 6,760,638 | 7,130,123 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 8,703,755 | 9,036,437 | 0.0 | % | ||||||||
3.500%, 12/01/2041 | 38,610,364 | 40,086,098 | 0.2 | % | ||||||||
4.000%, 12/01/2041 | 9,741,816 | 10,274,224 | 0.0 | % | ||||||||
4.000%, 01/01/2042 | 12,004,518 | 12,659,130 | 0.1 | % | ||||||||
4.500%, 01/01/2042 | 11,812,173 | 12,685,678 | 0.1 | % | ||||||||
4.000%, 02/01/2042 | 45,006,756 | 47,464,395 | 0.2 | % | ||||||||
3.000%, 05/01/2042 | 8,635,121 | 8,783,879 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 98,656,386 | 102,423,188 | 0.5 | % | ||||||||
3.500%, 08/01/2042 | 8,774,120 | 9,102,355 | 0.0 | % | ||||||||
4.000%, 08/01/2042 | 16,341,698 | 17,234,849 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 19,803,857 | 20,242,976 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 42,279,688 | 43,023,564 | 0.2 | % | ||||||||
3.000%, 05/01/2043 | 55,877,676 | 56,872,539 | 0.3 | % | ||||||||
3.500%, 05/01/2043 | 37,510,238 | 39,084,385 | 0.2 | % | ||||||||
3.000%, 06/01/2043 | 8,821,054 | 8,973,046 | 0.0 | % | ||||||||
3.000%, 07/01/2043 | 3,367,989 | 3,426,020 | 0.0 | % | ||||||||
4.000%, 07/01/2043 | 31,520,311 | 33,239,166 | 0.2 | % | ||||||||
3.000%, 08/01/2043 | 5,534,351 | 5,629,713 | 0.0 | % | ||||||||
3.500%, 09/01/2043 | 54,373,511 | 56,446,678 | 0.3 | % | ||||||||
4.500%, 09/01/2043 | 12,916,217 | 13,871,237 | 0.1 | % | ||||||||
3.500%, 10/01/2043 | 59,612,377 | 61,886,853 | 0.3 | % | ||||||||
3.000%, 11/01/2043 | 28,485,672 | 28,976,201 | 0.1 | % | ||||||||
4.000%, 11/01/2043 | 9,001,083 | 9,481,396 | 0.0 | % | ||||||||
4.000%, 01/01/2045 | 8,788,314 | 9,205,607 | 0.0 | % | ||||||||
3.500%, 02/01/2045 | 42,062,349 | 43,666,942 | 0.2 | % | ||||||||
4.000%, 02/01/2045 | 21,483,691 | 22,654,845 | 0.1 | % | ||||||||
3.500%, 04/01/2045 | 30,850,512 | 31,971,153 | 0.2 | % | ||||||||
4.000%, 10/01/2045 | 9,329,064 | 9,772,006 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 37,114,696 | 38,819,679 | 0.2 | % | ||||||||
3.500%, 12/01/2045 | 36,401,313 | 37,510,438 | 0.2 | % | ||||||||
4.500%, 02/01/2046 | 34,711,079 | 37,267,126 | 0.2 | % | ||||||||
3.000%, 05/01/2046 | 16,007,716 | 16,323,122 | 0.1 | % | ||||||||
3.500%, 05/01/2046 | 61,570,939 | 63,465,466 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 07/01/2046 | $ | 10,232,041 | $ | 10,433,654 | 0.1 | % | ||||||
4.500%, 08/01/2046 | 30,478,835 | 32,419,260 | 0.2 | % | ||||||||
3.000%, 11/01/2046 | 79,508,831 | 80,804,941 | 0.4 | % | ||||||||
3.500%, 11/01/2046 | 55,924,297 | 57,679,267 | 0.3 | % | ||||||||
4.000%, 08/01/2047 | 82,193,389 | 85,827,117 | 0.4 | % | ||||||||
4.000%, 11/01/2047 | 51,921,784 | 54,047,900 | 0.3 | % | ||||||||
4.500%, 11/01/2047 | 20,634,881 | 21,720,448 | 0.1 | % | ||||||||
4.000%, 12/01/2047 | 59,433,397 | 61,971,123 | 0.3 | % | ||||||||
3.500%, 01/01/2048 | 18,210,548 | 18,752,771 | 0.1 | % | ||||||||
4.000%, 04/01/2048 | 27,742,477 | 28,843,750 | 0.1 | % | ||||||||
4.000%, 07/01/2048 | 34,447,553 | 36,436,938 | 0.2 | % | ||||||||
4.000%, 09/01/2048 | 48,555,150 | 50,348,460 | 0.2 | % | ||||||||
4.500%, 11/01/2048 | 70,740,445 | 74,407,602 | 0.4 | % | ||||||||
4.500%, 01/01/2049 | 33,266,475 | 35,519,688 | 0.2 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 39,562 | 45,358 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 1,824,762 | 2,006,207 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 8,301,993 | 8,678,774 | 0.0 | % | ||||||||
4.000%, 06/20/2042 | 9,356,841 | 9,907,040 | 0.0 | % | ||||||||
3.500%, 09/20/2042 | 3,629,427 | 3,787,738 | 0.0 | % | ||||||||
3.500%, 01/20/2043 | 23,620,014 | 24,645,652 | 0.1 | % | ||||||||
4.000%, 10/20/2043 | 14,637,462 | 15,446,555 | 0.1 | % | ||||||||
4.000%, 09/20/2044 | 53,048,533 | 55,937,488 | 0.3 | % | ||||||||
4.000%, 01/20/2045 | 11,377,365 | 11,996,247 | 0.1 | % | ||||||||
3.500%, 03/20/2045 | 17,639,431 | 18,244,307 | 0.1 | % | ||||||||
3.000%, 04/20/2045 | 28,785,483 | 29,468,386 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 34,940,611 | 36,241,090 | 0.2 | % | ||||||||
4.000%, 08/20/2045 | 11,629,441 | 12,260,902 | 0.1 | % | ||||||||
4.500%, 01/20/2046 | 16,226,994 | 17,186,777 | 0.1 | % | ||||||||
4.000%, 04/20/2046 | 12,554,820 | 13,172,934 | 0.1 | % | ||||||||
4.000%, 05/20/2046 | 31,069,082 | 32,645,462 | 0.2 | % | ||||||||
5.000%, 04/20/2047 | 2,925,725 | 3,117,037 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 58,120,411 | 61,021,777 | 0.3 | % | ||||||||
4.500%, 07/20/2047 | 14,244,283 | 14,955,373 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(9)(10) | 14,792,821 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $4,287,021,696) | 4,362,366,089 | 21.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(2)(3)(6)(7)(10) | 514,164,903 | 2.5 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $505,107,609) | 514,164,903 | 2.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | $ | 17,950,000 | $ | 18,214,610 | 0.1 | % | ||||||
Series K721, Class A2, 3.090%, 08/25/2022(4) | 25,545,000 | 26,213,607 | 0.1 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,631,544 | 0.2 | % | ||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 28,544,856 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 68,125,000 | 71,888,722 | 0.4 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 60,430,000 | 63,783,478 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,739,000 | 87,673,959 | 0.4 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 22,610,873 | 0.1 | % | ||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 21,761,038 | 0.1 | % | ||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 20,286,074 | 0.1 | % | ||||||||
Series K063, Class A2, 3.430%, 01/25/2027(4) | 63,971,857 | 68,462,253 | 0.3 | % | ||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 54,955,177 | 0.3 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 28,200,000 | 29,840,603 | 0.1 | % | ||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 11,651,778 | 0.1 | % | ||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | 29,587,841 | 31,215,643 | 0.2 | % | ||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 9,530,024 | 0.1 | % | ||||||||
Series K069, Class A2, 3.187%, 09/25/2027(4) | 23,130,000 | 24,406,411 | 0.1 | % | ||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 23,025,000 | 24,476,904 | 0.1 | % | ||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 16,475,000 | 18,203,821 | 0.1 | % | ||||||||
Series K156, Class A3, 3.700%, 06/25/2033(4) | 11,088,000 | 12,196,404 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 40,006,927 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $708,409,602) | 734,554,706 | 3.6 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 67,733,000 | 71,939,924 | 0.4 | % | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 46,750,000 | 49,401,324 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 766,270,515 | 3.7 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $870,897,479) | 887,611,763 | 4.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 47,621,000 | 48,649,999 | 0.2 | % | ||||||||
Other Asset Backed Securities(2)(10) | 293,525,591 | 1.4 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $335,954,665) | 342,175,590 | 1.6 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $19,272,977,327) | 19,896,175,809 | 96.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 2.32%(5) | 917,315,063 | $ | 917,315,063 | 4.5 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $917,315,063) | 917,315,063 | 4.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $20,190,292,390) | 20,813,490,872 | 101.1 | % | |||||||||
Liabilities in Excess of Other Assets | (221,541,830 | ) | (1.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 20,591,949,042 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $3,090,669,696, which represents 15.01% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(4) | Variable rate security, or group of securities contain a 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, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2019. |
(8) | Security in default, or group of securities contain a security in default. |
(9) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(10) | 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, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 34
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 4,715,779,315 | $ | — | $ | 4,715,779,315 | ||||||||
Other Government Related Securities | — | 163,328,860 | — | 163,328,860 | ||||||||||||
Corporate Bonds | — | 8,071,341,583 | — | 8,071,341,583 | ||||||||||||
Municipal Bonds | — | 104,853,000 | — | 104,853,000 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 4,362,366,089 | — | 4,362,366,089 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 514,164,903 | — | 514,164,903 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 734,554,706 | — | 734,554,706 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 887,611,763 | — | 887,611,763 | ||||||||||||
Asset Backed Securities | — | 342,175,590 | — | 342,175,590 | ||||||||||||
Total Long-Term Investments | — | 19,896,175,809 | — | 19,896,175,809 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 917,315,063 | — | — | 917,315,063 | ||||||||||||
Total Short-Term Investment | 917,315,063 | — | — | 917,315,063 | ||||||||||||
Total Investments | $ | 917,315,063 | $ | 19,896,175,809 | $ | — | $ | 20,813,490,872 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 35
Baird Core Plus Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $21,352,423,773 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.86% | |||
Investor Class | 2.62% | |||
Average | ||||
Effective | ||||
Duration | 5.56 years | |||
Average | ||||
Effective | ||||
Maturity | 7.42 years | |||
Annualized | ||||
Sector Weightings(1) | Expense Ratio(4) | |||
Institutional Class | 0.30% | |||
| Investor Class | 0.55% | (5) | |
Portfolio | ||||
Turnover Rate(6) | 11% | |||
Number of | ||||
Holdings | 1,353 | |||
(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, 2019. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 36
Baird Core Plus Bond Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 7.05% | 8.39% | 3.52% | 5.53% | 5.81% |
Investor Class Shares | 6.81% | 8.05% | 3.26% | 5.26% | 5.54% |
Bloomberg Barclays U.S. | |||||
Universal Bond Index(2) | 6.54% | 8.07% | 3.18% | 4.37% | 5.12% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2019. |
(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 37
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT 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 | $ | 82,750,000 | $ | 82,801,719 | 0.4 | % | ||||||
1.875%, 03/31/2022 | 633,625,000 | 636,421,859 | 3.0 | % | ||||||||
2.500%, 05/15/2024 | 518,825,000 | 536,639,344 | 2.4 | % | ||||||||
2.250%, 11/15/2025 | 17,150,000 | 17,563,342 | 0.1 | % | ||||||||
2.000%, 11/15/2026 | 11,300,000 | 11,386,074 | 0.1 | % | ||||||||
2.250%, 11/15/2027 | 311,250,000 | 318,642,187 | 1.5 | % | ||||||||
3.125%, 11/15/2028 | 195,875,000 | 214,842,740 | 1.0 | % | ||||||||
3.500%, 02/15/2039 | 324,920,000 | 385,956,729 | 1.8 | % | ||||||||
2.875%, 05/15/2043 | 670,100,000 | 716,692,890 | 3.4 | % | ||||||||
2.500%, 02/15/2045 | 460,150,000 | 458,406,464 | 2.1 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $3,222,987,815) | 3,379,353,348 | 15.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 258,471,621 | 1.2 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $252,777,149) | 258,471,621 | 1.2 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 48,550,000 | 52,707,986 | 0.2 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.250%, 04/15/2024 | 49,810,000 | 52,193,356 | 0.2 | % | ||||||||
Keysight Technologies, Inc., | ||||||||||||
4.600%, 04/06/2027 | 50,189,000 | 53,663,883 | 0.3 | % | ||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031(1) | 33,426,000 | 50,969,341 | 0.2 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 50,315,000 | 57,496,723 | 0.3 | % | ||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1) | 52,944,000 | 53,841,934 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 38
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | $ | 54,946,000 | $ | 55,483,125 | 0.3 | % | ||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 55,993,429 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(8)(10) | 5,258,012,561 | 24.6 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $5,486,396,793) | 5,690,362,338 | 26.7 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | 274,803,242 | 1.3 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $267,590,870) | 274,803,242 | 1.3 | % | |||||||||
Financials | ||||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 47,070,000 | 52,070,273 | 0.2 | % | ||||||||
Nationwide Building Society, | ||||||||||||
4.000%, 09/14/2026(1)(2) | 53,541,000 | 53,550,085 | 0.3 | % | ||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 | ||||||||||||
(3 Month LIBOR USD + 1.480%)(1)(3) | 62,335,000 | 63,029,429 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(10) | 4,127,096,190 | 19.3 | % | |||||||||
Total Financials | ||||||||||||
(Cost $4,173,203,990) | 4,295,745,977 | 20.1 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $9,927,191,653) | 10,260,911,557 | 48.1 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(10) | 119,478,525 | 0.6 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $113,300,129) | 119,478,525 | 0.6 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 5,448 | 5,594 | 0.0 | % | ||||||||
5.000%, 05/01/2021 | 8,993 | 9,205 | 0.0 | % | ||||||||
6.000%, 06/01/2021 | 3,078 | 3,155 | 0.0 | % | ||||||||
3.000%, 05/01/2027 | 4,507,451 | 4,615,654 | 0.0 | % | ||||||||
6.500%, 12/01/2028 | 12,738 | 14,314 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 5,287 | 5,909 | 0.0 | % | ||||||||
3.000%, 10/01/2030 | 33,341,378 | 34,121,900 | 0.2 | % | ||||||||
3.000%, 02/01/2032 | 50,527,766 | 51,712,610 | 0.2 | % | ||||||||
3.500%, 05/01/2032 | 24,739,684 | 25,675,769 | 0.1 | % | ||||||||
3.500%, 01/01/2034 | 24,667,860 | 25,598,526 | 0.1 | % | ||||||||
5.000%, 03/01/2036 | 4,668,431 | 5,108,939 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 39
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
5.500%, 04/01/2037 | $ | 99,709 | $ | 110,769 | 0.0 | % | ||||||
5.500%, 04/01/2038 | 62,276 | 68,925 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 103,664 | 112,655 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 16,528,495 | 18,369,633 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 2,842,583 | 3,054,872 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 5,408,368 | 5,812,603 | 0.0 | % | ||||||||
4.000%, 10/01/2040 | 21,785,577 | 22,990,418 | 0.1 | % | ||||||||
4.000%, 01/01/2041 | 15,361,522 | 16,211,080 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 10,546,960 | 10,956,883 | 0.1 | % | ||||||||
3.500%, 07/01/2042 | 61,351,562 | 63,734,166 | 0.3 | % | ||||||||
3.000%, 08/01/2042 | 20,412,819 | 20,777,198 | 0.1 | % | ||||||||
3.500%, 09/01/2042 | 13,839,732 | 14,381,941 | 0.1 | % | ||||||||
3.000%, 11/01/2042 | 47,951,159 | 48,924,052 | 0.2 | % | ||||||||
3.500%, 12/01/2042 | 21,909,265 | 22,760,437 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 35,269,760 | 35,897,553 | 0.2 | % | ||||||||
3.000%, 02/01/2043 | 6,767,616 | 6,888,432 | 0.0 | % | ||||||||
3.500%, 02/01/2043 | 14,251,797 | 14,795,044 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 15,916,936 | 16,200,744 | 0.1 | % | ||||||||
3.000%, 04/01/2043 | 26,023,073 | 26,517,361 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 11,239,823 | 11,431,782 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 25,655,107 | 26,113,147 | 0.1 | % | ||||||||
3.500%, 05/01/2044 | 13,423,992 | 13,987,198 | 0.1 | % | ||||||||
3.500%, 08/01/2044 | 56,925,516 | 59,078,548 | 0.3 | % | ||||||||
4.000%, 09/01/2044 | 13,659,180 | 14,308,356 | 0.1 | % | ||||||||
4.000%, 10/01/2044 | 20,517,760 | 21,625,494 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 23,038,592 | 23,931,722 | 0.1 | % | ||||||||
4.000%, 02/01/2045 | 14,366,467 | 15,035,987 | 0.1 | % | ||||||||
3.500%, 06/01/2045 | 26,344,647 | 27,450,530 | 0.1 | % | ||||||||
3.000%, 10/01/2045 | 34,170,221 | 34,779,972 | 0.2 | % | ||||||||
4.000%, 10/01/2045 | 21,875,262 | 22,894,789 | 0.1 | % | ||||||||
3.500%, 12/01/2045 | 27,175,908 | 28,063,171 | 0.1 | % | ||||||||
4.000%, 12/01/2045 | 8,829,198 | 9,240,706 | 0.0 | % | ||||||||
3.500%, 01/01/2046 | 54,109,598 | 56,109,472 | 0.3 | % | ||||||||
4.000%, 02/01/2046 | 11,939,511 | 12,498,101 | 0.1 | % | ||||||||
3.500%, 03/01/2046 | 6,879,325 | 7,168,042 | 0.0 | % | ||||||||
3.500%, 08/01/2046 | 81,210,627 | 84,603,847 | 0.4 | % | ||||||||
4.000%, 08/01/2046 | 13,399,088 | 14,122,407 | 0.1 | % | ||||||||
3.000%, 10/01/2046(9) | 164,917,761 | 168,050,416 | 0.8 | % | ||||||||
4.500%, 11/01/2046 | 77,105,774 | 82,798,706 | 0.4 | % | ||||||||
4.000%, 01/01/2047 | 46,371,856 | 49,101,026 | 0.2 | % | ||||||||
3.000%, 05/01/2047 | 78,809,973 | 80,168,389 | 0.4 | % | ||||||||
3.500%, 08/01/2047 | 25,273,454 | 26,205,419 | 0.1 | % | ||||||||
4.000%, 06/01/2048 | 69,064,009 | 73,565,766 | 0.3 | % | ||||||||
4.000%, 08/01/2048 | 42,251,630 | 44,266,625 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 40
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | $ | 4,495 | $ | 4,599 | 0.0 | % | ||||||
3.000%, 04/01/2027 | 8,395,473 | 8,592,041 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 12,894,944 | 13,009,979 | 0.1 | % | ||||||||
5.000%, 05/01/2028 | 33,648 | 35,564 | 0.0 | % | ||||||||
6.500%, 09/01/2028 | 9,103 | 10,262 | 0.0 | % | ||||||||
6.500%, 02/01/2029 | 21,242 | 24,086 | 0.0 | % | ||||||||
3.000%, 07/01/2029 | 18,264,231 | 18,669,485 | 0.1 | % | ||||||||
4.500%, 07/01/2030 | 3,870,921 | 4,120,834 | 0.0 | % | ||||||||
3.000%, 08/01/2030 | 26,585,248 | 27,193,064 | 0.1 | % | ||||||||
4.000%, 11/01/2031 | 17,664,173 | 18,452,726 | 0.1 | % | ||||||||
3.500%, 01/01/2032 | 43,354,498 | 44,964,178 | 0.2 | % | ||||||||
5.500%, 01/01/2032 | 8,842 | 9,564 | 0.0 | % | ||||||||
2.500%, 07/01/2032 | 27,131,558 | 27,383,632 | 0.1 | % | ||||||||
3.500%, 09/01/2033 | 66,411,398 | 69,301,565 | 0.3 | % | ||||||||
5.000%, 09/01/2033 | 12,130,903 | 13,208,808 | 0.1 | % | ||||||||
4.500%, 10/01/2033 | 22,071,860 | 23,571,529 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 105,896,280 | 108,592,962 | 0.5 | % | ||||||||
4.000%, 01/01/2034 | 12,336,133 | 12,992,867 | 0.1 | % | ||||||||
5.500%, 04/01/2034 | 673,902 | 748,392 | 0.0 | % | ||||||||
4.000%, 09/01/2034 | 17,977,611 | 18,934,242 | 0.1 | % | ||||||||
5.500%, 09/01/2034 | 30,097 | 33,430 | 0.0 | % | ||||||||
5.000%, 02/01/2035 | 28,239,248 | 30,721,278 | 0.1 | % | ||||||||
5.500%, 02/01/2035 | 26,631 | 29,580 | 0.0 | % | ||||||||
5.000%, 04/01/2035 | 1,193,073 | 1,304,209 | 0.0 | % | ||||||||
5.000%, 07/01/2035 | 3,456,203 | 3,777,513 | 0.0 | % | ||||||||
5.000%, 02/01/2036 | 2,141,324 | 2,341,462 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 976,550 | 1,067,781 | 0.0 | % | ||||||||
5.500%, 04/01/2036 | 3,155,661 | 3,504,708 | 0.0 | % | ||||||||
4.000%, 05/01/2037 | 66,556,579 | 69,591,620 | 0.3 | % | ||||||||
3.500%, 08/01/2037 | 42,791,156 | 43,973,736 | 0.2 | % | ||||||||
2.500%, 04/01/2038 | 68,691,957 | 69,118,137 | 0.3 | % | ||||||||
6.000%, 05/01/2038 | 5,023,403 | 5,696,967 | 0.0 | % | ||||||||
4.000%, 06/01/2039 | 11,349,849 | 11,941,369 | 0.1 | % | ||||||||
5.000%, 06/01/2039 | 15,051,029 | 16,452,975 | 0.1 | % | ||||||||
4.500%, 01/01/2040 | 11,345,786 | 12,176,223 | 0.1 | % | ||||||||
5.000%, 06/01/2040 | 12,897,104 | 13,920,377 | 0.1 | % | ||||||||
4.000%, 08/01/2040 | 1,045,860 | 1,102,950 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 16,899,042 | 18,150,193 | 0.1 | % | ||||||||
4.000%, 10/01/2040 | 1,828,286 | 1,927,884 | 0.0 | % | ||||||||
4.000%, 11/01/2040 | 19,388,309 | 20,447,664 | 0.1 | % | ||||||||
4.000%, 12/01/2040 | 3,887,167 | 4,124,011 | 0.0 | % | ||||||||
3.500%, 01/01/2041 | 2,057,753 | 2,129,073 | 0.0 | % | ||||||||
4.000%, 01/01/2041 | 4,009,736 | 4,228,840 | 0.0 | % | ||||||||
3.500%, 02/01/2041 | 2,354,311 | 2,430,351 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
4.000%, 02/01/2041 | $ | 396,061 | $ | 417,703 | 0.0 | % | ||||||
4.500%, 02/01/2041 | 52,781,451 | 56,535,619 | 0.3 | % | ||||||||
3.500%, 03/01/2041 | 16,064,938 | 16,574,291 | 0.1 | % | ||||||||
4.000%, 03/01/2041 | 7,164,760 | 7,555,989 | 0.0 | % | ||||||||
4.500%, 07/01/2041 | 5,253,614 | 5,642,422 | 0.0 | % | ||||||||
3.500%, 09/01/2041 | 33,342,038 | 34,438,677 | 0.2 | % | ||||||||
4.000%, 09/01/2041 | 3,200,347 | 3,375,163 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 17,401,101 | 18,066,220 | 0.1 | % | ||||||||
3.500%, 12/01/2041 | 3,156,822 | 3,277,478 | 0.0 | % | ||||||||
4.000%, 12/01/2041 | 14,606,612 | 15,404,889 | 0.1 | % | ||||||||
4.000%, 01/01/2042 | 27,099,271 | 28,577,007 | 0.1 | % | ||||||||
4.500%, 01/01/2042 | 10,783,401 | 11,580,828 | 0.1 | % | ||||||||
4.000%, 02/01/2042 | 23,955,378 | 25,263,485 | 0.1 | % | ||||||||
3.000%, 05/01/2042 | 3,687,513 | 3,751,038 | 0.0 | % | ||||||||
3.500%, 05/01/2042 | 17,999,207 | 18,687,209 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 6,946,911 | 7,212,466 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 115,142,792 | 119,539,062 | 0.6 | % | ||||||||
3.500%, 08/01/2042 | 11,055,642 | 11,469,227 | 0.1 | % | ||||||||
3.500%, 09/01/2042 | 18,061,091 | 18,751,503 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 18,319,757 | 18,725,968 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 6,925,352 | 7,044,677 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 2,292,168 | 2,331,498 | 0.0 | % | ||||||||
3.000%, 05/01/2043 | 35,137,418 | 35,762,156 | 0.2 | % | ||||||||
3.500%, 05/01/2043 | 17,684,593 | 18,360,395 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 29,376,021 | 29,882,187 | 0.1 | % | ||||||||
3.500%, 06/01/2043 | 9,081,664 | 9,543,636 | 0.0 | % | ||||||||
3.000%, 07/01/2043 | 22,720,491 | 23,123,213 | 0.1 | % | ||||||||
4.000%, 07/01/2043 | 31,820,269 | 33,555,481 | 0.2 | % | ||||||||
3.000%, 08/01/2043 | 8,301,527 | 8,444,571 | 0.0 | % | ||||||||
3.500%, 09/01/2043 | 39,092,984 | 40,583,531 | 0.2 | % | ||||||||
4.500%, 09/01/2043 | 7,588,235 | 8,149,306 | 0.0 | % | ||||||||
4.000%, 01/01/2045 | 14,994,472 | 15,706,451 | 0.1 | % | ||||||||
3.500%, 02/01/2045 | 52,201,995 | 54,193,395 | 0.3 | % | ||||||||
4.000%, 02/01/2045 | 49,699,546 | 52,301,034 | 0.2 | % | ||||||||
4.000%, 03/01/2045 | 11,299,472 | 11,902,031 | 0.1 | % | ||||||||
4.000%, 11/01/2045 | 51,166,082 | 53,516,560 | 0.2 | % | ||||||||
3.500%, 12/01/2045 | 41,606,185 | 42,873,899 | 0.2 | % | ||||||||
4.000%, 12/01/2045 | 63,271,427 | 66,178,404 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 31,901,815 | 34,250,994 | 0.2 | % | ||||||||
4.500%, 08/01/2046 | 33,491,890 | 35,624,140 | 0.2 | % | ||||||||
3.000%, 10/01/2046 | 28,952,104 | 29,450,829 | 0.1 | % | ||||||||
3.500%, 11/01/2046 | 34,325,713 | 35,402,894 | 0.2 | % | ||||||||
4.000%, 02/01/2047(9) | 26,241,570 | 27,436,682 | 0.1 | % | ||||||||
4.000%, 11/01/2047 | 19,336,443 | 20,128,240 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | $ | 16,038 | $ | 17,909 | 0.0 | % | ||||||
6.500%, 01/20/2029 | 8,771 | 10,032 | 0.0 | % | ||||||||
6.000%, 11/20/2033 | 11,820 | 13,551 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 627,456 | 689,847 | 0.0 | % | ||||||||
4.000%, 08/20/2041 | 5,710,246 | 6,047,466 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 10,328,366 | 10,797,114 | 0.1 | % | ||||||||
4.000%, 12/20/2041 | 7,459,262 | 7,899,642 | 0.0 | % | ||||||||
4.000%, 02/20/2042 | 14,536,674 | 15,396,219 | 0.1 | % | ||||||||
4.000%, 06/20/2042 | 12,200,235 | 12,917,631 | 0.1 | % | ||||||||
3.500%, 09/20/2042 | 8,127,295 | 8,481,798 | 0.0 | % | ||||||||
4.000%, 09/20/2044 | 42,252,635 | 44,553,659 | 0.2 | % | ||||||||
3.000%, 04/20/2045 | 16,836,230 | 17,235,651 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 23,166,286 | 24,028,528 | 0.1 | % | ||||||||
4.000%, 05/20/2045 | 17,914,215 | 18,887,422 | 0.1 | % | ||||||||
3.500%, 06/20/2045 | 21,994,269 | 22,801,612 | 0.1 | % | ||||||||
3.500%, 10/20/2045 | 74,095,369 | 76,988,301 | 0.4 | % | ||||||||
4.500%, 01/20/2046 | 17,143,042 | 18,157,007 | 0.1 | % | ||||||||
4.000%, 05/20/2046 | 9,534,745 | 10,018,518 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 32,816,093 | 34,454,270 | 0.2 | % | ||||||||
4.500%, 07/20/2047 | 22,423,578 | 23,542,988 | 0.1 | % | ||||||||
3.500%, 02/20/2048 | 44,275,962 | 45,737,774 | 0.2 | % | ||||||||
Other U.S. Government Agency Issues(9)(10) | 83,352 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $3,701,586,038) | 3,771,401,408 | 17.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057(2) | 62,343,689 | 64,406,267 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(6)(7)(10) | 920,309,400 | 4.3 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $973,056,000) | 984,715,667 | 4.6 | % | |||||||||
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 | 64,407,000 | 67,103,019 | 0.3 | % | ||||||||
Series K725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 15,538,319 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 70,648,807 | 0.3 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 53,680,000 | 56,658,897 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,951,000 | 87,898,604 | 0.4 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 47,456,541 | 0.2 | % | ||||||||
Series K061, Class A2, 3.347%, 11/25/2026(4) | 57,140,000 | 60,842,346 | 0.3 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 17,627,119 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: (cont.) | ||||||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | $ | 18,449,000 | $ | 20,384,964 | 0.1 | % | ||||||
Series K158, Class A3, 3.900%, 10/25/2033(4) | 18,777,000 | 20,968,995 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 30,801,344 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $477,507,786) | 495,928,955 | 2.3 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 60,056,751 | 63,545,796 | 0.3 | % | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 50,189,111 | 51,944,475 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 907,739,398 | 4.3 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,003,661,733) | 1,023,229,669 | 4.8 | % | |||||||||
Asset Backed Securities | ||||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 74,240,000 | 74,023,591 | 0.3 | % | ||||||||
Other Asset Backed Securities(2)(10) | 312,670,822 | 1.5 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $380,719,678) | 386,694,413 | 1.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $20,052,787,981) | 20,680,185,163 | 96.9 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 2.32%(5) | 763,569,475 | 763,569,475 | 3.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $763,569,475) | 763,569,475 | 3.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $20,816,357,456) | 21,443,754,638 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (91,330,865 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 21,352,423,773 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $3,958,852,043 which represents 18.54% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Page 44
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(4) | Variable rate security, or group of securities contain a 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, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2019. |
(8) | Security in default, or group of securities contain a security in default. |
(9) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(10) | 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, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 45
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 3,379,353,348 | $ | — | $ | 3,379,353,348 | ||||||||
Other Government Related Securities | — | 258,471,621 | — | 258,471,621 | ||||||||||||
Corporate Bonds | — | 10,260,911,557 | — | 10,260,911,557 | ||||||||||||
Municipal Bonds | — | 119,478,525 | — | 119,478,525 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 3,771,401,408 | — | 3,771,401,408 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 984,715,667 | — | 984,715,667 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 495,928,955 | — | 495,928,955 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,023,229,669 | — | 1,023,229,669 | ||||||||||||
Asset Backed Securities | — | 386,694,413 | — | 386,694,413 | ||||||||||||
Total Long-Term Investments | — | 20,680,185,163 | — | 20,680,185,163 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 763,569,475 | — | — | 763,569,475 | ||||||||||||
Total Short-Term Investment | 763,569,475 | — | — | 763,569,475 | ||||||||||||
Total Investments | $ | 763,569,475 | $ | 20,680,185,163 | $ | — | $ | 21,443,754,638 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 46
Baird Short-Term Municipal Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $497,225,508 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.81% | |||
Investor Class | 1.56% | |||
Average | ||||
Effective | ||||
Duration | 2.49 years | |||
Average | ||||
Effective | ||||
Maturity | 2.79 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
| Ratio(5) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 39% | |||
Number of | ||||
Holdings | 1,228 | |||
(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, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 47
Baird Short-Term Municipal Bond Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Three | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Inception(1) |
Institutional Class Shares | 2.62% | 3.81% | 2.05% | 2.31% |
Investor Class Shares | 2.60% | 3.66% | 1.80% | 2.04% |
Bloomberg Barclays Short (1-5 Year) | ||||
Municipal Bond Index(2) | 2.46% | 3.48% | 1.51% | 1.64% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2019. |
(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 48
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Other Alabama(1)(7) | $ | 4,975,907 | 1.0 | % | ||||||||
Total Alabama | �� | |||||||||||
(Cost $4,912,321) | 4,975,907 | 1.0 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(7) | 2,303,639 | 0.5 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $2,260,011) | 2,303,639 | 0.5 | % | |||||||||
Arizona | ||||||||||||
Other Arizona(1)(2)(7) | 5,109,265 | 1.0 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $5,043,610) | 5,109,265 | 1.0 | % | |||||||||
Arkansas | ||||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | $ | 1,925,000 | 2,004,464 | 0.4 | % | |||||||
Other Arkansas(6)(7) | 9,486,607 | 1.9 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $11,196,077) | 11,491,071 | 2.3 | % | |||||||||
California | ||||||||||||
California Health Facilities Financing Authority, | ||||||||||||
1.000%, 08/15/2053 | ||||||||||||
(Mandatory Tender Date 08/15/2019)(1) | 2,000,000 | 1,998,240 | 0.4 | % | ||||||||
Department of Veterans Affairs Veteran’s | ||||||||||||
Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 2,500,000 | 2,728,325 | 0.6 | % | ||||||||
Other California(1)(2)(5)(7) | 11,008,420 | 2.2 | % | |||||||||
Total California | ||||||||||||
(Cost $15,437,087) | 15,734,985 | 3.2 | % |
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, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado | ||||||||||||
Colorado Health Facilities Authority, | ||||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | $ | 1,535,000 | $ | 1,617,046 | 0.3 | % | ||||||
Other Colorado(1)(2)(7) | 11,493,261 | 2.3 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $12,901,263) | 13,110,307 | 2.6 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,600,000 | 1,769,936 | 0.3 | % | ||||||||
Other Connecticut(1)(2)(7) | 8,826,156 | 1.8 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $10,394,076) | 10,596,092 | 2.1 | % | |||||||||
Delaware | ||||||||||||
Other Delaware(7) | 431,580 | 0.1 | % | |||||||||
Total Delaware | ||||||||||||
(Cost $423,941) | 431,580 | 0.1 | % | |||||||||
District of Columbia | ||||||||||||
Other District of Columbia(1)(7) | 1,900,993 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $1,863,128) | 1,900,993 | 0.4 | % | |||||||||
Florida | ||||||||||||
City of Jacksonville FL: | ||||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019) | ||||||||||||
(Optional Put Date 07/05/2019)(1) | 2,000,000 | 2,000,000 | 0.4 | % | ||||||||
Other Florida(1)(2)(7) | 22,260,548 | 4.5 | % | |||||||||
Total Florida | ||||||||||||
(Cost $24,067,083) | 24,260,548 | 4.9 | % | |||||||||
Georgia | ||||||||||||
Bartow County Development Authority, | ||||||||||||
2.750%, 12/01/2032 | ||||||||||||
(Mandatory Tender Date 03/15/2023)(1) | 2,000,000 | 2,051,180 | 0.4 | % | ||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2022 | 180,000 | 194,956 | 0.0 | % | ||||||||
2.440%, 08/01/2048 | ||||||||||||
(1 Month LIBOR USD + 0.830%) (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(2) | 2,000,000 | 1,982,600 | 0.4 | % | ||||||||
4.000%, 08/01/2048 (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(1) | 620,000 | 677,369 | 0.1 | % | ||||||||
4.000%, 08/01/2049 (Callable 09/01/2024) | ||||||||||||
(Mandatory Tender Date 12/02/2024)(1) | 2,450,000 | 2,717,809 | 0.6 | % | ||||||||
Other Georgia(1)(7) | 7,200,678 | 1.5 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $14,683,185) | 14,824,592 | 3.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 50
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Idaho | ||||||||||||
University of Idaho, | ||||||||||||
5.250%, 04/01/2041 | ||||||||||||
(Mandatory Tender Date 04/01/2021)(1) | $ | 2,435,000 | $ | 2,579,444 | 0.5 | % | ||||||
Total Idaho | ||||||||||||
(Cost $2,608,041) | 2,579,444 | 0.5 | % | |||||||||
Illinois | ||||||||||||
Illinois Finance Authority, | ||||||||||||
1.750%, 07/01/2042 | ||||||||||||
(Mandatory Tender Date 05/06/2020)(1) | 1,910,000 | 1,909,656 | 0.4 | % | ||||||||
Illinois Housing Development Authority, | ||||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 2,000,000 | 2,192,720 | 0.4 | % | ||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 100,000 | 99,809 | 0.0 | % | ||||||||
5.000%, 04/01/2020 | 40,000 | 40,975 | 0.0 | % | ||||||||
4.000%, 06/15/2020 | 100,000 | 101,973 | 0.0 | % | ||||||||
5.000%, 06/15/2020 | 485,000 | 499,123 | 0.1 | % | ||||||||
5.000%, 08/01/2020 | 3,000,000 | 3,105,510 | 0.6 | % | ||||||||
4.000%, 06/15/2021 | 35,000 | 36,238 | 0.0 | % | ||||||||
5.000%, 01/01/2022 (Callable 01/01/2020) | 105,000 | 106,524 | 0.0 | % | ||||||||
6.500%, 06/15/2022 | 260,000 | 271,034 | 0.1 | % | ||||||||
5.000%, 06/15/2023 | 670,000 | 734,092 | 0.2 | % | ||||||||
5.500%, 07/01/2024 (Callable 07/01/2023) | 835,000 | 931,267 | 0.2 | % | ||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 100,000 | 107,556 | 0.0 | % | ||||||||
5.000%, 10/01/2024 | 525,000 | 591,990 | 0.1 | % | ||||||||
3.750%, 06/15/2025 (Callable 06/15/2021) | 190,000 | 194,129 | 0.0 | % | ||||||||
5.000%, 06/15/2025 (Callable 06/15/2023) | 1,500,000 | 1,637,790 | 0.3 | % | ||||||||
4.000%, 06/15/2026 (Callable 06/15/2021) | 315,000 | 323,111 | 0.1 | % | ||||||||
5.000%, 05/01/2028 (Callable 05/01/2024) | 520,000 | 571,704 | 0.1 | % | ||||||||
Other Illinois(1)(2)(7) | 48,420,043 | 9.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $60,970,429) | 61,875,244 | 12.4 | % | |||||||||
Indiana | ||||||||||||
Noblesville Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2021 (Insured by ST) | 2,160,000 | 2,287,699 | 0.5 | % | ||||||||
Other Indiana(1)(2)(6)(7) | 13,464,840 | 2.7 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $15,599,937) | 15,752,539 | 3.2 | % | |||||||||
Iowa | ||||||||||||
Iowa Finance Authority: | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027) | ||||||||||||
(Insured by GNMA) | 1,975,000 | 2,156,077 | 0.4 | % | ||||||||
Other Iowa(1)(5)(7) | 2,203,485 | 0.5 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $4,260,879) | 4,359,562 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 51
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kansas | ||||||||||||
City of Washington KS, | ||||||||||||
2.000%, 12/01/2022 (Callable 12/01/2020) | $ | 1,860,000 | $ | 1,871,141 | 0.4 | % | ||||||
Other Kansas(1)(2)(7) | 2,802,354 | 0.5 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $4,611,530) | 4,673,495 | 0.9 | % | |||||||||
Kentucky | ||||||||||||
Other Kentucky(1)(7) | 5,505,421 | 1.1 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $5,425,173) | 5,505,421 | 1.1 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 2,005,000 | 2,457,107 | 0.5 | % | ||||||||
Other Louisiana(7) | 4,282,178 | 0.9 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $6,572,555) | 6,739,285 | 1.4 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority, | ||||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 1,625,000 | 1,767,317 | 0.3 | % | ||||||||
Other Maine(7) | 451,120 | 0.1 | % | |||||||||
Total Maine | ||||||||||||
(Cost $2,177,465) | 2,218,437 | 0.4 | % | |||||||||
Maryland | ||||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM) (Insured by AMBAC) | 2,510,000 | 2,905,450 | 0.6 | % | ||||||||
Other Maryland(7) | 1,268,046 | 0.2 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $4,065,741) | 4,173,496 | 0.8 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
2.400%, 12/01/2023 | ||||||||||||
(Mandatory Tender Date 12/01/2021)(1) | 1,745,000 | 1,771,245 | 0.4 | % | ||||||||
4.000%, 12/01/2048 | ||||||||||||
(Callable 06/01/2027) (Insured by GNMA) | 1,665,000 | 1,787,517 | 0.4 | % | ||||||||
Massachusetts Transportation Trust Fund | ||||||||||||
Metropolitan Highway System Revenue, | ||||||||||||
5.000%, 01/01/2039 | ||||||||||||
(Mandatory Tender Date 01/01/2023)(1) | 2,730,000 | 3,053,150 | 0.6 | % | ||||||||
Other Massachusetts(1)(2)(7) | 2,624,175 | 0.5 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $9,080,394) | 9,236,087 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 52
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Michigan | ||||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 07/01/2025 | ||||||||||||
(Callable 07/01/2024) (Insured by AGM) | $ | 1,475,000 | $ | 1,723,065 | 0.4 | % | ||||||
Other Michigan(1)(2)(7) | 14,533,017 | 2.9 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $16,000,718) | 16,256,082 | 3.3 | % | |||||||||
Minnesota | ||||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019 (Callable 07/29/2019) | 2,000,000 | 2,000,660 | 0.4 | % | ||||||||
Other Minnesota(1)(5)(7) | 8,906,173 | 1.8 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $10,770,887) | 10,906,833 | 2.2 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Home Corp., | ||||||||||||
2.400%, 02/01/2022 (Pre-refunded to 8/01/2021)(1) | 2,000,000 | 2,040,040 | 0.4 | % | ||||||||
Other Mississippi(1)(2)(6)(7) | 2,330,441 | 0.5 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $4,312,499) | 4,370,481 | 0.9 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(1)(5)(7) | 3,404,264 | 0.7 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $3,330,040) | 3,404,264 | 0.7 | % | |||||||||
Montana | ||||||||||||
Other Montana(7) | 2,617,657 | 0.5 | % | |||||||||
Total Montana | ||||||||||||
(Cost $2,566,519) | 2,617,657 | 0.5 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska(1)(7) | 3,156,788 | 0.6 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $3,077,582) | 3,156,788 | 0.6 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(7) | 1,298,916 | 0.3 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $1,265,015) | 1,298,916 | 0.3 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 2,070,000 | 2,078,611 | 0.4 | % | ||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 1,500,000 | 1,669,170 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other New Jersey(1)(7) | $ | 9,944,421 | 2.0 | % | ||||||||
Total New Jersey | ||||||||||||
(Cost $13,478,212) | 13,692,202 | 2.7 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
4.250%, 01/01/2050 | ||||||||||||
(Callable 07/01/2028) (Insured by GNMA) | $ | 2,950,000 | 3,219,571 | 0.6 | % | |||||||
Other New Mexico(1)(2)(7) | 2,814,791 | 0.6 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $5,963,890) | 6,034,362 | 1.2 | % | |||||||||
New York | ||||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057 (Callable 08/01/2020) | ||||||||||||
(Mandatory Tender Date 12/31/2021)(1) | 1,775,000 | 1,783,112 | 0.3 | % | ||||||||
Other New York(1)(2)(3)(7) | 5,383,804 | 1.1 | % | |||||||||
Total New York | ||||||||||||
(Cost $7,093,748) | 7,166,916 | 1.4 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Medical Care Commission, | ||||||||||||
2.200%, 12/01/2048 (Callable 06/01/2022) | ||||||||||||
(Mandatory Tender Date 12/01/2022)(1) | 1,845,000 | 1,865,000 | 0.4 | % | ||||||||
Other North Carolina(1)(7) | 4,954,411 | 1.0 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $6,718,591) | 6,819,411 | 1.4 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020)(6) | 2,000,000 | 1,999,720 | 0.4 | % | ||||||||
City of Williston ND, | ||||||||||||
4.500%, 11/01/2026 (Callable 11/01/2023) | 2,150,000 | 2,334,943 | 0.5 | % | ||||||||
Other North Dakota(6)(7) | 6,002,006 | 1.2 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $10,151,234) | 10,336,669 | 2.1 | % | |||||||||
Ohio | ||||||||||||
Other Ohio(1)(2)(7) | 13,993,688 | 2.8 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $13,854,702) | 13,993,688 | 2.8 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(1)(2)(7) | 5,381,912 | 1.1 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $5,297,143) | 5,381,912 | 1.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 54
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Oregon | ||||||||||||
State of Oregon Housing & | ||||||||||||
Community Services Department: | ||||||||||||
2.200%, 12/01/2021 | ||||||||||||
(Mandatory Tender Date 12/01/2020)(1) | $ | 2,450,000 | $ | 2,467,297 | 0.5 | % | ||||||
4.500%, 01/01/2049 (Callable 07/01/2027) | 1,480,000 | 1,616,530 | 0.3 | % | ||||||||
Other Oregon(1)(7) | 3,618,244 | 0.7 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $7,614,256) | 7,702,071 | 1.5 | % | |||||||||
Pennsylvania | ||||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
2.450%, 07/01/2022 | ||||||||||||
(Mandatory Tender Date 07/01/2021)(1) | 2,500,000 | 2,529,000 | 0.5 | % | ||||||||
Other Pennsylvania(1)(2)(6)(7) | 17,734,632 | 3.6 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $20,116,588) | 20,263,632 | 4.1 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(7) | 2,232,707 | 0.4 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $2,155,565) | 2,232,707 | 0.4 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(7) | 335,102 | 0.1 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $328,557) | 335,102 | 0.1 | % | |||||||||
South Carolina | ||||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
6.500%, 08/01/2039 | ||||||||||||
(Pre-refunded to 08/01/2021) (Insured by AGM) | 1,550,000 | 1,714,222 | 0.4 | % | ||||||||
1.390%, 05/01/2048 (Callable 06/28/2019) | ||||||||||||
(Optional Put Date 07/05/2019)(1) | 2,000,000 | 2,000,000 | 0.4 | % | ||||||||
South Carolina State Housing | ||||||||||||
Finance & Development Authority, | ||||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 2,415,000 | 2,665,387 | 0.5 | % | ||||||||
Other South Carolina(1)(7) | 5,653,194 | 1.1 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $11,853,431) | 12,032,803 | 2.4 | % | |||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency, | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,850,000 | 1,888,073 | 0.4 | % | ||||||||
Other Tennessee(1)(7) | 5,850,744 | 1.2 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $7,668,247) | 7,738,817 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 55
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Texas | ||||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 | ||||||||||||
(Pre-refunded to 2/15/2022) (PSF Guaranteed)(1) | $ | 1,765,000 | $ | 1,909,537 | 0.4 | % | ||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 1,610,000 | 1,985,645 | 0.4 | % | ||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2041 | ||||||||||||
(Pre-refunded to 08/15/2024) (PSF Guaranteed) | 8,235,000 | 3,313,988 | 0.7 | % | ||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 | ||||||||||||
(Mandatory Tender Date 08/01/2021) | ||||||||||||
(PSF Guaranteed)(1) | 3,765,000 | 3,835,067 | 0.8 | % | ||||||||
North East Independent School District/TX, | ||||||||||||
1.420%, 08/01/2040 (Callable 08/01/2019) | ||||||||||||
(Mandatory Tender Date 08/01/2021) (PSF Guaranteed)(1) | 1,747,000 | 1,737,863 | 0.4 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 3,000,000 | 3,505,380 | 0.7 | % | ||||||||
Wink-Loving Independent School District: | ||||||||||||
5.000%, 02/15/2026 | ||||||||||||
(Callable 02/15/2023) (PSF Guaranteed) | 1,970,000 | 2,212,271 | 0.4 | % | ||||||||
5.000%, 02/15/2027 | ||||||||||||
(Callable 02/15/2023) (PSF Guaranteed) | 2,350,000 | 2,636,347 | 0.5 | % | ||||||||
Other Texas(1)(2)(6)(7) | 52,228,940 | 10.5 | % | |||||||||
Total Texas | ||||||||||||
(Cost $72,314,902) | 73,365,038 | 14.8 | % | |||||||||
Utah | ||||||||||||
Other Utah(1)(7) | 880,925 | 0.2 | % | |||||||||
Total Utah | ||||||||||||
(Cost $865,400) | 880,925 | 0.2 | % | |||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency, | ||||||||||||
4.000%, 11/01/2049 | ||||||||||||
(Callable 05/01/2028) (Insured by GNMA)(6) | 2,515,000 | 2,787,576 | 0.6 | % | ||||||||
Other Vermont(6)(7) | 2,484,018 | 0.5 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $5,222,820) | 5,271,594 | 1.1 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(7) | 102,892 | 0.0 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $103,373) | 102,892 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 56
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Virginia | ||||||||||||
Other Virginia(1)(7) | $ | 985,099 | 0.2 | % | ||||||||
Total Virginia | ||||||||||||
(Cost $974,956) | 985,099 | 0.2 | % | |||||||||
Washington | ||||||||||||
Other Washington(1)(2)(7) | 3,080,976 | 0.6 | % | |||||||||
Total Washington | ||||||||||||
(Cost $3,038,701) | 3,080,976 | 0.6 | % | |||||||||
West Virginia | ||||||||||||
Other West Virginia(7) | 120,737 | 0.0 | % | |||||||||
Total West Virginia | ||||||||||||
(Cost $120,687) | 120,737 | 0.0 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2025 (Pre-refunded to 05/01/2021) | $ | 5,000,000 | 5,332,550 | 1.1 | % | |||||||
5.000%, 05/01/2026 (Callable 05/01/2023) | 60,000 | 68,341 | 0.0 | % | ||||||||
5.000%, 05/01/2029 (Pre-refunded to 05/01/2022) | 145,000 | 159,987 | 0.0 | % | ||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
3.000%, 12/01/2019 | 575,000 | 578,324 | 0.1 | % | ||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 57,216 | 0.0 | % | ||||||||
2.650%, 11/01/2020 (Callable 11/01/2019) | 1,000,000 | 1,001,540 | 0.2 | % | ||||||||
4.500%, 12/15/2021 (Callable 06/15/2020) | 200,000 | 204,924 | 0.0 | % | ||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 100,000 | 108,007 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 230,000 | 240,460 | 0.1 | % | ||||||||
5.000%, 07/01/2022 | 185,000 | 200,633 | 0.0 | % | ||||||||
4.000%, 09/15/2022 | 200,000 | 209,172 | 0.0 | % | ||||||||
5.000%, 03/01/2023 | 300,000 | 317,904 | 0.1 | % | ||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 335,000 | 364,835 | 0.1 | % | ||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 438,085 | 0.1 | % | ||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 156,597 | 0.0 | % | ||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 378,760 | 0.1 | % | ||||||||
4.500%, 06/01/2025 (Pre-refunded to 06/01/2020) | 500,000 | 514,250 | 0.1 | % | ||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 747,846 | 0.2 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 500,000 | 522,386 | 0.1 | % | ||||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 110,000 | 118,809 | 0.0 | % | ||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 50,000 | 57,232 | 0.0 | % | ||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 375,000 | 427,496 | 0.1 | % | ||||||||
5.000%, 11/15/2043 | ||||||||||||
(Mandatory Tender Date 06/01/2020)(1) | 100,000 | 103,201 | 0.0 | % | ||||||||
Other Wisconsin(1)(7) | 14,627,865 | 3.0 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $26,619,497) | 26,936,420 | 5.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 57
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wyoming | ||||||||||||
Other Wyoming(7) | $ | 1,544,826 | 0.3 | % | ||||||||
Total Wyoming | ||||||||||||
(Cost $1,524,794) | 1,544,826 | 0.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $482,956,480) | 489,881,809 | 98.5 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80%(4) | 3,097,522 | 3,097,522 | 0.6 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,097,522) | 3,097,522 | 0.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $486,054,002) | 492,979,331 | 99.1 | % | |||||||||
Other Assets in Excess of Liabilities | 4,246,177 | 0.9 | % | |||||||||
TOTAL NET ASSETS | $ | 497,225,508 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
BHAC – Berkshire Hathaway Assurance Corp.
GNMA – Ginnie Mae
(1) | Variable rate security, or group of securities contain a 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, 2019. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(3) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $210,519, which represents 0.04% of total net assets. |
(4) | 7-Day Yield. |
(5) | Auction Rate Security, or group of securities contain an auction rate security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
(6) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(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 58
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 489,881,809 | $ | — | $ | 489,881,809 | ||||||||
Total Long-Term Investments | — | 489,881,809 | — | 489,881,809 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,097,522 | — | — | $ | 3,097,522 | |||||||||||
Total Short-Term Investment | 3,097,522 | — | — | 3,097,522 | ||||||||||||
Total Investments | $ | 3,097,522 | $ | 489,881,809 | $ | — | $ | 492,979,331 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 59
Baird Quality Intermediate Municipal Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $1,178,842,830 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.70% | |||
Investor Class | 1.45% | |||
Average | ||||
Effective | ||||
Duration | 4.26 years | |||
Average | ||||
Effective | ||||
Sector Weightings(1) | Maturity | 4.62 years | ||
Annualized | ||||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55%(6) | |||
Portfolio | ||||
Turnover Rate(7) | 19% | |||
Number of | ||||
Holdings | 489 | |||
(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, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 60
Baird Quality Intermediate Municipal Bond Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 3.99% | 5.50% | 2.24% | 3.07% | 3.98% |
Investor Class Shares | 3.77% | 5.19% | 1.99% | 2.81% | 3.72% |
Bloomberg Barclays Quality Intermediate | |||||
Municipal Bond Index(2) | 4.08% | 5.76% | 2.67% | 3.60% | 4.04% |
(1) | For the period from March 30, 2001 (inception date) through June 30, 2019. |
(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 61
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alaska | ||||||||||||
Other Alaska(4) | $ | 2,688,269 | 0.2 | % | ||||||||
Total Alaska | ||||||||||||
(Cost $2,725,572) | 2,688,269 | 0.2 | % | |||||||||
Arizona | ||||||||||||
Other Arizona(4) | 2,126,650 | 0.2 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $2,057,273) | 2,126,650 | 0.2 | % | |||||||||
Arkansas | ||||||||||||
Other Arkansas(4) | 10,249,761 | 0.9 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $9,898,582) | 10,249,761 | 0.9 | % | |||||||||
California | ||||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | $ | 12,380,000 | 12,088,203 | 1.0 | % | |||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) | 6,445,000 | 7,588,408 | 0.6 | % | ||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,822,917 | 0.6 | % | ||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,389,200 | 1.1 | % | ||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,227,331 | 0.1 | % | ||||||||
0.000%, 01/01/2028 (ETM) | 770,000 | 670,216 | 0.1 | % | ||||||||
San Marcos Public Facilities Authority, | ||||||||||||
0.000%, 09/01/2019 (ETM) | 7,495,000 | 7,478,061 | 0.6 | % | ||||||||
Other California(4) | 22,014,507 | 1.9 | % | |||||||||
Total California | ||||||||||||
(Cost $67,408,266) | 71,278,843 | 6.0 | % | |||||||||
Colorado | ||||||||||||
Colorado Health Facilities Authority, | ||||||||||||
0.000%, 07/15/2022 (ETM) | 6,505,000 | 6,218,325 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 62
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | $ | 61,910,000 | $ | 58,996,515 | 5.0 | % | ||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,128,326 | 0.5 | % | ||||||||
Other Colorado(4) | 5,097,239 | 0.4 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $73,226,159) | 76,440,405 | 6.5 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 7,000,000 | 7,617,610 | 0.7 | % | ||||||||
Other Connecticut(4) | 7,055,262 | 0.5 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $14,337,995) | 14,672,872 | 1.2 | % | |||||||||
District of Columbia | ||||||||||||
Other District of Columbia(4) | 1,050,155 | 0.1 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $999,833) | 1,050,155 | 0.1 | % | |||||||||
Florida | ||||||||||||
County of Miami-Dade FL, | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,381,870 | 0.6 | % | ||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022 (ETM) | 6,565,000 | 7,178,140 | 0.6 | % | ||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,445,000 | 9,107,510 | 0.8 | % | ||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,915,000 | 5,300,582 | 0.4 | % | ||||||||
Other Florida(1)(4) | 31,901,219 | 2.8 | % | |||||||||
Total Florida | ||||||||||||
(Cost $58,905,492) | 60,869,321 | 5.2 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,665,000 | 10,756,124 | 0.9 | % | ||||||||
Other Georgia(2)(4) | 12,856,264 | 1.1 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $22,824,863) | 23,612,388 | 2.0 | % | |||||||||
Illinois | ||||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 27,040,000 | 25,365,683 | 2.2 | % | ||||||||
0.000%, 07/15/2025 (ETM) | 50,115,000 | 45,220,268 | 3.8 | % | ||||||||
2.450%, 11/15/2039 | ||||||||||||
(Mandatory Tender Date 03/03/2026)(1) | 1,230,000 | 1,256,544 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 63
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | $ | 1,095,000 | $ | 1,196,528 | 0.1 | % | ||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 2,550,000 | 2,652,791 | 0.2 | % | ||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,825,000 | 7,402,736 | 0.7 | % | ||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,424,244 | 0.1 | % | ||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,123,967 | 0.1 | % | ||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,715,000 | 2,752,874 | 0.2 | % | ||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 760,000 | 795,614 | 0.1 | % | ||||||||
4.000%, 08/01/2048 | ||||||||||||
(Callable 08/01/2027) (Insured by GNMA) | 855,000 | 923,178 | 0.1 | % | ||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,950,000 | 12,005,142 | 1.0 | % | ||||||||
Kendall Kane & Will Counties | ||||||||||||
Community Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 13,254,264 | 1.1 | % | ||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,782,276 | 0.7 | % | ||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,223,512 | 0.5 | % | ||||||||
Other Illinois(1)(4) | 54,062,682 | 4.6 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $175,720,121) | 183,442,303 | 15.6 | % | |||||||||
Indiana | ||||||||||||
Other Indiana(4) | 12,624,523 | 1.1 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $12,133,725) | 12,624,523 | 1.1 | % | |||||||||
Iowa | ||||||||||||
Other Iowa(4) | 11,384,841 | 1.0 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $11,175,941) | 11,384,841 | 1.0 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(4) | 1,705,686 | 0.1 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $1,709,638) | 1,705,686 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 26,700,000 | 32,720,583 | 2.8 | % | ||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 27,818,378 | 2.4 | % | ||||||||
Other Louisiana(4) | 2,683,976 | 0.2 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $58,823,750) | 63,222,937 | 5.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 64
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Maryland | ||||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | $ | 5,790,000 | $ | 6,387,528 | 0.5 | % | ||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,454,889 | 0.2 | % | ||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,385,216 | 1.1 | % | ||||||||
Other Maryland(4) | 4,048,744 | 0.3 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $24,267,855) | 25,276,377 | 2.1 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
4.000%, 12/01/2022 (Pre-refunded to 12/01/2019) | 10,000,000 | 10,111,000 | 0.9 | % | ||||||||
Other Massachusetts(4) | 5,340,714 | 0.4 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $15,336,609) | 15,451,714 | 1.3 | % | |||||||||
Michigan | ||||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 | ||||||||||||
(Callable 05/01/2026) (Insured by Q-SBLF) | 7,255,000 | 8,452,510 | 0.7 | % | ||||||||
Other Michigan(4) | 19,361,246 | 1.7 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $26,677,778) | 27,813,756 | 2.4 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 11,260,000 | 11,728,529 | 1.0 | % | ||||||||
Other Minnesota(4) | 6,227,638 | 0.5 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $17,992,791) | 17,956,167 | 1.5 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(1)(4) | 6,204,000 | 0.5 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $5,933,494) | 6,204,000 | 0.5 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(4) | 10,688,769 | 0.9 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $10,413,109) | 10,688,769 | 0.9 | % | |||||||||
Montana | ||||||||||||
Other Montana(4) | 1,433,565 | 0.1 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,368,430) | 1,433,565 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 65
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nevada | ||||||||||||
Other Nevada(4) | $ | 2,204,760 | 0.2 | % | ||||||||
Total Nevada | ||||||||||||
(Cost $2,117,533) | 2,204,760 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Other New Hampshire(4) | 524,530 | 0.0 | % | |||||||||
Total New Hampshire | ||||||||||||
(Cost $516,436) | 524,530 | 0 | % | |||||||||
New Jersey | ||||||||||||
Other New Jersey(4) | 10,583,748 | 0.9 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $10,328,278) | 10,583,748 | 0.9 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(4) | 5,988,951 | 0.5 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $5,836,147) | 5,988,951 | 0.5 | % | |||||||||
New York | ||||||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | $ | 6,500,000 | 7,782,645 | 0.7 | % | |||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,308,696 | 0.4 | % | ||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,000,000 | 5,847,700 | 0.5 | % | ||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 180,594 | 0.0 | % | ||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,615,639 | 0.4 | % | ||||||||
New York State Urban Development Corp., | ||||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,891,060 | 0.6 | % | ||||||||
Other New York(4) | 22,629,641 | 1.8 | % | |||||||||
Total New York | ||||||||||||
(Cost $50,113,514) | 52,255,975 | 4.4 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 10,435,000 | 10,806,382 | 0.9 | % | ||||||||
6.400%, 01/01/2021 (ETM) | 1,817,000 | 1,903,616 | 0.2 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 12,170,000 | 12,821,703 | 1.1 | % | ||||||||
Other North Carolina(4) | 1,694,447 | 0.1 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $27,174,449) | 27,226,148 | 2.3 | % | |||||||||
North Dakota | ||||||||||||
Other North Dakota(4) | 8,352,780 | 0.7 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $8,210,072) | 8,352,780 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 66
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Ohio | ||||||||||||
State of Ohio, | ||||||||||||
5.000%, 06/15/2021 | $ | 6,740,000 | $ | 7,223,325 | 0.6 | % | ||||||
Other Ohio(4) | 7,995,930 | 0.7 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $14,941,967) | 15,219,255 | 1.3 | % | |||||||||
Oregon | ||||||||||||
Other Oregon(1)(4) | 13,719,993 | 1.2 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $13,639,298) | 13,719,993 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Other Pennsylvania(1)(4) | 19,261,245 | 1.6 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $19,022,543) | 19,261,245 | 1.6 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,490,000 | 6,034,992 | 0.5 | % | ||||||||
6.000%, 08/01/2026 (ETM) (Insured by AGC) | 6,575,000 | 8,413,042 | 0.7 | % | ||||||||
5.500%, 08/01/2027 (ETM) (Insured by AMBAC) | 6,500,000 | 8,278,595 | 0.7 | % | ||||||||
Other Puerto Rico(4) | 1,279,513 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $23,159,885) | 24,006,142 | 2.0 | % | |||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,882,800 | 0.5 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $5,583,390) | 5,882,800 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency: | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 6,623,311 | 0.5 | % | ||||||||
5.375%, 01/01/2025 (ETM) (Insured by NATL) | 5,590,000 | 6,671,833 | 0.6 | % | ||||||||
Other South Carolina(4) | 5,318,288 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $18,096,666) | 18,613,432 | 1.6 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota(4) | 900,631 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $883,179) | 900,631 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 67
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Tennessee | ||||||||||||
Other Tennessee(1)(4) | $ | 10,346,435 | 0.9 | % | ||||||||
Total Tennessee | ||||||||||||
(Cost $10,100,225) | 10,346,435 | 0.9 | % | |||||||||
Texas | ||||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2019 (ETM) (Insured by AGM) | $ | 8,355,000 | 8,307,543 | 0.7 | % | |||||||
5.500%, 12/01/2024 (ETM) (Insured by NATL) | 1,835,000 | 2,141,372 | 0.2 | % | ||||||||
0.000%, 12/01/2026 (ETM) (Insured by AGM) | 50,000 | 43,587 | 0.0 | % | ||||||||
5.500%, 12/01/2029 (ETM) (Insured by NATL) | 16,050,000 | 20,800,800 | 1.8 | % | ||||||||
5.750%, 12/01/2032 (ETM) (Insured by AGM) | 6,715,000 | 9,684,306 | 0.8 | % | ||||||||
Harris County Health Facilities Development Corp., | ||||||||||||
5.750%, 07/01/2027 (ETM) | 4,850,000 | 5,928,398 | 0.5 | % | ||||||||
Tarrant County Health Facilities Development Corp., | ||||||||||||
6.000%, 09/01/2024 (ETM) | 5,340,000 | 6,011,932 | 0.5 | % | ||||||||
Other Texas(1)(4) | 126,684,290 | 10.7 | % | |||||||||
Total Texas | ||||||||||||
(Cost $171,833,428) | 179,602,228 | 15.2 | % | |||||||||
Utah | ||||||||||||
Other Utah(4) | 9,185,454 | 0.8 | % | |||||||||
Total Utah | ||||||||||||
(Cost $8,921,458) | 9,185,454 | 0.8 | % | |||||||||
Vermont | ||||||||||||
Other Vermont(4) | 3,554,334 | 0.3 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $3,516,765) | 3,554,334 | 0.3 | % | |||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 7,000,000 | 7,189,770 | 0.6 | % | ||||||||
Other Virginia(4) | 1,769,943 | 0.2 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $8,992,018) | 8,959,713 | 0.8 | % | |||||||||
Washington | ||||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,040,000 | 5,666,371 | 0.5 | % | ||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 6,005,000 | 6,974,327 | 0.6 | % | ||||||||
5.000%, 08/01/2034 (Callable 08/01/2023) | 2,755,000 | 3,110,781 | 0.2 | % | ||||||||
5.000%, 08/01/2038 (Callable 08/01/2026) | 975,000 | 1,150,597 | 0.1 | % | ||||||||
Washington State Housing Finance Commission, | ||||||||||||
2.550%, 07/01/2022 | ||||||||||||
(Mandatory Tender Date 07/01/2021)(1) | 6,250,000 | 6,323,625 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 68
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Washington(1)(4) | $ | 22,989,304 | 2.0 | % | ||||||||
Total Washington | ||||||||||||
(Cost $44,976,769) | 46,215,005 | 3.9 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin Clean Water | ||||||||||||
Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | $ | 5,305,000 | 6,217,036 | 0.5 | % | |||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,500,000 | 12,305,160 | 1.1 | % | ||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,346,062 | 0.8 | % | ||||||||
Other Wisconsin(4) | 30,709,305 | 2.6 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $57,098,798) | 58,577,563 | 5.0 | % | |||||||||
Wyoming | ||||||||||||
Other Wyoming(4) | 4,154,514 | 0.4 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $4,086,362) | 4,154,514 | 0.4 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,123,086,456) | 1,165,528,938 | 98.9 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80%(3) | 2,917,344 | 2,917,344 | 0.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,917,344) | 2,917,344 | 0.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,126,003,800) | 1,168,446,282 | 99.1 | % | |||||||||
Other Assets in Excess of Liabilities | 10,396,548 | 0.9 | % | |||||||||
TOTAL NET ASSETS | $ | 1,178,842,830 | 100.0 | % |
Notes to Summary Schedule of Investments
AGC – Assured Guaranty Corp.
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
GNMA – Ginnie Mae
NATL – National Public Finance Guarantee Corp.
Q-SBLF – Qualified School Building Loan Fund
(1) | Variable rate security, or group of securities contain a 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, 2019. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(3) | 7-Day Yield. |
(4) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 69
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,165,528,938 | $ | — | $ | 1,165,528,938 | ||||||||
Total Long-Term Investments | — | 1,165,528,938 | — | 1,165,528,938 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,917,344 | — | — | 2,917,344 | ||||||||||||
Total Short-Term Investment | 2,917,344 | — | — | 2,917,344 | ||||||||||||
Total Investments | $ | 2,917,344 | $ | 1,165,528,938 | $ | — | $ | 1,168,446,282 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 70
Baird Core Intermediate Municipal Bond Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $452,726,049 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.06% | |||
Investor Class | 1.80% | |||
Average | ||||
Effective | ||||
Duration | 4.67 years | |||
Average | ||||
Effective | ||||
Maturity | 5.01 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 32% | |||
Number of | ||||
Holdings | 884 | |||
(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, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 71
Baird Core Intermediate Municipal Bond Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Three | Since | |
For the Periods Ended June 30, 2019 | Months | Year | Years | Inception(1) |
Institutional Class Shares | 4.40% | 5.97% | 2.66% | 3.67% |
Investor Class Shares | 4.28% | 5.71% | 2.41% | 3.42% |
Bloomberg Barclays Municipal | ||||
Bond (1-15 Year) Index(2) | 4.40% | 6.12% | 2.29% | 3.17% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2019. |
(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 72
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (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 Part F of Form N-PORT. Shareholders can look up the Fund’s Forms N-CSR or Part F of Form N-PORT on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Other Alabama(1)(7) | $ | 6,843,229 | 1.5 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $6,570,323) | 6,843,229 | 1.5 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(7) | 3,638,577 | 0.8 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $3,663,312) | 3,638,577 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Kyrene Elementary School District No. 28, | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2025) | $ | 1,500,000 | 1,649,610 | 0.4 | % | |||||||
Other Arizona(2)(7) | 5,942,357 | 1.3 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $7,386,851) | 7,591,967 | 1.7 | % | |||||||||
Arkansas | ||||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,925,000 | 2,004,464 | 0.4 | % | ||||||||
Other Arkansas(7) | 12,978,978 | 2.9 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $14,431,178) | 14,983,442 | 3.3 | % | |||||||||
California | ||||||||||||
California Health Facilities Financing Authority, | ||||||||||||
1.000%, 08/15/2053 | ||||||||||||
(Mandatory Tender Date 08/15/2019)(1) | 1,970,000 | 1,968,266 | 0.4 | % | ||||||||
Other California(1)(2)(6)(7) | 20,711,920 | 4.6 | % | |||||||||
Total California | ||||||||||||
(Cost $21,572,200) | 22,680,186 | 5.0 | % | |||||||||
Colorado | ||||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 | ||||||||||||
(Callable 06/01/2025) (Insured by ST) | 2,000,000 | 2,321,340 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 73
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028) | $ | 2,500,000 | $ | 2,753,475 | 0.6 | % | ||||||
Other Colorado(1)(2)(7) | 21,277,034 | 4.7 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $25,327,637) | 26,351,849 | 5.8 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,500,000 | 1,659,315 | 0.4 | % | ||||||||
Other Connecticut(7) | 6,560,419 | 1.4 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $7,918,547) | 8,219,734 | 1.8 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 2,000,000 | 2,295,420 | 0.5 | % | ||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028) | 1,480,000 | 1,957,707 | 0.4 | % | ||||||||
Other District of Columbia(1)(7) | 2,266,033 | 0.5 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $6,151,563) | 6,519,160 | 1.4 | % | |||||||||
Florida | ||||||||||||
City of Jacksonville FL: | ||||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019) | ||||||||||||
(Optional Put Date 07/05/2019)(1) | 2,750,000 | 2,750,000 | 0.6 | % | ||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,606,640 | 0.6 | % | ||||||||
Florida Housing Finance Corp., | ||||||||||||
3.800%, 07/01/2047 | ||||||||||||
(Callable 01/01/2027) (Insured by GNMA) | 2,735,000 | 2,847,162 | 0.6 | % | ||||||||
Other Florida(1)(6)(7) | 20,581,012 | 4.6 | % | |||||||||
Total Florida | ||||||||||||
(Cost $27,698,358) | 28,784,814 | 6.4 | % | |||||||||
Georgia | ||||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
2.440%, 08/01/2048 | ||||||||||||
(1 Month LIBOR USD + 0.830%) (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(2) | 2,000,000 | 1,982,600 | 0.4 | % | ||||||||
Other Georgia(1)(7) | 7,909,955 | 1.8 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $9,795,965) | 9,892,555 | 2.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 74
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois | ||||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 10/01/2019 | $ | 525,000 | $ | 527,987 | 0.1 | % | ||||||
5.000%, 02/15/2021 | 100,000 | 105,743 | 0.0 | % | ||||||||
5.000%, 10/01/2021 | 170,000 | 177,145 | 0.0 | % | ||||||||
5.000%, 10/01/2023 | 205,000 | 219,586 | 0.0 | % | ||||||||
4.375%, 12/01/2028 (Callable 12/01/2023) | 300,000 | 105,000 | 0.0 | % | ||||||||
5.000%, 01/01/2029 (Callable 01/01/2027) | 475,000 | 563,811 | 0.1 | % | ||||||||
5.000%, 01/01/2030 (Callable 01/01/2027) | 90,000 | 106,114 | 0.0 | % | ||||||||
5.250%, 02/15/2030 (Pre-refunded to 02/15/2020) | 245,000 | 250,870 | 0.0 | % | ||||||||
5.000%, 08/01/2030 (Callable 08/01/2024) | 1,065,000 | 1,216,368 | 0.3 | % | ||||||||
4.000%, 05/15/2034 (Callable 05/15/2026) | 200,000 | 213,976 | 0.0 | % | ||||||||
3.032%, 05/01/2036 | ||||||||||||
(1 Month LIBOR USD + 1.350%) (Callable 11/01/2020) | ||||||||||||
(Mandatory Tender Date 05/01/2021)(2) | 300,000 | 300,753 | 0.1 | % | ||||||||
1.120%, 11/15/2037 (Optional Put Date 06/28/2019)(1) | 300,000 | 300,000 | 0.1 | % | ||||||||
4.000%, 12/01/2040 (Callable 12/01/2027) | 270,000 | 289,367 | 0.1 | % | ||||||||
4.000%, 12/01/2042 (Callable 12/01/2027) | 275,000 | 293,733 | 0.1 | % | ||||||||
5.100%, 12/01/2043 (Callable 12/01/2023) | 1,000,000 | 350,000 | 0.1 | % | ||||||||
Illinois Housing Development Authority, | ||||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 2,000,000 | 2,192,720 | 0.5 | % | ||||||||
Metropolitan Water Reclamation | ||||||||||||
District of Greater Chicago, | ||||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 1,500,000 | 1,749,255 | 0.4 | % | ||||||||
Richland County Community Unit School District No. 1, | ||||||||||||
4.000%, 12/01/2033 | ||||||||||||
(Callable 12/01/2024) (Insured by AGM) | 1,750,000 | 1,855,945 | 0.4 | % | ||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2028 | 1,500,000 | 1,792,935 | 0.4 | % | ||||||||
5.000%, 01/01/2029 | 2,500,000 | 3,011,700 | 0.7 | % | ||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 260,000 | 259,503 | 0.1 | % | ||||||||
5.000%, 08/01/2020 | 2,000,000 | 2,070,340 | 0.5 | % | ||||||||
5.000%, 01/01/2022 (Callable 01/01/2020) | 220,000 | 223,192 | 0.0 | % | ||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 115,971 | 0.0 | % | ||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 665,000 | 715,247 | 0.2 | % | ||||||||
5.000%, 10/01/2026 | 1,000,000 | 1,146,950 | 0.2 | % | ||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 716,216 | 0.2 | % | ||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,578,225 | 0.3 | % | ||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 191,847 | 0.0 | % | ||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 451,021 | 0.1 | % | ||||||||
4.000%, 06/15/2038 | ||||||||||||
(Callable 06/15/2028) (Insured by BAM) | 2,500,000 | 2,646,225 | 0.6 | % | ||||||||
Other Illinois(1)(7) | 40,553,836 | 9.0 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $64,813,577) | 66,291,581 | 14.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 75
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Indiana | ||||||||||||
Evansville Park District, | ||||||||||||
5.000%, 08/15/2036 | ||||||||||||
(Callable 02/15/2028) (Insured by BAM) | $ | 1,335,000 | $ | 1,598,743 | 0.4 | % | ||||||
Other Indiana(1)(2)(7) | 13,345,049 | 2.9 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $14,397,810) | 14,943,792 | 3.3 | % | |||||||||
Iowa | ||||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 | ||||||||||||
(Callable 07/01/2028) (Insured by GNMA) | 2,000,000 | 2,214,540 | 0.5 | % | ||||||||
Other Iowa(7) | 2,260,562 | 0.5 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $4,381,247) | 4,475,102 | 1.0 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(2)(7) | 2,049,650 | 0.5 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $2,017,922) | 2,049,650 | 0.5 | % | |||||||||
Kentucky | ||||||||||||
Other Kentucky(1)(7) | 3,016,656 | 0.7 | % | |||||||||
Total Kentucky | �� | |||||||||||
(Cost $2,930,303) | 3,016,656 | 0.7 | % | |||||||||
Louisiana | ||||||||||||
Other Louisiana(7) | 1,314,121 | 0.3 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $1,223,977) | 1,314,121 | 0.3 | % | |||||||||
Maine | ||||||||||||
Other Maine(7) | 1,769,532 | 0.4 | % | |||||||||
Total Maine | ||||||||||||
(Cost $1,758,991) | 1,769,532 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency, | ||||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | 2,000,000 | 2,201,620 | 0.5 | % | ||||||||
Other Massachusetts(7) | 3,233,724 | 0.7 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $5,324,416) | 5,435,344 | 1.2 | % | |||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 2,000,000 | 2,187,560 | 0.5 | % | ||||||||
Other Michigan(1)(7) | 7,664,216 | 1.7 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $9,466,215) | 9,851,776 | 2.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 76
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Minnesota | ||||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019 (Callable 07/29/2019) | $ | 2,000,000 | $ | 2,000,660 | 0.4 | % | ||||||
Other Minnesota(7) | 5,471,460 | 1.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $7,347,070) | 7,472,120 | 1.6 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(7) | 5,064,835 | 1.1 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $4,791,478) | 5,064,835 | 1.1 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(7) | 5,620,167 | 1.2 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $5,505,263) | 5,620,167 | 1.2 | % | |||||||||
Montana | ||||||||||||
Other Montana(7) | 1,210,180 | 0.3 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,161,564) | 1,210,180 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 1,675,000 | 1,791,848 | 0.4 | % | ||||||||
Other Nebraska(1)(7) | 3,525,884 | 0.8 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $5,130,244) | 5,317,732 | 1.2 | % | |||||||||
Nevada | ||||||||||||
Nevada Housing Division, | ||||||||||||
4.000%, 04/01/2049 | ||||||||||||
(Callable 10/01/2028) (Insured by GNMA) | 2,000,000 | 2,186,720 | 0.5 | % | ||||||||
Other Nevada(7) | 2,329,795 | 0.5 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $4,443,619) | 4,516,515 | 1.0 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,580,000 | 1,737,020 | 0.4 | % | ||||||||
Other New Jersey(1)(2)(6)(7) | 8,392,608 | 1.8 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $9,849,956) | 10,129,628 | 2.2 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(2)(7) | 853,356 | 0.2 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $849,473) | 853,356 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 77
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New York | ||||||||||||
New York City Transitional Finance Authority, | ||||||||||||
5.000%, 08/01/2038 (Callable 08/01/2028) | $ | 1,295,000 | $ | 1,574,668 | 0.4 | % | ||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 2,000,000 | 2,295,200 | 0.5 | % | ||||||||
Other New York(1)(3)(7) | 6,543,658 | 1.4 | % | |||||||||
Total New York | ||||||||||||
(Cost $10,056,609) | 10,413,526 | 2.3 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Turnpike Authority, | ||||||||||||
4.000%, 01/01/2041 | ||||||||||||
(Callable 01/01/2029) (Insured by AGM) | 2,000,000 | 2,169,500 | 0.5 | % | ||||||||
Other North Carolina(1)(7) | 2,184,719 | 0.5 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $4,133,395) | 4,354,219 | 1.0 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020)(5) | 2,000,000 | 1,999,720 | 0.5 | % | ||||||||
City of Williston ND, | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 1,750,000 | 1,840,230 | 0.4 | % | ||||||||
Other North Dakota(5)(7) | 6,946,425 | 1.5 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $10,588,794) | 10,786,375 | 2.4 | % | |||||||||
Ohio | ||||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 | ||||||||||||
(Callable 11/01/2025) (Insured by SD CRED PROG) | 1,845,000 | 2,152,931 | 0.5 | % | ||||||||
Other Ohio(2)(7) | 10,257,023 | 2.2 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $11,985,043) | 12,409,954 | 2.7 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(7) | 1,313,117 | 0.3 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $1,295,800) | 1,313,117 | 0.3 | % | |||||||||
Oregon | ||||||||||||
State of Oregon Housing & | ||||||||||||
Community Services Department, | ||||||||||||
2.200%, 12/01/2021 | ||||||||||||
(Mandatory Tender Date 12/01/2020)(1) | 2,000,000 | 2,014,120 | 0.4 | % | ||||||||
Other Oregon(7) | 3,577,367 | 0.8 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $5,321,777) | 5,591,487 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 78
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Pennsylvania | ||||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2036 (Callable 06/01/2022) | $ | 1,500,000 | $ | 1,619,460 | 0.4 | % | ||||||
4.000%, 06/01/2039 | ||||||||||||
(Callable 06/01/2028) (Insured by AGM) | 1,525,000 | 1,657,950 | 0.4 | % | ||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028 | ||||||||||||
(Callable 08/15/2027) (Insured by BAM) | 1,540,000 | 1,906,304 | 0.4 | % | ||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 | ||||||||||||
(Callable 05/01/2024) (Insured by BAM) | 1,780,000 | 1,926,156 | 0.4 | % | ||||||||
Other Pennsylvania(1)(2)(7) | 10,406,079 | 2.3 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $16,889,323) | 17,515,949 | 3.9 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(7) | 2,318,363 | 0.5 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $2,171,619) | 2,318,363 | 0.5 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(7) | 1,954,673 | 0.4 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $1,871,519) | 1,954,673 | 0.4 | % | |||||||||
South Carolina | ||||||||||||
Other South Carolina(7) | 4,153,292 | 0.9 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $3,974,852) | 4,153,292 | 0.9 | % | |||||||||
South Dakota | ||||||||||||
South Dakota Housing Development Authority, | ||||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,515,000 | 2,735,842 | 0.6 | % | ||||||||
Other South Dakota(7) | 356,405 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $3,039,446) | 3,092,247 | 0.7 | % | |||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 2,025,000 | 2,066,674 | 0.5 | % | ||||||||
3.550%, 07/01/2039 (Callable 07/01/2024) | 290,000 | 299,167 | 0.1 | % | ||||||||
4.000%, 01/01/2042 (Callable 07/01/2026) | 260,000 | 277,800 | 0.1 | % | ||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 235,000 | 241,796 | 0.1 | % | ||||||||
4.000%, 07/01/2043 (Callable 01/01/2023) | 205,000 | 209,159 | 0.0 | % | ||||||||
4.000%, 07/01/2045 (Callable 01/01/2025) | 160,000 | 168,666 | 0.0 | % | ||||||||
3.500%, 01/01/2047 (Callable 01/01/2026) | 105,000 | 109,950 | 0.0 | % | ||||||||
4.500%, 07/01/2049 (Callable 01/01/2028) | 975,000 | 1,073,416 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 79
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Tennessee Housing Development Agency: (cont.) | ||||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | $ | 1,000,000 | $ | 1,097,370 | 0.2 | % | ||||||
Other Tennessee(1)(7) | 2,577,917 | 0.6 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $7,974,239) | 8,121,915 | 1.8 | % | |||||||||
Texas | ||||||||||||
City of San Antonio TX, | ||||||||||||
2.750%, 02/01/2048 | ||||||||||||
(Mandatory Tender Date 12/01/2022)(1) | 1,500,000 | 1,549,500 | 0.3 | % | ||||||||
New Caney Independent School District, | ||||||||||||
4.000%, 02/15/2029 | ||||||||||||
(Callable 02/15/2025) (PSF Guaranteed) | 1,450,000 | 1,612,878 | 0.4 | % | ||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | 4,320,000 | 4,824,835 | 1.1 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 1,650,000 | 1,927,959 | 0.4 | % | ||||||||
Other Texas(1)(7) | 34,097,136 | 7.5 | % | |||||||||
Total Texas | ||||||||||||
(Cost $42,882,366) | 44,012,308 | 9.7 | % | |||||||||
Utah | ||||||||||||
Other Utah(1)(7) | 4,016,447 | 0.9 | % | |||||||||
Total Utah | ||||||||||||
(Cost $3,839,314) | 4,016,447 | 0.9 | % | |||||||||
Vermont | ||||||||||||
Other Vermont(7) | 2,277,710 | 0.5 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $2,257,200) | 2,277,710 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(7) | 411,568 | 0.1 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $413,490) | 411,568 | 0.1 | % | |||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 3,000,000 | 3,081,330 | 0.7 | % | ||||||||
Other Virginia(7) | 416,735 | 0.1 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $3,473,895) | 3,498,065 | 0.8 | % | |||||||||
Washington | ||||||||||||
State of Washington, | ||||||||||||
5.000%, 07/01/2042 (Callable 07/01/2028) | 1,330,000 | 1,593,992 | 0.4 | % | ||||||||
Other Washington(7) | 5,177,167 | 1.1 | % | |||||||||
Total Washington | ||||||||||||
(Cost $6,492,343) | 6,771,159 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 80
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
West Virginia | ||||||||||||
Other West Virginia(7) | $ | 255,071 | 0.1 | % | ||||||||
Total West Virginia | ||||||||||||
(Cost $255,000) | 255,071 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
4.000%, 09/15/2019 | $ | 165,000 | 165,635 | 0.0 | % | |||||||
3.000%, 12/01/2019 | 750,000 | 754,335 | 0.2 | % | ||||||||
2.650%, 11/01/2020 (Callable 11/01/2019) | 1,625,000 | 1,627,503 | 0.4 | % | ||||||||
5.000%, 03/01/2021 | 150,000 | 154,227 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 125,000 | 130,685 | 0.0 | % | ||||||||
5.000%, 07/01/2023 | 165,000 | 182,937 | 0.0 | % | ||||||||
5.000%, 07/01/2024 | 250,000 | 283,408 | 0.1 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 200,000 | 209,852 | 0.1 | % | ||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 56,530 | 0.0 | % | ||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 119,808 | 0.0 | % | ||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 194,966 | 0.0 | % | ||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,124,340 | 0.3 | % | ||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 54,275 | 0.0 | % | ||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 208,979 | 0.1 | % | ||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 547,603 | 0.1 | % | ||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 50,000 | 53,368 | 0.0 | % | ||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 316,114 | 0.1 | % | ||||||||
1.375%, 11/15/2038 | ||||||||||||
(Mandatory Tender Date 12/03/2019)(1) | 185,000 | 184,933 | 0.0 | % | ||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 490,259 | 0.1 | % | ||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 2,000,000 | 2,192,480 | 0.5 | % | ||||||||
Other Wisconsin(7) | 8,247,877 | 1.8 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $16,776,767) | 17,300,114 | 3.8 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 2,000,000 | 2,170,620 | 0.5 | % | ||||||||
Other Wyoming(7) | 97,129 | 0.0 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $2,229,893) | 2,267,749 | 0.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $433,831,743) | 447,672,908 | 98.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 81
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80%(4) | $ | 2,718,785 | $ | 2,718,785 | 0.6 | % | ||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,718,785) | 2,718,785 | 0.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $436,550,528) | 450,391,693 | 99.5 | % | |||||||||
Other Assets in Excess of Liabilities | 2,334,356 | 0.5 | % | |||||||||
TOTAL NET ASSETS | $ | 452,726,049 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
GNMA – Ginnie Mae
NATL – National Public Finance Guarantee Corp.
SD CRED PROG – State Credit Enhancement Program
(1) | Variable rate security, or group of securities contain a 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, 2019. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(3) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $5,473,482, which represents 1.21% of total net assets. |
(4) | 7-Day Yield. |
(5) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(6) | Auction Rate Security, or group of securities contain an auction rate security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
(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. |
Summary of Fair Value Exposure at June 30, 2019 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 82
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 447,672,908 | $ | — | $ | 447,672,908 | ||||||||
Total Long-Term Investments | — | 447,672,908 | — | 447,672,908 | ||||||||||||
Short-Term Investment | 2,718,785 | — | — | 2,718,785 | ||||||||||||
Total Short-Term Investment | 2,718,785 | — | — | 2,718,785 | ||||||||||||
Total Investments | $ | 2,718,785 | $ | 447,672,908 | $ | — | $ | 450,391,693 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security 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 83
Additional Information on Fund Expenses
June 30, 2019 (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, doing business as U.S. Bank Global Fund Services, 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 (1/1/19 – 6/30/19).
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 84
Additional Information on Fund Expenses
June 30, 2019 (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) | 1/1/19 | 6/30/19 | Period(1) | 6/30/19 | Period(1) | ||
Baird Ultra Short | |||||||
Bond Fund | |||||||
Institutional Class | 0.15% | $1,000.00 | $1,017.80 | $0.75 | $1,024.05 | $0.75 | |
Investor Class | 0.40% | $1,000.00 | $1,017.70 | $2.00 | $1,022.81 | $2.01 | |
Baird Short-Term | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,031.40 | $1.51 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,030.10 | $2.77 | $1,022.07 | $2.76 | |
Baird Intermediate | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,052.00 | $1.53 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,051.10 | $2.80 | $1,022.07 | $2.76 | |
Baird Aggregate | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,065.80 | $1.54 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,065.10 | $2.82 | $1,022.07 | $2.76 | |
Baird Core Plus | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,070.50 | $1.54 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,068.10 | $2.82 | $1,022.07 | $2.76 | |
Baird Short-Term | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,026.20 | $1.51 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,026.00 | $2.76 | $1,022.07 | $2.76 | |
Baird Quality Intermediate | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,039.90 | $1.52 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,037.70 | $2.78 | $1,022.07 | $2.76 | |
Baird Core Intermediate | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,044.00 | $1.52 | $1,023.31 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,042.80 | $2.79 | $1,022.07 | $2.76 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the one-half year period. |
Page 85
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Baird | Baird | Baird | |||||||||||
Ultra Short | Short-Term | Intermediate | |||||||||||
Bond Fund | Bond Fund | Bond Fund | |||||||||||
ASSETS: | |||||||||||||
Investments, at value | |||||||||||||
(cost $1,390,309,379, $6,516,169,326 | |||||||||||||
and $4,124,332,846, respectively) | $ | 1,393,732,874 | $ | 6,594,856,355 | $ | 4,236,591,598 | |||||||
Interest receivable | 6,536,188 | 42,020,876 | 26,549,528 | ||||||||||
Receivable for investments sold | 29,000,394 | 102,472,047 | 24,086,983 | ||||||||||
Receivable for Fund shares sold | 13,882,196 | 14,342,041 | 20,857,795 | ||||||||||
Uninvested cash | 382,540 | — | 443,626 | ||||||||||
Prepaid expenses and other assets | — | 12 | 158,018 | ||||||||||
Total assets | 1,443,534,192 | 6,753,691,331 | 4,308,687,548 | ||||||||||
LIABILITIES: | |||||||||||||
Payable for securities purchased | 29,891,995 | 126,942,194 | 74,009,738 | ||||||||||
Payable for Fund shares redeemed | 6,235,088 | 5,126,054 | 2,633,357 | ||||||||||
Payable to Advisor, net (Note 5) | 125,543 | 1,377,133 | 856,814 | ||||||||||
Accrued Rule 12b-1 fees (Note 7) | 9,083 | 53,034 | 20,817 | ||||||||||
Due to custodian | — | 1,399,951 | — | ||||||||||
Accrued expenses and other liabilities | 62,774 | 275,427 | 171,363 | ||||||||||
Total liabilities | 36,324,483 | 135,173,793 | 77,692,089 | ||||||||||
NET ASSETS | $ | 1,407,209,709 | $ | 6,618,517,538 | $ | 4,230,995,459 | |||||||
NET ASSETS CONSIST OF: | |||||||||||||
Paid-in capital | $ | 1,403,018,168 | $ | 6,563,916,855 | $ | 4,144,888,104 | |||||||
Total distributable earnings | 4,191,541 | 54,600,683 | 86,107,355 | ||||||||||
NET ASSETS | $ | 1,407,209,709 | $ | 6,618,517,538 | $ | 4,230,995,459 | |||||||
INSTITUTIONAL CLASS SHARES | |||||||||||||
Net Assets | $ | 1,382,507,023 | $ | 6,436,080,972 | $ | 4,181,826,887 | |||||||
Shares outstanding ($0.01 par value, | |||||||||||||
unlimited shares authorized) | 137,404,745 | 659,881,239 | 372,702,666 | ||||||||||
Net asset value, offering and | |||||||||||||
redemption price per share | $ | 10.06 | $ | 9.75 | $ | 11.22 | |||||||
INVESTOR CLASS SHARES | |||||||||||||
Net Assets | $ | 24,702,686 | $ | 182,436,566 | $ | 49,168,572 | |||||||
Shares outstanding ($0.01 par value, | |||||||||||||
unlimited shares authorized) | 2,456,621 | 18,710,225 | 4,189,045 | ||||||||||
Net asset value, offering and | |||||||||||||
redemption price per share | $ | 10.06 | $ | 9.75 | $ | 11.74 |
The accompanying notes are an integral part of these financial statements.
Page 86
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Baird | Baird | ||||||||
Aggregate | Core Plus | ||||||||
Bond Fund | Bond Fund | ||||||||
ASSETS: | |||||||||
Investments, at value | |||||||||
(cost $20,190,292,390 and | |||||||||
$20,816,357,456, respectively) | $ | 20,813,490,872 | $ | 21,443,754,638 | |||||
Interest receivable | 126,526,362 | 146,667,084 | |||||||
Receivable for Fund shares sold | 97,298,117 | 55,254,023 | |||||||
Uninvested cash | 1,581,140 | — | |||||||
Prepaid expenses and other assets | 165,961 | 9,704 | |||||||
Total assets | 21,039,062,452 | 21,645,685,449 | |||||||
LIABILITIES: | |||||||||
Payable for securities purchased | 426,363,851 | 269,983,529 | |||||||
Payable for Fund shares redeemed | 15,455,760 | 9,113,118 | |||||||
Payable to Advisor, net (Note 5) | 4,166,409 | 4,280,883 | |||||||
Accrued Rule 12b-1 fees (Note 7) | 294,106 | 610,331 | |||||||
Due to custodian | — | 8,417,638 | |||||||
Accrued expenses and other liabilities | 833,284 | 856,177 | |||||||
Total liabilities | 447,113,410 | 293,261,676 | |||||||
NET ASSETS | $ | 20,591,949,042 | $ | 21,352,423,773 | |||||
NET ASSETS CONSIST OF: | |||||||||
Paid-in capital | $ | 20,050,602,196 | $ | 20,806,345,436 | |||||
Total distributable earnings | 541,346,846 | 546,078,337 | |||||||
NET ASSETS | $ | 20,591,949,042 | $ | 21,352,423,773 | |||||
INSTITUTIONAL CLASS SHARES | |||||||||
Net Assets | $ | 19,862,019,986 | $ | 19,089,855,866 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 1,793,420,854 | 1,672,956,935 | |||||||
Net asset value, offering and | |||||||||
redemption price per share | $ | 11.07 | $ | 11.41 | |||||
INVESTOR CLASS SHARES | |||||||||
Net Assets | $ | 729,929,056 | $ | 2,262,567,907 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 63,699,742 | 190,225,817 | |||||||
Net asset value, offering and | |||||||||
redemption price per share | $ | 11.46 | $ | 11.89 |
The accompanying notes are an integral part of these financial statements.
Page 87
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Baird | Baird | ||||||||||||
Baird | Quality | Core | |||||||||||
Short-Term | Intermediate | Intermediate | |||||||||||
Municipal | Municipal | Municipal | |||||||||||
Bond Fund | Bond Fund | Bond Fund | |||||||||||
ASSETS: | |||||||||||||
Investments, at value | |||||||||||||
(cost $486,054,002, $1,126,003,800 | |||||||||||||
and $436,550,528, respectively) | $ | 492,979,331 | $ | 1,168,446,282 | $ | 450,391,693 | |||||||
Interest receivable | 4,330,057 | 10,703,676 | 4,068,551 | ||||||||||
Receivable for investments sold | 8,110,400 | — | — | ||||||||||
Receivable for Fund shares sold | 3,038,535 | 3,736,719 | 471,474 | ||||||||||
Uninvested cash | 1,032,192 | 30,625 | 159,265 | ||||||||||
Total assets | 509,490,515 | 1,182,917,302 | 455,090,983 | ||||||||||
LIABILITIES: | |||||||||||||
Payable for securities purchased | 12,047,718 | 560,780 | 1,995,000 | ||||||||||
Payable for Fund shares redeemed | 51,979 | 3,146,728 | 258,416 | ||||||||||
Payable to Advisor, net (Note 5) | 102,244 | 241,664 | 91,638 | ||||||||||
Accrued Rule 12b-1 fees (Note 7) | 42,614 | 76,952 | 1,550 | ||||||||||
Accrued expenses and other liabilities | 20,452 | 48,348 | 18,330 | ||||||||||
Total liabilities | 12,265,007 | 4,074,472 | 2,364,934 | ||||||||||
NET ASSETS | $ | 497,225,508 | $ | 1,178,842,830 | $ | 452,726,049 | |||||||
NET ASSETS CONSIST OF: | |||||||||||||
Paid-in capital | $ | 490,383,646 | $ | 1,144,620,863 | $ | 438,274,019 | |||||||
Total distributable earnings | 6,841,862 | 34,221,967 | 14,452,030 | ||||||||||
NET ASSETS | $ | 497,225,508 | $ | 1,178,842,830 | $ | 452,726,049 | |||||||
INSTITUTIONAL CLASS SHARES | |||||||||||||
Net Assets | $ | 418,068,521 | $ | 1,094,040,341 | $ | 448,750,691 | |||||||
Shares outstanding ($0.01 par value, | |||||||||||||
unlimited shares authorized) | 40,898,684 | 93,545,486 | 42,516,602 | ||||||||||
Net asset value, offering and | |||||||||||||
redemption price per share | $ | 10.22 | $ | 11.70 | $ | 10.55 | |||||||
INVESTOR CLASS SHARES | |||||||||||||
Net Assets | $ | 79,156,987 | $ | 84,802,489 | $ | 3,975,358 | |||||||
Shares outstanding ($0.01 par value, | |||||||||||||
unlimited shares authorized) | 7,755,310 | 7,076,802 | 376,847 | ||||||||||
Net asset value, offering and | |||||||||||||
redemption price per share | $ | 10.21 | $ | 11.98 | $ | 10.55 |
The accompanying notes are an integral part of these financial statements.
Page 88
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
Baird | Baird | Baird | |||||||||||
Ultra Short | Short-Term | Intermediate | |||||||||||
Bond Fund | Bond Fund | Bond Fund | |||||||||||
INVESTMENT INCOME: | |||||||||||||
Interest income, net of paydowns | $ | 19,793,785 | $ | 90,148,400 | $ | 54,530,937 | |||||||
Other income | — | 24,905 | 47,133 | ||||||||||
Total investment income | 19,793,785 | 90,173,305 | 54,578,070 | ||||||||||
EXPENSES: | |||||||||||||
Investment advisory fees (Note 5) | 1,696,014 | 7,882,331 | 4,611,738 | ||||||||||
Administration fees | 339,203 | 1,576,466 | 922,348 | ||||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 27,426 | 205,281 | 58,425 | ||||||||||
Total expenses | 2,062,643 | 9,664,078 | 5,592,511 | ||||||||||
Fee waiver by Advisor (Note 5) | (1,017,608 | ) | — | — | |||||||||
Net expenses | 1,045,035 | 9,664,078 | 5,592,511 | ||||||||||
NET INVESTMENT INCOME | 18,748,750 | 80,509,227 | 48,985,559 | ||||||||||
REALIZED AND UNREALIZED | |||||||||||||
GAIN (LOSS) ON INVESTMENTS: | |||||||||||||
Net realized gain (loss) on investments | 360,363 | 5,459,649 | (1,934,089 | ) | |||||||||
Net change in unrealized | |||||||||||||
appreciation on investments | 5,596,747 | 112,277,911 | 147,563,957 | ||||||||||
Net realized and unrealized gain on investments | 5,957,110 | 117,737,560 | 145,629,868 | ||||||||||
NET INCREASE IN NET | |||||||||||||
ASSETS RESULTING FROM OPERATIONS | $ | 24,705,860 | $ | 198,246,787 | $ | 194,615,427 |
The accompanying notes are an integral part of these financial statements.
Page 89
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
Baird | Baird | ||||||||
Aggregate | Core Plus | ||||||||
Bond Fund | Bond Fund | ||||||||
INVESTMENT INCOME: | |||||||||
Interest income, net of paydowns | $ | 283,003,367 | $ | 319,658,652 | |||||
Other income | 97,619 | 126,133 | |||||||
Total investment income | 283,100,986 | 319,784,785 | |||||||
EXPENSES: | |||||||||
Investment advisory fees (Note 5) | 22,243,570 | 23,407,375 | |||||||
Administration fees | 4,448,714 | 4,681,475 | |||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 869,845 | 2,696,455 | |||||||
Total expenses | 27,562,129 | 30,785,305 | |||||||
NET INVESTMENT INCOME | 255,538,857 | 288,999,480 | |||||||
REALIZED AND UNREALIZED | |||||||||
GAIN ON INVESTMENTS: | |||||||||
Net realized gain on investments | 30,920,250 | 30,237,757 | |||||||
Net change in unrealized appreciation on investments | 897,577,581 | 979,287,808 | |||||||
Net realized and unrealized gain on investments | 928,497,831 | 1,009,525,565 | |||||||
NET INCREASE IN NET | |||||||||
ASSETS RESULTING FROM OPERATIONS | $ | 1,184,036,688 | $ | 1,298,525,045 |
The accompanying notes are an integral part of these financial statements.
Page 90
Statements of Operations
Six Months Ended June 30, 2019 (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 | $ | 5,252,126 | $ | 15,301,247 | $ | 5,438,602 | |||||||
Total investment income | 5,252,126 | 15,301,247 | 5,438,602 | ||||||||||
EXPENSES: | |||||||||||||
Investment advisory fees (Note 5) | 535,476 | 1,435,761 | 506,022 | ||||||||||
Administration fees (Note 5) | 107,095 | 287,152 | 101,204 | ||||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 89,338 | 114,320 | 3,704 | ||||||||||
Total expenses | 731,909 | 1,837,233 | 610,930 | ||||||||||
NET INVESTMENT INCOME | 4,520,217 | 13,464,014 | 4,827,672 | ||||||||||
REALIZED AND UNREALIZED | |||||||||||||
GAIN ON INVESTMENTS: | |||||||||||||
Net realized gain on investments | 146,993 | 187,281 | 963,394 | ||||||||||
Net change in unrealized | |||||||||||||
appreciation on investments | 6,657,512 | 31,044,366 | 12,006,220 | ||||||||||
Net realized and unrealized gain on investments | 6,804,505 | 31,231,647 | 12,969,614 | ||||||||||
NET INCREASE IN NET ASSETS | |||||||||||||
RESULTING FROM OPERATIONS | $ | 11,324,722 | $ | 44,695,661 | $ | 17,797,286 |
The accompanying notes are an integral part of these financial statements.
Page 91
Statements of Changes in Net Assets
Baird Ultra Short Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 18,748,750 | $ | 15,362,190 | |||||
Net realized gain (loss) on investments | 360,363 | (122,230 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 5,596,747 | (2,121,702 | ) | ||||||
Net increase in net assets resulting from operations | 24,705,860 | 13,118,258 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 896,287,651 | 808,716,290 | |||||||
Shares issued to holders in reinvestment of distributions | 17,104,207 | 14,355,617 | |||||||
Cost of shares redeemed | (560,043,243 | ) | (313,355,931 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 353,348,615 | 509,715,976 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (17,615,624 | ) | (15,083,798 | ) | |||||
Investor Class | (273,360 | ) | (253,414 | ) | |||||
Total net distributions to shareholders | (17,888,984 | ) | (15,337,212 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 360,165,491 | 507,497,022 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 1,047,044,218 | 539,547,196 | |||||||
End of period | $ | 1,407,209,709 | $ | 1,047,044,218 |
The accompanying notes are an integral part of these financial statements.
Page 92
Statements of Changes in Net Assets
Baird Short-Term Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 80,509,227 | $ | 125,237,313 | |||||
Net realized gain (loss) on investments | 5,459,649 | (26,235,503 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 112,277,911 | (14,447,406 | ) | ||||||
Net increase in net assets resulting from operations | 198,246,787 | 84,554,404 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 1,704,794,912 | 2,286,737,726 | |||||||
Shares issued to holders in reinvestment of distributions | 72,578,219 | 116,729,687 | |||||||
Cost of shares redeemed | (1,019,963,511 | ) | (2,156,148,560 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 757,409,620 | 247,318,853 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (76,511,971 | ) | (122,547,112 | ) | |||||
Investor Class | (1,863,657 | ) | (2,757,574 | ) | |||||
Total net distributions to shareholders | (78,375,628 | ) | (125,304,686 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 877,280,779 | 206,568,571 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 5,741,236,759 | 5,534,668,188 | |||||||
End of period | $ | 6,618,517,538 | $ | 5,741,236,759 |
The accompanying notes are an integral part of these financial statements.
Page 93
Statements of Changes in Net Assets
Baird Intermediate Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 48,985,559 | $ | 81,483,022 | |||||
Net realized loss on investments | (1,934,089 | ) | (22,545,628 | ) | |||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 147,563,957 | (36,023,033 | ) | ||||||
Net increase in net assets resulting from operations | 194,615,427 | 22,914,361 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 968,007,649 | 1,314,966,726 | |||||||
Shares issued to holders in reinvestment of distributions | 39,818,451 | 67,024,736 | |||||||
Cost of shares redeemed | (236,286,476 | ) | (966,939,949 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 771,539,624 | 415,051,513 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (46,854,970 | ) | (80,653,988 | ) | |||||
Investor Class | (511,299 | ) | (1,007,749 | ) | |||||
Total net distributions to shareholders | (47,366,269 | ) | (81,661,737 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 918,788,782 | 356,304,137 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 3,312,206,677 | 2,955,902,540 | |||||||
End of period | $ | 4,230,995,459 | $ | 3,312,206,677 |
The accompanying notes are an integral part of these financial statements.
Page 94
Statements of Changes in Net Assets
Baird Aggregate Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 255,538,857 | $ | 424,036,819 | |||||
Net realized gain (loss) on investments | 30,920,250 | (69,510,689 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 897,577,581 | (390,719,147 | ) | ||||||
Net increase (decrease) in net assets | |||||||||
resulting from operations | 1,184,036,688 | (36,193,017 | ) | ||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 5,704,595,381 | 4,982,753,257 | |||||||
Shares issued to holders in reinvestment of distributions | 226,310,355 | 390,774,288 | |||||||
Cost of shares redeemed | (1,886,954,805 | ) | (3,688,839,933 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 4,043,950,931 | 1,684,687,612 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (243,202,445 | ) | (421,718,399 | ) | |||||
Investor Class | (8,518,489 | ) | (19,304,710 | ) | |||||
Total net distributions to shareholders | (251,720,934 | ) | (441,023,109 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 4,976,266,685 | 1,207,471,486 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 15,615,682,357 | 14,408,210,871 | |||||||
End of period | $ | 20,591,949,042 | $ | 15,615,682,357 |
The accompanying notes are an integral part of these financial statements.
Page 95
Statements of Changes in Net Assets
Baird Core Plus Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 288,999,480 | $ | 519,285,134 | |||||
Net realized gain (loss) on investments | 30,237,757 | (74,445,293 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 979,287,808 | (513,615,666 | ) | ||||||
Net increase (decrease) in net assets | |||||||||
resulting from operations | 1,298,525,045 | (68,775,825 | ) | ||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 4,103,237,327 | 5,741,152,956 | |||||||
Shares issued to holders in reinvestment of distributions | 264,819,803 | 500,610,919 | |||||||
Cost of shares redeemed | (1,837,294,395 | ) | (4,179,926,706 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 2,530,762,735 | 2,061,837,169 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (254,351,659 | ) | (474,634,516 | ) | |||||
Investor Class | (28,833,014 | ) | (63,272,584 | ) | |||||
Total net distributions to shareholders | (283,184,673 | ) | (537,907,100 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 3,546,103,107 | 1,455,154,244 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 17,806,320,666 | 16,351,166,422 | |||||||
End of period | $ | 21,352,423,773 | $ | 17,806,320,666 |
The accompanying notes are an integral part of these financial statements.
Page 96
Statements of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 4,520,217 | $ | 4,602,547 | |||||
Net realized gain (loss) on investments | 146,993 | (395,641 | ) | ||||||
Net change in unrealized appreciation | |||||||||
on investments | 6,657,512 | 363,342 | |||||||
Net increase in net assets resulting from operations | 11,324,722 | 4,570,248 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 262,095,902 | 350,521,712 | |||||||
Shares issued to holders in reinvestment of distributions | 3,322,446 | 3,718,376 | |||||||
Cost of shares redeemed | (120,327,888 | ) | (134,819,382 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 145,090,460 | 219,420,706 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (3,721,942 | ) | (3,476,137 | ) | |||||
Investor Class | (646,134 | ) | (1,140,216 | ) | |||||
Total net distributions to shareholders | (4,368,076 | ) | (4,616,353 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 152,047,106 | 219,374,601 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 345,178,402 | 125,803,801 | |||||||
End of period | $ | 497,225,508 | $ | 345,178,402 |
The accompanying notes are an integral part of these financial statements.
Page 97
Statements of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 13,464,014 | $ | 27,097,810 | |||||
Net realized gain (loss) on investments | 187,281 | (2,660,074 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 31,044,366 | (12,531,513 | ) | ||||||
Net increase in net assets resulting from operations | 44,695,661 | 11,906,223 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 221,414,681 | 480,971,362 | |||||||
Shares issued to holders in reinvestment of distributions | 11,560,641 | 23,445,969 | |||||||
Cost of shares redeemed | (205,680,304 | ) | (520,681,280 | ) | |||||
Net increase (decrease) in net assets resulting | |||||||||
from capital share transactions | 27,295,018 | (16,263,949 | ) | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (12,256,300 | ) | (25,039,480 | ) | |||||
Investor Class | (896,733 | ) | (2,013,625 | ) | |||||
Total net distributions to shareholders | (13,153,033 | ) | (27,053,105 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 58,837,646 | (31,410,831 | ) | ||||||
NET ASSETS: | |||||||||
Beginning of period | 1,120,005,184 | 1,151,416,015 | |||||||
End of period | $ | 1,178,842,830 | $ | 1,120,005,184 |
The accompanying notes are an integral part of these financial statements.
Page 98
Statements of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
Six Months Ended | |||||||||
June 30, 2019 | Year Ended | ||||||||
(Unaudited) | December 31, 2018 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 4,827,672 | $ | 6,548,983 | |||||
Net realized gain (loss) on investments | 963,394 | (512,079 | ) | ||||||
Net change in unrealized appreciation (depreciation) | |||||||||
on investments | 12,006,220 | (1,082,758 | ) | ||||||
Net increase in net assets resulting from operations | 17,797,286 | 4,954,146 | |||||||
CAPITAL SHARE TRANSACTIONS: | |||||||||
Proceeds from shares sold | 98,274,545 | 260,403,608 | |||||||
Shares issued to holders in reinvestment of distributions | 3,292,769 | 4,380,739 | |||||||
Cost of shares redeemed | (42,039,434 | ) | (119,644,249 | ) | |||||
Net increase in net assets resulting | |||||||||
from capital share transactions | 59,527,880 | 145,140,098 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||
Net distributions to shareholders: | |||||||||
Institutional Class | (4,623,512 | ) | (6,517,792 | ) | |||||
Investor Class | (32,120 | ) | (38,214 | ) | |||||
Total net distributions to shareholders | (4,655,632 | ) | (6,556,006 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 72,669,534 | 143,538,238 | |||||||
NET ASSETS: | |||||||||
Beginning of period | 380,056,515 | 236,518,277 | |||||||
End of period | $ | 452,726,049 | $ | 380,056,515 |
The accompanying notes are an integral part of these financial statements.
Page 99
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | $ | 10.00 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.23 | (1) | 0.13 | (1) | 0.11 | (1) | 0.08 | (1) | 0.09 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.04 | (0.04 | ) | 0.00 | (2) | 0.04 | (0.05 | ) | 0.03 | (3) | |||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.18 | 0.19 | 0.13 | 0.15 | 0.03 | 0.12 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.13 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||
Total distributions | (0.13 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||
Net asset value, end of period | $ | 10.06 | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | |||||||||||||
Total return | 1.78 | %(4) | 1.95 | % | 1.30 | % | 1.56 | % | 0.30 | % | 1.21 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 1,382.5 | $ | 1,031.5 | $ | 532.0 | $ | 387.3 | $ | 189.3 | $ | 84.5 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.15 | %(5) | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | |||||||||||||
Ratio of expenses to average | |||||||||||||||||||||||||
net assets (before waivers) | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.77 | %(5) | 2.24 | % | 1.31 | % | 1.05 | % | 0.78 | % | 0.93 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | |||||||||||||||||||||||||
(before waivers) | 2.62 | %(5) | 2.09 | % | 1.16 | % | 0.90 | % | 0.63 | % | 0.78 | % | |||||||||||||
Portfolio turnover rate(6) | 28 | %(4) | 66 | % | 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) | 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 100
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | $ | 10.00 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.20 | (1) | 0.11 | (1) | 0.08 | (1) | 0.05 | (1) | 0.07 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.05 | (0.04 | ) | (0.01 | ) | 0.05 | (0.03 | ) | 0.02 | (2) | |||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.18 | 0.16 | 0.10 | 0.13 | 0.02 | 0.09 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.12 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | |||||||||||||
Total distributions | (0.12 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | |||||||||||||
Net asset value, end of period | $ | 10.06 | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | |||||||||||||
Total return | 1.77 | %(3) | 1.60 | % | 1.05 | % | 1.32 | % | 0.16 | % | 0.88 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 24.7 | $ | 15.6 | $ | 7.6 | $ | 5.2 | $ | 1.2 | $ | 0.9 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.40 | %(4) | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | |||||||||||||
Ratio of expenses to average | |||||||||||||||||||||||||
net assets (before waivers) | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.52 | %(4) | 1.99 | % | 1.06 | % | 0.80 | % | 0.53 | % | 0.68 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | |||||||||||||||||||||||||
(before waivers) | 2.37 | %(4) | 1.84 | % | 0.91 | % | 0.65 | % | 0.38 | % | 0.53 | % | |||||||||||||
Portfolio turnover rate(5) | 28 | %(3) | 66 | % | 83 | % | 97 | % | 66 | % | 58 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the statement of operations. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 101
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.12 | (1) | 0.21 | (1) | 0.17 | (1) | 0.15 | (1) | 0.13 | (1) | 0.16 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.18 | (0.07 | ) | (0.02 | ) | 0.06 | (0.05 | ) | (0.01 | ) | |||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.30 | 0.14 | 0.15 | 0.21 | 0.08 | 0.15 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.12 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | (0.16 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | (0.01 | ) | |||||||||||||||
Total distributions | (0.12 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | (0.17 | ) | |||||||||||||
Net asset value, end of period | $ | 9.75 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | |||||||||||||
Total return | 3.14 | %(3) | 1.49 | % | 1.53 | % | 2.25 | % | 0.89 | % | 1.49 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 6,436.1 | $ | 5,596.2 | $ | 5,399.7 | $ | 3,769.3 | $ | 2,976.0 | $ | 2,640.9 | |||||||||||||
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 | 2.56 | %(4) | 2.21 | % | 1.73 | % | 1.57 | % | 1.30 | % | 1.56 | % | |||||||||||||
Portfolio turnover rate(5) | 32 | %(3) | 58 | % | 55 | % | 44 | % | 38 | % | 51 | % |
(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 102
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.11 | (1) | 0.19 | (1) | 0.14 | (1) | 0.13 | (1) | 0.10 | (1) | 0.14 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.18 | (0.07 | ) | (0.02 | ) | 0.06 | (0.04 | ) | (0.02 | ) | |||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.29 | 0.12 | 0.12 | 0.19 | 0.06 | 0.12 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.11 | ) | (0.19 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | (0.13 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | (0.01 | ) | |||||||||||||||
Total distributions | (0.11 | ) | (0.19 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | |||||||||||||
Net asset value, end of period | $ | 9.75 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | |||||||||||||
Total return | 3.01 | %(3) | 1.24 | % | 1.28 | % | 2.00 | % | 0.64 | % | 1.25 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 182.4 | $ | 145.0 | $ | 134.9 | $ | 104.9 | $ | 40.6 | $ | 35.8 | |||||||||||||
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 | 2.31 | %(4) | 1.96 | % | 1.48 | % | 1.32 | % | 1.05 | % | 1.31 | % | |||||||||||||
Portfolio turnover rate(5) | 32 | %(3) | 58 | % | 55 | % | 44 | % | 38 | % | 51 | % |
(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 103
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | $ | 11.00 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income(1) | 0.14 | 0.27 | 0.26 | 0.25 | 0.24 | 0.26 | |||||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.42 | (0.21 | ) | 0.04 | 0.06 | (0.13 | ) | 0.13 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.56 | 0.06 | 0.30 | 0.31 | 0.11 | 0.39 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.14 | ) | (0.27 | ) | (0.26 | ) | (0.25 | ) | (0.25 | ) | (0.27 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | (0.02 | ) | |||||||||||||||
Total distributions | (0.14 | ) | (0.27 | ) | (0.26 | ) | (0.27 | ) | (0.28 | ) | (0.29 | ) | |||||||||||||
Net asset value, end of period | $ | 11.22 | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | |||||||||||||
Total return | 5.20 | %(3) | 0.58 | % | 2.74 | % | 2.83 | % | 0.99 | % | 3.50 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 4,181.8 | $ | 3,264.9 | $ | 2,902.0 | $ | 2,209.1 | $ | 1,787.0 | $ | 1,468.2 | |||||||||||||
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 | 2.66 | %(4) | 2.51 | % | 2.32 | % | 2.21 | % | 2.14 | % | 2.37 | % | |||||||||||||
Portfolio turnover rate(5) | 12 | %(3) | 32 | % | 31 | % | 30 | % | 39 | % | 29 | % |
(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 104
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | $ | 11.43 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income(1) | 0.14 | 0.25 | 0.24 | 0.23 | 0.22 | 0.25 | |||||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.43 | (0.22 | ) | 0.04 | 0.06 | (0.14 | ) | 0.14 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.57 | 0.03 | 0.28 | 0.29 | 0.08 | 0.39 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.12 | ) | (0.24 | ) | (0.22 | ) | (0.22 | ) | (0.22 | ) | (0.24 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | (0.02 | ) | |||||||||||||||
Total distributions | (0.12 | ) | (0.24 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | (0.26 | ) | |||||||||||||
Net asset value, end of period | $ | 11.74 | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | |||||||||||||
Total return | 5.11 | %(3) | 0.30 | % | 2.53 | % | 2.55 | % | 0.79 | % | 3.29 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 49.2 | $ | 47.3 | $ | 53.9 | $ | 98.1 | $ | 103.4 | $ | 115.6 | |||||||||||||
Ratio of expenses to | �� | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.41 | %(4) | 2.26 | % | 2.07 | % | 1.96 | % | 1.89 | % | 2.12 | % | |||||||||||||
Portfolio turnover rate(5) | 12 | %(3) | 32 | % | 31 | % | 30 | % | 39 | % | 29 | % |
(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 105
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | $ | 10.41 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.15 | (1) | 0.29 | (1) | 0.26 | (1) | 0.25 | (1) | 0.24 | (1) | 0.30 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.54 | (0.33 | ) | 0.19 | 0.12 | (0.18 | ) | 0.41 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.69 | (0.04 | ) | 0.45 | 0.37 | 0.06 | 0.71 | ||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.15 | ) | (0.30 | ) | (0.28 | ) | (0.26 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||
Total distributions | (0.15 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||
Net asset value, end of period | $ | 11.07 | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | |||||||||||||
Total return | 6.58 | %(2) | (0.30 | )% | 4.20 | % | 3.52 | % | 0.55 | % | 6.89 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 19,862.0 | $ | 14,897.5 | $ | 13,582.8 | $ | 9,769.9 | $ | 6,318.4 | $ | 3,448.6 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.88 | %(3) | 2.77 | % | 2.40 | % | 2.25 | % | 2.24 | % | 2.81 | % | |||||||||||||
Portfolio turnover rate(4) | 16 | %(2) | 24 | % | 28 | % | 36 | % | 40 | % | 32 | % |
(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 106
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | $ | 10.72 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.15 | (1) | 0.27 | (1) | 0.24 | (1) | 0.23 | (1) | 0.22 | (1) | 0.28 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.56 | (0.33 | ) | 0.19 | 0.14 | (0.20 | ) | 0.43 | |||||||||||||||||
Total from | �� | ||||||||||||||||||||||||
investment operations | 0.71 | (0.06 | ) | 0.43 | 0.37 | 0.02 | 0.71 | ||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.14 | ) | (0.28 | ) | (0.25 | ) | (0.24 | ) | (0.23 | ) | (0.28 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||
Total distributions | (0.14 | ) | (0.28 | ) | (0.25 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | |||||||||||||
Net asset value, end of period | $ | 11.46 | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | |||||||||||||
Total return | 6.51 | %(2) | (0.54 | )% | 3.90 | % | 3.34 | % | 0.21 | % | 6.71 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 729.9 | $ | 718.2 | $ | 825.4 | $ | 809.1 | $ | 429.6 | $ | 241.7 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.63 | %(3) | 2.52 | % | 2.15 | % | 2.00 | % | 1.99 | % | 2.56 | % | |||||||||||||
Portfolio turnover rate(4) | 16 | %(2) | 24 | % | 28 | % | 36 | % | 40 | % | 32 | % |
(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 107
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | $ | 10.77 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.17 | (1) | 0.33 | (1) | 0.30 | (1) | 0.29 | (1) | 0.28 | (1) | 0.32 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.59 | (0.39 | ) | 0.21 | 0.22 | (0.26 | ) | 0.38 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.76 | (0.06 | ) | 0.51 | 0.51 | 0.02 | 0.70 | ||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.17 | ) | (0.34 | ) | (0.32 | ) | (0.31 | ) | (0.31 | ) | (0.33 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||
Total distributions | (0.17 | ) | (0.34 | ) | (0.32 | ) | (0.33 | ) | (0.31 | ) | (0.33 | ) | |||||||||||||
Net asset value, end of period | $ | 11.41 | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | |||||||||||||
Total return | 7.05 | %(2) | (0.51 | )% | 4.65 | % | 4.73 | % | 0.14 | % | 6.59 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 19,089.9 | $ | 15,635.3 | $ | 13,920.2 | $ | 10,023.6 | $ | 7,199.8 | $ | 4,520.9 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 3.12 | %(3) | 3.01 | % | 2.68 | % | 2.61 | % | 2.50 | % | 2.89 | % | |||||||||||||
Portfolio turnover rate(4) | 11 | %(2) | 26 | % | 30 | % | 33 | % | 34 | % | 35 | % |
(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 108
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | $ | 11.16 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.16 | (1) | 0.31 | (1) | 0.28 | (1) | 0.27 | (1) | 0.26 | (1) | 0.29 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.60 | (0.40 | ) | 0.23 | 0.23 | (0.27 | ) | 0.40 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.76 | (0.09 | ) | 0.51 | 0.50 | (0.01 | ) | 0.69 | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.15 | ) | (0.31 | ) | (0.29 | ) | (0.28 | ) | (0.28 | ) | (0.30 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||
Total distributions | (0.15 | ) | (0.31 | ) | (0.29 | ) | (0.30 | ) | (0.28 | ) | (0.30 | ) | |||||||||||||
Net asset value, end of period | $ | 11.89 | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | |||||||||||||
Total return | 6.81 | %(2) | (0.74 | )% | 4.47 | % | 4.47 | % | (0.11 | )% | 6.27 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 2,262.6 | $ | 2,171.0 | $ | 2,431.0 | $ | 2,881.8 | $ | 2,183.5 | $ | 2,195.7 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 2.87 | %(3) | 2.76 | % | 2.43 | % | 2.36 | % | 2.25 | % | 2.64 | % | |||||||||||||
Portfolio turnover rate(4) | 11 | %(2) | 26 | % | 30 | % | 33 | % | 34 | % | 35 | % |
(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 109
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | | ||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, | |||||||||||||||||||||
beginning of period | $ | 10.06 | $ | 10.08 | $ | 9.97 | $ | 10.04 | $ | 10.00 | |||||||||||
Income from | |||||||||||||||||||||
investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.11 | 0.20 | 0.18 | 0.15 | 0.05 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 0.15 | (0.03 | ) | 0.10 | (0.08 | ) | 0.04 | ||||||||||||||
Total from investment operations | 0.26 | 0.17 | 0.28 | 0.07 | 0.09 | ||||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from net | |||||||||||||||||||||
investment income | (0.10 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | (0.04 | ) | |||||||||||
Distributions from | |||||||||||||||||||||
net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | ||||||||||||
Total distributions | (0.10 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | (0.05 | ) | |||||||||||
Net asset value, end of period | $ | 10.22 | $ | 10.06 | $ | 10.08 | $ | 9.97 | $ | 10.04 | |||||||||||
Total return | 2.62 | %(4) | 1.75 | % | 2.84 | % | 0.71 | % | 0.94 | %(4) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (millions) | $ | 418.1 | $ | 281.2 | $ | 120.9 | $ | 52.4 | $ | 12.3 | |||||||||||
Ratio of expenses to average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(5) | |||||||||||
Ratio of net investment income | |||||||||||||||||||||
to average net assets | 2.15 | %(5) | 2.03 | % | 1.74 | % | 1.44 | % | 1.42 | %(5) | |||||||||||
Portfolio turnover rate(6) | 39 | %(4) | 107 | % | 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 110
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, | |||||||||||||||||||||
beginning of period | $ | 10.04 | $ | 10.06 | $ | 9.96 | $ | 10.04 | $ | 10.00 | |||||||||||
Income from | |||||||||||||||||||||
investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.10 | 0.18 | 0.15 | 0.12 | 0.04 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 0.16 | (0.03 | ) | 0.09 | (0.08 | ) | 0.05 | ||||||||||||||
Total from investment operations | 0.26 | 0.15 | 0.24 | 0.04 | 0.09 | ||||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from net | |||||||||||||||||||||
investment income | (0.09 | ) | (0.17 | ) | (0.14 | ) | (0.12 | ) | (0.04 | ) | |||||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | ||||||||||||
Total distributions | (0.09 | ) | (0.17 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | |||||||||||
Net asset value, end of period | $ | 10.21 | $ | 10.04 | $ | 10.06 | $ | 9.96 | $ | 10.04 | |||||||||||
Total return | 2.60 | %(4) | 1.52 | % | 2.45 | % | 0.40 | % | 0.86 | %(4) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (millions) | $ | 79.2 | $ | 64.0 | $ | 4.9 | $ | 6.3 | $ | 0.1 | |||||||||||
Ratio of expenses to average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(5) | |||||||||||
Ratio of net investment income | |||||||||||||||||||||
to average net assets | 1.90 | %(5) | 1.78 | % | 1.49 | % | 1.19 | % | 1.17 | %(5) | |||||||||||
Portfolio turnover rate(6) | 39 | %(4) | 107 | % | 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 111
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | $ | 11.55 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.27 | (1) | 0.27 | (1) | 0.26 | (1) | 0.28 | (1) | 0.30 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.31 | (0.14 | ) | 0.09 | (0.31 | ) | (0.03 | ) | 0.22 | ||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.45 | 0.13 | 0.36 | (0.05 | ) | 0.25 | 0.52 | ||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.13 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
return of capital | — | — | (0.00 | )(2) | — | — | — | ||||||||||||||||||
Total distributions | (0.13 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | |||||||||||||
Net asset value, end of period | $ | 11.70 | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | |||||||||||||
Total return | 3.99 | %(3) | 1.19 | % | 3.12 | % | (0.46 | )% | 2.19 | % | 4.54 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 1,094.0 | $ | 1,009.2 | $ | 1,044.1 | $ | 936.2 | $ | 988.4 | $ | 918.9 | |||||||||||||
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 | 2.36 | %(4) | 2.39 | % | 2.29 | % | 2.19 | % | 2.42 | % | 2.56 | % | |||||||||||||
Portfolio turnover rate(5) | 19 | %(3) | 40 | % | 31 | % | 22 | % | 9 | % | 5 | % |
(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 112
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | $ | 11.80 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income | 0.12 | (1) | 0.25 | (1) | 0.24( | 1) | 0.23 | (1) | 0.26 | (1) | 0.28 | ||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 0.32 | (0.15 | ) | 0.11 | (0.31 | ) | (0.04 | ) | 0.22 | ||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 0.44 | 0.10 | 0.35 | (0.08 | ) | 0.22 | 0.50 | ||||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from net | |||||||||||||||||||||||||
investment income | (0.12 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | |||||||||||||
Distributions from | |||||||||||||||||||||||||
return of capital | — | — | (0.00 | )(2) | — | — | — | ||||||||||||||||||
Total distributions | (0.12 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | |||||||||||||
Net asset value, end of period | $ | 11.98 | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | |||||||||||||
Total return | 3.77 | %(3) | 0.90 | % | 2.97 | % | (0.70 | )% | 1.89 | % | 4.27 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 84.8 | $ | 110.8 | $ | 107.3 | $ | 136.1 | $ | 160.3 | $ | 186.7 | |||||||||||||
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 | 2.11 | %(4) | 2.14 | % | 2.00 | % | 1.94 | % | 2.17 | % | 2.31 | % | |||||||||||||
Portfolio turnover rate(5) | 19 | %(3) | 40 | % | 31 | % | 22 | % | 9 | % | 5 | % |
(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 113
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, | |||||||||||||||||||||
beginning of period | $ | 10.22 | $ | 10.32 | $ | 10.01 | $ | 10.13 | $ | 10.00 | |||||||||||
Income from | |||||||||||||||||||||
investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.12 | 0.23 | 0.21 | 0.18 | 0.06 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 0.33 | (0.10 | ) | 0.30 | (0.05 | ) | 0.14 | ||||||||||||||
Total from investment operations | 0.45 | 0.13 | 0.51 | 0.13 | 0.20 | ||||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from net | |||||||||||||||||||||
investment income | (0.12 | ) | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.06 | ) | |||||||||||
Distributions from | |||||||||||||||||||||
net realized gains | — | — | — | (0.07 | ) | (0.01 | ) | ||||||||||||||
Total distributions | (0.12 | ) | (0.23 | ) | (0.20 | ) | (0.25 | ) | (0.07 | ) | |||||||||||
Net asset value, end of period | $ | 10.55 | $ | 10.22 | $ | 10.32 | $ | 10.01 | $ | 10.13 | |||||||||||
Total return | 4.40 | %(3) | 1.30 | % | 5.15 | % | 1.14 | % | 1.98 | %(3) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (millions) | $ | 448.8 | $ | 378.1 | $ | 234.8 | $ | 96.3 | $ | 50.8 | |||||||||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(4) | |||||||||||
Ratio of net investment | |||||||||||||||||||||
income to average net assets | 2.39 | %(4) | 2.30 | % | 2.04 | % | 1.79 | % | 1.75 | %(4) | |||||||||||
Portfolio turnover rate(5) | 32 | %(3) | 70 | % | 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 114
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | | ||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, | |||||||||||||||||||||
beginning of period | $ | 10.22 | $ | 10.32 | $ | 10.00 | $ | 10.13 | $ | 10.00 | |||||||||||
Income from | |||||||||||||||||||||
investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.11 | 0.21 | 0.18 | 0.16 | 0.05 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 0.33 | (0.11 | ) | 0.32 | (0.06 | ) | 0.14 | ||||||||||||||
Total from investment operations | 0.44 | 0.10 | 0.50 | 0.10 | 0.19 | ||||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from net | |||||||||||||||||||||
investment income | (0.11 | ) | (0.20 | ) | (0.18 | ) | (0.16 | ) | (0.05 | ) | |||||||||||
Distributions from | |||||||||||||||||||||
net realized gains | — | — | — | (0.07 | ) | (0.01 | ) | ||||||||||||||
Total distributions | (0.11 | ) | (0.20 | ) | (0.18 | ) | (0.23 | ) | (0.06 | ) | |||||||||||
Net asset value, end of period | $ | 10.55 | $ | 10.22 | $ | 10.32 | $ | 10.00 | $ | 10.13 | |||||||||||
Total return | 4.28 | %(3) | 1.05 | % | 5.00 | % | 0.91 | % | 1.91 | %(3) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (millions) | $ | 4.0 | $ | 2.0 | $ | 1.7 | $ | 1.4 | $ | 0.2 | |||||||||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(4) | |||||||||||
Ratio of net investment | |||||||||||||||||||||
income to average net assets | 2.14 | %(4) | 2.05 | % | 1.79 | % | 1.54 | % | 1.50 | %(4) | |||||||||||
Portfolio turnover rate(5) | 32 | %(3) | 70 | % | 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 115
Notes to the Financial Statements
June 30, 2019 (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 14 active funds in the 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 following table presents the class-specific inception dates for each of the Funds:
Inception Date | ||||
Fund | Institutional Class | Investor Class | ||
Baird Ultra Short Bond Fund | December 31, 2013 | December 31, 2013 | ||
Baird Short-Term Bond Fund | August 31, 2004 | September 19, 2012 | ||
Baird Intermediate Bond Fund | September 29, 2000 | September 29, 2000 | ||
Baird Aggregate Bond Fund | September 29, 2000 | September 29, 2000 | ||
Baird Core Plus Bond Fund | September 29, 2000 | September 29, 2000 | ||
Baird Short-Term Municipal Bond Fund | August 31, 2015 | August 31, 2015 | ||
Baird Quality Intermediate Municipal Bond Fund | March 30, 2001 | March 30, 2001 | ||
Baird Core Intermediate Municipal Bond Fund | August 31, 2015 | August 31, 2015 |
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 Fund’s benchmark index, the Bloomberg Barclays U.S. Short-Term Government/Corporate Index, is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues including government and corporate securities with maturities less than one year.
The investment objective of the Baird Short-Term Bond Fund is to seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index. The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues 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.
Page 116
Notes to the Financial Statements
June 30, 2019 (Unaudited)
1. | Organization (cont.) |
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.
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 U.S. Securities and 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 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 |
Page 117
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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. In addition, given the volatility and periodic illiquidity experienced in recent years, the prices determined for any individual security on any given day may vary significantly from the amount that can be obtained in an actual sale of that security, and the Funds’ NAVs may fluctuate significantly from day to day or from period to period. | |
b) | Unregistered Securities — Seven of the Funds own certain investment securities which are unregistered. All of the unregistered securities held by the Funds as of June 30, 2019 consist of securities issued pursuant to Rule 144A under the Securities Act of 1933 and all have been classified as liquid under the Funds’ liquidity risk management program. |
The value of such securities for the Funds is as follows: |
Fund | Market Value | % of Net Assets | |||||||
Baird Ultra Short Bond Fund | $ | 345,759,533 | 24.57 | % | |||||
Baird Short-Term Bond Fund | 1,559,954,826 | 23.57 | % | ||||||
Baird Intermediate Bond Fund | 793,610,994 | 18.76 | % | ||||||
Baird Aggregate Bond Fund | 3,090,669,696 | 15.01 | % | ||||||
Baird Core Plus Bond Fund | 3,958,852,043 | 18.54 | % | ||||||
Baird Short-Term Municipal Bond Fund | 210,519 | 0.04 | % | ||||||
Baird Core Intermediate Municipal Bond Fund | 5,473,482 | 1.21 | % |
c) | Foreign Securities – For purposes of these financial statements, 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, 2019, or for any other tax years which are open for exam. As of June 30, 2019, open tax years include the tax years |
Page 118
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies (cont.) |
ended December 31, 2015 through 2018. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as interest and other expense, respectively, in the Statement of Operations. During the period, the Funds did not incur any interest or penalties. | |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets or are divided equally amongst the Funds. |
f) | 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 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. |
j) | New Accounting Pronouncements – In August 2018, FASB issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated ASU 2018-13 and has early adopted the relevant provisions of the disclosure framework. |
In March 2017, FASB issued ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). The amendments in the ASU 2017-08 shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU 2017-08 does not require an |
Page 119
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies (cont.) |
accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU 2017-08 is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Funds’ financial statements. | |
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, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 86,806,181 | $ | 872,058,781 | 78,659,234 | $ | 788,724,253 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,680,264 | 16,873,889 | 1,414,830 | 14,179,791 | ||||||||||||
Shares redeemed | (54,172,971 | ) | (544,609,907 | ) | (30,030,843 | ) | (301,247,845 | ) | ||||||||
Net increase | 34,313,474 | $ | 344,322,763 | 50,043,221 | $ | 501,656,199 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 103,091,271 | 53,048,050 | ||||||||||||||
End of period | 137,404,745 | 103,091,271 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,413,366 | $ | 24,228,870 | 1,993,690 | $ | 19,992,037 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 22,946 | 230,318 | 17,550 | 175,826 | ||||||||||||
Shares redeemed | (1,536,821 | ) | (15,433,336 | ) | (1,207,904 | ) | (12,108,086 | ) | ||||||||
Net increase | 899,491 | $ | 9,025,852 | 803,336 | $ | 8,059,777 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,557,130 | 753,794 | ||||||||||||||
End of period | 2,456,621 | 1,557,130 | ||||||||||||||
Total net increase | $ | 353,348,615 | $ | 509,715,976 | ||||||||||||
Baird Short-Term Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 169,821,339 | $ | 1,637,353,166 | 230,490,656 | $ | 2,205,699,257 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 7,322,161 | 70,776,434 | 11,941,081 | 114,094,971 | ||||||||||||
Shares redeemed | (101,874,612 | ) | (984,998,514 | ) | (217,774,767 | ) | (2,083,542,157 | ) | ||||||||
Net increase | 75,268,888 | $ | 723,131,086 | 24,656,970 | $ | 236,252,071 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 584,612,351 | 559,955,381 | ||||||||||||||
End of period | 659,881,239 | 584,612,351 |
Page 120
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Short-Term Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,996,232 | $ | 67,441,746 | 8,470,183 | $ | 81,038,469 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 186,400 | 1,801,785 | 275,815 | 2,634,716 | ||||||||||||
Shares redeemed | (3,621,911 | ) | (34,964,997 | ) | (7,591,407 | ) | (72,606,403 | ) | ||||||||
Net increase | 3,560,721 | $ | 34,278,534 | 1,154,591 | $ | 11,066,782 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 15,149,504 | 13,994,913 | ||||||||||||||
End of period | 18,710,225 | 15,149,504 | ||||||||||||||
Total net increase | $ | 757,409,620 | $ | 247,318,853 | ||||||||||||
Baird Intermediate Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 87,558,016 | $ | 960,687,025 | 120,674,917 | $ | 1,302,127,327 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 3,571,457 | 39,315,813 | 6,139,768 | 66,041,602 | ||||||||||||
Shares redeemed | (20,834,911 | ) | (228,492,222 | ) | (88,027,083 | ) | (947,396,828 | ) | ||||||||
Net increase | 70,294,562 | $ | 771,510,616 | 38,787,602 | $ | 420,772,101 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 302,408,104 | 263,620,502 | ||||||||||||||
End of period | 372,702,666 | 302,408,104 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 638,887 | $ | 7,320,624 | 1,141,775 | $ | 12,839,399 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 43,694 | 502,638 | 87,422 | 983,134 | ||||||||||||
Shares redeemed | (682,116 | ) | (7,794,254 | ) | (1,732,469 | ) | (19,543,121 | ) | ||||||||
Net increase (decrease) | 465 | $ | 29,008 | (503,272 | ) | $ | (5,720,588 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 4,188,580 | 4,691,852 | ||||||||||||||
End of period | 4,189,045 | 4,188,580 | ||||||||||||||
Total net increase | $ | 771,539,624 | $ | 415,051,513 |
Page 121
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Aggregate Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 519,317,883 | $ | 5,583,524,618 | 451,737,547 | $ | 4,778,349,475 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 20,211,385 | 218,358,010 | 35,450,954 | 372,654,044 | ||||||||||||
Shares redeemed | (161,081,858 | ) | (1,733,742,956 | ) | (321,463,235 | ) | (3,384,434,780 | ) | ||||||||
Net increase | 378,447,410 | $ | 4,068,139,672 | 165,725,266 | $ | 1,766,568,739 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,414,973,444 | 1,249,248,178 | ||||||||||||||
End of period | 1,793,420,854 | 1,414,973,444 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 10,814,413 | $ | 121,070,763 | 18,687,127 | $ | 204,403,782 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 712,380 | 7,952,345 | 1,666,727 | 18,120,244 | ||||||||||||
Shares redeemed | (13,779,628 | ) | (153,211,849 | ) | (27,868,733 | ) | (304,405,153 | ) | ||||||||
Net decrease | (2,252,835 | ) | $ | (24,188,741 | ) | (7,514,879 | ) | $ | (81,881,127 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 65,952,577 | 73,467,456 | ||||||||||||||
End of period | 63,699,742 | 65,952,577 | ||||||||||||||
Total net increase | $ | 4,043,950,931 | $ | 1,684,687,612 | ||||||||||||
Baird Core Plus Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 341,209,381 | $ | 3,803,506,920 | 472,086,657 | $ | 5,150,580,845 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 21,230,760 | 236,189,467 | 40,365,062 | 437,833,773 | ||||||||||||
Shares redeemed | (134,042,782 | ) | (1,483,654,218 | ) | (308,270,771 | ) | (3,351,887,450 | ) | ||||||||
Net increase | 228,397,359 | $ | 2,556,042,169 | 204,180,948 | $ | 2,236,527,168 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,444,559,576 | 1,240,378,628 | ||||||||||||||
End of period | 1,672,956,935 | 1,444,559,576 |
Page 122
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Core Plus Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 25,982,656 | $ | 299,730,407 | 51,876,241 | $ | 590,572,111 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 2,471,512 | 28,630,336 | 5,554,417 | 62,777,146 | ||||||||||||
Shares redeemed | (30,764,785 | ) | (353,640,177 | ) | (73,078,935 | ) | (828,039,256 | ) | ||||||||
Net decrease | (2,310,617 | ) | $ | (25,279,434 | ) | (15,648,277 | ) | $ | (174,689,999 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 192,536,434 | 208,184,711 | ||||||||||||||
End of period | 190,225,817 | 192,536,434 | ||||||||||||||
Total net increase | $ | 2,530,762,735 | $ | 2,061,837,169 | ||||||||||||
Baird Short-Term Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 23,234,196 | $ | 235,590,300 | 25,801,037 | $ | 259,079,339 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 263,747 | 2,678,378 | 259,265 | 2,599,466 | ||||||||||||
Shares redeemed | (10,560,807 | ) | (107,170,351 | ) | (10,102,773 | ) | (101,396,304 | ) | ||||||||
Net increase | 12,937,136 | $ | 131,098,327 | 15,957,529 | $ | 160,282,501 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 27,961,548 | 12,004,019 | ||||||||||||||
End of period | 40,898,684 | 27,961,548 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,619,506 | $ | 26,505,602 | 9,118,983 | $ | 91,442,373 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 63,526 | 644,068 | 111,800 | 1,118,910 | ||||||||||||
Shares redeemed | (1,299,787 | ) | (13,157,537 | ) | (3,341,533 | ) | (33,423,078 | ) | ||||||||
Net increase | 1,383,245 | $ | 13,992,133 | 5,889,250 | $ | 59,138,205 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 6,372,065 | 482,815 | ||||||||||||||
End of period | 7,755,310 | 6,372,065 | ||||||||||||||
Total net increase | $ | 145,090,460 | $ | 219,420,706 |
Page 123
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Quality Intermediate Municipal Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 18,167,725 | $ | 209,356,570 | 38,663,007 | $ | 438,949,320 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 924,504 | 10,688,068 | 1,901,388 | 21,546,361 | ||||||||||||
Shares redeemed | (14,232,090 | ) | (164,209,116 | ) | (42,485,313 | ) | (481,361,176 | ) | ||||||||
Net increase (decrease) | 4,860,139 | $ | 55,835,522 | (1,920,918 | ) | $ | (20,865,495 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 88,685,347 | 90,606,264 | ||||||||||||||
End of period | 93,545,486 | 88,685,346 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,020,868 | $ | 12,058,111 | 3,624,325 | $ | 42,022,042 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 73,716 | 872,573 | 163,656 | 1,899,608 | ||||||||||||
Shares redeemed | (3,521,264 | ) | (41,471,188 | ) | (3,379,869 | ) | (39,320,104 | ) | ||||||||
Net increase (decrease) | (2,426,680 | ) | $ | (28,540,504 | ) | 408,112 | $ | 4,601,546 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 9,503,482 | 9,095,370 | ||||||||||||||
End of period | 7,076,802 | 9,503,482 | ||||||||||||||
Total net increase (decrease) | $ | 27,295,018 | $ | (16,263,949 | ) | |||||||||||
Baird Core Intermediate Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,247,189 | $ | 96,146,434 | 25,471,835 | $ | 258,784,030 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 313,517 | 3,263,250 | 428,102 | 4,347,957 | ||||||||||||
Shares redeemed | (4,036,522 | ) | (41,776,555 | ) | (11,656,645 | ) | (118,274,571 | ) | ||||||||
Net increase | 5,524,184 | $ | 57,633,129 | 14,243,292 | $ | 144,857,416 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 36,992,418 | 22,749,126 | ||||||||||||||
End of period | 42,516,602 | 36,992,418 |
Page 124
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Core Intermediate Municipal Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 205,366 | $ | 2,128,111 | 159,205 | $ | 1,619,578 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 2,833 | 29,519 | 3,228 | 32,782 | ||||||||||||
Shares redeemed | (25,461 | ) | (262,879 | ) | (134,593 | ) | (1,369,678 | ) | ||||||||
Net increase | 182,738 | $ | 1,894,751 | 27,840 | $ | 282,682 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 194,109 | 166,269 | ||||||||||||||
End of period | 376,847 | 194,109 | ||||||||||||||
Total net increase | $ | 59,527,880 | $ | 145,140,098 |
During the period ended June 30, 2019, the Funds satisfied purchase in kind requests made by large institutional shareholders by transferring cash and securities into the Funds. The transfers were effected in accordance with policies and procedures approved by the Board. Consideration received and shares exchanged were as follows:
Value of Cash and | |||||||||
Effective Date | Fund | Securities Received | Shares Exchanged | ||||||
February 27, 2019 | Baird Intermediate Bond Fund | $ | 31,286,219 | 2,878,217 | |||||
April 17, 2019 | Baird Short-Term Bond Fund | 20,928,303 | 2,164,251 | ||||||
April 24, 2019 | Baird Intermediate Bond Fund | 5,132,174 | 465,715 | ||||||
April 24, 2019 | Baird Intermediate Bond Fund | 730,646 | 66,302 | ||||||
May 30, 2019 | Baird Aggregate Bond Fund | 15,529,086 | 1,424,687 | ||||||
May 30, 2019 | Baird Intermediate Bond Fund | 7,067,068 | 637,822 | ||||||
May 30, 2019 | Baird Short-Term Bond Fund | 4,117,024 | 424,435 |
During the year ended December 31, 2018, the Funds satisfied purchase in kind requests made by large institutional shareholders by transferring cash and securities into the Funds. The transfers were effected in accordance with policies and procedures approved by the Board. Consideration received and shares exchanged were as follows:
Value of Cash and | |||||||||
Effective Date | Fund | Securities Received | Shares Exchanged | ||||||
March 28, 2018 | Baird Core Plus Bond Fund | $ | 21,780,947 | 1,987,313 | |||||
November 28, 2018 | Baird Core Plus Bond Fund | 40,044,307 | 3,742,459 |
Page 125
Notes to the Financial Statements
June 30, 2019 (Unaudited)
4. | Investment Transactions and Income Tax Information |
During the six months ended June 30, 2019, purchases and sales of investment securities (excluding short-term investments and any in-kind transactions) were as follows:
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Baird Ultra Short Bond Fund | $ | 92,234,063 | $ | 29,715,820 | $ | 506,191,340 | $ | 232,819,582 | ||||||||
Baird Short-Term Bond Fund | 1,399,390,241 | 815,274,113 | 1,316,970,713 | 1,156,642,690 | ||||||||||||
Baird Intermediate Bond Fund | 751,843,183 | 282,870,144 | 406,489,585 | 158,282,362 | ||||||||||||
Baird Aggregate Bond Fund | 3,315,842,353 | 2,214,297,177 | 3,234,602,668 | 676,636,137 | ||||||||||||
Baird Core Plus Bond Fund | 1,996,310,281 | 1,287,502,896 | 2,340,523,553 | 839,881,203 | ||||||||||||
Baird Short-Term | ||||||||||||||||
Municipal Bond Fund | — | — | 300,558,867 | 156,199,886 | ||||||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 241,936,567 | 212,602,276 | ||||||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 189,418,998 | 125,988,861 |
At December 31, 2018, gross unrealized appreciation and depreciation of investments and distributable income and long-term capital gains for federal tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of investments | $ | 1,043,955,466 | $ | 5,805,957,936 | $ | 3,359,565,378 | ||||||
Gross unrealized appreciation | $ | 320,022 | $ | 11,505,650 | $ | 13,924,200 | ||||||
Gross unrealized depreciation | (2,493,274 | ) | (45,962,027 | ) | (55,505,133 | ) | ||||||
Net unrealized appreciation (depreciation) | (2,173,252 | ) | (34,456,377 | ) | (41,580,933 | ) | ||||||
Undistributed ordinary income | 57,931 | 643,320 | 200,149 | |||||||||
Total distributable earnings, | ||||||||||||
before other accumulated losses | 57,931 | 643,320 | 200,149 | |||||||||
Other accumulated losses | (510,014 | ) | (31,457,419 | ) | (19,761,019 | ) | ||||||
Total distributable loss | $ | (2,625,335 | ) | $ | (65,270,476 | ) | $ | (61,141,803 | ) | |||
Baird | Baird | |||||||||||
Aggregate | Core Plus | |||||||||||
Bond Fund | Bond Fund | |||||||||||
Cost of investments | $ | 15,873,989,964 | $ | 18,132,436,174 | ||||||||
Gross unrealized appreciation | $ | 71,577,576 | $ | 85,200,828 | ||||||||
Gross unrealized depreciation | (372,080,401 | ) | (451,141,375 | ) | ||||||||
Net unrealized appreciation (depreciation) | (300,502,825 | ) | (365,940,547 | ) | ||||||||
Undistributed ordinary income | 405,277 | 1,047,051 | ||||||||||
Total distributable earnings, | �� | |||||||||||
before other accumulated losses | 405,277 | 1,047,051 | ||||||||||
Other accumulated losses | (90,871,360 | ) | (104,368,539 | ) | ||||||||
Total distributable loss | $ | (390,968,908 | ) | $ | (469,262,035 | ) |
Page 126
Notes to the Financial Statements
June 30, 2019 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | Baird Quality | Baird Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of investments | $ | 343,542,791 | $ | 1,094,771,314 | $ | 374,352,842 | ||||||
Gross unrealized appreciation | $ | 1,192,252 | $ | 18,346,470 | $ | 3,668,227 | ||||||
Gross unrealized depreciation | (945,717 | ) | (6,043,337 | ) | (1,836,200 | ) | ||||||
Net unrealized appreciation (depreciation) | 246,535 | 12,303,133 | 1,832,027 | |||||||||
Undistributed tax-exempt income | 20,096 | 44,705 | 4,567 | |||||||||
Total distributable earnings, | ||||||||||||
before other accumulated losses | 20,096 | 44,705 | 4,567 | |||||||||
Other accumulated losses | (381,415 | ) | (9,668,499 | ) | (526,218 | ) | ||||||
Total distributable earnings (loss) | $ | (114,784 | ) | $ | 2,679,339 | $ | 1,310,376 |
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. These reclassifications have no effect on net assets or net asset value per share.
Distributions to Shareholders
Each Fund generally pays dividends monthly from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
The tax components of distributions paid during the periods shown below were as follows:
Six Months Ended June 30, 2019 | ||||||||||||
Ordinary | Tax-Exempt | |||||||||||
Fund | Income | Income | Total | |||||||||
Baird Ultra Short Bond Fund | $ | 17,615,624 | $ | — | $ | 17,615,624 | ||||||
Baird Short-Term Bond Fund | 78,375,628 | — | 78,375,628 | |||||||||
Baird Intermediate Bond Fund | 47,366,269 | — | 47,366,269 | |||||||||
Baird Aggregate Bond Fund | 251,720,934 | — | 251,720,934 | |||||||||
Baird Core Plus Bond Fund | 283,184,673 | — | 283,184,673 | |||||||||
Baird Short-Term Municipal Bond Fund | — | 4,368,076 | 4,368,076 | |||||||||
Baird Quality Intermediate Municipal Bond Fund | — | 13,153,033 | 13,153,033 | |||||||||
Baird Core Intermediate Municipal Bond Fund | — | 4,655,632 | 4,655,632 | |||||||||
Year Ended December 31, 2018 | ||||||||||||
Ordinary | Tax-Exempt | |||||||||||
Fund | Income | Income | Total | |||||||||
Baird Ultra Short Bond Fund | $ | 15,337,212 | $ | — | $ | 15,337,212 | ||||||
Baird Short-Term Bond Fund | 125,304,686 | — | 125,304,686 | |||||||||
Baird Intermediate Bond Fund | 81,661,737 | — | 81,661,737 | |||||||||
Baird Aggregate Bond Fund | 441,023,109 | — | 441,023,109 | |||||||||
Baird Core Plus Bond Fund | 537,907,100 | — | 537,907,100 | |||||||||
Baird Short-Term Municipal Bond Fund | 56,689 | 4,559,664 | 4,616,353 | |||||||||
Baird Quality Intermediate Municipal Bond Fund | 13,436 | 27,039,669 | 27,053,105 | |||||||||
Baird Core Intermediate Municipal Bond Fund | 44,297 | 6,511,709 | 6,556,006 |
Page 127
Notes to the Financial Statements
June 30, 2019 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2018, accumulated net realized capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:
Capital Loss Carryover | Year of Expiration | |||||||||
Fund | Short-term | Long-term | Short-term | Long-term | ||||||
Baird Ultra Short Bond Fund | $ | 396,643 | $ | 113,371 | Indefinite | Indefinite | ||||
Baird Short-Term Bond Fund | 16,811,463 | 14,645,956 | Indefinite | Indefinite | ||||||
Baird Intermediate Bond Fund | 2,791,882 | 16,969,137 | Indefinite | Indefinite | ||||||
Baird Aggregate Bond Fund | 44,777,539 | 46,093,821 | Indefinite | Indefinite | ||||||
Baird Core Plus Bond Fund | 60,857,667 | 43,510,872 | Indefinite | Indefinite | ||||||
Baird Short-Term Municipal Bond Fund | 170,394 | 211,021 | Indefinite | Indefinite | ||||||
Baird Quality Intermediate Municipal Bond Fund | 4,820,535 | 4,847,964 | Indefinite | Indefinite | ||||||
Baird Core Intermediate Municipal Bond Fund | 482,653 | 43,565 | Indefinite | Indefinite |
At December 31, 2018, no Funds deferred, on a tax basis, qualified late year losses.
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 and employees 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, 2020. 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, 2019, the Advisor waived the following amount pursuant to the fee waiver agreement between the Advisor and the Corporation on behalf of the Baird Ultra Short Bond Fund:
Fund | Waived Amount | |
Baird Ultra Short Bond Fund | $1,017,608 |
These fees are not subject to recoupment by the Advisor.
The Funds have entered into an Administration Agreement with Baird. Under the Administration Agreement, the Advisor assumes and pays all expenses of the applicable Fund other than the investment advisory fees, fees under the 12b-1 plan, costs related to portfolio securities transactions and extraordinary or non-recurring expenses. Pursuant to the Administration Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.05% for the Funds as applied to the respective Fund’s average daily net assets.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, 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, 2019 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 at all times and is subject to certain restrictions and covenants. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total eligible net assets (including the amount borrowed) of the respective Fund, or $600,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at the U.S. Prime Rate
Page 128
Notes to the Financial Statements
June 30, 2019 (Unaudited)
6. | Line of Credit (cont.) |
less 2%, but in no event less than a net rate of 1% per annum. The LOC matures on May 25, 2020, 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 from the LOC during the six months ended June 30, 2019. As of June 30, 2019, the Prime Rate was 5.50%. At June 30, 2019, the Funds did not have any outstanding borrowings under the LOC.
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, 2019 the Funds incurred fees pursuant to the Plan as follows:
Baird Ultra Short Bond | $ 27,426 | |||
Baird Short Term-Bond | 205,281 | |||
Baird Intermediate Bond | 58,425 | |||
Baird Aggregate Bond | 869,845 | |||
Baird Core Plus Bond | 2,696,455 | |||
Baird Short Term Municipal Bond Fund | 89,338 | |||
Baird Quality Intermediate Municipal Fund | 114,320 | |||
Baird Core Intermediate Municipal Bond Fund | 3,704 |
8. | Subsequent Events |
In preparing these financial statements, management has evaluated events after June 30, 2019. There were no subsequent events since June 30, 2019, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
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, by accessing the Funds’ website at www.bairdfunds.com or 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, by accessing the Funds’ website at www.bairdfunds.com or 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 U.S. Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds’ filings on Part F of Form N-PORT are available on the SEC’s website at www.sec.gov and may also be obtained by calling toll-free 1-866-44BAIRD.
Page 129
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
Darren R. Jackson
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, 2019
Baird MidCap Fund
Baird Small/Mid Cap Growth Fund
Baird Small/Mid Cap Value Fund
Baird SmallCap Value Fund
Chautauqua International Growth Fund
Chautauqua Global Growth Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature) and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary or, if you are a direct investor, by calling 1-866-442-2473, or sending an e-mail request to prospectus@bairdfunds.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 1-866-442-2473 or send an e-mail request to prospectus@bairdfunds.com to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held in your account if you invest through your financial intermediary or all Funds held with the fund complex if you invest directly with the Funds.
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 Growth Fund | 8 | |
Baird Small/Mid Cap Value Fund | 15 | |
Baird SmallCap Value Fund | 21 | |
Chautauqua International Growth Fund | 27 | |
Chautauqua Global Growth Fund | 33 | |
Additional Information on Fund Expenses | 39 | |
Statements of Assets and Liabilities | 41 | |
Statements of Operations | 44 | |
Statements of Changes in Net Assets | 47 | |
Financial Highlights | 53 | |
Notes to the Financial Statements | 65 | |
Additional Information | 78 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Baird MidCap Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 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) | ||
Euronet World, Inc. | 3.2% | ||
Dollar General Corp. | 2.9% | ||
EPAM Systems, Inc. | 2.5% | ||
Global Payments, Inc. | 2.5% | ||
Pool Corporation | 2.4% | ||
CDW Corp. | 2.3% | ||
Veeva Systems, Inc. | 2.3% | ||
Arthur J. Gallagher & Co. | 2.2% | ||
Synopsys, Inc. | 2.2% | ||
Broadridge Financial Solutions, Inc. | 2.2% | ||
Net Assets: | $2,044,983,369 | ||
Portfolio Turnover Rate: | 20% | (5) | |
Number of Equity Holdings: | 57 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 0.81% | ||
Investor Class: | 1.06% | (4) | |
Net | |||
Institutional Class: | 0.81% | ||
Investor Class: | 1.06% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 1
Baird MidCap Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2019 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 26.58% | 16.51% | 10.36% | 15.81% | 8.01% |
Investor Class Shares | 26.37% | 16.18% | 10.07% | 15.52% | 7.76% |
Russell Midcap® Growth Index(2) | 26.08% | 13.94% | 11.10% | 16.02% | 7.47% |
(1) | For the period from December 29, 2000 (inception date) through June 30, 2019. |
(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 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, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
BWX Technologies, Inc. | 500,656 | $ | 26,084,177 | 1.3 | % | |||||||
Mercury Systems, Inc.(1) | 482,034 | 33,911,092 | 1.6 | % | ||||||||
59,995,269 | 2.9 | % | ||||||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 518,355 | 24,243,463 | 1.2 | % | ||||||||
Biotechnology | ||||||||||||
Alexion Pharmaceuticals, Inc.(1) | 204,072 | 26,729,351 | 1.3 | % | ||||||||
Building Products | ||||||||||||
AO Smith Corp. | 627,388 | 29,587,618 | 1.4 | % | ||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 75,849 | 24,379,386 | 1.2 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Cintas Corporation | 180,116 | 42,739,726 | 2.1 | % | ||||||||
Communications Equipment | ||||||||||||
Arista Networks, Inc.(1) | 130,885 | 33,980,364 | 1.7 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 180,706 | 22,468,984 | 1.1 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 260,701 | 49,793,891 | 2.4 | % | ||||||||
Diversified Consumer Services | ||||||||||||
Grand Canyon Education, Inc.(1) | 210,456 | 24,627,561 | 1.2 | % | ||||||||
Electrical Equipment | ||||||||||||
Rockwell Automation, Inc. | 172,919 | 28,329,320 | 1.4 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 427,779 | 47,483,469 | 2.3 | % | ||||||||
Keysight Technologies, Inc.(1) | 270,439 | 24,288,127 | 1.2 | % | ||||||||
Littelfuse, Inc. | 120,872 | 21,383,465 | 1.1 | % | ||||||||
Trimble Navigation Ltd.(1) | 780,913 | 35,226,985 | 1.7 | % | ||||||||
128,382,046 | 6.3 | % | ||||||||||
Entertainment | ||||||||||||
Take-Two Interactive Software, Inc.(1) | 340,977 | 38,711,119 | 1.9 | % | ||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 554,833 | 35,154,219 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird MidCap Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ABIOMED, Inc.(1) | 104,025 | $ | 27,097,473 | 1.3 | % | |||||||
Align Technology, Inc.(1) | 80,426 | 22,012,596 | 1.1 | % | ||||||||
Cooper Cos., Inc. | 98,789 | 33,281,026 | 1.6 | % | ||||||||
IDEXX Laboratories, Inc.(1) | 130,442 | 35,914,596 | 1.8 | % | ||||||||
Insulet Corp.(1) | 206,108 | 24,605,173 | 1.2 | % | ||||||||
142,910,864 | 7.0 | % | ||||||||||
Health Care Technology | ||||||||||||
Veeva Systems, Inc.(1) | 292,869 | 47,476,994 | 2.3 | % | ||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Vail Resorts, Inc. | 151,762 | 33,870,243 | 1.7 | % | ||||||||
Household Durables | ||||||||||||
DR Horton, Inc. | 734,786 | 31,691,320 | 1.6 | % | ||||||||
Insurance | ||||||||||||
Arthur J Gallagher & Co. | 524,780 | 45,965,480 | 2.2 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc.(1) | 531,140 | 32,596,062 | 1.6 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 355,179 | 45,349,255 | 2.2 | % | ||||||||
EPAM Systems, Inc.(1) | 300,914 | 52,088,213 | 2.5 | % | ||||||||
Euronet Worldwide, Inc.(1) | 387,249 | 65,150,772 | 3.2 | % | ||||||||
Fiserv, Inc.(1) | 458,263 | 41,775,255 | 2.0 | % | ||||||||
Gartner, Inc.(1) | 222,670 | 35,836,510 | 1.8 | % | ||||||||
Global Payments, Inc. | 316,235 | 50,638,710 | 2.5 | % | ||||||||
290,838,715 | 14.2 | % | ||||||||||
Leisure Products | ||||||||||||
Hasbro, Inc. | 355,081 | 37,524,960 | 1.8 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 282,278 | 43,462,344 | 2.1 | % | ||||||||
Machinery | ||||||||||||
Gardner Denver Holdings, Inc.(1) | 709,141 | 24,536,278 | 1.2 | % | ||||||||
Graco, Inc. | 661,488 | 33,193,468 | 1.6 | % | ||||||||
IDEX Corp. | 229,399 | 39,488,744 | 1.9 | % | ||||||||
Xylem, Inc. | 387,497 | 32,410,249 | 1.6 | % | ||||||||
129,628,739 | 6.3 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 35,636 | 41,729,400 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird MidCap Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Multiline Retail | ||||||||||||
Dollar General Corp. | 433,362 | $ | 58,573,208 | 2.9 | % | |||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 308,532 | 26,876,222 | 1.3 | % | ||||||||
85,449,430 | 4.2 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Diamondback Energy, Inc. | 342,385 | 37,309,693 | 1.8 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 180,121 | 25,678,050 | 1.3 | % | ||||||||
Professional Services | ||||||||||||
TransUnion | 365,025 | 26,832,988 | 1.3 | % | ||||||||
Verisk Analytics, Inc. | 286,771 | 42,000,480 | 2.1 | % | ||||||||
68,833,468 | 3.4 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Microchip Technology, Inc. | 411,789 | 35,702,106 | 1.8 | % | ||||||||
Monolithic Power Systems, Inc. | 277,906 | 37,734,077 | 1.8 | % | ||||||||
73,436,183 | 3.6 | % | ||||||||||
Software | ||||||||||||
RealPage, Inc.(1) | 573,247 | 33,735,586 | 1.7 | % | ||||||||
Synopsys, Inc.(1) | 353,925 | 45,546,608 | 2.2 | % | ||||||||
Tyler Technologies, Inc.(1) | 187,752 | 40,558,187 | 2.0 | % | ||||||||
119,840,381 | 5.9 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 223,197 | 37,976,970 | 1.9 | % | ||||||||
O’Reilly Automotive, Inc.(1) | 100,726 | 37,200,126 | 1.8 | % | ||||||||
75,177,096 | 3.7 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Co. | 706,922 | 23,038,588 | 1.1 | % | ||||||||
Univar, Inc.(1) | 932,353 | 20,549,060 | 1.0 | % | ||||||||
Watsco, Inc. | 112,337 | 18,370,470 | 0.9 | % | ||||||||
61,958,118 | 3.0 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $1,423,927,501) | 1,994,499,857 | 97.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird MidCap Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 32,467,151 | $ | 32,467,151 | 1.6 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $32,467,151) | 32,467,151 | 1.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,456,394,652) | 2,026,967,008 | 99.1 | % | |||||||||
Other Assets in Excess of Liabilities | 18,016,361 | 0.9 | % | |||||||||
TOTAL NET ASSETS | $ | 2,044,983,369 | 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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 6
Baird MidCap Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,994,499,857 | $ | — | $ | — | $ | 1,994,499,857 | ||||||||
Total Equity | 1,994,499,857 | — | — | 1,994,499,857 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 32,467,151 | — | — | 32,467,151 | ||||||||||||
Total Short-Term Investment | 32,467,151 | — | — | 32,467,151 | ||||||||||||
Total Investments* | $ | 2,026,967,008 | $ | — | $ | — | $ | 2,026,967,008 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 7
Baird Small/Mid Cap Growth Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 2500® Growth Index is shown below.
Top 10 Holdings(1) | Equity Sector Analysis(2) | ||
CDW Corp. | 3.0% | ||
IDEX Corp. | 2.9% | ||
Broadridge Financial Solutions, Inc. | 2.8% | ||
Pool Corp. | 2.7% | ||
Cooper Cos., Inc. | 2.6% | ||
Kinsale Capital Group, Inc. | 2.5% | ||
Monolithic Power Systems, Inc. | 2.5% | ||
AptarGroup, Inc. | 2.5% | ||
EPAM Systems, Inc. | 2.5% | ||
Fair Isaac Corp. | 2.2% | ||
Net Assets: | $13,033,029 | ||
Portfolio Turnover Rate: | 27% | (5) | |
Number of Equity Holdings: | 63 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 3.88% | ||
Investor Class: | 4.13% | (4) | |
Net | |||
Institutional Class: | 0.85% | ||
Investor Class: | 1.10% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not Annualized. |
Page 8
Baird Small/Mid Cap Growth Fund
June 30, 2019 (Unaudited)
Total Returns
Cumulative | |||
Three | Six | Since | |
For the Periods Ended June 30, 2019 | Months | Months | Inception(1) |
Institutional Class Shares | 6.61% | 26.15% | 12.90% |
Investor Class Shares | 6.52% | 26.06% | 12.70% |
Russell 2500® Growth Index(2) | 4.14% | 23.92% | 12.55% |
(1) | For the period from October 31, 2018 (inception date) through June 30, 2019. |
(2) | The Russell 2500® Growth Index measures the performance of the Small-to-Mid Cap Growth segment of the U.S. equity universe. It includes those Russell 2500® 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 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 small- and mid-capitalization companies. Small- and mid-capitalization companies often are more volatile and face greater risks than larger, more established companies.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 9
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
HEICO Corp. | 1,875 | $ | 250,894 | 1.9 | % | |||||||
Auto Components | ||||||||||||
Visteon Corp.(1) | 1,429 | 83,711 | 0.6 | % | ||||||||
Banks | ||||||||||||
Western Alliance Bancorp(1) | 3,692 | 165,106 | 1.3 | % | ||||||||
Beverages | ||||||||||||
Primo Water Corp.(1) | 8,355 | 102,767 | 0.8 | % | ||||||||
Biotechnology | ||||||||||||
Exact Sciences Corp.(1) | 2,234 | 263,702 | 2.0 | % | ||||||||
Heron Therapeutics, Inc.(1) | 3,211 | 59,692 | 0.5 | % | ||||||||
323,394 | 2.5 | % | ||||||||||
Building Products | ||||||||||||
AO Smith Corp. | 3,683 | 173,691 | 1.3 | % | ||||||||
Trex Co, Inc.(1) | 2,039 | 146,196 | 1.1 | % | ||||||||
319,887 | 2.4 | % | ||||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 567 | 182,245 | 1.4 | % | ||||||||
Construction & Engineering | ||||||||||||
MasTec, Inc.(1) | 2,650 | 136,555 | 1.1 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 2,610 | 324,527 | 2.5 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 1,860 | 355,260 | 2.7 | % | ||||||||
Diversified Consumer Services | ||||||||||||
Grand Canyon Education, Inc.(1) | 1,465 | 171,434 | 1.3 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 3,467 | 384,837 | 3.0 | % | ||||||||
Cognex Corp. | 4,353 | 208,857 | 1.6 | % | ||||||||
Keysight Technologies, Inc.(1) | 2,099 | 188,511 | 1.4 | % | ||||||||
Littelfuse, Inc. | 823 | 145,597 | 1.1 | % | ||||||||
Trimble Navigation Ltd.(1) | 3,158 | 142,457 | 1.1 | % | ||||||||
1,070,259 | 8.2 | % | ||||||||||
Energy Equipment & Services | ||||||||||||
Apergy Corp.(1) | 4,152 | 139,258 | 1.1 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
National Storage Affiliates Trust | 5,942 | 171,961 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 10
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Food Products | ||||||||||||
Calavo Growers, Inc. | 2,088 | $ | 201,993 | 1.5 | % | |||||||
Lamb Weston Holdings, Inc. | 2,223 | 140,849 | 1.1 | % | ||||||||
342,842 | 2.6 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ABIOMED, Inc.(1) | 651 | 169,579 | 1.3 | % | ||||||||
Cooper Cos., Inc. | 1,026 | 345,649 | 2.6 | % | ||||||||
Inogen, Inc.(1) | 1,111 | 74,170 | 0.6 | % | ||||||||
Insulet Corp.(1) | 2,171 | 259,174 | 2.0 | % | ||||||||
Integra LifeSciences Holdings Corp.(1) | 4,350 | 242,948 | 1.9 | % | ||||||||
iRhythm Technologies, Inc.(1) | 1,814 | 143,451 | 1.1 | % | ||||||||
Novocure Ltd.(1)(2) | 2,822 | 178,435 | 1.4 | % | ||||||||
Tactile Systems Technology, Inc.(1) | 2,991 | 170,248 | 1.3 | % | ||||||||
1,583,654 | 12.2 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Vail Resorts, Inc. | 723 | 161,359 | 1.2 | % | ||||||||
Insurance | ||||||||||||
Kinsale Capital Group, Inc. | 3,598 | 329,145 | 2.5 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc.(1) | 4,331 | 265,793 | 2.0 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 2,819 | 359,931 | 2.8 | % | ||||||||
EPAM Systems, Inc.(1) | 1,852 | 320,582 | 2.5 | % | ||||||||
Euronet Worldwide, Inc.(1) | 1,583 | 266,324 | 2.0 | % | ||||||||
LiveRamp Holdings, Inc.(1) | 2,276 | 110,340 | 0.8 | % | ||||||||
WNS Holdings Ltd.(1)(2) | 3,722 | 220,342 | 1.7 | % | ||||||||
1,277,519 | 9.8 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
PRA Health Sciences, Inc.(1) | 2,302 | 228,243 | 1.8 | % | ||||||||
Machinery | ||||||||||||
Gardner Denver Holdings, Inc.(1) | 4,745 | 164,177 | 1.3 | % | ||||||||
IDEX Corp. | 2,158 | 371,477 | 2.9 | % | ||||||||
Toro Co. | 3,207 | 214,548 | 1.6 | % | ||||||||
750,202 | 5.8 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 210 | 245,908 | 1.9 | % | ||||||||
New York Times Co. | 6,076 | 198,199 | 1.5 | % | ||||||||
444,107 | 3.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Multiline Retail | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 1,458 | $ | 127,006 | 1.0 | % | |||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 1,592 | 226,956 | 1.7 | % | ||||||||
Professional Services | ||||||||||||
TransUnion | 2,060 | 151,431 | 1.2 | % | ||||||||
Road & Rail | ||||||||||||
Schneider National, Inc. | 4,175 | 76,152 | 0.6 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Monolithic Power Systems, Inc. | 2,407 | 326,822 | 2.5 | % | ||||||||
Software | ||||||||||||
Coupa Software, Inc.(1) | 1,159 | 146,741 | 1.1 | % | ||||||||
Descartes Systems Group, Inc.(1)(2) | 4,010 | 148,170 | 1.1 | % | ||||||||
Fair Isaac Corp.(1) | 923 | 289,841 | 2.2 | % | ||||||||
HubSpot, Inc.(1) | 837 | 142,725 | 1.1 | % | ||||||||
New Relic, Inc.(1) | 1,281 | 110,819 | 0.9 | % | ||||||||
Proofpoint, Inc.(1) | 1,413 | 169,913 | 1.3 | % | ||||||||
Q2 Holdings, Inc.(1) | 2,778 | 212,128 | 1.6 | % | ||||||||
RingCentral, Inc.(1) | 1,454 | 167,094 | 1.3 | % | ||||||||
Tyler Technologies, Inc.(1) | 917 | 198,090 | 1.5 | % | ||||||||
Upland Software, Inc.(1) | 5,101 | 232,249 | 1.8 | % | ||||||||
1,817,770 | 13.9 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 1,306 | 222,216 | 1.7 | % | ||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Crocs, Inc.(1) | 7,086 | 139,949 | 1.1 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
SiteOne Landscape Supply, Inc.(1) | 2,407 | 166,805 | 1.3 | % | ||||||||
Watsco, Inc. | 1,298 | 212,262 | 1.6 | % | ||||||||
379,067 | 2.9 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $11,232,273) | 12,647,491 | 97.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 431,438 | $ | 431,438 | 3.3 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $431,438) | 431,438 | 3.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $11,663,711) | 13,078,929 | 100.3 | % | |||||||||
Liabilities in Excess of Other Assets | (45,900 | ) | (0.3 | )% | ||||||||
TOTAL NET ASSETS | $ | 13,033,029 | 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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 12,647,491 | $ | — | $ | — | $ | 12,647,491 | ||||||||
Total Equity | 12,647,491 | — | — | 12,647,491 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 431,438 | — | — | 431,438 | ||||||||||||
Total Short-Term Investment | 431,438 | — | — | 431,438 | ||||||||||||
Total Investments* | $ | 13,078,929 | $ | — | $ | — | $ | 13,078,929 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 14
Baird Small/Mid Cap Value Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 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) | ||
Zayo Group Holdings, Inc. | 3.9% | ||
Boingo Wireless, Inc. | 3.8% | ||
ICU Medical, Inc. | 3.7% | ||
Physicians Realty Trust | 3.6% | ||
Leidos Holdings, Inc. | 3.3% | ||
CareTrust REIT, Inc. | 3.3% | ||
Old Republic International Corp. | 3.2% | ||
American Financial Group, Inc. | 3.2% | ||
Agree Realty Corp. | 3.2% | ||
Southwest Gas Holdings, Inc. | 3.1% | ||
Net Assets: | $22,201,253 | ||
Portfolio Turnover Rate: | 12% | (5) | |
Number of Equity Holdings: | 38 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.70% | ||
Investor Class: | 1.95% | (4) | |
Net | |||
Institutional Class: | 0.85% | ||
Investor Class: | 1.10% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not Annualized. |
Page 15
Baird Small/Mid Cap Value Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2019 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | 13.42% | -3.72% | 6.96% | 5.57% |
Investor Class Shares | 13.26% | -3.93% | 6.68% | 5.31% |
Russell 2500® Value Index(2) | 15.26% | -1.92% | 8.98% | 8.32% |
(1) | For the period from November 30, 2015 (inception date) through June 30, 2019. |
(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 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. The Fund invests a substantial portion of its assets in the stocks of small- and mid-capitalization companies. Small- and 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 16
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 7,258 | $ | 587,027 | 2.6 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 22,251 | 542,924 | 2.4 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 7,437 | 331,988 | 1.5 | % | ||||||||
874,912 | 3.9 | % | ||||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 5,460 | 222,004 | 1.0 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 15,471 | 411,683 | 1.8 | % | ||||||||
Diversified Consumer Services | ||||||||||||
OneSpaWorld Holdings Ltd.(1)(2) | 37,148 | 575,794 | 2.6 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
Zayo Group Holdings, Inc.(1) | 26,166 | 861,123 | 3.9 | % | ||||||||
Electric Utilities | ||||||||||||
Pinnacle West Capital Corp. | 5,825 | 548,074 | 2.5 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 15,757 | 390,616 | 1.8 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 8,595 | 555,237 | 2.5 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 10,982 | 703,397 | 3.2 | % | ||||||||
CareTrust REIT, Inc. | 30,941 | 735,777 | 3.3 | % | ||||||||
CyrusOne, Inc. | 9,550 | 551,226 | 2.5 | % | ||||||||
HCP, Inc. | 13,477 | 430,994 | 1.9 | % | ||||||||
National Retail Properties, Inc. | 9,168 | 485,996 | 2.2 | % | ||||||||
Physicians Realty Trust | 45,266 | 789,439 | 3.6 | % | ||||||||
3,696,829 | 16.7 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 8,977 | 568,783 | 2.6 | % | ||||||||
Gas Utilities | ||||||||||||
Atmos Energy Corp | 5,443 | 574,563 | 2.6 | % | ||||||||
Southwest Gas Holdings, Inc. | 7,831 | 701,815 | 3.1 | % | ||||||||
1,276,378 | 5.7 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 3,247 | 817,952 | 3.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 17
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Providers & Services | ||||||||||||
DaVita, Inc.(1) | 6,684 | $ | 376,042 | 1.7 | % | |||||||
Laboratory Corp. of America Holdings(1) | 2,674 | 462,335 | 2.1 | % | ||||||||
838,377 | 3.8 | % | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 50,804 | 353,596 | 1.6 | % | ||||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 6,876 | 704,584 | 3.2 | % | ||||||||
Old Republic International Corp. | 31,896 | 713,832 | 3.2 | % | ||||||||
1,418,416 | 6.4 | % | ||||||||||
IT Services | ||||||||||||
Leidos Holdings, Inc. | 9,263 | 739,651 | 3.3 | % | ||||||||
VeriSign, Inc.(1) | 3,151 | 659,063 | 3.0 | % | ||||||||
1,398,714 | 6.3 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
AGNC Investment Corp. | 23,874 | 401,561 | 1.8 | % | ||||||||
Blackstone Mortgage Trust, Inc. | 16,998 | 604,789 | 2.7 | % | ||||||||
1,006,350 | 4.5 | % | ||||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 47,366 | 573,602 | 2.6 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 2,674 | 381,205 | 1.7 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Silicon Motion Technology Corp. – ADR(2) | 8,002 | 355,129 | 1.6 | % | ||||||||
Software | ||||||||||||
j2 Global, Inc. | 6,971 | 619,652 | 2.8 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 20,436 | 556,881 | 2.5 | % | ||||||||
Essent Group Ltd.(1)(2) | 9,741 | 457,730 | 2.1 | % | ||||||||
Meta Financial Group, Inc. | 22,346 | 626,804 | 2.8 | % | ||||||||
NMI Holdings, Inc.(1) | 21,869 | 620,861 | 2.8 | % | ||||||||
2,262,276 | 10.2 | % | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 47,462 | 852,892 | 3.8 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $18,451,444) | 21,446,621 | 96.60 | % |
The accompanying notes are an integral part of these financial statements.
Page 18
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 713,734 | $ | 713,734 | 3.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $713,734) | 713,734 | 3.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $19,165,178) | 22,160,355 | 99.8 | % | |||||||||
Other Assets in Excess of Liabilities | 40,898 | 0.2 | % | |||||||||
TOTAL NET ASSETS | $ | 22,201,253 | 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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 21,446,621 | $ | — | $ | — | $ | 21,446,621 | ||||||||
Total Equity | 21,446,621 | — | — | 21,446,621 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 713,734 | — | — | 713,734 | ||||||||||||
Total Short-Term Investment | 713,734 | — | — | 713,734 | ||||||||||||
Total Investments* | $ | 22,160,355 | $ | — | $ | — | $ | 22,160,355 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 20
Baird SmallCap Value Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 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) | ||
Zayo Group Holdings, Inc. | 3.9% | ||
CACI International Corp. | 3.9% | ||
ICU Medical, Inc. | 3.8% | ||
Boingo Wireless, Inc. | 3.8% | ||
Southwest Gas Holdings, Inc. | 3.7% | ||
Algonquin Power & Utilities Corp. | 3.6% | ||
Physician Realty Trust | 3.6% | ||
j2 Global, Inc. | 3.5% | ||
Cypress Semiconductor Corp. | 3.4% | ||
Lamb Weston Holdings, Inc. | 3.2% | ||
Net Assets: | $33,886,628 | ||
Portfolio Turnover Rate: | 23% | (5) | |
Number of Equity Holdings: | 36 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.38% | ||
Investor Class: | 1.63% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not Annualized. |
Page 21
Baird SmallCap Value Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2019 | Six Months | One Year | Three Years | Five Years | Inception(1) |
Institutional Class Shares | 13.03% | -6.88% | 6.56% | 3.48% | 8.29% |
Investor Class Shares | 12.96% | -7.11% | 6.31% | 3.22% | 8.03% |
Russell 2000® Value Index(2) | 13.47% | -6.24% | 9.81% | 5.39% | 9.81% |
(1) | For the period from May 1, 2012 (inception date) through June 30, 2019. |
(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 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. The Fund invests a substantial portion of its assets in the stocks of small-capitalization companies. Small-capitalization companies often are more volatile and face greater risks than larger, more established companies.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 22
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 12,589 | $ | 1,018,198 | 3.0 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 34,036 | 830,478 | 2.4 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 17,873 | 797,851 | 2.4 | % | ||||||||
1,628,329 | 4.8 | % | ||||||||||
Biotechnology | ||||||||||||
Eagle Pharmaceuticals, Inc.(1) | 7,771 | 432,689 | 1.3 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 9,947 | 404,445 | 1.2 | % | ||||||||
Diversified Consumer Services | ||||||||||||
OneSpaWorld Holdings Ltd.(1)(2) | 56,349 | 873,410 | 2.6 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
Zayo Group Holdings, Inc.(1) | 40,210 | 1,323,311 | 3.9 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 26,905 | 666,975 | 2.0 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 10,300 | 665,380 | 2.0 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 15,075 | 965,554 | 2.8 | % | ||||||||
CareTrust REIT, Inc. | 39,631 | 942,425 | 2.8 | % | ||||||||
CyrusOne, Inc. | 14,609 | 843,231 | 2.5 | % | ||||||||
Essential Properties Realty Trust, Inc. | 40,494 | 811,500 | 2.4 | % | ||||||||
LTC Properties, Inc. | 23,180 | 1,058,399 | 3.1 | % | ||||||||
Physicians Realty Trust | 69,005 | 1,203,447 | 3.6 | % | ||||||||
5,824,556 | 17.2 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 17,251 | 1,093,023 | 3.2 | % | ||||||||
Gas Utilities | ||||||||||||
Southwest Gas Holdings, Inc. | 13,988 | 1,253,605 | 3.7 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Hill-Rom Holdings, Inc. | 3,452 | 361,148 | 1.1 | % | ||||||||
ICU Medical, Inc.(1) | 5,129 | 1,292,047 | 3.8 | % | ||||||||
1,653,195 | 4.9 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Churchill Downs, Inc. | 3,050 | 350,963 | 1.0 | % | ||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 79,573 | 553,828 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Atlantica Yield Plc(2) | 39,542 | $ | 896,417 | 2.6 | % | |||||||
Insurance | ||||||||||||
Old Republic International Corp. | 47,501 | 1,063,072 | 3.1 | % | ||||||||
IT Services | ||||||||||||
CACI International, Inc.(1) | 6,372 | 1,303,647 | 3.9 | % | ||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 27,043 | 962,190 | 2.8 | % | ||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 100,865 | 1,221,475 | 3.6 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Cypress Semiconductor Corp. | 51,703 | 1,149,875 | 3.4 | % | ||||||||
Silicon Motion Technology Corp. – ADR(2) | 18,339 | 813,885 | 2.4 | % | ||||||||
1,963,760 | 5.8 | % | ||||||||||
Software | ||||||||||||
j2 Global, Inc. | 13,210 | 1,174,237 | 3.5 | % | ||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Immersion Corp.(1) | 42,118 | 320,518 | 0.9 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 31,083 | 847,012 | 2.5 | % | ||||||||
Essent Group Ltd.(1)(2) | 16,630 | 781,444 | 2.3 | % | ||||||||
Merchants Bancorp | 29,063 | 494,943 | 1.5 | % | ||||||||
Meta Financial Group, Inc. | 34,503 | 967,809 | 2.8 | % | ||||||||
NMI Holdings, Inc.(1) | 34,347 | 975,111 | 2.9 | % | ||||||||
4,066,319 | 12.0 | % | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 71,803 | 1,290,300 | 3.8 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $24,971,176) | 32,003,842 | 94.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 2,522,854 | $ | 2,522,854 | 7.5 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,522,854) | 2,522,854 | 7.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $27,494,030) | 34,526,696 | 101.9 | % | |||||||||
Liabilities in Excess of Other Assets | (640,068 | ) | (1.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 33,886,628 | 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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 25
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 32,003,842 | $ | — | $ | — | $ | 32,003,842 | ||||||||
Total Equity | 32,003,842 | — | — | 32,003,842 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,522,854 | — | — | 2,522,854 | ||||||||||||
Total Short-Term Investment | 2,522,854 | — | — | 2,522,854 | ||||||||||||
Total Investments* | $ | 34,526,696 | $ | — | $ | — | $ | 34,526,696 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 26
Chautauqua International Growth Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 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) | ||||||
Wirecard AG | 6.4% | Net Assets: | $155,200,380 | |||
Temenos Group AG | 5.6% | Portfolio Turnover Rate: | 14% | (5) | ||
First American Government | Number of Equity Holdings: | 29 | ||||
Obligations Fund, Class U | 5.5% | |||||
Genmab A/S | 5.1% | Annualized Portfolio Expense Ratio(3): | ||||
TAL Education Group | 4.9% | Gross | ||||
Keyence Corp. | 4.9% | Institutional Class: | 1.02% | |||
Novo Nordisk A/S – ADR | 4.8% | Investor Class: | 1.27% | (4) | ||
Julius Baer Group Ltd. | 4.8% | |||||
Naspers Ltd. | 4.8% | Net | ||||
DBS Group Holdings, Ltd. | 4.8% | Institutional Class: | 0.80% | |||
Investor Class: | 1.05% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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 0.80% of average daily net assets for the Institutional Class shares and 1.05% of average daily net assets for the Investor Class shares, at least through April 30, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not Annualized. |
Page 27
Chautauqua International Growth Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2019 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | 20.35% | -0.83% | 9.79% | 8.58% |
Investor Class Shares | 20.20% | -1.12% | 9.55% | 8.33% |
MSCI ACWI ex USA Index(2) | 13.60% | 1.29% | 9.39% | 7.92% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2019. |
(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 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 28
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 30,908 | $ | 4,044,003 | 2.6 | % | |||||||
Temenos Group AG (Switzerland)(2) | 48,643 | 8,709,722 | 5.6 | % | ||||||||
12,753,725 | 8.2 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
CI Financial Corp. (Canada)(1) | 16,743 | 272,838 | 0.2 | % | ||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 168,157 | 7,492,081 | 4.8 | % | ||||||||
7,764,919 | 5.0 | % | ||||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 426,074 | 2,576,249 | 1.7 | % | ||||||||
Biotechnology | ||||||||||||
Genmab A/S (Denmark)(1)(2) | 42,758 | 7,869,207 | 5.1 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 59,287 | 10,008,616 | 6.4 | % | ||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 18,914,950 | 5,839,520 | 3.7 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 385,214 | 7,399,984 | 4.8 | % | ||||||||
13,239,504 | 8.5 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 117,903 | 3,947,616 | 2.5 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 199,103 | 7,585,824 | 4.9 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Keyence Corp. (Japan)(2) | 12,239 | 7,548,066 | 4.9 | % | ||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 1,511,530 | 5,322,238 | 3.4 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 14,673 | 2,726,430 | 1.8 | % | ||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada)(1) | 1,630 | 1,536,274 | 1.0 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Naspers Ltd. (South Africa)(2) | 30,736 | 7,439,657 | 4.8 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 36,612 | 6,203,902 | 4.0 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 73,836 | 2,725,287 | 1.8 | % | ||||||||
8,929,189 | 5.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 29
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
IT Services | ||||||||||||
Tata Consultancy Services Ltd. (India)(2) | 52,605 | $ | 1,697,535 | 1.1 | % | |||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 99,109 | 5,181,419 | 3.3 | % | ||||||||
Schlumberger Limited (Curacao) | 73,740 | 2,930,428 | 1.9 | % | ||||||||
8,111,847 | 5.2 | % | ||||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea)(2) | 10,669 | 1,524,067 | 1.0 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 13,783 | 2,307,688 | 1.5 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 147,491 | 7,527,941 | 4.8 | % | ||||||||
9,835,629 | 6.3 | % | ||||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 55,975 | 7,278,989 | 4.7 | % | ||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 24,766 | 5,149,594 | 3.3 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 152,912 | 5,986,851 | 3.8 | % | ||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Co. Ltd. – ADR (Taiwan) | 73,828 | 2,891,843 | 1.9 | % | ||||||||
8,878,694 | 5.7 | % | ||||||||||
Tires & Rubber | ||||||||||||
Pirelli & C SpA (Italy)(2) | 792,372 | 4,677,266 | 3.0 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $132,565,264) | 146,401,135 | 94.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 30
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 8,441,136 | $ | 8,441,136 | 5.5 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $8,441,136) | 8,441,136 | 5.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $141,006,400) | 154,842,271 | 99.8 | % | |||||||||
Other Assets in Excess of Liabilities | 358,109 | 0.2 | % | |||||||||
TOTAL NET ASSETS | $ | 155,200,380 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Level 2 security – See Note 2a to the financial statements. |
(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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 31
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 55,636,030 | $ | 90,765,105 | $ | — | $ | 146,401,135 | ||||||||
Total Equity | 55,636,030 | 90,765,105 | — | 146,401,135 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 8,441,136 | — | — | 8,441,136 | ||||||||||||
Total Short-Term Investment | 8,441,136 | — | — | 8,441,136 | ||||||||||||
Total Investments* | $ | 64,077,166 | $ | 90,765,105 | $ | — | $ | 154,842,271 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 32
Chautauqua Global Growth Fund
June 30, 2019 (Unaudited)
Portfolio Characteristics
A June 30, 2019 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) | |||||
Wirecard AG | 5.2% | Net Assets: | $50,372,029 | ||
HDFC Bank Ltd. ADR | 4.6% | Portfolio Turnover Rate: | 11% | (5) | |
Genmab A/S | 4.4% | Number of Equity Holdings: | 41 | ||
Temenos Group AG | 4.2% | ||||
Novo Nordisk A/S – ADR | 4.2% | Annualized Portfolio Expense Ratio(3): | |||
MasterCard, Inc | 3.8% | Gross | |||
DBS Group Holdings Ltd. | 3.7% | Institutional Class: | 1.29% | ||
Nvidia Corp. | 3.7% | Investor Class: | 1.54% | (4) | |
Naspers Ltd. | 3.6% | ||||
Atlassian Corp. PLC | 3.5% | Net | |||
Institutional Class: | 0.80% | ||||
Investor Class: | 1.05% | (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, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2019, 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 0.80% of average daily net assets for the Institutional Class shares and 1.05% of average daily net assets for the Investor Class shares, at least through April 30, 2020. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not Annualized. |
Page 33
Chautauqua Global Growth Fund
June 30, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2019 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | 22.32% | 3.57% | 14.07% | 12.29% |
Investor Class Shares | 22.10% | 3.34% | 13.81% | 12.00% |
MSCI ACWI Index | 16.23% | 5.74% | 11.62% | 10.67% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2019. |
(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 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 34
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel Retail | ||||||||||||
TJX Cos, Inc. (United States) | 16,911 | $ | 894,254 | 1.8 | % | |||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 13,540 | 1,771,574 | 3.5 | % | ||||||||
Temenos Group AG (Switzerland)(2) | 11,791 | 2,111,225 | 4.2 | % | ||||||||
3,882,799 | 7.7 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 28,731 | 1,280,083 | 2.5 | % | ||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 107,660 | 650,964 | 1.3 | % | ||||||||
Biotechnology | ||||||||||||
Celgene Corp. (United States)(1) | 6,411 | 592,633 | 1.2 | % | ||||||||
Genmab A/S (Denmark)(1)(2) | 12,027 | 2,213,456 | 4.4 | % | ||||||||
Incyte Corp. (United States)(1) | 20,298 | 1,724,518 | 3.4 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (United States)(1) | 4,768 | 1,492,384 | 3.0 | % | ||||||||
6,022,991 | 12.0 | % | ||||||||||
Data Processing & Outsourced Services | ||||||||||||
MasterCard, Inc. – Class A (United States) | 7,141 | 1,889,009 | 3.8 | % | ||||||||
Wirecard AG (Germany)(2) | 15,498 | 2,616,315 | 5.2 | % | ||||||||
4,505,324 | 9.0 | % | ||||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 2,954,599 | 912,159 | 1.8 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 97,934 | 1,881,318 | 3.7 | % | ||||||||
2,793,477 | 5.5 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 37,007 | 1,239,065 | 2.5 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 34,867 | 1,328,433 | 2.6 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Coherent, Inc. (United States)(1) | 3,126 | 426,293 | 0.9 | % | ||||||||
Keyence Corp. (Japan)(2) | 2,801 | 1,727,439 | 3.4 | % | ||||||||
Universal Display Corp. (United States) | 7,442 | 1,399,543 | 2.8 | % | ||||||||
3,553,275 | 7.1 | % | ||||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 388,773 | 1,368,906 | 2.7 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 3,620 | 672,642 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 35
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada)(1) | 535 | $ | 504,237 | 1.0 | % | |||||||
Interactive Media & Services | ||||||||||||
Alphabet, Inc. – Class A (United States)(1) | 780 | 844,584 | 1.7 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Naspers Ltd. (South Africa)(2) | 7,466 | 1,807,147 | 3.6 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 4,391 | 744,055 | 1.5 | % | ||||||||
Amazon.com, Inc. (United States)(1) | 569 | 1,077,476 | 2.1 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 10,987 | 405,530 | 0.8 | % | ||||||||
2,227,061 | 4.4 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc. (United States)(1) | 3,048 | 1,122,121 | 2.2 | % | ||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 20,377 | 1,065,309 | 2.1 | % | ||||||||
Schlumberger Limited (Curacao) | 15,398 | 611,916 | 1.2 | % | ||||||||
1,677,225 | 3.3 | % | ||||||||||
Other Diversified Financial Services | ||||||||||||
Charles Schwab Corp. (United States) | 11,151 | 448,159 | 0.9 | % | ||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea)(2) | 902 | 128,851 | 0.3 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 2,548 | 426,612 | 0.8 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 40,929 | 2,089,016 | 4.2 | % | ||||||||
2,515,628 | 5.0 | % | ||||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 17,820 | 2,317,313 | 4.6 | % | ||||||||
SVB Financial Group (United States)(1) | 2,022 | 454,121 | 0.9 | % | ||||||||
2,771,434 | 5.5 | % | ||||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 3,020 | 627,949 | 1.2 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 33,025 | 1,293,003 | 2.6 | % | ||||||||
Nvidia Corp. (United States) | 11,245 | 1,846,767 | 3.7 | % | ||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Co. Ltd. – ADR (Taiwan) | 18,188 | 712,424 | 1.4 | % | ||||||||
3,852,194 | 7.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 36
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Systems Software | ||||||||||||
Red Hat, Inc. (United States)(1) | 1,711 | $ | 321,257 | 0.6 | % | |||||||
Tires & Rubber | ||||||||||||
Pirelli & C SpA (Italy)(2) | 177,507 | 1,047,800 | 2.1 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $43,360,257) | 48,087,860 | 95.5 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 2.32%(3) | 1,864,263 | 1,864,263 | 3.7 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,864,263) | 1,864,263 | 3.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $45,224,520) | 49,952,123 | 99.2 | % | |||||||||
Other Assets in Excess of Liabilities | 419,906 | 0.8 | % | |||||||||
TOTAL NET ASSETS | $ | 50,372,029 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Level 2 security – See Note 2a to the financial statements. |
(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. Bank Global Fund Services.
The accompanying notes are an integral part of these financial statements.
Page 37
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2019 (Unaudited)
Summary of Fair Value Exposure at June 30, 2019 (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, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 27,137,487 | $ | 20,950,373 | $ | — | $ | 48,087,860 | ||||||||
Total Equity | 27,137,487 | 20,950,373 | — | 48,087,860 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,864,263 | — | — | 1,864,263 | ||||||||||||
Total Short-Term Investment | 1,864,263 | — | — | 1,864,263 | ||||||||||||
Total Investments* | $ | 29,001,750 | $ | 20,950,373 | $ | — | $ | 49,952,123 |
* | 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 into or out of Level 3 during the reporting period, as compared to the security 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 38
Additional Information on Fund Expenses
June 30, 2019 (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. 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; however, 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, doing business as U.S. Bank Global Fund Services, 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 (1/1/19 – 6/30/19).
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 39
Additional Information on Fund Expenses
June 30, 2019 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2019
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) | 1/1/19 | 6/30/19 | Period(1) | 6/30/19 | Period(1) | |||
Baird MidCap Fund | ||||||||
Institutional Class | 0.81% | $1,000.00 | $1,265.80 | $4.55 | $1,020.78 | $4.06 | ||
Investor Class | 1.06% | $1,000.00 | $1,263.70 | $5.95 | $1,019.54 | $5.31 | ||
Baird Small/Mid Cap | ||||||||
Growth Fund | ||||||||
Institutional Class | 0.85% | $1,000.00 | $1,261.50 | $4.77 | $1,020.58 | $4.26 | ||
Investor Class | 1.10% | $1,000.00 | $1,260.60 | $6.17 | $1,019.34 | $5.51 | ||
Baird Small/Mid Cap | ||||||||
Value Fund | ||||||||
Institutional Class | 0.85% | $1,000.00 | $1,134.20 | $4.50 | $1,020.58 | $4.26 | ||
Investor Class | 1.10% | $1,000.00 | $1,132.60 | $5.82 | $1,019.34 | $5.51 | ||
Baird SmallCap | ||||||||
Value Fund | ||||||||
Institutional Class | 0.95% | $1,000.00 | $1,130.30 | $5.02 | $1,020.08 | $4.76 | ||
Investor Class | 1.20% | $1,000.00 | $1,129.60 | $6.34 | $1,018.84 | $6.01 | ||
Chautauqua International | ||||||||
Growth Fund | ||||||||
Institutional Class | 0.80% | $1,000.00 | $1,203.50 | $4.37 | $1,020.83 | $4.01 | ||
Investor Class | 1.05% | $1,000.00 | $1,202.00 | $5.73 | $1,019.59 | $5.26 | ||
Chautauqua Global | ||||||||
Growth Fund | ||||||||
Institutional Class | 0.80% | $1,000.00 | $1,223.20 | $4.41 | $1,020.83 | $4.01 | ||
Investor Class | 1.05% | $1,000.00 | $1,221.00 | $5.78 | $1,019.59 | $5.26 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the one-half year period. |
Page 40
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Baird | |||||||||
Baird | Small/Mid | ||||||||
MidCap | Cap Growth | ||||||||
Fund | Fund | ||||||||
ASSETS: | |||||||||
Investments, at value (cost $1,456,394,652 | |||||||||
and $11,663,711, respectively) | $ | 2,026,967,008 | $ | 13,078,929 | |||||
Dividends receivable | 536,621 | 4,151 | |||||||
Interest receivable | 70,875 | 1,015 | |||||||
Receivable for investments sold | 60,273,790 | 459,044 | |||||||
Receivable for Fund shares sold | 9,600,021 | — | |||||||
Receivable from Advisor, net (Note 5) | — | 3,271 | |||||||
Prepaid expenses and other assets | 56,120 | 27,862 | |||||||
Total assets | 2,097,504,435 | 13,574,272 | |||||||
LIABILITIES: | |||||||||
Payable for securities purchased | 50,176,652 | 524,523 | |||||||
Payable for Fund shares repurchased | 992,428 | — | |||||||
Payable to Advisor, net (Note 5) | 1,226,836 | — | |||||||
Payable to directors | 1,057 | 4,099 | |||||||
Accrued Rule 12b-1 fees (Note 7) | 45,283 | 29 | |||||||
Accrued fund accounting and administration fees | 19,796 | 3,284 | |||||||
Accrued shareholder servicing fees | 33,280 | 1,403 | |||||||
Accrued professional fees | 7,270 | 7,193 | |||||||
Accrued custody fees | 1,885 | — | |||||||
Accrued expenses and other liabilities | 16,579 | 712 | |||||||
Total liabilities | 52,521,066 | 541,243 | |||||||
NET ASSETS | $ | 2,044,983,369 | $ | 13,033,029 | |||||
NET ASSETS CONSIST OF: | |||||||||
Capital stock | $ | 1,382,614,905 | $ | 11,617,182 | |||||
Total distributable earnings | 662,368,464 | 1,415,847 | |||||||
NET ASSETS | $ | 2,044,983,369 | $ | 13,033,029 | |||||
INSTITUTIONAL CLASS SHARES | |||||||||
Net Assets | $ | 1,920,397,694 | $ | 12,977,124 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 85,606,369 | 1,149,089 | |||||||
Net asset value, offering and redemption price per share | $ | 22.43 | $ | 11.29 | |||||
INVESTOR CLASS SHARES | |||||||||
Net Assets | $ | 124,585,675 | $ | 55,905 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 5,880,191 | 4,959 | |||||||
Net asset value, offering and redemption price per share | $ | 21.19 | $ | 11.27 |
The accompanying notes are an integral part of these financial statements.
Page 41
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Baird | |||||||||
Small/Mid | Baird | ||||||||
Cap Value | SmallCap | ||||||||
Fund | Value Fund | ||||||||
ASSETS: | |||||||||
Investments, at value (cost $19,165,178 | |||||||||
and $27,494,030, respectively) | $ | 22,160,355 | $ | 34,526,696 | |||||
Dividends receivable | 39,108 | 72,922 | |||||||
Interest receivable | 2,020 | 5,260 | |||||||
Receivable for Fund shares sold | — | 25,382 | |||||||
Prepaid expenses and other assets | 17,577 | 22,418 | |||||||
Total assets | 22,219,060 | 34,652,678 | |||||||
LIABILITIES: | |||||||||
Payable for securities purchased | — | 730,839 | |||||||
Payable for Fund shares repurchased | — | 1,945 | |||||||
Payable to Advisor, net (Note 5) | 1,690 | 12,053 | |||||||
Payable to directors | 1,057 | 1,041 | |||||||
Accrued Rule 12b-1 fees (Note 7) | 219 | 741 | |||||||
Accrued fund accounting and administration fees | 3,781 | 3,473 | |||||||
Accrued shareholder servicing fees | 2,114 | 2,295 | |||||||
Accrued professional fees | 7,253 | 7,268 | |||||||
Accrued custody fees | 922 | 259 | |||||||
Accrued expenses and other liabilities | 771 | 6,136 | |||||||
Total liabilities | 17,807 | 766,050 | |||||||
NET ASSETS | $ | 22,201,253 | $ | 33,886,628 | |||||
NET ASSETS CONSIST OF: | |||||||||
Capital stock | $ | 19,840,530 | $ | 27,018,016 | |||||
Total distributable earnings | 2,360,723 | 6,868,612 | |||||||
NET ASSETS | $ | 22,201,253 | $ | 33,886,628 | |||||
INSTITUTIONAL CLASS SHARES | |||||||||
Net Assets | $ | 21,791,205 | $ | 33,036,484 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 1,828,221 | 2,152,650 | |||||||
Net asset value, offering and redemption price per share | $ | 11.92 | $ | 15.35 | |||||
INVESTOR CLASS SHARES | |||||||||
Net Assets | $ | 410,048 | $ | 850,144 | |||||
Shares outstanding ($0.01 par value, | |||||||||
unlimited shares authorized) | 34,551 | 55,438 | |||||||
Net asset value, offering and redemption price per share | $ | 11.87 | $ | 15.34 |
The accompanying notes are an integral part of these financial statements.
Page 42
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $141,006,400 | ||||||||
and $45,224,520, respectively) | $ | 154,842,271 | $ | 49,952,123 | ||||
Foreign currency, at value (cost $333,787 | ||||||||
and $65,226, respectively) | 332,756 | 65,681 | ||||||
Dividends receivable | 238,474 | 52,741 | ||||||
Interest receivable | 14,999 | 4,202 | ||||||
Receivable for Fund shares sold | 159,901 | 308,299 | ||||||
Prepaid expenses and other assets | 34,378 | 29,334 | ||||||
Total assets | 155,622,779 | 50,412,380 | ||||||
LIABILITIES: | ||||||||
Payable for Fund shares redeemed | 321,275 | 5,343 | ||||||
Payable to Advisor, net (Note 5) | 77,508 | 15,923 | ||||||
Payable to directors | 1,035 | 1,044 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 919 | 659 | ||||||
Accrued fund accounting and administration fees | 2,214 | 2,416 | ||||||
Accrued shareholder servicing fees | 3,233 | 1,832 | ||||||
Accrued professional fees | 8,189 | 8,185 | ||||||
Accrued custody fees | 3,520 | 4,060 | ||||||
Accrued expenses and other liabilities | 4,506 | 889 | ||||||
Total liabilities | 422,399 | 40,351 | ||||||
NET ASSETS | $ | 155,200,380 | $ | 50,372,029 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 142,695,006 | $ | 45,733,396 | ||||
Total distributable earnings | 12,505,374 | 4,638,633 | ||||||
NET ASSETS | $ | 155,200,380 | $ | 50,372,029 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 153,893,325 | $ | 49,170,690 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 12,577,487 | 3,560,587 | ||||||
Net asset value, offering and redemption price per share | $ | 12.24 | $ | 13.81 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 1,307,055 | $ | 1,201,339 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 107,145 | 87,683 | ||||||
Net asset value, offering and redemption price per share | $ | 12.20 | $ | 13.70 |
The accompanying notes are an integral part of these financial statements.
Page 43
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
Baird | ||||||||
Baird | Small/Mid | |||||||
MidCap | Cap Growth | |||||||
Fund | Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 6,191,132 | $ | 26,453 | ||||
Interest | 630,311 | 5,139 | ||||||
Total investment income | 6,821,443 | 31,592 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 6,720,971 | 38,288 | ||||||
Fund accounting and administration fees | 71,096 | 6,187 | ||||||
Shareholder servicing fees | 317,846 | 4,086 | ||||||
Professional fees | 16,284 | 12,641 | ||||||
Federal and state registration | 43,548 | 17,720 | ||||||
Directors fees | 27,512 | 26,408 | ||||||
Custody fees | 11,075 | 6,118 | ||||||
Reports to shareholders | 35,915 | 1,083 | ||||||
Miscellaneous expenses | 788 | 226 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 143,316 | 39 | ||||||
Total expenses | 7,388,351 | 112,796 | ||||||
Fee waiver by Advisor (Note 5) | — | (69,364 | ) | |||||
Net expenses | 7,388,351 | 43,432 | ||||||
NET INVESTMENT LOSS | (566,908 | ) | (11,840 | ) | ||||
REALIZED AND UNREALIZED | ||||||||
GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 77,042,970 | 43,198 | ||||||
Net change in unrealized appreciation on investments | 322,940,391 | 2,105,240 | ||||||
Net realized and unrealized gain on investments | 399,983,361 | 2,148,438 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 399,416,453 | $ | 2,136,598 |
The accompanying notes are an integral part of these financial statements.
Page 44
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
Baird | ||||||||
Small/Mid | Baird | |||||||
Cap Value | SmallCap | |||||||
Fund | Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $1,936 and $4,300, respectively) | $ | 186,045 | $ | 289,860 | ||||
Interest | 17,000 | 37,821 | ||||||
Total investment income | 203,045 | 327,681 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 77,409 | 139,777 | ||||||
Fund accounting and administration fees | 10,091 | 10,162 | ||||||
Shareholder servicing fees | 7,160 | 8,138 | ||||||
Professional fees | 16,284 | 16,612 | ||||||
Federal and state registration | 20,537 | 20,937 | ||||||
Directors fees | 27,512 | 27,512 | ||||||
Custody fees | 920 | 717 | ||||||
Reports to shareholders | 905 | 1,419 | ||||||
Miscellaneous expenses | 109 | 1,260 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 483 | 1,028 | ||||||
Total expenses | 161,410 | 227,562 | ||||||
Fee waiver by Advisor (Note 5) | (73,196 | ) | (70,312 | ) | ||||
Net expenses | 88,214 | 157,250 | ||||||
NET INVESTMENT INCOME | 114,831 | 170,431 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 52,260 | 444,676 | ||||||
Net change in unrealized appreciation on investments | 2,240,217 | 3,273,703 | ||||||
Net realized and unrealized gain on investments | 2,292,477 | 3,718,379 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 2,407,308 | $ | 3,888,810 |
The accompanying notes are an integral part of these financial statements.
Page 45
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $130,432 and $29,544, respectively) | $ | 1,307,644 | $ | 307,119 | ||||
Interest | 97,724 | 28,754 | ||||||
Total investment income | 1,405,368 | 335,873 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 466,623 | 166,340 | ||||||
Fund accounting and administration fees | 15,990 | 13,188 | ||||||
Shareholder servicing fees | 17,054 | 8,822 | ||||||
Professional fees | 17,213 | 17,137 | ||||||
Federal and state registration | 25,992 | 21,695 | ||||||
Directors fees | 27,512 | 27,512 | ||||||
Custody fees | 12,536 | 7,392 | ||||||
Reports to shareholders | 2,599 | 1,495 | ||||||
Miscellaneous expenses | 210 | 211 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 2,318 | 1,258 | ||||||
Total expenses | 588,047 | 265,050 | ||||||
Fee waiver by Advisor (Note 5) | (87,998 | ) | (86,362 | ) | ||||
Net expenses | 500,049 | 178,688 | ||||||
NET INVESTMENT INCOME | 905,319 | 157,185 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS AND | ||||||||
FOREIGN CURRENCY TRANSLATION: | ||||||||
Net realized loss on investments | (1,640,341 | ) | (318,021 | ) | ||||
Net realized loss on foreign currency translation | (8,345 | ) | (2,629 | ) | ||||
Net change in unrealized appreciation on investments | 21,495,176 | 8,717,385 | ||||||
Net change in unrealized appreciation | ||||||||
on foreign currency translation | 4,541 | 111 | ||||||
Net realized and unrealized gain on investments | ||||||||
and foreign currency translation | 19,851,031 | 8,396,846 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 20,756,350 | $ | 8,554,031 |
The accompanying notes are an integral part of these financial statements.
Page 46
Statements of Changes in Net Assets
Baird MidCap Fund
Six Months Ended | ||||||||
June 30, 2019 | Year Ended | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (566,908 | ) | $ | (2,559,945 | ) | ||
Net realized gain on investments | 77,042,970 | 100,449,663 | ||||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 322,940,391 | (128,172,350 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 399,416,453 | (30,282,632 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 390,725,573 | 392,164,539 | ||||||
Shares issued to holders in reinvestment of distributions | — | 66,692,305 | ||||||
Cost of shares redeemed | (177,991,239 | ) | (301,065,629 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 212,734,334 | 157,791,215 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional | — | (79,739,254 | ) | |||||
Investor | — | (5,918,540 | ) | |||||
Total net distributions to shareholders | — | (85,657,794 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 612,150,787 | 41,850,789 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,432,832,582 | 1,390,981,793 | ||||||
End of period | $ | 2,044,983,369 | $ | 1,432,832,582 |
The accompanying notes are an integral part of these financial statements.
Page 47
Statements of Changes in Net Assets
Baird Small/Mid Cap Growth Fund
Six Months Ended | October 31, 2018^ | |||||||
June 30, 2019 | through | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (11,840 | ) | $ | (352 | ) | ||
Net realized gain (loss) on investments | 43,198 | (30,729 | ) | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 2,105,240 | (690,022 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 2,136,598 | (721,103 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,681,791 | 8,011,208 | ||||||
Cost of shares redeemed | (75,465 | ) | — | |||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 3,606,326 | 8,011,208 | ||||||
TOTAL INCREASE IN NET ASSETS | 5,742,924 | 7,290,105 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,290,105 | — | ||||||
End of period | $ | 13,033,029 | $ | 7,290,105 |
^ | Inception was the close of business on October 31, 2018. |
The accompanying notes are an integral part of these financial statements.
Page 48
Statements of Changes in Net Assets
Baird Small/Mid Cap Value Fund
Six Months Ended | ||||||||
June 30, 2019 | Year Ended | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 114,831 | $ | 62,968 | ||||
Net realized gain (loss) on investments | 52,260 | (769,328 | ) | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 2,240,217 | (2,354,666 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 2,407,308 | (3,061,026 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,457,910 | 4,915,798 | ||||||
Shares issued to holders in reinvestment of distributions | — | 57,485 | ||||||
Cost of shares redeemed | (1,066,106 | ) | (1,387,954 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,391,804 | 3,585,329 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional | — | (66,490 | ) | |||||
Investor | — | (916 | ) | |||||
Total net distributions to shareholders | — | (67,406 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 4,799,112 | 456,897 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 17,402,141 | 16,945,244 | ||||||
End of period | $ | 22,201,253 | $ | 17,402,141 |
The accompanying notes are an integral part of these financial statements.
Page 49
Statements of Changes in Net Assets
Baird SmallCap Value Fund
Six Months Ended | ||||||||
June 30, 2019 | Year Ended | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 170,431 | $ | 100,083 | ||||
Net realized gain (loss) on investments | 444,676 | (267,801 | ) | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 3,273,703 | (5,801,768 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 3,888,810 | (5,969,486 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,735,590 | 5,898,926 | ||||||
Shares issued to holders in reinvestment of distributions | — | 1,080,830 | ||||||
Cost of shares redeemed | (2,250,437 | ) | (6,447,965 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 485,153 | 531,791 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional | — | (1,237,636 | ) | |||||
Investor | — | (29,670 | ) | |||||
Total net distributions to shareholders | — | (1,267,306 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 4,373,963 | (6,705,001 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 29,512,665 | 36,217,666 | ||||||
End of period | $ | 33,886,628 | $ | 29,512,665 |
The accompanying notes are an integral part of these financial statements.
Page 50
Statements of Changes in Net Assets
Chautauqua International Growth Fund
Six Months Ended | ||||||||
June 30, 2019 | Year Ended | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 905,319 | $ | 450,552 | ||||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | (1,648,686 | ) | 264,702 | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | 21,499,717 | (18,738,448 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 20,756,350 | (18,023,194 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 55,763,218 | 48,697,664 | ||||||
Shares issued to holders in reinvestment of distributions | — | 2,166,040 | ||||||
Cost of shares redeemed | (8,865,661 | ) | (18,778,472 | ) | ||||
Redemption fees | 18,983 | 20,170 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 46,916,540 | 32,105,402 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional | — | (2,302,815 | ) | |||||
Investor | — | (56,232 | ) | |||||
Total net distributions to shareholders | — | (2,359,047 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 67,672,890 | 11,723,161 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 87,527,490 | 75,804,329 | ||||||
End of period | $ | 155,200,380 | $ | 87,527,490 |
The accompanying notes are an integral part of these financial statements.
Page 51
Statements of Changes in Net Assets
Chautauqua Global Growth Fund
Six Months Ended | ||||||||
June 30, 2019 | Year Ended | |||||||
(Unaudited) | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 157,185 | $ | 3,536 | ||||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | (320,650 | ) | 186,416 | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | 8,717,496 | (6,873,327 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 8,554,031 | (6,683,375 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 7,608,320 | 26,064,150 | ||||||
Shares issued to holders in reinvestment of distributions | — | 479,031 | ||||||
Cost of shares redeemed | (3,339,223 | ) | (5,699,015 | ) | ||||
Redemption fees | 3,511 | 6,311 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 4,272,608 | 20,850,477 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional | — | (518,434 | ) | |||||
Investor | — | (10,060 | ) | |||||
Total net distributions to shareholders | — | (528,494 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 12,826,639 | 13,638,608 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 37,545,390 | 23,906,782 | ||||||
End of period | $ | 50,372,029 | $ | 37,545,390 |
The accompanying notes are an integral part of these financial statements.
Page 52
Financial Highlights
Baird MidCap Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | $ | 15.00 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment loss(1) | (0.00 | )(2) | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.03 | ) | (0.03 | ) | |||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 4.71 | (0.30 | ) | 4.28 | 0.83 | (0.53 | ) | 0.76 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 4.71 | (0.33 | ) | 4.25 | 0.81 | (0.56 | ) | 0.73 | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | |||||||||||||||
Total distributions | — | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 22.43 | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | |||||||||||||
Total return | 26.58 | %(3) | (1.61 | )% | 26.88 | % | 5.40 | % | (3.59 | )% | 4.85 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 1,920.4 | $ | 1,337.4 | $ | 1,279.6 | $ | 1,105.1 | $ | 1,035.0 | $ | 910.9 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.81 | %(4) | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | 0.85 | % | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | |||||||||||||||||||||||||
(before waivers) | 0.81 | %(4) | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | 0.87 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
loss to average net assets | (0.05 | )%(4) | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.17 | )% | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
loss to average net assets | |||||||||||||||||||||||||
(before waivers) | (0.05 | )%(4) | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.19 | )% | |||||||||||||
Portfolio turnover rate(5) | 20 | %(3) | 38 | % | 45 | % | 57 | % | 53 | % | 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 53
Financial Highlights
Baird MidCap Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | $ | 14.45 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment loss(1) | (0.03 | ) | (0.08 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | (0.06 | ) | |||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 4.46 | (0.28 | ) | 4.09 | 0.80 | (0.52 | ) | 0.73 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 4.43 | (0.36 | ) | 4.02 | 0.74 | (0.58 | ) | 0.67 | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | |||||||||||||||
Total distributions | — | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 21.19 | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | |||||||||||||
Total return | 26.37 | %(2) | (1.86 | )% | 26.61 | % | 5.08 | % | (3.80 | )% | 4.62 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 124.6 | $ | 95.5 | $ | 111.4 | $ | 137.2 | $ | 184.1 | $ | 205.4 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 1.06 | %(3) | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | 1.10 | % | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | |||||||||||||||||||||||||
(before waivers) | 1.06 | %(3) | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | 1.12 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
loss to average net assets | (0.30 | )%(3) | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.42 | )% | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
loss to average net assets | |||||||||||||||||||||||||
(before waivers) | (0.30 | )%(3) | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.44 | )% | |||||||||||||
Portfolio turnover rate(4) | 20 | %(2) | 38 | % | 45 | % | 57 | % | 53 | % | 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 54
Financial Highlights
Baird Small/Mid Cap Growth Fund – Institutional Class
Six Months Ended | |||||||||
June 30, 2019 | Period Ended | ||||||||
(Unaudited) | December 31, 2018(1) | ||||||||
Per Share Data: | |||||||||
Net asset value, beginning of period | $ | 8.95 | $ | 10.00 | |||||
Income from investment operations: | |||||||||
Net investment loss(2) | (0.01 | ) | (0.00 | )(3) | |||||
Net realized and unrealized | |||||||||
gains (losses) on investments | 2.35 | (1.05 | ) | ||||||
Total from investment operations | 2.34 | (1.05 | ) | ||||||
Net asset value, end of period | $ | 11.29 | $ | 8.95 | |||||
Total return | 26.15 | %(4) | (10.50 | )%(4) | |||||
Supplemental data and ratios: | |||||||||
Net assets, end of period (millions) | $ | 13.0 | $ | 7.3 | |||||
Ratio of expenses to average net assets | 0.85 | %(5) | 0.85 | %(5) | |||||
Ratio of expenses to average net assets (before waivers) | 2.21 | %(5) | 3.88 | %(5) | |||||
Ratio of net investment loss to average net assets | (0.23 | )%(5) | (0.03 | )%(5) | |||||
Ratio of net investment loss | |||||||||
to average net assets (before waivers) | (1.59 | )%(5) | (3.06 | )%(5) | |||||
Portfolio turnover rate(6) | 27 | %(4) | 9 | %(4) |
(1) | Inception was close of business on October 31, 2018. |
(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 55
Financial Highlights
Baird Small/Mid Cap Growth Fund – Investor Class
Six Months Ended | |||||||||
June 30, 2019 | Period Ended | ||||||||
(Unaudited) | December 31, 2018(1) | ||||||||
Per Share Data: | |||||||||
Net asset value, beginning of period | $ | 8.94 | $ | 10.00 | |||||
Income from investment operations: | |||||||||
Net investment loss(2) | (0.03 | ) | (0.00 | )(3) | |||||
Net realized and unrealized | |||||||||
gains (losses) on investments | 2.36 | (1.06 | ) | ||||||
Total from investment operations | 2.33 | (1.06 | ) | ||||||
Net asset value, end of period | $ | 11.27 | $ | 8.94 | |||||
Total return | 26.06 | %(4) | (10.60 | )%(4) | |||||
Supplemental data and ratios: | |||||||||
Net assets, end of period (thousands) | $ | 55.9 | $ | 8.9 | |||||
Ratio of expenses to average net assets | 1.10 | %(5) | 1.10 | %(5) | |||||
Ratio of expenses to average net assets (before waivers) | 2.46 | %(5) | 4.13 | %(5) | |||||
Ratio of net investment loss to average net assets | (0.48 | )%(5) | (0.28 | )%(5) | |||||
Ratio of net investment loss | |||||||||
to average net assets (before waivers) | (1.84 | )%(5) | (3.31 | )%(5) | |||||
Portfolio turnover rate(6) | 27 | %(4) | 9 | %(4) |
(1) | Inception was close of business on October 31, 2018. |
(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 56
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, beginning of period | $ | 10.51 | $ | 12.43 | $ | 10.29 | $ | 9.52 | $ | 10.00 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.06 | 0.04 | 0.07 | 0.13 | 0.02 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 1.35 | (1.92 | ) | 2.14 | 0.72 | (0.49 | ) | ||||||||||||||
Total from investment operations | 1.41 | (1.88 | ) | 2.21 | 0.85 | (0.47 | ) | ||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from | |||||||||||||||||||||
net investment income | — | (0.04 | ) | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | — | — | ||||||||||||||
Total distributions | — | (0.04 | ) | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 11.92 | $ | 10.51 | $ | 12.43 | $ | 10.29 | $ | 9.52 | |||||||||||
Total return | 13.42 | %(4) | (15.11 | )% | 21.48 | % | 8.91 | % | (4.66 | )%(4) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (millions) | $ | 21.8 | $ | 17.1 | $ | 16.9 | $ | 11.9 | $ | 4.7 | |||||||||||
Ratio of expenses to average net assets | 0.85 | %(5) | 0.94 | %(6) | 0.95 | % | 0.95 | % | 0.95 | %(5) | |||||||||||
Ratio of expenses to average | |||||||||||||||||||||
net assets (before waivers) | 1.56 | %(5) | 1.75 | % | 1.91 | % | 2.86 | % | 6.88 | %(5) | |||||||||||
Ratio of net investment income | |||||||||||||||||||||
to average net assets | 1.12 | %(5) | 0.34 | % | 0.62 | % | 1.35 | % | 1.96 | %(5) | |||||||||||
Ratio of net investment income (loss) | |||||||||||||||||||||
to average net assets (before waivers) | 0.41 | %(5) | (0.47 | )% | (0.34 | )% | (0.56 | )% | (3.97 | )%(5) | |||||||||||
Portfolio turnover rate(7) | 12 | %(4) | 34 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.85%. Prior to December 1, 2018, the expense cap was 0.95%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 57
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
Six Months | |||||||||||||||||||||
Ended | Period Ended | ||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||
Per Share Data: | |||||||||||||||||||||
Net asset value, beginning of period | $ | 10.48 | $ | 12.40 | $ | 10.28 | $ | 9.52 | $ | 10.00 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income(2) | 0.05 | 0.01 | 0.04 | 0.11 | 0.01 | ||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||
gains (losses) on investments | 1.34 | (1.90 | ) | 2.13 | 0.71 | (0.48 | ) | ||||||||||||||
Total from investment operations | 1.39 | (1.89 | ) | 2.17 | 0.82 | (0.47 | ) | ||||||||||||||
Less distributions: | |||||||||||||||||||||
Distributions from | |||||||||||||||||||||
net investment income | — | (0.03 | ) | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | — | — | ||||||||||||||
Total distributions | — | (0.03 | ) | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 11.87 | $ | 10.48 | $ | 12.40 | $ | 10.28 | $ | 9.52 | |||||||||||
Total return | 13.26 | %(4) | (15.25 | )% | 21.08 | % | 8.64 | % | (4.67 | )%(4) | |||||||||||
Supplemental data and ratios: | |||||||||||||||||||||
Net assets, end of period (thousands) | $ | 410.0 | $ | 341.5 | $ | 86.1 | $ | 53.2 | $ | 19.0 | |||||||||||
Ratio of expenses to average net assets | 1.10 | %(5) | 1.19 | %(6) | 1.20 | % | 1.20 | % | 1.20 | %(5) | |||||||||||
Ratio of expenses to average | |||||||||||||||||||||
net assets (before waivers) | 1.81 | %(5) | 2.00 | % | 2.16 | % | 3.11 | % | 7.13 | %(5) | |||||||||||
Ratio of net investment income | |||||||||||||||||||||
to average net assets | 0.87 | %(5) | 0.09 | % | 0.37 | % | 1.10 | % | 1.71 | %(5) | |||||||||||
Ratio of net investment income (loss) | |||||||||||||||||||||
to average net assets (before waivers) | 0.16 | %(5) | (0.72 | )% | (0.59 | )% | (0.81 | )% | (4.22 | )%(5) | |||||||||||
Portfolio turnover rate(7) | 12 | %(4) | 34 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.10%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 58
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | $ | 14.01 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income(1) | 0.08 | 0.05 | 0.09 | 0.21 | 0.11 | 0.05 | |||||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 1.69 | (2.85 | ) | 2.59 | 1.76 | (0.82 | ) | 0.01 | |||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 1.77 | (2.80 | ) | 2.68 | 1.97 | (0.71 | ) | 0.06 | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from | |||||||||||||||||||||||||
net investment income | — | (0.06 | ) | (0.09 | ) | (0.17 | ) | (0.08 | ) | (0.05 | ) | ||||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | (0.55 | ) | (0.43 | ) | — | — | (0.20 | ) | ||||||||||||||||
Total distributions | — | (0.61 | ) | (0.52 | ) | (0.17 | ) | (0.08 | ) | (0.25 | ) | ||||||||||||||
Net asset value, end of period | $ | 15.35 | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | |||||||||||||
Total return | 13.03 | %(2) | (16.45 | )% | 18.05 | % | 15.11 | % | (5.11 | )% | 0.42 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 33.0 | $ | 28.8 | $ | 33.6 | $ | 28.2 | $ | 23.1 | $ | 23.5 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 0.95 | %(3) | 1.00 | %(4) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | |||||||||||||
Ratio of expenses to average | |||||||||||||||||||||||||
net assets (before waivers) | 1.38 | %(3) | 1.38 | % | 1.35 | % | 1.43 | % | 1.51 | % | 1.55 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 1.04 | %(3) | 0.29 | % | 0.61 | % | 1.58 | % | 0.79 | % | 0.36 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income (loss) to average | |||||||||||||||||||||||||
net assets (before waivers) | 0.61 | %(3) | (0.09 | )% | 0.26 | % | 1.15 | % | 0.28 | % | (0.19 | )% | |||||||||||||
Portfolio turnover rate(5) | 23 | %(2) | 36 | % | 30 | % | 49 | % | 42 | % | 42 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.95%. Prior to December 1, 2018, the expense cap was 1.00%. |
(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 59
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Six Months | |||||||||||||||||||||||||
Ended | |||||||||||||||||||||||||
June 30, 2019 | Year Ended December 31, | ||||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Data: | |||||||||||||||||||||||||
Net asset value, | |||||||||||||||||||||||||
beginning of period | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | $ | 13.98 | |||||||||||||
Income from | |||||||||||||||||||||||||
investment operations: | |||||||||||||||||||||||||
Net investment income(1) | 0.06 | 0.01 | 0.06 | 0.18 | 0.07 | 0.02 | |||||||||||||||||||
Net realized and unrealized | |||||||||||||||||||||||||
gains (losses) on investments | 1.70 | (2.85 | ) | 2.58 | 1.75 | (0.81 | ) | 0.00 | (2) | ||||||||||||||||
Total from | |||||||||||||||||||||||||
investment operations | 1.76 | (2.84 | ) | 2.64 | 1.93 | (0.74 | ) | 0.02 | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||||
Distributions from | |||||||||||||||||||||||||
net investment income | — | — | (0.05 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | |||||||||||||||
Distributions from | |||||||||||||||||||||||||
net realized gains | — | (0.55 | ) | (0.43 | ) | — | — | (0.20 | ) | ||||||||||||||||
Total distributions | — | (0.55 | ) | (0.48 | ) | (0.11 | ) | (0.05 | ) | (0.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 15.34 | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | |||||||||||||
Total return | 12.96 | %(3) | (16.71 | )% | 17.78 | % | 14.84 | % | (5.37 | )% | 0.13 | % | |||||||||||||
Supplemental data and ratios: | |||||||||||||||||||||||||
Net assets, | |||||||||||||||||||||||||
end of period (millions) | $ | 0.9 | $ | 0.8 | $ | 2.6 | $ | 2.6 | $ | 2.0 | $ | 2.1 | |||||||||||||
Ratio of expenses to | |||||||||||||||||||||||||
average net assets | 1.20 | %(4) | 1.25 | %(5) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | |||||||||||||
Ratio of expenses to average | |||||||||||||||||||||||||
net assets (before waivers) | 1.63 | %(4) | 1.63 | % | 1.60 | % | 1.68 | % | 1.76 | % | 1.80 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income to average net assets | 0.79 | %(4) | 0.04 | % | 0.36 | % | 1.33 | % | 0.54 | % | 0.11 | % | |||||||||||||
Ratio of net investment | |||||||||||||||||||||||||
income (loss) to average | |||||||||||||||||||||||||
net assets (before waivers) | 0.36 | %(4) | (0.34 | )% | 0.01 | % | 0.90 | % | 0.03 | % | (0.44 | )% | |||||||||||||
Portfolio turnover rate(6) | 23 | %(3) | 36 | % | 30 | % | 49 | % | 42 | % | 42 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.20%. Prior to December 1, 2018, the expense cap was 1.25%. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 60
Financial Highlights
Chautauqua International Growth Fund – Institutional Class
Six Months | |||||||||||||||||
Ended | Period Ended | ||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||
(Unaudited) | 2018 | 2017 | 2016(1) | ||||||||||||||
Per Share Data: | |||||||||||||||||
Net asset value, | |||||||||||||||||
beginning of period | $ | 10.17 | $ | 12.59 | $ | 9.57 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income(2) | 0.08 | 0.06 | 0.04 | 0.00 | (3) | ||||||||||||
Net realized and unrealized | |||||||||||||||||
gains (losses) on investments | |||||||||||||||||
and foreign currency translation | 1.99 | (2.19 | ) | 3.41 | (0.43 | ) | |||||||||||
Total from investment operations | 2.07 | (2.13 | ) | 3.45 | (0.43 | ) | |||||||||||
Less distributions: | |||||||||||||||||
Distributions from | |||||||||||||||||
net investment income | — | (0.06 | ) | (0.02 | ) | — | |||||||||||
Distributions from | |||||||||||||||||
net realized gains | — | (0.23 | ) | (0.41 | ) | — | |||||||||||
Total distributions | — | (0.29 | ) | (0.43 | ) | — | |||||||||||
Paid in capital from redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | — | ||||||||||
Net asset value, end of period | $ | 12.24 | $ | 10.17 | $ | 12.59 | $ | 9.57 | |||||||||
Total return | 20.35 | %(4) | (16.94 | )% | 36.11 | % | (4.30 | )%(4) | |||||||||
Supplemental data and ratios: | |||||||||||||||||
Net assets, end of period (millions) | $ | 153.9 | $ | 85.4 | $ | 74.2 | $ | 14.8 | |||||||||
Ratio of expenses | |||||||||||||||||
to average net assets | 0.80 | %(5) | 0.94 | %(6) | 0.95 | % | 0.95 | %(5) | |||||||||
Ratio of expenses to average | |||||||||||||||||
net assets (before waivers) | 0.94 | %(5) | 1.07 | % | 1.20 | % | 2.32 | %(5) | |||||||||
Ratio of net investment income | |||||||||||||||||
to average net assets | 1.46 | %(5) | 0.51 | % | 0.30 | % | 0.06 | %(5) | |||||||||
Ratio of net investment | |||||||||||||||||
income (loss) to average | |||||||||||||||||
net assets (before waivers) | 1.32 | %(5) | 0.38 | % | 0.05 | % | (1.31 | )%(5) | |||||||||
Portfolio turnover rate(7) | 14 | %(4) | 42 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.80%. Prior to December 1, 2018, the expense cap was 0.95%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 61
Financial Highlights
Chautauqua International Growth Fund – Investor Class
Six Months | |||||||||||||||||
Ended | Period Ended | ||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||
(Unaudited) | 2018 | 2017 | 2016(1) | ||||||||||||||
Per Share Data: | |||||||||||||||||
Net asset value, | |||||||||||||||||
beginning of period | $ | 10.15 | $ | 12.57 | $ | 9.56 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss)(2) | 0.07 | 0.03 | 0.01 | (0.01 | ) | ||||||||||||
Net realized and unrealized | |||||||||||||||||
gains (losses) on investments | |||||||||||||||||
and foreign currency translation | 1.98 | (2.19 | ) | 3.41 | (0.44 | ) | |||||||||||
Total from investment operations | 2.05 | (2.16 | ) | 3.42 | (0.45 | ) | |||||||||||
Less distributions: | |||||||||||||||||
Distributions from | |||||||||||||||||
net investment income | — | (0.03 | ) | (0.00 | )(3) | — | |||||||||||
Distributions from | |||||||||||||||||
net realized gains | — | (0.23 | ) | (0.41 | ) | — | |||||||||||
Total distributions | — | (0.26 | ) | (0.41 | ) | — | |||||||||||
Paid in capital from redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | 0.01 | ||||||||||
Net asset value, end of period | $ | 12.20 | $ | 10.15 | $ | 12.57 | $ | 9.56 | |||||||||
Total return | 20.20 | %(4) | (17.21 | )% | 35.86 | % | (4.40 | )%(4) | |||||||||
Supplemental data and ratios: | |||||||||||||||||
Net assets, end of period (millions) | $ | 1.3 | $ | 2.1 | $ | 1.6 | $ | 0.3 | |||||||||
Ratio of expenses | |||||||||||||||||
to average net assets | 1.05 | %(5) | 1.19 | %(6) | 1.20 | % | 1.20 | %(5) | |||||||||
Ratio of expenses to average | |||||||||||||||||
net assets (before waivers) | 1.19 | %(5) | 1.32 | % | 1.45 | % | 2.58 | %(5) | |||||||||
Ratio of net investment income | |||||||||||||||||
(loss) to average net assets | 1.21 | %(5) | 0.26 | % | 0.05 | % | (0.19 | )%(5) | |||||||||
Ratio of net investment | |||||||||||||||||
income (loss) to average | |||||||||||||||||
net assets (before waivers) | 1.07 | %(5) | 0.13 | % | (0.20 | )% | (1.57 | )%(5) | |||||||||
Portfolio turnover rate(7) | 14 | %(4) | 42 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.05%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 62
Financial Highlights
Chautauqua Global Growth Fund – Institutional Class
Six Months | |||||||||||||||||
Ended | Period Ended | ||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||
(Unaudited) | 2018 | 2017 | 2016(1) | ||||||||||||||
Per Share Data: | |||||||||||||||||
Net asset value, | |||||||||||||||||
beginning of period | $ | 11.29 | $ | 13.43 | $ | 10.09 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss)(2) | 0.05 | 0.00 | (3) | (0.04 | ) | (0.01 | ) | ||||||||||
Net realized and unrealized | |||||||||||||||||
gains (losses) on investments | |||||||||||||||||
and foreign currency translation | 2.47 | (1.98 | ) | 3.85 | 0.10 | ||||||||||||
Total from investment operations | 2.52 | (1.98 | ) | 3.81 | 0.09 | ||||||||||||
Less distributions: | |||||||||||||||||
Distributions from | |||||||||||||||||
net investment income | — | (0.00 | )(3) | — | — | ||||||||||||
Distributions from | |||||||||||||||||
net realized gains | — | (0.16 | ) | (0.47 | ) | — | |||||||||||
Total distributions | — | (0.16 | ) | (0.47 | ) | — | |||||||||||
Paid in capital from redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | — | ||||||||||
Net asset value, end of period | $ | 13.81 | $ | 11.29 | $ | 13.43 | $ | 10.09 | |||||||||
Total return | 22.32 | %(4) | (14.70 | )% | 37.75 | % | 0.90 | %(4) | |||||||||
Supplemental data and ratios: | |||||||||||||||||
Net assets, end of period (millions) | $ | 49.2 | $ | 36.8 | $ | 23.2 | $ | 7.6 | |||||||||
Ratio of expenses | |||||||||||||||||
to average net assets | 0.80 | %(5) | 0.94 | %(6) | 0.95 | % | 0.95 | %(5) | |||||||||
Ratio of expenses to average | |||||||||||||||||
net assets (before waivers) | 1.19 | %(5) | 1.34 | % | 2.26 | % | 3.65 | %(5) | |||||||||
Ratio of net investment income | |||||||||||||||||
(loss) to average net assets | 0.71 | %(5) | 0.01 | % | (0.30 | )% | (0.16 | )%(5) | |||||||||
Ratio of net investment | |||||||||||||||||
income (loss) to average | |||||||||||||||||
net assets (before waivers) | 0.32 | %(5) | (0.39 | )% | (1.61 | )% | (2.86 | )%(5) | |||||||||
Portfolio turnover rate(7) | 11 | %(4) | 38 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.80%. Prior to December 1, 2018, the expense cap was 0.95%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 63
Financial Highlights
Chautauqua Global Growth Fund – Investor Class
Six Months | |||||||||||||||||
Ended | Period Ended | ||||||||||||||||
June 30, 2019 | Year Ended December 31, | December 31, | |||||||||||||||
(Unaudited) | 2018 | 2017 | 2016(1) | ||||||||||||||
Per Share Data: | |||||||||||||||||
Net asset value, | |||||||||||||||||
beginning of period | $ | 11.22 | $ | 13.37 | $ | 10.08 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss)(2) | 0.03 | (0.03 | ) | (0.07 | ) | (0.03 | ) | ||||||||||
Net realized and unrealized | |||||||||||||||||
gains (losses) on investments | |||||||||||||||||
and foreign currency translation | 2.45 | (1.96 | ) | 3.83 | 0.11 | ||||||||||||
Total from investment operations | 2.48 | (1.99 | ) | 3.76 | 0.08 | ||||||||||||
Less distributions: | |||||||||||||||||
Distributions from | |||||||||||||||||
net realized gains | — | (0.16 | ) | (0.47 | ) | — | |||||||||||
Total distributions | — | (0.16 | ) | (0.47 | ) | — | |||||||||||
Paid in capital from redemption fees(3) | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||
Net asset value, end of period | $ | 13.70 | $ | 11.22 | $ | 13.37 | $ | 10.08 | |||||||||
Total return | 22.10 | %(4) | (14.86 | )% | 37.29 | % | 0.80 | %(4) | |||||||||
Supplemental data and ratios: | |||||||||||||||||
Net assets, end of period (millions) | $ | 1.2 | $ | 0.7 | $ | 0.7 | $ | 0.2 | |||||||||
Ratio of expenses to average net assets | 1.05 | %(5) | 1.19 | %(6) | 1.20 | % | 1.20 | %(5) | |||||||||
Ratio of expenses to average | |||||||||||||||||
net assets (before waivers) | 1.44 | %(5) | 1.59 | % | 2.51 | % | 3.90 | %(5) | |||||||||
Ratio of net investment income | |||||||||||||||||
(loss) to average net assets | 0.46 | %(5) | (0.24 | )% | (0.55 | )% | (0.41 | )%(5) | |||||||||
Ratio of net investment | |||||||||||||||||
income (loss) to average | |||||||||||||||||
net assets (before waivers) | 0.07 | %(5) | (0.64 | )% | (1.86 | )% | (3.11 | )%(5) | |||||||||
Portfolio turnover rate(7) | 11 | %(4) | 38 | % | 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) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.05%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 64
Notes to the Financial Statements
June 30, 2019 (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 Growth 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”), six of the 14 active funds in the 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.
Organizational costs were incurred to establish the Baird Small/Mid Cap Growth Fund and enable it to legally do business. These expenses were paid by the Advisor and are not subject to reimbursement by the Fund.
The following table presents the class-specific inception dates for each of the Funds:
Inception Date | ||||
Fund | Institutional Class | Investor Class | ||
Baird MidCap Fund | December 29, 2000 | December 29, 2000 | ||
Baird Small/Mid Cap Growth Fund | October 31, 2018 | October 31, 2018 | ||
Baird Small/Mid Cap Value Fund | November 30, 2015 | November 30, 2015 | ||
Baird SmallCap Value Fund | May 1, 2012 | May 1, 2012 | ||
Chautauqua International Growth Fund | April 15, 2016 | April 15, 2016 | ||
Chautauqua Global Growth Fund | April 15, 2016 | April 15, 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 Growth Fund seeks long-term growth of capital through investments in equity securities of small- to 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, 2019, shareholders affiliated with the Advisor held 65% of the Baird Small/Mid Growth Fund, 58% of the Baird Small/Mid Cap Value Fund, 50% of the Baird SmallCap Value Fund, and 51% of the Chautauqua Global Growth Fund. These shareholders included the Baird Foundation.
Page 65
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
a) | Investment Valuation – Section 2(a)(41) of the 1940 Act, together with the rules and interpretations of the U.S. Securities and 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”) 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 |
Page 66
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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 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 nor currency gains or losses realized between the trade and settlement dates on securities transactions. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Net realized gain (loss) on 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 foreign currency 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 investments 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, 2019, or for any other tax years which are open for exam. As of June 30, 2019, open tax years include the tax years ended December 31, 2015 through 2018. 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 period, 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. Distributions received from underlying investments in real estate investment trusts (“REITs”) may be classified as dividends, capital gains or return of capital. 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. |
Page 67
Notes to the Financial Statements
June 30, 2019 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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. |
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. |
j) | New Accounting Pronouncements – In August 2018, FASB issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated ASU 2018-13 and has early adopted the relevant provisions of the disclosure framework. |
In March 2017, the FASB issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Funds’ financial statements. |
Page 68
Notes to the Financial Statements
June 30, 2019 (Unaudited)
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, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 18,127,839 | $ | 376,412,770 | 18,178,809 | $ | 370,633,367 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 3,505,031 | 60,882,398 | ||||||||||||
Shares redeemed | (7,981,049 | ) | (166,694,661 | ) | (12,994,679 | ) | (263,687,717 | ) | ||||||||
Net increase | 10,146,790 | $ | 209,718,109 | 8,689,161 | $ | 167,828,048 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 75,459,579 | 66,770,418 | ||||||||||||||
End of period | 85,606,369 | 75,459,579 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 751,708 | $ | 14,312,803 | 1,107,823 | $ | 21,531,172 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 353,616 | 5,809,907 | ||||||||||||
Shares redeemed | (568,708 | ) | (11,296,578 | ) | (1,875,673 | ) | (37,377,912 | ) | ||||||||
Net increase (decrease) | 183,000 | $ | 3,016,225 | (414,234 | ) | $ | (10,036,833 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 5,697,191 | 6,111,425 | ||||||||||||||
End of period | 5,880,191 | 5,697,191 | ||||||||||||||
Total net increase | $ | 212,734,334 | $ | 157,791,215 | ||||||||||||
Baird Small/Mid Cap Growth Fund | ||||||||||||||||
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2019 | December 31, 2018^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 342,088 | $ | 3,639,552 | 813,957 | $ | 8,001,208 | ||||||||||
Shares redeemed | (6,956 | ) | (75,465 | ) | — | — | ||||||||||
Net increase | 335,132 | $ | 3,564,087 | 813,957 | $ | 8,001,208 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 813,957 | — | ||||||||||||||
End of period | 1,149,089 | 813,957 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,959 | $ | 42,239 | 1,000 | $ | 10,000 | ||||||||||
Net increase | 3,959 | $ | 42,239 | 1,000 | $ | 10,000 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,000 | — | ||||||||||||||
End of period | 4,959 | 1,000 | ||||||||||||||
Total net increase | $ | 3,606,326 | $ | 8,011,208 |
^ Inception was the close of business on October 31, 2018.
Page 69
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Small/Mid Cap Value Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 296,456 | $ | 3,433,539 | 370,436 | $ | 4,588,085 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 5,478 | 56,691 | ||||||||||||
Shares redeemed | (90,986 | ) | (1,064,278 | ) | (109,927 | ) | (1,359,260 | ) | ||||||||
Net increase | 205,470 | $ | 2,369,261 | 265,987 | $ | 3,285,516 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,622,751 | 1,356,764 | ||||||||||||||
End of period | 1,828,221 | 1,622,751 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,119 | $ | 24,371 | 27,878 | $ | 327,713 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 77 | 794 | ||||||||||||
Shares redeemed | (155 | ) | (1,828 | ) | (2,310 | ) | (28,694 | ) | ||||||||
Net increase | 1,964 | $ | 22,543 | 25,645 | $ | 299,813 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 32,587 | 6,942 | ||||||||||||||
End of period | 34,551 | 32,587 | ||||||||||||||
Total net increase | $ | 2,391,804 | $ | 3,585,329 | ||||||||||||
Baird SmallCap Value Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 179,121 | $ | 2,674,577 | 326,678 | $ | 5,628,102 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 79,232 | 1,059,328 | ||||||||||||
Shares redeemed | (144,481 | ) | (2,183,101 | ) | (267,481 | ) | (4,447,469 | ) | ||||||||
Net increase | 34,640 | $ | 491,476 | 138,429 | $ | 2,239,961 | ||||||||||
Shares Outstanding: | �� | |||||||||||||||
Beginning of period | 2,118,010 | 1,979,581 | ||||||||||||||
End of period | 2,152,650 | 2,118,010 |
Page 70
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird SmallCap Value Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,080 | $ | 61,013 | 15,815 | $ | 270,824 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 1,607 | 21,502 | ||||||||||||
Shares redeemed | (4,493 | ) | (67,336 | ) | (113,998 | ) | (2,000,496 | ) | ||||||||
Net decrease | (413 | ) | $ | (6,323 | ) | (96,576 | ) | $ | (1,708,170 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 55,851 | 152,427 | ||||||||||||||
End of period | 55,438 | 55,851 | ||||||||||||||
Total net increase | $ | 485,153 | $ | 531,791 | ||||||||||||
Chautauqua International Growth Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,840,439 | $ | 55,611,318 | 3,757,570 | $ | 46,499,046 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of dividends | — | — | 209,939 | 2,118,285 | ||||||||||||
Shares redeemed | (658,158 | ) | (7,494,048 | ) | (1,463,773 | ) | (17,658,561 | ) | ||||||||
Redemption fees | — | 18,977 | — | 20,078 | ||||||||||||
Net increase | 4,182,281 | $ | 48,136,247 | 2,503,736 | $ | 30,978,848 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 8,395,206 | 5,891,470 | ||||||||||||||
End of period | 12,577,487 | 8,395,206 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,947 | $ | 151,900 | 177,197 | $ | 2,198,618 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of dividends | — | — | 4,738 | 47,755 | ||||||||||||
Shares redeemed | (117,272 | ) | (1,371,613 | ) | (99,219 | ) | (1,119,911 | ) | ||||||||
Redemption fees | — | 6 | — | 92 | ||||||||||||
Net increase (decrease) | (104,325 | ) | $ | (1,219,707 | ) | 82,716 | $ | 1,126,554 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 211,470 | 128,754 | ||||||||||||||
End of period | 107,145 | 211,470 | ||||||||||||||
Total net increase | $ | 46,916,540 | $ | 32,105,402 |
Page 71
Notes to the Financial Statements
June 30, 2019 (Unaudited)
3. | Capital Share Transactions (cont.) |
Chautauqua Global Growth Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 551,415 | $ | 7,195,926 | 1,906,230 | $ | 25,534,158 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 41,947 | 468,971 | ||||||||||||
Shares redeemed | (252,471 | ) | (3,235,281 | ) | (417,200 | ) | (5,362,851 | ) | ||||||||
Redemption fees | — | 3,461 | — | 6,272 | ||||||||||||
Net increase | 298,944 | $ | 3,964,106 | 1,530,977 | $ | 20,646,550 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,261,643 | 1,730,666 | ||||||||||||||
End of period | 3,560,587 | 3,261,643 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 31,780 | $ | 412,394 | 38,349 | $ | 529,992 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 905 | 10,060 | ||||||||||||
Shares redeemed | (7,733 | ) | (103,942 | ) | (25,595 | ) | (336,164 | ) | ||||||||
Redemption fees | — | 50 | — | 39 | ||||||||||||
Net increase | 24,047 | $ | 308,502 | 13,659 | $ | 203,927 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 63,636 | 49,977 | ||||||||||||||
End of period | 87,683 | 63,636 | ||||||||||||||
Total net increase | $ | 4,272,608 | $ | 20,850,477 |
During the period ended June 30, 2019, Chautauqua International Growth Fund satisfied a purchase in kind request made by a large institutional shareholder by transferring cash and securities into the fund. The transfers were effected in accordance with policies and procedures approved by the Board. Consideration received and shares exchanged were as follows:
Value of Cash and | |||
Effective Date | Fund | Securities Received | Shares Exchanged |
February 28, 2019 | Chautauqua International Growth Fund | $26,869,633 | 2,367,369 |
4. Investment Transactions and Income Tax Information
During the six months ended June 30, 2019, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | Baird | Chautauqua | Chautauqua | |||||||||||||||||||
MidCap | Small/Mid Cap | Small/Mid Cap | SmallCap | International | Global Growth | |||||||||||||||||||
Fund | Growth Fund | Value Fund | Value Fund | Growth Fund | Fund | |||||||||||||||||||
Purchases: | $ | 542,847,060 | $ | 5,998,697 | $ | 5,744,616 | $ | 9,549,076 | $ | 34,147,199 | $ | 9,028,348 | ||||||||||||
Sales: | $ | 350,843,052 | $ | 2,641,131 | $ | 2,279,273 | $ | 6,967,873 | $ | 16,589,463 | $ | 4,645,878 |
The Funds did not purchase or sell U.S. Government securities during the six months ended June 30, 2019.
Page 72
Notes to the Financial Statements
June 30, 2019 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
As of December 31, 2018, the components of distributable earnings (losses) for income tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
MidCap | Small/Mid Cap | Small/Mid Cap | ||||||||||
Fund | Growth Fund | Value Fund | ||||||||||
Cost of investments | $ | 1,201,047,423 | $ | 8,132,032 | $ | 16,658,731 | ||||||
Gross unrealized appreciation | $ | 338,528,051 | $ | 46,693 | $ | 2,369,078 | ||||||
Gross unrealized depreciation | (92,050,945 | ) | (738,330 | ) | (1,637,351 | ) | ||||||
Net unrealized appreciation (depreciation) | 246,477,106 | (691,637 | ) | 731,727 | ||||||||
Undistributed ordinary income | — | — | 1,979 | |||||||||
Undistributed long-term capital gains | 20,671,361 | — | — | |||||||||
Total distributable earnings, | ||||||||||||
before other accumulated losses | 20,671,361 | — | 1,979 | |||||||||
Other accumulated losses | (4,196,456 | ) | (29,114 | ) | (780,291 | ) | ||||||
Total distributable earnings (loss) | $ | 262,952,011 | $ | (720,751 | ) | $ | (46,585 | ) | ||||
Baird | Chautauqua | Chautauqua | ||||||||||
SmallCap | International | Global | ||||||||||
Value Fund | Growth Fund | Growth Fund | ||||||||||
Cost of investments | $ | 25,060,992 | $ | 94,274,545 | $ | 41,168,706 | ||||||
Gross unrealized appreciation | $ | 6,014,746 | $ | 7,962,317 | $ | 3,170,469 | ||||||
Gross unrealized depreciation | (2,278,131 | ) | (15,891,022 | ) | (7,314,471 | ) | ||||||
Net unrealized appreciation (depreciation) | 3,736,615 | (7,928,705 | ) | (4,144,002 | ) | |||||||
Undistributed ordinary income | — | 6,382 | 204,652 | |||||||||
Undistributed long-term capital gains | — | — | 24,923 | |||||||||
Total distributable earnings, | ||||||||||||
before other accumulated losses | — | 6,382 | 229,575 | |||||||||
Other accumulated losses | (756,813 | ) | (328,653 | ) | (971 | ) | ||||||
Total distributable earnings (loss) | $ | 2,979,802 | $ | (8,250,976 | ) | $ | (3,915,398 | ) |
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, the disallowance of a net operating loss, redesignation of dividends, capital gain distributions received from underlying REIT securities, and the reclassification of foreign currency gains and losses. These reclassifications have no effect on net assets or net asset value per share.
Page 73
Notes to the Financial Statements
June 30, 2019 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Distributions to Shareholders
Each Fund generally pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
During the six months ended June 30, 2019, the Funds did not pay any distributions. During the year ended December 31, 2018, the Funds paid the following distributions:
Year Ended December 31, 2018 | ||||||||||||
Ordinary | Long-Term | |||||||||||
Fund | Income | Capital Gains | Total | |||||||||
Baird MidCap Fund | $ | 1,973,593 | $ | 83,684,201 | $ | 85,657,794 | ||||||
Baird Small/MidCap Value Fund | 60,428 | 6,978 | 67,406 | |||||||||
Baird SmallCap Value Fund | 99,147 | 1,168,159 | 1,267,306 | |||||||||
Chautauqua International Growth Fund | 2,231,961 | 127,086 | 2,359,047 | |||||||||
Chautauqua Global Growth Fund | 279,792 | 248,702 | 528,494 |
The Funds in the table below designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended December 31, 2018. To the extent necessary to fully distribute such capital gains, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
At December 31, 2018, the following Funds deferred, on a tax basis, qualified late year losses:
Fund | Loss Deferral | |||
Baird MidCap Fund | $ | 4,196,456 | ||
Baird SmallCap Value Fund | 756,813 | |||
Chautauqua International Growth Fund | 323,018 | |||
Chautauqua Global Growth Fund | 1,314 |
At December 31, 2018, accumulated net realized capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:
Capital Loss Carryover | Year of Expiration | |||||||||
Fund | Short-term | Long-term | Short-term | Long-term | ||||||
Baird Small/Mid Cap Growth Fund | $ | 29,114 | $ | — | Indefinite | Indefinite | ||||
Baird Small/Mid Cap Value Fund | 436,595 | 343,696 | Indefinite | Indefinite |
Page 74
Notes to the Financial Statements
June 30, 2019 (Unaudited)
5. | Investment Advisory and Other Agreements |
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rates as follows:
Fund | Investment Advisory Fees |
Baird MidCap Fund | 0.75% |
Baird Small/Mid Cap Growth Fund | 0.75% |
Baird Small/Mid Cap Value Fund | 0.75% |
Baird SmallCap Value Fund | 0.85% |
Chautauqua International Growth Fund | 0.75% |
Chautauqua Global Growth Fund | 0.75% |
The Advisor has contractually agreed to waive its investment advisory fee and/or reimburse the Funds’ operating expenses, including interest expense and the fees and expenses incurred by the Funds in connection with the Funds’ investments in other investment companies (exclusive of taxes, brokerage commissions and extraordinary expenses) to the extent necessary to ensure that each Fund’s total operating expenses do not exceed the following annual percentages of average daily net assets:
Effective December 1, 2018(1) | ||
Institutional | Investor | |
Fund | Class | Class |
Baird MidCap Fund | 0.85% | 1.10% |
Baird Small/Mid Cap Growth Fund | 0.85% | 1.10% |
Baird Small/Mid Cap Value Fund | 0.85% | 1.10% |
Baird SmallCap Value Fund | 0.95% | 1.20% |
Chautauqua International Growth Fund | 0.80% | 1.05% |
Chautauqua Global Growth Fund | 0.80% | 1.05% |
(1) | The Expense Cap/Reimbursement Agreement is in effect through at least April 30, 2020. |
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, | ||||||||||||||||||
2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Subject to Recovery on or before: | 2022 | 2021 | 2020 | 2019 | |||||||||||||||
Fund | |||||||||||||||||||
Baird Small/Mid Cap Growth Fund | $ | 69,364 | $ | 32,277 | (1) | N/A | N/A | ||||||||||||
Baird Small/Mid Cap Value Fund | 73,196 | 151,826 | $ | 129,251 | $ | 156,332 | |||||||||||||
Baird SmallCap Value Fund | 70,312 | 135,562 | 110,672 | 116,311 | |||||||||||||||
Chautauqua International Growth Fund | 87,998 | 116,439 | 137,404 | 95,476 | |||||||||||||||
Chautauqua Global Growth Fund | 86,362 | 155,834 | 170,958 | 102,142 |
(1) | For the period from close of business on October 31, 2018 (inception date) through December 31, 2018. |
Page 75
Notes to the Financial Statements
June 30, 2019 (Unaudited)
5. | Investment Advisory and Other Agreements (cont.) |
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. (“U.S. Bank”) serves as custodian for the Funds.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registered broker-dealer in securities transactions for the six months ended June 30, 2019 for the Funds.
Certain officers and employees of the Advisor are also officers of 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 at all times, and is subject to certain restrictions and covenants. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total eligible net assets (including the amount borrowed) of the respective Fund, or $600,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at the U.S. Bank’s Prime Rate less 2%, but in no event less than a net rate of 1% per annum. The LOC matures on May 25, 2020, 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 from the LOC during the six months ended June 30, 2019. As of June 30, 2019, the Prime Rate was 5.50%. At June 30, 2019, the Funds did not have any outstanding borrowings under the LOC.
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, 2019, the Funds incurred fees pursuant to the Plan as follows:
Baird MidCap Fund | $143,316 |
Baird Small/Mid Cap Growth Fund | 39 |
Baird Small/Mid Cap Value Fund | 483 |
Baird SmallCap Value Fund | 1,028 |
Chautauqua International Growth Fund | 2,318 |
Chautauqua Global Growth Fund | 1,258 |
Page 76
Notes to the Financial Statements
June 30, 2019 (Unaudited)
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.
For the six months ended June 30, 2019, the Funds charged redemption fees as follows:
Chautauqua International Growth Fund | $18,983 |
Chautauqua Global Growth Fund | $3,511 |
The Baird MidCap Fund, Baird Small/Mid Cap Growth Fund, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund do not charge redemption fees.
9. | Subsequent Events |
In preparing these financial statements, management has evaluated events after June 30, 2019. There were no subsequent events since June 30, 2019, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 77
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, by accessing the Funds’ website at www.bairdfunds.com or 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, by accessing the Funds’ website at www.bairdfunds.com or by accessing the SEC’s website at www.sec.gov.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Part F of Form N-PORT (beginning with filings after March 31, 2019). The Funds’ filings on Part F of Form N-PORT are available on the SEC’s website at www.sec.gov and may also be obtained by calling toll-free 1-866-44BAIRD.
Page 78
(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
Darren R. Jackson
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 Growth 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, 2019 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.375%, 12/15/2019 | $ | 171,000,000 | $ | 170,458,946 | ||||||||
1.375%, 02/15/2020 | 56,000,000 | 55,759,375 | ||||||||||
1.500%, 06/15/2020 | 93,000,000 | 92,589,490 | ||||||||||
Total U.S. Treasury Securities | 318,807,811 | 22.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Industrial Bank of Korea, | ||||||||||||
3.176%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 4,000,000 | 4,012,827 | ||||||||||
Petroleos Mexicanos, | ||||||||||||
6.000%, 03/05/2020 (1) | 2,000,000 | 2,025,000 | ||||||||||
Syngenta Finance NV, | ||||||||||||
3.698%, 04/24/2020 (1)(2) | 7,500,000 | 7,552,508 | ||||||||||
Total Other Government Related Securities | 13,590,335 | 1.0 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
AbbVie, Inc., | ||||||||||||
2.500%, 05/14/2020 | 6,196,000 | 6,195,410 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.000%, 03/12/2020 (1) | 6,500,000 | 6,519,057 | ||||||||||
3.691%, 03/12/2020 (3 Month LIBOR USD + 1.255%) (1)(3) | 1,500,000 | 1,509,575 | ||||||||||
Air Liquide Finance SA, | ||||||||||||
1.375%, 09/27/2019 (1)(2) | 5,564,000 | 5,547,906 | ||||||||||
Alimentation Couche-Tard, Inc.: | ||||||||||||
2.350%, 12/13/2019 (1)(2) | 2,530,000 | 2,527,166 | ||||||||||
2.950%, 12/13/2019 (3 Month LIBOR USD + 0.500%) (1)(2)(3) | 2,320,000 | 2,320,500 | ||||||||||
America Movil SAB de CV, | ||||||||||||
5.000%, 03/30/2020 (1) | 2,500,000 | 2,547,050 | ||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp., | ||||||||||||
5.500%, 10/15/2019 | 3,470,000 | 3,486,132 | ||||||||||
AT&T, Inc., | ||||||||||||
3.616%, 06/12/2024 (3 Month LIBOR USD + 1.180%) (3) | 6,000,000 | 6,075,438 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
2.979%, 06/25/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 3,000,000 | 2,979,856 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019 (2) | 4,950,000 | 4,943,506 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.675%, 12/15/2019 | 4,500,000 | 4,501,421 | ||||||||||
2.404%, 06/05/2020 | 725,000 | 724,452 | ||||||||||
3.194%, 12/29/2020 (3 Month LIBOR USD + 0.875%) (3) | 2,250,000 | 2,250,333 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.750%, 09/15/2019 | 6,450,000 | 6,483,256 | ||||||||||
Brambles USA, Inc., | ||||||||||||
5.350%, 04/01/2020 (2) | 4,917,000 | 5,028,723 | ||||||||||
Broadcom, Inc., | ||||||||||||
2.375%, 01/15/2020 | 10,500,000 | 10,481,747 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.040%, 03/15/2021 (3 Month LIBOR USD + 0.630%) (3) | 4,275,000 | 4,266,358 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
2.400%, 11/15/2019 | 7,000,000 | 6,994,413 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019 (1) | 440,385 | 443,788 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.329%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 1,500,000 | 1,503,581 | ||||||||||
Cigna Corp., | ||||||||||||
3.060%, 09/17/2021 (3 Month LIBOR USD + 0.650%) (2)(3) | 2,000,000 | 2,000,844 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
3.375%, 07/15/2019 | 2,068,000 | 2,068,478 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 5,085,000 | 5,119,281 | ||||||||||
Conagra Brands, Inc., | ||||||||||||
3.342%, 10/22/2020 (3 Month LIBOR USD + 0.750%) (3) | 3,000,000 | 3,000,476 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
3.875%, 11/15/2019 | 700,000 | 703,221 | ||||||||||
CVS Health Corp., | ||||||||||||
3.173%, 03/09/2021 (3 Month LIBOR USD + 0.720%) (3) | 7,485,000 | 7,518,003 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.100%, 05/04/2020 (2) | 2,000,000 | 2,010,646 | ||||||||||
2.200%, 05/05/2020 (2) | 1,243,000 | 1,240,395 | ||||||||||
2.973%, 02/22/2021 (3 Month LIBOR USD + 0.450%) (2)(3) | 3,500,000 | 3,498,050 | ||||||||||
3.403%, 02/22/2022 (3 Month LIBOR USD + 0.880%) (2)(3) | 3,150,000 | 3,168,994 | ||||||||||
Danone SA, | ||||||||||||
1.691%, 10/30/2019 (1)(2) | 1,000,000 | 997,350 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
1.500%, 09/19/2019 (1)(2) | 3,000,000 | 2,994,237 | ||||||||||
3.168%, 01/17/2020 (3 Month LIBOR USD + 0.580%) (1)(2)(3) | 2,000,000 | 2,002,395 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.288%, 04/17/2020 (3 Month LIBOR USD + 0.700%) (3) | 10,231,000 | 10,232,180 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
3.228%, 11/15/2020 (3 Month LIBOR USD + 0.710%) (3) | 5,222,000 | 5,255,701 | ||||||||||
DXC Technology Co., | ||||||||||||
3.470%, 03/01/2021 (3 Month LIBOR USD + 0.950%) (3) | 6,159,000 | 6,159,066 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.400%, 03/19/2020 (2) | 11,200,000 | 11,190,221 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020 (2) | 1,700,000 | 1,738,199 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
5.200%, 03/15/2020 | 9,930,000 | 10,100,955 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.350%, 10/15/2019 (2) | 3,600,000 | 3,595,744 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
1.897%, 08/12/2019 | 1,761,000 | 1,759,316 | ||||||||||
3.495%, 11/04/2019 (3 Month LIBOR USD + 0.930%) (3) | 4,500,000 | 4,505,804 | ||||||||||
3.311%, 01/09/2020 (3 Month LIBOR USD + 1.000%) (3) | 1,125,000 | 1,127,225 | ||||||||||
2.459%, 03/27/2020 | 3,200,000 | 3,190,557 | ||||||||||
3.226%, 06/12/2020 (3 Month LIBOR USD + 0.790%) (3) | 2,000,000 | 1,994,561 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
5.625%, 07/31/2019 (2) | 4,500,000 | 4,508,410 | ||||||||||
General Electric Co.: | ||||||||||||
6.000%, 08/07/2019 | 4,000,000 | 4,013,112 | ||||||||||
5.500%, 01/08/2020 | 6,082,000 | 6,168,407 | ||||||||||
General Mills, Inc., | ||||||||||||
3.141%, 04/16/2021 (3 Month LIBOR USD + 0.540%) (3) | 3,500,000 | 3,501,169 | ||||||||||
General Motors Co., | ||||||||||||
3.353%, 09/10/2021 (3 Month LIBOR USD + 0.900%) (3) | 1,500,000 | 1,495,535 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 2,000,000 | 1,998,910 | ||||||||||
2.650%, 04/13/2020 | 3,052,000 | 3,051,173 | ||||||||||
3.233%, 04/13/2020 (3 Month LIBOR USD + 0.930%) (3) | 2,700,000 | 2,707,763 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
1.850%, 09/20/2019 | 519,000 | 518,382 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 5,639,000 | 5,751,725 | ||||||||||
Harley-Davidson Financial Services, Inc., | ||||||||||||
2.400%, 09/15/2019 (2) | 3,500,000 | 3,496,605 | ||||||||||
Harris Corp., | ||||||||||||
2.700%, 04/27/2020 | 8,760,000 | 8,768,987 | ||||||||||
HCA, Inc., | ||||||||||||
4.250%, 10/15/2019 | 3,000,000 | 3,012,172 | ||||||||||
Hewlett Packard Enterprise Co., | ||||||||||||
2.100%, 10/04/2019 (2) | 3,000,000 | 2,995,794 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
6.000%, 12/30/2019 (1)(2) | 4,000,000 | 4,055,036 | ||||||||||
Hyundai Capital America, | ||||||||||||
1.750%, 09/27/2019 (2) | 5,900,000 | 5,885,747 | ||||||||||
Hyundai Capital America, Inc.: | ||||||||||||
3.132%, 04/03/2020 (3 Month LIBOR USD + 0.800%) (2)(3) | 3,000,000 | 3,007,921 | ||||||||||
3.243%, 07/08/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,825,000 | 1,826,864 | ||||||||||
International Business Machines Corp., | ||||||||||||
2.935%, 05/13/2021 (3 Month LIBOR USD + 0.400%) (3) | 6,400,000 | 6,416,525 |
Kellogg Co., | ||||||||||||
4.150%, 11/15/2019 | 5,000,000 | 5,028,973 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 9,475,000 | 9,485,525 | ||||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
6.850%, 02/15/2020 | 2,000,000 | 2,050,885 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
5.375%, 02/10/2020 | 4,539,000 | 4,613,845 | ||||||||||
2.800%, 07/02/2020 | 436,000 | 436,485 | ||||||||||
Marriott International, Inc.: | ||||||||||||
3.120%, 12/01/2020 (3 Month LIBOR USD + 0.600%) (3) | 4,775,000 | 4,793,246 | ||||||||||
3.103%, 03/08/2021 (3 Month LIBOR USD + 0.650%) (3) | 1,500,000 | 1,504,105 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.887%, 12/20/2019 (3 Month LIBOR USD + 0.500%) (3) | 6,147,000 | 6,146,905 | ||||||||||
3.173%, 05/22/2020 (3 Month LIBOR USD + 0.650%) (3) | 2,305,000 | 2,305,081 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020 (2) | 11,004,000 | 11,009,352 | ||||||||||
Molson Coors Brewing Co., | ||||||||||||
2.250%, 03/15/2020 | 5,000,000 | 4,987,647 | ||||||||||
Mondelez International Holdings Netherlands BV, | ||||||||||||
1.625%, 10/28/2019 (1)(2) | 2,990,000 | 2,979,482 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.250%, 01/13/2020 (2) | 1,060,000 | 1,058,042 | ||||||||||
2.150%, 07/13/2020 (2) | 1,150,000 | 1,145,242 | ||||||||||
3.016%, 09/21/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 4,800,000 | 4,798,543 | ||||||||||
ONEOK Partners LP, | ||||||||||||
3.800%, 03/15/2020 | 8,000,000 | 8,055,151 | ||||||||||
Orange SA, | ||||||||||||
1.625%, 11/03/2019 (1) | 4,045,000 | 4,032,275 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
3.050%, 01/09/2020 (2) | 5,185,000 | 5,191,252 | ||||||||||
3.200%, 07/15/2020 (2) | 1,000,000 | 1,004,529 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.650%, 12/01/2019 (1) | 5,339,000 | 5,335,641 | ||||||||||
Phillips 66: | ||||||||||||
2.646%, 02/15/2020 | 2,500,000 | 2,500,201 | ||||||||||
3.053%, 04/15/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 3,000,000 | 3,001,290 | ||||||||||
Qualcomm, Inc., | ||||||||||||
3.070%, 05/20/2020 (3 Month LIBOR USD + 0.550%) (3) | 1,500,000 | 1,505,891 | ||||||||||
Roche Holdings, Inc., | ||||||||||||
2.250%, 09/30/2019 (2) | 450,000 | 450,015 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 7,000,000 | 7,113,750 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
2.250%, 05/15/2020 | 2,163,000 | 2,159,101 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
1.900%, 09/23/2019 (1) | 8,000,000 | 7,987,600 | ||||||||||
Siemens Financieringsmaatschappij NV, | ||||||||||||
1.300%, 09/13/2019 (1)(2) | 2,500,000 | 2,493,779 | ||||||||||
Smithfield Foods, Inc., | ||||||||||||
2.700%, 01/31/2020 (2) | 6,372,000 | 6,358,759 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
3.210%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 4,000,000 | 3,973,379 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 09/29/2019 (1)(2) | 7,516,000 | 7,512,074 | ||||||||||
Telefonica Emisiones SA: | ||||||||||||
5.877%, 07/15/2019 (1) | 1,728,000 | 1,730,011 | ||||||||||
5.134%, 04/27/2020 (1) | 3,000,000 | 3,061,312 | ||||||||||
Tencent Holdings Ltd., | ||||||||||||
2.875%, 02/11/2020 (1)(2) | 1,970,000 | 1,974,234 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
5.000%, 02/01/2020 | 10,252,000 | 10,386,797 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
2.929%, 06/05/2020 (3 Month LIBOR USD + 0.450%) (1)(3) | 5,000,000 | 5,005,427 | ||||||||||
United Technologies Corp., | ||||||||||||
3.175%, 08/16/2021 (3 Month LIBOR USD + 0.650%) (3) | 4,000,000 | 4,002,515 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
3.618%, 05/15/2025 (3 Month LIBOR USD + 1.100%) (3) | 4,000,000 | 4,051,400 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020 (1)(2) | 8,000,000 | 8,266,080 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.400%, 05/22/2020 (2) | 2,225,000 | 2,220,114 | ||||||||||
3.475%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 6,000,000 | 6,047,985 | ||||||||||
Vulcan Materials Co., | ||||||||||||
3.170%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 9,236,000 | 9,243,019 | ||||||||||
Wabtec Corp., | ||||||||||||
3.710%, 09/15/2021 (3 Month LIBOR USD + 1.300%) (3) | 3,800,000 | 3,789,121 | ||||||||||
Walgreens Boots Alliance, Inc., | ||||||||||||
2.700%, 11/18/2019 | 5,165,000 | 5,165,758 | ||||||||||
Williams Partners LP, | ||||||||||||
5.250%, 03/15/2020 | 9,976,000 | 10,160,315 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 11,200,000 | 11,213,951 | ||||||||||
Total Industrials | 475,017,888 | 33.8 | % |
Utilities | ||||||||||||
DTE Gas Co., | ||||||||||||
5.000%, 10/01/2019 | 3,700,000 | 3,724,879 | ||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 10,925,000 | 10,949,035 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
2.950%, 01/15/2020 | 1,437,000 | 1,438,600 | ||||||||||
Iberdrola Finance Ireland Ltd., | ||||||||||||
5.000%, 09/11/2019 (1)(2) | 3,000,000 | 3,013,178 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.961%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 2,000,000 | 2,000,491 | ||||||||||
Niagara Mohawk Power Corp., | ||||||||||||
4.881%, 08/15/2019 (2) | 4,500,000 | 4,511,791 | ||||||||||
Sempra Energy, | ||||||||||||
2.400%, 02/01/2020 | 3,615,000 | 3,613,974 | ||||||||||
Southern Co. Gas Capital Corp., | ||||||||||||
5.250%, 08/15/2019 | 1,000,000 | 1,002,993 | ||||||||||
TECO Finance, Inc., | ||||||||||||
5.150%, 03/15/2020 | 1,450,000 | 1,477,724 | ||||||||||
Total Utilities | 31,732,665 | 2.2 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
3.091%, 08/27/2021 (3 Month LIBOR USD + 0.570%) (1)(2)(3) | 1,000,000 | 1,003,680 | ||||||||||
Air Lease Corp., | ||||||||||||
2.125%, 01/15/2020 | 2,500,000 | 2,494,001 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.969%, 10/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 1,965,000 | 1,970,174 | ||||||||||
2.999%, 06/25/2022 (3 Month LIBOR USD + 0.650%) (3) | 4,000,000 | 4,011,538 | ||||||||||
Barclays PLC: | ||||||||||||
2.750%, 11/08/2019 (1) | 8,000,000 | 7,991,875 | ||||||||||
2.875%, 06/08/2020 (1) | 2,200,000 | 2,201,179 | ||||||||||
BB&T Corp., | ||||||||||||
2.980%, 06/15/2020 (3 Month LIBOR USD + 0.570%) (3) | 791,000 | 794,902 | ||||||||||
BPCE SA, | ||||||||||||
2.500%, 07/15/2019 (1) | 4,000,000 | 3,999,680 | ||||||||||
Capital One Financial Corp., | ||||||||||||
3.295%, 05/12/2020 (3 Month LIBOR USD + 0.760%) (3) | 1,700,000 | 1,707,098 | ||||||||||
Capital One NA: | ||||||||||||
1.850%, 09/13/2019 | 750,000 | 748,967 | ||||||||||
2.350%, 01/31/2020 | 4,000,000 | 3,998,046 | ||||||||||
Citibank NA: | ||||||||||||
1.850%, 09/18/2019 | 3,000,000 | 2,996,941 | ||||||||||
3.123%, 05/20/2022 (3 Month LIBOR USD + 0.600%) (3) | 7,000,000 | 7,008,760 | ||||||||||
Citizens Bank NA: | ||||||||||||
3.060%, 03/02/2020 (3 Month LIBOR USD + 0.540%) (3) | 2,000,000 | 2,003,520 | ||||||||||
3.248%, 02/14/2022 (3 Month LIBOR USD + 0.720%) (3) | 1,500,000 | 1,501,459 | ||||||||||
Compass Bank: | ||||||||||||
5.500%, 04/01/2020 | 1,738,000 | 1,773,535 | ||||||||||
3.181%, 06/11/2021 (3 Month LIBOR USD + 0.730%) (3) | 4,750,000 | 4,745,831 | ||||||||||
Credit Agricole CIB, | ||||||||||||
2.957%, 10/03/2021 (3 Month LIBOR USD + 0.625%) (1)(3) | 4,000,000 | 4,007,077 | ||||||||||
Credit Agricole SA, | ||||||||||||
3.423%, 06/10/2020 (3 Month LIBOR USD + 0.970%) (1)(2)(3) | 1,000,000 | 1,007,226 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.400%, 01/14/2020 (1) | 2,000,000 | 2,029,213 | ||||||||||
Deutsche Bank AG: | ||||||||||||
3.273%, 07/13/2020 (3 Month LIBOR USD + 0.970%) (1)(3) | 3,226,000 | 3,205,090 | ||||||||||
2.950%, 08/20/2020 (1) | 3,183,000 | 3,160,066 | ||||||||||
Discover Bank: | ||||||||||||
7.000%, 04/15/2020 | 7,000,000 | 7,239,024 | ||||||||||
3.100%, 06/04/2020 | 2,810,000 | 2,823,572 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 6,250,000 | 6,257,162 | ||||||||||
GATX Corp., | ||||||||||||
2.600%, 03/30/2020 | 4,997,000 | 4,992,484 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.550%, 10/23/2019 | 2,455,000 | 2,455,910 | ||||||||||
6.000%, 06/15/2020 | 4,000,000 | 4,133,073 | ||||||||||
4.291%, 02/25/2021 (3 Month LIBOR USD + 1.770%) (3) | 2,285,000 | 2,336,373 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.120%, 05/18/2021 (3 Month LIBOR USD + 0.600%) (1)(3) | 3,000,000 | 3,002,370 | ||||||||||
3.086%, 09/11/2021 (3 Month LIBOR USD + 0.650%) (1)(3) | 2,000,000 | 2,001,850 | ||||||||||
HSBC USA, Inc., | ||||||||||||
3.145%, 11/13/2019 (3 Month LIBOR USD + 0.610%) (3) | 250,000 | 250,516 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
3.547%, 01/23/2020 (3 Month LIBOR USD + 0.955%) (3) | 1,000,000 | 1,005,080 | ||||||||||
3.012%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 3,000,000 | 3,005,192 | ||||||||||
KEB Hana Bank, | ||||||||||||
3.038%, 04/05/2020 (3 Month LIBOR USD + 0.725%) (1)(2)(3) | 3,000,000 | 3,005,430 | ||||||||||
Lloyds Bank Plc, | ||||||||||||
3.055%, 05/07/2021 (3 Month LIBOR USD + 0.490%) (1)(3) | 3,665,000 | 3,663,579 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
7.625%, 08/13/2019 (1)(2) | 3,725,000 | 3,746,712 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.519%, 12/29/2021 (3 Month LIBOR USD + 1.200%) (3) | 7,000,000 | 7,019,879 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.450%, 10/16/2019 (1)(2) | 2,984,000 | 2,984,103 | ||||||||||
Mizuho Financial Group, Inc., | ||||||||||||
3.820%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 1,500,000 | 1,526,733 | ||||||||||
Morgan Stanley: | ||||||||||||
5.500%, 01/26/2020 | 7,500,000 | 7,628,864 | ||||||||||
3.722%, 01/27/2020 (3 Month LIBOR USD + 1.140%) (3) | 500,000 | 502,758 | ||||||||||
3.772%, 01/20/2022 (3 Month LIBOR USD + 1.180%) (3) | 2,500,000 | 2,526,393 | ||||||||||
National Bank of Canada, | ||||||||||||
2.996%, 06/12/2020 (3 Month LIBOR USD + 0.560%) (1)(3) | 4,000,000 | 4,015,522 | ||||||||||
Nationwide Building Society, | ||||||||||||
2.350%, 01/21/2020 (1)(2) | 3,500,000 | 3,496,133 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 3,000,000 | 3,084,379 | ||||||||||
Nordea Bank Abp: | ||||||||||||
1.625%, 09/30/2019 (1)(2) | 1,005,000 | 1,002,628 | ||||||||||
2.950%, 09/30/2019 (3 Month LIBOR USD + 0.620%) (1)(2)(3) | 1,500,000 | 1,502,102 | ||||||||||
Regions Bank, | ||||||||||||
3.035%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,500,000 | 3,496,990 | ||||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
6.400%, 10/21/2019 (1) | 1,670,000 | 1,689,384 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.650%, 04/17/2020 | 6,225,000 | 6,223,271 | ||||||||||
Santander UK PLC, | ||||||||||||
3.178%, 11/15/2021 (3 Month LIBOR USD + 0.660%) (1)(3) | 2,750,000 | 2,757,974 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019 (1)(2) | 450,000 | 449,627 | ||||||||||
3.742%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 3,000,000 | 2,992,980 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.514%, 01/17/2020 (1) | 4,500,000 | 4,503,301 | ||||||||||
2.938%, 01/17/2020 (3 Month LIBOR USD + 0.350%) (1)(3) | 1,250,000 | 1,251,657 | ||||||||||
SunTrust Banks, Inc., | ||||||||||||
3.115%, 05/17/2022 (3 Month LIBOR USD + 0.590%) (3) | 8,400,000 | 8,413,068 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.995%, 05/24/2021 (3 Month LIBOR USD + 0.470%) (1)(3) | 3,725,000 | 3,741,763 | ||||||||||
Synchrony Bank, | ||||||||||||
2.955%, 03/30/2020 (3 Month LIBOR USD + 0.625%) (3) | 4,550,000 | 4,553,908 | ||||||||||
Synchrony Financial: | ||||||||||||
2.700%, 02/03/2020 | 4,150,000 | 4,150,352 | ||||||||||
3.806%, 02/03/2020 (3 Month LIBOR USD + 1.230%) (3) | 1,000,000 | 1,003,986 | ||||||||||
Toronto-Dominion Bank, | ||||||||||||
1.900%, 10/24/2019 (1) | 6,000,000 | 5,991,730 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.783%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 500,000 | 507,517 | ||||||||||
4.109%, 02/01/2022 (3 Month LIBOR USD + 1.530%) (1)(2)(3) | 2,450,000 | 2,506,272 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
2.700%, 09/17/2019 (2) | 2,000,000 | 1,999,906 | ||||||||||
Wells Fargo & Co., | ||||||||||||
3.263%, 01/30/2020 (3 Month LIBOR USD + 0.680%) (3) | 1,000,000 | 1,003,408 | ||||||||||
Total Financials | 206,804,773 | 14.7 | % | |||||||||
Total Corporate Bonds | 713,555,326 | 50.7 | % |
Municipal Bonds | ||||||||||||
Berks County Municipal Authority, | ||||||||||||
2.750%, 05/15/2022 (Callable 07/01/2019) (4) | 1,170,000 | 1,170,000 | ||||||||||
Total Municipal Bonds | 1,170,000 | 0.1 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 12/01/2019 | 143 | 146 | ||||||||||
5.000%, 04/01/2020 | 6,072 | 6,213 | ||||||||||
Total U.S. Government Agency Issues | 6,359 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Aames Mortgage Investment Trust, | ||||||||||||
Series 2006-1, Class A3, 2.724%, 04/25/2036 (1 Month LIBOR USD + 0.320%) (3) | 17,562 | 17,564 | ||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 2.724%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 218,434 | 217,764 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.854%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 2,358,703 | 2,369,698 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 3.184%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 1,317,283 | 1,319,518 | ||||||||||
Series 2007-HE1, Class A2, 2.554%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 871,747 | 867,367 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2007-WFH2, Class A4, 2.754%, 03/25/2037 (1 Month LIBOR USD + 0.350%) (3) | 642,688 | 642,482 | ||||||||||
Series 2007-AMC4, Class A2C, 2.574%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 456,168 | 453,958 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-23, Class 2A3, 2.574%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 239,671 | 238,622 | ||||||||||
Series 2006-BC4, Class 2A2, 2.564%, 09/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 194,782 | 194,715 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-14, Class 2A2, 2.554%, 04/25/2033 (1 Month LIBOR USD + 0.150%) (3) | 393,579 | 393,105 | ||||||||||
First Franklin Mortgage Loan Trust, | ||||||||||||
Series 2006-FF4, Class A2, 2.810%, 03/25/2036 (1 Month LIBOR USD + 0.190%) (3) | 539,658 | 539,430 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A2C, 3.104%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 799,010 | 800,172 | ||||||||||
Series 2006-HE4, Class A2C, 2.554%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,466,184 | 1,458,761 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2006-2, Class 2A4, 2.714%, 05/25/2036 (1 Month LIBOR USD + 0.310%) (2)(3) | 1,945,617 | 1,944,598 | ||||||||||
Series 2006-3, Class 1A1, 2.604%, 07/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 1,048,415 | 1,048,541 | ||||||||||
Series 2007-2, Class 2A2, 2.589%, 07/25/2037 (1 Month LIBOR USD + 0.185%) (3) | 489,193 | 488,760 | ||||||||||
JP Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2007-CH5, Class A4, 2.564%, 06/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 89,491 | 89,413 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 32,423 | 32,836 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-2, Class M2, 3.079%, 06/25/2035 (1 Month LIBOR USD + 0.675%) (3) | 1,748,218 | 1,749,183 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2006-C, Class A4, 2.654%, 07/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 1,267,111 | 1,261,752 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2007-RZ1, Class A2, 2.564%, 02/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 1,646,518 | 1,638,969 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 2.804%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 2,780,794 | 2,785,231 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 2.584%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 1,658,369 | 1,656,372 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-5, Class A1, 3.004%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 1,090,728 | 1,087,577 | ||||||||||
Total Non-U.S. Government Agency Issues | 23,296,388 | 1.6 | % | |||||||||
Total Residential Mortgage-Backed Securities | 23,302,747 | 1.6 | % | |||||||||
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 | 207,705 | 207,608 | ||||||||||
Total U.S. Government Agency Issues | 207,608 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR2, Class ASB, 2.752%, 08/17/2045 | 4,033,985 | 4,042,484 | ||||||||||
Total Non-U.S. Government Agency Issues | 4,042,484 | 0.3 | % | |||||||||
Total Commercial Mortgage-Backed Securities | 4,250,092 | 0.3 | % |
Asset Backed Securities | ||||||||||||
Ally Auto Receivables Trust: | ||||||||||||
Series 2018-2, Class A2, 2.640%, 02/16/2021 | 848,782 | 849,101 | ||||||||||
Series 2019-1, Class A2, 2.850%, 03/15/2022 | 10,560,000 | 10,596,757 | ||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 8,384,000 | 8,366,855 | ||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2017-A1, Class A1, 1.950%, 08/15/2022 | 5,611,000 | 5,599,664 | ||||||||||
Barclays Dryrock Issuance Trust: | ||||||||||||
Series 2014-3, Class A, 2.410%, 07/15/2022 | 6,992,000 | 6,990,717 | ||||||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 3,635,000 | 3,633,508 | ||||||||||
CarMax Auto Owner Trust: | ||||||||||||
Series 2015-2, Class A4, 1.800%, 03/15/2021 | 1,496,892 | 1,496,279 | ||||||||||
Series 2016-3, Class A3, 1.390%, 05/17/2021 | 794,767 | 792,130 | ||||||||||
Series 2015-4, Class A4, 1.830%, 06/15/2021 | 3,265,000 | 3,257,101 | ||||||||||
Series 2016-4, Class A3, 1.400%, 08/16/2021 | 3,849,502 | 3,832,131 | ||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 4,355,000 | 4,353,189 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2016-2A, Class A1, 1.880%, 06/15/2028 (2) | 1,532,563 | 1,529,968 | ||||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2014-A6, Class A6, 2.150%, 07/15/2021 | 3,600,000 | 3,599,616 | ||||||||||
Series 2017-A9, Class A9, 1.800%, 09/20/2021 | 4,700,000 | 4,693,554 | ||||||||||
Series 2016-A1, Class A1, 1.750%, 11/19/2021 | 4,735,000 | 4,725,478 | ||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 11,125,000 | 11,101,591 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030 (4) | 247,444 | 257,029 | ||||||||||
Dell Equipment Finance Trust: | ||||||||||||
Series 2017-2, Class A2A, 1.970%, 02/24/2020 (2) | 56,973 | 56,952 | ||||||||||
Series 2018-1, Class A2A, 2.970%, 10/22/2020 (2) | 2,001,816 | 2,007,185 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 6,170,000 | 6,156,854 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-A, Class A4, 1.600%, 06/15/2021 | 2,072,189 | 2,067,340 | ||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 (2) | 5,809,000 | 5,804,597 | ||||||||||
Series 2015-2, Class A, 2.440%, 01/15/2027 (2) | 4,118,000 | 4,123,148 | ||||||||||
Ford Credit Floorplan Master Owner Trust: | ||||||||||||
Series 2016-3, Class A1, 1.550%, 07/15/2021 | 4,545,000 | 4,542,903 | ||||||||||
Series 2016-5, Class A1, 1.950%, 11/15/2021 | 3,000,000 | 2,994,899 | ||||||||||
GM Financial Automobile Leasing Trust: | ||||||||||||
Series 2017-2, Class A3, 2.020%, 09/21/2020 | 2,653,166 | 2,649,819 | ||||||||||
Series 2018-1, Class A3, 2.610%, 01/20/2021 | 5,150,000 | 5,155,414 | ||||||||||
Series 2019-2, Class A2A, 2.670%, 06/21/2021 | 2,800,000 | 2,810,113 | ||||||||||
GM Financial Consumer Automobile Receivables Trust, | ||||||||||||
Series 2019-2, Class A2A, 2.660%, 06/16/2022 | 5,000,000 | 5,019,151 | ||||||||||
GMF Floorplan Owner Revolving Trust, | ||||||||||||
Series 2017-1, Class A1, 2.220%, 01/18/2022 (2) | 3,734,000 | 3,730,457 | ||||||||||
Golden Credit Card Trust: | ||||||||||||
Series 2016-5A, Class A, 1.600%, 09/15/2021 (1)(2) | 5,020,000 | 5,011,022 | ||||||||||
Series 2017-2A, Class A, 1.980%, 04/15/2022 (1)(2) | 1,450,000 | 1,444,832 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2017-B, Class A3, 1.970%, 07/15/2020 (2) | 3,454,215 | 3,451,757 | ||||||||||
Series 2017-B, Class A4, 2.130%, 03/15/2021 (2) | 4,798,000 | 4,792,092 | ||||||||||
Series 2017-A, Class A4, 2.130%, 04/15/2021 (2) | 6,350,000 | 6,346,852 | ||||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
Series 2019-A, Class A2, 2.670%, 12/15/2021 | 2,509,000 | 2,517,640 | ||||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021 (1)(2) | 10,130,000 | 10,124,390 | ||||||||||
Mercedes-Benz Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A2, 3.040%, 12/15/2020 | 4,882,909 | 4,892,728 | ||||||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||||||
Series 2015-1, Class A4, 1.750%, 12/15/2021 | 1,046,921 | 1,045,642 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2014-AA, Class A4, 1.590%, 02/08/2022 (2) | 1,868,005 | 1,861,465 | ||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 6,977,987 | 6,971,993 | ||||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2017-B, Class A2A, 1.830%, 12/16/2019 | 49,103 | 49,084 | ||||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2017-B, Class A2A, 1.560%, 05/15/2020 | 12,589 | 12,584 | ||||||||||
Series 2016-C, Class A3, 1.180%, 01/15/2021 | 2,005,152 | 1,998,084 | ||||||||||
Series 2017-B, Class A3, 1.750%, 10/15/2021 | 9,755,000 | 9,725,100 | ||||||||||
Series 2019-A, Class A2A, 2.820%, 01/18/2022 | 5,000,000 | 5,023,138 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021 (2) | 15,497,000 | 15,463,912 | ||||||||||
Santander Retail Auto Lease Trust: | ||||||||||||
Series 2017-A, Class A2A, 2.020%, 03/20/2020 (2) | 6,906 | 6,904 | ||||||||||
Series 2017-A, Class A3, 2.220%, 01/20/2021 (2) | 4,600,000 | 4,596,859 | ||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022 (2) | 10,000,000 | 9,999,451 | ||||||||||
Securitized Term Auto Receivables Trust, | ||||||||||||
Series 2018-2A, Class A2A, 3.060%, 02/25/2021 (2) | 2,201,093 | 2,208,108 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2016-2, Class A, 3.090%, 10/27/2025 (2) | 1,369,791 | 1,374,908 | ||||||||||
Series 2017-1, Class A, 3.280%, 01/26/2026 (2) | 454,878 | 458,543 | ||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 1,689,320 | 1,692,506 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 2,105,949 | 2,107,542 | ||||||||||
Series 2018-4, Class A, 3.540%, 11/26/2027 (2) | 1,778,345 | 1,798,767 | ||||||||||
SoFi Consumer Loan Program Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027 (2) | 1,823,734 | 1,825,796 | ||||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2016-3, Class A, 1.580%, 09/15/2022 | 6,370,000 | 6,357,128 | ||||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,075,000 | 12,076,331 | ||||||||||
Tesla Auto Lease Trust: | ||||||||||||
Series 2018-A, Class A, 2.320%, 12/20/2019 (2) | 520,098 | 519,875 | ||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 2,618,014 | 2,657,111 | ||||||||||
Toyota Auto Receivables Owner Trust: | ||||||||||||
Series 2017-C, Class A2A, 1.580%, 07/15/2020 | 254,345 | 254,162 | ||||||||||
Series 2017-B, Class A3, 1.760%, 07/15/2021 | 8,765,350 | 8,740,600 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-1A, Class A, 1.420%, 01/20/2021 (2) | 424,486 | 424,128 | ||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021 (2) | 1,344,941 | 1,342,451 | ||||||||||
Series 2017-1A, Class A, 2.060%, 09/20/2021 (2) | 7,480,626 | 7,470,398 | ||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022 (2) | 5,309,000 | 5,303,428 | ||||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022 (2) | 5,000,000 | 5,008,636 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-B, Class A, 1.980%, 06/15/2023 | 13,813,000 | 13,802,068 | ||||||||||
World Omni Automobile Lease Securitization Trust: | ||||||||||||
Series 2018-A, Class A3, 2.830%, 07/15/2021 | 773,000 | 776,709 | ||||||||||
Series 2019-A, Class A2, 2.890%, 11/15/2021 | 5,000,000 | 5,025,364 | ||||||||||
Total Asset Backed Securities | 299,353,588 | 21.3 | % | |||||||||
Total Long-Term Investments (Cost $1,370,606,404) | 1,374,029,899 | 97.6 | % | |||||||||
Short-Term Investment | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 2.32% (5) | 19,702,975 | 19,702,975 | ||||||||||
Total Short-Term Investment (Cost $19,702,975) | 19,702,975 | 1.4 | % | |||||||||
Total Investments (Cost $1,390,309,379) | 1,393,732,874 | 99.0 | % | |||||||||
Other Assets in Excess of Liabilities | 13,476,835 | 1.0 | % | |||||||||
TOTAL NET ASSETS | $ | 1,407,209,709 | 100.0 | % |
Notes to Schedule of Investments | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $345,759,533, which represents 24.57% 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, 2019. | ||||||
(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, 2019. | ||||||
(5) | Seven-day yield. |
Baird Ultra Short Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 318,807,811 | $ | – | $ | 318,807,811 | ||||||||
Other Government Related Securities | – | 13,590,335 | – | 13,590,335 | ||||||||||||
Corporate Bonds | – | 713,555,326 | – | 713,555,326 | ||||||||||||
Municipal Bonds | – | 1,170,000 | – | 1,170,000 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 6,359 | – | 6,359 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 23,296,388 | – | 23,296,388 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 207,608 | – | 207,608 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 4,042,484 | – | 4,042,484 | ||||||||||||
Asset Backed Securities | – | 299,353,588 | – | 299,353,588 | ||||||||||||
Total Long-Term Investments | – | 1,374,029,899 | – | 1,374,029,899 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 19,702,975 | – | – | 19,702,975 | ||||||||||||
Total Short-Term Investment | 19,702,975 | – | – | 19,702,975 | ||||||||||||
Total Investments | $ | 19,702,975 | $ | 1,374,029,899 | $ | – | $ | 1,393,732,874 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications from the prior year's annual report. See the Fund's Valuation Policy in Note 2a to the financial statements. |
Baird Short-Term Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.375%, 04/15/2021 | $ | 655,000,000 | $ | 661,652,344 | ||||||||
2.000%, 08/31/2021 | 348,900,000 | 350,753,531 | ||||||||||
1.125%, 09/30/2021 | 747,225,000 | 737,359,299 | ||||||||||
1.750%, 03/31/2022 | 16,825,000 | 16,835,516 | ||||||||||
1.875%, 03/31/2022 | 245,340,000 | 246,422,945 | ||||||||||
1.625%, 08/31/2022 | 115,000,000 | 114,647,410 | ||||||||||
Total U.S. Treasury Securities | 2,127,671,045 | 32.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance 2012 Ltd., | ||||||||||||
3.875%, 05/02/2022 (1)(2) | 14,112,000 | 14,546,213 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
3.176%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 2,150,000 | 2,156,894 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.200%, 07/30/2019 (1) | 2,065,000 | 2,070,968 | ||||||||||
Petroleos Mexicanos, | ||||||||||||
6.375%, 02/04/2021 (1) | 5,000,000 | 5,130,000 | ||||||||||
Saudi Arabian Oil Co., | ||||||||||||
2.750%, 04/16/2022 (1)(2) | 5,000,000 | 5,046,233 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 8,000,000 | 7,999,791 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
1.750%, 09/29/2019 (1)(2) | 2,375,000 | 2,371,366 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
2.375%, 04/12/2020 (1)(2) | 10,125,000 | 10,121,962 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.933%, 04/23/2021 (1)(2) | 10,000,000 | 10,181,467 | ||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,001,154 | ||||||||||
Total Other Government Related Securities | 64,626,048 | 1.0 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
2.900%, 11/30/2021 | 4,440,000 | 4,513,569 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.000%, 03/12/2020 (1) | 3,900,000 | 3,911,434 | ||||||||||
3.691%, 03/12/2020 (3 Month LIBOR USD + 1.255%) (1)(3) | 1,000,000 | 1,006,383 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 32,985,000 | 33,050,006 | ||||||||||
Allergan Funding SCS, | ||||||||||||
3.450%, 03/15/2022 (1) | 6,850,000 | 6,993,951 | ||||||||||
Andeavor Logistics LP, | ||||||||||||
3.500%, 12/01/2022 | 1,930,000 | 1,975,708 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
4.125%, 04/15/2021 (1)(2) | 27,700,000 | 28,334,128 | ||||||||||
3.750%, 04/10/2022 (1)(2) | 5,000,000 | 5,110,500 | ||||||||||
ArcelorMittal: | ||||||||||||
5.500%, 03/01/2021 (1) | 4,158,000 | 4,328,514 | ||||||||||
6.250%, 02/25/2022 (1) | 28,418,000 | 30,830,900 | ||||||||||
AT&T, Inc., | ||||||||||||
2.800%, 02/17/2021 | 11,025,000 | 11,094,045 | ||||||||||
AutoNation, Inc.: | ||||||||||||
5.500%, 02/01/2020 | 3,369,000 | 3,417,838 | ||||||||||
3.350%, 01/15/2021 | 4,603,000 | 4,644,996 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
3.500%, 06/25/2021 (2) | 26,245,000 | 26,625,136 | ||||||||||
2.200%, 07/15/2022 (2) | 2,250,000 | 2,177,524 | ||||||||||
Beam Suntory, Inc., | ||||||||||||
3.250%, 05/15/2022 | 8,875,000 | 9,021,389 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.404%, 06/05/2020 | 10,350,000 | 10,342,174 | ||||||||||
3.125%, 11/08/2021 | 1,000,000 | 1,014,655 | ||||||||||
2.894%, 06/06/2022 | 22,500,000 | 22,805,674 | ||||||||||
Bemis Co, Inc., | ||||||||||||
6.800%, 08/01/2019 (2) | 9,375,000 | 9,402,336 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.750%, 09/15/2019 | 10,750,000 | 10,805,427 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 2,475,000 | 2,474,749 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.000%, 01/15/2022 | 29,970,000 | 30,047,873 | ||||||||||
3.125%, 10/15/2022 (2) | 5,060,000 | 5,091,858 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 10,250,000 | 10,345,539 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.300%, 03/15/2021 | 9,550,000 | 9,672,716 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
3.200%, 06/15/2022 | 9,922,000 | 10,078,686 | ||||||||||
Carlisle Companies, Inc.: | ||||||||||||
5.125%, 12/15/2020 | 2,950,000 | 3,045,205 | ||||||||||
3.750%, 11/15/2022 | 2,230,000 | 2,288,670 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
4.625%, 11/15/2022 | 3,395,000 | 3,596,348 | ||||||||||
Celgene Corp., | ||||||||||||
2.875%, 02/19/2021 | 7,000,000 | 7,057,870 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019 (1) | 7,692,308 | 7,751,761 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
3.579%, 07/23/2020 | 3,150,000 | 3,178,239 | ||||||||||
4.464%, 07/23/2022 | 15,835,000 | 16,639,001 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.329%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 5,050,000 | 5,062,057 | ||||||||||
Cigna Corp., | ||||||||||||
3.400%, 09/17/2021 (2) | 3,000,000 | 3,058,492 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 20,000,000 | 19,953,400 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.375%, 07/15/2019 | 921,000 | 921,213 | ||||||||||
4.375%, 11/06/2020 | 9,810,000 | 9,988,542 | ||||||||||
4.875%, 04/01/2021 | 2,554,000 | 2,642,215 | ||||||||||
3.875%, 10/15/2021 | 13,460,000 | 13,722,470 | ||||||||||
4.375%, 04/05/2022 | 4,102,000 | 4,260,296 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 6,575,000 | 6,619,326 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 4,500,000 | 4,614,326 | ||||||||||
2.811%, 10/09/2020 (3 Month LIBOR USD + 0.500%) (3) | 20,000,000 | 19,954,228 | ||||||||||
3.800%, 10/22/2021 | 4,825,000 | 4,959,425 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
3.218%, 11/15/2021 (3 Month LIBOR USD + 0.700%) (3) | 10,020,000 | 10,025,018 | ||||||||||
3.200%, 02/15/2023 | 9,650,000 | 9,865,907 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.800%, 07/20/2020 | 6,775,000 | 6,792,310 | ||||||||||
3.350%, 03/09/2021 | 19,550,000 | 19,821,574 | ||||||||||
2.125%, 06/01/2021 | 5,000,000 | 4,966,817 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.200%, 05/05/2020 (2) | 5,000,000 | 4,989,519 | ||||||||||
3.350%, 05/04/2021 (2) | 15,000,000 | 15,211,013 | ||||||||||
3.400%, 02/22/2022 (2) | 13,000,000 | 13,264,354 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
3.168%, 01/17/2020 (3 Month LIBOR USD + 0.580%) (1)(2)(3) | 8,000,000 | 8,009,579 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 21,772,000 | 22,434,749 | ||||||||||
5.450%, 06/15/2023 (2) | 10,000,000 | 10,777,917 | ||||||||||
Discovery Communications LLC: | ||||||||||||
2.200%, 09/20/2019 | 10,015,000 | 10,000,879 | ||||||||||
4.375%, 06/15/2021 | 4,650,000 | 4,813,239 | ||||||||||
Domtar Corp., | ||||||||||||
4.400%, 04/01/2022 | 4,775,000 | 4,967,521 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
3.766%, 11/15/2020 | 10,000,000 | 10,191,394 | ||||||||||
DXC Technology Co.: | ||||||||||||
3.470%, 03/01/2021 (3 Month LIBOR USD + 0.950%) (3) | 1,538,000 | 1,538,016 | ||||||||||
4.450%, 09/18/2022 | 12,900,000 | 13,610,453 | ||||||||||
Eastman Chemical Co., | ||||||||||||
3.500%, 12/01/2021 | 8,000,000 | 8,183,889 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021 (2) | 32,689,000 | 33,398,233 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.950%, 03/19/2022 (2) | 12,400,000 | 12,508,700 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
4.375%, 10/15/2020 | 9,805,000 | 10,028,699 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 (1) | 32,690,000 | 33,484,724 | ||||||||||
Energy Transfer Operating LP, | ||||||||||||
4.250%, 03/15/2023 | 15,933,000 | 16,632,716 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.150%, 10/01/2020 | 12,875,000 | 13,096,254 | ||||||||||
Energy Transfer Partners LP / Regency Energy Finance Corp.: | ||||||||||||
5.750%, 09/01/2020 | 1,175,000 | 1,208,035 | ||||||||||
5.000%, 10/01/2022 | 1,430,000 | 1,520,121 | ||||||||||
EQT Corp., | ||||||||||||
2.500%, 10/01/2020 | 15,000,000 | 14,960,841 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019 (2) | 19,400,000 | 19,377,067 | ||||||||||
2.600%, 12/01/2021 (2) | 1,450,000 | 1,453,562 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
2.600%, 11/30/2020 | 14,425,000 | 14,463,047 | ||||||||||
3.274%, 11/30/2020 (3 Month LIBOR USD + 0.750%) (3) | 7,000,000 | 7,000,571 | ||||||||||
3.300%, 02/25/2021 | 5,000,000 | 5,066,382 | ||||||||||
FedEx Corp., | ||||||||||||
3.400%, 01/14/2022 | 7,000,000 | 7,176,576 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 1,673,000 | 1,697,713 | ||||||||||
2.250%, 08/15/2021 | 12,000,000 | 11,975,408 | ||||||||||
Fiserv, Inc.: | ||||||||||||
2.700%, 06/01/2020 | 3,500,000 | 3,507,048 | ||||||||||
4.750%, 06/15/2021 | 3,220,000 | 3,362,771 | ||||||||||
3.500%, 10/01/2022 | 6,350,000 | 6,543,225 | ||||||||||
FMC Corp.: | ||||||||||||
5.200%, 12/15/2019 | 4,496,000 | 4,544,955 | ||||||||||
3.950%, 02/01/2022 | 13,172,000 | 13,579,801 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
1.897%, 08/12/2019 | 10,000,000 | 9,990,438 | ||||||||||
2.681%, 01/09/2020 | 5,000,000 | 4,996,948 | ||||||||||
3.200%, 01/15/2021 | 4,505,000 | 4,518,931 | ||||||||||
3.470%, 04/05/2021 | 2,500,000 | 2,517,460 | ||||||||||
2.979%, 08/03/2022 | 15,000,000 | 14,840,961 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 20,045,000 | 20,961,582 | ||||||||||
Fox Corp., | ||||||||||||
3.666%, 01/25/2022 (2) | 5,000,000 | 5,167,082 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: | ||||||||||||
4.125%, 10/15/2020 (2) | 19,325,000 | 19,591,685 | ||||||||||
5.875%, 01/31/2022 (2) | 1,000,000 | 1,068,100 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021 (2) | 4,782,000 | 4,987,626 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 1,525,000 | 1,585,720 | ||||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 25,496,822 | ||||||||||
General Mills, Inc., | ||||||||||||
3.200%, 04/16/2021 | 4,850,000 | 4,923,586 | ||||||||||
General Motors Financial Co, Inc., | ||||||||||||
3.550%, 07/08/2022 | 5,000,000 | 5,089,473 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
3.365%, 08/07/2020 (3 Month LIBOR USD + 0.800%) (3) | 7,000,000 | 7,008,694 | ||||||||||
3.700%, 11/24/2020 | 1,409,000 | 1,427,207 | ||||||||||
4.200%, 03/01/2021 | 1,215,000 | 1,241,964 | ||||||||||
3.550%, 04/09/2021 | 4,750,000 | 4,819,165 | ||||||||||
3.200%, 07/06/2021 | 8,500,000 | 8,574,631 | ||||||||||
4.200%, 11/06/2021 | 5,000,000 | 5,148,433 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.700%, 04/01/2022 (1) | 5,511,000 | 5,553,693 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020 (2) | 9,974,000 | 10,366,499 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 18,000,000 | 18,870,840 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 5,760,000 | 6,022,903 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 28,075,000 | 28,636,224 | ||||||||||
4.500%, 01/25/2022 (1)(2) | 3,799,000 | 3,930,658 | ||||||||||
Harris Corp., | ||||||||||||
2.700%, 04/27/2020 | 1,010,000 | 1,011,036 | ||||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | 22,343,000 | 22,857,240 | ||||||||||
Hewlett Packard Enterprise Co., | ||||||||||||
3.500%, 10/05/2021 | 5,000,000 | 5,119,331 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
6.000%, 12/30/2019 (1)(2) | 6,657,000 | 6,748,594 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 8,000,000 | 8,395,051 | ||||||||||
Hyundai Capital America: | ||||||||||||
1.750%, 09/27/2019 (2) | 5,060,000 | 5,047,776 | ||||||||||
2.750%, 09/18/2020 (2) | 10,000,000 | 10,007,839 | ||||||||||
3.450%, 03/12/2021 (2) | 5,000,000 | 5,055,528 | ||||||||||
2.450%, 06/15/2021 (2) | 1,000,000 | 995,276 | ||||||||||
3.750%, 07/08/2021 (2) | 2,500,000 | 2,549,633 | ||||||||||
3.950%, 02/01/2022 (2) | 5,024,000 | 5,157,274 | ||||||||||
3.000%, 06/20/2022 (2) | 5,000,000 | 5,017,008 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
1.625%, 08/30/2019 (1)(2) | 1,455,000 | 1,452,263 |
IDEX Corp., | ||||||||||||
4.200%, 12/15/2021 | 14,094,000 | 14,559,602 | ||||||||||
IHS Markit Ltd., | ||||||||||||
5.000%, 11/01/2022 (1)(2) | 4,613,000 | 4,887,473 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 13,325,000 | 13,445,716 | ||||||||||
Keurig Dr Pepper, Inc.: | ||||||||||||
3.551%, 05/25/2021 | 2,705,000 | 2,763,296 | ||||||||||
2.530%, 11/15/2021 | 23,880,000 | 23,849,610 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 29,075,000 | 29,107,298 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
6.500%, 04/01/2020 | 22,000 | 22,637 | ||||||||||
5.000%, 10/01/2021 | 13,000,000 | 13,631,712 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
5.375%, 02/10/2020 | 2,270,000 | 2,307,431 | ||||||||||
3.115%, 02/10/2021 (3 Month LIBOR USD + 0.570%) (3) | 15,000,000 | 14,971,630 | ||||||||||
Leggett & Platt, Inc., | ||||||||||||
3.400%, 08/15/2022 | 10,000,000 | 10,160,188 | ||||||||||
Lennar Corp., | ||||||||||||
8.375%, 01/15/2021 | 2,337,000 | 2,512,275 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 17,775,000 | 19,058,770 | ||||||||||
Marathon Petroleum Corp., | ||||||||||||
3.400%, 12/15/2020 | 15,375,000 | 15,534,517 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.887%, 12/20/2019 (3 Month LIBOR USD + 0.500%) (3) | 1,250,000 | 1,249,981 | ||||||||||
3.173%, 05/22/2020 (3 Month LIBOR USD + 0.650%) (3) | 5,400,000 | 5,400,190 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 40,000 | 41,149 | ||||||||||
3.500%, 04/01/2021 | 3,881,000 | 3,938,684 | ||||||||||
5.950%, 03/15/2022 | 10,675,000 | 11,549,705 | ||||||||||
Maxim Integrated Products, Inc., | ||||||||||||
3.375%, 03/15/2023 | 2,190,000 | 2,235,408 | ||||||||||
McKesson Corp., | ||||||||||||
3.650%, 11/30/2020 | 9,850,000 | 10,050,042 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,246,752 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.625%, 04/01/2022 (2) | 10,000,000 | 10,246,215 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020 (2) | 31,303,000 | 31,318,224 | ||||||||||
Mosaic Co.: | ||||||||||||
3.750%, 11/15/2021 | 2,850,000 | 2,918,908 | ||||||||||
3.250%, 11/15/2022 | 1,693,000 | 1,727,764 | ||||||||||
Motiva Enterprises LLC, | ||||||||||||
5.750%, 01/15/2020 (2) | 3,106,000 | 3,150,335 | ||||||||||
Mylan NV, | ||||||||||||
3.750%, 12/15/2020 (1) | 5,263,000 | 5,312,140 | ||||||||||
Mylan, Inc., | ||||||||||||
3.125%, 01/15/2023 (2) | 3,000,000 | 2,915,364 | ||||||||||
NetApp, Inc., | ||||||||||||
2.000%, 09/27/2019 | 5,000,000 | 4,992,482 | ||||||||||
Newmont Goldcorp Corp., | ||||||||||||
3.625%, 06/09/2021 (2) | 4,900,000 | 4,989,543 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.150%, 07/13/2020 (2) | 20,000,000 | 19,917,244 | ||||||||||
2.150%, 09/28/2020 (2) | 4,300,000 | 4,276,138 | ||||||||||
Norfolk Southern Railway Co., | ||||||||||||
9.750%, 06/15/2020 | 2,000,000 | 2,138,820 | ||||||||||
Northern Border Pipeline Co., | ||||||||||||
7.500%, 09/15/2021 | 4,500,000 | 4,925,358 | ||||||||||
Nutrien Ltd.: | ||||||||||||
4.875%, 03/30/2020 (1) | 13,000,000 | 13,222,236 | ||||||||||
3.150%, 10/01/2022 (1) | 1,000,000 | 1,016,695 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 12,565,000 | 12,741,088 | ||||||||||
NXP Semiconductors N.V., | ||||||||||||
4.625%, 06/15/2022 (1)(2) | 5,650,000 | 5,918,375 | ||||||||||
ONEOK Partners LP, | ||||||||||||
3.800%, 03/15/2020 | 2,800,000 | 2,819,303 | ||||||||||
Owens Corning, | ||||||||||||
4.200%, 12/15/2022 | 8,900,000 | 9,262,580 | ||||||||||
Penske Truck Leasing Co., | ||||||||||||
3.650%, 07/29/2021 (2) | 5,000,000 | 5,112,913 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.650%, 12/01/2019 (1) | 10,353,000 | 10,346,486 | ||||||||||
PerkinElmer, Inc., | ||||||||||||
5.000%, 11/15/2021 | 2,500,000 | 2,614,422 | ||||||||||
Pernod Ricard SA, | ||||||||||||
5.750%, 04/07/2021 (1)(2) | 6,375,000 | 6,731,289 | ||||||||||
Perrigo Finance Unlimited Co.: | ||||||||||||
3.500%, 03/15/2021 (1) | 3,349,000 | 3,340,608 | ||||||||||
3.500%, 12/15/2021 (1) | 7,355,000 | 7,312,816 | ||||||||||
Reckitt Benckiser Treasury Services PLC, | ||||||||||||
2.903%, 06/24/2022 (3 Month LIBOR USD + 0.560%) (1)(2)(3) | 2,000,000 | 1,993,087 | ||||||||||
Reliance Holding USA, Inc., | ||||||||||||
4.500%, 10/19/2020 (2) | 17,178,000 | 17,563,205 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,400,000 | 1,422,750 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020 (1)(2) | 5,000,000 | 4,992,235 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.125%, 11/15/2022 | 10,000,000 | 10,166,045 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020 (1) | 5,000,000 | 5,012,741 | ||||||||||
Ryder System, Inc.: | ||||||||||||
3.500%, 06/01/2021 | 6,550,000 | 6,682,326 | ||||||||||
2.875%, 06/01/2022 | 5,000,000 | 5,057,602 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 02/01/2021 | 16,800,000 | 17,450,328 | ||||||||||
5.625%, 04/15/2023 | 15,800,000 | 17,208,898 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022 (1) | 20,686,000 | 21,036,836 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
2.250%, 05/15/2020 | 6,200,000 | 6,188,824 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.400%, 09/23/2021 (1) | 19,530,000 | 19,506,015 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020 (2) | 14,875,000 | 14,844,089 | ||||||||||
2.650%, 10/03/2021 (2) | 17,740,000 | 17,486,521 | ||||||||||
3.350%, 02/01/2022 (2) | 1,000,000 | 997,509 | ||||||||||
Smiths Group PLC, | ||||||||||||
3.625%, 10/12/2022 (1)(2) | 1,475,000 | 1,490,257 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
3.400%, 12/03/2020 (2) | 8,790,000 | 8,874,576 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
3.210%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 9,625,000 | 9,560,943 | ||||||||||
SPIRIT AEROSYSTEMS, Inc., | ||||||||||||
3.950%, 06/15/2023 | 3,515,000 | 3,627,497 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 25,600,000 | 25,592,524 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 15,000,000 | 15,257,613 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
5.462%, 02/16/2021 (1) | 12,577,000 | 13,178,787 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
1.700%, 07/19/2019 (1) | 7,000,000 | 6,979,000 | ||||||||||
2.200%, 07/21/2021 (1) | 15,654,000 | 14,851,732 | ||||||||||
Texas Gas Transmission LLC, | ||||||||||||
4.500%, 02/01/2021 (2) | 6,286,000 | 6,427,303 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
4.000%, 09/01/2021 | 9,706,000 | 9,962,344 | ||||||||||
Total System Services, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 26,676,000 | 27,169,563 | ||||||||||
3.750%, 06/01/2023 | 4,550,000 | 4,696,422 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 1,025,000 | 1,132,811 | ||||||||||
TTX Co., | ||||||||||||
4.400%, 05/01/2021 (2) | 2,100,000 | 2,171,576 | ||||||||||
United Technologies Corp.: | ||||||||||||
3.175%, 08/16/2021 (3 Month LIBOR USD + 0.650%) (3) | 5,800,000 | 5,803,647 | ||||||||||
3.350%, 08/16/2021 | 3,000,000 | 3,066,270 | ||||||||||
Vale Overseas Ltd., | ||||||||||||
4.375%, 01/11/2022 (1) | 1,968,000 | 2,027,552 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 9,011,000 | 9,557,133 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 30,880,000 | 31,548,313 | ||||||||||
Vodafone Group PLC, | ||||||||||||
3.591%, 01/16/2024 (3 Month LIBOR USD + 0.990%) (1)(3) | 15,000,000 | 15,037,500 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.400%, 05/22/2020 (2) | 5,270,000 | 5,258,426 | ||||||||||
4.000%, 11/12/2021 (2) | 24,700,000 | 25,493,751 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
3.010%, 06/15/2020 (3 Month LIBOR USD + 0.600%) (3) | 11,630,000 | 11,631,052 | ||||||||||
3.170%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 16,433,000 | 16,445,489 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 3,065,000 | 3,400,175 | ||||||||||
3.700%, 01/15/2023 | 22,537,000 | 23,292,438 | ||||||||||
Williams Partners LP: | ||||||||||||
3.600%, 03/15/2022 | 4,750,000 | 4,874,295 | ||||||||||
3.350%, 08/15/2022 | 235,000 | 239,512 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.169%, 03/19/2021 (3 Month LIBOR USD + 0.750%) (3) | 695,000 | 694,259 | ||||||||||
Zimmer Holdings, Inc.: | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,644,392 | ||||||||||
3.150%, 04/01/2022 | 2,690,000 | 2,732,012 | ||||||||||
Zoetis, Inc., | ||||||||||||
3.450%, 11/13/2020 | 8,307,000 | 8,412,377 | ||||||||||
Total Industrials | 2,091,764,527 | 31.6 | % |
Utilities | ||||||||||||
Dominion Resources, Inc., | ||||||||||||
2.962%, 07/01/2019 (7) | 4,000,000 | 4,000,000 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 12,271,000 | 12,297,996 | ||||||||||
5.250%, 01/14/2021 (1)(2) | 2,840,000 | 2,943,626 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 14,733,000 | 14,849,696 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 1,100,000 | 1,155,143 | ||||||||||
Exelon Corp.: | ||||||||||||
2.850%, 06/15/2020 | 2,710,000 | 2,718,583 | ||||||||||
5.150%, 12/01/2020 | 8,100,000 | 8,347,386 | ||||||||||
2.450%, 04/15/2021 | 955,000 | 954,731 | ||||||||||
Exelon Generation Co. LLC: | ||||||||||||
2.950%, 01/15/2020 | 7,500,000 | 7,508,351 | ||||||||||
4.000%, 10/01/2020 | 8,300,000 | 8,420,334 | ||||||||||
Fortis, Inc., | ||||||||||||
2.100%, 10/04/2021 (1) | 2,100,000 | 2,082,031 | ||||||||||
Iberdrola Finance Ireland Ltd., | ||||||||||||
5.000%, 09/11/2019 (1)(2) | 2,400,000 | 2,410,542 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.961%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 5,475,000 | 5,476,344 | ||||||||||
NV Energy, Inc., | ||||||||||||
6.250%, 11/15/2020 | 1,668,000 | 1,753,844 | ||||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022 (2) | 6,260,340 | 6,660,269 | ||||||||||
Sempra Energy, | ||||||||||||
2.803%, 01/15/2021 (3 Month LIBOR USD + 0.500%) (3) | 1,460,000 | 1,455,124 | ||||||||||
Southern Co., | ||||||||||||
2.750%, 06/15/2020 | 19,000,000 | 19,058,977 | ||||||||||
Southern Power Co., | ||||||||||||
1.950%, 12/15/2019 | 4,600,000 | 4,586,176 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 1,750,000 | 1,792,391 | ||||||||||
Total Utilities | 108,471,544 | 1.6 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
3.400%, 08/27/2021 (1)(2) | 15,250,000 | 15,557,968 | ||||||||||
AerCap Holdings N.V.: | ||||||||||||
4.500%, 05/15/2021 (1) | 7,275,000 | 7,502,015 | ||||||||||
4.450%, 12/16/2021 (1) | 25,000,000 | 25,958,067 | ||||||||||
AIG Global Funding, | ||||||||||||
2.300%, 07/01/2022 (2) | 8,625,000 | 8,626,389 | ||||||||||
Air Lease Corp.: | ||||||||||||
3.875%, 04/01/2021 | 6,885,000 | 7,034,214 | ||||||||||
3.375%, 06/01/2021 | 3,000,000 | 3,046,633 | ||||||||||
2.625%, 07/01/2022 | 1,609,000 | 1,609,347 | ||||||||||
2.750%, 01/15/2023 | 16,150,000 | 16,145,273 | ||||||||||
American International Group, Inc.: | ||||||||||||
3.375%, 08/15/2020 | 2,000,000 | 2,021,868 | ||||||||||
6.400%, 12/15/2020 | 16,900,000 | 17,842,102 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
3.000%, 03/22/2022 | 6,300,000 | 6,415,619 | ||||||||||
Anthem, Inc., | ||||||||||||
2.500%, 11/21/2020 | 14,325,000 | 14,353,525 | ||||||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||||||
2.125%, 07/28/2021 (1)(2) | 2,388,000 | 2,371,915 | ||||||||||
Assurant, Inc., | ||||||||||||
3.583%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 8,000,000 | 8,000,550 | ||||||||||
Bank of America Corp.: | ||||||||||||
5.875%, 01/05/2021 | 10,000,000 | 10,516,633 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 10,000,000 | 9,989,100 | ||||||||||
2.328%, 10/01/2021 (3 Month LIBOR USD + 0.630%) (3) | 10,000,000 | 9,987,900 | ||||||||||
3.499%, 05/17/2022 (3 Month LIBOR USD + 0.630%) (3) | 5,000,000 | 5,096,359 | ||||||||||
Bank of Montreal, | ||||||||||||
3.100%, 04/13/2021 (1) | 15,000,000 | 15,231,293 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
3.125%, 04/20/2021 (1) | 20,000,000 | 20,309,534 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.200%, 07/20/2020 (1)(2) | 5,000,000 | 4,993,811 | ||||||||||
2.750%, 10/15/2020 (1)(2) | 2,200,000 | 2,211,671 | ||||||||||
2.700%, 07/20/2022 (1)(2) | 2,800,000 | 2,820,355 | ||||||||||
Barclays Bank PLC: | ||||||||||||
5.140%, 10/14/2020 (1) | 5,606,000 | 5,765,161 | ||||||||||
10.180%, 06/12/2021 (1)(2) | 7,179,000 | 8,125,567 | ||||||||||
Barclays PLC: | ||||||||||||
2.875%, 06/08/2020 (1) | 3,000,000 | 3,001,608 | ||||||||||
3.250%, 01/12/2021 (1) | 15,750,000 | 15,863,029 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.950%, 05/23/2022 (1)(2) | 23,125,000 | 23,367,216 | ||||||||||
3.500%, 03/01/2023 (1)(2) | 10,794,000 | 11,103,425 | ||||||||||
BNZ International Funding Ltd, | ||||||||||||
2.900%, 02/21/2022 (1)(2) | 1,950,000 | 1,969,172 | ||||||||||
BNZ International Funding Ltd., | ||||||||||||
3.375%, 03/01/2023 (1)(2) | 15,305,000 | 15,788,252 | ||||||||||
BPCE SA, | ||||||||||||
3.000%, 05/22/2022 (1)(2) | 32,127,000 | 32,418,456 | ||||||||||
Capital One Financial Corp., | ||||||||||||
3.450%, 04/30/2021 | 7,125,000 | 7,254,374 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 10,958,000 | 11,177,690 | ||||||||||
Citigroup, Inc., | ||||||||||||
2.700%, 03/30/2021 | 10,000,000 | 10,051,439 | ||||||||||
Citizens Bank NA, | ||||||||||||
3.250%, 02/14/2022 | 3,000,000 | 3,058,222 | ||||||||||
CNA Financial Corp., | ||||||||||||
5.750%, 08/15/2021 | 6,000,000 | 6,414,380 | ||||||||||
Compass Bank: | ||||||||||||
5.500%, 04/01/2020 | 1,360,000 | 1,387,806 | ||||||||||
3.500%, 06/11/2021 | 16,200,000 | 16,509,710 | ||||||||||
2.875%, 06/29/2022 | 15,861,000 | 15,995,085 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 19,895,000 | 20,290,142 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 3,380,000 | 3,508,226 | ||||||||||
Credit Suisse, | ||||||||||||
3.450%, 04/16/2021 (1) | 7,000,000 | 7,109,558 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.400%, 01/14/2020 (1) | 8,384,000 | 8,506,462 | ||||||||||
Credit Suisse Group AG, | ||||||||||||
2.997%, 12/14/2023 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 8,000,000 | 8,068,097 | ||||||||||
DBS Group Holdings Ltd., | ||||||||||||
2.850%, 04/16/2022 (1)(2) | 10,000,000 | 10,121,901 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 4,400,000 | 4,368,296 | ||||||||||
3.125%, 01/13/2021 (1) | 5,515,000 | 5,455,880 | ||||||||||
3.150%, 01/22/2021 (1) | 7,400,000 | 7,344,192 | ||||||||||
4.250%, 10/14/2021 (1) | 5,400,000 | 5,474,393 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,308,153 | ||||||||||
Discover Bank: | ||||||||||||
8.700%, 11/18/2019 | 7,395,000 | 7,558,921 | ||||||||||
3.100%, 06/04/2020 | 8,735,000 | 8,777,190 | ||||||||||
Discover Financial Services, | ||||||||||||
5.200%, 04/27/2022 | 10,293,000 | 11,021,071 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 11,148,000 | 11,281,640 | ||||||||||
First Niagara Financial Group, Inc., | ||||||||||||
6.750%, 03/19/2020 | 3,850,000 | 3,967,640 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 15,786,000 | 15,804,089 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 8,000,000 | 7,962,019 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,047,812 | ||||||||||
2.876%, 10/31/2022 (3 Month LIBOR USD + 0.821%) (3) | 12,000,000 | 12,099,284 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 8,280,000 | 8,369,052 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 14,000,000 | 14,135,389 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
2.000%, 04/26/2021 (2) | 7,825,000 | 7,780,299 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
4.875%, 08/24/2020 | 10,000,000 | 10,276,425 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021 (1) | 5,200,000 | 5,279,965 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 10,200,000 | 10,389,551 | ||||||||||
HSBC USA, Inc., | ||||||||||||
5.000%, 09/27/2020 | 4,805,000 | 4,947,340 | ||||||||||
Humana, Inc., | ||||||||||||
2.500%, 12/15/2020 | 9,625,000 | 9,630,099 | ||||||||||
Huntington Bancshares, Inc., | ||||||||||||
3.150%, 03/14/2021 | 1,335,000 | 1,351,544 | ||||||||||
Huntington National Bank, | ||||||||||||
3.250%, 05/14/2021 | 5,000,000 | 5,082,614 | ||||||||||
ING Bank NV, | ||||||||||||
5.000%, 06/09/2021 (1)(2) | 7,250,000 | 7,598,873 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 3,700,000 | 3,769,918 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 9,377,000 | 9,590,010 | ||||||||||
Jefferies Group LLC: | ||||||||||||
8.500%, 07/15/2019 | 1,500,000 | 1,503,170 | ||||||||||
6.875%, 04/15/2021 | 7,133,000 | 7,627,527 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 10,550,000 | 10,534,519 | ||||||||||
3.514%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 23,010,000 | 23,515,430 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019 (1)(2) | 18,000,000 | 17,964,775 | ||||||||||
KeyBank NA, | ||||||||||||
3.180%, 05/22/2022 | 10,472,000 | 10,665,217 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019 (1)(2) | 8,000,000 | 7,996,080 | ||||||||||
Liberty Mutual Group, Inc., | ||||||||||||
4.950%, 05/01/2022 (2) | 3,000,000 | �� | 3,177,285 | |||||||||
Lloyds Bank PLC: | ||||||||||||
6.500%, 09/14/2020 (1)(2) | 1,543,000 | 1,610,389 | ||||||||||
3.000%, 01/11/2022 (1) | 10,000,000 | 10,105,812 | ||||||||||
Lloyds Banking Group PLC, | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 10,000,000 | 10,016,613 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 1,965,000 | 2,098,206 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
3.547%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 4,000,000 | 4,047,560 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
3.617%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 282,000 | 282,306 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
3.500%, 12/29/2020 | 8,025,000 | 8,158,843 | ||||||||||
2.750%, 01/30/2022 | 7,010,000 | 7,075,670 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||||||
2.190%, 09/13/2021 (1) | 15,000,000 | 14,922,564 | ||||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd.: | ||||||||||||
3.406%, 02/28/2022 (1)(2) | 5,000,000 | 5,102,598 | ||||||||||
2.652%, 09/19/2022 (1)(2) | 3,000,000 | 3,000,158 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.650%, 10/19/2020 (1)(2) | 4,550,000 | 4,565,737 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021 (1)(2) | 12,750,000 | 12,789,860 | ||||||||||
3.820%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 3,000,000 | 3,053,465 | ||||||||||
2.273%, 09/13/2021 (1) | 8,330,000 | 8,303,073 | ||||||||||
2.953%, 02/28/2022 (1) | 8,700,000 | 8,799,917 | ||||||||||
Morgan Stanley: | ||||||||||||
3.772%, 01/20/2022 (3 Month LIBOR USD + 1.180%) (3) | 9,850,000 | 9,953,987 | ||||||||||
3.522%, 07/22/2022 (3 Month LIBOR USD + 0.930%) (3) | 10,000,000 | 10,063,280 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 5,000,000 | 5,212,620 | ||||||||||
Nationwide Building Society, | ||||||||||||
3.622%, 04/26/2023 (3 Month LIBOR USD + 1.181%) (1)(2)(3) | 15,000,000 | 15,276,513 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,797,000 | 1,871,079 | ||||||||||
Nordea Bank AB: | ||||||||||||
4.875%, 05/13/2021 (1)(2) | 8,980,000 | 9,319,050 | ||||||||||
4.250%, 09/21/2022 (1)(2) | 9,785,000 | 10,194,798 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.161%, 09/25/2020 (2) | 10,000,000 | 9,981,869 | ||||||||||
Regions Bank, | ||||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 14,000,000 | 14,119,146 | ||||||||||
Regions Financial Corp., | ||||||||||||
3.200%, 02/08/2021 | 16,500,000 | 16,678,708 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.500%, 01/15/2020 (2) | 6,000,000 | 5,997,237 | ||||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 13,000,000 | 13,144,824 | ||||||||||
Royal Bank of Scotland PLC: | ||||||||||||
5.625%, 08/24/2020 (1) | 2,450,000 | 2,526,701 | ||||||||||
6.125%, 01/11/2021 (1) | 9,517,000 | 9,991,624 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
4.450%, 12/03/2021 | 17,300,000 | 17,995,037 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 1,030,000 | 1,031,689 | ||||||||||
3.125%, 01/08/2021 (1) | 3,500,000 | 3,516,073 | ||||||||||
2.875%, 08/05/2021 (1) | 2,970,000 | 2,971,693 | ||||||||||
Santander UK PLC, | ||||||||||||
2.125%, 11/03/2020 (1) | 5,200,000 | 5,174,309 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
2.650%, 07/15/2021 (1)(2) | 1,950,000 | 1,949,315 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.400%, 09/08/2019 (1)(2) | 4,225,000 | 4,224,113 | ||||||||||
2.250%, 04/17/2020 (1)(2) | 5,000,000 | 4,984,679 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 17,271,000 | 17,386,614 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 5,486,000 | 5,660,019 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,373,000 | 27,672,238 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
3.525%, 10/26/2021 (3 Month LIBOR USD + 0.500%) (3) | 15,015,000 | 15,240,870 | ||||||||||
2.800%, 05/17/2022 | 18,000,000 | 18,229,259 | ||||||||||
Synchrony Financial: | ||||||||||||
3.000%, 08/15/2019 | 7,371,000 | 7,372,100 | ||||||||||
3.750%, 08/15/2021 | 8,839,000 | 9,007,379 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
3.500%, 09/15/2021 (1) | 18,183,000 | 18,503,026 | ||||||||||
UBS Group Funding Jersey Ltd., | ||||||||||||
3.000%, 04/15/2021 (1)(2) | 3,000,000 | 3,027,445 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.950%, 09/24/2020 (1)(2) | 11,600,000 | 11,677,125 | ||||||||||
3.783%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 2,000,000 | 2,030,068 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 9,471,000 | 9,518,023 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 7,200,000 | 7,262,943 | ||||||||||
WEA Finance LLC, | ||||||||||||
3.150%, 04/05/2022 (2) | 12,750,000 | 12,961,144 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019 (2) | 8,000,000 | 7,999,625 | ||||||||||
3.250%, 10/05/2020 (2) | 6,000,000 | 6,057,334 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.500%, 03/04/2021 | 3,900,000 | 3,908,506 | ||||||||||
3.069%, 01/24/2023 | 4,650,000 | 4,722,398 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
3.325%, 07/23/2021 (3 Month LIBOR USD + 0.490%) (3) | 15,000,000 | 15,143,349 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,410,000 | 14,082,808 | ||||||||||
Zions Bancorp NA: | ||||||||||||
3.500%, 08/27/2021 | 11,700,000 | 11,941,422 | ||||||||||
3.350%, 03/04/2022 | 20,000,000 | 20,371,993 | ||||||||||
Total Financials | 1,292,039,584 | 19.5 | % | |||||||||
Total Corporate Bonds | 3,492,275,655 | 52.7 | % |
Municipal Bonds | ||||||||||||
City of Pittsburg CA, | ||||||||||||
5.864%, 07/01/2021 | 1,515,000 | 1,567,480 | ||||||||||
County of Saline AR, | ||||||||||||
3.550%, 06/01/2042 (Callable 06/01/2024) | 2,000,000 | 2,050,960 | ||||||||||
County of Sonoma CA, | ||||||||||||
5.070%, 12/01/2022 | 16,840,000 | 17,661,455 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
2.880%, 04/01/2021 | 1,685,000 | 1,697,081 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.000%, 02/01/2034 (Callable 08/01/2025) | 6,310,000 | 6,474,628 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/29/2019) | 165,000 | 167,340 | ||||||||||
Memphis-Shelby County Industrial Development Board, | ||||||||||||
2.222%, 11/01/2020 | 5,990,000 | 5,981,554 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 5,390,000 | 5,508,634 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
0.000%, 02/15/2021 | 1,440,000 | 1,383,753 | ||||||||||
New Jersey Sports & Exposition Authority: | ||||||||||||
6.076%, 03/01/2023 | 1,805,000 | 1,959,562 | ||||||||||
5.976%, 03/01/2024 | 6,055,000 | 6,362,110 | ||||||||||
Public Finance Authority, | ||||||||||||
3.750%, 02/01/2022 (Callable 02/01/2020) | 5,250,000 | 5,271,945 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 2,715,000 | 2,724,177 | ||||||||||
Total Municipal Bonds | 58,810,679 | 0.9 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 2.554%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,765,928 | 1,760,607 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.854%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 10,441,191 | 10,489,863 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 30,987 | 30,927 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 40,567 | 40,657 | ||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 97,808 | 100,204 | ||||||||||
Series 2004-8CB, Class A, 2.674%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 2,126,630 | 2,132,488 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 | 62,831 | 62,983 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 597,762 | 469,333 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 2.744%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 3,941,391 | 3,947,258 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1, 2.619%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 6,156,625 | 6,142,891 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2006-OPT1, Class A3, 2.584%, 12/25/2035 (1 Month LIBOR USD + 0.180%) (3) | 285,460 | 285,402 | ||||||||||
Series 2007-HE1, Class A2, 2.554%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 6,184,349 | 6,153,275 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-2, Class 2A3, 2.704%, 06/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 7,099,449 | 7,096,501 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 555,307 | 525,599 | ||||||||||
Series 2006-13, Class 1AF3, 4.318%, 01/25/2037 (4) | 242,480 | 243,285 | ||||||||||
CSMC Trust, | ||||||||||||
Series 2019-RPL1, Class A1A, 3.650%, 07/25/2058 (2)(4) | 20,861,247 | 21,486,576 | ||||||||||
GSAA Trust: | ||||||||||||
Series 2005-8, Class A4, 2.674%, 06/25/2035 (1 Month LIBOR USD + 0.270%) (3) | 687,712 | 688,074 | ||||||||||
Series 2005-6, Class A3, 2.774%, 06/25/2035 (1 Month LIBOR USD + 0.370%) (3) | 413,901 | 414,122 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE7, Class A2D, 2.634%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 8,973,509 | 8,947,417 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.534%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 1,497,217 | 1,494,816 | ||||||||||
J.P. Morgan Mortgage Trust, | ||||||||||||
Series 2005-A4, Class 1A1, 4.441%, 07/25/2035 (4) | 469,419 | 475,177 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2003-9, Class 3A1, 4.750%, 07/25/2019 | 78 | 78 | ||||||||||
Series 2003-5, Class 7A1, 5.000%, 10/01/2031 | 44,507 | 42,809 | ||||||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 3,087,179 | 3,309,924 | ||||||||||
Mill City Mortgage Loan Trust, | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 997,617 | 1,018,519 | ||||||||||
Morgan Stanley, | ||||||||||||
Series 2005-HE5, Class M2, 3.049%, 09/25/2035 (1 Month LIBOR USD + 0.645%) (3) | 9,232,146 | 9,248,178 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.634%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 2,375,674 | 2,372,237 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 2.574%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 22,566 | 22,564 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-B, Class M2, 3.064%, 08/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 806,406 | 808,348 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 2.804%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 5,670,906 | 5,679,955 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,914,212 | 813,751 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-2, Class A3C, 2.554%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 584,422 | 581,393 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 2.584%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 2,221,739 | 2,219,064 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 3.404%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 3,359,424 | 3,351,915 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034 (7) | 57,701 | 59,350 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 4.367%, 10/25/2043 (4) | 4,691,114 | 4,829,520 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055 (2)(4) | 1,313,941 | 1,316,042 | ||||||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055 (2)(4) | 2,829,527 | 2,858,755 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 8,359,447 | 8,343,395 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 16,020,601 | 16,084,126 | ||||||||||
Series 2017-5, Class A1, 3.004%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 10,763,760 | 10,732,669 | ||||||||||
Series 2017-2, Class A1, 2.750%, 04/25/2057 (2)(4) | 4,406,205 | 4,413,655 | ||||||||||
Series 2017-3, Class A1, 2.750%, 06/25/2057 (2)(4) | 13,822,251 | 13,862,478 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 12,820,849 | 13,168,543 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 5,108 | 5,090 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 7,491 | 7,467 | ||||||||||
Series 2004-AR3, Class A1, 4.506%, 06/25/2034 (4) | 3,706,277 | 3,807,418 | ||||||||||
181,944,698 | 2.7 | % | ||||||||||
Total Residential Mortgage-Backed Securities | 181,944,698 | 2.7 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, | ||||||||||||
Series K014, Class A2, 3.871%, 04/25/2021 | 9,940,520 | 10,179,946 | ||||||||||
Total U.S. Government Agency Issues | 10,179,946 | 0.2 | % |
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/17/2045 | 15,581,614 | 15,715,247 | ||||||||||
Series 2013-LC6, Class ASB, 2.478%, 01/12/2046 | 8,426,327 | 8,454,011 | ||||||||||
Series 2014-LC15, Class ASB, 3.528%, 04/12/2047 | 13,757,496 | 14,124,478 | ||||||||||
Series 2014-CR16, Class ASB, 3.653%, 04/12/2047 | 12,465,003 | 12,819,364 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 8,112,000 | 8,283,373 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/17/2045 | 12,972,403 | 12,968,234 | ||||||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 2,088,767 | 2,115,454 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C14, Class ASB, 3.761%, 08/17/2046 (4) | 15,253,882 | 15,712,453 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C9, Class AAB, 2.657%, 05/17/2046 | 17,566,459 | 17,673,769 | ||||||||||
Series 2013-C8, Class ASB, 2.699%, 12/17/2048 | 11,911,791 | 11,973,495 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2014-LC16, Class ASB, 3.477%, 08/17/2050 | 14,330,065 | 14,716,038 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,203,702 | ||||||||||
Series 2013-C14, Class ASB, 2.977%, 06/15/2046 | 20,262,985 | 20,475,001 | ||||||||||
Total Non-U.S. Government Agency Issues | 162,234,619 | 2.5 | % | |||||||||
Total Commercial Mortgage-Backed Securities | 172,414,565 | 2.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-A2, Class A2, 3.000%, 09/15/2023 | 30,100,000 | 30,618,042 | ||||||||||
Bank of The West Auto Trust: | ||||||||||||
Series 2018-1, Class A3, 3.430%, 12/15/2022 (2) | 17,865,000 | 18,087,230 | ||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023 (2) | 7,500,000 | 7,478,486 | ||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 7,775,000 | 7,793,082 | ||||||||||
Carmax Auto Owner Trust, | ||||||||||||
Series 2018-4, Class A3, 3.360%, 09/15/2023 | 11,300,000 | 11,560,749 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2018-1A, Class A1, 3.040%, 04/15/2030 (2) | 9,618,769 | 9,712,558 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 2,211 | 2,232 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 73,040 | 75,995 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 27,550,000 | 27,897,342 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027 (2) | 18,225,000 | 18,171,874 | ||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028 (2) | 23,917,000 | 24,201,192 | ||||||||||
Kookmin Bank, | ||||||||||||
2.125%, 10/21/2021 (1)(2) | 3,400,000 | 3,384,972 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 9,367,102 | 9,359,055 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021 (2) | 15,734,000 | 15,700,407 | ||||||||||
Series 2018-B, Class A, 2.890%, 02/15/2023 (2) | 11,600,000 | 11,705,421 | ||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 11,790,000 | 11,975,308 | ||||||||||
Series 2018-F, Class A, 3.520%, 10/16/2023 (2) | 6,210,000 | 6,383,804 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022 (2) | 3,148,000 | 3,147,827 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 3,712,975 | 3,719,977 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 2,224,845 | 2,226,528 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,532,338 | ||||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,856,583 | ||||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1A, Class A4, 2.030%, 02/15/2022 (2) | 14,604,000 | 14,569,482 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 6,244,606 | 6,337,863 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022 (2) | 28,600,000 | 28,799,019 | ||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 21,450,000 | 21,514,760 | ||||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022 (2) | 42,800,000 | 42,873,924 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 19,279,000 | 19,303,041 | ||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 16,510,000 | 16,455,599 | ||||||||||
Series 2019-A, Class A, 3.140%, 12/15/2025 | 7,900,000 | 8,098,836 | ||||||||||
World Omni Automobile Lease Securitization Trust, | ||||||||||||
Series 2019-A, Class A3, 2.940%, 05/16/2022 | 13,250,000 | 13,451,776 | ||||||||||
Total Asset Backed Securities | 456,995,302 | 6.9 | % | |||||||||
Total Long-Term Investments (Cost $6,476,050,963) | 6,554,737,992 | 99.0 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 2.32% (5) | 40,118,363 | 40,118,363 | ||||||||||
Total Short-Term Investment (Cost $40,118,363) | 40,118,363 | 0.6 | % | |||||||||
Total Investments (Cost $6,516,169,326) | 6,594,856,355 | 99.6 | % | |||||||||
Other Assets in Excess of Liabilities | 23,661,183 | 0.4 | % | |||||||||
TOTAL NET ASSETS | $ | 6,618,517,538 | 100.0 | % |
Notes to Schedule of Investments | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $1,559,954,826, which represents 23.57% 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, 2019. |
(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, 2019. |
(5) | Seven-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, 2019. |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,127,671,045 | $ | – | $ | 2,127,671,045 | ||||||||
Other Government Related Securities | – | 64,626,048 | – | 64,626,048 | ||||||||||||
Corporate Bonds | – | 3,492,275,655 | – | 3,492,275,655 | ||||||||||||
Municipal Bonds | – | 58,810,679 | – | 58,810,679 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 181,944,698 | – | 181,944,698 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 10,179,946 | – | 10,179,946 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 162,234,619 | – | 162,234,619 | ||||||||||||
Asset Backed Securities | – | 456,995,302 | – | 456,995,302 | ||||||||||||
Total Long-Term Investments | – | 6,554,737,992 | – | 6,554,737,992 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 40,118,363 | – | – | 40,118,363 | ||||||||||||
Total Short-Term Investment | 40,118,363 | – | – | 40,118,363 | ||||||||||||
Total Investments | $ | 40,118,363 | $ | 6,554,737,992 | $ | – | $ | 6,594,856,355 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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, 2019 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.375%, 08/31/2020 | $ | 133,600,000 | $ | 132,775,437 | ||||||||
1.750%, 03/31/2022 | 265,050,000 | 265,215,656 | ||||||||||
1.875%, 03/31/2022 | 510,250,000 | 512,502,274 | ||||||||||
2.500%, 05/15/2024 | 351,025,000 | 363,077,774 | ||||||||||
2.250%, 11/15/2025 | 297,625,000 | 304,798,227 | ||||||||||
2.000%, 11/15/2026 | 106,975,000 | 107,789,849 | ||||||||||
2.250%, 11/15/2027 | 160,375,000 | 164,183,906 | ||||||||||
3.125%, 11/15/2028 | 34,900,000 | 38,279,574 | ||||||||||
Total U.S. Treasury Securities | 1,888,622,697 | 44.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA, | ||||||||||||
5.750%, 10/27/2021 (1)(2) | 1,150,000 | 1,201,606 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,000,000 | 2,017,838 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 5,150,000 | 5,465,427 | ||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020 (1)(2) | 8,875,000 | 8,879,893 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020 (1) | 3,200,000 | 3,199,232 | ||||||||||
Petroleos Mexicanos, | ||||||||||||
5.500%, 01/21/2021 (1) | 2,000,000 | 2,023,000 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 3,000,000 | 2,999,921 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019 (1)(2) | 3,000,000 | 2,995,410 | ||||||||||
2.750%, 05/03/2021 (1)(2) | 5,300,000 | 5,314,554 | ||||||||||
Total Other Government Related Securities | 34,096,881 | 0.8 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 4,853,000 | 5,059,807 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.050%, 09/22/2026 | 1,495,000 | 1,508,715 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 7,730,000 | 7,745,234 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 1,523,000 | 1,540,899 | ||||||||||
Anadarko Holding Co., | ||||||||||||
7.500%, 10/15/2026 | 1,288,000 | 1,531,891 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 4,005,000 | 4,133,811 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
3.650%, 02/01/2026 | 3,945,000 | 4,147,987 | ||||||||||
4.750%, 01/23/2029 | 835,000 | 947,897 | ||||||||||
ArcelorMittal, | ||||||||||||
4.550%, 03/11/2026 (1) | 4,015,000 | 4,243,852 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 8,030,000 | 8,480,938 | ||||||||||
3.600%, 07/15/2025 | 2,575,000 | 2,670,876 | ||||||||||
4.300%, 02/15/2030 | 9,604,000 | 10,279,316 | ||||||||||
Becton Dickinson and Co., | ||||||||||||
7.000%, 08/01/2027 | 1,900,000 | 2,317,752 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.950%, 06/01/2026 | 1,360,000 | 1,513,147 | ||||||||||
Boston Scientific Corp., | ||||||||||||
4.125%, 10/01/2023 | 3,000,000 | 3,184,980 | ||||||||||
BP Capital Markets PLC, | ||||||||||||
2.521%, 01/15/2020 (1) | 2,650,000 | 2,653,738 | ||||||||||
Broadcom, Inc.: | ||||||||||||
2.375%, 01/15/2020 | 1,500,000 | 1,497,392 | ||||||||||
3.000%, 01/15/2022 | 5,625,000 | 5,639,616 | ||||||||||
3.625%, 10/15/2024 (2) | 8,000,000 | 8,039,767 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 2,650,000 | 2,674,701 | ||||||||||
3.750%, 09/25/2027 | 5,000,000 | 4,919,598 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 8,000,000 | 8,321,976 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019 (1) | 1,153,846 | 1,162,764 | ||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 13,175,494 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 7,425,000 | 7,801,994 | ||||||||||
3.750%, 02/15/2028 | 3,835,000 | 3,862,193 | ||||||||||
4.200%, 03/15/2028 | 2,070,000 | 2,150,261 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.450%, 05/01/2020 (2) | 4,125,000 | 4,119,561 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
3.250%, 04/11/2024 (1)(2) | 10,000,000 | 10,247,222 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.875%, 10/15/2021 | 3,000,000 | 3,058,500 | ||||||||||
4.200%, 01/15/2024 | 2,800,000 | 2,913,816 | ||||||||||
CNH Industrial NV, | ||||||||||||
4.500%, 08/15/2023 (1) | 5,000,000 | 5,243,500 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
4.500%, 06/01/2025 | 630,000 | 678,011 | ||||||||||
Comcast Corp., | ||||||||||||
2.750%, 03/01/2023 | 1,475,000 | 1,496,702 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
2.700%, 05/09/2022 | 2,975,000 | 2,992,039 | ||||||||||
3.500%, 05/09/2027 | 3,625,000 | 3,720,008 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.250%, 12/15/2022 (2) | 3,610,000 | 3,684,838 | ||||||||||
3.850%, 02/01/2025 (2) | 2,800,000 | 2,927,011 | ||||||||||
3.350%, 09/15/2026 (2) | 1,927,000 | 1,945,875 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.250%, 08/12/2019 | 3,415,000 | 3,413,717 | ||||||||||
4.000%, 12/05/2023 | 4,425,000 | 4,631,281 | ||||||||||
4.100%, 03/25/2025 | 3,340,000 | 3,522,665 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.250%, 07/31/2019 (2) | 2,300,000 | 2,299,023 | ||||||||||
2.200%, 05/05/2020 (2) | 5,000,000 | 4,989,520 | ||||||||||
3.750%, 11/05/2021 (2) | 6,800,000 | 6,973,400 | ||||||||||
Dell Technologies, Inc., | ||||||||||||
4.000%, 07/15/2024 (2) | 3,000,000 | 3,078,481 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
6.000%, 07/08/2019 (1) | 1,700,000 | 1,700,925 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 4,000,000 | 4,121,762 | ||||||||||
5.450%, 06/15/2023 (2) | 12,100,000 | 13,041,280 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.700%, 05/15/2023 | 5,050,000 | 5,214,140 | ||||||||||
Dow Chemical Co., | ||||||||||||
4.550%, 11/30/2025 (2) | 2,515,000 | 2,739,602 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
4.493%, 11/15/2025 | 4,175,000 | 4,619,887 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,771,034 | ||||||||||
4.250%, 04/15/2024 | 5,700,000 | 5,972,739 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.500%, 04/15/2024 | 1,000,000 | 1,064,122 | ||||||||||
5.500%, 06/01/2027 | 7,605,000 | 8,501,077 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.750%, 01/15/2026 | 10,326,000 | 11,065,265 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 10,112,300 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
2.550%, 10/15/2019 | 3,000,000 | 2,999,066 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 5,000,000 | 4,836,684 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019 (2) | 6,650,000 | 6,642,138 | ||||||||||
2.600%, 12/01/2021 (2) | 4,825,000 | 4,836,854 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
3.000%, 07/15/2023 | 5,655,000 | 5,724,393 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 5,930,000 | 6,195,059 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 2,373,000 | 2,452,896 | ||||||||||
3.875%, 06/05/2024 | 1,247,000 | 1,318,250 | ||||||||||
3.000%, 08/15/2026 | 2,027,000 | 2,051,011 | ||||||||||
4.250%, 05/15/2028 | 8,690,000 | 9,475,098 | ||||||||||
3.750%, 05/21/2029 | 7,000,000 | 7,436,467 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 1,928,000 | 2,013,485 | ||||||||||
3.500%, 10/01/2022 | 3,050,000 | 3,142,809 | ||||||||||
4.200%, 10/01/2028 | 1,035,000 | 1,120,471 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 2,350,000 | 2,439,827 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.750%, 02/01/2021 | 2,000,000 | 2,081,957 | ||||||||||
3.336%, 03/18/2021 | 1,800,000 | 1,809,243 | ||||||||||
3.339%, 03/28/2022 | 2,000,000 | 2,007,843 | ||||||||||
2.979%, 08/03/2022 | 12,000,000 | 11,872,769 | ||||||||||
4.250%, 09/20/2022 | 1,545,000 | 1,584,591 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
4.000%, 09/21/2023 | 5,775,000 | 6,078,620 | ||||||||||
Fox Corp., | ||||||||||||
4.030%, 01/25/2024 (2) | 5,155,000 | 5,483,109 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 2,000,000 | 2,007,500 | ||||||||||
3.875%, 03/15/2023 | 1,100,000 | 1,100,000 | ||||||||||
General Electric Co.: | ||||||||||||
6.000%, 08/07/2019 | 774,000 | 776,537 | ||||||||||
5.500%, 01/08/2020 | 731,000 | 741,385 | ||||||||||
5.550%, 05/04/2020 | 816,000 | 834,817 | ||||||||||
3.150%, 09/07/2022 | 3,125,000 | 3,164,948 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 5,500,000 | 5,497,003 | ||||||||||
4.375%, 09/25/2021 | 5,325,000 | 5,496,469 | ||||||||||
4.200%, 11/06/2021 | 2,000,000 | 2,059,373 | ||||||||||
3.450%, 01/14/2022 | 1,475,000 | 1,496,066 | ||||||||||
3.150%, 06/30/2022 | 1,000,000 | 1,006,110 | ||||||||||
4.150%, 06/19/2023 | 1,325,000 | 1,364,746 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020 (2) | 6,797,000 | 7,064,477 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 1,750,000 | 1,819,423 | ||||||||||
4.125%, 03/12/2024 (2) | 5,000,000 | 5,191,099 | ||||||||||
4.625%, 04/29/2024 (2) | 1,000,000 | 1,055,733 | ||||||||||
4.000%, 03/27/2027 (2) | 4,850,000 | 4,897,410 | ||||||||||
3.875%, 10/27/2027 (2) | 1,150,000 | 1,147,033 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 3,504,000 | 3,574,045 | ||||||||||
4.500%, 01/25/2022 (1)(2) | 8,129,000 | 8,410,719 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 5,340,000 | 5,510,277 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 5,000,000 | 5,295,563 |
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 7,000,000 | 7,345,670 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.000%, 07/01/2019 (2) | 2,500,000 | 2,500,000 | ||||||||||
1.750%, 09/27/2019 (2) | 3,000,000 | 2,992,752 | ||||||||||
3.450%, 03/12/2021 (2) | 9,000,000 | 9,099,951 | ||||||||||
Ingersoll-Rand Co., | ||||||||||||
6.391%, 11/15/2027 (1) | 1,195,000 | 1,404,448 | ||||||||||
International Business Machines Corp., | ||||||||||||
3.300%, 05/15/2026 | 6,150,000 | 6,375,168 | ||||||||||
JB Hunt Transport Services, Inc., | ||||||||||||
3.875%, 03/01/2026 | 3,000,000 | 3,141,780 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 5,000,000 | 5,045,297 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 4,690,000 | 4,695,210 | ||||||||||
4.600%, 04/06/2027 | 4,100,000 | 4,383,867 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.625%, 11/15/2023 (2) | 1,000,000 | 1,107,257 | ||||||||||
7.800%, 08/01/2031 | 12,425,000 | 16,709,941 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 06/06/2022 | 2,000,000 | 2,053,201 | ||||||||||
6.375%, 07/15/2028 | 7,929,000 | 9,247,168 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
4.625%, 11/15/2020 | 468,000 | 479,008 | ||||||||||
Lear Corp., | ||||||||||||
3.800%, 09/15/2027 | 1,000,000 | 989,865 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 1,100,000 | 1,179,446 | ||||||||||
Mead Johnson Nutrition Co., | ||||||||||||
3.000%, 11/15/2020 | 5,400,000 | 5,448,787 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 7,000,000 | 7,125,621 | ||||||||||
Midcontinent Express Pipeline LLC, | ||||||||||||
6.700%, 09/15/2019 (2) | 1,000,000 | 1,004,653 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 7,450,000 | 7,752,632 | ||||||||||
Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 9,127,961 | ||||||||||
MPLX LP: | ||||||||||||
4.875%, 06/01/2025 | 10,219,000 | 11,106,232 | ||||||||||
4.800%, 02/15/2029 | 3,475,000 | 3,827,368 | ||||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
3.650%, 09/21/2021 (2) | 7,210,000 | 7,381,455 | ||||||||||
Noble Energy, Inc., | ||||||||||||
4.150%, 12/15/2021 | 450,000 | 464,373 | ||||||||||
Nutrien Ltd., | ||||||||||||
3.150%, 10/01/2022 (1) | 1,306,000 | 1,327,803 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 18,275,000 | 18,531,109 | ||||||||||
NXP Semiconductors NV, | ||||||||||||
4.875%, 03/01/2024 (1)(2) | 5,790,000 | 6,205,259 | ||||||||||
ONEOK Partners LP, | ||||||||||||
5.000%, 09/15/2023 | 3,300,000 | 3,564,846 | ||||||||||
ONEOK, Inc., | ||||||||||||
7.500%, 09/01/2023 | 7,470,000 | 8,747,228 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 4,125,000 | 6,289,970 | ||||||||||
Penske Truck Leasing Co., | ||||||||||||
3.950%, 03/10/2025 (2) | 12,000,000 | 12,594,179 | ||||||||||
Phillips 66 Partners LP, | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,060,839 | ||||||||||
POSCO: | ||||||||||||
5.250%, 04/14/2021 (1)(2) | 3,000,000 | 3,139,131 | ||||||||||
4.000%, 08/01/2023 (1)(2) | 5,000,000 | 5,228,705 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 1,100,000 | 1,162,021 | ||||||||||
RELX Capital, Inc., | ||||||||||||
4.000%, 03/18/2029 | 6,000,000 | 6,350,378 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,000,000 | 1,016,250 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.800%, 12/15/2026 | 1,450,000 | 1,514,156 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 11,118,814 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.375%, 09/26/2024 (1)(2)(8) | 1,675,000 | 1,329,548 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 2,000,000 | 2,035,389 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020 (2) | 7,568,000 | 7,552,273 | ||||||||||
2.650%, 10/03/2021 (2) | 8,000,000 | 7,885,692 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020 (2) | 4,675,000 | 4,719,982 | ||||||||||
4.450%, 12/03/2025 (2) | 6,145,000 | 6,544,124 | ||||||||||
Sysco Corp.: | ||||||||||||
2.600%, 10/01/2020 | 7,875,000 | 7,901,389 | ||||||||||
2.500%, 07/15/2021 | 2,000,000 | 2,008,642 | ||||||||||
2.600%, 06/12/2022 | 150,000 | 151,455 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 5,500,000 | 5,795,587 | ||||||||||
3.900%, 05/25/2027 | 8,425,000 | 8,575,539 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
5.462%, 02/16/2021 (1) | 650,000 | 681,101 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 556,000 | 614,481 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
4.000%, 03/01/2026 | 3,000,000 | 3,190,759 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
4.375%, 01/11/2022 (1) | 1,153,000 | 1,187,890 | ||||||||||
6.250%, 08/10/2026 (1) | 3,830,000 | 4,350,688 | ||||||||||
Valero Energy Corp., | ||||||||||||
3.400%, 09/15/2026 | 4,985,000 | 5,083,369 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
4.125%, 03/15/2029 | 3,000,000 | 3,215,688 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.376%, 02/15/2025 | 853,000 | 890,347 | ||||||||||
4.125%, 03/16/2027 | 3,196,000 | 3,475,924 | ||||||||||
4.329%, 09/21/2028 | 2,051,000 | 2,272,911 | ||||||||||
4.016%, 12/03/2029 (2) | 5,628,000 | 6,093,667 | ||||||||||
Vodafone Group PLC, | ||||||||||||
3.750%, 01/16/2024 (1) | 3,940,000 | 4,119,420 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
3.475%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,800,000 | 1,814,396 | ||||||||||
4.000%, 11/12/2021 (2) | 8,000,000 | 8,257,085 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 12,302,000 | 12,743,505 | ||||||||||
3.450%, 11/15/2026 | 5,000,000 | 4,885,823 | ||||||||||
Western Midstream Operating LP, | ||||||||||||
4.500%, 03/01/2028 | 7,195,000 | 7,183,567 | ||||||||||
Williams Companies, Inc., | ||||||||||||
3.700%, 01/15/2023 | 5,000,000 | 5,167,600 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 1,185,000 | 1,206,894 | ||||||||||
4.125%, 11/15/2020 | 1,635,000 | 1,664,641 | ||||||||||
4.300%, 03/04/2024 | 2,500,000 | 2,651,946 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.900%, 06/01/2028 | 8,275,000 | 8,507,175 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 650,000 | 653,808 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.700%, 03/19/2023 | 10,000,000 | 10,319,256 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.250%, 02/01/2023 | 7,500,000 | 7,654,844 | ||||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,194,651 | ||||||||||
Total Industrials | 824,600,127 | 19.5 | % |
Utilities | ||||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 6,200,000 | 6,431,957 | ||||||||||
Avangrid, Inc., | ||||||||||||
3.800%, 06/01/2029 | 10,975,000 | 11,485,671 | ||||||||||
Edison International: | ||||||||||||
2.950%, 03/15/2023 | 2,650,000 | 2,538,998 | ||||||||||
4.125%, 03/15/2028 | 13,600,000 | 13,299,401 | ||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 15,000,000 | 15,033,000 | ||||||||||
Enel Finance International NV: | ||||||||||||
3.625%, 05/25/2027 (1)(2) | 1,550,000 | 1,557,074 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 13,550,000 | 13,358,134 | ||||||||||
Fortis, Inc., | ||||||||||||
2.100%, 10/04/2021 (1) | 5,000,000 | 4,957,215 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.961%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 7,000,000 | 7,001,718 | ||||||||||
PPL Capital Funding, Inc., | ||||||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,536,717 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 220,000 | 224,516 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 411,732 | 458,522 | ||||||||||
Southern Co., | ||||||||||||
2.750%, 06/15/2020 | 3,200,000 | 3,209,933 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 3,800,000 | 3,951,944 | ||||||||||
Total Utilities | 86,044,800 | 2.1 | % |
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.450%, 06/04/2020 (1)(2) | 2,650,000 | 2,650,466 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 8,650,000 | 9,258,441 | ||||||||||
Aetna, Inc., | ||||||||||||
2.800%, 06/15/2023 | 4,010,000 | 4,034,103 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 3,000,000 | 3,063,750 | ||||||||||
American International Group, Inc.: | ||||||||||||
4.875%, 06/01/2022 | 6,000,000 | 6,432,300 | ||||||||||
4.125%, 02/15/2024 | 1,000,000 | 1,059,646 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 630,000 | 747,320 | ||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 10,000,000 | 10,345,131 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020 (1)(2) | 4,000,000 | 4,024,575 | ||||||||||
2.125%, 07/28/2021 (1)(2) | 1,200,000 | 1,191,917 | ||||||||||
Banco Santander SA, | ||||||||||||
3.500%, 04/11/2022 (1) | 4,400,000 | 4,513,727 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 11,000,000 | 10,988,010 | ||||||||||
3.300%, 01/11/2023 | 4,710,000 | 4,854,958 | ||||||||||
4.000%, 04/01/2024 | 1,596,000 | 1,700,721 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 5,060,000 | 5,252,575 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 3,295,000 | 3,376,300 | ||||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.512%) (3) | 5,050,000 | 5,306,045 | ||||||||||
3.419%, 12/20/2028 (3 Month LIBOR USD + 1.040%) (3) | 1,519,000 | 1,563,045 | ||||||||||
Bank of New Zealand, | ||||||||||||
3.500%, 02/20/2024 (1)(2) | 5,000,000 | 5,178,437 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
4.500%, 12/16/2025 (1) | 7,000,000 | 7,535,670 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.300%, 03/05/2020 (1)(2) | 3,000,000 | 2,997,828 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 8,000,000 | 8,386,112 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 5,000,000 | 5,659,261 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 2,000,000 | 2,014,353 | ||||||||||
3.684%, 01/10/2023 (1) | 7,350,000 | 7,446,270 | ||||||||||
4.337%, 01/10/2028 (1) | 2,275,000 | 2,329,672 | ||||||||||
BNP Paribas SA, | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 10,000,000 | 10,286,664 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.100%, 09/14/2021 (1)(2) | 10,000,000 | 9,917,963 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 2,000,000 | 2,063,150 | ||||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,428,604 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 5,375,000 | 5,874,970 | ||||||||||
4.000%, 04/15/2024 (1) | 3,500,000 | 3,718,286 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 10,000,000 | 10,562,991 | ||||||||||
Brown & Brown, Inc.: | ||||||||||||
4.200%, 09/15/2024 | 8,956,000 | 9,458,969 | ||||||||||
4.500%, 03/15/2029 | 5,000,000 | 5,252,409 | ||||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,214,290 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 2,000,000 | 2,025,793 | ||||||||||
3.750%, 06/16/2024 | 500,000 | 527,281 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 10,040,000 | 10,371,114 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 9,000,000 | 9,521,704 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.450%, 12/04/2019 | 8,500,000 | 8,499,542 | ||||||||||
2.550%, 05/13/2021 | 2,000,000 | 2,005,918 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 1,385,000 | 1,480,653 | ||||||||||
7.250%, 11/15/2023 | 1,980,000 | 2,322,182 | ||||||||||
4.500%, 03/01/2026 | 5,070,000 | 5,435,085 | ||||||||||
3.900%, 05/01/2029 | 4,000,000 | 4,206,379 | ||||||||||
Comerica Bank, | ||||||||||||
2.500%, 06/02/2020 | 3,375,000 | 3,379,556 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 8,000,000 | 7,999,291 | ||||||||||
2.875%, 06/29/2022 | 3,475,000 | 3,504,377 | ||||||||||
3.875%, 04/10/2025 | 4,200,000 | 4,351,215 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
2.500%, 01/19/2021 (1) | 8,525,000 | 8,554,537 | ||||||||||
4.625%, 12/01/2023 (1) | 3,400,000 | 3,642,138 | ||||||||||
3.750%, 07/21/2026 (1) | 1,276,000 | 1,305,734 | ||||||||||
Credit Agricole SA: | ||||||||||||
2.750%, 06/10/2020 (1)(2) | 3,000,000 | 3,012,619 | ||||||||||
3.375%, 01/10/2022 (1)(2) | 7,400,000 | 7,546,974 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 1,000,000 | 1,020,957 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 4,000,000 | 4,197,252 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 06/09/2023 (1) | 9,000,000 | 9,333,646 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 3,000,000 | 2,978,384 | ||||||||||
3.150%, 01/22/2021 (1) | 1,500,000 | 1,488,687 | ||||||||||
4.250%, 10/14/2021 (1) | 7,000,000 | 7,096,435 | ||||||||||
3.300%, 11/16/2022 (1) | 5,175,000 | 5,087,093 | ||||||||||
Discover Financial Services, | ||||||||||||
4.100%, 02/09/2027 | 9,000,000 | 9,374,931 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,354,191 | ||||||||||
First Niagara Financial Group, Inc., | ||||||||||||
6.750%, 03/19/2020 | 1,618,000 | 1,667,440 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 500,000 | 500,573 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.550%, 10/23/2019 | 2,000,000 | 2,000,741 | ||||||||||
2.350%, 11/15/2021 | 3,160,000 | 3,156,849 | ||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,047,812 | ||||||||||
3.500%, 01/23/2025 | 2,000,000 | 2,069,123 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 3,500,000 | 3,581,885 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 4,000,000 | 4,131,068 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 3,100,000 | 3,324,776 | ||||||||||
Guardian Life Global Funding: | ||||||||||||
2.000%, 04/26/2021 (2) | 4,350,000 | 4,325,151 | ||||||||||
3.400%, 04/25/2023 (2) | 9,000,000 | 9,322,937 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
5.125%, 04/15/2022 | 500,000 | 536,053 | ||||||||||
High Street Funding Trust I, | ||||||||||||
Series 2018-1, 4.111%, 02/15/2028 (2) | 5,000,000 | 5,260,000 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 2,000,000 | 2,059,114 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 10,140,000 | 10,328,437 | ||||||||||
3.600%, 05/25/2023 (1) | 2,700,000 | 2,808,999 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 3,000,000 | 3,125,731 | ||||||||||
3.970%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 1,000,000 | 1,044,556 | ||||||||||
HSBC USA, Inc., | ||||||||||||
2.350%, 03/05/2020 | 3,500,000 | 3,500,140 | ||||||||||
Humana, Inc., | ||||||||||||
2.900%, 12/15/2022 | 6,275,000 | 6,363,593 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 1,585,000 | 1,604,642 | ||||||||||
2.300%, 01/14/2022 | 1,300,000 | 1,300,017 | ||||||||||
Huntington National Bank, | ||||||||||||
2.875%, 08/20/2020 | 3,500,000 | 3,520,786 | ||||||||||
ING Bank NV: | ||||||||||||
2.500%, 10/01/2019 (1)(2) | 2,475,000 | 2,475,485 | ||||||||||
5.000%, 06/09/2021 (1)(2) | 2,000,000 | 2,096,241 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 9,405,000 | 10,404,098 | ||||||||||
ING Groep NV, | ||||||||||||
3.550%, 04/09/2024 (1) | 4,000,000 | 4,137,762 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 4,750,000 | 4,857,902 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,350,000 | 10,660,412 |
Jefferies Group LLC: | ||||||||||||
8.500%, 07/15/2019 | 3,325,000 | 3,332,027 | ||||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,138,659 | ||||||||||
4.850%, 01/15/2027 | 1,425,000 | 1,470,306 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 | 11,325,000 | 13,328,972 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 2,500,000 | 2,496,331 | ||||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,161,201 | ||||||||||
3.811%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,035,000 | 5,111,104 | ||||||||||
KeyBank NA: | ||||||||||||
3.180%, 05/22/2022 | 2,750,000 | 2,800,740 | ||||||||||
3.400%, 05/20/2026 | 2,200,000 | 2,257,018 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 966,000 | 1,021,213 | ||||||||||
4.569%, 02/01/2029 (2) | 1,559,000 | 1,713,588 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 8,000,000 | 8,177,825 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 2,900,000 | 2,951,756 | ||||||||||
3.000%, 01/11/2022 (1) | 7,000,000 | 7,074,069 | ||||||||||
4.050%, 08/16/2023 (1) | 4,580,000 | 4,780,825 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 1,100,000 | 1,099,839 | ||||||||||
6.625%, 04/07/2021 (1)(2) | 5,482,000 | 5,853,620 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.547%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 5,250,000 | 5,312,423 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 4,000,000 | 4,170,040 | ||||||||||
Manulife Financial Corp., | ||||||||||||
4.900%, 09/17/2020 (1) | 2,375,000 | 2,447,263 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.875%, 03/15/2024 | 1,550,000 | 1,644,851 | ||||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023 (2) | 9,906,000 | 11,520,341 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.563%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(8) | 500,000 | 349,375 | ||||||||||
Metropolitan Life Global Funding I, | ||||||||||||
3.000%, 01/10/2023 (2) | 1,300,000 | 1,326,000 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 3,000,000 | 2,984,513 | ||||||||||
2.998%, 02/22/2022 (1) | 2,595,000 | 2,635,676 | ||||||||||
3.455%, 03/02/2023 (1) | 2,000,000 | 2,056,194 | ||||||||||
Mizuho Financial Group Cayman 3 Ltd., | ||||||||||||
4.600%, 03/27/2024 (1)(2) | 7,000,000 | 7,442,657 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 4,997,008 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 3,000,000 | 3,141,414 | ||||||||||
Morgan Stanley: | ||||||||||||
3.981%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 7,000,000 | 7,133,910 | ||||||||||
3.125%, 07/27/2026 | 4,600,000 | 4,687,469 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 225,000 | 232,055 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 5,000,000 | 5,103,641 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 10,000,000 | 10,001,697 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,478,000 | 1,538,928 | ||||||||||
Nationwide Mutual Insurance Co., | ||||||||||||
8.250%, 12/01/2031 (2) | 2,195,000 | 3,209,344 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 1,000,000 | 1,028,126 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 10,350,000 | 10,783,460 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 6,000,000 | 6,245,888 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 5,000,000 | 5,203,253 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,237,106 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
2.200%, 04/08/2020 (2) | 2,000,000 | 1,995,906 | ||||||||||
3.000%, 04/18/2026 (2) | 7,000,000 | 7,097,318 | ||||||||||
Protective Life Corp.: | ||||||||||||
7.375%, 10/15/2019 | 2,965,000 | 3,004,550 | ||||||||||
4.300%, 09/30/2028 (2) | 1,400,000 | 1,474,670 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020 (2) | 3,000,000 | 3,017,201 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 8,300,000 | 10,703,738 | ||||||||||
Regions Bank, | ||||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,425,000 | 3,454,148 | ||||||||||
Regions Financial Corp., | ||||||||||||
2.750%, 08/14/2022 | 4,725,000 | 4,759,067 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
3.050%, 01/20/2021 (2) | 5,000,000 | 5,042,106 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 2,000,000 | 2,068,382 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 4,700,000 | 5,099,198 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 6,850,000 | 7,090,588 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
3.125%, 01/08/2021 (1) | 2,475,000 | 2,486,366 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,000,000 | 5,312,499 | ||||||||||
Santander UK PLC: | ||||||||||||
2.125%, 11/03/2020 (1) | 4,500,000 | 4,477,768 | ||||||||||
5.000%, 11/07/2023 (1)(2) | 1,675,000 | 1,766,534 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (1)(2) | 8,500,000 | 8,510,013 | ||||||||||
SMBC Aviation Capital Finance DAC: | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 4,000,000 | 4,050,286 | ||||||||||
3.550%, 04/15/2024 (1)(2) | 6,075,000 | 6,251,536 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021 (1)(2) | 2,150,000 | 2,150,040 | ||||||||||
5.200%, 04/15/2021 (1)(2) | 1,250,000 | 1,306,524 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 5,000,000 | 5,260,769 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 3,350,000 | 3,555,205 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 4,814,000 | 4,936,660 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019 (1)(2) | 3,200,000 | 3,197,344 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 10,350,000 | 10,419,284 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 4,000,000 | 4,083,697 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 10,139,000 | 10,641,235 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.442%, 10/19/2021 (1) | 6,200,000 | 6,208,826 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.400%, 10/01/2020 (1) | 5,275,000 | 5,281,436 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 3,800,000 | 3,801,680 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 5,000,000 | 5,095,248 | ||||||||||
4.250%, 08/15/2024 | 5,275,000 | 5,489,815 | ||||||||||
3.700%, 08/04/2026 | 3,000,000 | 2,977,783 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
4.400%, 03/15/2026 (1) | 1,125,000 | 1,196,590 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.950%, 09/24/2020 (1)(2) | 6,225,000 | 6,266,388 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 5,000,000 | 5,024,825 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 3,050,000 | 3,126,789 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 3,350,000 | 3,405,699 | ||||||||||
3.650%, 06/15/2026 | 2,410,000 | 2,469,474 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019 (2) | 500,000 | 499,977 | ||||||||||
3.250%, 10/05/2020 (2) | 7,500,000 | 7,571,667 | ||||||||||
Wells Fargo & Co., | ||||||||||||
3.813%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,094,570 | ||||||||||
Westpac Banking Corp., | ||||||||||||
2.100%, 05/13/2021 (1) | 5,000,000 | 4,989,268 | ||||||||||
Willis North America, Inc.: | ||||||||||||
3.600%, 05/15/2024 | 8,150,000 | 8,418,307 | ||||||||||
4.500%, 09/15/2028 | 8,500,000 | 9,148,123 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 3,450,000 | 3,623,094 | ||||||||||
Total Financials | 864,628,836 | 20.4 | % | |||||||||
Total Corporate Bonds | 1,775,273,763 | 42.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Alabama Economic Settlement Authority, | ||||||||||||
3.163%, 09/15/2025 | 4,495,000 | 4,600,138 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
4.459%, 08/01/2019 | 1,340,000 | 1,342,117 | ||||||||||
California School Finance Authority, | ||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,544,125 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,184,420 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 1,270,000 | 1,330,566 | ||||||||||
5.790%, 12/01/2022 | 3,230,000 | 3,236,202 | ||||||||||
County of Cook IL, | ||||||||||||
5.240%, 11/15/2025 (Callable 11/15/2021) | 2,345,000 | 2,474,327 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/29/2019) | 595,000 | 603,437 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
2.600%, 01/01/2020 | 1,415,000 | 1,416,656 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 02/15/2021 | 3,000,000 | 2,882,820 | ||||||||||
0.000%, 02/15/2022 | 2,000,000 | 1,871,600 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 205,000 | 209,424 | ||||||||||
3.000%, 01/01/2033 (Callable 01/01/2025) | 3,215,000 | 3,233,100 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,514,540 | ||||||||||
Public Finance Authority, | ||||||||||||
2.820%, 03/01/2020 (Callable 07/19/2019) | 2,000,000 | 2,000,260 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
2.700%, 11/01/2036 (Callable 11/01/2025) | 1,435,000 | 1,429,949 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
3.800%, 12/01/2026 (Callable 12/01/2025) | 2,200,000 | 2,299,022 | ||||||||||
3.950%, 12/01/2027 (Callable 12/01/2025) | 1,700,000 | 1,777,520 | ||||||||||
Total Municipal Bonds | 37,950,223 | 0.9 | % |
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 373 | 377 | ||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 96 | 100 | ||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 6,791 | 6,965 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 5,833 | 6,096 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2021 | 20,010 | 20,504 | ||||||||||
6.000%, 07/01/2028 | 3,508 | 3,907 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 74, Class F, 6.000%, 10/15/2020 | 12 | 12 | ||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 2,797 | 2,907 | ||||||||||
Total U.S. Government Agency Issues | 40,868 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 46,652 | 46,756 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (2)(6) | 55,546 | 54,665 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 125,038 | 123,509 | ||||||||||
Series 2004-8CB, Class A, 2.674%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 1,306,358 | 1,309,957 | ||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 (6) | 33,582 | 33,712 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 (4) | 1,192 | 1,233 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.744%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 756,142 | 757,268 | ||||||||||
Series 2005-W5, Class A1, 2.639%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 6,348,558 | 6,320,501 | ||||||||||
Banc of America Alternative Loan Trust, | ||||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 (6) | 57,644 | 51,710 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 2,366,361 | 2,554,523 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2004-5, Class 2A, 4.499%, 07/25/2034 (4) | 897,225 | 905,125 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 38,788 | 39,669 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 (7) | 3,921 | 1,984 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 441 | 447 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 44,233 | 45,009 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 510,882 | 483,551 | ||||||||||
Series 2006-13, Class 1AF3, 4.318%, 01/25/2037 (4) | 36,445 | 36,566 | ||||||||||
Delta Funding Home Equity Loan Trust: | ||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 703 | 651 | ||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 189,404 | 191,978 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2005-WMC2, Class A1B, 3.024%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 1,041,090 | 1,044,128 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 (7) | 570 | 573 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 37,978 | 38,213 | ||||||||||
Series 2006-A1, Class 2A1, 4.290%, 03/25/2036 (4)(6) | 293,580 | 276,440 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.534%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 718,664 | 717,512 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 2,379 | 2,377 | ||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-3, Class A1, 3.004%, 08/25/2035 (1 Month LIBOR USD + 0.600%) (3) | 3,859,407 | 3,830,131 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.634%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 1,187,837 | 1,186,119 | ||||||||||
New Residential Mortgage Loan Trust, | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 3,499,140 | 3,653,932 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 2.574%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 30,087 | 30,086 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 08/25/2019 (6) | 1,475 | 1,471 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 3,204 | 3,221 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2003-2, Class A2, 3.704%, 11/25/2033 (1 Month LIBOR USD + 1.300%) (3) | 1,330,922 | 1,350,685 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 3.074%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,350,792 | 1,348,487 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 3.404%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 1,565,435 | 1,561,936 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 4.367%, 10/25/2043 (4) | 2,814,669 | 2,897,712 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-5, Class A1B, 2.750%, 05/25/2055 (2)(4) | 1,941,512 | 1,945,469 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 1,937,812 | 1,956,933 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 9,078,909 | 9,114,908 | ||||||||||
Series 2017-5, Class A1, 3.004%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 5,037,440 | 5,022,889 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 9,470,992 | 9,890,347 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 1,140 | 1,137 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 2,186 | 2,184 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 12,260 | 12,216 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 5,122 | 5,105 | ||||||||||
Series 2004-AR3, Class A1, 4.506%, 06/25/2034 (4) | 2,243,533 | 2,304,757 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 2,310,263 | 2,510,339 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, | ||||||||||||
Series 2004-2, Class A33, 3.404%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 2,497,908 | 2,503,008 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 4.947%, 06/25/2035 (4) | 2,839,583 | 2,952,403 | ||||||||||
Total Non-U.S. Government Agency Issues | 69,123,532 | 1.6 | % | |||||||||
Total Residential Mortgage-Backed Securities | 69,164,400 | 1.6 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 16,125,000 | 16,362,707 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,327,736 | ||||||||||
Series K-723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 14,689,048 | ||||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,579,846 | ||||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,127,796 | ||||||||||
Series K-043, Class A2, 3.062%, 12/25/2024 | 3,250,000 | 3,383,692 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 8,725,000 | 9,209,182 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 12,375,000 | 13,113,106 | ||||||||||
Series K-734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 9,859,392 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,354,000 | 9,904,872 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 7,521,133 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 9,707,813 | ||||||||||
Total U.S. Government Agency Issues | 118,786,323 | 2.8 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,550,000 | 11,888,646 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 12,083,333 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 13,000,000 | 13,975,827 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 3,373,000 | 3,544,907 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | 9,980,000 | 10,176,484 | ||||||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,816,119 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 5,000,000 | 5,156,055 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 16,400,000 | 16,826,125 | ||||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,675,000 | 12,240,510 | ||||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 13,211,144 | 14,165,411 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,875,000 | 9,068,490 | ||||||||||
Series 2014-C24, Class ASB, 3.324%, 11/18/2047 | 10,127,000 | 10,422,340 | ||||||||||
Series 2013-C12, Class ASB, 2.838%, 03/17/2048 | 6,769,032 | 6,825,075 | ||||||||||
Total Non-U.S. Government Agency Issues | 140,189,322 | 3.3 | % | |||||||||
Total Commercial Mortgage-Backed Securities | 258,975,645 | 6.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 8,000,000 | 8,018,606 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 34,427 | 34,759 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 1,164,789 | 1,201,042 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 133,419 | 138,818 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 59,845 | 61,889 | ||||||||||
Dell Equipment Finance Trust: | ||||||||||||
Series 2018-1, Class A3, 3.180%, 06/22/2023 (2) | 16,285,000 | 16,468,315 | ||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 11,375,000 | 11,518,413 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 5,633,000 | 5,652,109 | ||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 10,825,000 | 11,320,412 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 5,036,076 | 5,031,750 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 31,935 | 32,522 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 14,555,000 | 14,580,446 | ||||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024 (2) | 12,125,000 | 12,262,860 | ||||||||||
SoFi Consumer Loan Program LLC, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 1,964,713 | 1,968,418 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022 (2) | 12,250,000 | 12,237,144 | ||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022 (2) | 4,590,000 | 4,621,940 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 5,850,000 | 5,857,295 | ||||||||||
Total Asset Backed Securities | 111,006,738 | 2.6 | % | |||||||||
Total Long-Term Investments (Cost $4,062,831,595) | 4,175,090,347 | 98.6 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 2.32% (5) | 61,501,251 | 61,501,251 | ||||||||||
Total Short-Term Investment (Cost $61,501,251) | 61,501,251 | 1.5 | % | |||||||||
Total Investments (Cost $4,124,332,846) | 4,236,591,598 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (5,596,139 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,230,995,459 | 100.0 | % |
Notes to Schedule of Investments | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $793,610,994, which represents 18.76% 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, 2019. |
(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, 2019. |
(5) | Seven-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, 2019. |
(8) | Security in default. |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 1,888,622,697 | $ | – | $ | 1,888,622,697 | ||||||||
Other Government Related Securities | – | 34,096,881 | – | 34,096,881 | ||||||||||||
Corporate Bonds | – | 1,775,273,763 | – | 1,775,273,763 | ||||||||||||
Municipal Bonds | – | 37,950,223 | – | 37,950,223 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 40,868 | – | 40,868 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 69,123,532 | – | 69,123,532 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 118,786,323 | – | 118,786,323 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 140,189,322 | – | 140,189,322 | ||||||||||||
Asset Backed Securities | – | 111,006,738 | – | 111,006,738 | ||||||||||||
Total Long-Term Investments | – | 4,175,090,347 | – | 4,175,090,347 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 61,501,251 | – | – | 61,501,251 | ||||||||||||
Total Short-Term Investment | 61,501,251 | – | – | 61,501,251 | ||||||||||||
Total Investments | $ | 61,501,251 | $ | 4,175,090,347 | $ | – | $ | 4,236,591,598 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications from the prior year's annual report. See the Fund's Valuation Policy in Note 2a to the financial statements. |
Baird Aggregate Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 94,925,000 | $ | 94,984,328 | ||||||||
1.875%, 03/31/2022 | 1,200,700,000 | 1,205,999,962 | ||||||||||
2.500%, 05/15/2024 | 417,950,000 | 432,300,706 | ||||||||||
2.250%, 11/15/2025 | 511,600,000 | 523,930,358 | ||||||||||
2.000%, 11/15/2026 | 173,300,000 | 174,620,059 | ||||||||||
2.250%, 11/15/2027 | 309,050,000 | 316,389,938 | ||||||||||
3.125%, 11/15/2028 | 161,675,000 | 177,330,951 | ||||||||||
3.500%, 02/15/2039 | 368,530,900 | 437,760,004 | ||||||||||
2.875%, 05/15/2043 | 802,075,000 | 857,844,277 | ||||||||||
2.500%, 02/15/2045 | 496,500,000 | 494,618,732 | ||||||||||
Total U.S. Treasury Securities | 4,715,779,315 | 22.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2015) Australia Pty Ltd., | ||||||||||||
2.625%, 05/05/2020 (1) | 14,500,000 | 14,521,603 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
4.875%, 01/15/2024 (1)(2) | 3,423,000 | 3,535,993 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 6,107,000 | 6,425,908 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020 (1) | 11,000,000 | 10,997,360 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
2.000%, 04/23/2020 (1)(2) | 7,000,000 | 6,981,928 | ||||||||||
Korea Development Bank, | ||||||||||||
2.250%, 05/18/2020 (1) | 2,000,000 | 1,999,826 | ||||||||||
Korea Gas Corp., | ||||||||||||
4.250%, 11/02/2020 (1)(2) | 2,321,000 | 2,377,725 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037 (1) | 7,567,000 | 10,063,080 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
5.500%, 01/21/2021 (1) | 5,600,000 | 5,664,400 | ||||||||||
4.875%, 01/24/2022 (1) | 4,000,000 | 3,990,000 | ||||||||||
4.500%, 01/23/2026 (1) | 2,500,000 | 2,295,450 | ||||||||||
6.625%, 06/15/2035 | 893,000 | 824,909 | ||||||||||
6.350%, 02/12/2048 (1) | 8,500,000 | 7,297,250 | ||||||||||
Saudi Arabian Oil Co.: | ||||||||||||
4.250%, 04/16/2039 (1)(2) | 6,000,000 | 6,074,229 | ||||||||||
4.375%, 04/16/2049 (1)(2) | 5,000,000 | 5,070,524 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,603,844 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 15,000,000 | 14,999,607 | ||||||||||
3.250%, 04/28/2025 (1)(2) | 10,000,000 | 10,197,337 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026 (1)(2) | 13,450,000 | 13,778,933 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd, | ||||||||||||
2.250%, 09/13/2020 (1)(2) | 9,125,000 | 9,103,599 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
3.000%, 04/12/2022 (1)(2) | 15,000,000 | 15,130,054 | ||||||||||
Syngenta Finance NV, | ||||||||||||
4.441%, 04/24/2023 (1)(2) | 10,000,000 | 10,395,301 | ||||||||||
Total Other Government Related Securities | 163,328,860 | 0.8 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories: | ||||||||||||
4.750%, 11/30/2036 | 8,949,000 | 10,572,952 | ||||||||||
4.900%, 11/30/2046 | 4,700,000 | 5,808,068 | ||||||||||
AbbVie, Inc.: | ||||||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,499,095 | ||||||||||
4.500%, 05/14/2035 | 9,000,000 | 9,284,340 | ||||||||||
4.300%, 05/14/2036 | 6,000,000 | 6,013,736 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024 (1) | 12,067,000 | 12,526,205 | ||||||||||
3.800%, 03/15/2025 (1) | 16,425,000 | 17,045,416 | ||||||||||
4.550%, 03/15/2035 (1) | 8,000,000 | 8,077,434 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 3,749,000 | 3,802,859 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 7,000,000 | 7,082,268 | ||||||||||
Allergan Finance LLC, | ||||||||||||
3.250%, 10/01/2022 | 17,863,000 | 18,084,652 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 12,300,000 | 13,066,579 | ||||||||||
Anadarko Finance Co., | ||||||||||||
7.500%, 05/01/2031 (1) | 7,170,000 | 9,508,857 | ||||||||||
Analog Devices, Inc., | ||||||||||||
3.125%, 12/05/2023 | 10,000,000 | 10,231,333 | ||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp., | ||||||||||||
5.250%, 01/15/2025 | 4,276,000 | 4,524,562 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 4,075,000 | 4,625,965 | ||||||||||
4.375%, 04/15/2038 | 7,000,000 | 7,389,291 | ||||||||||
5.450%, 01/23/2039 | 20,000,000 | 23,801,299 | ||||||||||
4.900%, 02/01/2046 | 10,000,000 | 11,134,317 | ||||||||||
AP Moller - Maersk A/S: | �� | |||||||||||
3.875%, 09/28/2025 (1)(2) | 1,900,000 | 1,912,211 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 8,000,000 | 8,115,111 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,704,518 | ||||||||||
ArcelorMittal: | ||||||||||||
6.250%, 02/25/2022 (1) | 19,100,000 | 20,721,732 | ||||||||||
6.125%, 06/01/2025 (1) | 2,000,000 | 2,273,614 | ||||||||||
4.550%, 03/11/2026 (1) | 9,000,000 | 9,512,993 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 5,000,000 | 5,280,784 | ||||||||||
3.400%, 05/15/2025 | 23,200,000 | 23,849,723 | ||||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,281,913 | ||||||||||
3.875%, 01/15/2026 | 7,000,000 | 7,319,381 | ||||||||||
4.125%, 02/17/2026 | 7,650,000 | 8,137,630 | ||||||||||
2.950%, 07/15/2026 | 6,250,000 | 6,206,319 | ||||||||||
3.800%, 02/15/2027 | 6,300,000 | 6,556,249 | ||||||||||
5.250%, 03/01/2037 | 10,000,000 | 11,223,018 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 10,778,358 | ||||||||||
6.375%, 03/01/2041 | 11,764,000 | 14,619,273 | ||||||||||
4.800%, 06/15/2044 | 1,375,000 | 1,451,339 | ||||||||||
4.750%, 05/15/2046 | 5,000,000 | 5,280,072 | ||||||||||
5.150%, 11/15/2046 | 10,599,000 | 11,719,805 | ||||||||||
5.150%, 02/15/2050 | 27,500,000 | 30,362,964 | ||||||||||
Baxalta, Inc., | ||||||||||||
2.875%, 06/23/2020 | 1,489,000 | 1,493,454 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
4.250%, 12/15/2025 (2) | 14,440,000 | 15,278,646 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019 (2) | 10,000,000 | 9,986,882 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.675%, 12/15/2019 | 4,007,000 | 4,008,266 | ||||||||||
3.250%, 11/12/2020 | 7,000,000 | 7,065,730 | ||||||||||
3.363%, 06/06/2024 | 6,300,000 | 6,488,572 | ||||||||||
3.734%, 12/15/2024 | 4,000,000 | 4,195,766 | ||||||||||
4.875%, 05/15/2044 | 10,815,000 | 11,634,084 | ||||||||||
Bell Canada, Inc., | ||||||||||||
4.464%, 04/01/2048 (1) | 1,225,000 | 1,339,924 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 17,936,000 | 19,128,469 | ||||||||||
5.950%, 06/01/2026 | 22,721,000 | 25,279,562 | ||||||||||
4.450%, 07/15/2027 | 7,000,000 | 7,157,532 | ||||||||||
4.800%, 05/03/2029 | 10,000,000 | 10,436,935 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 6,000,000 | 5,999,390 | ||||||||||
Bristol-Myers Squibb Co., | ||||||||||||
4.125%, 06/15/2039 (2) | 9,150,000 | 9,867,488 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.625%, 10/15/2024 (2) | 19,075,000 | 19,169,819 | ||||||||||
3.125%, 01/15/2025 | 12,000,000 | 11,727,681 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 12,235,000 | 12,349,041 | ||||||||||
3.000%, 09/25/2022 | 15,000,000 | 15,071,296 | ||||||||||
3.250%, 08/15/2026 | 11,550,000 | 11,165,817 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,000,000 | 3,352,649 | ||||||||||
Campbell Soup Co.: | ||||||||||||
3.950%, 03/15/2025 | 10,325,000 | 10,740,550 | ||||||||||
4.800%, 03/15/2048 | 7,000,000 | 7,083,444 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
6.500%, 02/15/2037 (1) | 982,000 | 1,225,084 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.500%, 12/01/2024 | 5,000,000 | 5,115,888 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
3.500%, 05/08/2024 | 10,640,000 | 10,922,259 | ||||||||||
Celgene Corp.: | ||||||||||||
3.550%, 08/15/2022 | 6,450,000 | 6,679,068 | ||||||||||
3.250%, 02/20/2023 | 6,175,000 | 6,329,863 | ||||||||||
4.000%, 08/15/2023 | 2,477,000 | 2,617,645 | ||||||||||
Celulosa Arauco y Constitucion SA, | ||||||||||||
3.875%, 11/02/2027 (1) | 12,000,000 | 12,165,120 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 21,000,000 | 21,073,500 | ||||||||||
5.150%, 03/15/2034 | 3,000,000 | 2,932,500 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 13,773,000 | 14,472,306 | ||||||||||
4.908%, 07/23/2025 | 44,750,000 | 48,582,541 | ||||||||||
6.384%, 10/23/2035 | 5,800,000 | 6,811,597 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.329%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 25,000,000 | 25,059,689 | ||||||||||
Cigna Corp.: | ||||||||||||
4.125%, 11/15/2025 (2) | 13,000,000 | 13,844,238 | ||||||||||
4.800%, 08/15/2038 (2) | 5,000,000 | 5,388,399 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.875%, 04/05/2022 (1)(2) | 8,000,000 | 8,078,628 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.200%, 01/15/2024 | 2,450,000 | 2,549,589 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 14,575,000 | 14,673,259 | ||||||||||
4.500%, 06/01/2025 | 6,199,000 | 6,671,416 | ||||||||||
5.800%, 06/01/2045 | 10,776,000 | 12,653,971 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 5,712,000 | 6,407,660 | ||||||||||
3.200%, 07/15/2036 | 6,000,000 | 5,827,931 | ||||||||||
3.969%, 11/01/2047 | 8,622,000 | 9,030,962 | ||||||||||
4.950%, 10/15/2058 | 10,000,000 | 12,206,390 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 332,000 | 340,435 | ||||||||||
9.750%, 03/01/2021 | 4,548,000 | 4,999,525 | ||||||||||
7.125%, 10/01/2026 | 6,441,000 | 7,771,498 | ||||||||||
7.000%, 10/01/2028 | 4,300,000 | 5,307,226 | ||||||||||
5.300%, 11/01/2038 | 5,000,000 | 5,423,660 | ||||||||||
ConocoPhillips Co., | ||||||||||||
3.418%, 05/15/2022 (3 Month LIBOR USD + 0.900%) (3) | 8,425,000 | 8,536,056 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 9,000,000 | 8,752,185 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.850%, 02/01/2025 (2) | 4,725,000 | 4,939,331 | ||||||||||
3.350%, 09/15/2026 (2) | 4,450,000 | 4,493,588 | ||||||||||
4.800%, 02/01/2035 (2) | 14,000,000 | 14,184,838 | ||||||||||
8.375%, 03/01/2039 (2) | 19,011,000 | 26,018,663 | ||||||||||
CSX Corp., | ||||||||||||
4.650%, 03/01/2068 | 9,000,000 | 9,695,029 | ||||||||||
CVS Health Corp.: | ||||||||||||
4.780%, 03/25/2038 | 33,000,000 | 34,424,740 | ||||||||||
5.050%, 03/25/2048 | 19,300,000 | 20,556,801 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
1.500%, 07/05/2019 (2) | 10,700,000 | 10,698,823 | ||||||||||
3.400%, 02/22/2022 (2) | 6,550,000 | 6,683,194 | ||||||||||
Danone SA, | ||||||||||||
2.589%, 11/02/2023 (1)(2) | 19,600,000 | 19,696,144 | ||||||||||
Dell Technologies, Inc., | ||||||||||||
4.000%, 07/15/2024 (2) | 27,450,000 | 28,168,104 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 5,661,000 | 8,151,695 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 50,575,000 | 52,114,525 | ||||||||||
5.450%, 06/15/2023 (2) | 15,043,000 | 16,213,221 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,308,741 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 10,000,000 | 11,065,599 | ||||||||||
5.319%, 11/15/2038 | 29,000,000 | 34,051,037 | ||||||||||
DXC Technology Co.: | ||||||||||||
3.470%, 03/01/2021 (3 Month LIBOR USD + 0.950%) (3) | 6,153,000 | 6,153,066 | ||||||||||
4.250%, 04/15/2024 | 49,525,000 | 51,894,719 | ||||||||||
4.750%, 04/15/2027 | 21,312,000 | 22,674,431 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
4.272%, 08/28/2023 (2) | 10,000,000 | 10,495,608 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
3.900%, 05/15/2024 | 5,000,000 | 5,066,466 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,323,172 | ||||||||||
7.375%, 10/15/2045 | 20,000,000 | 29,381,689 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 (1) | 20,000,000 | 20,486,218 | ||||||||||
Energy Transfer Operating LP, | ||||||||||||
5.800%, 06/15/2038 | 11,347,000 | 12,626,747 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.150%, 10/01/2020 | 10,000,000 | 10,171,848 | ||||||||||
4.050%, 03/15/2025 | 26,585,000 | 27,673,566 | ||||||||||
6.050%, 06/01/2041 | 1,311,000 | 1,467,881 | ||||||||||
6.500%, 02/01/2042 | 5,621,000 | 6,644,813 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 19,100,089 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025 (1) | 4,000,000 | 2,940,000 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
3.700%, 02/15/2026 | 8,350,000 | 8,837,414 | ||||||||||
5.750%, 03/01/2035 | 4,930,000 | 5,541,933 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 10,405,000 | 10,819,722 | ||||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,987,970 | ||||||||||
4.125%, 12/01/2026 | 10,000,000 | 9,673,368 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019 (2) | 4,000,000 | 3,995,271 | ||||||||||
3.300%, 12/01/2026 (2) | 20,225,000 | 20,495,731 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
3.300%, 02/25/2021 | 2,350,000 | 2,381,200 | ||||||||||
4.750%, 11/15/2021 | 5,000,000 | 5,249,788 | ||||||||||
3.900%, 02/15/2022 | 10,000,000 | 10,333,161 | ||||||||||
3.050%, 11/30/2022 | 10,000,000 | 10,154,827 | ||||||||||
3.000%, 07/15/2023 | 5,512,000 | 5,579,638 | ||||||||||
3.500%, 06/15/2024 | 9,000,000 | 9,268,550 | ||||||||||
FedEx Corp., | ||||||||||||
4.950%, 10/17/2048 | 15,000,000 | 16,380,618 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 11,000,000 | 11,491,678 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 5,577,000 | 5,659,383 | ||||||||||
3.500%, 04/15/2023 | 12,188,000 | 12,598,353 | ||||||||||
3.875%, 06/05/2024 | 582,000 | 615,254 | ||||||||||
4.500%, 08/15/2046 | 17,040,000 | 17,955,243 | ||||||||||
4.750%, 05/15/2048 | 15,000,000 | 16,742,131 |
Fiserv, Inc.: | ||||||||||||
2.700%, 06/01/2020 | 10,000,000 | 10,020,139 | ||||||||||
3.500%, 10/01/2022 | 5,410,000 | 5,574,621 | ||||||||||
3.200%, 07/01/2026 | 11,650,000 | 11,890,923 | ||||||||||
4.200%, 10/01/2028 | 5,000,000 | 5,412,902 | ||||||||||
4.400%, 07/01/2049 | 3,500,000 | 3,682,249 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 45,220,000 | 46,948,509 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 5,000,000 | 4,983,790 | ||||||||||
4.375%, 05/10/2043 (1) | 1,874,000 | 2,027,203 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.597%, 11/04/2019 | 10,000,000 | 9,994,476 | ||||||||||
3.200%, 01/15/2021 | 25,000,000 | 25,077,311 | ||||||||||
3.336%, 03/18/2021 | 7,500,000 | 7,538,512 | ||||||||||
3.339%, 03/28/2022 | 5,000,000 | 5,019,606 | ||||||||||
2.979%, 08/03/2022 | 34,690,000 | 34,322,197 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 24,000,000 | 25,097,429 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 5,125,000 | 5,114,835 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 14,530,000 | 15,474,450 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 14,200,000 | 14,057,506 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 1,432,000 | 1,428,149 | ||||||||||
5.550%, 05/04/2020 | 1,585,000 | 1,621,549 | ||||||||||
4.650%, 10/17/2021 | 1,534,000 | 1,598,275 | ||||||||||
3.150%, 09/07/2022 | 11,538,000 | 11,685,495 | ||||||||||
3.100%, 01/09/2023 | 2,850,000 | 2,875,200 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 6,800,000 | 6,796,294 | ||||||||||
2.650%, 04/13/2020 | 3,500,000 | 3,499,051 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,970,329 | ||||||||||
4.200%, 03/01/2021 | 30,000,000 | 30,665,781 | ||||||||||
4.375%, 09/25/2021 | 2,675,000 | 2,761,137 | ||||||||||
3.450%, 01/14/2022 | 5,000,000 | 5,071,411 | ||||||||||
3.150%, 06/30/2022 | 6,000,000 | 6,036,658 | ||||||||||
5.100%, 01/17/2024 | 12,000,000 | 12,832,320 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
2.539%, 11/15/2019 (2) | 19,125,000 | 19,126,082 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
4.600%, 09/01/2035 | 4,600,000 | 5,177,655 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 13,691,000 | 14,234,122 | ||||||||||
4.625%, 04/29/2024 (2) | 30,620,000 | 32,326,556 | ||||||||||
4.000%, 04/16/2025 (2) | 4,450,000 | 4,550,570 | ||||||||||
4.000%, 03/27/2027 (2) | 25,550,000 | 25,799,756 | ||||||||||
3.875%, 10/27/2027 (2) | 2,000,000 | 1,994,840 | ||||||||||
4.875%, 03/12/2029 (2) | 11,000,000 | 11,590,998 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 17,505,000 | 18,111,654 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 18,220,000 | 18,800,981 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 7,400,000 | 7,752,166 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 25,000,000 | 25,614,750 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,733,928 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 5,000,000 | 5,390,937 | ||||||||||
Halliburton Co., | ||||||||||||
3.800%, 11/15/2025 | 9,000,000 | 9,436,781 | ||||||||||
Harris Corp.: | ||||||||||||
2.700%, 04/27/2020 | 4,000,000 | 4,004,104 | ||||||||||
3.832%, 04/27/2025 | 5,000,000 | 5,259,318 | ||||||||||
HCA, Inc., | ||||||||||||
5.250%, 04/15/2025 | 30,686,000 | 33,998,786 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.100%, 10/04/2019 (2) | 11,000,000 | 10,984,576 | ||||||||||
3.600%, 10/15/2020 | 10,000,000 | 10,131,580 | ||||||||||
4.400%, 10/15/2022 | 15,150,000 | 15,980,732 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
6.000%, 12/30/2019 (1)(2) | 1,232,000 | 1,248,951 | ||||||||||
Hubbell, Inc., | ||||||||||||
3.150%, 08/15/2027 | 11,700,000 | 11,525,543 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 20,000,000 | 21,182,251 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
5.750%, 09/11/2019 (1)(2) | 9,150,000 | 9,202,521 | ||||||||||
3.625%, 10/31/2024 (1)(2) | 7,850,000 | 8,198,505 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.000%, 07/01/2019 (2) | 8,600,000 | 8,600,000 | ||||||||||
2.750%, 09/18/2020 (2) | 6,000,000 | 6,004,703 | ||||||||||
3.000%, 03/18/2021 (2) | 15,000,000 | 15,079,370 | ||||||||||
3.750%, 07/08/2021 (2) | 12,950,000 | 13,207,103 | ||||||||||
3.950%, 02/01/2022 (2) | 17,222,000 | 17,678,855 | ||||||||||
3.100%, 04/05/2022 (2) | 21,255,000 | 21,366,822 | ||||||||||
3.400%, 06/20/2024 (2) | 8,000,000 | 8,039,437 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 5,150,000 | 5,146,422 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA: | ||||||||||||
2.625%, 05/01/2020 (1) | 2,650,000 | 2,651,422 | ||||||||||
4.500%, 03/21/2049 (1) | 10,000,000 | 10,779,693 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 11,325,000 | 12,098,339 | ||||||||||
JM Smucker Co., | ||||||||||||
3.500%, 03/15/2025 | 5,000,000 | 5,171,747 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
6.000%, 01/15/2036 (1) | 892,000 | 1,052,498 | ||||||||||
4.500%, 02/15/2047 (1) | 4,400,000 | 4,469,018 | ||||||||||
4.950%, 07/02/2064 (1)(7) | 1,713,000 | 1,682,592 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 10,075,000 | 11,287,472 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 16,500,000 | 16,518,329 | ||||||||||
4.600%, 04/06/2027 | 37,450,000 | 40,042,887 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
4.300%, 05/01/2024 | 10,000,000 | 10,629,553 | ||||||||||
6.950%, 01/15/2038 | 14,008,000 | 17,960,544 | ||||||||||
6.500%, 09/01/2039 | 5,359,000 | 6,595,639 | ||||||||||
7.500%, 11/15/2040 | 6,617,000 | 8,852,295 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021 (2) | 4,155,000 | 4,309,402 | ||||||||||
5.625%, 11/15/2023 (2) | 5,017,000 | 5,555,108 | ||||||||||
7.800%, 08/01/2031 | 14,995,000 | 20,166,243 | ||||||||||
7.750%, 01/15/2032 | 19,102,000 | 26,153,914 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.800%, 07/02/2020 | 4,000,000 | 4,004,444 | ||||||||||
3.000%, 06/01/2026 | 10,000,000 | 9,730,871 | ||||||||||
5.000%, 07/15/2035 | 14,740,000 | 15,461,684 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,439,322 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 893,000 | 1,123,491 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 496,000 | 508,871 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 5,930,000 | 5,954,725 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.100%, 01/15/2023 | 5,000,000 | 5,129,794 | ||||||||||
Magellan Midstream Partners LP, | ||||||||||||
3.200%, 03/15/2025 | 5,000,000 | 5,054,814 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 10,825,000 | 10,937,311 | ||||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,656,207 | ||||||||||
4.750%, 09/15/2044 | 1,500,000 | 1,547,155 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 893,000 | 1,026,306 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.150%, 03/15/2022 | 3,975,000 | 4,086,565 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 19,981,000 | 20,339,576 | ||||||||||
4.333%, 06/01/2023 | 16,455,000 | 17,158,476 | ||||||||||
Microsoft Corp., | ||||||||||||
3.950%, 08/08/2056 | 12,000,000 | 13,353,420 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020 (2) | 23,093,000 | 23,104,231 | ||||||||||
3.900%, 04/15/2025 (2) | 3,090,000 | 3,192,312 | ||||||||||
Mosaic Co.: | ||||||||||||
4.250%, 11/15/2023 | 36,878,000 | 39,114,683 | ||||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,264,880 | ||||||||||
4.875%, 11/15/2041 | 5,000,000 | 5,032,155 | ||||||||||
MPLX LP: | ||||||||||||
4.500%, 07/15/2023 | 18,255,000 | 19,363,798 | ||||||||||
4.875%, 12/01/2024 | 12,165,000 | 13,233,494 | ||||||||||
4.875%, 06/01/2025 | 12,500,000 | 13,585,273 | ||||||||||
4.125%, 03/01/2027 | 11,700,000 | 12,247,067 | ||||||||||
4.500%, 04/15/2038 | 5,725,000 | 5,780,005 | ||||||||||
Mylan NV: | ||||||||||||
3.150%, 06/15/2021 (1) | 5,000,000 | 5,001,015 | ||||||||||
3.950%, 06/15/2026 (1) | 29,400,000 | 28,429,464 | ||||||||||
Mylan, Inc., | ||||||||||||
4.550%, 04/15/2028 | 10,000,000 | 9,806,886 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 15,000,000 | 15,220,253 | ||||||||||
Nutrien Ltd.: | ||||||||||||
3.375%, 03/15/2025 (1) | 5,125,000 | 5,253,491 | ||||||||||
4.200%, 04/01/2029 (1) | 7,000,000 | 7,569,304 | ||||||||||
nVent Finance Sarl, | ||||||||||||
4.550%, 04/15/2028 (1) | 23,725,000 | 24,105,012 | ||||||||||
ONEOK Partners LP, | ||||||||||||
5.000%, 09/15/2023 | 1,200,000 | 1,296,308 |
ONEOK, Inc., | ||||||||||||
7.500%, 09/01/2023 | 5,000,000 | 5,854,905 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 29,044,000 | 44,287,487 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 286,000 | 312,097 | ||||||||||
Pernod Ricard SA: | ||||||||||||
4.450%, 01/15/2022 (1)(2) | 331,000 | 346,356 | ||||||||||
4.250%, 07/15/2022 (1)(2) | 20,527,000 | 21,533,418 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
4.375%, 03/15/2026 (1) | 4,875,000 | 4,884,770 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 3,938,000 | 4,484,048 | ||||||||||
Phillips 66: | ||||||||||||
5.875%, 05/01/2042 | 6,000,000 | 7,426,222 | ||||||||||
4.875%, 11/15/2044 | 21,130,000 | 23,686,493 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 3,000,000 | 3,091,259 | ||||||||||
3.550%, 10/01/2026 | 7,000,000 | 7,127,191 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020 (1)(2) | 975,000 | 997,093 | ||||||||||
Qualcomm, Inc., | ||||||||||||
2.250%, 05/20/2020 | 3,600,000 | 3,598,827 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.875%, 03/01/2022 | 8,955,000 | 9,606,082 | ||||||||||
RELX Capital, Inc., | ||||||||||||
4.000%, 03/18/2029 | 10,500,000 | 11,113,161 | ||||||||||
Republic Services, Inc., | ||||||||||||
5.500%, 09/15/2019 | 7,400,000 | 7,441,269 | ||||||||||
Rio Tinto Alcan, Inc., | ||||||||||||
5.750%, 06/01/2035 (1) | 446,000 | 556,643 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,785,000 | 1,814,006 | ||||||||||
Rockwell Collins, Inc., | ||||||||||||
4.350%, 04/15/2047 | 9,175,000 | 10,025,830 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 17,500,000 | 19,601,264 | ||||||||||
5.875%, 06/30/2026 | 45,000,000 | 51,423,085 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.750%, 10/24/2023 (1)(2)(8) | 4,463,000 | 3,542,551 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.750%, 06/01/2023 (1) | 7,500,000 | 7,739,496 | ||||||||||
Shell International Finance BV: | ||||||||||||
3.250%, 05/11/2025 (1) | 5,725,000 | 6,006,573 | ||||||||||
4.125%, 05/11/2035 (1) | 10,000,000 | 11,116,482 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 4,000,000 | 4,266,381 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023 (1) | 26,223,000 | 26,479,343 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027 (1)(2) | 1,339,000 | 1,679,200 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 6,000,000 | 5,914,269 | ||||||||||
3.350%, 02/01/2022 (2) | 30,802,000 | 30,725,278 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020 (2) | 15,088,000 | 15,233,174 | ||||||||||
4.450%, 12/03/2025 (2) | 43,329,000 | 46,143,264 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
4.500%, 03/15/2045 | 7,000,000 | 7,395,498 | ||||||||||
Stryker Corp., | ||||||||||||
2.625%, 03/15/2021 | 6,225,000 | 6,251,813 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.900%, 07/15/2026 | 12,000,000 | 12,253,772 | ||||||||||
5.400%, 10/01/2047 | 7,425,000 | 7,886,126 | ||||||||||
Sysco Corp., | ||||||||||||
3.300%, 07/15/2026 | 11,550,000 | 11,856,350 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 31,115,000 | 32,787,215 | ||||||||||
3.900%, 05/25/2027 | 10,327,000 | 10,511,524 | ||||||||||
Telecom Italia Capital SA, | ||||||||||||
7.200%, 07/18/2036 (1) | 5,475,000 | 6,036,187 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021 (1) | 8,830,000 | 9,252,500 | ||||||||||
4.665%, 03/06/2038 (1) | 4,000,000 | 4,157,296 | ||||||||||
5.213%, 03/08/2047 (1) | 7,225,000 | 7,965,345 | ||||||||||
4.895%, 03/06/2048 (1) | 12,550,000 | 13,253,587 | ||||||||||
5.520%, 03/01/2049 (1) | 10,375,000 | 12,017,942 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023 (1) | 25,000,000 | 21,625,000 | ||||||||||
3.150%, 10/01/2026 (1) | 15,000,000 | 11,625,000 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.000%, 04/15/2023 | 7,975,000 | 8,177,925 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.550%, 05/01/2037 | 893,000 | 1,031,772 | ||||||||||
6.750%, 06/15/2039 | 2,767,000 | 3,209,822 | ||||||||||
Timken Co.: | ||||||||||||
3.875%, 09/01/2024 | 2,000,000 | 2,065,915 | ||||||||||
4.500%, 12/15/2028 | 6,550,000 | 6,800,014 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||||||
7.250%, 12/01/2026 | 3,500,000 | 4,362,757 | ||||||||||
4.600%, 03/15/2048 | 5,150,000 | 5,464,772 | ||||||||||
TTX Co.: | ||||||||||||
3.600%, 01/15/2025 (2) | 5,000,000 | 5,256,172 | ||||||||||
3.900%, 02/01/2045 (2) | 10,250,000 | 10,420,127 | ||||||||||
4.600%, 02/01/2049 (2) | 8,325,000 | 9,526,528 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
5.100%, 09/23/2048 | 10,000,000 | 11,295,151 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
6.250%, 08/10/2026 (1) | 7,000,000 | 7,951,650 | ||||||||||
8.250%, 01/17/2034 (1) | 8,526,000 | 11,137,087 | ||||||||||
6.875%, 11/21/2036 (1) | 3,483,000 | 4,183,954 | ||||||||||
6.875%, 11/10/2039 (1) | 16,643,000 | 19,974,929 | ||||||||||
Valero Energy Corp.: | ||||||||||||
4.000%, 04/01/2029 | 15,475,000 | 16,201,732 | ||||||||||
6.625%, 06/15/2037 | 2,100,000 | 2,660,526 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.375%, 12/15/2026 | 10,000,000 | 10,729,247 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 8,325,000 | 8,829,557 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.329%, 09/21/2028 | 3,077,000 | 3,409,920 | ||||||||||
4.500%, 08/10/2033 | 16,325,000 | 18,391,204 | ||||||||||
4.272%, 01/15/2036 | 8,148,000 | 8,825,120 | ||||||||||
5.250%, 03/16/2037 | 28,793,000 | 34,440,218 | ||||||||||
4.812%, 03/15/2039 | 36,839,000 | 42,351,288 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030 (1) | 3,100,000 | 4,186,323 | ||||||||||
5.000%, 05/30/2038 (1) | 6,800,000 | 7,397,077 | ||||||||||
4.375%, 02/19/2043 (1) | 15,554,000 | 15,285,470 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 8,845,000 | 9,129,240 | ||||||||||
4.250%, 11/13/2023 (2) | 17,350,000 | 18,264,187 | ||||||||||
Vulcan Materials Co., | ||||||||||||
4.700%, 03/01/2048 | 3,446,000 | 3,378,408 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,774,111 | ||||||||||
3.450%, 11/15/2026 | 19,315,000 | 18,873,934 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,511,515 | ||||||||||
3.800%, 11/18/2024 | 5,934,000 | 6,164,111 | ||||||||||
4.500%, 11/18/2034 | 4,750,000 | 4,879,316 | ||||||||||
4.800%, 11/18/2044 | 8,520,000 | 8,559,579 | ||||||||||
Walt Disney Co.: | ||||||||||||
7.300%, 04/30/2028 (2) | 6,350,000 | 8,430,117 | ||||||||||
6.150%, 03/01/2037 (2) | 2,570,000 | 3,491,631 | ||||||||||
6.750%, 01/09/2038 (2) | 5,650,000 | 8,010,240 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.450%, 06/15/2029 | 5,000,000 | 5,270,358 | ||||||||||
Western Gas Partners LP: | ||||||||||||
4.000%, 07/01/2022 | 10,463,000 | 10,599,048 | ||||||||||
3.950%, 06/01/2025 | 8,000,000 | 7,954,435 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 143,000 | 152,168 | ||||||||||
8.200%, 01/15/2030 | 7,963,000 | 10,733,079 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
3.700%, 01/15/2023 | 3,690,000 | 3,813,688 | ||||||||||
4.550%, 06/24/2024 | 5,000,000 | 5,387,713 | ||||||||||
8.750%, 03/15/2032 | 4,000,000 | 5,693,411 | ||||||||||
Williams Partners LP: | ||||||||||||
3.600%, 03/15/2022 | 10,176,000 | 10,442,280 | ||||||||||
4.500%, 11/15/2023 | 7,310,000 | 7,806,079 | ||||||||||
6.300%, 04/15/2040 | 2,767,000 | 3,361,193 | ||||||||||
4.850%, 03/01/2048 | 7,000,000 | 7,486,752 | ||||||||||
Woodside Finance Ltd.: | ||||||||||||
3.650%, 03/05/2025 (1)(2) | 12,300,000 | 12,624,788 | ||||||||||
4.500%, 03/04/2029 (1)(2) | 10,000,000 | 10,566,929 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.000%, 09/15/2024 | 10,000,000 | 10,096,359 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 13,965,000 | 14,046,823 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
5.750%, 11/30/2039 | 9,850,000 | 11,230,271 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,648,369 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 5,145,000 | 5,210,266 | ||||||||||
3.250%, 02/01/2023 | 34,200,000 | 34,906,085 | ||||||||||
4.700%, 02/01/2043 | 3,568,000 | 4,030,912 | ||||||||||
Total Industrials | 4,106,858,283 | 20.0 | % |
Utilities | ||||||||||||
Ameren Corp., | ||||||||||||
2.700%, 11/15/2020 | 10,000,000 | 10,032,558 | ||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 5,000,000 | 5,187,062 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
2.400%, 02/01/2020 | 5,000,000 | 4,997,972 | ||||||||||
Duke Energy Corp., | ||||||||||||
2.650%, 09/01/2026 | 10,000,000 | 9,886,725 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 4,790,563 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024 (1)(2) | 19,175,000 | 19,708,184 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,000,000 | 7,055,445 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 22,790,000 | 22,894,010 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 8,000,000 | 7,886,721 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 4,565,000 | 5,805,984 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 34,392,000 | 35,786,371 | ||||||||||
Entergy Corp., | ||||||||||||
2.950%, 09/01/2026 | 13,075,000 | 13,096,626 | ||||||||||
Exelon Corp., | ||||||||||||
4.950%, 06/15/2035 | 3,500,000 | 3,916,615 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 4,909,000 | 5,095,149 | ||||||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||||||
2.000%, 01/27/2020 | 2,000,000 | 1,996,239 | ||||||||||
8.000%, 03/01/2032 | 4,659,000 | 6,781,071 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,750,000 | 11,716,054 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 3,575,000 | 3,648,379 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 713,509 | 794,594 | ||||||||||
Southern Co., | ||||||||||||
4.250%, 07/01/2036 | 5,525,000 | 5,706,794 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 1,785,000 | 1,856,374 | ||||||||||
Total Utilities | 188,639,490 | 0.9 | % |
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.450%, 06/04/2020 (1)(2) | 9,000,000 | 9,001,584 | ||||||||||
7.750%, 05/15/2023 (1)(2) | 7,200,000 | 8,242,073 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 44,316,000 | 47,433,187 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 9,000,000 | 9,691,682 | ||||||||||
AerCap Holdings N.V., | ||||||||||||
4.875%, 01/16/2024 (1) | 20,000,000 | 21,476,093 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 6,000,000 | 6,127,500 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 10,830,000 | 11,433,726 | ||||||||||
4.875%, 06/01/2022 | 17,698,000 | 18,973,140 | ||||||||||
4.125%, 02/15/2024 | 893,000 | 946,264 | ||||||||||
3.875%, 01/15/2035 | 4,875,000 | 4,855,268 | ||||||||||
6.820%, 11/15/2037 | 1,410,000 | 1,805,923 | ||||||||||
8.175%, 05/15/2058 (3 Month LIBOR USD + 4.195%) (3) | 893,000 | 1,143,040 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 223,000 | 264,528 | ||||||||||
Anthem, Inc.: | ||||||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,821,023 | ||||||||||
4.375%, 12/01/2047 | 8,650,000 | 9,236,364 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020 (1)(2) | 15,350,000 | 15,444,306 | ||||||||||
2.750%, 02/03/2021 (1)(2) | 3,000,000 | 3,015,083 | ||||||||||
3.400%, 03/19/2024 (1)(2) | 2,000,000 | 2,075,179 | ||||||||||
Aon PLC: | ||||||||||||
4.000%, 11/27/2023 (1) | 6,150,000 | 6,475,908 | ||||||||||
3.875%, 12/15/2025 (1) | 9,126,000 | 9,708,398 | ||||||||||
4.450%, 05/24/2043 (1) | 1,274,000 | 1,288,759 | ||||||||||
ASB Bank Ltd., | ||||||||||||
3.750%, 06/14/2023 (1)(2) | 10,000,000 | 10,418,586 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 44,423,000 | 47,010,709 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 13,000,000 | 13,336,013 | ||||||||||
5.179%, 11/19/2025 (1) | 14,000,000 | 15,226,613 | ||||||||||
4.379%, 04/12/2028 (1) | 13,400,000 | 14,260,463 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 29,000,000 | 28,968,390 | ||||||||||
3.300%, 01/11/2023 | 7,000,000 | 7,215,436 | ||||||||||
4.125%, 01/22/2024 | 15,000,000 | 16,042,960 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 16,000,000 | 16,608,934 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 15,000,000 | 15,370,106 | ||||||||||
3.500%, 04/19/2026 | 9,000,000 | 9,424,639 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,147,555 | ||||||||||
7.750%, 05/14/2038 | 1,138,000 | 1,679,535 | ||||||||||
Bank of Montreal, | ||||||||||||
3.100%, 04/13/2021 (1) | 12,500,000 | 12,692,744 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 10,000,000 | 10,091,922 | ||||||||||
4.500%, 12/16/2025 (1) | 8,500,000 | 9,150,456 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||||||
4.100%, 09/09/2023 (1)(2) | 2,911,000 | 3,089,196 | ||||||||||
3.750%, 03/10/2024 (1)(2) | 2,800,000 | 2,946,384 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.700%, 07/20/2022 (1)(2) | 5,000,000 | 5,036,348 | ||||||||||
3.750%, 07/20/2023 (1)(2) | 34,100,000 | 35,745,802 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 12,770,000 | 14,453,752 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 12,175,000 | 12,262,373 | ||||||||||
3.684%, 01/10/2023 (1) | 25,475,000 | 25,808,670 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,346,787 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 13,000,000 | 13,427,670 | ||||||||||
3.650%, 03/16/2025 (1) | 8,100,000 | 8,140,824 | ||||||||||
3.932%, 05/07/2025 (3 Month LIBOR USD + 1.610%) (1)(3) | 12,000,000 | 12,212,853 | ||||||||||
BB&T Corp., | ||||||||||||
2.625%, 06/29/2020 | 5,000,000 | 5,010,300 | ||||||||||
Berkshire Hathaway, Inc., | ||||||||||||
2.750%, 03/15/2023 | 14,675,000 | 14,912,083 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.375%, 05/21/2020 (1) | 10,000,000 | 9,999,829 | ||||||||||
3.500%, 03/01/2023 (1)(2) | 8,570,000 | 8,815,671 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,350,000 | 8,495,668 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.400%, 02/21/2020 (1)(2) | 7,000,000 | 7,004,485 | ||||||||||
2.750%, 03/02/2021 (1)(2) | 14,000,000 | 14,049,189 | ||||||||||
2.650%, 11/03/2022 (1)(2) | 20,350,000 | 20,404,274 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 20,000,000 | 20,631,496 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 07/15/2019 (1) | 7,925,000 | 7,924,366 | ||||||||||
5.700%, 10/22/2023 (1)(2) | 22,955,000 | 25,090,221 | ||||||||||
4.000%, 04/15/2024 (1) | 2,500,000 | 2,655,918 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 38,285,000 | 41,415,965 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 21,000,000 | 22,133,321 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 23,825,000 | 25,027,726 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
3.100%, 04/02/2024 (1) | 37,700,000 | 38,545,179 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.050%, 03/09/2022 | 4,000,000 | 4,062,247 | ||||||||||
3.200%, 01/30/2023 | 6,550,000 | 6,715,334 | ||||||||||
3.900%, 01/29/2024 | 4,550,000 | 4,781,788 | ||||||||||
Capital One NA: | ||||||||||||
2.400%, 09/05/2019 | 12,000,000 | 11,997,986 | ||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,993,115 | ||||||||||
3.375%, 02/15/2023 | 41,962,000 | 42,803,268 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 9,000,000 | 8,994,215 | ||||||||||
2.750%, 04/25/2022 | 8,675,000 | 8,754,529 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 12,200,000 | 12,408,545 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 20,350,000 | 20,612,443 | ||||||||||
3.950%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 7,000,000 | 7,129,082 | ||||||||||
4.044%, 06/01/2024 (3 Month LIBOR USD + 1.023%) (3) | 22,600,000 | 23,890,227 | ||||||||||
3.750%, 06/16/2024 | 1,000,000 | 1,054,562 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 5,650,000 | 5,836,334 | ||||||||||
3.700%, 01/12/2026 | 4,500,000 | 4,737,148 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 7,600,000 | 8,040,550 | ||||||||||
Citizens Bank NA, | ||||||||||||
2.450%, 12/04/2019 | 19,300,000 | 19,298,960 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 7,199,000 | 7,696,188 | ||||||||||
7.250%, 11/15/2023 | 4,000,000 | 4,691,277 | ||||||||||
4.500%, 03/01/2026 | 14,000,000 | 15,008,124 | ||||||||||
3.450%, 08/15/2027 | 9,550,000 | 9,717,453 | ||||||||||
3.900%, 05/01/2029 | 8,000,000 | 8,412,758 | ||||||||||
Comerica Bank: | ||||||||||||
2.500%, 06/02/2020 | 29,000,000 | 29,039,150 | ||||||||||
4.000%, 07/27/2025 | 10,000,000 | 10,579,885 | ||||||||||
Commonwealth Bank of Australia, | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 10,000,000 | 10,653,255 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 31,216,000 | 31,213,233 | ||||||||||
2.875%, 06/29/2022 | 8,000,000 | 8,067,630 | ||||||||||
3.875%, 04/10/2025 | 24,985,000 | 25,884,551 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023 (1) | 14,630,000 | 15,671,906 | ||||||||||
4.375%, 08/04/2025 (1) | 20,397,000 | 21,655,303 | ||||||||||
3.750%, 07/21/2026 (1) | 12,000,000 | 12,279,635 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 10,180,000 | 10,382,189 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 5,000,000 | 5,189,684 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 4,204,000 | 4,398,989 | ||||||||||
4.000%, 01/10/2033 (5 Year Swap Rate USD + 1.644%) (1)(2)(3) | 8,000,000 | 8,089,793 | ||||||||||
Credit Suisse AG: | ||||||||||||
5.300%, 08/13/2019 (1) | 1,406,000 | 1,410,464 | ||||||||||
5.400%, 01/14/2020 (1) | 5,000,000 | 5,073,033 | ||||||||||
3.625%, 09/09/2024 (1) | 4,325,000 | 4,555,795 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 17,000,000 | 17,356,265 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 8,325,000 | 8,735,531 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 8,900,000 | 9,395,600 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 11,000,000 | 11,339,941 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 14,550,000 | 15,089,395 | ||||||||||
4.550%, 04/17/2026 (1) | 2,000,000 | 2,175,486 | ||||||||||
Credit Suisse USA, Inc., | ||||||||||||
7.125%, 07/15/2032 | 5,063,000 | 7,208,865 |
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 12,000,000 | 12,170,313 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020 (1) | 5,300,000 | 5,277,521 | ||||||||||
2.950%, 08/20/2020 (1) | 575,000 | 570,857 | ||||||||||
3.125%, 01/13/2021 (1) | 1,625,000 | 1,607,581 | ||||||||||
3.150%, 01/22/2021 (1) | 3,000,000 | 2,977,375 | ||||||||||
4.250%, 10/14/2021 (1) | 36,125,000 | 36,622,673 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,308,153 | ||||||||||
3.300%, 11/16/2022 (1) | 22,175,000 | 21,798,315 | ||||||||||
3.700%, 05/30/2024 (1) | 10,000,000 | 9,719,718 | ||||||||||
Discover Bank: | ||||||||||||
3.350%, 02/06/2023 | 8,600,000 | 8,801,107 | ||||||||||
4.200%, 08/08/2023 | 20,000,000 | 21,224,070 | ||||||||||
3.450%, 07/27/2026 | 12,000,000 | 12,208,358 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 10,000,000 | 10,519,843 | ||||||||||
4.100%, 02/09/2027 | 9,150,000 | 9,531,179 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 6,000,000 | 6,027,547 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,078,000 | 29,426,582 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 5,612,000 | 5,618,431 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 4,600,000 | 4,813,556 | ||||||||||
Five Corners Funding Trust, | ||||||||||||
4.419%, 11/15/2023 (2) | 8,330,000 | 8,929,456 | ||||||||||
FMR LLC, | ||||||||||||
4.950%, 02/01/2033 (2) | 1,750,000 | 2,085,054 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 12,638,000 | 12,578,000 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.550%, 10/23/2019 | 2,700,000 | 2,701,001 | ||||||||||
2.350%, 11/15/2021 | 6,175,000 | 6,168,843 | ||||||||||
3.000%, 04/26/2022 | 20,000,000 | 20,191,250 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 12,000,000 | 12,129,061 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 8,000,000 | 8,077,365 | ||||||||||
4.125%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 5,000,000 | 5,134,000 | ||||||||||
3.850%, 07/08/2024 | 3,000,000 | 3,147,346 | ||||||||||
3.500%, 01/23/2025 | 3,000,000 | 3,103,684 | ||||||||||
3.750%, 05/22/2025 | 5,000,000 | 5,229,873 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 15,000,000 | 15,350,935 | ||||||||||
4.332%, 10/28/2027 (3 Month LIBOR USD + 1.750%) (3) | 10,000,000 | 10,203,428 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 6,775,000 | 6,996,996 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 10,000,000 | 10,725,084 | ||||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,323,652 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
3.400%, 04/25/2023 (2) | 6,950,000 | 7,199,379 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 2,000,000 | 2,321,455 | ||||||||||
4.850%, 01/24/2077 (2) | 22,227,000 | 25,115,054 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 23,170,000 | 26,508,797 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
5.125%, 04/15/2022 | 1,538,000 | 1,648,899 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 4,378,000 | 4,507,400 | ||||||||||
HSBC Bank PLC, | ||||||||||||
7.650%, 05/01/2025 (1) | 2,525,000 | 3,021,022 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
7.000%, 01/15/2039 | 4,200,000 | 5,918,803 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,015,531 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 15,600,000 | 15,889,902 | ||||||||||
3.600%, 05/25/2023 (1) | 2,275,000 | 2,366,842 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 6,000,000 | 6,277,157 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 26,550,000 | 27,662,723 | ||||||||||
4.292%, 09/12/2026 (3 Month LIBOR USD + 1.348%) (1)(3) | 7,450,000 | 7,925,466 | ||||||||||
4.375%, 11/23/2026 (1) | 10,000,000 | 10,560,487 | ||||||||||
3.970%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 2,000,000 | 2,089,112 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.350%, 03/05/2020 | 3,000,000 | 3,000,120 | ||||||||||
5.000%, 09/27/2020 | 3,716,000 | 3,826,080 | ||||||||||
9.125%, 05/15/2021 | 625,000 | 695,114 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 7,600,000 | 7,694,185 | ||||||||||
2.300%, 01/14/2022 | 26,450,000 | 26,450,335 | ||||||||||
ING Bank NV: | ||||||||||||
2.500%, 10/01/2019 (1)(2) | 3,500,000 | 3,500,686 | ||||||||||
2.450%, 03/16/2020 (1)(2) | 9,225,000 | 9,234,228 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 47,525,000 | 52,573,608 | ||||||||||
Invesco Finance PLC: | ||||||||||||
3.125%, 11/30/2022 (1) | 5,902,000 | 6,036,071 | ||||||||||
3.750%, 01/15/2026 (1) | 4,900,000 | 5,110,574 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 23,475,000 | 24,179,051 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,817,506 | ||||||||||
4.850%, 01/15/2027 | 4,600,000 | 4,746,250 | ||||||||||
4.150%, 01/23/2030 | 10,000,000 | 9,585,991 | ||||||||||
6.250%, 01/15/2036 | 1,390,000 | 1,498,032 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 | 13,339,000 | 15,699,352 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
4.250%, 10/15/2020 | 886,000 | 907,872 | ||||||||||
2.550%, 03/01/2021 | 7,000,000 | 7,024,439 | ||||||||||
2.295%, 08/15/2021 | 18,000,000 | 17,973,587 | ||||||||||
3.811%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 15,000,000 | 15,226,725 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,000,000 | 15,551,582 | ||||||||||
3.125%, 01/23/2025 | 14,000,000 | 14,396,527 | ||||||||||
5.600%, 07/15/2041 | 4,106,000 | 5,332,038 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019 (1)(2) | 20,000,000 | 19,960,861 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 5,000,000 | 4,996,777 | ||||||||||
3.400%, 05/20/2026 | 18,965,000 | 19,456,524 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019 (1)(2) | 7,000,000 | 6,996,570 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 591,000 | 624,779 | ||||||||||
4.569%, 02/01/2029 (2) | 2,087,000 | 2,293,943 | ||||||||||
10.750%, 06/15/2088 (3 Month LIBOR USD + 7.120%) (2)(3) | 2,231,000 | 3,413,430 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 465,000 | 672,031 | ||||||||||
Life Storage LP, | ||||||||||||
3.500%, 07/01/2026 | 6,819,000 | 6,818,834 | ||||||||||
Lincoln National Corp., | ||||||||||||
4.632%, 04/20/2067 (3 Month LIBOR USD + 2.040%) (3) | 1,004,000 | 790,650 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 1,428,000 | 1,453,486 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 18,669,000 | 18,700,015 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 10,000,000 | 10,010,276 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 17,000,000 | 16,997,520 | ||||||||||
4.875%, 06/10/2025 (1)(2) | 17,600,000 | 18,809,581 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
7.625%, 08/13/2019 (1)(2) | 3,944,000 | 3,966,988 | ||||||||||
3.547%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 29,067,000 | 29,412,609 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 24,000,000 | 25,020,240 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
2.100%, 02/06/2020 | 10,850,000 | 10,837,357 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026 (1) | 10,000,000 | 10,781,889 | ||||||||||
5.375%, 03/04/2046 (1) | 5,150,000 | 6,304,143 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
5.875%, 08/01/2033 | 4,700,000 | 5,915,487 | ||||||||||
4.350%, 01/30/2047 | 3,450,000 | 3,740,895 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
8.875%, 06/01/2039 (2) | 8,124,000 | 13,327,066 | ||||||||||
4.500%, 04/15/2065 (2) | 3,000,000 | 3,236,134 | ||||||||||
4.900%, 04/01/2077 (2) | 11,175,000 | 13,059,908 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.563%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3) | 714,000 | 498,907 | ||||||||||
MetLife, Inc.: | ||||||||||||
6.500%, 12/15/2032 | 466,000 | 634,787 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,012,068 | ||||||||||
4.050%, 03/01/2045 | 12,375,000 | 13,397,446 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021 (1) | 8,738,000 | 8,822,161 | ||||||||||
2.190%, 09/13/2021 (1) | 12,400,000 | 12,335,986 | ||||||||||
2.665%, 07/25/2022 (1) | 9,000,000 | 9,024,942 | ||||||||||
3.455%, 03/02/2023 (1) | 10,650,000 | 10,949,233 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021 (1)(2) | 13,000,000 | 13,040,642 | ||||||||||
2.953%, 02/28/2022 (1) | 12,575,000 | 12,719,420 | ||||||||||
2.601%, 09/11/2022 (1) | 13,000,000 | 12,992,220 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 5,000,000 | 5,235,690 |
Morgan Stanley: | ||||||||||||
5.625%, 09/23/2019 | 1,941,000 | 1,954,462 | ||||||||||
2.650%, 01/27/2020 | 4,200,000 | 4,204,805 | ||||||||||
2.800%, 06/16/2020 | 5,000,000 | 5,023,252 | ||||||||||
2.500%, 04/21/2021 | 8,000,000 | 8,014,988 | ||||||||||
2.750%, 05/19/2022 | 20,000,000 | 20,209,821 | ||||||||||
3.981%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 8,000,000 | 8,153,040 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 6,455,000 | 6,729,493 | ||||||||||
3.875%, 04/29/2024 | 1,650,000 | 1,748,761 | ||||||||||
3.700%, 10/23/2024 | 4,000,000 | 4,220,116 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 12,000,000 | 12,495,002 | ||||||||||
3.772%, 01/24/2029 (3 Month LIBOR USD + 1.140%) (3) | 1,000,000 | 1,049,141 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
2.500%, 07/12/2026 (1) | 7,875,000 | 7,764,628 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 20,000,000 | 20,414,566 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 30,507,000 | 30,512,177 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 20,000,000 | 20,920,149 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 7,000,000 | 6,772,285 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 16,905,000 | 17,601,884 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 12,026,000 | 17,125,795 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 11,030,148 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 1,667,000 | 1,713,886 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 15,793,000 | 16,454,414 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 12,295,000 | 12,798,866 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 11,400,000 | 11,863,418 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 7,825,000 | 8,196,071 | ||||||||||
PNC Bank NA, | ||||||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,905,800 | ||||||||||
Pricoa Global Funding I, | ||||||||||||
2.550%, 11/24/2020 (2) | 14,000,000 | 14,054,391 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,860,000 | 1,899,441 | ||||||||||
3.125%, 05/15/2023 | 4,667,000 | 4,713,747 | ||||||||||
3.400%, 05/15/2025 | 16,000,000 | 16,538,818 | ||||||||||
4.300%, 11/15/2046 | 2,325,000 | 2,420,857 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
2.200%, 04/08/2020 (2) | 4,000,000 | 3,991,812 | ||||||||||
3.000%, 04/18/2026 (2) | 13,400,000 | 13,586,295 | ||||||||||
Protective Life Corp.: | ||||||||||||
7.375%, 10/15/2019 | 7,096,000 | 7,190,653 | ||||||||||
4.300%, 09/30/2028 (2) | 10,000,000 | 10,533,355 | ||||||||||
8.450%, 10/15/2039 | 2,650,000 | 3,947,967 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020 (2) | 8,000,000 | 8,045,869 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
3.878%, 03/27/2028 | 11,000,000 | 11,958,716 | ||||||||||
6.625%, 12/01/2037 | 5,000,000 | 6,937,402 | ||||||||||
3.935%, 12/07/2049 | 11,426,000 | 11,987,683 | ||||||||||
RBC USA Holdco Corp., | ||||||||||||
5.250%, 09/15/2020 | 2,025,000 | 2,096,337 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 25,000,000 | 25,270,769 | ||||||||||
2.750%, 08/14/2022 | 8,800,000 | 8,863,448 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020 (2) | 6,940,000 | 6,936,804 | ||||||||||
2.375%, 05/04/2020 (2) | 30,000,000 | 29,962,616 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 7,773,000 | 8,484,144 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 10,650,000 | 10,768,644 | ||||||||||
3.875%, 09/12/2023 (1) | 10,000,000 | 10,260,504 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 19,275,000 | 19,934,033 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 10,000,000 | 10,678,512 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 7,000,000 | 7,594,549 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 35,000,000 | 36,229,281 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.650%, 04/17/2020 | 2,000,000 | 1,999,445 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 4,866,000 | 4,873,980 | ||||||||||
3.125%, 01/08/2021 (1) | 2,600,000 | 2,611,940 | ||||||||||
3.571%, 01/10/2023 (1) | 5,000,000 | 5,086,970 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,250,000 | 5,578,124 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,060,068 | ||||||||||
Santander UK PLC, | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 21,921,000 | 23,118,924 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (1)(2) | 15,000,000 | 15,017,670 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 8,000,000 | 8,100,572 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021 (1)(2) | 10,225,000 | 10,225,189 | ||||||||||
3.250%, 01/12/2022 (1)(2) | 8,000,000 | 8,114,518 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 8,000,000 | 8,417,230 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 20,000,000 | 21,225,108 | ||||||||||
3.875%, 03/28/2024 (1) | 15,300,000 | 15,826,549 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,032,000 | 21,567,893 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019 (1)(2) | 14,000,000 | 13,988,380 | ||||||||||
2.250%, 04/17/2020 (1)(2) | 8,000,000 | 7,975,487 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 4,500,000 | 4,530,124 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 10,000,000 | 10,317,206 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 31,557,000 | 32,342,946 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 11,250,000 | 11,485,398 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 6,000,000 | 6,987,029 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 7,850,000 | 8,238,849 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020 (1) | 20,500,000 | 20,504,445 | ||||||||||
3.950%, 07/19/2023 (1) | 1,850,000 | 1,955,612 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.934%, 03/09/2021 (1) | 5,950,000 | 6,004,253 | ||||||||||
2.442%, 10/19/2021 (1) | 15,775,000 | 15,797,458 | ||||||||||
2.784%, 07/12/2022 (1) | 10,000,000 | 10,130,087 | ||||||||||
3.102%, 01/17/2023 (1) | 12,000,000 | 12,214,127 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 14,150,000 | 14,277,320 | ||||||||||
2.700%, 01/27/2022 | 12,800,000 | 12,893,396 | ||||||||||
3.300%, 05/15/2026 | 3,925,000 | 3,996,680 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.400%, 10/01/2020 (1) | 5,200,000 | 5,206,344 | ||||||||||
Swedbank AB, | ||||||||||||
2.200%, 03/04/2020 (1)(2) | 6,468,000 | 6,455,340 | ||||||||||
Synchrony Financial: | ||||||||||||
3.000%, 08/15/2019 | 1,212,000 | 1,212,181 | ||||||||||
3.750%, 08/15/2021 | 10,225,000 | 10,419,782 | ||||||||||
4.375%, 03/19/2024 | 1,538,000 | 1,610,501 | ||||||||||
4.250%, 08/15/2024 | 26,864,000 | 27,957,988 | ||||||||||
4.500%, 07/23/2025 | 23,127,000 | 24,279,421 | ||||||||||
3.950%, 12/01/2027 | 7,000,000 | 6,991,930 | ||||||||||
TD Ameritrade Holding Corp.: | ||||||||||||
2.950%, 04/01/2022 | 4,625,000 | 4,708,629 | ||||||||||
3.625%, 04/01/2025 | 7,000,000 | 7,358,712 | ||||||||||
Torchmark Corp.: | ||||||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,815,277 | ||||||||||
4.550%, 09/15/2028 | 5,000,000 | 5,462,560 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 27,305,000 | 29,042,557 | ||||||||||
6.125%, 08/15/2043 (1) | 15,671,000 | 18,803,648 | ||||||||||
UBS AG, | ||||||||||||
3.370%, 06/01/2020 (3 Month LIBOR USD + 0.850%) (1)(3) | 4,710,000 | 4,738,347 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 14,150,000 | 14,220,254 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 14,825,000 | 15,198,247 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 42,658,000 | 43,030,923 | ||||||||||
4.253%, 03/23/2028 (1)(2) | 17,150,000 | 18,485,241 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 21,875,000 | 22,238,706 | ||||||||||
3.650%, 06/15/2026 | 5,800,000 | 5,943,132 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019 (2) | 5,985,000 | 5,984,720 | ||||||||||
3.250%, 10/05/2020 (2) | 8,000,000 | 8,076,445 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.500%, 03/04/2021 | 5,000,000 | 5,010,905 | ||||||||||
3.069%, 01/24/2023 | 10,000,000 | 10,155,694 | ||||||||||
3.813%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,094,570 | ||||||||||
3.000%, 02/19/2025 | 5,000,000 | 5,084,270 | ||||||||||
3.000%, 04/22/2026 | 8,000,000 | 8,087,548 | ||||||||||
3.900%, 05/01/2045 | 5,000,000 | 5,371,008 | ||||||||||
Wells Fargo Bank NA, | ||||||||||||
5.850%, 02/01/2037 | 10,000,000 | 12,840,674 | ||||||||||
Westpac Banking Corp., | ||||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 8,350,000 | 8,645,056 | ||||||||||
Willis North America, Inc.: | ||||||||||||
7.000%, 09/29/2019 | 5,463,000 | 5,516,824 | ||||||||||
3.600%, 05/15/2024 | 9,000,000 | 9,296,290 | ||||||||||
5.050%, 09/15/2048 | 10,200,000 | 11,278,321 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,879,000 | 14,575,339 | ||||||||||
Total Financials | 3,775,843,810 | 18.3 | % | |||||||||
Total Corporate Bonds | 8,071,341,583 | 39.2 | % |
Municipal Bonds | ||||||||||||
Atlanta Independent School System, | ||||||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,285,131 | ||||||||||
California Housing Finance Agency: | ||||||||||||
3.656%, 02/01/2029 (Callable 08/01/2025) | 19,650,000 | 20,586,519 | ||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 9,255,000 | 9,230,844 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
7.155%, 03/01/2027 | 6,695,000 | 8,094,322 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 2,480,000 | 2,598,271 | ||||||||||
5.790%, 12/01/2022 | 6,355,000 | 6,367,202 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,724,439 | ||||||||||
County of Cuyahoga OH, | ||||||||||||
9.125%, 10/01/2023 | 895,000 | 1,012,236 | ||||||||||
Eaton Community City School District, | ||||||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,305,000 | 2,343,009 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/29/2019) | 3,150,000 | 3,194,667 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
3.500%, 01/01/2040 (Callable 07/01/2025) | 4,340,000 | 4,429,925 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
2.100%, 12/01/2038 (Callable 09/01/2024) | 3,715,775 | 3,611,993 | ||||||||||
Maryland Community Development Administration Housing Revenue, | ||||||||||||
3.160%, 09/01/2041 (Callable 09/01/2024) | 12,130,000 | 12,217,457 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.050%, 01/01/2021 | 750,000 | 759,923 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 960,000 | 976,771 | ||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025) | 5,420,000 | 5,552,194 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 2,320,000 | 2,316,079 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,456,100 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,377,870 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,718,048 | ||||||||||
Total Municipal Bonds | 104,853,000 | 0.5 | % |
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 12 | 12 | ||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 557 | 559 | ||||||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 164 | 167 | ||||||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 1,726 | 1,741 | ||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 1,599 | 1,620 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 430 | 435 | ||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 834 | 847 | ||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 3,520 | 3,624 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 46,946 | 48,683 | ||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 34,867 | 36,882 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 2,722 | 2,732 | ||||||||||
3.000%, 12/01/2026 | 804,355 | 823,650 | ||||||||||
2.500%, 04/01/2028 | 2,527,474 | 2,551,470 | ||||||||||
6.500%, 06/01/2029 | 106,906 | 119,480 | ||||||||||
3.000%, 04/01/2031 | 7,542,341 | 7,714,361 | ||||||||||
3.000%, 02/01/2032 | 68,718,974 | 70,330,390 | ||||||||||
3.500%, 05/01/2032 | 19,215,583 | 19,942,650 | ||||||||||
3.000%, 07/01/2032 | 16,616,047 | 17,006,179 | ||||||||||
3.500%, 07/01/2032 | 24,032,012 | 24,941,459 | ||||||||||
5.000%, 08/01/2033 | 4,646,424 | 5,047,461 | ||||||||||
3.500%, 01/01/2034 | 19,385,532 | 20,116,907 | ||||||||||
5.000%, 09/01/2035 | 9,799,777 | 10,721,783 | ||||||||||
5.500%, 01/01/2036 | 161,424 | 179,436 | ||||||||||
5.000%, 03/01/2036 | 4,227,366 | 4,626,256 | ||||||||||
6.000%, 12/01/2036 | 147,910 | 167,843 | ||||||||||
5.000%, 02/01/2038 | 2,323,659 | 2,541,545 | ||||||||||
5.500%, 05/01/2038 | 498,612 | 541,859 | ||||||||||
5.500%, 01/01/2039 | 10,279,812 | 11,424,899 | ||||||||||
4.500%, 11/01/2039 | 3,808,467 | 4,093,116 | ||||||||||
4.500%, 11/01/2039 | 4,358,375 | 4,682,960 | ||||||||||
4.500%, 12/01/2039 | 23,035,697 | 24,758,531 | ||||||||||
5.000%, 03/01/2040 | 901,341 | 980,191 | ||||||||||
4.500%, 08/01/2040 | 825,888 | 887,617 | ||||||||||
4.500%, 09/01/2040 | 3,095,648 | 3,327,043 | ||||||||||
4.000%, 01/01/2041 | 30,259,301 | 31,932,769 | ||||||||||
4.000%, 01/01/2041 | 15,452,215 | 16,305,534 | ||||||||||
4.500%, 03/01/2041 | 2,300,115 | 2,472,035 | ||||||||||
3.500%, 10/01/2041 | 9,600,932 | 9,922,860 | ||||||||||
4.000%, 03/01/2042 | 7,064,130 | 7,454,873 | ||||||||||
3.500%, 06/01/2042 | 4,847,451 | 5,035,855 | ||||||||||
3.500%, 07/01/2042 | 13,042,261 | 13,549,183 | ||||||||||
3.000%, 08/01/2042 | 17,115,283 | 17,420,799 | ||||||||||
3.000%, 10/01/2042 | 6,604,318 | 6,722,217 | ||||||||||
3.000%, 11/01/2042 | 35,771,345 | 36,497,119 | ||||||||||
3.500%, 12/01/2042 | 13,849,149 | 14,387,187 | ||||||||||
3.000%, 01/01/2043 | 12,867,299 | 13,029,915 | ||||||||||
3.000%, 01/01/2043 | 27,048,371 | 27,529,825 | ||||||||||
3.500%, 01/01/2043 | 21,468,732 | 22,302,938 | ||||||||||
3.000%, 02/01/2043 | 3,624,298 | 3,689,000 | ||||||||||
3.000%, 04/01/2043 | 9,049,901 | 9,211,467 | ||||||||||
3.000%, 04/01/2043 | 15,852,970 | 16,135,655 | ||||||||||
3.000%, 04/01/2043 | 5,656,300 | 5,771,270 | ||||||||||
3.500%, 04/01/2043 | 63,139,793 | 65,551,246 | ||||||||||
4.000%, 04/01/2043 | 19,344,194 | 20,687,737 | ||||||||||
3.500%, 05/01/2043 | 13,057,189 | 13,541,202 | ||||||||||
3.000%, 06/01/2043 | 18,613,269 | 18,931,155 | ||||||||||
3.000%, 08/01/2043 | 5,790,839 | 5,894,228 | ||||||||||
3.500%, 11/01/2043 | 10,183,506 | 10,578,521 | ||||||||||
3.500%, 01/01/2044 | 11,392,698 | 11,834,772 | ||||||||||
3.500%, 02/01/2044 | 40,616,948 | 42,191,514 | ||||||||||
4.000%, 03/01/2044 | 6,231,542 | 6,536,961 | ||||||||||
3.500%, 05/01/2044 | 41,434,474 | 43,172,866 | ||||||||||
4.000%, 05/01/2044 | 22,409,029 | 23,646,074 | ||||||||||
4.000%, 07/01/2044 | 5,222,504 | 5,473,118 | ||||||||||
3.500%, 10/01/2044 | 93,277,355 | 96,633,573 | ||||||||||
4.000%, 10/01/2044 | 12,375,849 | 13,044,010 | ||||||||||
3.500%, 01/01/2045 | 28,855,030 | 29,973,645 | ||||||||||
4.500%, 01/01/2045 | 34,789,868 | 37,444,191 | ||||||||||
3.500%, 06/01/2045 | 21,067,700 | 21,952,069 | ||||||||||
3.000%, 10/01/2045 | 41,094,719 | 41,828,035 | ||||||||||
4.000%, 10/01/2045 | 8,426,243 | 8,818,956 | ||||||||||
4.000%, 11/01/2045 | 16,925,164 | 17,713,970 | ||||||||||
3.500%, 01/01/2046 | 39,296,616 | 40,749,006 | ||||||||||
4.000%, 02/01/2046 | 18,728,819 | 19,605,047 | ||||||||||
4.000%, 04/01/2046 | 11,768,598 | 12,403,898 | ||||||||||
3.500%, 05/01/2046 | 11,236,633 | 11,587,873 | ||||||||||
3.000%, 08/01/2046 | 5,299,992 | 5,373,317 | ||||||||||
3.500%, 08/01/2046 | 35,174,263 | 36,643,948 | ||||||||||
3.000%, 10/01/2046 | 69,476,160 | 70,673,662 | ||||||||||
3.000%, 10/01/2046 (9) | 64,798,790 | 66,115,935 | ||||||||||
3.000%, 05/01/2047 | 68,093,289 | 69,266,986 | ||||||||||
4.000%, 08/01/2048 | 51,640,881 | 54,103,653 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 141, Class D, 5.000%, 05/15/2021 (9) | 262 | 262 | ||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 12,313 | 12,589 | ||||||||||
Series 163, Class F, 6.000%, 07/15/2021 (4)(9) | 1,634 | 1,654 | ||||||||||
Series 188, Class H, 7.000%, 09/15/2021 (9) | 2,485 | 2,502 |
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 27,700 | 28,342 | ||||||||||
3.000%, 04/01/2027 | 6,563,389 | 6,717,062 | ||||||||||
2.500%, 12/01/2027 | 8,522,602 | 8,598,631 | ||||||||||
2.500%, 05/01/2028 | 11,480,576 | 11,583,009 | ||||||||||
5.000%, 05/01/2028 | 166,248 | 175,715 | ||||||||||
3.000%, 11/01/2028 | 21,892,648 | 22,405,868 | ||||||||||
4.500%, 08/01/2029 | 1,312,624 | 1,375,175 | ||||||||||
4.500%, 09/01/2029 | 1,512,318 | 1,584,335 | ||||||||||
2.500%, 04/01/2030 | 4,296,215 | 4,330,652 | ||||||||||
2.500%, 05/01/2030 | 13,571,246 | 13,679,998 | ||||||||||
3.500%, 11/01/2030 | 35,959,463 | 37,398,053 | ||||||||||
3.000%, 12/01/2030 | 13,687,079 | 13,999,781 | ||||||||||
3.000%, 12/01/2030 | 22,031,018 | 22,534,866 | ||||||||||
2.500%, 09/01/2031 | 47,917,311 | 48,316,162 | ||||||||||
3.500%, 01/01/2032 | 47,585,108 | 49,351,864 | ||||||||||
2.500%, 02/01/2032 | 7,700,298 | 7,762,143 | ||||||||||
3.000%, 09/01/2032 | 3,102,088 | 3,183,024 | ||||||||||
6.000%, 03/01/2033 | 40,957 | 46,437 | ||||||||||
3.500%, 10/01/2033 | 22,452,835 | 23,288,017 | ||||||||||
4.500%, 10/01/2033 | 15,876,665 | 16,955,403 | ||||||||||
5.000%, 10/01/2033 | 16,926,744 | 18,400,407 | ||||||||||
3.000%, 11/01/2033 | 96,556,496 | 99,015,338 | ||||||||||
5.000%, 11/01/2033 | 47,789 | 51,979 | ||||||||||
4.000%, 01/01/2034 | 7,108,335 | 7,486,759 | ||||||||||
5.500%, 04/01/2034 | 5,757,650 | 6,395,231 | ||||||||||
4.000%, 06/01/2034 | 9,397,589 | 9,897,614 | ||||||||||
4.000%, 09/01/2034 | 11,121,934 | 11,713,758 | ||||||||||
5.500%, 09/01/2034 | 151,118 | 167,853 | ||||||||||
6.000%, 11/01/2034 | 40,923 | 46,399 | ||||||||||
3.500%, 01/01/2035 | 64,174,772 | 66,248,459 | ||||||||||
5.500%, 02/01/2035 | 516,017 | 573,172 | ||||||||||
5.000%, 07/01/2035 | 4,419,698 | 4,830,579 | ||||||||||
5.000%, 10/01/2035 | 2,194,626 | 2,399,520 | ||||||||||
5.000%, 02/01/2036 | 3,156,212 | 3,451,206 | ||||||||||
5.500%, 11/01/2036 | 199,893 | 222,051 | ||||||||||
2.500%, 12/01/2036 | 31,153,023 | 31,212,300 | ||||||||||
5.500%, 04/01/2037 | 1,287,646 | 1,416,624 | ||||||||||
4.000%, 05/01/2037 | 50,356,194 | 52,652,483 | ||||||||||
2.500%, 04/01/2038 | 68,240,927 | 68,664,308 | ||||||||||
4.000%, 04/01/2039 | 12,381,354 | 13,056,653 | ||||||||||
5.000%, 06/01/2039 | 10,431,913 | 11,400,866 | ||||||||||
5.000%, 06/01/2039 | 15,253,897 | 16,674,739 | ||||||||||
4.500%, 11/01/2039 | 215,592 | 231,430 | ||||||||||
4.000%, 08/01/2040 | 1,578,406 | 1,664,566 | ||||||||||
3.500%, 12/01/2040 | 9,788,989 | 10,099,285 | ||||||||||
4.000%, 12/01/2040 | 9,538,172 | 10,059,334 | ||||||||||
3.500%, 02/01/2041 | 15,199,475 | 15,690,389 | ||||||||||
4.000%, 02/01/2041 | 22,395,644 | 23,619,409 | ||||||||||
4.500%, 02/01/2041 | 57,812,816 | 61,924,848 | ||||||||||
3.500%, 03/01/2041 | 22,017,883 | 22,715,980 | ||||||||||
4.500%, 05/01/2041 | 8,021,706 | 8,615,687 | ||||||||||
4.000%, 06/01/2041 | 17,831,281 | 18,803,429 | ||||||||||
4.500%, 07/01/2041 | 8,238,750 | 8,848,481 | ||||||||||
5.000%, 07/01/2041 | 11,693,886 | 12,780,738 | ||||||||||
3.500%, 09/01/2041 | 22,368,557 | 23,104,271 | ||||||||||
4.000%, 09/01/2041 | 2,448,798 | 2,582,562 | ||||||||||
4.000%, 10/01/2041 | 6,760,638 | 7,130,123 | ||||||||||
3.500%, 11/01/2041 | 8,703,755 | 9,036,437 | ||||||||||
3.500%, 12/01/2041 | 38,610,364 | 40,086,098 | ||||||||||
4.000%, 12/01/2041 | 9,741,816 | 10,274,224 | ||||||||||
4.000%, 01/01/2042 | 12,004,518 | 12,659,130 | ||||||||||
4.500%, 01/01/2042 | 11,812,173 | 12,685,678 | ||||||||||
4.000%, 02/01/2042 | 45,006,756 | 47,464,395 | ||||||||||
3.000%, 05/01/2042 | 8,635,121 | 8,783,879 | ||||||||||
3.500%, 07/01/2042 | 98,656,386 | 102,423,188 | ||||||||||
3.500%, 08/01/2042 | 8,774,120 | 9,102,355 | ||||||||||
4.000%, 08/01/2042 | 16,341,698 | 17,234,849 | ||||||||||
3.000%, 10/01/2042 | 19,803,857 | 20,242,976 | ||||||||||
3.000%, 03/01/2043 | 36,008,748 | 36,629,188 | ||||||||||
3.000%, 03/01/2043 | 6,270,940 | 6,394,376 | ||||||||||
3.000%, 05/01/2043 | 20,893,379 | 21,253,263 | ||||||||||
3.000%, 05/01/2043 | 34,984,297 | 35,619,276 | ||||||||||
3.500%, 05/01/2043 | 37,510,238 | 39,084,385 | ||||||||||
3.000%, 06/01/2043 | 8,821,054 | 8,973,046 | ||||||||||
3.000%, 07/01/2043 | 3,367,989 | 3,426,020 | ||||||||||
4.000%, 07/01/2043 | 31,520,311 | 33,239,166 | ||||||||||
3.000%, 08/01/2043 | 5,534,351 | 5,629,713 | ||||||||||
3.500%, 09/01/2043 | 54,373,511 | 56,446,678 | ||||||||||
4.500%, 09/01/2043 | 12,916,217 | 13,871,237 | ||||||||||
3.500%, 10/01/2043 | 59,612,377 | 61,886,853 | ||||||||||
3.000%, 11/01/2043 | 28,485,672 | 28,976,201 | ||||||||||
4.000%, 11/01/2043 | 9,001,083 | 9,481,396 | ||||||||||
4.000%, 01/01/2045 | 8,788,314 | 9,205,607 | ||||||||||
3.500%, 02/01/2045 | 42,062,349 | 43,666,942 | ||||||||||
4.000%, 02/01/2045 | 21,483,691 | 22,654,845 | ||||||||||
3.500%, 04/01/2045 | 30,850,512 | 31,971,153 | ||||||||||
4.000%, 10/01/2045 | 9,329,064 | 9,772,006 | ||||||||||
4.000%, 11/01/2045 | 37,114,696 | 38,819,679 | ||||||||||
3.500%, 12/01/2045 | 36,401,313 | 37,510,438 | ||||||||||
4.500%, 02/01/2046 | 34,711,079 | 37,267,126 | ||||||||||
3.000%, 05/01/2046 | 16,007,716 | 16,323,122 | ||||||||||
3.500%, 05/01/2046 | 61,570,939 | 63,465,466 | ||||||||||
3.000%, 07/01/2046 | 10,232,041 | 10,433,654 | ||||||||||
4.500%, 08/01/2046 | 30,478,835 | 32,419,260 | ||||||||||
3.000%, 11/01/2046 (9) | 51,894,591 | 52,786,113 | ||||||||||
3.000%, 11/01/2046 | 27,614,240 | 28,018,828 | ||||||||||
3.500%, 11/01/2046 | 55,924,297 | 57,679,267 | ||||||||||
4.000%, 08/01/2047 | 82,193,389 | 85,827,117 | ||||||||||
4.000%, 11/01/2047 | 51,921,784 | 54,047,900 | ||||||||||
4.500%, 11/01/2047 | 20,634,881 | 21,720,448 | ||||||||||
4.000%, 12/01/2047 | 59,433,397 | 61,971,123 | ||||||||||
3.500%, 01/01/2048 | 18,210,548 | 18,752,771 | ||||||||||
4.000%, 04/01/2048 | 27,742,477 | 28,843,750 | ||||||||||
4.000%, 07/01/2048 | 34,447,553 | 36,436,938 | ||||||||||
4.000%, 09/01/2048 | 48,555,150 | 50,348,460 | ||||||||||
4.500%, 11/01/2048 | 70,740,445 | 74,407,602 | ||||||||||
4.500%, 01/01/2049 | 33,266,475 | 35,519,688 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 39,562 | 45,358 | ||||||||||
5.000%, 07/20/2040 | 1,824,762 | 2,006,207 | ||||||||||
3.500%, 10/20/2041 | 8,301,993 | 8,678,774 | ||||||||||
3.500%, 01/15/2042 | 14,140,340 | 14,681,244 | ||||||||||
4.000%, 06/20/2042 | 9,356,841 | 9,907,040 | ||||||||||
3.500%, 09/20/2042 | 3,629,427 | 3,787,738 | ||||||||||
3.500%, 01/20/2043 | 23,620,014 | 24,645,652 | ||||||||||
4.000%, 10/20/2043 | 14,637,462 | 15,446,555 | ||||||||||
4.000%, 09/20/2044 | 53,048,533 | 55,937,488 | ||||||||||
4.000%, 01/20/2045 | 11,377,365 | 11,996,247 | ||||||||||
3.500%, 03/20/2045 | 17,639,431 | 18,244,307 | ||||||||||
3.000%, 04/20/2045 | 28,785,483 | 29,468,386 | ||||||||||
3.500%, 04/20/2045 | 34,940,611 | 36,241,090 | ||||||||||
4.000%, 08/20/2045 | 11,629,441 | 12,260,902 | ||||||||||
4.500%, 01/20/2046 | 16,226,994 | 17,186,777 | ||||||||||
4.000%, 04/20/2046 | 12,554,820 | 13,172,934 | ||||||||||
4.000%, 05/20/2046 | 31,069,082 | 32,645,462 | ||||||||||
5.000%, 04/20/2047 | 2,925,725 | 3,117,037 | ||||||||||
4.500%, 06/20/2047 | 58,120,411 | 61,021,777 | ||||||||||
4.500%, 07/20/2047 | 14,244,283 | 14,955,373 | ||||||||||
Total U.S. Government Agency Issues | 4,362,366,089 | 21.2 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 45,253 | 45,353 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 356,647 | 352,285 | ||||||||||
Series 2006-J5, Class 3A1, 4.127%, 07/25/2021 (4) | 78,375 | 75,503 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 65,317 | 65,533 | ||||||||||
Series 2004-8CB, Class A, 2.674%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 5,711,520 | 5,727,253 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 600,230 | 471,271 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.744%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 2,381,848 | 2,385,393 | ||||||||||
Series 2005-W5, Class A1, 2.639%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 29,002,464 | 28,874,293 | ||||||||||
Arroyo Mortgage Trust, | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 25,125,535 | 25,729,603 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A3, 2.604%, 01/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 4,059,920 | 4,045,845 | ||||||||||
Series 2006-HE1, Class A1, 2.619%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 2,067,307 | 2,062,695 | ||||||||||
Series 2006-HE3, Class A2, 2.569%, 03/25/2036 (1 Month LIBOR USD + 0.165%) (3) | 10,726,667 | 10,631,464 | ||||||||||
Series 2006-HE6, Class A1, 2.549%, 11/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 24,275,078 | 23,708,682 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 37,132 | 37,201 | ||||||||||
Series 2007-1, Class 1A1, 5.404%, 04/25/2022 (4) | 253,629 | 252,511 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 142,037 | 144,320 | ||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 (6) | 85,871 | 84,254 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 309,894 | 301,296 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 (7) | 482,160 | 482,735 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 1,490,560 | 1,430,731 | ||||||||||
Bear Stearns ALT-A Trust: | ||||||||||||
Series 2004-4, Class A1, 3.004%, 06/25/2034 (1 Month LIBOR USD + 0.600%) (3) | 1,277,463 | 1,282,322 | ||||||||||
Series 2005-4, Class 1A1, 2.844%, 04/25/2035 (1 Month LIBOR USD + 0.440%) (3) | 3,041,075 | 3,042,322 | ||||||||||
Series 2005-7, Class 12A1, 2.944%, 08/25/2035 (1 Month LIBOR USD + 0.540%) (3) | 4,740,728 | 4,757,600 | ||||||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 160,404 | 165,846 | ||||||||||
Chase Mortgage Finance Trust, | ||||||||||||
Series 2006-A1, Class 2A3, 4.355%, 09/25/2036 (4)(6) | 1,099,977 | 1,049,496 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 139,635 | 142,810 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 35,036 | 35,109 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 446,702 | 418,841 | ||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 (7) | 223,980 | 225,907 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 95,145 | 96,813 | ||||||||||
Series 2005-10, Class AF6, 4.449%, 12/25/2035 (4) | 109,596 | 112,515 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4)(6) | 540,707 | 508,071 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2003-AR26, Class 8A1, 4.704%, 11/25/2033 (4) | 5,668,847 | 5,836,560 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 26,006 | 26,168 | ||||||||||
Series 2005-17, Class 1AF5, 5.564%, 03/25/2036 (4) | 179,048 | 180,308 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, | ||||||||||||
Series 2004-4, Class 1A6, 6.150%, 04/25/2034 (7) | 1,850 | 1,883 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FFH1, Class A4, 2.704%, 01/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 839,760 | 840,847 | ||||||||||
Series 2006-FF1, Class 2A4, 2.744%, 01/25/2036 (1 Month LIBOR USD + 0.340%) (3) | 5,615,269 | 5,632,156 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 51,392 | 49,643 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 (6) | 222,155 | 183,119 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2006-A, Class 1A1, 2.549%, 05/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 22,178,571 | 21,673,480 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 212 | 217 | ||||||||||
GMACM Mortgage Loan Trust, | ||||||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035 (7) | 306 | 307 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2004-6, Class A1, 3.204%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 903,726 | 896,608 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A1B, 3.024%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 5,039,731 | 5,054,434 | ||||||||||
Series 2005-WMC2, Class A2C, 3.104%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 4,948,738 | 4,955,936 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-3, Class A1, 2.644%, 07/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 2,103,544 | 2,096,796 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 481 | 480 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-4, Class 2A2, 4.638%, 09/25/2034 (7) | 73,707 | 80,676 | ||||||||||
Series 2004-5, Class 1A2, 3.104%, 10/25/2034 (1 Month LIBOR USD + 0.700%) (3) | 3,169,384 | 3,194,491 | ||||||||||
Series 2004-6, Class 1A1, 3.204%, 10/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 2,880,827 | 2,860,088 | ||||||||||
J.P. Morgan Alternative Loan Trust, | ||||||||||||
Series 2006-A1, Class 2A1, 4.290%, 03/25/2036 (4)(6) | 262,037 | 246,739 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.534%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 1,375,194 | 1,372,989 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2005-A4, Class 1A1, 4.441%, 07/25/2035 (4) | 847,264 | 857,657 | ||||||||||
Series 2007-A1, Class 5A2, 4.697%, 07/25/2035 (4) | 2,412,225 | 2,504,078 | ||||||||||
Series 2007-A1, Class 5A5, 4.697%, 07/25/2035 (4) | 3,652,499 | 3,807,110 | ||||||||||
Series 2006-A7, Class 2A2, 4.193%, 01/25/2037 (4)(6) | 129,026 | 123,979 | ||||||||||
Series 2006-A7, Class 2A4R, 4.193%, 01/25/2037 (4)(6) | 551,255 | 531,100 | ||||||||||
Series 2007-A2, Class 2A3, 4.494%, 04/25/2037 (4) | 1,456,922 | 1,366,030 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 3.004%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 3,786,942 | 3,793,931 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1A, 4.088%, 12/25/2029 (4) | 4,957,069 | 5,040,198 | ||||||||||
Series 2005-A10, Class A, 2.614%, 02/25/2036 (1 Month LIBOR USD + 0.210%) (3) | 14,147,441 | 13,758,334 | ||||||||||
MetLife, Inc., | ||||||||||||
Series 2019-1A, Class A1A, 3.750%, 04/25/2058 (2)(3) | 8,732,819 | 9,071,836 | ||||||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||||||
Series 2004-7AR, Class 2A1, 4.532%, 09/25/2034 (4) | 2,266,778 | 2,353,690 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-2, Class 1A1, 2.924%, 05/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 1,252,322 | 1,265,594 | ||||||||||
Series 2005-3, Class A1, 3.004%, 08/25/2035 (1 Month LIBOR USD + 0.600%) (3) | 3,134,101 | 3,110,327 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.634%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 5,939,185 | 5,930,594 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 12,971,918 | 13,545,757 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 13,891,639 | 14,455,195 | ||||||||||
Series 2017-4A, Class A1, 4.000%, 05/25/2057 (2)(4) | 23,924,514 | 24,999,769 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 13,346,518 | 13,837,950 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2006-E, Class A2, 2.554%, 01/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 1,221,579 | 1,219,662 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 08/25/2019 (6) | 7,667 | 7,647 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 5,001 | 5,027 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2006-KS4, Class A4, 2.644%, 06/25/2036 (1 Month LIBOR USD + 0.240%) (3) | 5,053,050 | 5,045,496 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 2,487,428 | 1,111,505 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 3.074%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,425,815 | 1,423,382 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||||||
Series 2004-12, Class 3A1, 4.561%, 09/25/2034 (4) | 2,951,714 | 3,003,224 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2005-WF1, Class A3, 3.064%, 02/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 1,864,164 | 1,865,650 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 17,210 | 17,645 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 2006-OPT1, Class A6, 2.554%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 11,024,728 | 10,862,021 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 4.367%, 10/25/2043 (4) | 10,908,309 | 11,230,147 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 4,359,234 | 4,393,121 | ||||||||||
Series 2015-5, Class A1, 3.500%, 05/25/2055 (2)(4) | 2,606,057 | 2,639,129 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 1,462,466 | 1,453,970 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 8,000,905 | 8,079,851 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 7,210,382 | 7,196,536 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 35,279,640 | 35,419,531 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 38,847,469 | 39,145,849 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 35,088,640 | 36,040,223 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 17,280,407 | 18,045,545 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 3,602,240 | 3,656,647 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 116 | 116 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 121 | 120 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 1,990 | 1,988 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 9,183 | 9,151 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 5,712,062 | 6,206,745 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 2,897,626 | 3,138,482 | ||||||||||
Series 2004-AR14, Class A1, 4.394%, 01/25/2035 (4) | 7,408,840 | 7,652,813 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 4.947%, 06/25/2035 (4) | 10,589,996 | 11,010,753 | ||||||||||
Total Non-U.S. Government Agency Issues | 514,164,903 | 2.5 | % | |||||||||
Total Residential Mortgage-Backed Securities | 4,876,530,992 | 23.7 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2014-M2, Class A2, 3.513%, 12/25/2023 (4) | 10,657,354 | 11,211,328 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 17,950,000 | 18,214,610 | ||||||||||
Series K721, Class A2, 3.090%, 08/25/2022 (4) | 25,545,000 | 26,213,607 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,631,544 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 28,544,856 | ||||||||||
Series K-723, Class A2, 2.454%, 08/25/2023 | 28,425,000 | 28,795,599 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 68,125,000 | 71,888,722 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 60,430,000 | 63,783,478 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,739,000 | 87,673,959 | ||||||||||
Series K-734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 22,610,873 | ||||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 21,761,038 | ||||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 20,286,074 | ||||||||||
Series K063, Class A2, 3.430%, 01/25/2027 (4) | 63,971,857 | 68,462,253 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 54,955,177 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 28,200,000 | 29,840,603 | ||||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 11,651,778 | ||||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | 29,587,841 | 31,215,643 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 9,530,024 | ||||||||||
Series K069, Class A2, 3.187%, 09/25/2027 (4) | 23,130,000 | 24,406,411 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 23,025,000 | 24,476,904 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 16,475,000 | 18,203,821 | ||||||||||
Series K156, Class A3, 3.700%, 06/25/2033 (4) | 11,088,000 | 12,196,404 | ||||||||||
Total U.S. Government Agency Issues | 734,554,706 | 3.6 | % |
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 26,535,000 | 28,286,450 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 5,020,000 | 5,311,641 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 67,733,000 | 71,939,924 | ||||||||||
Series 2017-BNK5, Class A5, 3.390%, 06/17/2060 | 12,750,000 | 13,393,438 | ||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2016-CD1, Class A4, 2.724%, 08/12/2049 | 45,910,000 | 46,221,862 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 34,503,388 | 35,515,028 | ||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 6,561,373 | 6,937,192 | ||||||||||
Series 2014-GC25, Class A4, 3.635%, 10/10/2047 | 16,828,590 | 17,815,279 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 43,114,824 | 44,622,765 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 7,488,584 | 7,673,004 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 | 22,854,922 | 24,265,146 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 20,200,536 | 20,626,200 | ||||||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 23,113,096 | 24,480,212 | ||||||||||
Series 2014-CR15, Class ASB, 3.595%, 02/12/2047 | 12,187,614 | 12,566,665 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 15,289,828 | 16,279,243 | ||||||||||
Series 2013-CR11, Class A3, 3.983%, 08/12/2050 | 10,259,348 | 10,917,148 | ||||||||||
DBJPM Mortgage Trust, | ||||||||||||
Series 2016-C3, Class ASB, 2.756%, 08/12/2049 | 10,360,000 | 10,510,057 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 37,186,901 | 37,758,486 | ||||||||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 25,000,000 | 26,771,512 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 17,452,913 | 17,862,421 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 7,064,381 | 7,123,898 | ||||||||||
Series 2012-LC9, Class A5, 2.840%, 12/17/2047 | 14,450,059 | 14,694,499 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | �� | |||||||||||
Series 2013-C12, Class ASB, 3.157%, 07/17/2045 | 3,422,544 | 3,462,394 | ||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 6,835,000 | 7,183,350 | ||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 1,904,796 | 2,024,474 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 3,382,847 | 3,571,987 | ||||||||||
Series 2013-C17, Class A4, 4.199%, 01/17/2047 | 17,276,000 | 18,528,563 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 10,000,000 | 10,278,417 | ||||||||||
Series 2014-C25, Class ASB, 3.407%, 11/18/2047 | 9,008,000 | 9,275,465 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 37,925,000 | 38,814,880 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 22,912,628 | 23,261,001 | ||||||||||
Series 2013-C10, Class A3, 4.103%, 07/17/2046 (4) | 6,438,840 | 6,819,928 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 17,280,595 | 18,306,230 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 12,500,000 | 12,890,136 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class ASB, 3.278%, 02/18/2048 | 18,198,000 | 18,731,394 | ||||||||||
Series 2015-SG1, Class ASB, 3.556%, 09/17/2048 | 21,300,000 | 22,118,525 | ||||||||||
Series 2015-SG1, Class A4, 3.789%, 09/17/2048 | 15,064,000 | 16,064,287 | ||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 46,750,000 | 49,401,324 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 26,735,220 | 27,318,093 | ||||||||||
Series 2013-C13, Class ASB, 2.654%, 05/17/2045 | 5,787,481 | 5,838,314 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 12,900,000 | 13,719,542 | ||||||||||
Series 2014-C21, Class A5, 3.678%, 08/16/2047 | 31,319,000 | 33,093,259 | ||||||||||
Series 2014-C24, Class A4, 3.343%, 11/18/2047 | 36,730,000 | 38,178,400 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 6,920,000 | 7,159,730 | ||||||||||
Total Non-U.S. Government Agency Issues | 887,611,763 | 4.3 | % | |||||||||
Total Commercial Mortgage-Backed Securities | 1,622,166,469 | 7.9 | % | |||||||||
Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 8,166,000 | 11,110,437 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 68,820 | 69,482 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 8,914,279 | 9,191,726 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 179,702 | 186,974 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 1,118,782 | 1,157,005 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 28,860,000 | 28,957,905 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027 (2) | 43,505,000 | 43,378,183 | ||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 38,742,000 | 40,515,047 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 40,550,000 | 41,795,266 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2016-AA, Class A5, 2.210%, 12/15/2032 (2) | 14,100,000 | 14,128,589 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 14,252 | 14,514 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 20,555,000 | 20,590,936 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-6, Class A2, 2.820%, 11/25/2026 (2) | 14,000,000 | 14,026,445 | ||||||||||
Series 2018-3, Class A2, 3.670%, 08/25/2027 (2) | 20,465,000 | 20,792,200 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 47,621,000 | 48,649,999 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2016-2, Class A, 2.210%, 05/15/2024 | 9,650,000 | 9,671,685 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 37,825,000 | 37,939,197 | ||||||||||
Total Asset Backed Securities | 342,175,590 | 1.6 | % | |||||||||
Total Long-Term Investments (Cost $19,272,977,327) | 19,896,175,809 | 96.6 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 2.32% (5) | 917,315,063 | 917,315,063 | ||||||||||
Total Short-Term Investment (Cost $917,315,063) | 917,315,063 | 4.5 | % | |||||||||
Total Investments (Cost $20,190,292,390) | 20,813,490,872 | 101.1 | % | |||||||||
Liabilities in Excess of Other Assets | (221,541,830 | ) | (1.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 20,591,949,042 | 100.0 | % |
Notes to Schedule of Investments | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $3,090,669,697, which represents 15.01% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(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, 2019. |
(5) | Seven-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, 2019. |
(8) | Security in default. |
(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, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 4,715,779,315 | $ | – | $ | 4,715,779,315 | ||||||||
Other Government Related Securities | – | 163,328,860 | – | 163,328,860 | ||||||||||||
Corporate Bonds | – | 8,071,341,583 | – | 8,071,341,583 | ||||||||||||
Municipal Bonds | – | 104,853,000 | – | 104,853,000 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 4,362,366,089 | – | 4,362,366,089 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 514,164,903 | – | 514,164,903 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 734,554,706 | – | 734,554,706 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 887,611,763 | – | 887,611,763 | ||||||||||||
Asset Backed Securities | – | 342,175,590 | – | 342,175,590 | ||||||||||||
Total Long-Term Investments | – | 19,896,175,809 | – | 19,896,175,809 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 917,315,063 | – | – | 917,315,063 | ||||||||||||
Total Short-Term Investment | 917,315,063 | – | – | 917,315,063 | ||||||||||||
Total Investments | $ | 917,315,063 | $ | 19,896,175,809 | $ | – | $ | 20,813,490,872 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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, 2019 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 82,750,000 | $ | 82,801,719 | ||||||||
1.875%, 03/31/2022 | 633,625,000 | 636,421,859 | ||||||||||
2.500%, 05/15/2024 | 518,825,000 | 536,639,344 | ||||||||||
2.250%, 11/15/2025 | 17,150,000 | 17,563,342 | ||||||||||
2.000%, 11/15/2026 | 11,300,000 | 11,386,074 | ||||||||||
2.250%, 11/15/2027 | 311,250,000 | 318,642,187 | ||||||||||
3.125%, 11/15/2028 | 195,875,000 | 214,842,740 | ||||||||||
3.500%, 02/15/2039 | 324,920,000 | 385,956,729 | ||||||||||
2.875%, 05/15/2043 | 670,100,000 | 716,692,890 | ||||||||||
2.500%, 02/15/2045 | 460,150,000 | 458,406,464 | ||||||||||
Total U.S. Treasury Securities | 3,379,353,348 | 15.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA: | ||||||||||||
6.875%, 07/30/2019 (1)(2) | 3,000,000 | 3,004,530 | ||||||||||
5.750%, 10/27/2021 (1)(2) | 4,000,000 | 4,179,500 | ||||||||||
CNOOC Curtis Funding No. 1 Pty Ltd., | ||||||||||||
4.500%, 10/03/2023 (1)(2) | 5,000,000 | 5,342,347 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,415,000 | 2,436,539 | ||||||||||
CNOOC Finance (2015) USA LLC, | ||||||||||||
3.500%, 05/05/2025 | 21,200,000 | 21,838,031 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 4,750,000 | 5,040,928 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
5.750%, 02/14/2042 (1)(2) | 5,200,000 | 5,474,352 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 4,265,000 | 4,487,718 | ||||||||||
Electricite de France SA, | ||||||||||||
4.750%, 10/13/2035 (1)(2) | 10,000,000 | 10,924,044 | ||||||||||
Export-Import Bank of Korea: | ||||||||||||
2.250%, 01/21/2020 (1) | 14,000,000 | 13,996,640 | ||||||||||
4.000%, 01/29/2021 (1) | 2,400,000 | 2,461,059 | ||||||||||
Korea Development Bank: | ||||||||||||
2.250%, 05/18/2020 (1) | 7,200,000 | 7,199,372 | ||||||||||
3.000%, 09/14/2022 (1) | 4,400,000 | 4,495,470 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037 (1) | 6,249,000 | 8,310,320 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.299%, 01/27/2025 (1) | 3,400,000 | 3,607,400 | ||||||||||
7.375%, 01/17/2027 (1) | 9,300,000 | 10,639,200 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.875%, 01/24/2022 (1) | 6,500,000 | 6,483,750 | ||||||||||
4.250%, 01/15/2025 (1) | 15,000,000 | 13,866,750 | ||||||||||
4.500%, 01/23/2026 (1) | 4,500,000 | 4,131,810 | ||||||||||
6.500%, 06/02/2041 (1) | 4,000,000 | 3,548,000 | ||||||||||
Saudi Arabian Oil Co.: | ||||||||||||
4.250%, 04/16/2039 (1)(2) | 6,000,000 | 6,074,229 | ||||||||||
4.375%, 04/16/2049 (1)(2) | 5,000,000 | 5,070,524 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,603,844 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 20,000,000 | 19,999,476 | ||||||||||
3.250%, 04/28/2025 (1)(2) | 20,000,000 | 20,394,674 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019 (1)(2) | 8,000,000 | 7,987,760 | ||||||||||
3.500%, 05/03/2026 (1)(2) | 10,000,000 | 10,244,560 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
3.000%, 04/12/2022 (1)(2) | 6,950,000 | 7,010,258 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,001,154 | ||||||||||
4.441%, 04/24/2023 (1)(2) | 5,000,000 | 5,197,651 | ||||||||||
4.892%, 04/24/2025 (1)(2) | 27,231,000 | 28,419,731 | ||||||||||
Total Other Government Related Securities | 258,471,621 | 1.2 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
A.P. Meoller - Maersk A/S, | ||||||||||||
3.750%, 09/22/2024 (1)(2) | 4,475,000 | 4,533,957 | ||||||||||
Abbott Laboratories: | ||||||||||||
3.400%, 11/30/2023 | 4,583,000 | 4,778,301 | ||||||||||
4.750%, 11/30/2036 | 13,500,000 | 15,949,811 | ||||||||||
AbbVie, Inc.: | ||||||||||||
3.200%, 11/06/2022 | 3,000,000 | 3,044,387 | ||||||||||
3.600%, 05/14/2025 | 2,500,000 | 2,582,944 | ||||||||||
4.300%, 05/14/2036 | 3,825,000 | 3,833,757 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024 (1) | 10,125,000 | 10,510,303 | ||||||||||
3.800%, 03/15/2025 (1) | 29,200,000 | 30,302,961 | ||||||||||
4.550%, 03/15/2035 (1) | 14,098,000 | 14,234,459 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 700,000 | 710,056 | ||||||||||
ADT Corp., | ||||||||||||
3.500%, 07/15/2022 | 6,900,000 | 6,882,750 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 5,325,000 | 5,569,666 | ||||||||||
Alibaba Group Holding Ltd., | ||||||||||||
3.125%, 11/28/2021 (1) | 10,000,000 | 10,155,923 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 22,750,000 | 23,017,371 | ||||||||||
Allergan Finance LLC, | ||||||||||||
3.250%, 10/01/2022 | 7,500,000 | 7,593,063 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 8,000,000 | 8,498,588 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
6.450%, 09/15/2036 | 4,025,000 | 4,948,502 | ||||||||||
Andeavor Logistics LP: | ||||||||||||
3.500%, 12/01/2022 | 8,600,000 | 8,803,671 | ||||||||||
4.250%, 12/01/2027 | 6,519,000 | 6,886,097 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
3.750%, 04/10/2022 (1)(2) | 7,000,000 | 7,154,700 | ||||||||||
4.125%, 09/27/2022 (1)(2) | 5,385,000 | 5,593,400 | ||||||||||
3.625%, 09/11/2024 (1)(2) | 4,325,000 | 4,417,855 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 18,290,000 | 18,878,254 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 5,000,000 | 5,676,031 | ||||||||||
5.450%, 01/23/2039 | 9,975,000 | 11,870,898 | ||||||||||
4.900%, 02/01/2046 | 28,075,000 | 31,259,595 | ||||||||||
ANR Pipeline Co., | ||||||||||||
9.625%, 11/01/2021 | 9,150,000 | 10,561,464 | ||||||||||
AP Moller - Maersk A/S: | ||||||||||||
3.875%, 09/28/2025 (1)(2) | 2,250,000 | 2,264,460 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 9,475,000 | 9,611,335 | ||||||||||
Aramark Services, Inc., | ||||||||||||
5.000%, 02/01/2028 (2) | 1,000,000 | 1,028,750 | ||||||||||
ArcelorMittal: | ||||||||||||
5.500%, 03/01/2021 (1) | 7,950,000 | 8,276,020 | ||||||||||
6.250%, 02/25/2022 (1) | 19,760,000 | 21,437,771 | ||||||||||
4.550%, 03/11/2026 (1) | 15,000,000 | 15,854,988 | ||||||||||
Arrow Electronics, Inc., | ||||||||||||
3.250%, 09/08/2024 | 15,000,000 | 14,858,808 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 4,425,000 | 4,673,493 | ||||||||||
3.400%, 05/15/2025 | 20,225,000 | 20,791,407 | ||||||||||
4.125%, 02/17/2026 | 8,925,000 | 9,493,902 | ||||||||||
3.800%, 02/15/2027 | 3,500,000 | 3,642,361 | ||||||||||
4.300%, 02/15/2030 | 10,980,000 | 11,752,071 | ||||||||||
5.250%, 03/01/2037 | 7,125,000 | 7,996,400 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 10,778,358 | ||||||||||
4.850%, 07/15/2045 | 12,000,000 | 12,824,654 | ||||||||||
5.150%, 11/15/2046 | 10,321,000 | 11,412,408 | ||||||||||
4.500%, 03/09/2048 | 15,264,000 | 15,606,125 | ||||||||||
5.150%, 02/15/2050 | 23,650,000 | 26,112,149 | ||||||||||
Avnet, Inc., | ||||||||||||
3.750%, 12/01/2021 | 5,000,000 | 5,093,722 | ||||||||||
Ball Corp.: | ||||||||||||
5.250%, 07/01/2025 | 25,000,000 | 27,062,500 | ||||||||||
4.875%, 03/15/2026 | 7,000,000 | 7,420,000 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
4.250%, 12/15/2025 (2) | 25,000,000 | 26,451,950 | ||||||||||
4.625%, 06/25/2038 (2) | 12,000,000 | 12,252,449 | ||||||||||
4.400%, 07/15/2044 (2) | 5,125,000 | 4,780,933 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019 (2) | 14,725,000 | 14,705,684 | ||||||||||
Beam Suntory, Inc.: | ||||||||||||
3.250%, 05/15/2022 | 7,000,000 | 7,115,462 | ||||||||||
3.250%, 06/15/2023 | 10,960,000 | 11,017,674 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 13,000,000 | 13,122,070 | ||||||||||
3.363%, 06/06/2024 | 10,000,000 | 10,299,322 | ||||||||||
3.734%, 12/15/2024 | 9,250,000 | 9,702,709 | ||||||||||
4.875%, 05/15/2044 | 5,455,000 | 5,868,139 | ||||||||||
Bemis Co, Inc., | ||||||||||||
4.500%, 10/15/2021 (2) | 1,000,000 | 1,038,863 | ||||||||||
Berry Global Escrow Corp., | ||||||||||||
4.875%, 07/15/2026 (2) | 4,000,000 | 4,085,000 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 17,475,000 | 18,636,819 | ||||||||||
5.950%, 06/01/2026 | 26,406,000 | 29,379,521 | ||||||||||
4.800%, 05/03/2029 | 17,060,000 | 17,805,412 | ||||||||||
Boral Finance Pty Ltd.: | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 8,650,000 | 8,649,121 | ||||||||||
3.750%, 05/01/2028 (1)(2) | 5,550,000 | 5,568,389 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.000%, 01/15/2022 | 25,000,000 | 25,064,959 | ||||||||||
3.625%, 10/15/2024 (2) | 32,800,000 | 32,963,044 | ||||||||||
3.125%, 01/15/2025 | 13,250,000 | 12,949,314 | ||||||||||
4.250%, 04/15/2026 (2) | 25,000,000 | 25,371,888 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
3.400%, 06/27/2026 | 18,286,000 | 18,596,747 | ||||||||||
Browning-Ferris Industries, Inc., | ||||||||||||
9.250%, 05/01/2021 | 1,600,000 | 1,766,510 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.250%, 08/15/2026 | 13,188,000 | 12,749,333 | ||||||||||
3.750%, 09/25/2027 | 22,800,000 | 22,433,369 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,100,000 | 3,464,404 | ||||||||||
Campbell Soup Co.: | ||||||||||||
3.950%, 03/15/2025 | 11,000,000 | 11,442,716 | ||||||||||
4.800%, 03/15/2048 | 7,325,000 | 7,412,318 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.750%, 12/01/2027 | 4,600,000 | 4,685,855 | ||||||||||
Celgene Corp.: | ||||||||||||
3.550%, 08/15/2022 | 5,730,000 | 5,933,497 | ||||||||||
3.250%, 02/20/2023 | 10,000,000 | 10,250,790 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 24,874,000 | 24,961,059 | ||||||||||
5.375%, 03/15/2044 | 10,922,000 | 10,242,652 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 33,748,000 | 35,461,509 | ||||||||||
4.908%, 07/23/2025 | 48,550,000 | 52,707,986 | ||||||||||
6.384%, 10/23/2035 | 6,000,000 | 7,046,480 | ||||||||||
Cigna Corp.: | ||||||||||||
4.125%, 11/15/2025 (2) | 4,900,000 | 5,218,213 | ||||||||||
4.800%, 08/15/2038 (2) | 7,600,000 | 8,190,366 | ||||||||||
CK Hutchison International Ltd.: | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 17,600,000 | 17,558,992 | ||||||||||
2.875%, 04/05/2022 (1)(2) | 7,475,000 | 7,548,468 | ||||||||||
3.250%, 04/11/2024 (1)(2) | 7,000,000 | 7,173,056 | ||||||||||
Clean Harbors, Inc., | ||||||||||||
5.125%, 07/15/2029 (2) | 100,000 | 102,000 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.200%, 01/15/2024 | 15,000,000 | 15,609,728 | ||||||||||
CNH Industrial NV, | ||||||||||||
4.500%, 08/15/2023 (1) | 16,168,000 | 16,955,382 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 9,943,000 | 10,010,032 | ||||||||||
4.500%, 06/01/2025 | 14,135,000 | 15,212,206 | ||||||||||
5.800%, 06/01/2045 | 4,733,000 | 5,557,837 | ||||||||||
Comcast Cable Communications Holdings, Inc., | ||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,500,621 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 6,500,000 | 7,291,630 | ||||||||||
4.400%, 08/15/2035 | 13,575,000 | 15,120,052 | ||||||||||
3.200%, 07/15/2036 | 15,000,000 | 14,569,829 | ||||||||||
4.600%, 10/15/2038 | 12,350,000 | 14,141,329 | ||||||||||
4.650%, 07/15/2042 | 2,000,000 | 2,300,699 | ||||||||||
4.950%, 10/15/2058 | 7,500,000 | 9,154,793 | ||||||||||
Conagra Brands, Inc., | ||||||||||||
5.300%, 11/01/2038 | 6,625,000 | 7,186,350 | ||||||||||
ConocoPhillips Canada Funding Co. I, | ||||||||||||
5.950%, 10/15/2036 (1) | 845,000 | 1,104,421 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
4.750%, 12/01/2025 | 1,000,000 | 1,104,512 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 10,000,000 | 9,724,650 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
2.950%, 06/30/2023 (2) | 5,475,000 | 5,523,711 | ||||||||||
3.850%, 02/01/2025 (2) | 2,875,000 | 3,005,413 | ||||||||||
3.350%, 09/15/2026 (2) | 20,850,000 | 21,054,229 | ||||||||||
4.800%, 02/01/2035 (2) | 4,450,000 | 4,508,752 | ||||||||||
6.450%, 12/01/2036 (2) | 5,550,000 | 6,494,712 | ||||||||||
8.375%, 03/01/2039 (2) | 11,639,000 | 15,929,263 | ||||||||||
4.700%, 12/15/2042 (2) | 5,000,000 | 4,976,020 | ||||||||||
CSX Corp.: | ||||||||||||
6.220%, 04/30/2040 | 475,000 | 622,321 | ||||||||||
4.650%, 03/01/2068 | 9,000,000 | 9,695,029 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.875%, 07/20/2025 | 2,302,000 | 2,403,699 | ||||||||||
4.780%, 03/25/2038 | 30,075,000 | 31,373,456 | ||||||||||
5.050%, 03/25/2048 | 19,600,000 | 20,876,337 | ||||||||||
Danone SA: | ||||||||||||
3.000%, 06/15/2022 (1)(2) | 3,500,000 | 3,562,636 | ||||||||||
2.589%, 11/02/2023 (1)(2) | 10,000,000 | 10,049,053 | ||||||||||
DCP Midstream LLC: | ||||||||||||
4.750%, 09/30/2021 (2) | 2,245,000 | 2,301,125 | ||||||||||
5.375%, 07/15/2025 | 3,000,000 | 3,161,250 | ||||||||||
5.125%, 05/15/2029 | 8,000,000 | 8,220,000 | ||||||||||
Dell Technologies, Inc.: | ||||||||||||
4.000%, 07/15/2024 (2) | 5,000,000 | 5,130,802 | ||||||||||
4.900%, 10/01/2026 (2) | 5,000,000 | 5,216,773 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 26,015,000 | 37,460,933 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 39,125,000 | 40,315,982 | ||||||||||
5.450%, 06/15/2023 (2) | 42,180,000 | 45,461,255 | ||||||||||
DISH DBS Corp., | ||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,415,625 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,324,290 | ||||||||||
Dow Chemical Co., | ||||||||||||
4.125%, 11/15/2021 | 835,000 | 864,179 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 9,275,000 | 10,263,343 | ||||||||||
5.319%, 11/15/2038 | 17,350,000 | 20,371,913 | ||||||||||
DXC Technology Co.: | ||||||||||||
3.470%, 03/01/2021 (3 Month LIBOR USD + 0.950%) (3) | 9,228,000 | 9,228,098 | ||||||||||
4.450%, 09/18/2022 | 2,000,000 | 2,110,148 | ||||||||||
4.250%, 04/15/2024 | 49,810,000 | 52,193,356 | ||||||||||
4.750%, 04/15/2027 | 28,650,000 | 30,481,535 | ||||||||||
Eaton Corp.: | ||||||||||||
2.750%, 11/02/2022 | 2,625,000 | 2,659,622 | ||||||||||
4.000%, 11/02/2032 | 3,660,000 | 4,049,736 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 6,325,000 | 6,498,473 |
EMC Corp., | ||||||||||||
2.650%, 06/01/2020 | 200,000 | 198,904 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
4.400%, 03/15/2027 | 15,000,000 | 15,118,066 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020 (2) | 3,300,000 | 3,374,152 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,323,173 | ||||||||||
7.375%, 10/15/2045 | 23,298,000 | 34,226,729 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.250%, 03/15/2023 | 10,000,000 | 10,439,162 | ||||||||||
5.875%, 01/15/2024 | 15,000,000 | 16,697,463 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.150%, 10/01/2020 | 13,475,000 | 13,706,565 | ||||||||||
5.200%, 02/01/2022 | 1,000,000 | 1,056,381 | ||||||||||
3.600%, 02/01/2023 | 5,000,000 | 5,110,449 | ||||||||||
4.050%, 03/15/2025 | 6,204,000 | 6,458,033 | ||||||||||
4.200%, 04/15/2027 | 8,650,000 | 8,989,140 | ||||||||||
6.500%, 02/01/2042 | 16,625,000 | 19,653,091 | ||||||||||
5.150%, 03/15/2045 | 5,000,000 | 5,084,255 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 19,100,089 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 23,605,000 | 23,870,084 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025 (1) | 6,000,000 | 4,410,000 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
2.850%, 04/15/2021 | 10,000,000 | 10,076,237 | ||||||||||
3.350%, 03/15/2023 | 10,000,000 | 10,283,783 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 22,000,000 | 22,876,876 | ||||||||||
4.125%, 12/01/2026 | 14,750,000 | 14,268,218 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019 (2) | 5,385,000 | 5,378,634 | ||||||||||
2.600%, 12/01/2021 (2) | 10,400,000 | 10,425,550 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
4.750%, 11/15/2021 | 14,700,000 | 15,434,376 | ||||||||||
3.050%, 11/30/2022 | 15,000,000 | 15,232,241 | ||||||||||
3.000%, 07/15/2023 | 7,525,000 | 7,617,340 | ||||||||||
3.500%, 06/15/2024 | 7,800,000 | 8,032,743 | ||||||||||
4.500%, 02/25/2026 | 825,000 | 890,288 | ||||||||||
FedEx Corp.: | ||||||||||||
3.900%, 02/01/2035 | 7,000,000 | 7,036,532 | ||||||||||
4.950%, 10/17/2048 | 13,500,000 | 14,742,556 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 26,252,000 | 27,425,411 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 2,789,000 | 2,830,199 | ||||||||||
4.500%, 10/15/2022 | 1,529,000 | 1,622,532 | ||||||||||
3.500%, 04/15/2023 | 3,268,000 | 3,378,029 | ||||||||||
3.875%, 06/05/2024 | 6,367,000 | 6,730,790 | ||||||||||
3.000%, 08/15/2026 | 9,300,000 | 9,410,163 | ||||||||||
4.500%, 08/15/2046 | 6,700,000 | 7,059,867 | ||||||||||
4.750%, 05/15/2048 | 15,000,000 | 16,742,131 | ||||||||||
Fiserv, Inc.: | ||||||||||||
3.500%, 10/01/2022 | 11,625,000 | 11,978,738 | ||||||||||
3.850%, 06/01/2025 | 11,720,000 | 12,404,879 | ||||||||||
3.200%, 07/01/2026 | 6,400,000 | 6,532,353 | ||||||||||
4.400%, 07/01/2049 | 20,000,000 | 21,041,422 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
3.875%, 07/15/2022 (2) | 3,000,000 | 3,083,416 | ||||||||||
FMG Resources Pty Ltd., | ||||||||||||
5.125%, 03/15/2023 (1)(2) | 22,000,000 | 22,742,500 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 11,700,000 | 11,662,069 | ||||||||||
4.375%, 05/10/2043 (1) | 2,000,000 | 2,163,503 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.681%, 01/09/2020 | 5,000,000 | 4,996,948 | ||||||||||
3.200%, 01/15/2021 | 11,250,000 | 11,284,790 | ||||||||||
5.750%, 02/01/2021 | 13,000,000 | 13,532,723 | ||||||||||
3.336%, 03/18/2021 | 5,500,000 | 5,528,242 | ||||||||||
5.875%, 08/02/2021 | 8,975,000 | 9,463,768 | ||||||||||
2.979%, 08/03/2022 | 20,000,000 | 19,787,948 | ||||||||||
4.250%, 09/20/2022 | 4,459,000 | 4,573,263 | ||||||||||
5.584%, 03/18/2024 | 20,000,000 | 21,467,556 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 41,397,000 | 43,289,928 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 6,275,000 | 6,298,531 | ||||||||||
3.875%, 03/15/2023 | 38,916,000 | 38,916,000 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 8,075,000 | 8,599,875 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 15,000,000 | 14,849,478 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 33,385,000 | 34,714,264 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 2,864,000 | 2,856,297 | ||||||||||
5.550%, 05/04/2020 | 1,199,000 | 1,226,648 | ||||||||||
4.375%, 09/16/2020 | 838,000 | 855,101 | ||||||||||
5.300%, 02/11/2021 | 859,000 | 889,976 | ||||||||||
4.650%, 10/17/2021 | 2,420,000 | 2,521,398 | ||||||||||
3.150%, 09/07/2022 | 6,500,000 | 6,583,092 | ||||||||||
General Mills, Inc.: | ||||||||||||
2.200%, 10/21/2019 | 12,000,000 | 11,984,251 | ||||||||||
3.700%, 10/17/2023 | 20,000,000 | 20,968,152 | ||||||||||
4.000%, 04/17/2025 | 3,175,000 | 3,376,905 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 2,700,000 | 2,698,528 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,970,329 | ||||||||||
3.700%, 11/24/2020 | 1,509,000 | 1,528,500 | ||||||||||
4.200%, 03/01/2021 | 21,283,000 | 21,755,327 | ||||||||||
3.200%, 07/06/2021 | 25,600,000 | 25,824,770 | ||||||||||
4.375%, 09/25/2021 | 4,875,000 | 5,031,979 | ||||||||||
3.450%, 01/14/2022 | 5,200,000 | 5,274,268 | ||||||||||
3.150%, 06/30/2022 | 13,050,000 | 13,129,731 | ||||||||||
4.150%, 06/19/2023 | 3,375,000 | 3,476,240 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.700%, 04/01/2022 (1) | 43,005,000 | 43,338,155 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
5.400%, 11/01/2020 (2) | 11,000,000 | 11,432,875 | ||||||||||
3.163%, 11/15/2021 (2) | 20,000,000 | 20,288,911 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 2,000,000 | 2,096,760 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 7,000,000 | 7,319,501 | ||||||||||
6.000%, 11/15/2041 (1)(2) | 9,400,000 | 10,058,000 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 16,940,000 | 17,612,010 | ||||||||||
4.625%, 04/29/2024 (2) | 26,730,000 | 28,219,753 | ||||||||||
4.000%, 03/27/2027 (2) | 17,000,000 | 17,166,178 | ||||||||||
4.875%, 03/12/2029 (2) | 15,000,000 | 15,805,906 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
3.875%, 06/27/2024 (1)(2) | 31,501,000 | 32,505,473 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 9,575,000 | 10,030,674 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 22,671,000 | 23,228,480 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 3,083,343 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 10,000,000 | 10,781,873 | ||||||||||
HB Fuller Co., | ||||||||||||
4.000%, 02/15/2027 | 6,725,000 | 6,187,000 | ||||||||||
HCA, Inc.: | ||||||||||||
4.250%, 10/15/2019 | 10,900,000 | 10,944,225 | ||||||||||
6.500%, 02/15/2020 | 5,000,000 | 5,115,079 | ||||||||||
5.000%, 03/15/2024 | 10,366,000 | 11,293,116 | ||||||||||
5.375%, 02/01/2025 | 25,300,000 | 27,308,187 | ||||||||||
5.250%, 04/15/2025 | 19,200,000 | 21,272,786 | ||||||||||
5.375%, 09/01/2026 | 1,000,000 | 1,077,500 | ||||||||||
5.875%, 02/01/2029 | 500,000 | 548,125 | ||||||||||
4.125%, 06/15/2029 | 15,000,000 | 15,419,700 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.100%, 10/04/2019 (2) | 9,000,000 | 8,987,380 | ||||||||||
3.600%, 10/15/2020 | 7,550,000 | 7,649,343 | ||||||||||
Hexcel Corp., | ||||||||||||
3.950%, 02/15/2027 | 19,000,000 | 19,389,620 | ||||||||||
Husky Energy, Inc.: | ||||||||||||
4.000%, 04/15/2024 (1) | 7,380,000 | 7,691,045 | ||||||||||
4.400%, 04/15/2029 (1) | 15,000,000 | 15,886,688 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
3.250%, 11/08/2022 (1)(2) | 4,625,000 | 4,721,922 | ||||||||||
3.625%, 10/31/2024 (1)(2) | 15,000,000 | 15,665,933 | ||||||||||
Hyundai Capital America: | ||||||||||||
1.750%, 09/27/2019 (2) | 10,000,000 | 9,975,842 | ||||||||||
3.450%, 03/12/2021 (2) | 20,950,000 | 21,182,663 | ||||||||||
3.000%, 03/18/2021 (2) | 10,000,000 | 10,052,913 | ||||||||||
3.750%, 07/08/2021 (2) | 10,150,000 | 10,351,513 | ||||||||||
3.100%, 04/05/2022 (2) | 2,000,000 | 2,010,522 | ||||||||||
3.400%, 06/20/2024 (2) | 16,850,000 | 16,933,065 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 9,225,000 | 9,218,590 | ||||||||||
IHS Markit Ltd., | ||||||||||||
3.625%, 05/01/2024 (1) | 10,000,000 | 10,306,500 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd, | ||||||||||||
5.750%, 06/15/2043 | 4,126,000 | 5,090,196 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.650%, 11/01/2044 (1) | 1,300,000 | 1,415,145 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 13,000,000 | 13,887,718 | ||||||||||
International Flavors & Fragrances, Inc., | ||||||||||||
5.000%, 09/26/2048 | 10,000,000 | 11,107,662 | ||||||||||
Johnson Controls International PLC, | ||||||||||||
3.900%, 02/14/2026 (1) | 3,645,000 | 3,802,273 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 12,000,000 | 13,444,135 | ||||||||||
Kerr-McGee Corp., | ||||||||||||
7.875%, 09/15/2031 | 12,790,000 | 17,506,892 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 9,000,000 | 9,081,534 | ||||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
4.417%, 05/25/2025 | 7,000,000 | 7,502,160 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 13,300,000 | 13,314,774 | ||||||||||
4.550%, 10/30/2024 | 7,283,000 | 7,794,387 | ||||||||||
4.600%, 04/06/2027 | 50,189,000 | 53,663,883 |
Kinder Morgan Energy Partners LP: | ||||||||||||
6.850%, 02/15/2020 | 4,645,000 | 4,763,181 | ||||||||||
6.500%, 02/01/2037 | 400,000 | 480,327 | ||||||||||
6.950%, 01/15/2038 | 5,130,000 | 6,577,498 | ||||||||||
7.500%, 11/15/2040 | 15,783,000 | 21,114,671 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
3.050%, 12/01/2019 | 7,000,000 | 7,012,615 | ||||||||||
5.000%, 02/15/2021 (2) | 10,008,000 | 10,379,902 | ||||||||||
8.050%, 10/15/2030 | 15,009,000 | 19,591,957 | ||||||||||
7.800%, 08/01/2031 | 16,174,000 | 21,751,838 | ||||||||||
5.200%, 03/01/2048 | 8,025,000 | 9,065,352 | ||||||||||
Kinross Gold Corp., | ||||||||||||
6.875%, 09/01/2041 (1) | 5,500,000 | 6,221,875 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
4.000%, 06/15/2023 | 17,000,000 | 17,811,492 | ||||||||||
6.750%, 03/15/2032 | 10,000,000 | 12,190,352 | ||||||||||
5.000%, 07/15/2035 | 7,375,000 | 7,736,087 | ||||||||||
5.000%, 06/04/2042 | 5,000,000 | 5,163,034 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 1,500,000 | 1,887,164 | ||||||||||
LafargeHolcim Finance US LLC, | ||||||||||||
3.500%, 09/22/2026 (2) | 12,565,000 | 12,505,072 | ||||||||||
Lear Corp.: | ||||||||||||
5.250%, 01/15/2025 | 21,600,000 | 22,378,936 | ||||||||||
3.800%, 09/15/2027 | 7,725,000 | 7,646,710 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 1,385,000 | 1,420,941 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 10,000,000 | 10,041,695 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
5.000%, 03/01/2026 | 10,000,000 | 11,110,526 | ||||||||||
4.200%, 03/15/2045 | 8,770,000 | 8,466,204 | ||||||||||
4.250%, 09/15/2046 | 1,230,000 | 1,268,500 | ||||||||||
Marathon Oil Corp., | ||||||||||||
2.800%, 11/01/2022 | 10,175,000 | 10,221,807 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 20,000,000 | 20,207,502 | ||||||||||
3.625%, 09/15/2024 | 2,500,000 | 2,587,824 | ||||||||||
4.750%, 09/15/2044 | 3,985,000 | 4,110,274 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 450,000 | 517,175 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 232,000 | 238,665 | ||||||||||
6.500%, 08/15/2032 | 13,934,000 | 16,443,026 | ||||||||||
McDonald's Corp., | ||||||||||||
3.700%, 01/30/2026 | 7,250,000 | 7,707,209 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 12,845,000 | 13,075,514 | ||||||||||
4.333%, 06/01/2023 | 9,000,000 | 9,384,764 | ||||||||||
Micron Technology, Inc., | ||||||||||||
4.640%, 02/06/2024 | 3,000,000 | 3,128,290 | ||||||||||
Microsoft Corp., | ||||||||||||
4.200%, 11/03/2035 | 5,650,000 | 6,478,978 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 13,695,000 | 14,251,314 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020 (2) | 26,313,000 | 26,325,797 | ||||||||||
3.900%, 04/15/2025 (2) | 4,500,000 | 4,648,998 | ||||||||||
Mosaic Co., | ||||||||||||
5.450%, 11/15/2033 | 16,101,000 | 18,233,417 | ||||||||||
MPLX LP: | ||||||||||||
4.875%, 12/01/2024 | 9,650,000 | 10,497,593 | ||||||||||
4.000%, 02/15/2025 | 8,125,000 | 8,484,521 | ||||||||||
4.875%, 06/01/2025 | 14,500,000 | 15,758,917 | ||||||||||
5.500%, 02/15/2049 | 8,825,000 | 10,023,189 | ||||||||||
4.900%, 04/15/2058 | 5,000,000 | 5,072,186 | ||||||||||
Murphy Oil Corp., | ||||||||||||
4.450%, 12/01/2022 | 12,600,000 | 12,710,250 | ||||||||||
Mylan NV: | ||||||||||||
3.750%, 12/15/2020 (1) | 5,875,000 | 5,929,854 | ||||||||||
3.150%, 06/15/2021 (1) | 8,100,000 | 8,101,645 | ||||||||||
Mylan, Inc.: | ||||||||||||
3.125%, 01/15/2023 (2) | 11,800,000 | 11,467,099 | ||||||||||
4.200%, 11/29/2023 | 4,525,000 | 4,545,775 | ||||||||||
4.550%, 04/15/2028 | 5,000,000 | 4,903,443 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 25,709,000 | 26,086,499 | ||||||||||
Noble Energy, Inc.: | ||||||||||||
3.900%, 11/15/2024 | 3,000,000 | 3,130,009 | ||||||||||
5.050%, 11/15/2044 | 3,000,000 | 3,191,138 | ||||||||||
NuStar Logistics LP: | ||||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,339,125 | ||||||||||
6.750%, 02/01/2021 | 3,000,000 | 3,135,000 | ||||||||||
Nutrien Ltd.: | ||||||||||||
4.000%, 12/15/2026 (1) | 10,000,000 | 10,432,389 | ||||||||||
4.125%, 03/15/2035 (1) | 6,550,000 | 6,499,682 | ||||||||||
nVent Finance Sarl: | ||||||||||||
3.950%, 04/15/2023 (1) | 11,055,000 | 11,209,927 | ||||||||||
4.550%, 04/15/2028 (1) | 16,230,000 | 16,489,962 | ||||||||||
NXP Semiconductors N.V., | ||||||||||||
4.625%, 06/15/2022 (1)(2) | 3,326,000 | 3,483,985 | ||||||||||
NXP Semiconductors NV, | ||||||||||||
3.875%, 09/01/2022 (1)(2) | 9,300,000 | 9,562,632 | ||||||||||
ONEOK Partners LP: | ||||||||||||
3.375%, 10/01/2022 | 4,007,000 | 4,071,455 | ||||||||||
5.000%, 09/15/2023 | 8,300,000 | 8,966,129 | ||||||||||
ONEOK, Inc.: | ||||||||||||
4.250%, 02/01/2022 | 6,450,000 | 6,675,007 | ||||||||||
7.500%, 09/01/2023 | 22,959,000 | 26,884,552 | ||||||||||
Oracle Corp., | ||||||||||||
3.900%, 05/15/2035 | 7,425,000 | 8,038,499 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 33,426,000 | 50,969,341 | ||||||||||
Owens Corning: | ||||||||||||
4.200%, 12/01/2024 | 10,000,000 | 10,390,295 | ||||||||||
3.400%, 08/15/2026 | 5,000,000 | 4,869,597 | ||||||||||
Packaging Corp. of America, | ||||||||||||
4.500%, 11/01/2023 | 4,700,000 | 5,032,494 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,460,093 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.650%, 12/01/2019 (1) | 5,000,000 | 4,996,854 | ||||||||||
Pernod Ricard SA, | ||||||||||||
4.250%, 07/15/2022 (1)(2) | 26,700,000 | 28,009,074 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
3.900%, 12/15/2024 (1) | 31,500,000 | 31,271,600 | ||||||||||
Phillips 66: | ||||||||||||
4.650%, 11/15/2034 | 13,000,000 | 14,469,722 | ||||||||||
5.875%, 05/01/2042 | 5,000,000 | 6,188,518 | ||||||||||
4.875%, 11/15/2044 | 15,000,000 | 16,814,832 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,060,839 | ||||||||||
4.680%, 02/15/2045 | 2,000,000 | 2,070,133 | ||||||||||
Plum Creek Timberlands LP: | ||||||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,237,531 | ||||||||||
3.250%, 03/15/2023 | 8,375,000 | 8,515,390 | ||||||||||
POSCO: | ||||||||||||
4.250%, 10/28/2020 (1)(2) | 2,300,000 | 2,352,118 | ||||||||||
4.000%, 08/01/2023 (1)(2) | 13,000,000 | 13,594,631 | ||||||||||
Qwest Capital Funding, Inc., | ||||||||||||
7.625%, 08/03/2021 | 200,000 | 206,582 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 11,850,000 | 12,518,134 | ||||||||||
Reliance Holding USA, Inc.: | ||||||||||||
4.500%, 10/19/2020 (2) | 2,000,000 | 2,044,849 | ||||||||||
5.400%, 02/14/2022 (2) | 3,500,000 | 3,719,060 | ||||||||||
Republic Services, Inc.: | ||||||||||||
5.500%, 09/15/2019 | 8,000,000 | 8,044,615 | ||||||||||
4.750%, 05/15/2023 | 13,459,000 | 14,528,116 | ||||||||||
2.900%, 07/01/2026 | 15,000,000 | 15,079,913 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 2,695,000 | 2,738,794 | ||||||||||
Rogers Communications, Inc., | ||||||||||||
4.350%, 05/01/2049 (1) | 10,000,000 | 10,822,031 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 14,500,000 | 16,241,047 | ||||||||||
5.875%, 06/30/2026 | 50,315,000 | 57,496,723 | ||||||||||
5.000%, 03/15/2027 | 15,300,000 | 16,775,763 | ||||||||||
Samarco Mineracao SA: | ||||||||||||
5.750%, 10/24/2023 (1)(2)(8) | 5,475,000 | 4,345,836 | ||||||||||
5.375%, 09/26/2024 (1)(2)(8) | 5,125,000 | 4,068,020 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
3.900%, 05/17/2028 (2) | 11,096,000 | 11,546,835 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 5,000,000 | 5,088,473 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022 (1) | 52,944,000 | 53,841,934 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 10,550,000 | 11,252,580 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023 (1) | 54,946,000 | 55,483,125 | ||||||||||
Silgan Holdings, Inc., | ||||||||||||
4.750%, 03/15/2025 | 1,000,000 | 1,007,500 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027 (1)(2) | 960,000 | 1,203,907 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 10,200,000 | 10,054,257 | ||||||||||
3.350%, 02/01/2022 (2) | 31,389,000 | 31,310,816 | ||||||||||
5.200%, 04/01/2029 (2) | 12,000,000 | 13,081,983 |
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020 (2) | 39,226,000 | 39,603,424 | ||||||||||
4.450%, 12/03/2025 (2) | 24,426,000 | 26,012,495 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,032,824 | ||||||||||
Spectra Energy Partners LP: | ||||||||||||
3.500%, 03/15/2025 | 15,150,000 | 15,551,353 | ||||||||||
4.500%, 03/15/2045 | 5,000,000 | 5,282,498 | ||||||||||
Standard Industries, Inc.: | ||||||||||||
5.375%, 11/15/2024 (2) | 3,727,000 | 3,857,445 | ||||||||||
6.000%, 10/15/2025 (2) | 8,511,000 | 9,032,299 | ||||||||||
4.750%, 01/15/2028 (2) | 21,000,000 | 20,842,500 | ||||||||||
Stanley Black & Decker, Inc., | ||||||||||||
4.850%, 11/15/2048 | 4,175,000 | 4,948,783 | ||||||||||
Sunoco Finance Corp., | ||||||||||||
4.875%, 01/15/2023 | 2,000,000 | 2,042,500 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.450%, 01/15/2023 | 2,000,000 | 2,033,081 | ||||||||||
6.100%, 02/15/2042 | 1,000,000 | 1,107,325 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 2,000,000 | 1,999,416 | ||||||||||
Tallgrass Energy Finance Corp., | ||||||||||||
4.750%, 10/01/2023 (2) | 7,000,000 | 7,096,390 | ||||||||||
Targa Resources Partners LP: | ||||||||||||
6.500%, 07/15/2027 (2) | 1,000,000 | 1,091,250 | ||||||||||
5.000%, 01/15/2028 | 28,000,000 | 28,070,000 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 26,205,000 | 27,613,336 | ||||||||||
3.900%, 05/25/2027 | 5,885,000 | 5,990,154 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 13,235,000 | 13,462,301 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
5.303%, 05/30/2024 (1)(2) | 21,500,000 | 22,252,500 | ||||||||||
7.200%, 07/18/2036 (1) | 3,175,000 | 3,500,438 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021 (1) | 2,402,000 | 2,516,931 | ||||||||||
4.570%, 04/27/2023 (1) | 1,000,000 | 1,081,385 | ||||||||||
4.103%, 03/08/2027 (1) | 8,125,000 | 8,631,329 | ||||||||||
7.045%, 06/20/2036 (1) | 4,925,000 | 6,447,790 | ||||||||||
5.213%, 03/08/2047 (1) | 5,000,000 | 5,512,350 | ||||||||||
4.895%, 03/06/2048 (1) | 9,475,000 | 10,006,194 | ||||||||||
5.520%, 03/01/2049 (1) | 12,000,000 | 13,900,270 | ||||||||||
TELUS Corp., | ||||||||||||
2.800%, 02/16/2027 (1) | 13,100,000 | 12,878,168 | ||||||||||
Tenet Healthcare Corp., | ||||||||||||
6.750%, 06/15/2023 | 1,000,000 | 1,003,750 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023 (1) | 24,275,000 | 20,997,875 | ||||||||||
3.150%, 10/01/2026 (1) | 36,000,000 | 27,900,000 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.300%, 02/15/2022 | 7,000,000 | 7,167,251 | ||||||||||
Timken Co.: | ||||||||||||
3.875%, 09/01/2024 | 18,500,000 | 19,109,714 | ||||||||||
4.500%, 12/15/2028 | 6,025,000 | 6,254,974 | ||||||||||
T-Mobile USA, Inc., | ||||||||||||
4.750%, 02/01/2028 | 17,250,000 | 17,747,663 | ||||||||||
Total System Services, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 9,199,000 | 9,369,201 | ||||||||||
4.000%, 06/01/2023 | 10,775,000 | 11,249,648 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
4.750%, 05/15/2038 (1) | 10,000,000 | 10,962,795 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,687,723 | ||||||||||
Transocean, Inc.: | ||||||||||||
8.375%, 12/15/2021 (1) | 5,500,000 | 5,781,875 | ||||||||||
5.800%, 10/15/2022 (1) | 5,000,000 | 4,912,500 | ||||||||||
TTX Co.: | ||||||||||||
4.650%, 06/15/2044 (2) | 7,710,000 | 8,657,866 | ||||||||||
3.900%, 02/01/2045 (2) | 25,325,000 | 25,745,339 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
7.125%, 10/01/2037 (1) | 500,000 | 679,943 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
5.100%, 09/23/2048 | 4,650,000 | 5,252,245 | ||||||||||
United Rentals North America, Inc.: | ||||||||||||
4.625%, 10/15/2025 | 15,540,000 | 15,792,525 | ||||||||||
5.875%, 09/15/2026 | 13,000,000 | 13,845,000 | ||||||||||
6.500%, 12/15/2026 | 5,000,000 | 5,412,500 | ||||||||||
5.250%, 01/15/2030 | 3,000,000 | 3,082,500 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
4.375%, 01/11/2022 (1) | 1,063,000 | 1,095,166 | ||||||||||
6.250%, 08/10/2026 (1) | 22,000,000 | 24,990,900 | ||||||||||
8.250%, 01/17/2034 (1) | 425,000 | 555,156 | ||||||||||
6.875%, 11/21/2036 (1) | 10,475,000 | 12,583,094 | ||||||||||
6.875%, 11/10/2039 (1) | 15,850,000 | 19,023,170 | ||||||||||
Valeant Pharmaceuticals International, Inc., | ||||||||||||
5.875%, 05/15/2023 (1)(2) | 2,066,000 | 2,090,007 | ||||||||||
Valero Energy Corp.: | ||||||||||||
3.400%, 09/15/2026 | 17,500,000 | 17,845,327 | ||||||||||
6.625%, 06/15/2037 | 5,000,000 | 6,334,586 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.500%, 03/15/2028 | 20,000,000 | 21,210,209 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
5.800%, 05/01/2021 | 2,585,000 | 2,741,670 | ||||||||||
4.000%, 06/15/2025 | 10,000,000 | 10,678,421 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.500%, 08/10/2033 | 15,710,000 | 17,698,365 | ||||||||||
4.400%, 11/01/2034 | 790,000 | 875,811 | ||||||||||
4.272%, 01/15/2036 | 19,793,000 | 21,437,850 | ||||||||||
5.250%, 03/16/2037 | 18,225,000 | 21,799,499 | ||||||||||
4.812%, 03/15/2039 | 38,575,000 | 44,347,049 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020 (1)(2) | 7,000,000 | 7,232,820 | ||||||||||
Vodafone Group PLC: | ||||||||||||
3.750%, 01/16/2024 (1) | 2,184,000 | 2,283,455 | ||||||||||
7.875%, 02/15/2030 (1) | 9,793,000 | 13,224,729 | ||||||||||
6.150%, 02/27/2037 (1) | 11,825,000 | 14,364,951 | ||||||||||
4.375%, 02/19/2043 (1) | 5,054,000 | 4,966,746 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 9,000,000 | 9,289,221 | ||||||||||
4.250%, 11/13/2023 (2) | 18,000,000 | 18,948,437 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
4.500%, 04/01/2025 | 3,000,000 | 3,197,982 | ||||||||||
4.700%, 03/01/2048 | 500,000 | 490,193 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 9,750,000 | 10,099,917 | ||||||||||
4.400%, 03/15/2024 | 5,000,000 | 5,293,579 | ||||||||||
3.450%, 11/15/2026 | 27,225,000 | 26,603,306 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 8,060,000 | 8,222,279 | ||||||||||
3.800%, 11/18/2024 | 10,000,000 | 10,387,784 | ||||||||||
3.450%, 06/01/2026 | 7,000,000 | 7,066,723 | ||||||||||
Walmart, Inc., | ||||||||||||
4.050%, 06/29/2048 | 11,975,000 | 13,720,737 | ||||||||||
Walt Disney Co.: | ||||||||||||
3.700%, 09/15/2024 (2) | 4,025,000 | 4,283,605 | ||||||||||
7.430%, 10/01/2026 (2) | 3,300,000 | 4,239,216 | ||||||||||
6.150%, 03/01/2037 (2) | 9,000,000 | 12,227,502 | ||||||||||
5.400%, 10/01/2043 (2) | 5,000,000 | 6,523,262 | ||||||||||
4.750%, 09/15/2044 (2) | 1,950,000 | 2,381,307 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.900%, 03/01/2035 | 5,000,000 | 5,343,843 | ||||||||||
Weatherford International Ltd., | ||||||||||||
4.500%, 04/15/2022 (1) | 5,020,000 | 2,547,650 | ||||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 55,993,429 | ||||||||||
Western Gas Partners LP, | ||||||||||||
4.000%, 07/01/2022 | 17,845,000 | 18,077,035 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 1,160,000 | 1,234,367 | ||||||||||
8.200%, 01/15/2030 | 3,012,000 | 4,059,781 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 5,065,000 | 5,618,886 | ||||||||||
3.700%, 01/15/2023 | 44,375,000 | 45,862,446 | ||||||||||
4.550%, 06/24/2024 | 7,629,000 | 8,220,572 | ||||||||||
7.500%, 01/15/2031 | 120,000 | 155,266 | ||||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,614,583 | ||||||||||
8.750%, 03/15/2032 | 9,275,000 | 13,201,596 | ||||||||||
5.750%, 06/24/2044 | 2,500,000 | 2,917,708 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 2,390,000 | 2,434,157 | ||||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,931,441 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025 (1)(2) | 15,575,000 | 15,986,266 | ||||||||||
WPX Energy, Inc., | ||||||||||||
6.000%, 01/15/2022 | 4,000,000 | 4,170,000 | ||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | ||||||||||||
4.250%, 05/30/2023 (2) | 4,000,000 | 3,990,000 | ||||||||||
Xerox Corp., | ||||||||||||
3.625%, 03/15/2023 | 35,175,000 | 35,804,984 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 20,250,000 | 20,368,648 | ||||||||||
Zimmer Biomet Holdings, Inc.: | ||||||||||||
3.550%, 04/01/2025 | 5,000,000 | 5,153,806 | ||||||||||
5.750%, 11/30/2039 | 9,000,000 | 10,261,162 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 11,885,000 | 12,035,765 | ||||||||||
3.250%, 02/01/2023 | 24,701,000 | 25,210,971 | ||||||||||
4.500%, 11/13/2025 | 16,275,000 | 17,858,975 | ||||||||||
Total Industrials | 5,690,362,338 | 26.7 | % |
Utilities | ||||||||||||
Appalachian Power Co., | ||||||||||||
6.700%, 08/15/2037 | 1,400,000 | 1,826,798 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
3.500%, 02/01/2025 | 7,000,000 | 7,368,931 | ||||||||||
CMS Energy Corp., | ||||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,064,039 | ||||||||||
Consolidated Edison Co. of New York, Inc., | ||||||||||||
4.625%, 12/01/2054 | 7,600,000 | 8,524,585 | ||||||||||
Dominion Resources, Inc., | ||||||||||||
5.950%, 06/15/2035 | 1,880,000 | 2,309,700 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 4,790,563 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 8,816,000 | 8,835,395 | ||||||||||
3.625%, 07/15/2024 (1)(2) | 36,340,000 | 37,350,477 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,500,000 | 7,559,405 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 27,500,000 | 27,625,506 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 7,000,000 | 6,900,881 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 3,875,000 | 4,928,409 | ||||||||||
6.000%, 10/07/2039 (1)(2) | 631,000 | 748,252 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 42,584,000 | 44,310,503 | ||||||||||
Exelon Corp.: | ||||||||||||
3.950%, 06/15/2025 | 15,775,000 | 16,744,543 | ||||||||||
5.100%, 06/15/2045 | 5,875,000 | 6,765,402 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
5.600%, 06/15/2042 | 6,100,000 | 6,795,529 | ||||||||||
Fortis Inc., | ||||||||||||
3.055%, 10/04/2026 (1) | 8,762,000 | 8,697,533 | ||||||||||
Infraestructura Energetica Nova SAB de CV, | ||||||||||||
3.750%, 01/14/2028 (1)(2) | 5,000,000 | 4,743,750 | ||||||||||
KeySpan Corp., | ||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,666,360 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 2,800,000 | 2,906,176 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,775,000 | 11,740,982 | �� | |||||||||
PSEG Power LLC, | ||||||||||||
3.000%, 06/15/2021 | 25,027,000 | 25,294,440 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 363,293 | 404,579 | ||||||||||
Southern Co., | ||||||||||||
2.950%, 07/01/2023 | 17,400,000 | 17,660,593 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 6,000,000 | 6,239,911 | ||||||||||
Total Utilities | 274,803,242 | 1.3 | % |
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.450%, 06/04/2020 (1)(2) | 13,000,000 | 13,002,288 | ||||||||||
7.750%, 05/15/2023 (1)(2) | 8,000,000 | 9,157,859 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 36,075,000 | 38,612,516 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 18,925,000 | 20,379,453 | ||||||||||
AerCap Holdings N.V., | ||||||||||||
4.875%, 01/16/2024 (1) | 6,708,000 | 7,203,081 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 9,000,000 | 9,191,250 | ||||||||||
AIG SunAmerica Global Financing X, | ||||||||||||
6.900%, 03/15/2032 (2) | 2,000,000 | 2,752,399 | ||||||||||
Ally Financial, Inc.: | ||||||||||||
3.750%, 11/18/2019 | 18,200,000 | 18,236,400 | ||||||||||
4.125%, 03/30/2020 | 10,000,000 | 10,096,700 | ||||||||||
5.125%, 09/30/2024 | 3,000,000 | 3,240,000 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 3,500,000 | 3,695,110 | ||||||||||
4.875%, 06/01/2022 | 25,951,000 | 27,820,768 | ||||||||||
3.750%, 07/10/2025 | 11,400,000 | 11,935,143 | ||||||||||
3.875%, 01/15/2035 | 15,000,000 | 14,939,286 | ||||||||||
6.820%, 11/15/2037 | 4,173,000 | 5,344,765 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 1,110,000 | 1,316,707 | ||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 7,050,000 | 7,293,318 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.750%, 02/03/2021 (1)(2) | 10,000,000 | 10,050,278 | ||||||||||
2.125%, 07/28/2021 (1)(2) | 17,175,000 | 17,059,317 | ||||||||||
Aon Corp., | ||||||||||||
5.000%, 09/30/2020 | 150,000 | 154,988 | ||||||||||
Aon PLC, | ||||||||||||
3.875%, 12/15/2025 (1) | 14,490,000 | 15,414,715 | ||||||||||
Assurant, Inc., | ||||||||||||
3.583%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 12,000,000 | 12,000,825 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 32,000,000 | 33,864,050 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 12,000,000 | 12,310,166 | ||||||||||
3.848%, 04/12/2023 (1) | 16,700,000 | 17,336,264 | ||||||||||
5.179%, 11/19/2025 (1) | 11,150,000 | 12,126,910 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.625%, 04/19/2021 | 17,500,000 | 17,609,077 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 4,500,000 | 4,495,095 | ||||||||||
3.300%, 01/11/2023 | 22,650,000 | 23,347,091 | ||||||||||
3.004%, 12/20/2023 (3 Month LIBOR USD + 0.790%) (3) | 8,352,000 | 8,505,221 | ||||||||||
3.864%, 07/23/2024 (3 Month LIBOR USD + 0.940%) (3) | 12,575,000 | 13,207,916 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 9,650,000 | 10,017,263 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 12,000,000 | 12,296,084 | ||||||||||
3.366%, 01/23/2026 (3 Month LIBOR USD + 0.810%) (3) | 22,700,000 | 23,423,922 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,147,555 | ||||||||||
7.750%, 05/14/2038 | 725,000 | 1,070,003 | ||||||||||
Bank of Montreal: | ||||||||||||
1.900%, 08/27/2021 (1) | 26,450,000 | 26,282,531 | ||||||||||
3.803%, 12/15/2032 (5 Year Swap Rate USD + 1.432%) (1)(3) | 5,000,000 | 5,070,550 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 8,225,000 | 8,300,606 | ||||||||||
4.500%, 12/16/2025 (1) | 8,048,000 | 8,663,867 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.300%, 03/05/2020 (1)(2) | 8,075,000 | 8,069,154 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 12,475,000 | 13,077,093 | ||||||||||
Barclays PLC: | ||||||||||||
2.750%, 11/08/2019 (1) | 7,000,000 | 6,992,891 | ||||||||||
3.250%, 01/12/2021 (1) | 25,000,000 | 25,179,412 | ||||||||||
3.684%, 01/10/2023 (1) | 22,500,000 | 22,794,703 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,346,787 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 5,000,000 | 5,164,488 | ||||||||||
3.650%, 03/16/2025 (1) | 17,350,000 | 17,437,444 | ||||||||||
4.337%, 01/10/2028 (1) | 10,000,000 | 10,240,316 | ||||||||||
BB&T Corp., | ||||||||||||
2.625%, 06/29/2020 | 13,000,000 | 13,026,780 | ||||||||||
Berkshire Hathaway Finance Corp., | ||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,934,468 | ||||||||||
BNP Paribas SA: | ||||||||||||
5.000%, 01/15/2021 (1) | 5,000,000 | 5,202,619 | ||||||||||
3.500%, 03/01/2023 (1)(2) | 4,000,000 | 4,114,665 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,000,000 | 8,139,562 | ||||||||||
4.375%, 09/28/2025 (1)(2) | 4,700,000 | 4,939,469 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.400%, 02/21/2020 (1)(2) | 8,000,000 | 8,005,126 | ||||||||||
2.750%, 03/02/2021 (1)(2) | 18,750,000 | 18,815,878 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 24,750,000 | 25,531,476 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 33,770,000 | 36,911,207 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 3,185,000 | 3,364,313 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 37,902,000 | 41,001,642 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 20,475,000 | 21,579,988 | ||||||||||
Brighthouse Financial, Inc., | ||||||||||||
4.700%, 06/22/2047 | 7,000,000 | 5,848,751 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 4,090,000 | 4,296,470 | ||||||||||
Cantor Fitzgerald LP, | ||||||||||||
4.875%, 05/01/2024 (2) | 5,000,000 | 5,157,122 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.050%, 03/09/2022 | 10,000,000 | 10,155,618 | ||||||||||
3.200%, 01/30/2023 | 5,000,000 | 5,126,209 | ||||||||||
3.750%, 07/28/2026 | 11,960,000 | 12,171,156 | ||||||||||
Capital One NA: | ||||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,993,115 | ||||||||||
3.375%, 02/15/2023 | 45,098,000 | 46,002,139 | ||||||||||
CIT Group, Inc.: | ||||||||||||
4.125%, 03/09/2021 | 100,000 | 101,905 | ||||||||||
5.000%, 08/01/2023 | 5,000,000 | 5,337,500 | ||||||||||
4.750%, 02/16/2024 | 13,000,000 | 13,811,590 | ||||||||||
5.250%, 03/07/2025 | 100,000 | 109,625 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.400%, 02/18/2020 | 8,000,000 | 7,999,971 | ||||||||||
2.350%, 08/02/2021 | 8,125,000 | 8,119,777 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 10,000,000 | 10,170,939 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 12,450,000 | 12,610,561 | ||||||||||
3.950%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 8,000,000 | 8,147,522 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 11,000,000 | 11,362,774 | ||||||||||
3.700%, 01/12/2026 | 4,700,000 | 4,947,688 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 30,000,000 | 31,739,014 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.450%, 12/04/2019 | 6,775,000 | 6,774,635 | ||||||||||
2.550%, 05/13/2021 | 6,175,000 | 6,193,273 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 9,752,000 | 10,425,506 | ||||||||||
7.250%, 11/15/2023 | 12,400,000 | 14,542,959 | ||||||||||
4.500%, 03/01/2026 | 21,125,000 | 22,646,188 | ||||||||||
3.450%, 08/15/2027 | 9,000,000 | 9,157,810 | ||||||||||
CNO Financial Group, Inc., | ||||||||||||
5.250%, 05/30/2025 | 18,640,000 | 20,084,600 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 21,425,000 | 22,667,405 | ||||||||||
Commonwealth Bank of Australia, | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 19,000,000 | 20,241,185 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 34,394,000 | 34,390,952 | ||||||||||
2.875%, 06/29/2022 | 15,700,000 | 15,832,724 | ||||||||||
3.875%, 04/10/2025 | 32,180,000 | 33,338,597 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.875%, 02/08/2022 (1) | 4,150,000 | 4,319,001 | ||||||||||
4.625%, 12/01/2023 (1) | 7,229,000 | 7,743,828 | ||||||||||
3.750%, 07/21/2026 (1) | 23,000,000 | 23,535,967 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 23,225,000 | 23,686,280 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 8,375,000 | 8,692,720 | ||||||||||
3.250%, 10/04/2024 (1)(2) | 8,575,000 | 8,745,969 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 37,093,000 | 38,813,442 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.300%, 08/13/2019 (1) | 7,166,000 | 7,188,753 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 9,000,000 | 9,188,611 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 6,000,000 | 6,295,878 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 16,750,000 | 17,682,731 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 10,850,000 | 11,185,305 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 21,400,000 | 22,193,337 | ||||||||||
3.750%, 03/26/2025 (1) | 15,000,000 | 15,665,847 | ||||||||||
4.550%, 04/17/2026 (1) | 5,000,000 | 5,438,716 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 14,175,000 | 14,376,182 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 8,625,000 | 8,562,854 | ||||||||||
3.150%, 01/22/2021 (1) | 16,954,000 | 16,826,139 | ||||||||||
3.375%, 05/12/2021 (1) | 5,450,000 | 5,420,631 | ||||||||||
4.250%, 10/14/2021 (1) | 29,900,000 | 30,311,915 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,308,153 | ||||||||||
3.300%, 11/16/2022 (1) | 17,625,000 | 17,325,606 | ||||||||||
3.950%, 02/27/2023 (1) | 3,325,000 | 3,336,188 | ||||||||||
Digital Realty Trust LP: | ||||||||||||
4.450%, 07/15/2028 | 7,000,000 | 7,588,589 | ||||||||||
3.600%, 07/01/2029 | 41,950,000 | 42,538,724 | ||||||||||
Discover Bank: | ||||||||||||
8.700%, 11/18/2019 | 3,237,000 | 3,308,753 | ||||||||||
3.100%, 06/04/2020 | 12,000,000 | 12,057,960 | ||||||||||
3.350%, 02/06/2023 | 7,000,000 | 7,163,692 | ||||||||||
4.650%, 09/13/2028 | 8,225,000 | 8,995,307 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 25,000,000 | 26,299,606 | ||||||||||
4.100%, 02/09/2027 | 4,600,000 | 4,791,631 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 9,825,000 | 9,870,109 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,022,000 | 29,369,910 | ||||||||||
First Republic Bank, | ||||||||||||
4.625%, 02/13/2047 | 1,850,000 | 1,991,500 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 12,000,000 | 12,013,751 | ||||||||||
FMR LLC: | ||||||||||||
4.950%, 02/01/2033 (2) | 4,235,000 | 5,045,830 | ||||||||||
6.500%, 12/14/2040 (2) | 1,820,000 | 2,472,107 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 24,200,000 | 24,085,108 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.550%, 10/23/2019 | 4,000,000 | 4,001,482 | ||||||||||
2.300%, 12/13/2019 | 12,450,000 | 12,444,567 | ||||||||||
5.250%, 07/27/2021 | 1,100,000 | 1,162,649 | ||||||||||
2.350%, 11/15/2021 | 10,000,000 | 9,990,030 | ||||||||||
5.750%, 01/24/2022 | 15,100,000 | 16,319,837 | ||||||||||
4.125%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 10,000,000 | 10,268,000 | ||||||||||
3.500%, 01/23/2025 | 9,400,000 | 9,724,877 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 24,000,000 | 24,561,496 | ||||||||||
3.814%, 04/23/2029 (3 Month LIBOR USD + 1.158%) (3) | 17,875,000 | 18,682,321 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 15,050,000 | 16,141,251 | ||||||||||
6.345%, 02/15/2034 | 125,000 | 157,129 | ||||||||||
6.750%, 10/01/2037 | 300,000 | 392,385 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 11,215,000 | 13,017,557 | ||||||||||
4.850%, 01/24/2077 (2) | 10,546,000 | 11,916,289 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 10,000,000 | 11,441,000 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
5.125%, 04/15/2022 | 6,097,000 | 6,536,630 | ||||||||||
High Street Funding Trust I, | ||||||||||||
Series 2018-1, 4.111%, 02/15/2028 (2) | 9,000,000 | 9,468,000 | ||||||||||
High Street Funding Trust II, | ||||||||||||
Series 2018-2, 4.682%, 02/15/2048 (2) | 7,000,000 | 7,553,000 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 7,800,000 | 8,030,543 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021 (1) | 9,100,000 | 9,239,939 | ||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,015,532 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 30,996,000 | 31,572,013 | ||||||||||
3.600%, 05/25/2023 (1) | 6,000,000 | 6,242,220 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 9,000,000 | 9,415,735 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 5,200,000 | 5,417,934 | ||||||||||
4.583%, 06/19/2029 (3 Month LIBOR USD + 1.535%) (1)(3) | 17,125,000 | 18,728,962 | ||||||||||
3.970%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 4,775,000 | 4,987,756 | ||||||||||
HSBC USA, Inc., | ||||||||||||
2.350%, 03/05/2020 | 2,750,000 | 2,750,110 | ||||||||||
Humana, Inc., | ||||||||||||
8.150%, 06/15/2038 | 8,983,000 | 12,644,786 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 17,225,000 | 17,438,465 | ||||||||||
2.300%, 01/14/2022 | 15,225,000 | 15,225,193 | ||||||||||
Huntington National Bank, | ||||||||||||
2.875%, 08/20/2020 | 12,275,000 | 12,347,901 | ||||||||||
ING Bank NV: | ||||||||||||
2.450%, 03/16/2020 (1)(2) | 9,500,000 | 9,509,503 | ||||||||||
2.750%, 03/22/2021 (1)(2) | 9,175,000 | 9,232,975 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 47,070,000 | 52,070,273 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 4,000,000 | 4,075,587 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 5,500,000 | 5,624,939 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,000,000 | 10,299,915 | ||||||||||
Jefferies Group LLC: | ||||||||||||
4.850%, 01/15/2027 | 15,750,000 | 16,250,748 | ||||||||||
6.450%, 06/08/2027 | 1,300,000 | 1,472,109 | ||||||||||
4.150%, 01/23/2030 | 30,200,000 | 28,949,691 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 | 17,615,000 | 20,731,995 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
4.250%, 10/15/2020 | 8,900,000 | 9,119,709 | ||||||||||
2.295%, 08/15/2021 | 22,000,000 | 21,967,717 | ||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,496,402 | ||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,636,428 | ||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,489,916 | ||||||||||
3.811%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,151,150 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,575,000 | 16,147,726 | ||||||||||
3.125%, 01/23/2025 | 21,850,000 | 22,468,865 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019 (1)(2) | 16,750,000 | 16,717,221 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 9,425,000 | 9,418,924 | ||||||||||
3.400%, 05/20/2026 | 21,575,000 | 22,134,169 | ||||||||||
KeyCorp, | ||||||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,313,723 |
Liberty Mutual Group, Inc.: | ||||||||||||
6.500%, 03/15/2035 (2) | 750,000 | 955,115 | ||||||||||
10.750%, 06/15/2088 (3 Month LIBOR USD + 7.120%) (2)(3) | 900,000 | 1,377,000 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 375,000 | 541,961 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 2,575,000 | 2,632,237 | ||||||||||
Lincoln National Corp., | ||||||||||||
4.632%, 04/20/2067 (3 Month LIBOR USD + 2.040%) (3) | 930,000 | 732,375 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 6,350,000 | 6,463,329 | ||||||||||
4.050%, 08/16/2023 (1) | 6,575,000 | 6,863,302 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 21,520,000 | 21,555,752 | ||||||||||
3.750%, 01/11/2027 (1) | 7,800,000 | 7,941,609 | ||||||||||
4.375%, 03/22/2028 (1) | 15,000,000 | 15,936,667 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 21,550,000 | 21,572,143 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 17,750,000 | 17,747,411 | ||||||||||
6.625%, 04/07/2021 (1)(2) | 275,000 | 293,642 | ||||||||||
4.875%, 06/10/2025 (1)(2) | 7,800,000 | 8,336,064 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
7.625%, 08/13/2019 (1)(2) | 2,467,000 | 2,481,379 | ||||||||||
3.547%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 35,850,000 | 36,276,260 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 21,000,000 | 21,892,710 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
3.617%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 9,483,000 | 9,493,281 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.900%, 09/17/2020 (1) | 3,234,000 | 3,332,399 | ||||||||||
4.150%, 03/04/2026 (1) | 16,375,000 | 17,655,343 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,039,742 | ||||||||||
3.300%, 03/14/2023 | 6,875,000 | 7,066,613 | ||||||||||
3.750%, 03/14/2026 | 9,225,000 | 9,734,306 | ||||||||||
5.875%, 08/01/2033 | 3,729,000 | 4,693,372 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
7.625%, 11/15/2023 (2) | 3,184,000 | 3,702,884 | ||||||||||
8.875%, 06/01/2039 (2) | 11,942,000 | 19,590,328 | ||||||||||
4.900%, 04/01/2077 (2) | 8,000,000 | 9,349,375 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.563%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3) | 700,000 | 489,125 | ||||||||||
MetLife Capital Trust IV, | ||||||||||||
7.875%, 12/15/2067 (2) | 900,000 | 1,134,000 | ||||||||||
MetLife, Inc.: | ||||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,012,068 | ||||||||||
4.050%, 03/01/2045 | 9,025,000 | 9,770,662 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021 (1) | 5,749,000 | 5,804,372 | ||||||||||
2.190%, 09/13/2021 (1) | 20,000,000 | 19,896,752 | ||||||||||
3.455%, 03/02/2023 (1) | 15,000,000 | 15,421,455 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.450%, 10/16/2019 (1)(2) | 10,000,000 | 10,000,346 | ||||||||||
Mizuho Bank Ltd., | ||||||||||||
2.400%, 03/26/2020 (1)(2) | 20,225,000 | 20,237,763 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.953%, 02/28/2022 (1) | 9,750,000 | 9,861,975 | ||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 4,997,008 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 9,000,000 | 9,424,242 | ||||||||||
3.170%, 09/11/2027 (1) | 24,650,000 | 25,248,915 | ||||||||||
Morgan Stanley: | ||||||||||||
5.625%, 09/23/2019 | 10,225,000 | 10,295,917 | ||||||||||
2.650%, 01/27/2020 | 7,000,000 | 7,008,009 | ||||||||||
3.125%, 01/23/2023 | 15,000,000 | 15,338,502 | ||||||||||
3.750%, 02/25/2023 | 1,000,000 | 1,044,618 | ||||||||||
3.981%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 10,000,000 | 10,191,300 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 25,000,000 | 26,063,101 | ||||||||||
3.700%, 10/23/2024 | 5,000,000 | 5,275,145 | ||||||||||
4.000%, 07/23/2025 | 2,500,000 | 2,677,762 | ||||||||||
3.875%, 01/27/2026 | 7,000,000 | 7,441,084 | ||||||||||
3.125%, 07/27/2026 | 13,175,000 | 13,425,523 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 15,350,000 | 15,983,189 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 1,150,000 | 1,186,060 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 14,500,000 | 14,800,560 | ||||||||||
3.900%, 07/21/2025 (1)(2) | 8,100,000 | 8,523,964 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 53,541,000 | 53,550,085 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 1,425,000 | 1,490,561 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 8,000,000 | 7,739,755 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 15,088,000 | 15,709,980 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
7.875%, 04/01/2033 (2) | 5,600,000 | 8,177,280 | ||||||||||
9.375%, 08/15/2039 (2) | 20,434,000 | 33,425,166 | ||||||||||
New England Mutual Life Insurance Co., | ||||||||||||
7.875%, 02/15/2024 (2) | 3,200,000 | 3,890,013 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 25,105,000 | 35,751,130 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 11,030,147 | ||||||||||
Nippon Life Insurance Co., | ||||||||||||
5.000%, 10/18/2042 (3 Month LIBOR USD + 4.240%) (1)(2)(3) | 2,000,000 | 2,105,000 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 3,050,000 | 3,135,785 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 16,000,000 | 16,655,702 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,237,106 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,215,000 | 1,240,764 | ||||||||||
3.125%, 05/15/2023 | 3,675,000 | 3,711,811 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
2.200%, 04/08/2020 (2) | 8,000,000 | 7,983,624 | ||||||||||
Protective Life Corp.: | ||||||||||||
7.375%, 10/15/2019 | 5,360,000 | 5,431,497 | ||||||||||
4.300%, 09/30/2028 (2) | 4,105,000 | 4,323,942 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020 (2) | 10,725,000 | 10,786,493 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
3.878%, 03/27/2028 | 11,275,000 | 12,257,684 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 21,011,000 | 27,095,933 | ||||||||||
Raymond James Financial, Inc.: | ||||||||||||
3.625%, 09/15/2026 | 425,000 | 437,065 | ||||||||||
4.950%, 07/15/2046 | 15,000,000 | 16,921,319 | ||||||||||
Realty Income Corp., | ||||||||||||
3.875%, 04/15/2025 | 10,000,000 | 10,639,760 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 30,725,000 | 31,057,775 | ||||||||||
2.750%, 08/14/2022 | 14,900,000 | 15,007,429 | ||||||||||
3.800%, 08/14/2023 | 19,737,000 | 20,649,632 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020 (2) | 14,000,000 | 13,993,553 | ||||||||||
2.375%, 05/04/2020 (2) | 20,750,000 | 20,724,142 | ||||||||||
3.050%, 01/20/2021 (2) | 10,954,000 | 11,046,246 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 29,930,000 | 32,668,265 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 62,335,000 | 63,029,429 | ||||||||||
4.519%, 06/25/2024 (3 Month LIBOR USD + 1.550%) (1)(3) | 17,475,000 | 18,200,827 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 8,300,000 | 8,583,786 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 4,250,000 | 4,538,368 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 11,000,000 | 11,386,345 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.400%, 01/18/2023 | 5,750,000 | 5,834,753 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 08/05/2021 (1) | 9,375,000 | 9,380,344 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,060,068 | ||||||||||
Santander UK PLC: | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 28,625,000 | 30,189,279 | ||||||||||
4.000%, 03/13/2024 (1) | 7,700,000 | 8,124,940 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.550%, 04/15/2024 (1)(2) | 15,000,000 | 15,435,891 | ||||||||||
Societe Generale SA: | ||||||||||||
5.200%, 04/15/2021 (1)(2) | 10,100,000 | 10,556,713 | ||||||||||
3.250%, 01/12/2022 (1)(2) | 20,000,000 | 20,286,296 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 9,725,000 | 10,232,196 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 13,000,000 | 13,796,320 | ||||||||||
3.875%, 03/28/2024 (1) | 10,000,000 | 10,344,149 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,975,000 | 22,534,920 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019 (1)(2) | 18,685,000 | 18,669,491 | ||||||||||
2.250%, 04/17/2020 (1)(2) | 7,000,000 | 6,978,551 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 14,000,000 | 14,093,718 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 17,600,000 | 18,038,339 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 22,000,000 | 22,460,334 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 14,000,000 | 16,303,068 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
3.500%, 12/01/2020 | 5,000,000 | 5,054,659 | ||||||||||
4.250%, 07/18/2024 | 19,615,000 | 20,586,628 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020 (1) | 13,025,000 | 13,027,825 | ||||||||||
3.000%, 01/18/2023 (1) | 2,500,000 | 2,546,607 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.784%, 07/12/2022 (1) | 13,325,000 | 13,498,341 | ||||||||||
3.102%, 01/17/2023 (1) | 16,125,000 | 16,412,733 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 5,125,000 | 5,171,114 | ||||||||||
3.689%, 08/02/2024 (3 Month LIBOR USD + 0.735%) (3) | 6,345,000 | 6,617,076 | ||||||||||
3.300%, 05/15/2026 | 28,734,000 | 29,258,755 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 7,025,000 | 7,028,105 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 16,825,000 | 17,145,509 | ||||||||||
4.250%, 08/15/2024 | 33,325,000 | 34,682,101 | ||||||||||
4.500%, 07/23/2025 | 12,795,000 | 13,432,576 | ||||||||||
3.700%, 08/04/2026 | 5,388,000 | 5,348,100 | ||||||||||
3.950%, 12/01/2027 | 23,000,000 | 22,973,484 | ||||||||||
Synovus Financial Corp., | ||||||||||||
3.125%, 11/01/2022 | 19,588,000 | 19,675,950 | ||||||||||
Torchmark Corp.: | ||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,309,778 | ||||||||||
4.550%, 09/15/2028 | 9,350,000 | 10,214,986 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 15,776,000 | 16,779,908 | ||||||||||
6.125%, 08/15/2043 (1) | 22,442,000 | 26,928,177 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.783%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 26,350,000 | 26,746,145 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 10,000,000 | 10,049,649 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 34,075,000 | 34,932,902 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 31,700,000 | 31,977,126 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
4.625%, 07/15/2035 | 12,175,000 | 13,991,901 | ||||||||||
Voya Financial, Inc., | ||||||||||||
3.650%, 06/15/2026 | 7,102,000 | 7,277,262 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.500%, 03/04/2021 | 15,950,000 | 15,984,787 | ||||||||||
3.069%, 01/24/2023 | 12,000,000 | 12,186,833 | ||||||||||
3.813%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,189,140 | ||||||||||
3.000%, 02/19/2025 | 5,225,000 | 5,313,063 | ||||||||||
3.000%, 04/22/2026 | 4,000,000 | 4,043,774 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
2.100%, 05/13/2021 (1) | 13,300,000 | 13,271,453 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 10,000,000 | 10,353,360 | ||||||||||
Willis North America, Inc.: | ||||||||||||
7.000%, 09/29/2019 | 16,003,000 | 16,160,668 | ||||||||||
5.050%, 09/15/2048 | 15,000,000 | 16,585,766 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 20,329,000 | 21,348,949 | ||||||||||
Total Financials | 4,295,745,977 | 20.1 | % | |||||||||
Total Corporate Bonds | 10,260,911,557 | 48.1 | % |
Municipal Bonds | ||||||||||||
Bellevue Union School District, | ||||||||||||
5.000%, 08/01/2028 | 625,000 | 712,700 | ||||||||||
California Housing Finance Agency, | ||||||||||||
2.794%, 08/01/2036 | 12,705,000 | 12,671,840 | ||||||||||
California Qualified School Bond Joint Powers Authority: | ||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,884,717 | ||||||||||
7.155%, 03/01/2027 | 1,700,000 | 2,055,317 | ||||||||||
Camden County Improvement Authority, | ||||||||||||
7.747%, 07/01/2034 | 1,100,000 | 1,154,923 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,730,595 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,500,000 | 7,974,300 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,511,675 | ||||||||||
Hillsborough City School District: | ||||||||||||
0.000%, 09/01/2036 | 10,000,000 | 4,829,700 | ||||||||||
0.000%, 09/01/2042 | 10,000,000 | 3,593,100 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 | 1,735,000 | 1,759,602 | ||||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
3.775%, 07/01/2035 | 10,000,000 | 10,514,400 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.100%, 07/01/2021 | 1,390,000 | 1,415,090 | ||||||||||
3.750%, 07/01/2034 | 2,845,000 | 2,894,702 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
2.870%, 07/01/2032 | 3,180,000 | 3,180,986 | ||||||||||
2.812%, 07/01/2035 | 4,105,000 | 4,098,062 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,592,200 | ||||||||||
Puerto Rico Sales Tax Financing Corp.: | ||||||||||||
4.550%, 07/01/2040 | 10,603,000 | 10,231,895 | ||||||||||
4.550%, 07/01/2040 | 4,973,000 | 4,767,864 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
2.913%, 10/01/2039 | 1,970,000 | 1,973,487 | ||||||||||
State of Illinois, | ||||||||||||
6.200%, 07/01/2021 | 11,932,500 | 12,304,675 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 | 1,350,000 | 1,402,002 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
4.000%, 04/01/2020 | 15,250,000 | 15,261,743 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 5,754,845 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 | 1,160,000 | 1,208,105 | ||||||||||
Total Municipal Bonds | 119,478,525 | 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 | 80 | 80 | ||||||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 205 | 207 | ||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 10,190 | 10,402 | ||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 6,374 | 6,515 | ||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 20,693 | 21,545 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 6,744 | 7,048 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 29,712 | 30,812 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 5,448 | 5,594 | ||||||||||
5.000%, 05/01/2021 | 8,993 | 9,205 | ||||||||||
6.000%, 06/01/2021 | 3,078 | 3,155 | ||||||||||
3.000%, 05/01/2027 | 4,507,451 | 4,615,654 | ||||||||||
6.500%, 12/01/2028 | 12,738 | 14,314 | ||||||||||
6.500%, 06/01/2029 | 5,287 | 5,909 | ||||||||||
3.000%, 10/01/2030 | 33,341,378 | 34,121,900 | ||||||||||
3.000%, 02/01/2032 | 50,527,766 | 51,712,610 | ||||||||||
3.500%, 05/01/2032 | 24,739,684 | 25,675,769 | ||||||||||
3.500%, 01/01/2034 | 24,667,860 | 25,598,526 | ||||||||||
5.000%, 03/01/2036 | 4,668,431 | 5,108,939 | ||||||||||
5.500%, 04/01/2037 | 99,709 | 110,769 | ||||||||||
5.500%, 04/01/2038 | 62,276 | 68,925 | ||||||||||
5.500%, 05/01/2038 | 103,664 | 112,655 | ||||||||||
5.500%, 01/01/2039 | 16,528,495 | 18,369,633 | ||||||||||
4.500%, 11/01/2039 | 632,615 | 679,728 | ||||||||||
4.500%, 11/01/2039 | 2,209,968 | 2,375,144 | ||||||||||
4.500%, 08/01/2040 | 2,167,847 | 2,329,879 | ||||||||||
4.500%, 08/01/2040 | 3,240,520 | 3,482,724 | ||||||||||
4.000%, 10/01/2040 | 21,785,577 | 22,990,418 | ||||||||||
4.000%, 01/01/2041 | 15,361,522 | 16,211,080 | ||||||||||
3.500%, 06/01/2042 | 4,239,261 | 4,404,025 | ||||||||||
3.500%, 06/01/2042 | 6,307,699 | 6,552,858 | ||||||||||
3.500%, 07/01/2042 | 36,594,204 | 38,014,547 | ||||||||||
3.500%, 07/01/2042 | 24,757,358 | 25,719,619 | ||||||||||
3.000%, 08/01/2042 | 20,412,819 | 20,777,198 | ||||||||||
3.500%, 09/01/2042 | 13,839,732 | 14,381,941 | ||||||||||
3.000%, 11/01/2042 | 47,951,159 | 48,924,052 | ||||||||||
3.500%, 12/01/2042 | 21,909,265 | 22,760,437 | ||||||||||
3.000%, 01/01/2043 | 35,269,760 | 35,897,553 | ||||||||||
3.000%, 02/01/2043 | 6,767,616 | 6,888,432 | ||||||||||
3.500%, 02/01/2043 | 14,251,797 | 14,795,044 | ||||||||||
3.000%, 03/01/2043 | 15,916,936 | 16,200,744 | ||||||||||
3.000%, 04/01/2043 | 12,011,414 | 12,255,556 | ||||||||||
3.000%, 04/01/2043 | 14,011,658 | 14,261,805 | ||||||||||
3.000%, 06/01/2043 | 11,239,823 | 11,431,782 | ||||||||||
3.000%, 08/01/2043 | 25,655,107 | 26,113,147 | ||||||||||
3.500%, 05/01/2044 | 13,423,992 | 13,987,198 | ||||||||||
3.500%, 08/01/2044 | 31,257,153 | 32,457,612 | ||||||||||
3.500%, 08/01/2044 | 25,668,363 | 26,620,936 | ||||||||||
4.000%, 09/01/2044 | 13,659,180 | 14,308,356 | ||||||||||
4.000%, 10/01/2044 | 20,517,760 | 21,625,494 | ||||||||||
3.500%, 01/01/2045 | 23,038,592 | 23,931,722 | ||||||||||
4.000%, 02/01/2045 | 14,366,467 | 15,035,987 | ||||||||||
3.500%, 06/01/2045 | 26,344,647 | 27,450,530 | ||||||||||
3.000%, 10/01/2045 | 34,170,221 | 34,779,972 | ||||||||||
4.000%, 10/01/2045 | 21,875,262 | 22,894,789 | ||||||||||
3.500%, 12/01/2045 | 27,175,908 | 28,063,171 | ||||||||||
4.000%, 12/01/2045 | 8,829,198 | 9,240,706 | ||||||||||
3.500%, 01/01/2046 | 54,109,598 | 56,109,472 | ||||||||||
4.000%, 02/01/2046 | 11,939,511 | 12,498,101 | ||||||||||
3.500%, 03/01/2046 | 6,879,325 | 7,168,042 | ||||||||||
3.500%, 08/01/2046 | 81,210,627 | 84,603,847 | ||||||||||
4.000%, 08/01/2046 | 13,399,088 | 14,122,407 | ||||||||||
3.000%, 10/01/2046 | 71,048,546 | 72,273,150 | ||||||||||
3.000%, 10/01/2046 (9) | 93,869,215 | 95,777,266 | ||||||||||
4.500%, 11/01/2046 | 77,105,774 | 82,798,706 | ||||||||||
4.000%, 01/01/2047 | 46,371,856 | 49,101,026 | ||||||||||
3.000%, 05/01/2047 | 78,809,973 | 80,168,389 | ||||||||||
3.500%, 08/01/2047 | 25,273,454 | 26,205,419 | ||||||||||
4.000%, 06/01/2048 | 69,064,009 | 73,565,766 | ||||||||||
4.000%, 08/01/2048 | 42,251,630 | 44,266,625 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 676 | 693 | ||||||||||
Series 136, Class E, 6.000%, 04/15/2021 (9) | 230 | 231 | ||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 1,682 | 1,733 | ||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 3,936 | 4,086 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 4,495 | 4,599 | ||||||||||
3.000%, 04/01/2027 | 8,395,473 | 8,592,041 | ||||||||||
2.500%, 12/01/2027 | 12,894,944 | 13,009,979 | ||||||||||
5.000%, 05/01/2028 | 33,648 | 35,564 | ||||||||||
6.500%, 09/01/2028 | 9,103 | 10,262 | ||||||||||
6.500%, 02/01/2029 | 21,242 | 24,086 | ||||||||||
3.000%, 07/01/2029 | 18,264,231 | 18,669,485 | ||||||||||
4.500%, 07/01/2030 | 3,870,921 | 4,120,834 | ||||||||||
3.000%, 08/01/2030 | 26,585,248 | 27,193,064 | ||||||||||
4.000%, 11/01/2031 | 17,664,173 | 18,452,726 | ||||||||||
3.500%, 01/01/2032 | 43,354,498 | 44,964,178 | ||||||||||
5.500%, 01/01/2032 | 8,842 | 9,564 | ||||||||||
2.500%, 07/01/2032 | 27,131,558 | 27,383,632 | ||||||||||
3.500%, 09/01/2033 | 66,411,398 | 69,301,565 | ||||||||||
5.000%, 09/01/2033 | 12,130,903 | 13,208,808 | ||||||||||
4.500%, 10/01/2033 | 22,071,860 | 23,571,529 | ||||||||||
3.000%, 11/01/2033 | 105,896,280 | 108,592,962 | ||||||||||
4.000%, 01/01/2034 | 12,336,133 | 12,992,867 | ||||||||||
5.500%, 04/01/2034 | 673,902 | 748,392 | ||||||||||
4.000%, 09/01/2034 | 17,977,611 | 18,934,242 | ||||||||||
5.500%, 09/01/2034 | 30,097 | 33,430 | ||||||||||
5.000%, 02/01/2035 | 11,321,654 | 12,291,683 | ||||||||||
5.000%, 02/01/2035 | 16,917,594 | 18,429,595 | ||||||||||
5.500%, 02/01/2035 | 26,631 | 29,580 | ||||||||||
5.000%, 04/01/2035 | 1,193,073 | 1,304,209 | ||||||||||
5.000%, 07/01/2035 | 3,456,203 | 3,777,513 | ||||||||||
5.000%, 02/01/2036 | 2,141,324 | 2,341,462 | ||||||||||
5.000%, 03/01/2036 | 976,550 | 1,067,781 | ||||||||||
5.500%, 04/01/2036 | 3,155,661 | 3,504,708 | ||||||||||
4.000%, 05/01/2037 | 66,556,579 | 69,591,620 | ||||||||||
3.500%, 08/01/2037 | 42,791,156 | 43,973,736 | ||||||||||
2.500%, 04/01/2038 | 68,691,957 | 69,118,137 | ||||||||||
6.000%, 05/01/2038 | 5,023,403 | 5,696,967 | ||||||||||
4.000%, 06/01/2039 | 11,349,849 | 11,941,369 | ||||||||||
5.000%, 06/01/2039 | 15,051,029 | 16,452,975 | ||||||||||
4.500%, 01/01/2040 | 8,002,785 | 8,590,357 | ||||||||||
4.500%, 01/01/2040 | 3,343,001 | 3,585,866 | ||||||||||
5.000%, 06/01/2040 | 12,897,104 | 13,920,377 | ||||||||||
4.000%, 08/01/2040 | 1,045,860 | 1,102,950 | ||||||||||
4.500%, 08/01/2040 | 4,548,345 | 4,885,124 | ||||||||||
4.500%, 08/01/2040 | 12,350,697 | 13,265,069 | ||||||||||
4.000%, 10/01/2040 | 1,828,286 | 1,927,884 | ||||||||||
4.000%, 11/01/2040 | 19,388,309 | 20,447,664 | ||||||||||
4.000%, 12/01/2040 | 3,887,167 | 4,124,011 | ||||||||||
3.500%, 01/01/2041 | 2,057,753 | 2,129,073 | ||||||||||
4.000%, 01/01/2041 | 4,009,736 | 4,228,840 | ||||||||||
3.500%, 02/01/2041 | 2,354,311 | 2,430,351 | ||||||||||
4.000%, 02/01/2041 | 396,061 | 417,703 | ||||||||||
4.500%, 02/01/2041 | 52,781,451 | 56,535,619 | ||||||||||
3.500%, 03/01/2041 | 16,064,938 | 16,574,291 | ||||||||||
4.000%, 03/01/2041 | 7,164,760 | 7,555,989 | ||||||||||
4.500%, 07/01/2041 | 5,253,614 | 5,642,422 | ||||||||||
3.500%, 09/01/2041 | 33,342,038 | 34,438,677 | ||||||||||
4.000%, 09/01/2041 | 3,200,347 | 3,375,163 | ||||||||||
3.500%, 11/01/2041 | 17,401,101 | 18,066,220 | ||||||||||
3.500%, 12/01/2041 | 3,156,822 | 3,277,478 | ||||||||||
4.000%, 12/01/2041 | 14,606,612 | 15,404,889 | ||||||||||
4.000%, 01/01/2042 | 27,099,271 | 28,577,007 | ||||||||||
4.500%, 01/01/2042 | 10,783,401 | 11,580,828 | ||||||||||
4.000%, 02/01/2042 | 23,955,378 | 25,263,485 | ||||||||||
3.000%, 05/01/2042 | 3,687,513 | 3,751,038 | ||||||||||
3.500%, 05/01/2042 | 17,999,207 | 18,687,209 | ||||||||||
3.500%, 06/01/2042 | 6,946,911 | 7,212,466 | ||||||||||
3.500%, 07/01/2042 | 115,142,792 | 119,539,062 | ||||||||||
3.500%, 08/01/2042 | 11,055,642 | 11,469,227 | ||||||||||
3.500%, 09/01/2042 | 18,061,091 | 18,751,503 | ||||||||||
3.000%, 10/01/2042 | 18,319,757 | 18,725,968 | ||||||||||
3.000%, 03/01/2043 | 6,925,352 | 7,044,677 | ||||||||||
3.000%, 04/01/2043 | 2,292,168 | 2,331,498 | ||||||||||
3.000%, 05/01/2043 | 7,919,938 | 8,075,861 | ||||||||||
3.000%, 05/01/2043 | 27,217,480 | 27,686,295 | ||||||||||
3.500%, 05/01/2043 | 17,684,593 | 18,360,395 | ||||||||||
3.000%, 06/01/2043 | 29,376,021 | 29,882,187 | ||||||||||
3.500%, 06/01/2043 | 9,081,664 | 9,543,636 | ||||||||||
3.000%, 07/01/2043 | 22,720,491 | 23,123,213 | ||||||||||
4.000%, 07/01/2043 | 31,820,269 | 33,555,481 | ||||||||||
3.000%, 08/01/2043 | 8,301,527 | 8,444,571 | ||||||||||
3.500%, 09/01/2043 | 39,092,984 | 40,583,531 | ||||||||||
4.500%, 09/01/2043 | 7,588,235 | 8,149,306 | ||||||||||
4.000%, 01/01/2045 | 14,994,472 | 15,706,451 | ||||||||||
3.500%, 02/01/2045 | 52,201,995 | 54,193,395 | ||||||||||
4.000%, 02/01/2045 | 7,880,561 | 8,310,159 | ||||||||||
4.000%, 02/01/2045 | 21,504,115 | 22,605,828 | ||||||||||
4.000%, 02/01/2045 | 15,616,613 | 16,466,637 | ||||||||||
4.000%, 02/01/2045 | 4,698,257 | 4,918,410 | ||||||||||
4.000%, 03/01/2045 | 11,299,472 | 11,902,031 | ||||||||||
4.000%, 11/01/2045 | 51,166,082 | 53,516,560 | ||||||||||
3.500%, 12/01/2045 | 41,606,185 | 42,873,899 | ||||||||||
4.000%, 12/01/2045 | 63,271,427 | 66,178,404 | ||||||||||
4.500%, 02/01/2046 | 31,901,815 | 34,250,994 | ||||||||||
4.500%, 08/01/2046 | 33,491,890 | 35,624,140 | ||||||||||
3.000%, 10/01/2046 | 28,952,104 | 29,450,829 | ||||||||||
3.500%, 11/01/2046 | 34,325,713 | 35,402,894 | ||||||||||
4.000%, 02/01/2047 (9) | 26,241,570 | 27,436,682 | ||||||||||
4.000%, 11/01/2047 | 19,336,443 | 20,128,240 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 16,038 | 17,909 | ||||||||||
6.500%, 01/20/2029 | 8,771 | 10,032 | ||||||||||
6.000%, 11/20/2033 | 11,820 | 13,551 | ||||||||||
5.000%, 07/20/2040 | 627,456 | 689,847 | ||||||||||
4.000%, 08/20/2041 | 5,710,246 | 6,047,466 | ||||||||||
3.500%, 10/20/2041 | 10,328,366 | 10,797,114 | ||||||||||
4.000%, 12/20/2041 | 7,459,262 | 7,899,642 | ||||||||||
4.000%, 02/20/2042 | 14,536,674 | 15,396,219 | ||||||||||
4.000%, 06/20/2042 | 12,200,235 | 12,917,631 | ||||||||||
3.500%, 09/20/2042 | 8,127,295 | 8,481,798 | ||||||||||
4.000%, 09/20/2044 | 42,252,635 | 44,553,659 | ||||||||||
3.000%, 04/20/2045 | 16,836,230 | 17,235,651 | ||||||||||
3.500%, 04/20/2045 | 23,166,286 | 24,028,528 | ||||||||||
4.000%, 05/20/2045 | 17,914,215 | 18,887,422 | ||||||||||
3.500%, 06/20/2045 | 21,994,269 | 22,801,612 | ||||||||||
3.500%, 10/20/2045 | 74,095,369 | 76,988,301 | ||||||||||
4.500%, 01/20/2046 | 17,143,042 | 18,157,007 | ||||||||||
4.000%, 05/20/2046 | 9,534,745 | 10,018,518 | ||||||||||
4.500%, 06/20/2047 | 32,816,093 | 34,454,270 | ||||||||||
4.500%, 07/20/2047 | 22,423,578 | 23,542,988 | ||||||||||
3.500%, 02/20/2048 | 44,275,962 | 45,737,774 | ||||||||||
Total U.S. Government Agency Issues | 3,771,401,408 | 17.7 | % |
Non-U.S. Government Agency Issues | ||||||||||||
ABFC Trust, | ||||||||||||
Series 2006-OPT1, Class A3C2, 2.554%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 6,602,884 | 6,488,884 | ||||||||||
Accredited Mortgage Loan Trust: | ||||||||||||
Series 2005-4, Class A2D, 2.724%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 3,992,390 | 3,980,139 | ||||||||||
Series 2007-1, Class A3, 2.534%, 02/25/2037 (1 Month LIBOR USD + 0.130%) (3) | 785,531 | 785,130 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 2.554%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 4,376,462 | 4,363,275 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 (6) | 253,606 | 254,463 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 79,613 | 79,789 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (2)(6) | 26,139 | 25,725 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 207,231 | 204,697 | ||||||||||
Series 2006-J5, Class 3A1, 4.127%, 07/25/2021 (4) | 19,318 | 18,610 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 95,329 | 95,643 | ||||||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2025 (6) | 5,891,503 | 5,914,331 | ||||||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 4,342,546 | 4,559,581 | ||||||||||
Series 2005-6CB, Class 1A4, 5.500%, 04/25/2035 (6) | 14,504,259 | 14,493,028 | ||||||||||
Series 2005-29CB, Class A1, 5.500%, 07/25/2035 (6) | 2,780,009 | 2,491,907 | ||||||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035 | 2,741,118 | 2,540,286 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 | 378,495 | 379,409 | ||||||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036 (6) | 3,302,105 | 3,184,765 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 511,834 | 401,867 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 380 | 381 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 2.639%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 35,790,314 | 35,632,145 | ||||||||||
Arroyo Mortgage Trust, | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 5,464,618 | 5,595,999 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE3, Class A4, 2.574%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 510,911 | 509,198 | ||||||||||
Series 2006-HE2, Class A1, 2.594%, 03/25/2036 (1 Month LIBOR USD + 0.190%) (3) | 15,628,889 | 15,577,680 | ||||||||||
Series 2006-HE6, Class A4, 2.564%, 11/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 584,180 | 578,391 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 307,109 | 319,363 | ||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 (6) | 39,063 | 37,723 | ||||||||||
Series 2007-1, Class 1A1, 5.404%, 04/25/2022 (4) | 264,269 | 263,103 | ||||||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 2,228,549 | 2,333,167 | ||||||||||
Series 2004-10, Class 1CB1, 6.000%, 11/25/2034 | 10,348,278 | 10,348,278 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 37,573 | 38,177 | ||||||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035 (6) | 5,729,858 | 5,714,478 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 214,105 | 208,165 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2005-C, Class A1, 2.623%, 05/20/2035 (1 Month LIBOR USD + 0.240%) (3) | 5,465,091 | 5,441,034 | ||||||||||
Series 2007-C, Class 1A3, 4.597%, 05/20/2036 (4)(6) | 2,217,546 | 2,219,077 | ||||||||||
Series 2006-G, Class 1A1, 2.763%, 07/20/2036 (1 Month LIBOR USD + 0.380%) (3) | 31,130,333 | 30,629,066 | ||||||||||
Series 2007-C, Class 7A5, 2.683%, 05/20/2047 (1 Month LIBOR USD + 0.300%) (3)(6) | 2,714,250 | 2,601,320 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 (7) | 109,416 | 109,547 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 100,199 | 96,177 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2005-9, Class A1, 4.730%, 10/25/2035 (1 Year CMT Rate + 2.300%) (3) | 729,087 | 746,718 | ||||||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||||||
Series 2005-HE4, Class M2, 3.364%, 04/25/2035 (1 Month LIBOR USD + 0.960%) (3) | 4,120,238 | 4,132,631 | ||||||||||
Series 2007-HE5, Class 1A2, 2.584%, 11/25/2035 (1 Month LIBOR USD + 0.180%) (3) | 2,446,850 | 2,447,169 | ||||||||||
Series 2006-HE8, Class 21A2, 2.574%, 07/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 4,777,503 | 4,777,589 | ||||||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||||||
Series 2007-2, Class A2, 2.724%, 05/25/2037 (1 Month LIBOR USD + 0.320%) (3) | 1,490,116 | 1,488,504 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 3.184%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 2,668,364 | 2,672,894 | ||||||||||
Series 2006-OPT1, Class A3, 2.584%, 12/25/2035 (1 Month LIBOR USD + 0.180%) (3) | 538,124 | 538,017 | ||||||||||
Series 2007-HE1, Class A2, 2.554%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 1,052,834 | 1,047,544 | ||||||||||
Chase Mortgage Finance Trust: | ||||||||||||
Series 2005-A2, Class 1A5, 4.357%, 01/25/2036 (4)(6) | 896,452 | 885,846 | ||||||||||
Series 2006-A1, Class 2A3, 4.355%, 09/25/2036 (4)(6) | 636,775 | 607,551 | ||||||||||
Series 2007-A1, Class 3A1, 4.577%, 02/25/2037 (4) | 3,206,878 | 3,254,068 | ||||||||||
Series 2007-A1, Class 2A3, 4.719%, 02/25/2037 (4) | 1,395,354 | 1,431,935 | ||||||||||
CHL Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 410,455 | 398,852 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 4,831,140 | 4,993,361 | ||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 (6) | 1,122,394 | 1,127,122 | ||||||||||
Citicorp Residential Mortgage Trust: | ||||||||||||
Series 2006-3, Class A4, 5.214%, 11/25/2036 (7) | 228,001 | 227,857 | ||||||||||
Series 2007-1, Class A6, 5.249%, 03/25/2037 (7) | 26,408 | 27,625 | ||||||||||
Series 2007-2, Class A4, 5.017%, 06/25/2037 (7) | 13,520,671 | 13,606,239 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
Series 2018-RP2, Class A1, 3.500%, 02/25/2058 (2)(4) | 21,059,183 | 21,523,588 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-AR1, Class 1A1, 4.970%, 10/25/2035 (1 Year CMT Rate + 2.400%) (3) | 10,680,439 | 10,920,155 | ||||||||||
Series 2005-9, Class 22A2, 6.000%, 10/25/2035 (6) | 3,493,848 | 3,615,313 | ||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 111,020 | 111,252 | ||||||||||
Series 2007-AMC4, Class A2C, 2.574%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 1,955,006 | 1,945,534 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 (7) | 18,820 | 9,523 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 291,570 | 273,384 | ||||||||||
Series 2006-23, Class 2A3, 2.574%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 3,056,284 | 3,042,909 | ||||||||||
Series 2006-22, Class 2A3, 2.564%, 01/25/2034 (1 Month LIBOR USD + 0.160%) (3) | 7,878,712 | 7,832,836 | ||||||||||
Series 2007-11, Class 2A3, 2.594%, 04/25/2034 (1 Month LIBOR USD + 0.190%) (3) | 6,434,475 | 6,374,990 | ||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 7,933 | 8,054 | ||||||||||
Series 2005-10, Class AF6, 4.449%, 12/25/2035 (4) | 179,286 | 184,060 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4)(6) | 525,022 | 493,332 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 228,046 | 215,846 | ||||||||||
Series 2006-13, Class 3AV2, 2.554%, 01/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 3,034,341 | 3,028,580 | ||||||||||
Series 2006-13, Class 1AF3, 4.318%, 01/25/2037 (4) | 24,297 | 24,377 | ||||||||||
Series 2007-9, Class 2A3, 2.584%, 06/25/2047 (1 Month LIBOR USD + 0.180%) (3) | 24,069,223 | 23,902,957 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 13,833 | 12,276 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2007-CB4, Class A1A, 2.494%, 04/25/2037 (1 Month LIBOR USD + 0.090%) (3) | 3,566,161 | 3,472,491 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2006-14, Class 2A2, 2.554%, 04/25/2033 (1 Month LIBOR USD + 0.150%) (3) | 1,340,484 | 1,338,870 | ||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 7,558 | 7,605 | ||||||||||
Series 2005-7, Class AF6, 4.693%, 08/25/2035 (4) | 37,340 | 37,836 | ||||||||||
Series 2006-18, Class 2A2, 2.564%, 03/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 4,084,584 | 4,052,859 | ||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust: | ||||||||||||
Series 2005-1, Class 1A1, 2.904%, 02/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 6,583,116 | 6,443,325 | ||||||||||
Series 2005-2, Class 1A7, 5.420%, 04/25/2035 (4) | 8,940,436 | 9,291,118 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FF3, Class A2B, 2.604%, 02/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 7,320,952 | 7,313,594 | ||||||||||
Series 2006-FF4, Class A2, 2.810%, 03/25/2036 (1 Month LIBOR USD + 0.190%) (3) | 1,357,973 | 1,357,399 | ||||||||||
Series 2006-FF6, Class A4, 2.654%, 04/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 25,927,644 | 25,638,390 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 44,384 | 42,874 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 (6) | 156,986 | 129,402 | ||||||||||
Series 2004-AA1, Class A1, 4.391%, 06/25/2034 (4) | 4,480,100 | 4,497,542 | ||||||||||
Series 2005-AA2, Class 2A1, 4.278%, 04/25/2035 (4) | 1,970,393 | 1,998,632 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2005-B, Class M4, 3.109%, 04/25/2035 (1 Month LIBOR USD + 0.705%) (3) | 1,675,716 | 1,679,058 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 128 | 131 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057 (2) | 62,343,689 | 64,406,267 | ||||||||||
GSAA Home Equity Trust: | ||||||||||||
Series 2004-6, Class A1, 3.204%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 1,326,505 | 1,316,057 | ||||||||||
Series 2005-14, Class 1A1, 2.654%, 12/25/2035 (1 Month LIBOR USD + 0.250%) (3) | 15,623,733 | 15,446,625 | ||||||||||
Series 2007-8, Class A3, 2.854%, 08/25/2037 (1 Month LIBOR USD + 0.450%) (3) | 6,190,446 | 6,024,370 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-AHL2, Class A2C, 2.644%, 12/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 3,657,720 | 3,652,239 | ||||||||||
Series 2006-HE7, Class A2D, 2.634%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 1,293,382 | 1,289,621 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 45,287 | 39,210 | ||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 2,608,300 | 2,697,828 | ||||||||||
Series 2005-AR2, Class 2A1, 4.757%, 04/25/2035 (4) | 2,974,920 | 3,047,583 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2004-7, Class A1, 3.124%, 01/25/2035 (1 Month LIBOR USD + 0.720%) (3) | 10,084,238 | 10,134,581 | ||||||||||
Series 2007-2, Class 2A2, 2.589%, 07/25/2037 (1 Month LIBOR USD + 0.185%) (3) | 384,107 | 383,767 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-4, Class A1, 2.674%, 10/25/2035 (1 Month LIBOR USD + 0.270%) (3) | 4,616,109 | 4,651,932 | ||||||||||
HSI Asset Securitization Corp. Trust, | ||||||||||||
Series 2006-OPT4, Class 2A3, 2.564%, 03/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 2,781,497 | 2,768,325 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 139,670 | 140,535 | ||||||||||
Series 2006-A1, Class 2A1, 4.290%, 03/25/2036 (4)(6) | 80,734 | 76,021 | ||||||||||
Series 2007-S1, Class A1, 2.684%, 06/25/2037 (1 Month LIBOR USD + 0.280%) (3) | 6,323,462 | 6,121,950 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 | 13,241 | 13,369 | ||||||||||
Series 2005-A8, Class 2A3, 4.222%, 11/25/2035 (4) | 5,587,615 | 5,429,975 | ||||||||||
Series 2006-A2, Class 2A1, 4.281%, 04/25/2036 (4) | 1,390,719 | 1,348,766 | ||||||||||
Series 2006-A2, Class 3A3, 4.392%, 04/25/2036 (4) | 1,630,409 | 1,494,881 | ||||||||||
Series 2006-A7, Class 2A2, 4.193%, 01/25/2037 (4)(6) | 2,203,044 | 2,116,872 | ||||||||||
Series 2006-A7, Class 2A4R, 4.193%, 01/25/2037 (4)(6) | 2,253,286 | 2,170,903 | ||||||||||
Series 2007-A2, Class 2A3, 4.494%, 04/25/2037 (4) | 4,561,067 | 4,276,521 | ||||||||||
Series 2007-A4, Class 2A3, 4.586%, 06/25/2037 (4) | 5,088,905 | 4,691,980 | ||||||||||
Luminent Mortgage Trust, | ||||||||||||
Series 2005-1, Class A1, 2.664%, 11/25/2035 (1 Month LIBOR USD + 0.260%) (3) | 8,263,369 | 8,150,231 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 22,796 | 22,777 | ||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 2,535,304 | 2,724,382 | ||||||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 2,007,448 | 2,165,769 | ||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 | 2,517,623 | 2,400,208 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 3.004%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 2,090,100 | 2,093,958 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1B, 3.024%, 12/25/2029 (1 Month LIBOR USD + 0.620%) (3) | 6,394,546 | 6,264,601 | ||||||||||
Series 2005-A5, Class A3, 4.357%, 06/25/2035 (4) | 2,198,163 | 2,213,409 | ||||||||||
Mill City Mortgage Loan Trust: | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 35,584,152 | 36,329,739 | ||||||||||
Series 2018-3, 3.500%, 08/25/2058 (2)(4) | 12,089,014 | 12,404,546 | ||||||||||
Series 2019-1, 3.250%, 10/25/2069 (2)(4) | 31,350,000 | 31,950,854 | ||||||||||
Morgan Stanley Capital I, Inc. Trust, | ||||||||||||
Series 2006-HE2, Class A1, 2.574%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 6,545,468 | 6,452,900 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-4, Class A1, 2.684%, 10/25/2035 (1 Month LIBOR USD + 0.280%) (3) | 4,138,951 | 4,122,727 | ||||||||||
Series 2005-5, Class A1, 2.924%, 12/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 4,317,196 | 4,274,906 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.634%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 3,552,440 | 3,547,301 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2016-1A, Class A1, 3.750%, 03/25/2056 (2)(4) | 13,879,327 | 14,189,421 | ||||||||||
Series 2017-1A, Class A1, 4.000%, 02/25/2057 (2)(4) | 21,455,416 | 22,325,013 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 24,391,060 | 25,380,556 | ||||||||||
Series 2017-6A, Class A1, 4.000%, 08/25/2057 (2)(4) | 27,669,330 | 28,719,956 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 14,894,464 | 15,442,894 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, | ||||||||||||
Series 2005-WF1, Class 2A3, 5.100%, 03/25/2035 | 227,783 | 228,651 | ||||||||||
RALI Series Trust: | ||||||||||||
Series 2004-QS3, Class CB, 5.000%, 07/25/2019 | 6,705 | 6,511 | ||||||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 62,304 | �� | 61,956 | |||||||||
Series 2005-QS5, Class A1, 2.804%, 04/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 2,313,744 | 1,837,634 | ||||||||||
Series 2005-QS9, Class A2, 2.904%, 06/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 941,138 | 809,725 | ||||||||||
Series 2005-QS11, Class A2, 2.904%, 07/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 4,265,315 | 3,598,243 | ||||||||||
Series 2005-QA7, Class A22, 4.609%, 07/25/2035 (4) | 2,177,322 | 2,067,208 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032 (4) | 1,435,716 | 1,470,417 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2006-EMX2, Class A3, 2.704%, 02/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 3,563,716 | 3,565,512 | ||||||||||
Series 2007-KS1, Class A3, 2.554%, 11/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,898,107 | 1,884,548 | ||||||||||
Renaissance Home Equity Loan Trust: | ||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 (7) | 16,768 | 17,405 | ||||||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035 (7) | 921,165 | 959,927 | ||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 (7) | 15,321,471 | 8,648,365 | ||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 (7) | 10,281,739 | 5,469,366 | ||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 (7) | 278,685 | 124,530 | ||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,435,659 | 610,313 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2006-OPT4, Class 2A3, 2.554%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,995,930 | 1,993,703 | ||||||||||
Series 2006-EQ1, Class A3, 2.564%, 10/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 10,959,755 | 10,909,365 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 3.074%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,597,446 | 1,594,720 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2003-31A, Class 2A7, 4.494%, 10/25/2033 (4) | 1,362,707 | 1,392,828 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 30,225 | 30,989 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 5,601,912 | 5,645,459 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 88,100 | 87,588 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 10,414,254 | 10,517,013 | ||||||||||
Series 2016-4, Class A1, 2.250%, 07/25/2056 (2)(4) | 12,548,871 | 12,477,714 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 3,775,533 | 3,790,504 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 31,918,253 | 32,163,411 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 27,958,449 | 28,716,665 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 8,806,361 | 9,196,287 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 40,479,012 | 41,090,395 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 4 | 4 | ||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 18 | 18 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 88 | 88 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 870 | 869 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 11,268 | 11,232 | ||||||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 2,764,512 | 2,953,819 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 3,340,461 | 3,618,127 | ||||||||||
Series 2005-3, Class 1CB3, 2.854%, 05/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 5,718,641 | 4,779,618 | ||||||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 | 6,371,478 | 6,173,539 | ||||||||||
Series 2007-HY3, Class 4A1, 4.270%, 08/25/2036 (4) | 14,063,654 | 14,143,889 | ||||||||||
Series 2006-AR10, Class 1A1, 3.847%, 09/25/2036 (4) | 994,872 | 955,967 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||||||
Series 2005-AR16, Class 4A2, 4.930%, 10/25/2035 (4) | 14,125 | 14,085 | ||||||||||
Series 2005-16, Class A18, 6.000%, 01/25/2036 | 1,091,981 | 1,113,658 | ||||||||||
Series 2006-AR10, Class 5A5, 4.992%, 07/25/2036 (4) | 4,380,727 | 4,446,452 | ||||||||||
Series 2006-AR14, Class 2A3, 4.754%, 10/25/2036 (4) | 2,230,485 | 2,228,416 | ||||||||||
Series 2006-15, Class A1, 6.000%, 11/25/2036 | 3,648,427 | 3,675,100 | ||||||||||
Series 2007-4, Class A15, 6.000%, 04/25/2037 | 3,811,671 | 3,867,375 | ||||||||||
Series 2007-7, Class A49, 6.000%, 06/25/2037 | 3,593,035 | 3,679,359 | ||||||||||
Series 2007-8, Class 2A8, 6.000%, 07/25/2037 | 3,397,063 | 3,425,162 | ||||||||||
Total Non-U.S. Government Agency Issues | 984,715,667 | 4.6 | % | |||||||||
Total Residential Mortgage-Backed Securities | 4,756,117,075 | 22.3 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2017-M4, Class A2, 2.586%, 12/25/2026 (4) | 30,550,000 | 30,801,344 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 64,407,000 | 67,103,019 | ||||||||||
Series K-725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 15,538,319 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 70,648,807 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 53,680,000 | 56,658,897 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,951,000 | 87,898,604 | ||||||||||
Series K-734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 47,456,541 | ||||||||||
Series K061, Class A2, 3.347%, 11/25/2026 (4) | 57,140,000 | 60,842,346 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 17,627,119 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 18,449,000 | 20,384,964 | ||||||||||
Series K158, Class A3, 3.900%, 10/25/2033 (4) | 18,777,000 | 20,968,995 | ||||||||||
Total U.S. Government Agency Issues | 495,928,955 | 2.3 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 29,127,000 | 31,049,536 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 60,056,751 | 63,545,796 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 11,858,000 | 12,594,505 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 2,774,365 | 2,933,274 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 50,189,111 | 51,944,475 | ||||||||||
Series 2015-GC29, Class A4, 3.192%, 04/10/2048 | 25,030,000 | 26,076,421 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 24,224,935 | 24,821,520 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 (4) | 31,335,009 | 33,268,482 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 35,388,000 | 36,133,693 | ||||||||||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 13,725,000 | 14,032,956 | ||||||||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (4) | 11,500,000 | 12,320,019 | ||||||||||
Series 2014-CR18, Class A4, 3.550%, 07/17/2047 | 5,700,000 | 5,958,728 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 33,800,000 | 35,987,222 | ||||||||||
Series 2014-CR20, Class ASB, 3.305%, 11/13/2047 | 28,813,000 | 29,610,218 | ||||||||||
Series 2015-LC19, 3.183%, 02/10/2048 | 19,235,399 | 19,948,303 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 1,605,849 | 1,651,947 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 17,924,873 | 18,303,552 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 41,109,779 | 41,741,661 | ||||||||||
Series 2013-GC13, Class A4, 3.871%, 07/12/2046 (4) | 14,700,000 | 15,465,951 | ||||||||||
Series 2014-GC20, Class AAB, 3.655%, 04/12/2047 | 22,795,565 | 23,528,572 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 31,025,000 | 31,752,958 | ||||||||||
Series 2013-LC11, Class A4, 2.694%, 04/17/2046 | 4,598,963 | 4,669,541 | ||||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/17/2047 | 2,542,610 | 2,549,313 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 14,481,982 | 14,603,989 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 8,942,706 | 9,504,571 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 8,714,507 | 9,201,749 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 12,425,000 | 12,770,933 | ||||||||||
Series 2014-C25, Class A5, 3.672%, 11/18/2047 | 45,697,000 | 48,199,185 | ||||||||||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 (4) | 40,110,000 | 42,867,266 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 41,590,000 | 42,565,876 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 (4) | 29,465,363 | 29,913,366 | ||||||||||
Series 2013-C10, Class A3, 4.103%, 07/17/2046 (4) | 41,814,587 | 44,289,417 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 14,633,677 | 15,502,212 | ||||||||||
Series 2014-C16, Class A5, 3.892%, 06/17/2047 | 30,860,000 | 32,850,566 | ||||||||||
Series 2015-C25, Class ASB, 3.383%, 10/19/2048 | 29,047,000 | 30,006,690 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 15,354,638 | ||||||||||
Series 2016-C35, Class ASB, 2.788%, 07/17/2048 | 11,425,000 | 11,613,580 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2013-C11, Class A5, 3.071%, 03/17/2045 | 13,100,000 | 13,418,747 | ||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,291,000 | 19,711,577 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 22,050,000 | 23,450,845 | ||||||||||
Series 2014-C21, Class ASB, 3.393%, 08/16/2047 | 12,920,000 | 13,190,772 | ||||||||||
Series 2014-C24, Class A5, 3.607%, 11/18/2047 | 41,221,000 | 43,461,295 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 10,500,000 | 10,863,752 | ||||||||||
Total Non-U.S. Government Agency Issues | 1,023,229,669 | 4.8 | % | |||||||||
Total Commercial Mortgage-Backed Securities | 1,519,158,624 | 7.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 8,299,494 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 103,521 | 107,711 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 51,616 | 53,379 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 37,625,000 | 37,752,639 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027 (2) | 74,240,000 | 74,023,591 | ||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 29,300,000 | 30,640,929 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 28,641,000 | 29,520,548 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 9,124 | 9,292 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021 (2) | 40,200,000 | 40,114,169 | ||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 32,525,000 | 33,036,208 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2018-A, Class A3, 2.930%, 05/20/2021 (2) | 26,825,000 | 26,984,051 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 6,674,534 | 6,679,583 | ||||||||||
Series 2017-5, Class A2, 2.780%, 09/25/2026 (2) | 33,646,000 | 33,710,193 | ||||||||||
SoFi Consumer Loan Program Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027 (2) | 2,928,985 | 2,932,296 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 5,000,000 | 5,108,041 | ||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 37,250,000 | 37,686,525 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 20,102,000 | 20,035,764 | ||||||||||
Total Asset Backed Securities | 386,694,413 | 1.8 | % | |||||||||
Total Long-Term Investments (Cost $20,052,787,981) | 20,680,185,163 | 96.9 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 2.32% (5) | 763,569,475 | 763,569,475 | ||||||||||
Total Short-Term Investment (Cost $763,569,475) | 763,569,475 | 3.5 | % | |||||||||
Total Investments (Cost $20,816,357,456) | 21,443,754,638 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (91,330,865 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 21,352,423,773 | 100.0 | % |
Notes to Schedule of Investments | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $3,958,852,043 which represents 18.54% 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, 2019. |
(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, 2019. |
(5) | Seven-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, 2019. |
(8) | Secuirty in default. |
(9) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 3,379,353,348 | $ | – | $ | 3,379,353,348 | ||||||||
Other Government Related Securities | – | 258,471,621 | – | 258,471,621 | ||||||||||||
Corporate Bonds | – | 10,260,911,557 | – | 10,260,911,557 | ||||||||||||
Municipal Bonds | – | 119,478,525 | – | 119,478,525 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 3,771,401,408 | – | 3,771,401,408 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 984,715,667 | – | 984,715,667 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 495,928,955 | – | 495,928,955 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 1,023,229,669 | – | 1,023,229,669 | ||||||||||||
Asset Backed Securities | – | 386,694,413 | – | 386,694,413 | ||||||||||||
Total Long-Term Investments | – | 20,680,185,163 | – | 20,680,185,163 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 763,569,475 | – | – | 763,569,475 | ||||||||||||
Total Short-Term Investment | 763,569,475 | – | – | 763,569,475 | ||||||||||||
Total Investments | $ | 763,569,475 | $ | 20,680,185,163 | $ | – | $ | 21,443,754,638 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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, 2019 (Unaudited) | ||||||||||||
Principal | Market | % 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) | $ | 115,000 | $ | 115,565 | ||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 970,000 | 1,013,020 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 695,000 | 741,280 | ||||||||||
City of Phenix City AL, | ||||||||||||
2.000%, 08/01/2023 (Callable 07/29/2019) | 885,000 | 885,088 | ||||||||||
City of Troy AL, | ||||||||||||
3.000%, 07/01/2019 (Insured by BAM) | 75,000 | 75,000 | ||||||||||
County of Jefferson AL, | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 750,000 | 635,977 | ||||||||||
Greenville Public Improvement Cooperative District: | ||||||||||||
4.000%, 03/01/2022 (Insured by BAM) | 25,000 | 26,455 | ||||||||||
4.000%, 03/01/2023 (Insured by BAM) | 100,000 | 107,664 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 115,000 | 130,919 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 100,000 | 106,060 | ||||||||||
Mobile County Board of School Commissioners, | ||||||||||||
5.000%, 03/01/2023 | 875,000 | 974,575 | ||||||||||
Montgomery Waterworks & Sanitation, | ||||||||||||
5.000%, 03/01/2025 (Callable 03/01/2022) | 150,000 | 164,304 | ||||||||||
Total Alabama | 4,975,907 | 1.0 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,430,000 | 1,549,477 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020 (Callable 12/01/2019) | 750,000 | 754,162 | ||||||||||
Total Alaska | 2,303,639 | 0.5 | % | |||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority: | ||||||||||||
4.625%, 07/01/2019 | 30,000 | 30,000 | ||||||||||
3.030%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/05/2022)(Mandatory Tender Date 02/01/2023) (2) | 100,000 | 103,531 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2019 (Insured by SD CRED PROG) | 30,000 | 30,000 | ||||||||||
4.000%, 07/01/2020 (Insured by SD CRED PROG) | 160,000 | 163,624 | ||||||||||
3.375%, 07/01/2021 | 270,000 | 272,052 | ||||||||||
4.000%, 07/01/2021 (Insured by SD CRED PROG) | 165,000 | 170,852 | ||||||||||
4.000%, 05/01/2022 | 300,000 | 314,352 | ||||||||||
3.000%, 07/01/2022 | 150,000 | 150,513 | ||||||||||
4.000%, 08/01/2023 | 705,000 | 716,400 | ||||||||||
5.000%, 05/01/2025 | 405,000 | 457,577 | ||||||||||
4.625%, 08/01/2028 | 375,000 | 396,495 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 885,000 | 979,022 | ||||||||||
Chandler Industrial Development Authority, | ||||||||||||
2.400%, 12/01/2035 (Mandatory Tender Date 08/14/2023) (1) | 120,000 | 123,419 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 50,000 | 51,716 | ||||||||||
City of Winslow AZ, | ||||||||||||
2.000%, 07/01/2019 (Insured by AGM) | 25,000 | 25,000 | ||||||||||
Maricopa County Elementary School District No 1-Phoenix Elementary, | ||||||||||||
4.250%, 07/01/2019 | 100,000 | 100,000 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 65,000 | 64,307 | ||||||||||
The Industrial Development Authority of the County of Pima, | ||||||||||||
4.950%, 10/01/2020 | 760,000 | 789,473 | ||||||||||
Vistancia Community Facilities District, | ||||||||||||
5.000%, 07/15/2021 (Callable 07/15/2020) | 165,000 | 170,932 | ||||||||||
Total Arizona | 5,109,265 | 1.0 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2026 (Callable 06/01/2023) | 200,000 | 217,894 | ||||||||||
City of Bentonville AR, | ||||||||||||
2.625%, 11/01/2027 (Callable 11/01/2025) | 95,000 | 101,489 | ||||||||||
City of Conway AR, | ||||||||||||
4.000%, 12/01/2023 (Callable 06/01/2022) | 35,000 | 37,425 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 665,000 | 666,696 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by BAM) | 255,000 | 279,332 | ||||||||||
City of Jacksonville AR, | ||||||||||||
4.000%, 12/01/2025 (Callable 06/01/2021) | 110,000 | 115,422 | ||||||||||
City of Little Rock AR: | ||||||||||||
3.000%, 10/01/2021 | 100,000 | 103,170 | ||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 915,000 | 948,215 | ||||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 25,000 | 25,070 | ||||||||||
City of Lonoke AR, | ||||||||||||
5.000%, 06/01/2023 | 160,000 | 180,786 | ||||||||||
City of Magnolia AR, | ||||||||||||
2.600%, 08/01/2036 (Callable 08/01/2024)(Insured by BAM) | 465,000 | 462,675 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 300,000 | 305,007 | ||||||||||
City of Maumelle AR, | ||||||||||||
2.875%, 08/01/2038 (Callable 08/01/2025) | 540,000 | 548,743 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 550,000 | 571,032 | ||||||||||
City of Rogers AR: | ||||||||||||
2.125%, 11/01/2029 (Pre-refunded to 11/01/2021) | 35,000 | 35,555 | ||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,925,000 | 2,004,464 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 460,000 | 478,184 | ||||||||||
City of Springdale AR: | ||||||||||||
5.000%, 11/01/2025 (Callable 11/01/2022) | 150,000 | 166,435 | ||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 955,000 | 975,151 | ||||||||||
County of Cross AR, | ||||||||||||
2.250%, 10/01/2030 (Callable 10/01/2024) (6) | 1,525,000 | 1,518,351 | ||||||||||
Junction City School District No. 75, | ||||||||||||
2.000%, 02/01/2022 (Callable 08/01/2019)(Insured by ST) | 205,000 | 205,102 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2024 (Callable 09/01/2022)(Insured by BAM) | 325,000 | 352,898 | ||||||||||
Pea Ridge School District No. 109, | ||||||||||||
4.000%, 02/01/2043 (Callable 08/01/2019)(Insured by ST) | 690,000 | 691,490 | ||||||||||
Siloam Springs School District No 21, | ||||||||||||
3.000%, 06/01/2022 (Callable 07/29/2019)(Insured by ST) | 500,000 | 500,485 | ||||||||||
Total Arkansas | 11,491,071 | 2.3 | % |
California | ||||||||||||
Allan Hancock Joint Community College District, | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2022) | 225,000 | 100,174 | ||||||||||
Bay Area Toll Authority: | ||||||||||||
1.260%, 04/01/2034 (SIFMA Municipal Swap Index + 0.600%) (Callable 10/01/2019)(Mandatory Tender Date 04/01/2020) (2) | 525,000 | 525,420 | ||||||||||
1.375%, 04/01/2053 (Callable 10/01/2019)(Mandatory Tender Date 04/01/2020) (1) | 75,000 | 75,030 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 65,000 | 66,604 | ||||||||||
5.000%, 07/01/2043 (Mandatory Tender Date 10/15/2019) (1) | 250,000 | 252,663 | ||||||||||
1.000%, 08/15/2053 (Mandatory Tender Date 08/15/2019) (1) | 2,000,000 | 1,998,240 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
5.000%, 08/01/2021 | 400,000 | 419,892 | ||||||||||
5.000%, 08/01/2022 | 400,000 | 427,624 | ||||||||||
California State Public Works Board, | ||||||||||||
5.000%, 12/01/2019 (Insured by AMBAC) | 120,000 | 121,901 | ||||||||||
California State University, | ||||||||||||
4.000%, 11/01/2049 (Callable 05/01/2021)(Mandatory Tender Date 11/01/2021) (1) | 75,000 | 78,630 | ||||||||||
California Statewide Communities Development Authority: | ||||||||||||
6.000%, 01/01/2021 (ETM) | 255,000 | 263,351 | ||||||||||
3.500%, 11/01/2021 (Callable 11/01/2019)(Insured by CA MTG) | 200,000 | 201,536 | ||||||||||
3.000%, 07/01/2026 (Callable 01/01/2021)(Insured by CA MTG) | 625,000 | 636,550 | ||||||||||
6.200%, 04/01/2028 (Insured by NATL) (1)(5) | 400,000 | 400,000 | ||||||||||
Centinela Valley Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2022)(Insured by AGM) | 330,000 | 131,584 | ||||||||||
Central School District, | ||||||||||||
0.000%, 08/01/2051 (Callable 08/01/2022) | 400,000 | 65,308 | ||||||||||
Ceres Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Pre-refunded to 08/01/2020) | 300,000 | 110,244 | ||||||||||
City of Redding CA, | ||||||||||||
3.674%, 07/01/2022 (ETM)(Insured by NATL) (1)(5) | 195,000 | 195,000 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 165,000 | 149,716 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 2,500,000 | 2,728,325 | ||||||||||
Escondido Union High School District, | ||||||||||||
0.000%, 11/01/2019 (Insured by NATL) | 100,000 | 99,575 | ||||||||||
Fresno Unified School District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2021) | 125,000 | 82,744 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2021) | 225,000 | 138,850 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2021) | 65,000 | 34,647 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2023)(Insured by BAM) | 35,000 | 18,706 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2021) | 310,000 | 132,420 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2023)(Insured by BAM) | 585,000 | 291,698 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2021) | 75,000 | 29,812 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2023)(Insured by BAM) | 400,000 | 186,228 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 150,000 | 65,140 | ||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 45,000 | 18,234 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2023)(Insured by BAM) | 650,000 | 213,200 | ||||||||||
0.000%, 08/01/2040 (Callable 08/01/2023)(Insured by BAM) | 805,000 | 246,032 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2021) | 805,000 | 196,935 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 284,240 | ||||||||||
0.000%, 08/01/2044 (Callable 08/01/2023) | 1,000,000 | 225,920 | ||||||||||
Glendale Unified School District: | ||||||||||||
0.000%, 09/01/2030 (Callable 09/01/2021) | 350,000 | 190,592 | ||||||||||
0.000%, 09/01/2041 (Callable 09/01/2021) | 500,000 | 122,165 | ||||||||||
Golden State Tobacco Securitization Corp.: | ||||||||||||
5.000%, 06/01/2022 | 135,000 | 147,328 | ||||||||||
5.000%, 06/01/2023 | 590,000 | 658,428 | ||||||||||
Healdsburg Unified School District, | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2022) | 90,000 | 51,780 | ||||||||||
Lemoore Union High School District, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 30,000 | 28,566 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2021)(Insured by AGM) | 65,000 | 23,035 | ||||||||||
Merced Union High School District, | ||||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2021) | 100,000 | 16,333 | ||||||||||
Morongo Unified School District, | ||||||||||||
0.000%, 08/01/2039 (Pre-refunded to 08/01/2022) | 170,000 | 58,517 | ||||||||||
Northern California Gas Authority, | ||||||||||||
2.366%, 07/01/2019 (3 Month LIBOR USD + 0.630%) (2) | 270,000 | 270,000 | ||||||||||
Piedmont Unified School District, | ||||||||||||
0.000%, 08/01/2029 (Callable 08/01/2023) | 200,000 | 133,128 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2035 (Pre-refunded to 09/01/2021)(Insured by AGM) | 200,000 | 68,180 | ||||||||||
Ripon Unified School District: | ||||||||||||
0.000%, 08/01/2025 (Callable 08/01/2023)(Insured by BAM) | 60,000 | 51,532 | ||||||||||
0.000%, 08/01/2026 (Callable 08/01/2023)(Insured by BAM) | 35,000 | 28,537 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 585,000 | 286,100 | ||||||||||
Roseville Finance Authority, | ||||||||||||
4.000%, 09/01/2019 | 50,000 | 50,240 | ||||||||||
Sacramento City Unified School District: | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2022) | 75,000 | 81,641 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 725,000 | 827,399 | ||||||||||
San Joaquin Hills Transportation Corridor Agency, | ||||||||||||
0.000%, 01/15/2025 (Insured by NATL) | 85,000 | 73,990 | ||||||||||
San Mateo Union High School District, | ||||||||||||
0.000%, 09/01/2033 (Callable 09/01/2021) | 100,000 | 43,461 | ||||||||||
San Ysidro School District, | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 300,000 | 61,329 | ||||||||||
State of California, | ||||||||||||
2.379%, 12/01/2028 (1 Month LIBOR USD + 0.700%) (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (2) | 100,000 | 100,308 | ||||||||||
Sutter Union High School District, | ||||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 250,000 | 37,363 | ||||||||||
Twin Rivers Unified School District: | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 02/01/2024)(Insured by BAM) | 200,000 | 91,478 | ||||||||||
0.000%, 08/01/2036 (Pre-refunded to 02/01/2024)(Insured by BAM) | 85,000 | 36,319 | ||||||||||
University of California, | ||||||||||||
1.400%, 05/15/2046 (Callable 11/15/2020)(Mandatory Tender Date 05/15/2021) (1) | 330,000 | 329,327 | ||||||||||
Victor Valley Union High School District, | ||||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2023) | 1,000,000 | 287,720 | ||||||||||
Westminster School District: | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 190,000 | 78,132 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2023)(Insured by BAM) | 260,000 | 93,098 | ||||||||||
0.000%, 08/01/2048 (Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 167,780 | ||||||||||
0.000%, 08/01/2053 (Callable 08/01/2023)(Insured by BAM) | 255,000 | 29,006 | ||||||||||
Total California | 15,734,985 | 3.2 | % | |||||||||
Colorado | ||||||||||||
Bromley Park Metropolitan District No. 2: | ||||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 200,000 | 232,362 | ||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 315,000 | 372,840 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
4.000%, 10/01/2019 | 210,000 | 211,207 | ||||||||||
4.000%, 12/01/2019 | 275,000 | 277,948 | ||||||||||
5.000%, 12/01/2019 | 380,000 | 385,381 | ||||||||||
4.000%, 06/01/2020 | 100,000 | 102,343 | ||||||||||
4.000%, 10/01/2020 | 125,000 | 128,450 | ||||||||||
5.000%, 10/01/2020 | 435,000 | 451,413 | ||||||||||
5.000%, 12/01/2020 | 300,000 | 313,974 | ||||||||||
4.000%, 11/01/2021 | 50,000 | 52,663 | ||||||||||
4.000%, 12/01/2021 | 100,000 | 105,683 | ||||||||||
5.000%, 12/01/2021 | 80,000 | 86,117 | ||||||||||
4.000%, 03/01/2022 | 45,000 | 47,728 | ||||||||||
5.000%, 12/01/2022 | 200,000 | 220,888 | ||||||||||
4.000%, 04/01/2023 | 130,000 | 135,867 | ||||||||||
5.250%, 03/01/2025 (Insured by NATL) | 540,000 | 631,476 | ||||||||||
4.000%, 12/15/2025 | 800,000 | 843,600 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2020 | 130,000 | 133,251 | ||||||||||
5.000%, 12/01/2023 (Callable 12/01/2022) | 1,000,000 | 1,104,130 | ||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 1,535,000 | 1,617,046 | ||||||||||
5.000%, 11/15/2036 (Mandatory Tender Date 11/15/2023) (1) | 145,000 | 166,005 | ||||||||||
2.800%, 05/15/2042 (Callable 11/15/2022)(Mandatory Tender Date 05/15/2023) (1) | 780,000 | 806,192 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
2.150%, 01/01/2038 (Mandatory Tender Date 01/01/2020) (1) | 465,000 | 466,107 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 430,000 | 459,111 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028) | 1,000,000 | 1,101,390 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 120,000 | 119,791 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2020 (Insured by NATL) | 135,000 | 132,548 | ||||||||||
0.000%, 09/01/2022 (Insured by NATL) | 30,000 | 28,371 | ||||||||||
0.000%, 09/01/2028 (Callable 09/01/2020)(Insured by NATL) | 200,000 | 124,672 | ||||||||||
2.637%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 400,000 | 403,108 | ||||||||||
High Plains Metropolitan District, | ||||||||||||
4.000%, 12/01/2022 (Insured by NATL) | 420,000 | 450,026 | ||||||||||
Lincoln Park Metropolitan District, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 150,000 | 165,494 | ||||||||||
Lyons Regional Library District, | ||||||||||||
3.000%, 12/01/2020 | 30,000 | 30,585 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 06/01/2025 (Pre-refunded to 06/01/2020) | 100,000 | 103,349 | ||||||||||
SBC Metropolitan District, | ||||||||||||
4.000%, 12/01/2019 (Insured by AGM) | 265,000 | 267,753 | ||||||||||
Southlands Metropolitan District No. 1: | ||||||||||||
3.000%, 12/01/2022 | 238,000 | 240,097 | ||||||||||
3.000%, 12/01/2022 | 100,000 | 100,871 | ||||||||||
Sterling Hills West Metropolitan District: | ||||||||||||
5.000%, 12/01/2019 | 100,000 | 101,257 | ||||||||||
5.000%, 12/01/2020 | 125,000 | 129,929 | ||||||||||
Tallyns Reach Metropolitan District No. 3, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 30,000 | 34,030 | ||||||||||
Vista Ridge Metropolitan District, | ||||||||||||
4.500%, 12/01/2024 (Insured by BAM) | 200,000 | 225,254 | ||||||||||
Total Colorado | 13,110,307 | 2.6 | % | |||||||||
Connecticut | ||||||||||||
City of Bridgeport CT: | ||||||||||||
5.000%, 02/01/2022 (Insured by BAM) | 250,000 | 270,725 | ||||||||||
5.000%, 02/01/2024 (Insured by BAM) | 475,000 | 540,797 | ||||||||||
City of Hartford CT: | ||||||||||||
5.000%, 04/01/2020 (ETM)(Insured by ST) | 200,000 | 205,102 | ||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 1,000,000 | 1,093,990 | ||||||||||
City of New Haven CT, | ||||||||||||
5.000%, 08/15/2022 (ETM)(Insured by AGM) | 520,000 | 578,287 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2044 (Callable 11/15/2023) | 150,000 | 156,448 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2027) | 225,000 | 243,148 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,600,000 | 1,769,936 | ||||||||||
2.600%, 11/15/2058 (Callable 11/15/2019)(Mandatory Tender Date 11/15/2021) (1) | 750,000 | 753,368 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
4.000%, 11/01/2021 | 100,000 | 105,586 | ||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 445,000 | 491,471 | ||||||||||
5.000%, 07/01/2028 (Callable 07/01/2024) | 630,000 | 719,668 | ||||||||||
5.000%, 07/01/2037 (Mandatory Tender Date 07/01/2020) (1) | 35,000 | 36,283 | ||||||||||
1.000%, 07/01/2042 (Mandatory Tender Date 07/01/2019) (1) | 250,000 | 250,000 | ||||||||||
2.584%, 07/01/2049 (1 Month LIBOR USD + 0.950%) (Callable 01/01/2020)(Mandatory Tender Date 07/01/2020) (2) | 200,000 | 200,376 | ||||||||||
Southeastern Connecticut Water Authority, | ||||||||||||
4.000%, 09/01/2022 (Callable 07/29/2019)(Insured by ST) | 355,000 | 355,724 | ||||||||||
State of Connecticut: | ||||||||||||
4.000%, 11/01/2020 | 225,000 | 232,742 | ||||||||||
5.000%, 11/01/2020 | 150,000 | 157,131 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 1,000,000 | 1,132,620 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2021 (Insured by BAM) | 415,000 | 434,277 | ||||||||||
Town of Plymouth CT, | ||||||||||||
4.000%, 07/15/2019 | 25,000 | 25,018 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2022) | 760,000 | 843,395 | ||||||||||
Total Connecticut | 10,596,092 | 2.1 | % | |||||||||
�� | ||||||||||||
Delaware | ||||||||||||
Delaware Municipal Electric Corp.: | ||||||||||||
5.000%, 10/01/2024 (Insured by BAM) | 230,000 | 266,354 | ||||||||||
5.000%, 10/01/2025 (Insured by BAM) | 140,000 | 165,226 | ||||||||||
Total Delaware | 431,580 | 0.1 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2022) | 310,000 | 346,853 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2022) | 300,000 | 323,754 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,710 | ||||||||||
3.500%, 06/15/2023 | 155,000 | 160,155 | ||||||||||
2.550%, 09/01/2023 (Mandatory Tender Date 03/01/2022)(Insured by FHA) (1) | 900,000 | 919,521 | ||||||||||
Total District of Columbia | 1,900,993 | 0.4 | % |
Florida | ||||||||||||
Capital Trust Agency, Inc.: | ||||||||||||
4.000%, 12/15/2024 | 320,000 | 339,289 | ||||||||||
4.000%, 11/01/2025 (Pre-refunded to 11/01/2022) | 255,000 | 269,775 | ||||||||||
City of Boynton Beach FL, | ||||||||||||
4.500%, 11/01/2022 (Callable 11/01/2021)(Insured by AGM) | 130,000 | 138,905 | ||||||||||
City of Jacksonville FL: | ||||||||||||
5.000%, 11/01/2022 | 100,000 | 110,751 | ||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
City of Melbourne FL, | ||||||||||||
0.000%, 10/01/2023 (Insured by NATL) | 100,000 | 91,995 | ||||||||||
City of Port St. Lucie FL: | ||||||||||||
5.000%, 09/01/2021 | 55,000 | 58,903 | ||||||||||
5.250%, 09/01/2022 (Insured by NATL) | 100,000 | 111,306 | ||||||||||
City of Tallahassee FL, | ||||||||||||
5.000%, 12/01/2019 | 190,000 | 192,563 | ||||||||||
City of Tampa FL, | ||||||||||||
5.250%, 11/15/2024 (Pre-refunded to 05/15/2020) | 395,000 | 408,438 | ||||||||||
County of Collier FL, | ||||||||||||
5.000%, 06/01/2020 | 120,000 | 123,896 | ||||||||||
County of Miami-Dade FL, | ||||||||||||
0.000%, 10/01/2023 (ETM)(Insured by NATL) | 50,000 | 46,708 | ||||||||||
County of Okeechobee FL, | ||||||||||||
1.550%, 07/01/2039 (Mandatory Tender Date 07/01/2021) (1) | 475,000 | 472,345 | ||||||||||
Escambia County Health Facilities Authority, | ||||||||||||
1.180%, 11/15/2029 (Callable 07/01/2019)(Optional Put Date 06/28/2019)(Insured by AGC) (1) | 1,510,000 | 1,510,000 | ||||||||||
Florida Development Finance Corp., | ||||||||||||
2.625%, 12/15/2024 | 310,000 | 310,155 | ||||||||||
Florida Gulf Coast University Financing Corp., | ||||||||||||
4.100%, 02/01/2025 (Callable 02/01/2020) | 100,000 | 101,337 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 11/01/2019 | 195,000 | 197,270 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
3.700%, 07/01/2021 (Callable 01/01/2021)(Insured by GNMA) | 585,000 | 598,677 | ||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 350,000 | 353,741 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 130,000 | 137,062 | ||||||||||
Florida Municipal Loan Council: | ||||||||||||
0.000%, 04/01/2022 (Insured by NATL) | 210,000 | 196,655 | ||||||||||
0.000%, 04/01/2023 (Insured by NATL) | 75,000 | 68,459 | ||||||||||
0.000%, 04/01/2024 (Insured by NATL) | 55,000 | 48,933 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 585,000 | 628,331 | ||||||||||
Florida State Municipal Loan Council, | ||||||||||||
3.000%, 10/01/2020 (Insured by NATL) | 555,000 | 565,517 | ||||||||||
Heritage Bay Community Development District: | ||||||||||||
2.125%, 05/01/2020 | 125,000 | 125,394 | ||||||||||
2.250%, 05/01/2021 | 125,000 | 126,007 | ||||||||||
Highlands County Health Facilities Authority: | ||||||||||||
1.190%, 11/15/2035 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 400,000 | 400,000 | ||||||||||
1.190%, 11/15/2037 (Callable 06/28/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
Hollywood Community Redevelopment Agency: | ||||||||||||
5.000%, 03/01/2023 | 525,000 | 586,525 | ||||||||||
5.000%, 03/01/2024 | 800,000 | 917,288 | ||||||||||
Jacksonville Housing Finance Authority: | ||||||||||||
1.900%, 01/01/2021 (Mandatory Tender Date 01/01/2020) (1) | 290,000 | 290,400 | ||||||||||
2.250%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 1,500,000 | 1,510,575 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
5.000%, 10/01/2023 | 150,000 | 170,499 | ||||||||||
5.000%, 10/01/2023 | 210,000 | 238,699 | ||||||||||
5.000%, 10/01/2026 (Callable 04/01/2021) | 245,000 | 260,410 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2023 | 190,000 | 216,551 | ||||||||||
Lee Memorial Health System, | ||||||||||||
1.400%, 04/01/2049 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
Martin County Health Facilities Authority, | ||||||||||||
3.750%, 11/15/2020 (ETM) | 125,000 | 128,951 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2020 | 300,000 | 308,211 | ||||||||||
Miami-Dade County Educational Facilities Authority: | ||||||||||||
5.000%, 04/01/2022 | 150,000 | 164,184 | ||||||||||
5.000%, 04/01/2023 | 150,000 | 168,766 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2022 | 385,000 | 405,979 | ||||||||||
1.750%, 09/01/2027 (Mandatory Tender Date 11/01/2019) (1) | 695,000 | 695,396 | ||||||||||
Orange County Health Facilities Authority: | ||||||||||||
3.500%, 08/01/2021 | 560,000 | 577,646 | ||||||||||
6.250%, 10/01/2021 (ETM)(Insured by NATL) | 110,000 | 116,583 | ||||||||||
Orange County Housing Finance Authority: | ||||||||||||
1.900%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 855,000 | 859,036 | ||||||||||
4.375%, 03/01/2031 (Callable 03/01/2021)(Insured by GNMA) | 420,000 | 427,341 | ||||||||||
4.000%, 09/01/2040 (Callable 09/01/2024)(Insured by GNMA) | 490,000 | 510,389 | ||||||||||
4.250%, 09/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 135,000 | 147,238 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 11/15/2022 | 220,000 | 244,218 | ||||||||||
Pinellas County Housing Finance Authority: | ||||||||||||
4.375%, 09/01/2027 (Callable 09/01/2021)(Insured by GNMA) | 165,000 | 168,701 | ||||||||||
3.500%, 03/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 530,000 | 551,173 | ||||||||||
School Board of Miami-Dade County: | ||||||||||||
5.000%, 05/01/2031 (Mandatory Tender Date 05/01/2024) (1) | 705,000 | 809,629 | ||||||||||
5.500%, 05/01/2031 (Callable 05/01/2021)(Insured by AGM) | 300,000 | 319,932 | ||||||||||
St Johns River Power Park, | ||||||||||||
5.000%, 10/01/2024 (Callable 10/01/2019) | 105,000 | 105,835 | ||||||||||
St. Lucie County School Board, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2023) | 1,150,000 | 1,286,908 | ||||||||||
University of North Florida Financing Corp., | ||||||||||||
5.000%, 11/01/2023 (Insured by AGM) | 300,000 | 341,073 | ||||||||||
Total Florida | 24,260,548 | 4.9 | % | |||||||||
Georgia | ||||||||||||
Bartow County Development Authority, | ||||||||||||
2.750%, 12/01/2032 (Mandatory Tender Date 03/15/2023) (1) | 2,000,000 | 2,051,180 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 170,000 | 171,812 | ||||||||||
1.850%, 12/01/2049 (Mandatory Tender Date 08/22/2019) (1) | 70,000 | 70,015 | ||||||||||
1.850%, 12/01/2049 (Mandatory Tender Date 08/22/2019) (1) | 200,000 | 200,042 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2023 (Callable 01/01/2020) | 450,000 | 457,862 | ||||||||||
5.000%, 01/01/2024 (Callable 01/01/2020) | 515,000 | 523,997 | ||||||||||
City of Thomson GA: | ||||||||||||
3.000%, 07/01/2022 | 535,000 | 552,585 | ||||||||||
3.000%, 07/01/2023 (Callable 07/01/2022) | 550,000 | 567,265 | ||||||||||
Colquitt County Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 35,000 | 33,663 | ||||||||||
Cornelia Urban Redevelopment Agency, | ||||||||||||
4.000%, 10/01/2023 (Insured by AGM) | 80,000 | 86,706 | ||||||||||
County of Columbia GA, | ||||||||||||
6.000%, 06/01/2020 (Insured by NATL) | 110,000 | 114,506 | ||||||||||
DeKalb Private Hospital Authority, | ||||||||||||
5.000%, 11/15/2024 (Callable 11/15/2019) | 125,000 | 126,687 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 800,000 | 993,064 | ||||||||||
Gainesville & Hall County Hospital Authority: | ||||||||||||
2.130%, 08/15/2035 (SIFMA Municipal Swap Index + 0.950%) (Callable 08/22/2019)(Mandatory Tender Date 02/18/2020) (2) | 1,325,000 | 1,325,344 | ||||||||||
1.390%, 02/15/2047 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 750,000 | 750,000 | ||||||||||
Macon-Bibb County Hospital Authority, | ||||||||||||
5.000%, 08/01/2022 (Pre-refunded to 08/01/2019) | 50,000 | 50,146 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2022 | 180,000 | 194,956 | ||||||||||
2.440%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 2,000,000 | 1,982,600 | ||||||||||
4.000%, 08/01/2048 (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (1) | 620,000 | 677,369 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 2,450,000 | 2,717,809 | ||||||||||
Monroe County Development Authority: | ||||||||||||
3.850%, 04/01/2043 (1) | 100,000 | 100,020 | ||||||||||
2.050%, 07/01/2049 (Mandatory Tender Date 11/19/2021) (1) | 260,000 | 260,660 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019 (Callable 07/29/2019) | 250,000 | 250,240 | ||||||||||
Private Colleges & Universities Authority: | ||||||||||||
3.750%, 10/01/2021 | 55,000 | 57,254 | ||||||||||
5.000%, 10/01/2021 | 75,000 | 80,297 | ||||||||||
Richmond County Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 45,000 | 43,333 | ||||||||||
Washington Wilkes Payroll Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 400,000 | 385,180 | ||||||||||
Total Georgia | 14,824,592 | 3.0 | % | |||||||||
Idaho | ||||||||||||
University of Idaho, | ||||||||||||
5.250%, 04/01/2041 (Mandatory Tender Date 04/01/2021) (1) | 2,435,000 | 2,579,444 | 0.5 | % | ||||||||
Total Idaho |
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2026 (Callable 12/01/2025)(Insured by BAM) | 275,000 | 304,994 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
3.000%, 12/01/2021 (Insured by BAM) | 30,000 | 30,832 | ||||||||||
Carroll & Whiteside Counties Cmnty Unit Sch Dist No. 399, | ||||||||||||
4.000%, 12/01/2024 (Insured by AGM) | 410,000 | 448,888 | ||||||||||
Chicago Board of Education: | ||||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 295,000 | 321,715 | ||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 500,000 | 557,270 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2020 | 70,000 | 71,237 | ||||||||||
Chicago Park District: | ||||||||||||
5.000%, 01/01/2020 | 325,000 | 330,044 | ||||||||||
5.000%, 01/01/2024 | 1,305,000 | 1,460,269 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2019 | 125,000 | 126,039 | ||||||||||
City of Burbank IL, | ||||||||||||
4.000%, 12/01/2021 (Insured by BAM) | 1,500,000 | 1,556,640 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 11/01/2019 | 200,000 | 202,166 | ||||||||||
5.000%, 01/01/2020 | 300,000 | 303,594 | ||||||||||
5.000%, 01/01/2020 | 50,000 | 50,808 | ||||||||||
5.000%, 11/01/2020 | 850,000 | 886,389 | ||||||||||
5.000%, 01/01/2023 (Callable 01/01/2020) | 25,000 | 25,438 | ||||||||||
5.250%, 01/01/2038 (Pre-refunded to 01/01/2022) | 380,000 | 416,073 | ||||||||||
City of Decatur IL, | ||||||||||||
4.000%, 03/01/2022 | 65,000 | 68,349 | ||||||||||
City of Oregon IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 105,000 | 111,805 | ||||||||||
City of Rock Island IL, | ||||||||||||
4.000%, 12/01/2019 | 100,000 | 100,955 | ||||||||||
City of Rockford IL, | ||||||||||||
5.000%, 12/15/2023 (Insured by BAM) | 110,000 | 123,594 | ||||||||||
City of Springfield IL: | ||||||||||||
4.000%, 12/01/2019 | 95,000 | 95,947 | ||||||||||
5.000%, 12/01/2023 | 155,000 | 174,281 | ||||||||||
5.000%, 03/01/2024 | 35,000 | 40,216 | ||||||||||
City of Waukegan IL: | ||||||||||||
5.000%, 12/30/2020 (Insured by AGM) | 75,000 | 78,842 | ||||||||||
3.000%, 12/30/2022 | 365,000 | 377,607 | ||||||||||
Cook County Community College District No. 510, | ||||||||||||
0.000%, 12/01/2019 (Insured by AGM) | 500,000 | 496,465 | ||||||||||
Cook County Community High School District No. 219, | ||||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 65,000 | 62,798 | ||||||||||
Cook County Forest Preserve District, | ||||||||||||
5.000%, 11/15/2021 | 750,000 | 799,462 | ||||||||||
Cook county Illinois School District No. 163, | ||||||||||||
6.000%, 12/15/2024 (Insured by BAM) | 795,000 | 950,899 | ||||||||||
Cook County School District No. 111, | ||||||||||||
0.000%, 12/01/2020 (ETM)(Insured by AGM) | 70,000 | 68,603 | ||||||||||
Cook County School District No. 130, | ||||||||||||
5.000%, 12/01/2025 (Insured by AGM) | 1,320,000 | 1,542,433 | ||||||||||
Cook County School District No. 154, | ||||||||||||
3.500%, 12/01/2024 (Insured by BAM) | 214,000 | 226,239 | ||||||||||
Cook County Township High School District No. 201: | ||||||||||||
0.000%, 12/01/2019 (Insured by AMBAC) | 100,000 | 99,203 | ||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 265,000 | 257,495 | ||||||||||
0.000%, 12/01/2025 (Insured by AGM) | 165,000 | 141,131 | ||||||||||
County of Cook IL, | ||||||||||||
5.000%, 11/15/2021 (Callable 11/15/2019) | 340,000 | 344,206 | ||||||||||
County of Jefferson IL, | ||||||||||||
2.000%, 01/15/2020 (Insured by AGM) | 100,000 | 100,335 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2024 (Insured by AGM) | 250,000 | 277,108 | ||||||||||
Crawford County Community Unit School District No. 2, | ||||||||||||
3.000%, 12/01/2019 (Insured by MAC) | 135,000 | 135,691 | ||||||||||
Danville Public Building Commission, | ||||||||||||
4.000%, 12/01/2019 | 115,000 | 116,195 | ||||||||||
DeKalb & Kane Counties Community Unit School District No. 427, | ||||||||||||
4.000%, 02/01/2029 (Callable 02/01/2022)(Insured by BAM) | 475,000 | 495,596 | ||||||||||
DeKalb County Community Unit School District No. 424, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 250,000 | 237,990 | ||||||||||
DuPage County School District No. 34, | ||||||||||||
0.000%, 01/01/2020 (Insured by NATL) | 460,000 | 455,897 | ||||||||||
Fulton, Mason, Knox, Schuyler, Etc. Counties Community College District No. 534: | ||||||||||||
3.250%, 12/01/2020 (Insured by BAM) | 210,000 | 213,610 | ||||||||||
4.000%, 12/01/2027 (Callable 12/01/2022)(Insured by BAM) | 90,000 | 94,618 | ||||||||||
Governors State University, | ||||||||||||
5.000%, 07/01/2021 (Insured by BAM) | 295,000 | 311,316 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2022 (Insured by BAM) | 100,000 | 102,049 | ||||||||||
3.000%, 03/01/2023 (Insured by BAM) | 210,000 | 215,376 | ||||||||||
3.000%, 03/01/2026 (Insured by BAM) | 90,000 | 91,905 | ||||||||||
Illinois Development Finance Authority, | ||||||||||||
0.000%, 01/01/2020 (Insured by AGM) | 75,000 | 74,335 | ||||||||||
Illinois Educational Facilities Authority, | ||||||||||||
1.800%, 07/01/2036 (Mandatory Tender Date 02/13/2020) (1) | 200,000 | 200,304 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 10/01/2019 | 75,000 | 75,427 | ||||||||||
4.000%, 11/01/2019 | 145,000 | 146,090 | ||||||||||
5.000%, 02/15/2020 | 100,000 | 102,004 | ||||||||||
5.000%, 10/01/2020 | 105,000 | 107,714 | ||||||||||
5.000%, 01/01/2021 | 125,000 | 130,561 | ||||||||||
4.000%, 09/01/2021 | 75,000 | 78,164 | ||||||||||
5.000%, 11/01/2021 | 60,000 | 64,262 | ||||||||||
5.000%, 02/15/2022 | 225,000 | 245,133 | ||||||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 145,000 | 150,845 | ||||||||||
5.000%, 05/15/2022 | 190,000 | 203,747 | ||||||||||
1.900%, 10/01/2022 (Mandatory Tender Date 10/01/2021) (1) | 1,250,000 | 1,258,550 | ||||||||||
5.000%, 05/15/2023 | 120,000 | 135,037 | ||||||||||
5.000%, 05/15/2024 | 350,000 | 403,564 | ||||||||||
5.000%, 11/01/2024 | 125,000 | 143,384 | ||||||||||
3.032%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 135,000 | 135,339 | ||||||||||
1.750%, 07/01/2042 (Mandatory Tender Date 05/06/2020) (1) | 1,910,000 | 1,909,656 | ||||||||||
1.930%, 01/01/2046 (SIFMA Municipal Swap Index + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 07/01/2023) (2) | 70,000 | 69,973 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 396,174 | 388,979 | ||||||||||
4.500%, 10/01/2048 (Callable 04/01/2028) | 245,000 | 269,730 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 2,000,000 | 2,192,720 | ||||||||||
Jefferson County Township High School District No. 201, | ||||||||||||
6.500%, 12/30/2020 (Insured by BAM) | 195,000 | 209,506 | ||||||||||
Joliet Park District: | ||||||||||||
5.000%, 03/01/2022 (Callable 03/01/2021) | 130,000 | 134,755 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 150,000 | 158,688 | ||||||||||
Kane County School District No 131 Aurora East Side, | ||||||||||||
3.500%, 06/01/2024 (Callable 06/01/2021)(Insured by AGM) | 785,000 | 802,058 | ||||||||||
Kankakee County Community High School District No. 307, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 390,000 | 422,643 | ||||||||||
Kankakee, Iroquois, Ford, Etc. Counties Community Unit School District No. 2, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 445,000 | 480,685 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,250,000 | 1,189,062 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205, | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 500,000 | 529,750 | ||||||||||
Lake County Community Consolidated School District No 24 Millburn, | ||||||||||||
4.000%, 01/01/2020 | 940,000 | 950,566 | ||||||||||
Lake County Community High School District No. 117, | ||||||||||||
0.000%, 12/01/2019 (Insured by NATL) | 235,000 | 233,176 | ||||||||||
Lake County Community High School District No. 127, | ||||||||||||
0.000%, 02/01/2020 (Insured by NATL) | 150,000 | 148,627 | ||||||||||
Lake County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/15/2025 (Callable 01/15/2023) | 240,000 | 266,950 | ||||||||||
Lake County Elementary School District No. 6: | ||||||||||||
0.000%, 12/01/2019 (Insured by AMBAC) | 80,000 | 79,110 | ||||||||||
0.000%, 12/01/2021 (Insured by AMBAC) | 115,000 | 106,946 | ||||||||||
0.000%, 12/01/2022 (Insured by AMBAC) | 100,000 | 89,910 | ||||||||||
0.000%, 12/01/2024 (Insured by AMBAC) | 70,000 | 58,274 | ||||||||||
Lake County Forest Preserve District, | ||||||||||||
2.095%, 12/15/2020 (3 Month LIBOR USD + 0.480%) (2) | 585,000 | 585,556 | ||||||||||
Lee County Community Unit School District No. 272: | ||||||||||||
4.000%, 01/01/2020 (Insured by AGM) | 300,000 | 303,777 | ||||||||||
4.000%, 01/01/2021 (Insured by AGM) | 370,000 | 383,923 | ||||||||||
Logan Sangamon Etc Counties Community Unit School District No. 23: | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 440,000 | 470,514 | ||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 520,000 | 569,603 | ||||||||||
Macon & De Witt Counties Community Unit School District No. 1, | ||||||||||||
2.250%, 12/01/2022 (Callable 12/01/2019) | 80,000 | 80,058 | ||||||||||
McDonough County Community Unit School District No. 185, | ||||||||||||
3.000%, 12/01/2019 | 205,000 | 206,355 | ||||||||||
McHenry County Community Unit School District No. 200, | ||||||||||||
5.250%, 01/15/2027 (Callable 01/15/2024) | 100,000 | 115,190 | ||||||||||
Menard Cass & Sangamon Counties Community Unit School District No. 202, | ||||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 300,000 | 321,036 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
5.650%, 06/15/2022 (Insured by NATL) | 120,000 | 131,495 | ||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 200,000 | 213,846 | ||||||||||
0.000%, 06/15/2024 (Insured by NATL) | 35,000 | 31,019 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) | 30,000 | 34,034 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) | 35,000 | 38,670 | ||||||||||
5.000%, 12/15/2026 (Callable 06/15/2022)(Insured by ST) | 265,000 | 282,991 | ||||||||||
Monroe & St Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2020 (Insured by BAM) | 270,000 | 277,547 | ||||||||||
Newport Township Fire Protection District: | ||||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 125,000 | 130,775 | ||||||||||
4.000%, 01/01/2023 (Insured by BAM) | 135,000 | 143,594 | ||||||||||
Ogle & Winnebago Counties Community Unit School District, | ||||||||||||
5.000%, 12/01/2021 (Insured by BAM) | 150,000 | 161,618 | ||||||||||
Peoria Public Building Commission: | ||||||||||||
0.000%, 12/01/2020 (Callable 12/01/2019)(Insured by AGC) | 300,000 | 281,415 | ||||||||||
5.000%, 12/01/2020 (Insured by BAM) | 185,000 | 194,102 | ||||||||||
0.000%, 12/01/2026 (Callable 12/01/2019)(Insured by AGC) | 250,000 | 154,733 | ||||||||||
Pike & Adams Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 345,000 | 374,228 | ||||||||||
Plano Special Service Areas No. 3 & 4, | ||||||||||||
4.000%, 03/01/2030 (Callable 03/01/2025) | 315,000 | 341,299 | ||||||||||
Prospect Heights Park District, | ||||||||||||
4.000%, 12/01/2020 (Insured by BAM) | 120,000 | 124,146 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
5.000%, 03/01/2020 (Callable 07/29/2019)(Insured by AMBAC) | 100,000 | 101,775 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.250%, 06/01/2020 | 75,000 | 77,445 | ||||||||||
Regional Transportation Authority: | ||||||||||||
6.250%, 07/01/2021 (Insured by AGM) | 600,000 | 655,926 | ||||||||||
5.750%, 06/01/2023 (Insured by AGM) | 175,000 | 197,174 | ||||||||||
Sales Tax Securitization Corp., | ||||||||||||
5.000%, 01/01/2024 | 200,000 | 224,400 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 | 205,000 | 214,274 | ||||||||||
Shelby Christian Macon Counties Community School District No. 21: | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2023)(Insured by AGM) | 400,000 | 434,848 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2023)(Insured by AGM) | 435,000 | 471,209 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.125%, 11/01/2030 (Pre-refunded to 11/01/2023) | 165,000 | 204,161 | ||||||||||
St. Charles Public Library District, | �� | |||||||||||
4.000%, 11/01/2028 (Callable 11/01/2024) | 455,000 | 493,106 | ||||||||||
St. Clair County Community Consolidated School District: | ||||||||||||
0.000%, 12/01/2021 | 510,000 | 484,454 | ||||||||||
0.000%, 12/01/2022 | 190,000 | 176,147 | ||||||||||
St. Clair County School District No. 119: | ||||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 350,000 | 381,710 | ||||||||||
5.000%, 04/01/2023 (Insured by AGM) | 300,000 | 336,600 | ||||||||||
St. Clair County Township High School District No. 203, | ||||||||||||
4.000%, 12/01/2022 | 400,000 | 425,996 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 100,000 | 99,809 | ||||||||||
5.000%, 04/01/2020 | 40,000 | 40,975 | ||||||||||
4.000%, 06/15/2020 | 100,000 | 101,973 | ||||||||||
5.000%, 06/15/2020 | 35,000 | 36,019 | ||||||||||
5.000%, 06/15/2020 | 450,000 | 463,104 | ||||||||||
5.000%, 08/01/2020 | 3,000,000 | 3,105,510 | ||||||||||
4.000%, 06/15/2021 | 35,000 | 36,238 | ||||||||||
5.000%, 01/01/2022 (Callable 01/01/2020) | 105,000 | 106,524 | ||||||||||
6.500%, 06/15/2022 | 260,000 | 271,034 | ||||||||||
5.000%, 06/15/2023 | 670,000 | 734,092 | ||||||||||
5.500%, 07/01/2024 (Callable 07/01/2023) | 835,000 | 931,267 | ||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 100,000 | 107,556 | ||||||||||
5.000%, 10/01/2024 | 525,000 | 591,990 | ||||||||||
3.750%, 06/15/2025 (Callable 06/15/2021) | 190,000 | 194,129 | ||||||||||
5.000%, 06/15/2025 (Callable 06/15/2023) | 1,500,000 | 1,637,790 | ||||||||||
4.000%, 06/15/2026 (Callable 06/15/2021) | 315,000 | 323,111 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2024) | 520,000 | 571,704 | ||||||||||
United City of Yorkville IL, | ||||||||||||
4.050%, 12/01/2027 (Callable 12/01/2023) | 120,000 | 129,161 | ||||||||||
University of Illinois: | ||||||||||||
4.000%, 10/01/2019 | 100,000 | 100,615 | ||||||||||
5.000%, 08/15/2020 | 260,000 | 270,091 | ||||||||||
5.000%, 10/01/2021 | 300,000 | 322,221 | ||||||||||
5.000%, 03/15/2022 | 50,000 | 54,431 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2022 | 530,000 | 578,177 | ||||||||||
5.000%, 12/01/2023 | 400,000 | 445,104 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 263,440 | ||||||||||
4.500%, 12/15/2025 (Callable 12/15/2022)(Insured by BAM) | 60,000 | 65,541 | ||||||||||
Village of Lansing IL: | ||||||||||||
5.000%, 03/01/2022 (Insured by AGM) | 340,000 | 364,919 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 230,000 | 258,009 | ||||||||||
Village of Lyons IL, | ||||||||||||
5.000%, 12/01/2025 (Callable 12/01/2022)(Insured by BAM) | 25,000 | 27,419 | ||||||||||
Village of Matteson IL, | ||||||||||||
8.000%, 12/01/2029 (Pre-refunded to 06/01/2022) | 335,000 | 376,383 | ||||||||||
Village of Montgomery IL, | ||||||||||||
2.100%, 03/01/2020 (Insured by BAM) | 195,000 | 195,936 | ||||||||||
Village of Oak Park IL: | ||||||||||||
5.000%, 11/01/2020 | 235,000 | 245,885 | ||||||||||
4.000%, 11/01/2021 | 245,000 | 258,282 | ||||||||||
Village of Orland Hills IL: | ||||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 145,000 | 154,522 | ||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 130,000 | 140,196 | ||||||||||
Village of Richton Park IL: | ||||||||||||
3.000%, 12/01/2019 (Insured by BAM) | 65,000 | 65,260 | ||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 80,000 | 84,629 | ||||||||||
Village of River Grove IL: | ||||||||||||
3.000%, 12/15/2020 (Insured by BAM) | 75,000 | 76,273 | ||||||||||
3.000%, 12/15/2021 (Insured by BAM) | 120,000 | 123,292 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.000%, 02/01/2022 (Insured by BAM) | 125,000 | 131,539 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 130,000 | 139,056 | ||||||||||
4.000%, 02/01/2024 (Insured by BAM) | 135,000 | 146,495 | ||||||||||
4.000%, 02/01/2025 (Insured by BAM) | 140,000 | 153,290 | ||||||||||
4.000%, 02/01/2026 (Insured by BAM) | 220,000 | 243,032 | ||||||||||
Village of Sugar Grove IL, | ||||||||||||
3.000%, 12/15/2025 (Callable 12/15/2021) | 225,000 | 229,421 | ||||||||||
Village of Tremont IL: | ||||||||||||
3.000%, 07/01/2019 (Insured by BAM) | 50,000 | 50,000 | ||||||||||
3.000%, 01/01/2020 (Insured by BAM) | 70,000 | 70,456 | ||||||||||
3.000%, 07/01/2020 (Insured by BAM) | 95,000 | 96,338 | ||||||||||
Wayne Hamilton & Jefferson Counties Community Unit School District No. 100, | ||||||||||||
4.500%, 12/01/2021 (Insured by BAM) | 195,000 | 206,712 | ||||||||||
Western Illinois University, | ||||||||||||
5.000%, 04/01/2020 (Insured by BAM) | 250,000 | 255,470 | ||||||||||
White County Community Unit School District No. 5, | ||||||||||||
4.300%, 12/01/2021 (Insured by AGM) | 100,000 | 106,587 | ||||||||||
Will County Community Consolidated School District No. 70-C: | ||||||||||||
4.000%, 12/01/2019 (Insured by AGM) | 155,000 | 156,635 | ||||||||||
4.000%, 12/01/2020 (Insured by AGM) | 130,000 | 134,621 | ||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 270,000 | 291,163 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
5.000%, 01/01/2021 (Callable 07/29/2019) | 125,000 | 125,165 | ||||||||||
0.000%, 01/01/2022 (ETM)(Insured by AGM) | 175,000 | 168,005 | ||||||||||
0.000%, 01/01/2023 (ETM)(Insured by AGM) | 360,000 | 338,368 | ||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 160,000 | 146,571 | ||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 500,000 | 461,700 | ||||||||||
0.000%, 01/01/2024 (Insured by AGM) | 275,000 | 244,830 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2021 (Insured by NATL) | 215,000 | 205,306 | ||||||||||
Will County Elementary School District No. 122, | ||||||||||||
0.000%, 11/01/2021 (ETM)(Insured by AGM) | 50,000 | 48,211 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 200,000 | 192,310 | ||||||||||
Will County School District No. 114: | ||||||||||||
0.000%, 12/01/2019 (ETM)(Insured by NATL) | 25,000 | 24,858 | ||||||||||
0.000%, 12/01/2019 (Insured by NATL) | 25,000 | 24,776 | ||||||||||
Will County School District No. 88, | ||||||||||||
5.250%, 01/01/2022 (Insured by AGM) | 860,000 | 920,639 | ||||||||||
Will County Township High School District No. 204, | ||||||||||||
5.000%, 01/01/2023 | 195,000 | 216,532 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
0.000%, 02/01/2022 | 95,000 | 89,825 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2023) | 965,000 | 1,027,137 | ||||||||||
Total Illinois | 61,875,244 | 12.4 | % |
Indiana | ||||||||||||
Anderson Redevelopment District, | ||||||||||||
5.000%, 02/01/2020 | 535,000 | 545,026 | ||||||||||
Center Grove Community School Corp.: | ||||||||||||
2.000%, 07/01/2019 (Insured by ST) | 160,000 | 160,000 | ||||||||||
2.000%, 01/01/2020 (Insured by ST) | 655,000 | 655,773 | ||||||||||
City of Goshen IN, | ||||||||||||
4.100%, 01/01/2021 (Callable 07/29/2019)(Insured by AGM) | 470,000 | 471,076 | ||||||||||
City of Lawrence IN: | ||||||||||||
3.000%, 01/01/2020 (Insured by BAM) | 175,000 | 176,157 | ||||||||||
4.000%, 01/01/2021 (Insured by BAM) | 200,000 | 206,922 | ||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 400,000 | 423,192 | ||||||||||
City of Mishawaka IN, | ||||||||||||
5.000%, 03/01/2025 (Insured by AGM) | 100,000 | 117,994 | ||||||||||
City of Valparaiso IN, | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2023) | 375,000 | 408,097 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044 (Mandatory Tender Date 10/01/2019) (1) | 640,000 | 640,493 | ||||||||||
County of Lake IN, | ||||||||||||
4.000%, 07/15/2021 (Insured by AGM) | 100,000 | 105,064 | ||||||||||
Evansville Vanderburgh Public Library, | ||||||||||||
4.000%, 07/01/2021 (Insured by ST) | 135,000 | 139,452 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
5.000%, 01/15/2025 (Insured by ST) | 525,000 | 607,997 | ||||||||||
Hammond Sanitary District, | ||||||||||||
5.000%, 01/15/2021 (Insured by BAM) | 445,000 | 469,328 | ||||||||||
Indiana Bond Bank: | ||||||||||||
5.250%, 10/15/2019 | 80,000 | 80,793 | ||||||||||
2.513%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 1,075,000 | 1,075,129 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 10/01/2022 | 175,000 | 192,902 | ||||||||||
5.250%, 10/01/2022 (Callable 10/01/2021) | 800,000 | 868,096 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 400,000 | 403,204 | ||||||||||
Indiana Housing & Community Development Authority: | ||||||||||||
4.000%, 12/01/2027 (Callable 06/01/2021)(Insured by GNMA) | 405,000 | 413,975 | ||||||||||
1.300%, 07/01/2047 (Optional Put Date 06/28/2019)(Insured by GNMA) (1) | 1,000,000 | 1,000,000 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 06/01/2020 | 125,000 | 128,990 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 07/15/2022 (Insured by ST) | 215,000 | 237,463 | ||||||||||
Lake Station School Building Corp., | ||||||||||||
3.000%, 07/15/2022 (Callable 01/15/2022)(Insured by ST) | 155,000 | 158,328 | ||||||||||
Michigan City School Building Corp., | ||||||||||||
5.000%, 07/15/2023 (Insured by ST) | 350,000 | 393,316 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2023 (Insured by ST) | 160,000 | 174,632 | ||||||||||
Noblesville Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2021 (Insured by ST) | 2,160,000 | 2,287,699 | ||||||||||
Salem Middle School Building Corp., | ||||||||||||
4.000%, 01/15/2024 (Insured by ST) | 195,000 | 213,500 | ||||||||||
Town of Rossville IN, | ||||||||||||
3.500%, 07/01/2023 | 115,000 | 120,712 | ||||||||||
Vincennes University, | ||||||||||||
4.000%, 10/01/2019 (Callable 07/29/2019)(Insured by AMBAC) | 135,000 | 135,212 | ||||||||||
Vinton-Tecumseh School Building Corp.: | ||||||||||||
4.000%, 01/15/2020 (Insured by ST) | 275,000 | 278,729 | ||||||||||
4.000%, 07/15/2020 (Insured by ST) | 255,000 | 261,661 | ||||||||||
4.000%, 01/15/2021 (Insured by ST) | 265,000 | 275,144 | ||||||||||
4.000%, 07/15/2021 (Insured by ST) | 220,000 | 231,187 | ||||||||||
4.000%, 07/15/2022 (Insured by ST) | 385,000 | 413,479 | ||||||||||
5.000%, 01/15/2023 (Insured by ST) | 145,000 | 162,288 | ||||||||||
Washington Indiana Elementary School Building Corp., | ||||||||||||
3.000%, 01/15/2024 (Insured by ST) | 550,000 | 569,707 | ||||||||||
West Washington School Corp.: | ||||||||||||
2.000%, 01/15/2022 (Insured by ST) (6) | 125,000 | 125,845 | ||||||||||
2.000%, 07/15/2022 (Insured by ST) (6) | 195,000 | 196,425 | ||||||||||
Westfield High School Building Corp., | ||||||||||||
5.000%, 01/15/2024 (Insured by ST) | 200,000 | 227,552 | ||||||||||
Total Indiana | 15,752,539 | 3.2 | % | |||||||||
Iowa | ||||||||||||
Bondurant-Farrar Community School District, | ||||||||||||
3.000%, 06/01/2023 (Insured by MAC) | 110,000 | 115,499 | ||||||||||
City of Cedar Rapids IA, | ||||||||||||
2.643%, 08/15/2029 (Insured by AMBAC) (1)(5) | 770,000 | 770,000 | ||||||||||
Iowa Finance Authority: | ||||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026)(Insured by GNMA) | 205,000 | 214,016 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 975,000 | 1,048,807 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,000,000 | 1,107,270 | ||||||||||
Iowa Western Community College, | ||||||||||||
3.000%, 06/01/2021 | 500,000 | 514,475 | ||||||||||
PEFA, Inc., | ||||||||||||
5.000%, 09/01/2049 (Callable 06/01/2026)(Mandatory Tender Date 09/01/2026) (1) | 500,000 | 589,495 | ||||||||||
Total Iowa | 4,359,562 | 0.9 | % | |||||||||
Kansas | ||||||||||||
City of Washington KS, | ||||||||||||
2.000%, 12/01/2022 (Callable 12/01/2020) | 1,860,000 | 1,871,141 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 525,000 | 532,124 | ||||||||||
Kansas Municipal Energy Agency, | ||||||||||||
5.000%, 04/01/2022 (Insured by BAM) | 515,000 | 563,992 | ||||||||||
Public Building Commission of Johnson County, | ||||||||||||
5.000%, 09/01/2023 | 1,310,000 | 1,501,129 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
2.010%, 09/01/2019 (1 Month LIBOR USD + 0.400%) (2) | 205,000 | 205,109 | ||||||||||
Total Kansas | 4,673,495 | 0.9 | % | |||||||||
Kentucky | ||||||||||||
City of Owensboro KY, | ||||||||||||
0.000%, 01/01/2020 (Insured by AMBAC) | 370,000 | 366,592 | ||||||||||
City of Somerset KY, | ||||||||||||
4.000%, 11/01/2026 (Callable 11/01/2021) | 200,000 | 207,096 | ||||||||||
County of Carroll KY, | ||||||||||||
1.050%, 09/01/2042 (Mandatory Tender Date 09/01/2019) (1) | 250,000 | 249,630 | ||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 10/01/2024 (Insured by NATL) | 100,000 | 88,202 | ||||||||||
6.000%, 06/01/2030 (Pre-refunded to 06/01/2020) | 190,000 | 197,817 | ||||||||||
6.375%, 06/01/2040 (Pre-refunded to 06/01/2020) | 340,000 | 355,144 | ||||||||||
6.500%, 03/01/2045 (Pre-refunded to 06/01/2020) | 950,000 | 993,291 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,865 | ||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024)(Mandatory Tender Date 04/01/2024) (1) | 790,000 | 858,754 | ||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024)(Mandatory Tender Date 01/01/2025) (1) | 1,295,000 | 1,428,955 | ||||||||||
Kentucky Rural Water Finance Corp., | ||||||||||||
2.250%, 03/01/2020 (Callable 09/01/2019) | 250,000 | 250,285 | ||||||||||
Magoffin County Justice Center Corp., | ||||||||||||
3.000%, 05/01/2023 | 345,000 | 358,790 | ||||||||||
Total Kentucky | 5,505,421 | 1.1 | % | |||||||||
Louisiana | ||||||||||||
Calcasieu Parish Fire Protection District No. 1: | ||||||||||||
3.000%, 03/01/2020 (Insured by BAM) | 110,000 | 111,165 | ||||||||||
3.500%, 03/01/2022 (Insured by BAM) | 145,000 | 151,716 | ||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 155,000 | 169,930 | ||||||||||
Calcasieu Parish School Board, | ||||||||||||
5.000%, 02/01/2025 (Callable 02/01/2022) | 115,000 | 124,898 | ||||||||||
Calcasieu Parish School District No. 30, | ||||||||||||
2.500%, 02/15/2022 | 225,000 | 230,040 | ||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 165,000 | 186,727 | ||||||||||
Ernest N Morial New Orleans Exhibition Hall Authority, | ||||||||||||
5.000%, 07/15/2021 | 250,000 | 267,187 | ||||||||||
Jefferson Sales Tax District, | ||||||||||||
4.500%, 12/01/2022 (Callable 12/01/2019)(Insured by AGC) | 140,000 | 141,889 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Auth, | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2023) | 170,000 | 191,597 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.500%, 10/01/2025 (Pre-refunded to 10/01/2020) | 1,050,000 | 1,104,222 | ||||||||||
5.625%, 10/01/2030 (Pre-refunded to 10/01/2020) | 80,000 | 84,254 | ||||||||||
5.750%, 09/01/2035 (Pre-refunded to 09/01/2023) | 75,000 | 88,150 | ||||||||||
6.000%, 10/01/2044 (Pre-refunded to 10/01/2020) | 145,000 | 153,383 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
0.000%, 02/01/2020 (ETM) | 200,000 | 198,192 | ||||||||||
5.000%, 10/01/2023 | 255,000 | 285,618 | ||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 2,005,000 | 2,457,107 | ||||||||||
New Orleans Aviation Board, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 236,942 | ||||||||||
Regional Transit Authority, | ||||||||||||
0.000%, 12/01/2021 (Insured by NATL) | 120,000 | 107,717 | ||||||||||
State of Louisiana: | ||||||||||||
5.000%, 05/01/2024 (Pre-refunded to 05/01/2022) | 345,000 | 380,152 | ||||||||||
5.000%, 06/15/2034 (Callable 06/15/2024) | 60,000 | 68,399 | ||||||||||
Total Louisiana | 6,739,285 | 1.4 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 35,000 | 36,176 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 395,000 | 414,944 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 1,625,000 | 1,767,317 | ||||||||||
Total Maine | 2,218,437 | 0.4 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD, | ||||||||||||
5.000%, 07/01/2024 (ETM) | 100,000 | 112,970 | ||||||||||
County of Washington MD: | ||||||||||||
5.000%, 01/01/2020 | 200,000 | 203,154 | ||||||||||
5.000%, 01/01/2022 | 415,000 | 446,113 | ||||||||||
Maryland Community Development Administration, | ||||||||||||
3.750%, 09/01/2019 | 30,000 | 30,109 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 2,510,000 | 2,905,450 | ||||||||||
Montgomery County Housing Opportunities Commission, | ||||||||||||
4.000%, 07/01/2048 (Callable 07/01/2026) | 445,000 | 475,700 | ||||||||||
Total Maryland | 4,173,496 | 0.8 | % | |||||||||
Massachusetts | ||||||||||||
City of Lynn MA, | ||||||||||||
3.000%, 12/13/2019 | 250,000 | 251,855 | ||||||||||
Commonwealth of Massachusetts: | ||||||||||||
2.188%, 11/01/2020 (3 Month LIBOR USD + 0.460%) (Callable 07/29/2019) (2) | 75,000 | 75,091 | ||||||||||
1.050%, 08/01/2043 (Mandatory Tender Date 07/01/2020) (1) | 515,000 | 513,069 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/01/2025 | 240,000 | 279,547 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
2.400%, 12/01/2023 (Mandatory Tender Date 12/01/2021) (1) | 1,745,000 | 1,771,245 | ||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 155,000 | 162,916 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 990,000 | 1,065,368 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 675,000 | 722,149 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 1,000,000 | 1,091,200 | ||||||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, | ||||||||||||
5.000%, 01/01/2039 (Mandatory Tender Date 01/01/2023) (1) | 2,730,000 | 3,053,150 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 07/29/2019)(Insured by AGC) | 250,000 | 250,497 | ||||||||||
Total Massachusetts | 9,236,087 | 1.9 | % |
Michigan | ||||||||||||
Bad Axe Public Schools, | ||||||||||||
4.000%, 05/01/2027 (Callable 05/01/2024)(Insured by Q-SBLF) | 630,000 | 696,181 | ||||||||||
Battle Creek Tax Increment Finance Authority, | ||||||||||||
4.300%, 12/01/2028 (Callable 07/29/2019) | 500,000 | 501,255 | ||||||||||
Charter Township of Waterford MI, | ||||||||||||
3.000%, 11/01/2019 (Insured by AGM) | 195,000 | 196,041 | ||||||||||
City of Allen Park Brownfield Redevelopment Authority: | ||||||||||||
4.000%, 05/01/2022 (Insured by BAM) | 600,000 | 636,678 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 620,000 | 669,246 | ||||||||||
4.000%, 05/01/2024 (Insured by BAM) | 320,000 | 349,946 | ||||||||||
City of Allen Park MI: | ||||||||||||
2.000%, 05/01/2022 (Insured by BAM) | 220,000 | 221,122 | ||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 250,000 | 266,978 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 115,000 | 124,134 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 300,000 | 325,704 | ||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2020 | 265,000 | 274,145 | ||||||||||
7.000%, 07/01/2027 (Pre-refunded to 07/01/2019)(Insured by AGM) | 50,000 | 50,000 | ||||||||||
City of Kalamazoo MI, | ||||||||||||
5.000%, 10/01/2023 | 50,000 | 57,253 | ||||||||||
Davison Community Schools: | ||||||||||||
3.000%, 05/01/2020 | 615,000 | 623,395 | ||||||||||
3.000%, 05/01/2022 | 190,000 | 196,768 | ||||||||||
Detroit Wayne County Stadium Authority, | ||||||||||||
5.000%, 10/01/2026 (Callable 10/01/2022)(Insured by AGM) | 25,000 | 27,314 | ||||||||||
East Grand Rapids Public School District, | ||||||||||||
4.000%, 05/01/2024 (Callable 05/01/2020)(Insured by Q-SBLF) | 1,440,000 | 1,470,787 | ||||||||||
Essexville-Hampton Public Schools, | ||||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 325,000 | 347,379 | ||||||||||
Fruitport Community Schools: | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 65,000 | 66,401 | ||||||||||
4.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 104,718 | ||||||||||
4.000%, 05/01/2023 (Insured by Q-SBLF) | 135,000 | 147,398 | ||||||||||
Ingham County Brownfield Redevelopment Authority, | ||||||||||||
4.125%, 08/01/2024 (Callable 07/29/2019)(Insured by AGM) | 215,000 | 215,484 | ||||||||||
Jenison Public Schools, | ||||||||||||
3.500%, 05/01/2021 (Callable 05/01/2020) | 250,000 | 254,170 | ||||||||||
Karegnondi Water Authority: | ||||||||||||
4.000%, 11/01/2019 | 200,000 | 201,684 | ||||||||||
5.000%, 11/01/2020 | 100,000 | 104,456 | ||||||||||
Macomb Township Building Authority, | ||||||||||||
3.750%, 04/01/2020 | 850,000 | 863,379 | ||||||||||
Manton Consolidated Schools, | ||||||||||||
3.000%, 05/01/2020 (Insured by Q-SBLF) | 210,000 | 212,814 | ||||||||||
Michigan Finance Authority: | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 101,272 | ||||||||||
5.000%, 11/01/2022 | 100,000 | 111,440 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024)(Insured by AGM) | 1,475,000 | 1,723,065 | ||||||||||
4.000%, 05/01/2026 | 60,000 | 67,757 | ||||||||||
5.500%, 12/01/2026 (Callable 06/01/2025) | 335,000 | 407,615 | ||||||||||
2.361%, 10/15/2038 (1 Month LIBOR USD + 0.750%) (Callable 04/15/2020)(Mandatory Tender Date 10/15/2020) (2) | 350,000 | 351,183 | ||||||||||
2.127%, 12/01/2039 (1 Month LIBOR USD + 0.540%) (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (2) | 100,000 | 100,161 | ||||||||||
5.000%, 12/01/2044 (Mandatory Tender Date 02/01/2025) (1) | 1,000,000 | 1,170,110 | ||||||||||
1.100%, 11/15/2046 (Mandatory Tender Date 08/15/2019) (1) | 400,000 | 399,824 | ||||||||||
Michigan State Hospital Finance Authority: | ||||||||||||
1.625%, 11/01/2027 (Mandatory Tender Date 11/01/2019) (1) | 180,000 | 180,096 | ||||||||||
1.900%, 11/15/2047 (Mandatory Tender Date 04/01/2021) (1) | 290,000 | 291,940 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.000%, 06/01/2046 (Callable 12/01/2024) | 950,000 | 998,764 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 106,426 | ||||||||||
Royal Oak Hospital Finance Authority, | ||||||||||||
5.000%, 09/01/2019 | 50,000 | 50,295 | ||||||||||
South Lake Schools: | ||||||||||||
4.000%, 11/01/2021 (Insured by Q-SBLF) | 425,000 | 447,839 | ||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 290,000 | 308,227 | ||||||||||
Standish-Sterling Community Schools, | ||||||||||||
5.000%, 05/01/2020 (Insured by Q-SBLF) | 100,000 | 102,994 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2025 (Callable 11/15/2021) | 75,000 | 81,179 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 51,065 | ||||||||||
Total Michigan | 16,256,082 | 3.3 | % | |||||||||
Minnesota | ||||||||||||
City of Brooklyn Center MN, | ||||||||||||
1.950%, 12/01/2021 (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (1) | 225,000 | 225,668 | ||||||||||
City of Center City MN, | ||||||||||||
3.000%, 11/01/2019 | 125,000 | 125,519 | ||||||||||
City of Cold Spring MN, | ||||||||||||
3.000%, 02/01/2020 (Insured by MAC) | 105,000 | 106,016 | ||||||||||
City of Crosslake MN, | ||||||||||||
3.250%, 02/01/2027 (Callable 02/01/2023) | 40,000 | 41,244 | ||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2022 | 605,000 | 643,539 | ||||||||||
City of Marshall MN, | ||||||||||||
2.000%, 07/01/2019 | 160,000 | 160,000 | ||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority: | ||||||||||||
3.557%, 08/01/2027 (Insured by NATL) (1)(5) | 25,000 | 25,000 | ||||||||||
3.542%, 08/01/2028 (Insured by NATL) (1)(5) | 175,000 | 175,000 | ||||||||||
City of Minneapolis MN/St. Paul Metropolitan Airports Commission: | ||||||||||||
5.000%, 01/01/2022 | 1,000,000 | 1,089,040 | ||||||||||
5.000%, 01/01/2025 | 125,000 | 148,296 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2022 | 265,000 | 280,010 | ||||||||||
City of Rochester MN, | ||||||||||||
1.700%, 12/01/2020 (Mandatory Tender Date 12/01/2019) (1) | 150,000 | 150,080 | ||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019 (Callable 07/29/2019) | 2,000,000 | 2,000,660 | ||||||||||
Housing & Redevelopment Authority of The City of St. Paul, | ||||||||||||
2.200%, 09/01/2021 (Callable 03/01/2020)(Mandatory Tender Date 09/01/2020) (1) | 750,000 | 752,715 | ||||||||||
Jordan Independent School District No. 717, | ||||||||||||
5.000%, 02/01/2035 (Callable 02/01/2023)(Insured by SD CRED PROG) | 1,000,000 | 1,120,810 | ||||||||||
Minnesota Higher Education Facilities Authority, | ||||||||||||
5.000%, 04/01/2023 | 100,000 | 112,861 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.900%, 01/01/2025 (Insured by GNMA) | 55,000 | 57,508 | ||||||||||
3.900%, 07/01/2030 (Callable 01/01/2022)(Insured by GNMA) | 210,000 | 216,644 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 935,000 | 987,407 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 350,000 | 369,471 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 620,000 | 658,731 | ||||||||||
Northern Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2027 (Callable 01/01/2023) | 220,000 | 243,806 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 05/01/2020 | 25,000 | 25,530 | ||||||||||
5.000%, 05/01/2022 | 105,000 | 114,701 | ||||||||||
Shakopee Independent School District No. 720, | ||||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 675,000 | 753,678 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 310,000 | 322,899 | ||||||||||
Total Minnesota | 10,906,833 | 2.2 | % | |||||||||
Mississippi | ||||||||||||
Marshall County School District, | ||||||||||||
3.000%, 06/01/2022 (Insured by BAM) (6) | 275,000 | 284,606 | ||||||||||
Mississippi Business Finance Corp., | ||||||||||||
1.260%, 12/01/2030 (Callable 07/01/2019)(Optional Put Date 06/28/2019) (1) | 500,000 | 500,000 | ||||||||||
Mississippi Development Bank: | ||||||||||||
3.000%, 07/01/2021 (Insured by ST) | 730,000 | 733,380 | ||||||||||
4.000%, 07/01/2022 | 170,000 | 180,521 | ||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 50,000 | 57,186 | ||||||||||
5.000%, 11/01/2025 (Insured by BAM) | 215,000 | 254,745 | ||||||||||
Mississippi Home Corp., | ||||||||||||
2.400%, 02/01/2022 (Pre-refunded to 8/01/2021) (1) | 2,000,000 | 2,040,040 | ||||||||||
State of Mississippi, | ||||||||||||
1.940%, 09/01/2027 (1 Month LIBOR USD + 0.330%) (Callable 03/01/2020)(Mandatory Tender Date 09/01/2020) (2) | 320,000 | 320,003 | ||||||||||
Total Mississippi | 4,370,481 | 0.9 | % |
Missouri | ||||||||||||
City of St. Louis MO, | ||||||||||||
5.000%, 07/01/2023 (Insured by AGM) | 415,000 | 474,146 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri, | ||||||||||||
0.000%, 09/01/2022 (ETM)(Insured by NATL) | 50,000 | 47,333 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
3.875%, 11/15/2029 (Callable 11/15/2026) | 440,000 | 463,188 | ||||||||||
Kirkwood Industrial Development Authority, | ||||||||||||
8.000%, 05/15/2021 (Pre-refunded to 05/15/2020) | 295,000 | 311,679 | ||||||||||
Missouri Association of Rural Education, | ||||||||||||
3.000%, 04/15/2022 (Callable 07/29/2019) | 300,000 | 300,210 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.400%, 11/01/2030 (Callable 11/01/2024)(Insured by GNMA) | 335,000 | 349,422 | ||||||||||
4.000%, 05/01/2042 (Callable 11/01/2026)(Insured by GNMA) | 645,000 | 689,918 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 380,000 | 406,076 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
3.190%, 06/01/2020 (Insured by AMBAC) (1)(5) | 50,000 | 50,000 | ||||||||||
5.000%, 02/01/2022 | 215,000 | 229,669 | ||||||||||
5.000%, 06/01/2036 (Callable 12/01/2022)(Mandatory Tender Date 06/01/2023) (1) | 75,000 | 82,623 | ||||||||||
Total Missouri | 3,404,264 | 0.7 | % |
Montana | ||||||||||||
Montana Board of Housing: | ||||||||||||
4.000%, 12/01/2043 (Callable 12/01/2027) | 1,075,000 | 1,152,465 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2027)(Insured by FHA) | 1,240,000 | 1,333,570 | ||||||||||
Montana Facility Finance Authority, | ||||||||||||
5.000%, 07/01/2025 | 110,000 | 131,622 | ||||||||||
Total Montana | 2,617,657 | 0.5 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2032 (Callable 09/01/2022) | 600,000 | 650,100 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 1,160,000 | 1,257,602 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 1,000,000 | 1,123,100 | ||||||||||
Gering School District, | ||||||||||||
5.000%, 12/01/2026 (Callable 05/30/2022) | 115,000 | 125,986 | ||||||||||
Total Nebraska | 3,156,788 | 0.6 | % | |||||||||
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2020 | 175,000 | 181,251 | ||||||||||
Clark County School District, | ||||||||||||
5.000%, 06/15/2023 | 560,000 | 634,346 | ||||||||||
Las Vegas Redevelopment Agency: | ||||||||||||
3.000%, 06/15/2020 | 125,000 | 126,707 | ||||||||||
5.000%, 06/15/2023 | 250,000 | 280,328 | ||||||||||
Nevada Housing Division, | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 75,000 | 76,284 | ||||||||||
Total Nevada | 1,298,916 | 0.3 | % | |||||||||
New Jersey | ||||||||||||
Cape May County Industrial Pollution Control Financing Authority, | ||||||||||||
6.800%, 03/01/2021 (Insured by NATL) | 85,000 | 92,124 | ||||||||||
City of Atlantic City NJ: | ||||||||||||
5.000%, 03/01/2022 (Insured by BAM) | 100,000 | 108,384 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 300,000 | 342,534 | ||||||||||
City of Bayonne NJ, | ||||||||||||
5.000%, 07/15/2022 (Insured by AGM) | 475,000 | 523,588 | ||||||||||
City of Trenton NJ: | ||||||||||||
4.000%, 07/15/2022 (Insured by AGM) | 500,000 | 535,290 | ||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 200,000 | 216,418 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.250%, 09/01/2019 (ETM) | 250,000 | 251,585 | ||||||||||
0.000%, 01/01/2020 (Insured by AMBAC) | 70,000 | 69,359 | ||||||||||
5.000%, 03/01/2020 | 405,000 | 413,667 | ||||||||||
0.000%, 01/01/2021 (Insured by AMBAC) | 130,000 | 126,178 | ||||||||||
3.250%, 01/01/2021 | 230,000 | 233,018 | ||||||||||
5.000%, 07/15/2021 | 100,000 | 105,217 | ||||||||||
4.000%, 01/01/2022 | 660,000 | 685,265 | ||||||||||
0.000%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 23,805 | ||||||||||
5.000%, 07/15/2022 | 240,000 | 258,019 | ||||||||||
4.000%, 01/01/2023 | 50,000 | 52,578 | ||||||||||
0.000%, 07/01/2024 (ETM)(Insured by NATL) | 250,000 | 228,472 | ||||||||||
5.000%, 03/01/2026 (Callable 03/01/2023) | 265,000 | 289,791 | ||||||||||
5.250%, 09/01/2026 (Callable 03/01/2021)(Insured by ST) | 560,000 | 592,749 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 315,000 | 317,536 | ||||||||||
New Jersey Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 165,343 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
4.000%, 07/01/2019 (ETM) | 105,000 | 105,000 | ||||||||||
4.250%, 11/15/2021 (Callable 11/15/2020) | 70,000 | 72,725 | ||||||||||
5.250%, 07/01/2024 (Pre-refunded to 07/01/2019) | 75,000 | 75,000 | ||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 50,000 | 58,361 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 2,070,000 | 2,078,611 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
2.020%, 08/01/2021 (Mandatory Tender Date 08/01/2020) (1) | 350,000 | 351,229 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 935,000 | 1,027,920 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 1,500,000 | 1,669,170 | ||||||||||
NEW JERSEY ST TRANSN TR FD AUT TRANSPORTATION SYSTEM RE 2010D, | ||||||||||||
5.000%, 12/15/2023 | 390,000 | 440,677 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2019 | 35,000 | 35,580 | ||||||||||
5.000%, 06/15/2023 | 450,000 | 504,954 | ||||||||||
5.000%, 12/15/2023 | 275,000 | 310,734 | ||||||||||
5.000%, 06/15/2024 | 785,000 | 902,993 | ||||||||||
North Hudson Sewerage Authority, | ||||||||||||
0.000%, 08/01/2021 (ETM)(Insured by NATL) | 60,000 | 58,151 | ||||||||||
Township of South Hackensack NJ, | ||||||||||||
3.000%, 02/20/2020 | 250,000 | 252,395 | ||||||||||
Washington Township Municipal Utilities Authority, | ||||||||||||
0.000%, 12/15/2023 (Insured by NATL) | 25,000 | 22,710 | ||||||||||
Washington Township Municipal Utilities Authority/Morris County, | ||||||||||||
0.000%, 12/15/2021 (Insured by NATL) | 100,000 | 95,072 | ||||||||||
Total New Jersey | 13,692,202 | 2.7 | % | |||||||||
New Mexico | ||||||||||||
City of Farmington NM, | ||||||||||||
1.875%, 04/01/2033 (Mandatory Tender Date 10/01/2021) (1) | 200,000 | 199,626 | ||||||||||
Las Cruces School District No. 2, | ||||||||||||
5.000%, 08/01/2026 (Callable 08/01/2020)(Insured by ST) | 150,000 | 155,802 | ||||||||||
New Mexico Educational Assistance Foundation, | ||||||||||||
4.000%, 09/01/2020 | 105,000 | 108,163 | ||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 325,000 | 336,472 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
5.300%, 09/01/2040 (Callable 09/01/2019)(Insured by GNMA) | 35,000 | 35,752 | ||||||||||
3.500%, 03/01/2045 (Callable 03/01/2026) | 35,000 | 36,800 | ||||||||||
3.750%, 03/01/2048 (Callable 03/01/2027)(Insured by GNMA) | 300,000 | 319,758 | ||||||||||
4.250%, 07/01/2049 (Callable 01/01/2028) | 75,000 | 82,134 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028)(Insured by GNMA) | 2,950,000 | 3,219,571 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
2.360%, 11/01/2039 (1 Month LIBOR USD + 0.750%) (Callable 07/19/2019)(Mandatory Tender Date 08/01/2019) (2) | 1,360,000 | 1,360,000 | ||||||||||
Torrance Bernalillo & Santa Fe Counties Municipal School District No. 8, | ||||||||||||
2.500%, 09/01/2019 (Insured by ST) | 180,000 | 180,284 | ||||||||||
Total New Mexico | 6,034,362 | 1.2 | % | |||||||||
New York | ||||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 203,744 | 210,519 | ||||||||||
City of Long Beach NY, | ||||||||||||
4.000%, 08/15/2025 (Callable 08/15/2022)(Insured by BAM) | 100,000 | 107,085 | ||||||||||
City of New York NY, | ||||||||||||
5.000%, 08/01/2022 | 160,000 | 177,870 | ||||||||||
County of Rockland NY: | ||||||||||||
5.000%, 03/01/2023 (Insured by AGM) | 415,000 | 468,689 | ||||||||||
3.750%, 10/01/2026 (Callable 10/01/2020) | 70,000 | 71,974 | ||||||||||
County of Suffolk NY, | ||||||||||||
5.000%, 09/26/2019 | 500,000 | 504,120 | ||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057 (Callable 08/01/2020)(Mandatory Tender Date 12/31/2021) (1) | 1,775,000 | 1,783,112 | ||||||||||
Long Island Power Authority, | ||||||||||||
2.432%, 05/01/2033 (1 Month LIBOR USD + 0.750%) (Callable 10/01/2022)(Mandatory Tender Date 10/01/2023) (2) | 200,000 | 200,126 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
2.338%, 11/01/2032 (1 Month LIBOR USD + 0.680%) (Mandatory Tender Date 04/06/2021)(Insured by AGM) (2) | 100,000 | 100,355 | ||||||||||
1.630%, 11/01/2034 (SIFMA Municipal Swap Index + 0.450%) (Callable 07/29/2019)(Mandatory Tender Date 11/01/2019) (2) | 50,000 | 50,013 | ||||||||||
4.000%, 11/15/2034 (Callable 08/15/2019)(Mandatory Tender Date 11/15/2019) (1) | 540,000 | 541,528 | ||||||||||
Monroe County Industrial Development Corp.: | ||||||||||||
5.000%, 10/01/2019 | 145,000 | 146,240 | ||||||||||
5.000%, 10/01/2020 | 100,000 | 104,152 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2019) | 715,000 | 723,551 | ||||||||||
New York City Housing Development Corp., | ||||||||||||
2.950%, 11/01/2045 (Callable 05/01/2025)(Mandatory Tender Date 02/01/2026)(Insured by FNMA) (1) | 225,000 | 235,595 | ||||||||||
New York State Dormitory Authority, | ||||||||||||
5.000%, 12/15/2021 | 45,000 | 49,063 | ||||||||||
State of New York Mortgage Agency: | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 260,000 | 269,027 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2025) | 400,000 | 421,560 | ||||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 03/01/2020 (Insured by AGM) | 200,000 | 202,224 | ||||||||||
Triborough Bridge & Tunnel Authority: | ||||||||||||
2.110%, 11/15/2027 (1 Month LIBOR USD + 0.500%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 525,000 | 526,486 | ||||||||||
1.960%, 01/01/2033 (1 Month LIBOR USD + 0.350%) (Callable 07/29/2019)(Mandatory Tender Date 12/03/2019) (2) | 30,000 | 30,014 | ||||||||||
Utility Debt Securitization Authority, | ||||||||||||
5.000%, 12/15/2025 (Callable 12/15/2023) | 210,000 | 243,613 | ||||||||||
Total New York | 7,166,916 | 1.4 | % |
North Carolina | ||||||||||||
Durham Housing Authority, | ||||||||||||
1.800%, 01/01/2021 (Mandatory Tender Date 01/01/2020) (1) | 110,000 | 110,124 | ||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 100,000 | 109,532 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 690,000 | 727,101 | ||||||||||
5.000%, 01/01/2021 (ETM) | 790,000 | 833,079 | ||||||||||
6.000%, 01/01/2022 (ETM) | 145,000 | 161,616 | ||||||||||
North Carolina Housing Finance Agency, | �� | |||||||||||
4.000%, 07/01/2048 (Callable 07/01/2027)(Insured by GNMA) | 415,000 | 447,665 | ||||||||||
North Carolina Medical Care Commission: | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 130,000 | 138,329 | ||||||||||
2.200%, 12/01/2048 (Callable 06/01/2022)(Mandatory Tender Date 12/01/2022) (1) | 1,845,000 | 1,865,000 | ||||||||||
State of North Carolina: | ||||||||||||
5.000%, 03/01/2020 | 300,000 | 307,287 | ||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,250,000 | 1,419,762 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020 (Mandatory Tender Date 10/01/2019) (1) | 700,000 | 699,916 | ||||||||||
Total North Carolina | 6,819,411 | 1.4 | % | |||||||||
North Dakota | �� | |||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) (6) | 2,000,000 | 1,999,720 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 07/29/2019) | 495,000 | 492,396 | ||||||||||
City of West Fargo ND, | ||||||||||||
5.000%, 05/01/2022 | 200,000 | 219,060 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 775,000 | 814,959 | ||||||||||
4.500%, 11/01/2026 (Callable 11/01/2023) | 2,150,000 | 2,334,943 | ||||||||||
County of Burleigh ND: | ||||||||||||
4.000%, 11/01/2021 | 1,000,000 | 1,040,660 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 400,000 | 426,932 | ||||||||||
4.500%, 07/01/2032 (Pre-refunded to 07/01/2022) | 345,000 | 375,543 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 400,000 | 432,500 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 07/15/2019) | 855,000 | 856,582 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2048 (Callable 01/01/2027) | 260,000 | 279,035 | ||||||||||
Williston Public School District No. 1, | ||||||||||||
3.000%, 08/01/2026 (Callable 08/01/2024)(Insured by SD CRED PROG) | 1,015,000 | 1,064,339 | ||||||||||
Total North Dakota | 10,336,669 | 2.1 | % | |||||||||
Ohio | ||||||||||||
Adams County/Ohio Valley Local School District, | ||||||||||||
4.000%, 12/01/2020 | 1,000,000 | 1,028,860 | ||||||||||
American Municipal Power, Inc.: | ||||||||||||
2.000%, 04/23/2020 | 680,000 | 682,502 | ||||||||||
2.250%, 02/15/2048 (Callable 02/15/2021)(Mandatory Tender Date 08/15/2021) (1) | 250,000 | 252,410 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.000%, 06/01/2020 (ETM) | 100,000 | 103,349 | ||||||||||
City of Hamilton OH, | ||||||||||||
4.000%, 10/15/2023 (Pre-refunded to 10/15/2019)(Insured by AGC) | 25,000 | 25,192 | ||||||||||
City of Huron OH, | ||||||||||||
3.125%, 12/01/2024 | 325,000 | 334,077 | ||||||||||
City of Lorain OH, | ||||||||||||
3.500%, 07/17/2019 | 1,000,000 | 1,000,780 | ||||||||||
County of Franklin OH, | ||||||||||||
1.610%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 500,000 | 501,305 | ||||||||||
County of Holmes OH, | ||||||||||||
3.000%, 12/01/2022 (Callable 07/29/2019)(Insured by AGM) | 250,000 | 251,860 | ||||||||||
County of Lorain OH: | ||||||||||||
3.000%, 02/07/2020 | 750,000 | 756,870 | ||||||||||
4.000%, 12/01/2020 | 140,000 | 145,377 | ||||||||||
County of Lucas OH: | ||||||||||||
5.000%, 11/15/2022 (Callable 11/15/2021) | �� | 180,000 | 192,260 | |||||||||
5.000%, 11/15/2029 (Callable 11/15/2021) | 945,000 | 1,006,189 | ||||||||||
County of Trumbull OH, | ||||||||||||
3.125%, 08/29/2019 | 575,000 | 576,213 | ||||||||||
Cuyahoga Metropolitan Housing Authority: | ||||||||||||
2.200%, 06/01/2021 (Mandatory Tender Date 06/01/2020) (1) | 500,000 | 502,210 | ||||||||||
2.000%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 275,000 | 276,345 | ||||||||||
Field Local School District, | ||||||||||||
3.000%, 12/01/2023 (Callable 12/01/2020)(Insured by BAM) | 235,000 | 238,856 | ||||||||||
Greater Cleveland Regional Transit Authority, | ||||||||||||
5.000%, 12/01/2023 | 145,000 | 167,411 | ||||||||||
Groveport-Madison Local School District, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022)(Insured by BAM) | 50,000 | 53,737 | ||||||||||
Miami University, | ||||||||||||
4.000%, 09/01/2027 (Callable 09/01/2022) | 160,000 | 171,277 | ||||||||||
Ohio Higher Educational Facility Commission: | ||||||||||||
5.000%, 12/01/2020 | 35,000 | 36,753 | ||||||||||
5.000%, 11/01/2023 | 580,000 | 653,202 | ||||||||||
5.000%, 03/01/2025 | 685,000 | 767,590 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 160,000 | 169,194 | ||||||||||
Ohio Turnpike & Infrastructure Commission, | ||||||||||||
5.500%, 02/15/2024 | 1,185,000 | 1,353,235 | ||||||||||
Oregon City School District, | ||||||||||||
0.000%, 12/01/2021 | 245,000 | 235,413 | ||||||||||
Port of Greater Cincinnati Development Authority, | ||||||||||||
3.125%, 11/15/2023 | 360,000 | 369,227 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 04/01/2029 (Callable 04/01/2023) | 25,000 | 28,225 | ||||||||||
1.400%, 01/15/2045 (Callable 07/01/2019)(Optional Put Date 07/03/2019) (1) | 500,000 | 500,000 | ||||||||||
Summit County Development Finance Authority, | ||||||||||||
2.000%, 11/15/2019 | 15,000 | 15,018 | ||||||||||
Village of Bratenahl OH, | ||||||||||||
3.000%, 08/14/2019 | 1,000,000 | 1,001,220 | ||||||||||
Village of Cuyahoga Heights OH: | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 95,000 | 102,993 | ||||||||||
4.000%, 12/01/2024 (Insured by AGM) | 100,000 | 109,914 | ||||||||||
Wauseon Exempted Village School District, | ||||||||||||
0.000%, 12/01/2021 (Insured by SD CRED PROG) | 400,000 | 384,624 | ||||||||||
Total Ohio | 13,993,688 | 2.8 | % | |||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 310,000 | 318,633 | ||||||||||
City of Midwest City OK: | ||||||||||||
3.000%, 06/01/2021 | 370,000 | 380,996 | ||||||||||
3.000%, 06/01/2023 | 485,000 | 509,619 | ||||||||||
Elk City Industrial Authority, | ||||||||||||
3.000%, 05/01/2022 | 105,000 | 108,621 | ||||||||||
Logan County Independent School District, | ||||||||||||
4.000%, 08/01/2020 | 25,000 | 25,694 | ||||||||||
Norman Regional Hospital Authority, | ||||||||||||
5.000%, 09/01/2020 | 50,000 | 51,910 | ||||||||||
Oklahoma County Finance Authority, | ||||||||||||
5.000%, 09/01/2024 | 350,000 | 407,943 | ||||||||||
Oklahoma Development Finance Authority, | ||||||||||||
2.600%, 03/01/2024 | 1,000,000 | 999,110 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
2.050%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 725,000 | 725,196 | ||||||||||
Oklahoma Municipal Power Authority, | ||||||||||||
1.570%, 01/01/2023 (SIFMA Municipal Swap Index + 0.390%) (2) | 265,000 | 264,345 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 04/01/2023 | 750,000 | 850,868 | ||||||||||
Texas County Development Authority, | ||||||||||||
4.000%, 12/01/2023 | 675,000 | 738,977 | ||||||||||
Total Oklahoma | 5,381,912 | 1.1 | % | |||||||||
Oregon | ||||||||||||
Oregon State Business Development Commission, | ||||||||||||
2.400%, 12/01/2040 (Mandatory Tender Date 08/14/2023) (1) | 100,000 | 102,768 | ||||||||||
Oregon State Facilities Authority: | ||||||||||||
4.750%, 03/15/2024 (Callable 03/15/2020) | 15,000 | 15,322 | ||||||||||
6.375%, 09/01/2040 (Pre-refunded to 09/01/2020) | 1,000,000 | 1,057,090 | ||||||||||
Port of Morrow OR, | ||||||||||||
4.000%, 06/01/2026 (Callable 07/29/2019) | 220,000 | 220,180 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 05/01/2023 | 500,000 | 550,430 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 960,000 | 1,027,651 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 2,450,000 | 2,467,297 | ||||||||||
3.500%, 07/01/2036 (Callable 01/01/2025) | 145,000 | 150,716 | ||||||||||
4.500%, 01/01/2049 (Callable 07/01/2027) | 1,480,000 | 1,616,530 | ||||||||||
4.500%, 07/01/2049 (Callable 07/01/2027) | 450,000 | 494,087 | ||||||||||
Total Oregon | 7,702,071 | 1.5 | % |
Pennsylvania | ||||||||||||
Abington Heights School District Lackawanna County, | ||||||||||||
2.000%, 03/15/2023 (Callable 03/15/2020)(Insured by ST) | 195,000 | 195,312 | ||||||||||
Allegheny County Hospital Development Authority, | ||||||||||||
4.125%, 10/15/2026 (Callable 10/15/2021) | 55,000 | 57,861 | ||||||||||
Borough of Lewistown PA: | ||||||||||||
4.000%, 09/01/2022 (Insured by AGM) (6) | 265,000 | 283,418 | ||||||||||
4.000%, 09/01/2023 (Insured by AGM) (6) | 315,000 | 343,022 | ||||||||||
4.000%, 09/01/2024 (Insured by AGM) (6) | 100,000 | 110,698 | ||||||||||
Caernarvon Township Authority: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) | 100,000 | 108,988 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) | 140,000 | 155,175 | ||||||||||
4.000%, 09/01/2025 (Callable 09/01/2024)(Insured by MAC) | 100,000 | 110,119 | ||||||||||
4.000%, 09/01/2026 (Callable 09/01/2024)(Insured by MAC) | 150,000 | 165,001 | ||||||||||
4.000%, 09/01/2027 (Callable 09/01/2024)(Insured by MAC) | 130,000 | 142,614 | ||||||||||
4.000%, 09/01/2028 (Callable 09/01/2024)(Insured by MAC) | 165,000 | 180,543 | ||||||||||
4.000%, 09/01/2029 (Callable 09/01/2024)(Insured by MAC) | 170,000 | 185,390 | ||||||||||
4.000%, 09/01/2030 (Callable 09/01/2024)(Insured by MAC) | 175,000 | 190,227 | ||||||||||
4.000%, 09/01/2032 (Callable 09/01/2024)(Insured by MAC) | 375,000 | 405,086 | ||||||||||
Centennial School District Bucks County, | ||||||||||||
5.000%, 12/15/2022 (Insured by ST) | 50,000 | 56,044 | ||||||||||
Central Bucks School District, | ||||||||||||
4.000%, 05/15/2022 (Pre-refunded to 05/15/2021)(Insured by ST) | 50,000 | 52,380 | ||||||||||
Chester County Health & Education Facilities Authority: | ||||||||||||
5.000%, 11/01/2019 | 225,000 | 227,331 | ||||||||||
5.000%, 05/15/2031 (Pre-refunded to 05/15/2020) | 65,000 | 67,043 | ||||||||||
5.000%, 05/15/2040 (Pre-refunded to 05/15/2020) | 70,000 | 72,200 | ||||||||||
Coatesville School District, | ||||||||||||
5.000%, 08/01/2023 (Insured by AGM) | 150,000 | 168,489 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 265,000 | 290,419 | ||||||||||
5.000%, 06/01/2023 | 225,000 | 251,503 | ||||||||||
Commonwealth of Pennsylvania, | ||||||||||||
3.750%, 10/01/2021 (Callable 10/01/2019) | 175,000 | 175,886 | ||||||||||
County of Allegheny PA, | ||||||||||||
2.278%, 11/01/2026 (3 Month LIBOR USD + 0.550%) (Callable 07/29/2019)(Insured by AGM) (2) | 195,000 | 193,988 | ||||||||||
Delaware County Authority, | ||||||||||||
4.000%, 06/01/2020 | 390,000 | 395,565 | ||||||||||
East Allegheny School District, | ||||||||||||
0.000%, 11/15/2021 (Insured by AGM) | 480,000 | 459,293 | ||||||||||
Erie City Water Authority, | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2022)(Insured by AGM) | 380,000 | 408,983 | ||||||||||
Grove City Area School District, | ||||||||||||
2.000%, 11/15/2019 (Callable 07/29/2019)(Insured by ST) | 170,000 | 170,041 | ||||||||||
Lancaster Higher Education Authority, | ||||||||||||
5.000%, 10/01/2022 (Insured by BAM) | 35,000 | 38,791 | ||||||||||
Lancaster Industrial Development Authority, | ||||||||||||
5.000%, 05/01/2022 | 45,000 | 48,022 | ||||||||||
Lycoming County Authority, | ||||||||||||
4.000%, 11/01/2043 (Mandatory Tender Date 05/01/2024) (1) | 1,260,000 | 1,348,792 | ||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 815,000 | 825,742 | ||||||||||
Montgomery County Industrial Development Authority: | ||||||||||||
4.000%, 12/01/2021 | 100,000 | 105,148 | ||||||||||
4.000%, 12/01/2022 | 90,000 | 96,311 | ||||||||||
4.000%, 12/01/2023 | 125,000 | 135,904 | ||||||||||
4.000%, 12/01/2024 | 100,000 | 110,238 | ||||||||||
4.000%, 12/01/2025 | 140,000 | 155,961 | ||||||||||
North East School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 445,000 | 447,207 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.722%, 08/15/2048 (1 Month LIBOR USD + 1.040%) (Callable 02/15/2023)(Mandatory Tender Date 08/15/2024) (2) | 75,000 | 75,139 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
1.550%, 12/01/2033 (Mandatory Tender Date 12/01/2021) (1) | 205,000 | 209,639 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 (ETM) | 505,000 | 519,352 | ||||||||||
5.000%, 08/15/2024 (Pre-refunded to 08/15/2021) | 185,000 | 199,221 | ||||||||||
2.850%, 05/01/2034 (Mandatory Tender Date 05/01/2021) (1) | 510,000 | 518,481 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 2,500,000 | 2,529,000 | ||||||||||
3.700%, 10/01/2042 (Callable 10/01/2021) | 155,000 | 157,190 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2026) | 190,000 | 201,520 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
2.060%, 12/01/2020 (SIFMA Municipal Swap Index + 0.880%) (Callable 06/01/2020) (2) | 345,000 | 346,535 | ||||||||||
2.160%, 12/01/2021 (SIFMA Municipal Swap Index + 0.980%) (Callable 06/01/2021) (2) | 855,000 | 864,123 | ||||||||||
5.000%, 12/01/2022 | 50,000 | 55,626 | ||||||||||
0.000%, 12/01/2023 | 50,000 | 45,778 | ||||||||||
5.450%, 12/01/2035 (Pre-refunded to 12/01/2020)(Insured by AGM) | 40,000 | 42,341 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
2.328%, 09/01/2040 (1 Month LIBOR USD + 0.640%) (Callable 06/01/2020) (Mandatory Tender Date 12/01/2020)(Insured by AGM) (2) | 250,000 | 250,098 | ||||||||||
Punxsutawney Area School District, | ||||||||||||
2.125%, 10/15/2021 (Callable 07/29/2019)(Insured by AGM) | 150,000 | 150,048 | ||||||||||
Sayre Area School District: | ||||||||||||
3.000%, 05/15/2022 (Insured by BAM) | 25,000 | 25,689 | ||||||||||
3.000%, 05/15/2024 (Insured by BAM) | 25,000 | 26,000 | ||||||||||
Sayre Health Care Facilities Authority, | ||||||||||||
2.469%, 12/01/2024 (3 Month LIBOR USD + 0.780%) (Callable 07/29/2019) (2) | 60,000 | 60,120 | ||||||||||
School District of Philadelphia: | ||||||||||||
5.000%, 09/01/2019 (Insured by ST) | 500,000 | 502,715 | ||||||||||
5.000%, 06/01/2024 | 320,000 | 359,610 | ||||||||||
School District of Reading, | ||||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 100,000 | 113,938 | ||||||||||
School District of the City of Erie: | ||||||||||||
5.000%, 04/01/2023 | 265,000 | 296,305 | ||||||||||
5.000%, 04/01/2024 | 230,000 | 263,819 | ||||||||||
5.000%, 04/01/2024 (Insured by AGM) | 250,000 | 286,760 | ||||||||||
Scranton School District, | ||||||||||||
2.484%, 04/01/2031 (1 Month LIBOR USD + 0.850%) (Callable 10/01/2020) (Mandatory Tender Date 04/01/2021)(Insured by ST) (2) | 275,000 | 275,283 | ||||||||||
Sharpsville Area School District, | ||||||||||||
2.000%, 09/15/2020 (Callable 07/29/2019)(Insured by ST) | 1,020,000 | 1,020,347 | ||||||||||
Somerset County General Authority, | ||||||||||||
2.000%, 10/01/2019 (Insured by BAM) | 155,000 | 155,223 | ||||||||||
Susquenita School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by MAC) | 300,000 | 301,281 | ||||||||||
Township of Hampton PA, | ||||||||||||
5.900%, 02/01/2023 | 125,000 | 142,204 | ||||||||||
Township of North Fayette PA, | ||||||||||||
4.000%, 04/15/2025 (Callable 04/15/2024) | 210,000 | 230,643 | ||||||||||
University of Pittsburgh-of the Commonwealth System of Higher Education, | ||||||||||||
1.420%, 09/15/2021 (SIFMA Municipal Swap Index + 0.240%) (Callable 03/15/2021) (2) | 100,000 | 99,825 | ||||||||||
Urban Redevelopment Authority of Pittsburgh, | ||||||||||||
2.250%, 12/01/2020 (Callable 12/01/2019)(Mandatory Tender Date 06/01/2020) (1) | 605,000 | 606,476 | ||||||||||
Washington County Industrial Development Authority, | ||||||||||||
4.000%, 11/01/2020 (Pre-refunded to 05/01/2020) | 80,000 | 81,811 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 200,000 | 205,730 | ||||||||||
Wilkinsburg School District, | ||||||||||||
3.000%, 05/15/2020 (Insured by AGM) | 110,000 | 111,027 | ||||||||||
Total Pennsylvania | 20,263,632 | 4.1 | % |
Puerto Rico | ||||||||||||
Commonwealth of Puerto Rico, | ||||||||||||
0.000%, 07/01/2019 (Insured by NATL) | 50,000 | 50,000 | ||||||||||
Puerto Rico Highway & Transportation Authority, | ||||||||||||
4.600%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 27,340 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 325,000 | 357,263 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 375,000 | 479,831 | ||||||||||
Puerto Rico Sales Tax Financing Corp., | ||||||||||||
0.000%, 07/01/2024 | 1,551,000 | 1,318,273 | ||||||||||
Total Puerto Rico | 2,232,707 | 0.4 | % | |||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 270,000 | 283,716 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 50,000 | 51,386 | ||||||||||
Total Rhode Island | 335,102 | 0.1 | % | |||||||||
South Carolina | ||||||||||||
City of Myrtle Beach SC, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 104,446 | ||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2023 (Insured by BAM) | 320,000 | 360,790 | ||||||||||
Greenville Health System, | ||||||||||||
5.000%, 05/01/2026 (Callable 05/01/2022) | 1,020,000 | 1,114,534 | ||||||||||
Greenwood Fifty School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2027 (Callable 06/01/2026)(Insured by BAM) | 1,045,000 | 1,260,385 | ||||||||||
Patriots Energy Group Financing Agency, | ||||||||||||
4.000%, 10/01/2048 (Callable 11/01/2023)(Mandatory Tender Date 02/01/2024) (1) | 800,000 | 876,072 | ||||||||||
Piedmont Municipal Power Agency, | ||||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 190,000 | 226,771 | ||||||||||
Scago Educational Facilities Corp. for Marro School District, | ||||||||||||
4.250%, 12/01/2029 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 102,664 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.125%, 08/01/2020 (Pre-refunded to 08/01/2019) | 500,000 | 501,530 | ||||||||||
5.250%, 08/01/2030 (Pre-refunded to 08/01/2023) | 110,000 | 127,023 | ||||||||||
6.000%, 08/01/2031 (Pre-refunded to 08/01/2021)(Insured by AGM) | 125,000 | 136,992 | ||||||||||
6.500%, 08/01/2039 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,550,000 | 1,714,222 | ||||||||||
1.390%, 05/01/2048 (Callable 06/28/2019)(Optional Put Date 07/05/2019) (1) | 2,000,000 | 2,000,000 | ||||||||||
South Carolina State Housing Finance & Development Authority: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025)(Insured by GNMA) | 230,000 | 244,907 | ||||||||||
4.500%, 07/01/2048 (Callable 07/01/2027) | 545,000 | 597,080 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 2,415,000 | 2,665,387 | ||||||||||
Total South Carolina | 12,032,803 | 2.4 | % | |||||||||
Tennessee | ||||||||||||
Clarksville Natural Gas Acquisition Corp., | ||||||||||||
5.000%, 12/15/2021 | 185,000 | 199,090 | ||||||||||
County of Loudon TN, | ||||||||||||
2.250%, 06/01/2026 (Callable 06/01/2021) | 230,000 | 231,759 | ||||||||||
Hollow Rock-Bruceton Special School District, | ||||||||||||
3.000%, 04/01/2023 | 346,000 | 363,677 | ||||||||||
Memphis Health Educational & Housing Facility Board, | ||||||||||||
6.750%, 12/01/2046 (Pre-refunded to 06/01/2021) | 875,000 | 963,051 | ||||||||||
Montgomery County Health Educational & Housing Facilities Board, | ||||||||||||
1.750%, 12/01/2020 (Mandatory Tender Date 12/01/2019)(Insured by HUD) (1) | 380,000 | 380,076 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
1.300%, 07/01/2020 (Mandatory Tender Date 07/01/2019) (1) | 75,000 | 75,000 | ||||||||||
2.050%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 150,000 | 150,817 | ||||||||||
2.100%, 04/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 250,000 | 251,748 | ||||||||||
1.550%, 11/15/2030 (Mandatory Tender Date 11/03/2020) (1) | 860,000 | 861,015 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.250%, 09/01/2019 | 250,000 | 251,375 | ||||||||||
4.000%, 11/01/2049 (Callable 08/01/2025)(Mandatory Tender Date 11/01/2025) (1) | 90,000 | 99,173 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.050%, 07/01/2029 (Callable 07/01/2024) | 140,000 | 144,974 | ||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,850,000 | 1,888,073 | ||||||||||
4.200%, 07/01/2042 (Callable 01/01/2022) | 375,000 | 385,830 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 880,000 | 946,783 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 210,000 | 216,073 | ||||||||||
4.000%, 01/01/2046 (Callable 01/01/2025) | 45,000 | 47,610 | ||||||||||
Wilson County Water & Wastewater Authority, | ||||||||||||
0.000%, 03/01/2022 | 300,000 | 282,693 | ||||||||||
Total Tennessee | 7,738,817 | 1.6 | % |
Texas | ||||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 535,000 | 621,188 | ||||||||||
Bay Colony West Municipal Utility District, | ||||||||||||
2.000%, 10/01/2020 (Insured by NATL) | 175,000 | 175,924 | ||||||||||
Beaumont Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 100,000 | 118,876 | ||||||||||
Bexar County Health Facilities Development Corp., | ||||||||||||
4.000%, 07/15/2019 | 75,000 | 75,052 | ||||||||||
Boerne Public Facilities Corp., | ||||||||||||
2.750%, 11/01/2022 (Mandatory Tender Date 11/01/2021) (1) | 225,000 | 231,052 | ||||||||||
Brazoria County Municipal Utility District No. 17, | ||||||||||||
4.000%, 09/01/2024 (Callable 09/01/2023)(Insured by MAC) | 175,000 | 190,650 | ||||||||||
Capital Area Housing Finance Corp., | ||||||||||||
2.100%, 09/01/2037 (Callable 08/01/2021)(Mandatory Tender Date 09/01/2022) (1) | 1,175,000 | 1,185,951 | ||||||||||
Carrollton-Farmers Branch Independent School District: | ||||||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 90,000 | 92,064 | ||||||||||
5.000%, 02/15/2020 (ETM)(PSF Guaranteed) | 35,000 | 35,774 | ||||||||||
Central Texas Regional Mobility Authority: | ||||||||||||
5.000%, 01/01/2022 | 350,000 | 377,485 | ||||||||||
5.000%, 01/01/2045 (Callable 07/01/2020)(Mandatory Tender Date 01/07/2021) (1) | 200,000 | 206,554 | ||||||||||
Central Texas Turnpike System: | ||||||||||||
5.000%, 08/15/2023 | 130,000 | 147,047 | ||||||||||
5.000%, 08/15/2042 (Mandatory Tender Date 04/01/2020) (1) | 450,000 | 461,241 | ||||||||||
Cimarron Municipal Utility District, | ||||||||||||
4.000%, 03/01/2025 (Insured by AGM) | 70,000 | 77,508 | ||||||||||
City of Bullard TX, | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 135,000 | 137,641 | ||||||||||
City of Dallas TX, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2024) | 500,000 | 574,400 | ||||||||||
City of Elgin TX: | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 155,000 | 167,786 | ||||||||||
4.000%, 07/15/2023 (Insured by BAM) | 50,000 | 54,124 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2024 (ETM)(Insured by AGM) | 90,000 | 81,767 | ||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 925,000 | 1,079,438 | ||||||||||
2.018%, 05/15/2034 (1 Month LIBOR USD + 0.360%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 975,000 | 973,089 | ||||||||||
City of Madisonville TX, | ||||||||||||
4.000%, 08/15/2026 (Callable 08/15/2020)(Insured by AGM) | 295,000 | 302,183 | ||||||||||
City of Mission TX, | ||||||||||||
3.500%, 02/15/2027 (Callable 02/15/2021)(Insured by AGM) | 110,000 | 112,665 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2023 | 30,000 | 32,817 | ||||||||||
4.000%, 12/01/2024 | 250,000 | 278,175 | ||||||||||
City of Royse City TX, | ||||||||||||
4.000%, 08/15/2020 (Insured by AGM) | 295,000 | 299,570 | ||||||||||
City of San Antonio TX: | ||||||||||||
2.000%, 02/01/2033 (Callable 06/01/2021)(Mandatory Tender Date 12/01/2021) (1) | 100,000 | 100,665 | ||||||||||
3.000%, 12/01/2045 (Mandatory Tender Date 12/01/2019) (1) | 120,000 | 120,689 | ||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,000,000 | 1,033,000 | ||||||||||
City of Sanger TX, | ||||||||||||
2.500%, 08/01/2019 | 125,000 | 125,109 | ||||||||||
City of Victoria TX, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020) | 410,000 | 422,021 | ||||||||||
Clear Creek Independent School District: | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 115,000 | 133,432 | ||||||||||
1.450%, 02/15/2035 (Mandatory Tender Date 08/14/2020)(PSF Guaranteed) (1) | 315,000 | 315,104 | ||||||||||
2.150%, 02/15/2038 (Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (1) | 225,000 | 227,396 | ||||||||||
Clyde Education Facilities Corp., | ||||||||||||
4.000%, 08/15/2021 (PSF Guaranteed) | 140,000 | 146,622 | ||||||||||
Corpus Christi Independent School District, | ||||||||||||
2.000%, 08/15/2047 (Mandatory Tender Date 08/15/2019)(PSF Guaranteed) (1) | 250,000 | 250,157 | ||||||||||
Cotulla Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 112,637 | ||||||||||
County of Archer TX, | ||||||||||||
4.000%, 02/15/2024 | 350,000 | 384,401 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 08/15/2030 (Callable 08/15/2022) | 1,055,000 | 1,168,096 | ||||||||||
County of McLennan TX, | ||||||||||||
5.000%, 06/01/2025 (Insured by AGM) | 240,000 | 280,250 | ||||||||||
County of Randall TX, | ||||||||||||
4.200%, 08/01/2029 (Callable 08/01/2020) | 885,000 | 909,152 | ||||||||||
Cypress-Fairbanks Independent School District, | ||||||||||||
3.000%, 02/15/2036 (Mandatory Tender Date 08/15/2019)(PSF Guaranteed) (1) | 490,000 | 490,892 | ||||||||||
Dallas County Utility & Reclamation District, | ||||||||||||
5.000%, 02/15/2026 | 190,000 | 228,443 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2020)(PSF Guaranteed) (1) | 200,000 | 204,398 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 2/15/2022)(PSF Guaranteed) (1) | 5,000 | 5,472 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 2/15/2022)(PSF Guaranteed) (1) | 305,000 | 333,386 | ||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 1,255,000 | 1,366,281 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 1,610,000 | 1,985,645 | ||||||||||
Denton County Fresh Water Supply District No. 6, | ||||||||||||
4.000%, 02/15/2020 (Insured by BAM) | 175,000 | 177,718 | ||||||||||
Dickinson Independent School District, | ||||||||||||
1.350%, 08/01/2037 (Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 100,000 | 99,990 | ||||||||||
Everman Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 125,000 | 148,670 | ||||||||||
Fort Bend County Municipal Utility District No. 134B, | ||||||||||||
4.625%, 09/01/2024 (Insured by AGM) | 320,000 | 363,488 | ||||||||||
Fort Bend County Municipal Utility District No. 139: | ||||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 180,000 | 192,051 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 190,000 | 206,201 | ||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 200,000 | 220,534 | ||||||||||
Fort Bend County Municipal Utility District No. 23: | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 300,000 | 304,926 | ||||||||||
3.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 340,000 | 345,392 | ||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by BAM) | 345,000 | 350,213 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 500,000 | 548,235 | ||||||||||
Fort Bend County Municipal Utility District No. 48, | ||||||||||||
2.000%, 10/01/2020 (Insured by BAM) | 125,000 | 125,660 | ||||||||||
Fort Bend County Municipal Utility District No. 58, | ||||||||||||
3.500%, 04/01/2024 (Insured by AGM) | 125,000 | 132,822 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
1.350%, 08/01/2040 (Callable 07/29/2019)(Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 1,200,000 | 1,199,880 | ||||||||||
1.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 365,000 | 363,909 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 150,000 | 151,843 | ||||||||||
Friendswood Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 105,000 | 124,509 | ||||||||||
Garland Independent School District, | ||||||||||||
5.000%, 02/15/2022 (Callable 02/15/2020)(PSF Guaranteed) | 200,000 | 204,648 | ||||||||||
Grand Parkway Transportation Corp.: | ||||||||||||
5.000%, 02/01/2023 | 565,000 | 631,275 | ||||||||||
5.000%, 10/01/2052 (Mandatory Tender Date 10/01/2023) (1) | 615,000 | 698,234 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
1.760%, 12/01/2042 (SIFMA Municipal Swap Index + 0.580%) (Callable 07/15/2019)(Mandatory Tender Date 12/01/2019) (2) | 50,000 | 50,000 | ||||||||||
2.461%, 10/01/2045 (1 Month LIBOR USD + 0.850%) (Callable 12/01/2019)(Mandatory Tender Date 06/01/2020) (2) | 300,000 | 300,786 | ||||||||||
Harris County Health Facilities Development Corp., | ||||||||||||
5.750%, 07/01/2027 (ETM) | 10,000 | 12,223 | ||||||||||
Harris County Municipal Utility District No. 153, | ||||||||||||
4.000%, 09/01/2023 (Callable 09/01/2022)(Insured by BAM) | 100,000 | 106,920 | ||||||||||
Harris County Municipal Utility District No. 284: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) (6) | 370,000 | 400,776 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) (6) | 135,000 | 148,372 | ||||||||||
Harris County Municipal Utility District No. 285, | ||||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by AGM) | 185,000 | 187,882 | ||||||||||
Harris County Municipal Utility District No. 374, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 125,000 | 131,587 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 85,000 | 91,877 | ||||||||||
Harris County Municipal Utility District No. 63, | ||||||||||||
3.000%, 09/01/2025 (Callable 09/01/2024)(Insured by AGM) | 100,000 | 104,976 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2019 | 370,000 | 374,703 | ||||||||||
Hitchcock Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 112,223 | ||||||||||
Ingleside Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 120,000 | 141,136 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.625%, 02/15/2048 (Pre-refunded to 2/15/2022)(PSF Guaranteed) (1) | 95,000 | 98,032 | ||||||||||
2.625%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 875,000 | 896,936 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
1.950%, 08/15/2047 (Mandatory Tender Date 08/17/2020)(PSF Guaranteed) (1) | 700,000 | 704,123 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2023 (Pre-refunded to 08/15/2020)(PSF Guaranteed) | 40,000 | 34,028 | ||||||||||
0.000%, 08/15/2034 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 56,404 | ||||||||||
0.000%, 08/15/2036 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 49,917 | ||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 925,000 | 378,528 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 300,000 | 112,533 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 7,935,000 | 3,201,455 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 180,000 | 69,264 | ||||||||||
0.000%, 08/15/2043 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 40,000 | 14,640 | ||||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,000,000 | 297,670 | ||||||||||
0.000%, 08/15/2046 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 725,000 | 202,790 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 425,000 | 111,618 |
Lewisville Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 420,000 | 495,113 | ||||||||||
Longview Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 125,000 | 144,610 | ||||||||||
Lower Colorado River Authority: | �� | |||||||||||
5.000%, 05/15/2024 (Callable 05/15/2022) | 125,000 | 137,479 | ||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 440,000 | 506,563 | ||||||||||
Lufkin Independent School District, | ||||||||||||
0.000%, 08/15/2019 (PSF Guaranteed) | 245,000 | 244,618 | ||||||||||
Manor Independent School District, | ||||||||||||
5.000%, 08/01/2026 (PSF Guaranteed) | 100,000 | 122,755 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 3,765,000 | 3,835,067 | ||||||||||
Montgomery County Municipal Utility District No. 112: | ||||||||||||
3.000%, 10/01/2022 (Insured by BAM) (6) | 200,000 | 207,696 | ||||||||||
3.000%, 10/01/2024 (Insured by BAM) (6) | 215,000 | 226,679 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2020 (Insured by BAM) | 350,000 | 356,076 | ||||||||||
4.000%, 04/01/2021 (Insured by BAM) | 175,000 | 182,297 | ||||||||||
Montgomery County Municipal Utility District No. 95, | ||||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 115,000 | 121,023 | ||||||||||
Montgomery Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 150,000 | 173,751 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 100,000 | 118,698 | ||||||||||
3.000%, 02/15/2050 (Mandatory Tender Date 08/15/2021)(PSF Guaranteed) (1) | 215,000 | 221,168 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
4.000%, 04/01/2020 | 50,000 | 50,365 | ||||||||||
3.000%, 07/01/2021 | 120,000 | 122,989 | ||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) | 100,000 | 100,862 | ||||||||||
4.000%, 06/15/2024 | 50,000 | 55,207 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 260,000 | 294,427 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 705,000 | 801,775 | ||||||||||
North Central Texas Health Facility Development Corp., | ||||||||||||
5.750%, 06/01/2026 (ETM)(Insured by NATL) | 535,000 | 626,608 | ||||||||||
North East Independent School District, | ||||||||||||
2.000%, 08/01/2044 (Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 100,000 | 100,042 | ||||||||||
North East Independent School District/TX: | ||||||||||||
1.420%, 08/01/2040 (Callable 08/01/2019)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 1,747,000 | 1,737,863 | ||||||||||
2.200%, 08/01/2049 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 225,000 | 230,801 | ||||||||||
North Texas Higher Education Authority, Inc., | ||||||||||||
3.219%, 07/01/2030 (3 Month LIBOR USD + 0.900%) (2) | 790,000 | 789,147 | ||||||||||
North Texas Tollway Authority, | ||||||||||||
5.000%, 01/01/2022 | 25,000 | 27,220 | ||||||||||
Northgate Crossing Road Utility District, | ||||||||||||
0.000%, 12/01/2022 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 90,239 | ||||||||||
Northside Independent School District: | ||||||||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 100,000 | 111,303 | ||||||||||
1.750%, 06/01/2032 (Callable 07/19/2019)(Mandatory Tender Date 06/01/2022)(PSF Guaranteed) (1) | 1,135,000 | 1,135,170 | ||||||||||
2.000%, 08/01/2044 (Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 625,000 | 625,263 | ||||||||||
2.000%, 06/01/2046 (Mandatory Tender Date 06/01/2021)(PSF Guaranteed) (1) | 640,000 | 645,773 | ||||||||||
Northwest Harris County Municipal Utility District No. 16, | ||||||||||||
5.500%, 10/01/2021 (Insured by BAM) | 25,000 | 27,011 | ||||||||||
Odessa Junior College District, | ||||||||||||
4.000%, 07/01/2029 (Callable 07/01/2022)(Insured by AGM) | 190,000 | 201,780 | ||||||||||
Olmos Park Higher Education Facilities Corp., | ||||||||||||
5.000%, 12/01/2021 | 210,000 | 225,903 | ||||||||||
Palestine Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 135,000 | 155,852 | ||||||||||
Paloma Lake Municipal Utility District No. 1, | ||||||||||||
2.000%, 09/01/2022 (Insured by NATL) | 150,000 | 150,953 | ||||||||||
Paseo del Este Municipal Utility District No. 10: | ||||||||||||
4.000%, 08/15/2022 (Insured by MAC) | 160,000 | 170,573 | ||||||||||
4.000%, 08/15/2023 (Insured by MAC) | 130,000 | 140,655 | ||||||||||
4.000%, 08/15/2024 (Insured by MAC) | 180,000 | 196,968 | ||||||||||
Pearland Independent School District, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2021)(PSF Guaranteed) | 150,000 | 158,234 | ||||||||||
Plains Independent School District, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020)(PSF Guaranteed) | 340,000 | 348,704 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 100,000 | 115,979 | ||||||||||
Red River Education Finance Corp.: | ||||||||||||
3.000%, 06/01/2022 | 655,000 | 671,644 | ||||||||||
5.000%, 06/01/2022 | 880,000 | 951,852 | ||||||||||
Remington Municipal Utility District No. 1: | ||||||||||||
3.000%, 09/01/2021 (Insured by AGM) (6) | 135,000 | 138,515 | ||||||||||
3.000%, 09/01/2022 (Insured by AGM) (6) | 100,000 | 103,635 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 08/01/2019)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 375,000 | 374,336 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2021 | 25,000 | 26,802 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2043 (Mandatory Tender Date 11/01/2021) (1) | 100,000 | 100,774 | ||||||||||
San Benito Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 100,000 | 115,543 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 205,000 | 208,481 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 105,000 | 110,481 | ||||||||||
South Shore Harbor Municipal Utility District No. 7, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 370,000 | 400,466 | ||||||||||
Southwest Texas Junior College District, | ||||||||||||
4.000%, 10/01/2023 (Insured by BAM) | 100,000 | 107,578 | ||||||||||
Spring Creek Utility District of Montgomery County, | ||||||||||||
3.000%, 10/01/2023 (Insured by AGM) (6) | 145,000 | 151,573 | ||||||||||
State of Texas: | ||||||||||||
5.000%, 08/01/2020 | 375,000 | 389,959 | ||||||||||
1.850%, 08/01/2029 (Callable 08/01/2020)(Optional Put Date 08/01/2022) (1) | 500,000 | 501,220 | ||||||||||
Tarrant County Cultural Education Facilities, | ||||||||||||
5.000%, 11/15/2024 | 175,000 | 198,609 | ||||||||||
Texas City Industrial Development Corp., | ||||||||||||
7.375%, 10/01/2020 | 200,000 | 214,250 | ||||||||||
Texas Department of Housing & Community Affairs: | ||||||||||||
4.050%, 07/01/2026 (Callable 01/01/2021)(Insured by GNMA) | 450,000 | 463,041 | ||||||||||
4.750%, 03/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 710,000 | 786,424 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2021 | 120,000 | 129,887 | ||||||||||
6.250%, 12/15/2026 | 3,000,000 | 3,505,380 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2021 | 140,000 | 150,522 | ||||||||||
5.000%, 12/15/2022 | 150,000 | 165,515 | ||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 190,000 | 210,066 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,425,000 | 1,560,204 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 1,000,000 | 1,095,380 | ||||||||||
Texas State Public Finance Authority Charter School Finance Corp.: | ||||||||||||
6.000%, 08/15/2026 (Pre-refunded to 02/15/2020) | 250,000 | 257,063 | ||||||||||
7.250%, 08/15/2041 (Pre-refunded to 08/15/2021) (1) | 450,000 | 503,667 | ||||||||||
Texas Transportation Commission State Highway Fund, | ||||||||||||
4.000%, 04/01/2026 (Mandatory Tender Date 10/01/2021) (1) | 580,000 | 612,724 | ||||||||||
Tioga Independent School District Public Facility Corp.: | ||||||||||||
4.000%, 08/15/2021 | 185,000 | 190,922 | ||||||||||
4.000%, 08/15/2022 | 450,000 | 468,886 | ||||||||||
4.000%, 08/15/2023 | 470,000 | 492,908 | ||||||||||
4.000%, 08/15/2024 | 185,000 | 195,153 | ||||||||||
Tomball Independent School District, | ||||||||||||
1.100%, 02/15/2043 (Mandatory Tender Date 08/15/2019)(PSF Guaranteed) (1) | 200,000 | 199,912 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 275,000 | 301,488 | ||||||||||
Travis County Health Facilities Development Corp.: | ||||||||||||
7.000%, 01/01/2032 (Pre-refunded to 01/01/2021) | 150,000 | 162,263 | ||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 385,000 | 417,186 | ||||||||||
Travis County Housing Finance Corp., | ||||||||||||
2.000%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 570,000 | 572,086 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 55,000 | 59,302 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022)(Insured by AGM) | 195,000 | 214,541 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
6.000%, 12/01/2023 (Insured by BAM) | 50,000 | 58,805 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2023)(Insured by AGM) | 340,000 | 368,302 | ||||||||||
West Harris County Municipal Utility District No. 17: | ||||||||||||
0.000%, 09/01/2021 (Insured by AGM) | 60,000 | 57,609 | ||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 360,000 | 375,455 | ||||||||||
West Ranch Management District, | ||||||||||||
3.000%, 09/01/2019 (Insured by MAC) | 50,000 | 50,124 | ||||||||||
Willow Creek Farms Municipal Utility District: | ||||||||||||
2.400%, 09/01/2023 (Insured by AGM) | 45,000 | 46,129 | ||||||||||
3.500%, 09/01/2023 (Insured by AGM) | 125,000 | 133,633 | ||||||||||
Wink-Loving Independent School District: | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2023)(PSF Guaranteed) | 1,970,000 | 2,212,271 | ||||||||||
5.000%, 02/15/2027 (Callable 02/15/2023)(PSF Guaranteed) | 2,350,000 | 2,636,347 | ||||||||||
Total Texas | 73,365,038 | 14.8 | % |
Utah | ||||||||||||
County of Utah UT, | ||||||||||||
5.000%, 05/15/2057 (Callable 02/01/2024)(Mandatory Tender Date 08/01/2024) (1) | 250,000 | 285,165 | ||||||||||
Utah Charter School Finance Authority, | ||||||||||||
4.000%, 04/15/2022 (Insured by UT CSCE) | 250,000 | 264,773 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021 (Mandatory Tender Date 01/01/2021)(Insured by GNMA) (1) | 250,000 | 251,380 | ||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 75,000 | 79,607 | ||||||||||
Total Utah | 880,925 | 0.2 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2023 (Pre-refunded to 07/01/2021) | 25,000 | 26,736 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020 (Callable 07/29/2019) | 350,000 | 348,456 | ||||||||||
Vermont Housing Finance Agency: | ||||||||||||
4.000%, 11/01/2044 (Callable 11/01/2023) | 85,000 | 90,060 | ||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 1,500,000 | 1,606,800 | ||||||||||
4.000%, 11/01/2049 (Callable 05/01/2028)(Insured by GNMA) (6) | 2,515,000 | 2,787,576 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
5.000%, 07/01/2022 | 380,000 | 411,966 | ||||||||||
Total Vermont | 5,271,594 | 1.1 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 102,892 | 0.0 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST) | 285,000 | 304,537 | ||||||||||
Colonial Heights Economic Development Authority, | ||||||||||||
1.800%, 01/01/2020 (Mandatory Tender Date 07/01/2019) (1) | 380,000 | 380,000 | ||||||||||
Stafford County & Staunton Industrial Development Authority, | ||||||||||||
5.500%, 02/01/2041 (Pre-refunded to 02/01/2021)(Insured by ST) | 30,000 | 31,911 | ||||||||||
Virginia Commonwealth University Health System Authority, | ||||||||||||
4.750%, 07/01/2041 (Pre-refunded to 07/01/2021) | 90,000 | 96,083 | ||||||||||
Virginia Resources Authority, | ||||||||||||
4.250%, 11/01/2040 (Pre-refunded to 11/01/2020) | 45,000 | 46,678 | ||||||||||
Wise County Industrial Development Authority, | ||||||||||||
2.150%, 10/01/2040 (Mandatory Tender Date 09/01/2020) (1) | 125,000 | 125,890 | ||||||||||
Total Virginia | 985,099 | 0.2 | % |
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
1.630%, 11/01/2045 (SIFMA Municipal Swap Index + 0.450%) (Callable 11/01/2022)(Mandatory Tender Date 11/01/2023) (2) | 100,000 | 100,032 | ||||||||||
Central Washington University: | ||||||||||||
4.000%, 05/01/2024 (Callable 05/01/2023) | 245,000 | 266,192 | ||||||||||
4.000%, 05/01/2026 (Callable 05/01/2023) | 400,000 | 432,156 | ||||||||||
City of Everett WA, | ||||||||||||
1.580%, 12/01/2034 (SIFMA Municipal Swap Index + 0.400%) (Callable 07/15/2019)(Mandatory Tender Date 12/01/2019)(Partially Pre-refunded) (2) | 45,000 | 45,000 | ||||||||||
City of Port Angeles WA, | ||||||||||||
4.000%, 11/01/2024 (Callable 11/01/2019)(Insured by AGC) | 105,000 | 105,902 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019 (Callable 07/19/2019) | 500,000 | 500,060 | ||||||||||
King County Housing Authority: | ||||||||||||
3.500%, 05/01/2021 | 300,000 | 309,828 | ||||||||||
3.500%, 05/01/2022 | 345,000 | 361,253 | ||||||||||
Spokane Public Facilities District, | ||||||||||||
5.000%, 12/01/2028 (Callable 06/01/2023) | 450,000 | 504,090 | ||||||||||
State of Washington, | ||||||||||||
5.000%, 07/01/2024 (Callable 07/01/2022) | 250,000 | 277,125 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
2.180%, 01/01/2035 (SIFMA Municipal Swap Index + 1.000%) (Callable 07/05/2020)(Mandatory Tender Date 01/01/2021) (2) | 50,000 | 50,090 | ||||||||||
5.000%, 10/01/2042 (Mandatory Tender Date 10/01/2021) (1) | 120,000 | 129,248 | ||||||||||
Total Washington | 3,080,976 | 0.6 | % | |||||||||
West Virginia | ||||||||||||
West Virginia Hospital Finance Authority, | ||||||||||||
5.125%, 09/01/2021 (Callable 09/01/2019) | 120,000 | 120,737 | 0.0 | % | ||||||||
Wisconsin | ||||||||||||
Boyceville Community School District/WI, | ||||||||||||
2.000%, 03/01/2020 | 115,000 | 115,476 | ||||||||||
Campbellsport School District, | ||||||||||||
5.000%, 03/01/2022 | 540,000 | 590,452 | ||||||||||
City of Eagle River WI, | ||||||||||||
3.000%, 05/01/2024 (Callable 05/01/2022) | 1,000,000 | 1,027,660 | ||||||||||
City of Hartford WI, | ||||||||||||
2.250%, 05/01/2020 | 150,000 | 151,035 | ||||||||||
City of Kenosha WI, | ||||||||||||
5.000%, 06/01/2021 | 200,000 | 214,060 | ||||||||||
City of Ladysmith WI, | ||||||||||||
4.000%, 06/01/2022 (Callable 07/29/2019) | 150,000 | 150,318 | ||||||||||
City of Menomonie WI, | ||||||||||||
3.000%, 12/01/2024 | 415,000 | 437,385 | ||||||||||
City of Oshkosh WI Storm Water Utility Revenue, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2023) | 125,000 | 133,885 | ||||||||||
County of Kenosha WI, | ||||||||||||
2.500%, 08/01/2019 (Callable 07/29/2019) | 25,000 | 25,020 | ||||||||||
County of Manitowoc WI, | ||||||||||||
4.000%, 11/01/2021 | 90,000 | 94,457 | ||||||||||
Ladysmith School District, | ||||||||||||
2.000%, 04/01/2021 | 150,000 | 151,755 | ||||||||||
Milwaukee Redevelopment Authority, | ||||||||||||
4.500%, 08/01/2023 (Callable 08/01/2019) | 110,000 | 110,233 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 01/01/2020 | 415,000 | 418,469 | ||||||||||
4.000%, 10/01/2020 | 200,000 | 204,026 | ||||||||||
4.000%, 12/01/2020 | 350,000 | 354,561 | ||||||||||
5.000%, 06/15/2021 | 140,000 | 146,847 | ||||||||||
4.000%, 10/01/2021 | 200,000 | 206,820 | ||||||||||
5.000%, 06/15/2023 | 395,000 | 433,347 | ||||||||||
8.375%, 06/01/2037 (Pre-refunded to 06/01/2022) | 1,050,000 | 1,248,702 | ||||||||||
8.625%, 06/01/2047 (Pre-refunded to 06/01/2022) | 1,265,000 | 1,519,088 | ||||||||||
Rib Lake School District, | ||||||||||||
3.000%, 10/22/2019 | 250,000 | 251,098 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2021 (ETM)(Insured by NATL) | 30,000 | 28,941 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2025 (Pre-refunded to 05/01/2021) | 5,000,000 | 5,332,550 | ||||||||||
5.000%, 05/01/2026 (Callable 05/01/2023) | 60,000 | 68,341 | ||||||||||
5.000%, 05/01/2029 (Pre-refunded to 05/01/2022) | 145,000 | 159,987 | ||||||||||
Town of Freedom WI, | ||||||||||||
2.000%, 10/01/2019 | 200,000 | 200,258 | ||||||||||
Town of Grand Chute WI, | ||||||||||||
3.000%, 11/01/2020 (Callable 07/29/2019) | 235,000 | 235,280 | ||||||||||
Village of DeForest WI, | ||||||||||||
3.375%, 05/01/2023 (Callable 05/01/2021) | 100,000 | 103,129 | ||||||||||
Village of Holmen WI, | �� | |||||||||||
2.000%, 10/01/2019 | 140,000 | 140,204 | ||||||||||
Village of Kronenwetter WI, | ||||||||||||
2.500%, 04/01/2021 (Callable 10/01/2020) | 1,120,000 | 1,129,744 | ||||||||||
Village of Sussex WI, | ||||||||||||
3.000%, 06/01/2023 (Callable 06/01/2022) | 1,155,000 | 1,196,337 | ||||||||||
Village of Waunakee WI, | ||||||||||||
3.200%, 10/01/2026 (Callable 10/01/2019) | 225,000 | 225,918 | ||||||||||
Village of Whiting WI, | ||||||||||||
2.125%, 03/01/2020 | 250,000 | 250,928 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.000%, 12/15/2020 | 100,000 | 105,307 | ||||||||||
5.000%, 12/15/2022 | 715,000 | 798,612 | ||||||||||
5.000%, 12/15/2025 | 75,000 | 89,747 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 95,000 | 113,906 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
3.000%, 12/01/2019 | 575,000 | 578,324 | ||||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 57,216 | ||||||||||
2.650%, 11/01/2020 (Callable 11/01/2019) | 1,000,000 | 1,001,540 | ||||||||||
4.500%, 12/15/2021 (Callable 06/15/2020) | 200,000 | 204,924 | ||||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 100,000 | 108,007 | ||||||||||
5.000%, 03/01/2022 | 230,000 | 240,460 | ||||||||||
5.000%, 07/01/2022 | 185,000 | 200,633 | ||||||||||
4.000%, 09/15/2022 | 200,000 | 209,172 | ||||||||||
5.000%, 03/01/2023 | 300,000 | 317,904 | ||||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 335,000 | 364,835 | ||||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 438,085 | ||||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 156,597 | ||||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 378,760 | ||||||||||
4.500%, 06/01/2025 (Pre-refunded to 06/01/2020) | 500,000 | 514,250 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 747,846 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2022) | 200,000 | 207,608 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 300,000 | 314,778 | ||||||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 110,000 | 118,809 | ||||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 50,000 | 57,232 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 375,000 | 427,496 | ||||||||||
5.000%, 11/15/2043 (Mandatory Tender Date 06/01/2020) (1) | 100,000 | 103,201 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 385,000 | 401,905 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 495,000 | 526,715 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 1,000,000 | 1,096,240 | ||||||||||
Total Wisconsin | 26,936,420 | 5.4 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 1,460,000 | 1,544,826 | 0.3 | % | ||||||||
Total Long-Term Investments (Cost $482,956,480) | 489,881,809 | 98.5 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80% (4) | 3,097,522 | 3,097,522 | ||||||||||
Total Short-Term Investment (Cost $3,097,522) | 3,097,522 | 0.6 | % | |||||||||
Total Investments (Cost $486,054,002) | 492,979,331 | 99.1 | % | |||||||||
Liabilities in Excess of Other Assets | 4,246,177 | 0.9 | % | |||||||||
TOTAL NET ASSETS | $ | 497,225,508 | 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 | |
UT CSCE | Utah Charter School Finance Authority | |
(1) | 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, 2019. | |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. | |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $210,519, which represents 0.04% 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 Short-Term Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 489,881,809 | $ | – | $ | 489,881,809 | ||||||||
Total Long-Term Investments | – | 489,881,809 | – | 489,881,809 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,097,522 | – | – | $ | 3,097,522 | |||||||||||
Total Short-Term Investment | 3,097,522 | – | – | 3,097,522 | ||||||||||||
Total Investments | $ | 3,097,522 | $ | 489,881,809 | $ | – | $ | 492,979,331 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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, 2019 (Unaudited) | ||||||||||||
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | $ | 1,235,000 | $ | 1,338,184 | ||||||||
City of Valdez AK, | ||||||||||||
5.000%, 06/30/2029 (Callable 06/30/2022) | 1,225,000 | 1,350,085 | ||||||||||
Total Alaska | 2,688,269 | 0.2 | % | |||||||||
Arizona | ||||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 715,000 | 792,077 | ||||||||||
City of Tempe AZ: | ||||||||||||
5.000%, 07/01/2034 (Pre-refunded to 07/01/2027) | 165,000 | 206,956 | ||||||||||
5.000%, 07/01/2035 (Pre-refunded to 07/01/2027) | 185,000 | 232,042 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2025) | 750,000 | 895,575 | ||||||||||
Total Arizona | 2,126,650 | 0.2 | % | |||||||||
Arkansas | ||||||||||||
City of Little Rock AR, | ||||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 330,000 | 341,979 | ||||||||||
City of Little Rock AR Water Reclamation System Revenue, | ||||||||||||
5.000%, 10/01/2034 (Callable 04/01/2025) | 5,000,000 | 5,769,350 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 2,160,000 | 2,242,599 | ||||||||||
City of Rogers AR: | ||||||||||||
4.000%, 11/01/2025 (Callable 05/01/2024) | 570,000 | 630,602 | ||||||||||
4.000%, 11/01/2027 (Callable 05/01/2024) | 460,000 | 507,058 | ||||||||||
University of Arkansas, | ||||||||||||
5.000%, 11/01/2035 (Callable 11/01/2024) | 665,000 | 758,173 | ||||||||||
Total Arkansas | 10,249,761 | 0.9 | % | |||||||||
California | ||||||||||||
Aromas-San Juan Unified School District, | ||||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 875,000 | 76,125 | ||||||||||
Brea Redevelopment Agency: | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2027) | 1,500,000 | 1,506,645 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2027) | 1,750,000 | 1,750,665 | ||||||||||
Citrus Community College District, | ||||||||||||
0.000%, 08/01/2034 (Callable 02/01/2024) | 885,000 | 836,989 | ||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | 12,380,000 | 12,088,203 | ||||||||||
City of Pasadena CA, | ||||||||||||
4.250%, 06/01/2034 (Callable 06/01/2023) | 500,000 | 537,380 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 300,000 | 272,211 | ||||||||||
Contra Costa Transportation Authority, | ||||||||||||
5.000%, 03/01/2028 (Callable 03/01/2025) | 1,570,000 | 1,882,571 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 1,755,000 | 1,915,284 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2023)(Insured by BAM) | 300,000 | 137,742 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2051 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,285,000 | 123,681 | ||||||||||
Mount San Antonio Community College District, | ||||||||||||
0.000%, 08/01/2028 (Callable 02/01/2028) | 550,000 | 585,800 | ||||||||||
Northern California Power Agency, | ||||||||||||
7.500%, 07/01/2023 (Pre-refunded to 07/01/2021)(Insured by AMBAC) | 440,000 | 476,511 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2030 (Callable 08/01/2019)(Insured by BAM) | 235,000 | 235,630 | ||||||||||
5.000%, 08/01/2031 (Callable 08/01/2019)(Insured by BAM) | 275,000 | 275,726 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2040 (Pre-refunded to 09/01/2021)(Insured by AGM) | 815,000 | 188,640 | ||||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) | 6,445,000 | 7,588,408 | ||||||||||
San Diego Unified School District: | ||||||||||||
0.000%, 07/01/2033 (Pre-refunded to 07/01/2024) | 350,000 | 425,744 | ||||||||||
4.000%, 07/01/2034 (Callable 07/01/2027) | 1,000,000 | 1,136,200 | ||||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,822,917 | ||||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,389,200 | ||||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,227,331 | ||||||||||
0.000%, 01/01/2028 (ETM) | 770,000 | 670,216 | ||||||||||
San Marcos Public Facilities Authority, | ||||||||||||
0.000%, 09/01/2019 (ETM) | 7,495,000 | 7,478,061 | ||||||||||
San Mateo Union High School District: | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2028) | 160,000 | 169,810 | ||||||||||
5.000%, 09/01/2041 (Callable 09/01/2023) | 2,105,000 | 2,404,941 | ||||||||||
0.000%, 12/15/2043 (Pre-refunded to 12/15/2024)(Insured by AMBAC) | 1,475,000 | 1,706,103 | ||||||||||
San Ysidro School District: | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 375,000 | 76,661 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2021)(Insured by AGM) | 290,000 | 54,871 | ||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 525,000 | 57,477 | ||||||||||
State of California, | ||||||||||||
5.000%, 08/01/2031 (Callable 02/01/2025) | 1,000,000 | 1,173,590 | ||||||||||
Sutter Union High School District: | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2025) | 50,000 | 20,967 | ||||||||||
0.000%, 08/01/2037 (Pre-refunded to 08/01/2025) | 50,000 | 19,522 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2025) | 50,000 | 14,621 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2025) | 200,000 | 50,406 | ||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2025) | 345,000 | 80,678 | ||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 700,000 | 104,615 | ||||||||||
Tustin Unified School District, | ||||||||||||
0.000%, 08/01/2028 (Callable 08/01/2021) | 1,295,000 | 1,413,583 | ||||||||||
Victor Valley Union High School District: | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2023)(Insured by AGM) | 510,000 | 238,777 | ||||||||||
0.000%, 08/01/2038 (Pre-refunded to 08/01/2023)(Insured by AGM) | 460,000 | 189,975 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2023) | 545,000 | 188,445 | ||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2023) | 2,000,000 | 650,380 | ||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2023) | 200,000 | 50,928 | ||||||||||
0.000%, 08/01/2052 (Pre-refunded to 08/01/2023) | 790,000 | 138,163 | ||||||||||
Westminster School District, | ||||||||||||
0.000%, 08/01/2048 (Callable 08/01/2023)(Insured by BAM) | 5,045,000 | 846,450 | ||||||||||
Total California | 71,278,843 | 6.0 | % | |||||||||
Colorado | ||||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST) | 1,225,000 | 1,421,821 | ||||||||||
Brush School District No. RE-2J: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 380,000 | 464,045 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2027)(Insured by BAM) | 395,000 | 480,837 | ||||||||||
5.000%, 12/01/2035 (Callable 12/01/2027)(Insured by BAM) | 460,000 | 554,392 | ||||||||||
City of Fort Lupton CO, | ||||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027)(Insured by AGM) | 850,000 | 922,344 | ||||||||||
Colorado Health Facilities Authority, | ||||||||||||
0.000%, 07/15/2022 (ETM) | 6,505,000 | 6,218,325 | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | 38,235,000 | 36,435,661 | ||||||||||
0.000%, 10/01/2022 (ETM) | 23,675,000 | 22,560,854 | ||||||||||
Mesa County Valley School District No. 51, | ||||||||||||
5.500%, 12/01/2037 (Callable 12/01/2027)(Insured by ST) | 1,000,000 | 1,253,800 | ||||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,128,326 | ||||||||||
Total Colorado | 76,440,405 | 6.5 | % |
Connecticut | ||||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 7,000,000 | 7,617,610 | ||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 1,600,000 | 1,702,192 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 2,500,000 | 2,765,525 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 10/15/2032 (Callable 10/15/2022) | 1,000,000 | 1,091,720 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,250,000 | 1,495,825 | ||||||||||
Total Connecticut | 14,672,872 | 1.2 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 915,000 | 1,050,155 | 0.1 | % | ||||||||
Florida | ||||||||||||
City of Fort Myers FL, | ||||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 480,000 | 516,763 | ||||||||||
City of Jacksonville FL: | ||||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 750,000 | 750,000 | ||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 2,000,000 | 2,000,000 | ||||||||||
City of Miami Beach FL, | ||||||||||||
6.250%, 10/01/2022 (ETM)(Insured by AMBAC) | 1,035,000 | 1,118,783 | ||||||||||
City of Miramar FL: | ||||||||||||
5.000%, 10/01/2029 (Callable 10/01/2027) | 1,025,000 | 1,282,808 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2027) | 1,000,000 | 1,242,980 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2027) | 1,000,000 | 1,222,770 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2027) | 1,030,000 | 1,253,695 | ||||||||||
City of Orlando FL, | ||||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 1,000,000 | 1,199,920 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 10/01/2033 (Callable 10/01/2024) | 255,000 | 294,318 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 1,000,000 | 1,151,400 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 825,000 | 948,750 | ||||||||||
City of Tampa FL Water & Wastewater System Revenue, | ||||||||||||
4.125%, 10/01/2031 (Callable 10/01/2021) | 1,930,000 | 2,040,261 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,381,870 | ||||||||||
5.250%, 10/01/2022 (Insured by AGM) | 1,140,000 | 1,284,062 | ||||||||||
0.000%, 10/01/2027 (ETM)(Insured by NATL) | 100,000 | 85,770 | ||||||||||
5.250%, 10/01/2030 (ETM)(Insured by NATL) | 2,060,000 | 2,705,995 | ||||||||||
County of Seminole FL, | ||||||||||||
6.000%, 10/01/2019 (ETM)(Insured by NATL) | 1,280,000 | 1,294,925 | ||||||||||
Escambia County Housing Finance Authority, | ||||||||||||
2.050%, 05/01/2021 (Mandatory Tender Date 05/01/2020) (1) | 1,500,000 | 1,506,465 | ||||||||||
Florida Housing Finance Corp., | ||||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 1,125,000 | 1,171,136 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.190%, 11/15/2037 (Callable 06/28/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
JEA Water & Sewer System Revenue, | ||||||||||||
5.000%, 10/01/2028 (Pre-refunded to 04/01/2024) | 705,000 | 821,163 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2026) | 1,300,000 | 1,543,282 | ||||||||||
Miami-Dade County Health Facilities Authority, | ||||||||||||
5.750%, 05/01/2021 (ETM)(Insured by NATL) | 595,000 | 627,291 | ||||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022 (ETM) | 3,895,000 | 4,249,017 | ||||||||||
6.875%, 10/01/2022 (ETM)(Insured by AMBAC) | 2,670,000 | 2,929,123 | ||||||||||
Pinellas County Housing Finance Authority, | ||||||||||||
4.250%, 03/01/2027 (Callable 09/01/2019)(Insured by GNMA) | 230,000 | 230,858 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
5.000%, 10/01/2031 (Callable 10/01/2028) | 310,000 | 384,360 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 03/15/2039 (Callable 03/15/2024) | 2,000,000 | 2,276,980 | ||||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,445,000 | 9,107,510 | ||||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,915,000 | 5,300,582 | ||||||||||
Seminole County School Board, | ||||||||||||
5.000%, 07/01/2035 (Callable 07/01/2026) | 145,000 | 170,732 | ||||||||||
Tampa Bay Water, | ||||||||||||
5.000%, 10/01/2019 (ETM) | 1,760,000 | 1,775,752 | ||||||||||
Total Florida | 60,869,321 | 5.2 | % | |||||||||
Georgia | ||||||||||||
Atlanta Development Authority: | ||||||||||||
5.000%, 09/01/2023 (ETM) | 2,450,000 | 2,805,495 | ||||||||||
5.000%, 09/01/2024 (Pre-refunded to 09/01/2023) | 810,000 | 925,765 | ||||||||||
5.000%, 09/01/2032 (Pre-refunded to 09/01/2023) | 1,315,000 | 1,502,940 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,665,000 | 10,756,124 | ||||||||||
Georgia Housing & Finance Authority, | ||||||||||||
3.500%, 12/01/2046 (Callable 12/01/2025) | 950,000 | 987,877 | ||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
2.440%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 1,000,000 | 991,300 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 1,835,000 | 1,767,013 | ||||||||||
0.000%, 12/01/2021 (ETM) | 4,025,000 | 3,875,874 | ||||||||||
Total Georgia | 23,612,388 | 2.0 | % | |||||||||
Illinois | ||||||||||||
Boone & Winnebago Counties Community Unit School District No. 200, | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 705,000 | 655,361 | ||||||||||
City of Chicago IL, | ||||||||||||
5.000%, 01/01/2034 (Pre-refunded to 01/01/2025) | 2,170,000 | 2,574,358 | ||||||||||
Cook County Community High School District No. 233, | ||||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 2,695,000 | 2,869,744 | ||||||||||
Cook County Illinois School District No. 159: | ||||||||||||
0.000%, 12/01/2022 (ETM) | 2,000,000 | 1,897,960 | ||||||||||
0.000%, 12/01/2025 (ETM) | 275,000 | 245,454 | ||||||||||
0.000%, 12/01/2028 (ETM) | 185,000 | 154,399 | ||||||||||
Cook County Illinois School District No. 163: | ||||||||||||
6.000%, 12/15/2026 (Insured by BAM) | 1,165,000 | 1,454,013 | ||||||||||
5.000%, 12/15/2028 (Insured by BAM) | 1,305,000 | 1,581,817 | ||||||||||
Cook County School District No 130 Blue Island, | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2025)(Insured by AGM) | 1,140,000 | 1,327,063 | ||||||||||
County of Cook IL: | ||||||||||||
5.000%, 11/15/2033 (Callable 11/15/2027) | 3,000,000 | 3,549,510 | ||||||||||
5.000%, 11/15/2034 (Callable 11/15/2027) | 4,325,000 | 5,099,045 | ||||||||||
County of Du Page IL, | ||||||||||||
5.600%, 01/01/2021 | 355,000 | 370,063 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 27,040,000 | 25,365,683 | ||||||||||
0.000%, 07/15/2025 (ETM) | 50,115,000 | 45,220,268 | ||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 1,230,000 | 1,256,544 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | 1,095,000 | 1,196,528 | ||||||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 2,550,000 | 2,652,791 | ||||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,825,000 | 7,402,736 | ||||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,424,244 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,123,967 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,715,000 | 2,752,874 | ||||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 760,000 | 795,614 | ||||||||||
4.000%, 08/01/2048 (Callable 08/01/2027)(Insured by GNMA) | 855,000 | 923,178 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,950,000 | 12,005,142 | ||||||||||
Kane County Community Unit School District No. 304: | ||||||||||||
9.000%, 01/01/2023 (ETM)(Insured by AGM) | 805,000 | 1,010,267 | ||||||||||
9.000%, 01/01/2023 (Insured by AGM) | 2,720,000 | 3,395,376 | ||||||||||
Kane McHenry Cook & De Kalb Counties Unit School District No 300/IL, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 2,060,000 | 2,413,125 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 13,254,264 | ||||||||||
Lake County Community Consolidated School District No. 50: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 910,000 | 958,931 | ||||||||||
5.000%, 01/01/2021 | 465,000 | 489,789 | ||||||||||
Lake County Township High School District No 113-Highland Park, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2023) | 3,675,000 | 4,065,101 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
5.500%, 12/15/2023 (ETM) | 1,935,000 | 2,131,344 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 4,800,000 | 5,166,336 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 295,000 | 344,020 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
7.000%, 01/01/2020 (ETM)(Insured by NATL) | 800,000 | 822,528 | ||||||||||
Regional Transportation Authority: | ||||||||||||
7.750%, 06/01/2020 (Insured by NATL) | 200,000 | 211,318 | ||||||||||
6.700%, 11/01/2021 (Insured by NATL) | 585,000 | 624,909 | ||||||||||
6.000%, 07/01/2022 (Insured by NATL) | 3,705,000 | 4,185,205 | ||||||||||
6.000%, 07/01/2027 (Insured by AGM) | 1,000,000 | 1,296,530 | ||||||||||
Sales Tax Securitization Corp., | ||||||||||||
5.000%, 01/01/2029 | 1,000,000 | 1,204,680 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,782,276 | ||||||||||
State of Illinois: | ||||||||||||
6.500%, 06/15/2022 | 115,000 | 119,881 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 1,850,000 | 1,958,206 | ||||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,223,512 | ||||||||||
Will County Community High School District No. 210, | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 1,350,000 | 1,246,590 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2024 (ETM)(Insured by NATL) | 705,000 | 639,759 | ||||||||||
Total Illinois | 183,442,303 | 15.6 | % |
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 1,000,000 | 1,054,870 | ||||||||||
Columbus Multi-High School Building Corp.: | ||||||||||||
5.000%, 01/15/2026 (Insured by ST) | 1,125,000 | 1,354,815 | ||||||||||
5.000%, 01/15/2027 (Insured by ST) | 1,265,000 | 1,551,447 | ||||||||||
5.000%, 07/15/2028 (Insured by ST) | 1,000,000 | 1,257,530 | ||||||||||
Fort Wayne Redevelopment Authority, | ||||||||||||
5.000%, 02/01/2025 (Callable 02/01/2024)(Insured by ST) | 335,000 | 385,531 | ||||||||||
Franklin Community Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2020 (Insured by NATL) | 1,990,000 | 2,064,685 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 1,780,000 | 2,072,347 | ||||||||||
Kankakee Valley Middle School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Insured by ST) | 475,000 | 603,986 | ||||||||||
5.000%, 07/15/2029 (Insured by ST) | 1,180,000 | 1,510,683 | ||||||||||
Kokomo-Center School Building Corp., | ||||||||||||
5.000%, 01/15/2037 (Callable 07/15/2027)(Insured by ST) | 500,000 | 592,320 | ||||||||||
Northern Wells Multi-School Building Corp., | ||||||||||||
4.000%, 07/15/2035 (Callable 07/15/2027)(Insured by ST) | 160,000 | 176,309 | ||||||||||
Total Indiana | 12,624,523 | 1.1 | % |
Iowa | ||||||||||||
Iowa Finance Authority: | ||||||||||||
5.000%, 08/01/2035 (Callable 08/01/2025) | 950,000 | 1,117,817 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 4,400,000 | 4,871,988 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 830,000 | 892,831 | ||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
4.500%, 10/01/2033 (Pre-refunded to 10/01/2021) | 2,100,000 | 2,244,921 | ||||||||||
5.000%, 10/01/2038 (Pre-refunded to 10/01/2021) | 2,090,000 | 2,257,284 | ||||||||||
Total Iowa | 11,384,841 | 1.0 | % | |||||||||
Kansas | ||||||||||||
City of Wichita KS, | ||||||||||||
5.000%, 11/15/2020 (ETM) | 1,120,000 | 1,175,104 | ||||||||||
Crawford County Unified School District No. 250, | ||||||||||||
5.000%, 09/01/2035 (Callable 09/01/2027)(Insured by BAM) | 445,000 | 530,582 | ||||||||||
Total Kansas | 1,705,686 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Jefferson Parish Hospital Service District, | ||||||||||||
6.000%, 01/01/2039 (Pre-refunded to 01/01/2021) | 1,080,000 | 1,152,349 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 26,700,000 | 32,720,583 | ||||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 27,818,378 | ||||||||||
State of Louisiana, | ||||||||||||
5.000%, 05/01/2027 (Pre-refunded to 05/01/2022) | 1,390,000 | 1,531,627 | ||||||||||
Total Louisiana | 63,222,937 | 5.4 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD: | ||||||||||||
5.000%, 07/01/2024 (ETM) | 1,220,000 | 1,378,234 | ||||||||||
5.000%, 07/01/2028 (ETM) | 290,000 | 338,047 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 2,015,000 | 2,332,463 | ||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,387,528 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,454,889 | ||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,385,216 | ||||||||||
Total Maryland | 25,276,377 | 2.1 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
4.000%, 12/01/2022 (Pre-refunded to 12/01/2019) | 10,000,000 | 10,111,000 | ||||||||||
Massachusetts Department of Transportation, | ||||||||||||
5.000%, 01/01/2020 (ETM) | 415,000 | 422,690 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026) | 625,000 | 758,594 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 1,255,000 | 1,319,093 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 1,600,000 | 1,721,808 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 665,000 | 725,648 | ||||||||||
Massachusetts State College Building Authority, | ||||||||||||
0.000%, 05/01/2027 (ETM)(Insured by NATL) | 200,000 | 172,472 | ||||||||||
Massachusetts Water Resources Authority, | ||||||||||||
6.500%, 07/15/2019 (ETM) | 220,000 | 220,409 | ||||||||||
Total Massachusetts | 15,451,714 | 1.3 | % | |||||||||
Michigan | ||||||||||||
Algonac Community Schools: | ||||||||||||
4.000%, 05/01/2028 (Callable 05/01/2027)(Insured by Q-SBLF) | 175,000 | 198,417 | ||||||||||
4.000%, 05/01/2029 (Callable 05/01/2027)(Insured by Q-SBLF) | 370,000 | 415,958 | ||||||||||
4.000%, 05/01/2030 (Callable 05/01/2027)(Insured by Q-SBLF) | 470,000 | 523,434 | ||||||||||
Brighton Area School District, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 500,000 | 532,220 | ||||||||||
Chippewa Hills School District, | ||||||||||||
4.000%, 05/01/2033 (Callable 05/01/2025)(Insured by Q-SBLF) | 300,000 | 326,337 | ||||||||||
Ecorse Public School District, | ||||||||||||
5.000%, 05/01/2027 (Insured by Q-SBLF) | 515,000 | 634,691 | ||||||||||
Fraser Public School District, | ||||||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 1,000,000 | 1,158,460 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 06/01/2027 (Pre-refunded to 06/01/2022) | 1,315,000 | 1,450,879 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 4,520,000 | 4,943,885 | ||||||||||
Pinckney Community Schools: | ||||||||||||
5.000%, 05/01/2022 (Insured by Q-SBLF) | 1,935,000 | 2,122,792 | ||||||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 2,200,000 | 2,480,962 | ||||||||||
State of Michigan, | ||||||||||||
0.000%, 06/01/2022 (ETM)(Insured by AMBAC) | 2,000,000 | 1,915,340 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 1,000,000 | 1,212,140 | ||||||||||
Utica Community Schools/MI, | ||||||||||||
5.000%, 05/01/2034 (Callable 05/01/2029)(Insured by Q-SBLF) | 305,000 | 375,589 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 2,595,000 | 3,023,331 | ||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 4,660,000 | 5,429,179 | ||||||||||
5.000%, 05/01/2035 (Callable 05/01/2026)(Insured by Q-SBLF) | 925,000 | 1,070,142 | ||||||||||
Total Michigan | 27,813,756 | 2.4 | % | |||||||||
Minnesota | ||||||||||||
County of Hennepin MN, | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2022) | 3,000,000 | 3,257,940 | ||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 505,000 | 610,762 | ||||||||||
Minnesota Housing Finance Agency: | �� | |||||||||||
4.250%, 07/01/2028 (Callable 01/01/2020)(Insured by GNMA) | 35,000 | 35,386 | ||||||||||
4.500%, 07/01/2034 (Callable 07/01/2021)(Insured by GNMA) | 280,000 | 287,655 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 475,000 | 504,673 | ||||||||||
4.250%, 07/01/2049 (Callable 07/01/2028)(Insured by GNMA) | 1,400,000 | 1,531,222 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 11,260,000 | 11,728,529 | ||||||||||
Total Minnesota | 17,956,167 | 1.5 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Development Bank: | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2027) | 825,000 | 998,935 | ||||||||||
5.250%, 03/01/2035 (Callable 03/01/2028) | 495,000 | 600,024 | ||||||||||
Mississippi Home Corp., | ||||||||||||
2.400%, 02/01/2022 (Pre-refunded to 8/01/2021) (1) | 2,000,000 | 2,040,040 | ||||||||||
Oxford School District, | ||||||||||||
4.000%, 05/01/2027 | 500,000 | 577,480 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 1,130,000 | 1,419,416 | ||||||||||
West Rankin Utility Authority, | ||||||||||||
5.000%, 01/01/2038 (Callable 01/01/2025)(Insured by AGM) | 500,000 | 568,105 | ||||||||||
Total Mississippi | 6,204,000 | 0.5 | % | |||||||||
Missouri | ||||||||||||
Independence School District, | ||||||||||||
5.500%, 03/01/2035 (Callable 03/01/2027)(Insured by ST) | 955,000 | 1,189,873 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
5.500%, 03/01/2037 (Callable 03/01/2029)(Insured by ST) | 1,000,000 | 1,298,960 | ||||||||||
Metropolitan St Louis Sewer District, | ||||||||||||
5.000%, 05/01/2036 (Callable 05/01/2025) | 1,275,000 | 1,486,726 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
1.950%, 05/01/2025 (Insured by GNMA) | 115,000 | 115,719 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 2,280,000 | 2,359,572 | ||||||||||
St. Louis County School District, | ||||||||||||
4.000%, 03/01/2031 (Callable 03/01/2025) | 1,480,000 | 1,639,499 | ||||||||||
Webster Groves School District: | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2026) | 910,000 | 1,039,675 | ||||||||||
4.000%, 03/01/2029 (Callable 03/01/2026) | 1,370,000 | 1,558,745 | ||||||||||
Total Missouri | 10,688,769 | 0.9 | % | |||||||||
Montana | ||||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2028) | 210,000 | 234,740 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 430,000 | 535,195 | ||||||||||
5.000%, 07/01/2029 (Callable 07/01/2027) | 535,000 | 663,630 | ||||||||||
Total Montana | 1,433,565 | 0.1 | % | |||||||||
Nevada | ||||||||||||
County of Clark NV, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2024) | 1,925,000 | 2,204,760 | 0.2 | % | ||||||||
New Hampshire | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 510,000 | 524,530 | 0.0 | % | ||||||||
New Jersey | ||||||||||||
New Jersey Building Authority, | ||||||||||||
5.000%, 06/15/2024 (ETM) | 1,410,000 | 1,650,588 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.250%, 07/01/2025 | 1,285,000 | 1,520,348 | ||||||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||||||
3.750%, 07/01/2027 (ETM) | 205,000 | 230,658 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
6.000%, 11/01/2023 (Pre-refunded to 07/29/2019) | 185,000 | 198,531 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,575,000 | 1,731,523 | ||||||||||
New Jersey Transportation Trust Fund Authority, | ||||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,252,100 | ||||||||||
Total New Jersey | 10,583,748 | 0.9 | % |
New Mexico | ||||||||||||
New Mexico Finance Authority, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026) | 2,615,000 | 2,982,538 | ||||||||||
New Mexico Mortgage Financial Authority: | ||||||||||||
4.625%, 09/01/2025 (Callable 03/01/2020)(Insured by GNMA) | 470,000 | 476,016 | ||||||||||
4.500%, 09/01/2028 (Callable 03/01/2020)(Insured by GNMA) | 90,000 | 90,784 | ||||||||||
3.500%, 07/01/2033 (Callable 01/01/2028)(Insured by GNMA) | 1,170,000 | 1,235,649 | ||||||||||
3.550%, 09/01/2037 (Callable 03/01/2027)(Insured by GNMA) | 1,160,000 | 1,203,964 | ||||||||||
Total New Mexico | 5,988,951 | 0.5 | % | |||||||||
New York | ||||||||||||
City of New York NY, | ||||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,558,450 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
6.000%, 04/01/2020 (ETM)(Insured by NATL) | 3,715,000 | 3,849,446 | ||||||||||
5.000%, 11/15/2028 (Pre-refunded to 11/15/2023) | 210,000 | 244,356 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 1,525,000 | 1,869,513 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 2,835,000 | 3,408,520 | ||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | 6,500,000 | 7,782,645 | ||||||||||
4.000%, 06/15/2040 (Callable 12/15/2029) | 500,000 | 561,880 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,308,696 | ||||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,000,000 | 5,847,700 | ||||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 180,594 | ||||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,615,639 | ||||||||||
New York State Urban Development Corp.: | ||||||||||||
5.000%, 03/15/2022 | 2,015,000 | 2,213,840 | ||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,891,060 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 04/01/2028) | 4,520,000 | 4,923,636 | ||||||||||
Total New York | 52,255,975 | 4.4 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 10,435,000 | 10,806,382 | ||||||||||
6.400%, 01/01/2021 (ETM) | 1,817,000 | 1,903,616 | ||||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 12,170,000 | 12,821,703 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 525,000 | 558,637 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,000,000 | 1,135,810 | ||||||||||
Total North Carolina | 27,226,148 | 2.3 | % | |||||||||
North Dakota | ||||||||||||
County of Burleigh ND: | ||||||||||||
5.000%, 07/01/2025 (Pre-refunded to 07/01/2021) | 1,500,000 | 1,605,690 | ||||||||||
5.000%, 07/01/2029 (Pre-refunded to 07/01/2021) | 470,000 | 503,116 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 425,000 | 453,615 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.450%, 07/01/2037 (Callable 07/01/2026)(Insured by FHA) | 2,955,000 | 3,061,705 | ||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 1,280,000 | 1,343,616 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,250,000 | 1,385,038 | ||||||||||
Total North Dakota | 8,352,780 | 0.7 | % |
Ohio | ||||||||||||
Akron Bath Copley Joint Township Hospital District, | ||||||||||||
3.800%, 01/01/2027 (Pre-refunded to 01/01/2022) | 815,000 | 850,477 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.750%, 06/01/2031 (Pre-refunded to 06/01/2020) | 750,000 | 780,210 | ||||||||||
City of Oxford OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 40,000 | 45,172 | ||||||||||
Cleveland Municipal School District, | ||||||||||||
5.000%, 12/01/2020 (Insured by SD CRED PROG) | 2,015,000 | 2,117,644 | ||||||||||
County of Montgomery OH, | ||||||||||||
5.250%, 05/01/2029 (Pre-refunded to 11/12/2023) | 1,050,000 | 1,207,101 | ||||||||||
Lucas-Plaza Housing Development Corp., | ||||||||||||
0.000%, 06/01/2024 (ETM)(Insured by FHA) | 1,200,000 | 1,101,528 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
5.000%, 11/01/2028 (Callable 05/01/2020)(Insured by GNMA) | 130,000 | 131,382 | ||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 1,305,000 | 1,368,188 | ||||||||||
State of Ohio, | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,223,325 | ||||||||||
University of Akron, | ||||||||||||
5.000%, 01/01/2033 (Callable 07/01/2026) | 335,000 | 394,228 | ||||||||||
Total Ohio | 15,219,255 | 1.3 | % | |||||||||
Oregon | ||||||||||||
Clackamas County School District No. 12, | ||||||||||||
5.000%, 06/15/2037 (Callable 06/15/2027)(Insured by SCH BD GTY) | 825,000 | 991,048 | ||||||||||
County of Multnomah OR, | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2022) | 1,565,000 | 1,655,598 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 12/01/2045 (Callable 06/01/2025) | 3,145,000 | 3,328,857 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 3,105,000 | 3,323,809 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 400,000 | 402,824 | ||||||||||
4.000%, 01/01/2047 (Callable 07/01/2025) | 1,565,000 | 1,656,239 | ||||||||||
3.750%, 07/01/2048 (Callable 01/01/2027) | 1,580,000 | 1,636,422 | ||||||||||
Washington County School District No. 1, | ||||||||||||
5.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) | 600,000 | 725,196 | ||||||||||
Total Oregon | 13,719,993 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Centennial School District Bucks County, | ||||||||||||
4.000%, 12/15/2029 (Callable 12/15/2024)(Insured by ST) | 265,000 | 293,482 | ||||||||||
Commonwealth Financing Authority, | ||||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,500,000 | 1,630,770 | ||||||||||
Erie Sewer Authority, | ||||||||||||
5.125%, 06/01/2020 (ETM)(Insured by AMBAC) | 470,000 | 486,055 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.750%, 08/15/2041 (Pre-refunded to 08/15/2021) | 500,000 | 546,245 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 5,325,000 | 5,386,770 | ||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 1,285,000 | 1,334,138 | ||||||||||
Philadelphia Gas Works Co., | ||||||||||||
7.000%, 05/15/2020 (ETM)(Insured by NATL) | 380,000 | 398,316 | ||||||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||||||
5.000%, 05/15/2020 (ETM) | 1,575,000 | 1,624,503 | ||||||||||
5.250%, 05/15/2023 (Pre-refunded to 05/15/2020) | 2,790,000 | 2,883,688 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
0.000%, 09/01/2027 (ETM) | 925,000 | 788,202 | ||||||||||
South Fork Municipal Authority: | ||||||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2020) | 2,450,000 | 2,549,127 | ||||||||||
5.375%, 07/01/2035 (Pre-refunded to 07/01/2020)(Insured by AGC) | 1,290,000 | 1,339,949 | ||||||||||
Total Pennsylvania | 19,261,245 | 1.6 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highways & Transportation Authority, | ||||||||||||
5.250%, 07/01/2022 (ETM)(Insured by AGM) | 1,150,000 | 1,279,513 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,490,000 | 6,034,992 | ||||||||||
6.000%, 08/01/2026 (ETM) | 1,825,000 | 2,335,179 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,025,000 | 1,311,539 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,155,000 | 1,477,880 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,585,000 | 2,028,087 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 985,000 | 1,260,357 | ||||||||||
5.500%, 08/01/2027 (ETM)(Insured by AMBAC) | 6,500,000 | 8,278,595 | ||||||||||
Total Puerto Rico | 24,006,142 | 2.0 | % | |||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,882,800 | 0.5 | % |
South Carolina | ||||||||||||
Charleston Educational Excellence Finance Corp., | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2023) | 4,625,000 | 5,318,288 | ||||||||||
Piedmont Municipal Power Agency: | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 6,623,311 | ||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 5,590,000 | 6,671,833 | ||||||||||
Total South Carolina | 18,613,432 | 1.6 | % | |||||||||
South Dakota | ||||||||||||
Harrisburg School District No. 41-2, | ||||||||||||
2.375%, 08/01/2026 (Insured by ST) | 415,000 | 429,371 | ||||||||||
Sioux Falls School District No. 49-5, | ||||||||||||
1.375%, 08/01/2021 (Insured by ST) | 125,000 | 125,038 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 340,000 | 346,222 | ||||||||||
Total South Dakota | 900,631 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
0.000%, 06/01/2021 (ETM) | 1,315,000 | 1,277,680 | ||||||||||
4.875%, 11/01/2028 (ETM)(Insured by NATL) | 1,025,000 | 1,190,835 | ||||||||||
Rutherford County Health & Educational Facilities Board, | ||||||||||||
2.500%, 11/01/2021 (Mandatory Tender Date 11/01/2020) (1) | 1,850,000 | 1,871,830 | ||||||||||
Shelby County Health Educational & Housing Facilities Board, | ||||||||||||
5.500%, 08/15/2019 (ETM)(Insured by NATL) | 835,000 | 839,158 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 230,000 | 232,647 | ||||||||||
3.900%, 07/01/2042 (Callable 07/01/2027) | 500,000 | 524,510 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 1,255,000 | 1,350,242 | ||||||||||
3.650%, 07/01/2047 (Callable 01/01/2027) | 1,155,000 | 1,199,491 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 1,695,000 | 1,860,042 | ||||||||||
Total Tennessee | 10,346,435 | 0.9 | % | |||||||||
Texas | ||||||||||||
Amarillo Independent School District, | ||||||||||||
5.000%, 02/01/2026 (Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,584,926 | ||||||||||
Anna Independent School District, | ||||||||||||
5.000%, 08/15/2035 (Callable 08/15/2026)(PSF Guaranteed) | 910,000 | 1,079,642 | ||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2024 (PSF Guaranteed) | 1,025,000 | 1,137,955 | ||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,010,000 | 1,172,711 | ||||||||||
5.000%, 08/15/2026 (PSF Guaranteed) | 500,000 | 603,800 | ||||||||||
4.000%, 08/15/2027 (Callable 08/15/2026)(PSF Guaranteed) | 865,000 | 991,013 | ||||||||||
5.000%, 02/15/2028 (Callable 02/15/2025)(PSF Guaranteed) | 1,905,000 | 2,225,535 | ||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 850,000 | 965,090 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 555,000 | 637,568 | ||||||||||
5.000%, 08/15/2033 (Callable 08/15/2024)(PSF Guaranteed) | 1,460,000 | 1,656,764 | ||||||||||
Austin Community College District Public Facility Corp., | ||||||||||||
5.000%, 08/01/2033 (Callable 08/01/2025) | 750,000 | 879,645 | ||||||||||
Barbers Hill Independent School District, | ||||||||||||
4.000%, 02/15/2037 (Callable 08/15/2026)(PSF Guaranteed) | 860,000 | 946,086 | ||||||||||
Burleson Independent School District, | ||||||||||||
5.000%, 08/01/2025 (PSF Guaranteed) | 1,240,000 | 1,487,479 | ||||||||||
City of Austin TX, | ||||||||||||
5.000%, 11/15/2024 (Callable 11/15/2022) | 3,000,000 | 3,355,380 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2019 (ETM)(Insured by AGM) | 8,355,000 | 8,307,543 | ||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 1,835,000 | 2,141,372 | ||||||||||
0.000%, 12/01/2026 (ETM)(Insured by AGM) | 50,000 | 43,587 | ||||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 16,050,000 | 20,800,800 | ||||||||||
5.750%, 12/01/2032 (ETM)(Insured by AGM) | 6,715,000 | 9,684,306 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2024)(PSF Guaranteed) | 215,000 | 247,424 | ||||||||||
4.000%, 08/15/2031 (Callable 08/15/2026)(PSF Guaranteed) | 120,000 | 133,639 | ||||||||||
Conroe Independent School District, | ||||||||||||
5.000%, 02/15/2023 (Pre-refunded to 02/15/2021)(PSF Guaranteed) | 1,745,000 | 1,847,815 | ||||||||||
County of Bexar TX: | ||||||||||||
4.000%, 06/15/2030 (Callable 06/15/2026) | 150,000 | 169,073 | ||||||||||
4.000%, 06/15/2033 (Callable 06/15/2025) | 3,795,000 | 4,166,796 | ||||||||||
5.000%, 06/15/2036 (Callable 06/15/2026) | 2,120,000 | 2,507,345 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 10/01/2026 (Callable 10/01/2025) | 4,170,000 | 5,031,897 | ||||||||||
County of Montgomery TX, | ||||||||||||
5.000%, 03/01/2027 (Pre-refunded to 03/01/2022) | 665,000 | 727,005 | ||||||||||
Crowley Independent School District, | ||||||||||||
5.000%, 08/01/2036 (Callable 08/01/2025)(PSF Guaranteed) | 2,000,000 | 2,330,440 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 (Pre-refunded to 2/15/2022)(PSF Guaranteed) (1) | 335,000 | 366,179 | ||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 1,405,000 | 1,529,581 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 530,000 | 653,660 | ||||||||||
DeSoto Independent School District: | ||||||||||||
5.000%, 08/15/2032 (Callable 08/15/2025)(Insured by BAM) | 1,080,000 | 1,261,710 | ||||||||||
5.000%, 08/15/2032 (Callable 08/15/2024)(PSF Guaranteed) | 1,825,000 | 2,099,790 | ||||||||||
Ennis Independent School District, | ||||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,145,000 | 1,377,011 | ||||||||||
Forney Independent School District, | ||||||||||||
5.000%, 08/15/2034 (Callable 08/15/2025)(PSF Guaranteed) | 525,000 | 614,491 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,655,000 | 1,946,495 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 1,000,000 | 1,012,290 | ||||||||||
Godley Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,445,000 | 1,627,605 | ||||||||||
Harlingen Consolidated Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 2,810,000 | 3,303,408 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,445,000 | 1,735,936 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
7.000%, 01/01/2048 (Pre-refunded to 01/01/2023) | 3,800,000 | 4,520,936 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.500%, 10/01/2019 (ETM) | 1,540,000 | 1,555,677 | ||||||||||
5.750%, 07/01/2027 (ETM) | 4,850,000 | 5,928,398 | ||||||||||
Harris County Toll Road Authority, | ||||||||||||
5.000%, 08/15/2028 (Callable 02/15/2028) | 680,000 | 861,485 | ||||||||||
Hays Consolidated Independent School District, | ||||||||||||
4.000%, 02/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 880,000 | 981,411 | ||||||||||
Houston Higher Education Finance Corp.: | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,173,520 | ||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024)(PSF Guaranteed) | 1,795,000 | 2,008,013 | ||||||||||
Humble Independent School District, | ||||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,589,385 | ||||||||||
Iraan Sheffield Independent School District, | ||||||||||||
4.000%, 02/15/2027 (Callable 02/15/2026)(PSF Guaranteed) | 350,000 | 399,683 | ||||||||||
Irving Independent School District, | ||||||||||||
5.000%, 02/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,465,738 | ||||||||||
Kenedy Independent School District: | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2023)(PSF Guaranteed) | 100,000 | 107,532 | ||||||||||
4.000%, 08/15/2035 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 103,095 | ||||||||||
4.000%, 08/15/2036 (Callable 08/15/2021)(PSF Guaranteed) | 150,000 | 154,508 | ||||||||||
4.000%, 08/15/2037 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 102,906 | ||||||||||
4.000%, 08/15/2038 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 102,832 | ||||||||||
Killeen Independent School District, | ||||||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,194,487 | ||||||||||
Klein Independent School District, | ||||||||||||
4.000%, 08/01/2031 (Callable 08/01/2025)(PSF Guaranteed) | 1,000,000 | 1,110,920 | ||||||||||
La Porte Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 1,080,000 | 1,282,576 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2035 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 70,000 | 37,121 | ||||||||||
0.000%, 08/15/2037 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 680,000 | 335,968 | ||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 130,000 | 53,198 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,915,000 | 3,344,106 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 115,000 | 46,398 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,500,000 | 531,915 | ||||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 2,000,000 | 595,340 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 500,000 | 131,315 | ||||||||||
0.000%, 08/15/2048 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 625,000 | 154,356 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 1,930,000 | 2,221,970 | ||||||||||
Lubbock Housing Finance Corp., | ||||||||||||
8.000%, 10/01/2021 (ETM) | 1,980,000 | 2,268,922 | ||||||||||
Melissa Independent School District, | ||||||||||||
5.000%, 08/01/2036 (Callable 08/01/2026)(PSF Guaranteed) | 1,020,000 | 1,207,619 | ||||||||||
Mesquite Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,425,000 | 1,675,216 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 2,615,000 | 3,146,577 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,500,000 | 1,804,920 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023 (ETM) | 200,000 | 187,616 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 1,127,130 | ||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,030,000 | 1,194,089 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2020 (PSF Guaranteed) | 355,000 | 365,011 | ||||||||||
4.000%, 08/15/2022 (PSF Guaranteed) | 215,000 | 230,562 | ||||||||||
North East Independent School District, | ||||||||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 2,930,000 | 3,400,206 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
0.000%, 09/01/2037 (Pre-refunded to 09/01/2031) | 2,685,000 | 1,284,558 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 6,425,000 | 1,959,111 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 2,505,000 | 3,065,268 | ||||||||||
0.000%, 09/01/2045 (Pre-refunded to 09/01/2031) | 770,000 | 1,025,717 | ||||||||||
Northside Independent School District, | ||||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,000,000 | 1,203,930 | ||||||||||
Pflugerville Independent School District, | ||||||||||||
5.000%, 02/15/2025 (Callable 02/15/2024)(PSF Guaranteed) | 1,020,000 | 1,178,936 | ||||||||||
Port Arthur Independent School District, | ||||||||||||
4.000%, 02/15/2036 (Callable 08/15/2026)(PSF Guaranteed) | 480,000 | 527,933 | ||||||||||
Princeton Independent School District, | ||||||||||||
5.000%, 02/15/2032 (Callable 02/15/2025)(PSF Guaranteed) | 560,000 | 651,571 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2031 (Callable 02/15/2028)(PSF Guaranteed) | 1,020,000 | 1,269,767 | ||||||||||
Rockwall Independent School District, | ||||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 745,000 | 772,721 | ||||||||||
San Angelo Independent School District, | ||||||||||||
5.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 1,500,000 | 1,712,280 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2026 (Pre-refunded to 02/15/2021) | 700,000 | 740,082 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,053,001 | ||||||||||
Socorro Independent School District, | ||||||||||||
4.000%, 08/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 900,000 | 1,008,261 | ||||||||||
Tarrant County Health Facilities Development Corp., | ||||||||||||
6.000%, 09/01/2024 (ETM) | 5,340,000 | 6,011,932 | ||||||||||
Taylor Independent School District, | ||||||||||||
4.000%, 02/15/2033 (Callable 02/15/2026)(PSF Guaranteed) | 680,000 | 755,018 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
3.350%, 09/01/2033 (Callable 09/01/2027)(Insured by GNMA) | 1,415,000 | 1,452,851 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 540,000 | 591,505 | ||||||||||
Texas State Public Finance Authority, | ||||||||||||
6.200%, 02/15/2040 (Pre-refunded to 02/15/2020) | 395,000 | 406,522 | ||||||||||
Texas Water Development Board: | ||||||||||||
4.000%, 10/15/2033 (Callable 10/15/2027) | 600,000 | 677,970 | ||||||||||
4.000%, 10/15/2034 (Callable 04/15/2028) | 2,000,000 | 2,256,840 | ||||||||||
4.000%, 10/15/2034 (Callable 10/15/2028) | 975,000 | 1,106,586 | ||||||||||
Travis County Health Facilities Development Corp., | ||||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 15,000 | 16,254 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 600,000 | 646,926 | ||||||||||
Wylie Independent School District, | ||||||||||||
6.750%, 08/15/2023 (PSF Guaranteed) | 1,010,000 | 1,225,968 | ||||||||||
Ysleta Independent School District: | ||||||||||||
5.000%, 08/15/2023 (Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,097,581 | ||||||||||
5.000%, 08/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,809,690 | ||||||||||
Total Texas | 179,602,228 | 15.2 | % |
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 | 4,174,911 | ||||||||||
5.000%, 06/01/2023 (Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 1,750,000 | 1,873,357 | ||||||||||
Timpanogos Special Service District, | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2024) | 425,000 | 467,955 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2024 (Insured by UT CSCE) | 235,000 | 267,959 | ||||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 500,000 | 570,305 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 1,725,000 | 1,830,967 | ||||||||||
Total Utah | 9,185,454 | 0.8 | % | |||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency: | ||||||||||||
3.600%, 11/01/2036 (Callable 11/01/2025) | 1,590,000 | 1,650,722 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 1,090,000 | 1,159,128 | ||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 695,000 | 744,484 | ||||||||||
Total Vermont | 3,554,334 | 0.3 | % | |||||||||
Virginia | ||||||||||||
Danville Industrial Development Authority, | ||||||||||||
5.250%, 10/01/2028 (ETM)(Insured by AMBAC) | 1,500,000 | 1,692,315 | ||||||||||
Virginia Housing Development Authority: | ||||||||||||
3.700%, 03/01/2023 (Callable 03/01/2021) | 75,000 | 77,628 | ||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 7,000,000 | 7,189,770 | ||||||||||
Total Virginia | 8,959,713 | 0.8 | % | |||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
5.000%, 11/01/2032 (Callable 11/01/2025) | 2,725,000 | 3,225,174 | ||||||||||
County of King WA Sewer Revenue, | ||||||||||||
5.000%, 07/01/2034 (Callable 01/01/2025) | 705,000 | 815,058 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2034 (Callable 07/01/2027) | 1,090,000 | 1,327,140 | ||||||||||
Pierce County School District No. 3, | ||||||||||||
5.000%, 12/01/2033 (Callable 06/01/2027)(Insured by SCH BD GTY) | 1,500,000 | 1,820,850 | ||||||||||
Snohomish County Public Utility District No. 1, | ||||||||||||
6.800%, 01/01/2020 (Callable 07/29/2019)(ETM)(Insured by NATL) | 1,060,000 | 1,089,012 | ||||||||||
Snohomish County School District No. 201, | ||||||||||||
4.000%, 12/01/2021 (Callable 12/01/2020)(Insured by SCH BD GTY) | 4,500,000 | 4,672,080 | ||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,040,000 | 5,666,371 | ||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 6,005,000 | 6,974,327 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2023) | 2,755,000 | 3,110,781 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2026) | 975,000 | 1,150,597 | ||||||||||
Thurston & Pierce Counties Community Schools, | ||||||||||||
4.250%, 12/01/2021 (Callable 12/01/2020)(Insured by SCH BD GTY) | 2,755,000 | 2,870,738 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
6.125%, 11/15/2031 (Pre-refunded to 05/15/2021) | 620,000 | 674,337 | ||||||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 4,845,000 | 5,280,759 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
2.550%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 6,250,000 | 6,323,625 | ||||||||||
5.000%, 01/01/2023 (ETM) | 500,000 | 533,575 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 625,000 | 680,581 | ||||||||||
Total Washington | 46,215,005 | 3.9 | % |
Wisconsin | ||||||||||||
City of Milwaukee WI, | ||||||||||||
3.000%, 06/01/2033 (Callable 06/01/2026) | 2,500,000 | 2,532,550 | ||||||||||
City of Oshkosh WI Storm Water Utility Revenue, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2023) | 1,280,000 | 1,370,982 | ||||||||||
Public Finance Authority, | ||||||||||||
5.000%, 03/01/2025 | 525,000 | 622,592 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
5.500%, 12/15/2026 (Insured by NATL) | 815,000 | 999,532 | ||||||||||
0.000%, 12/15/2027 (ETM)(Insured by NATL) | 135,000 | 115,831 | ||||||||||
0.000%, 12/15/2029 (ETM)(Insured by NATL) | 235,000 | 192,054 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 2,150,000 | 2,448,872 | ||||||||||
4.000%, 05/01/2031 (Callable 05/01/2022) | 245,000 | 259,925 | ||||||||||
5.000%, 05/01/2032 (Callable 05/01/2023) | 5,000,000 | 5,614,750 | ||||||||||
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | 5,305,000 | 6,217,036 | ||||||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,500,000 | 12,305,160 | ||||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,346,062 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 2,295,000 | 2,524,867 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 275,000 | 330,930 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 2,400,000 | 2,650,536 | ||||||||||
Wisconsin Center District: | ||||||||||||
4.000%, 12/15/2029 (Callable 06/15/2026) | 1,435,000 | 1,615,997 | ||||||||||
5.000%, 12/15/2030 (Callable 06/15/2026) | 775,000 | 925,133 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
4.000%, 02/15/2033 (Pre-refunded to 08/15/2025) | 100,000 | 113,999 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 250,000 | 284,998 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2027) | 2,000,000 | 2,302,420 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 1,505,000 | 1,571,084 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 1,680,000 | 1,787,638 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 2,230,000 | 2,444,615 | ||||||||||
Total Wisconsin | 58,577,563 | 5.0 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 680,000 | 719,508 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 3,165,000 | 3,435,006 | ||||||||||
Total Wyoming | 4,154,514 | 0.4 | % | |||||||||
Total Long-Term Investments (Cost $1,123,086,456) | 1,165,528,938 | 98.9 | % | |||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENT | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80% (3) | 2,917,344 | 2,917,344 | ||||||||||
Total Short-Term Investment (Cost $2,917,344) | 2,917,344 | 0.2 | % | |||||||||
Total Investments (Cost $1,126,003,800) | 1,168,446,282 | 99.1 | % | |||||||||
Liabilities in Excess of Other Assets | 10,396,548 | 0.9 | % | |||||||||
TOTAL NET ASSETS | $ | 1,178,842,830 | 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. | |
FHA | Federal Housing Administration | |
FNMA | Fannie Mae | |
GNMA | Ginnie Mae | |
NATL | National Public Finance Guarantee Corp. | |
Q-SBLF | Qualified School Building Loan Fund | |
SD CRED PROG | State Credit Enhancement Program | |
UT CSCE | Utah Charter School Finance Authority | |
(1) | 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, 2019. | |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. | |
(3) | 7-Day Yield. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 1,165,528,938 | $ | – | $ | 1,165,528,938 | ||||||||
Total Long-Term Investments | – | 1,165,528,938 | – | 1,165,528,938 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,917,344 | – | – | 2,917,344 | ||||||||||||
Total Short-Term Investment | 2,917,344 | – | – | 2,917,344 | ||||||||||||
Total Investments | $ | 2,917,344 | $ | 1,165,528,938 | $ | – | $ | 1,168,446,282 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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, 2019 (Unaudited) | ||||||||||||
Principal | Market | % 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 | $ | 375,388 | ||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 130,000 | 135,766 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 1,005,000 | 1,071,923 | ||||||||||
City of Birmingham AL: | ||||||||||||
5.000%, 03/01/2037 (Callable 03/01/2023) | 30,000 | 33,032 | ||||||||||
0.000%, 03/01/2040 (Callable 09/01/2025) | 185,000 | 210,153 | ||||||||||
5.000%, 03/01/2043 (Callable 03/01/2023) | 285,000 | 312,645 | ||||||||||
0.000%, 03/01/2045 (Callable 09/01/2025) | 1,175,000 | 1,328,361 | ||||||||||
City of Pell City AL Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,000,000 | 1,072,530 | ||||||||||
County of Jefferson AL: | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 1,000,000 | 847,970 | ||||||||||
5.000%, 09/15/2029 (Callable 03/15/2027) | 570,000 | 689,586 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 200,000 | 212,120 | ||||||||||
UAB Medicine Finance Authority, | ||||||||||||
4.000%, 09/01/2038 (Callable 09/01/2029) | 500,000 | 553,755 | ||||||||||
Total Alabama | 6,843,229 | 1.5 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
5.000%, 12/01/2029 (Callable 06/01/2024) | 225,000 | 257,220 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020 (Callable 12/01/2019) | 1,250,000 | 1,256,938 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | 500,000 | 564,785 | ||||||||||
City of Valdez AK: | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 457,524 | ||||||||||
5.000%, 06/30/2029 (Callable 06/30/2022) | 1,000,000 | 1,102,110 | ||||||||||
Total Alaska | 3,638,577 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Apache County School District No. 10, | ||||||||||||
4.000%, 07/01/2020 (Callable 07/01/2019) | 100,000 | 100,000 | ||||||||||
Arizona Health Facilities Authority, | ||||||||||||
3.030%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/09/2019)(Mandatory Tender Date 02/05/2020) (2) | 115,000 | 115,171 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.375%, 07/01/2021 | 530,000 | 534,028 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 115,000 | 122,256 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 100,000 | 106,310 | ||||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 200,000 | 214,748 | ||||||||||
4.000%, 07/01/2025 (Insured by SD CRED PROG) | 100,000 | 108,395 | ||||||||||
4.000%, 07/01/2026 (Insured by SD CRED PROG) | 100,000 | 109,277 | ||||||||||
5.000%, 05/01/2028 | 270,000 | 317,218 | ||||||||||
4.625%, 08/01/2028 | 1,160,000 | 1,226,491 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2029 (Callable 07/01/2024) | 150,000 | 173,514 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 400,000 | 413,724 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2032 (Callable 07/01/2025) | 500,000 | 587,645 | ||||||||||
Greater Arizona Development Authority, | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2019) | 710,000 | 712,102 | ||||||||||
Kyrene Elementary School District No. 28, | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2025) | 1,500,000 | 1,649,610 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 165,000 | 163,241 | ||||||||||
Town of Marana AZ: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2027) | 350,000 | 387,097 | ||||||||||
4.000%, 07/01/2037 (Callable 07/01/2027) | 500,000 | 551,140 | ||||||||||
Total Arizona | 7,591,967 | 1.7 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2023) | 1,025,000 | 1,110,690 | ||||||||||
City of Conway AR, | ||||||||||||
5.000%, 10/01/2035 (Callable 04/01/2024) | 185,000 | 211,309 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 985,000 | 987,512 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2030 (Callable 12/01/2023)(Insured by BAM) | 540,000 | 587,595 | ||||||||||
City of Little Rock AR: | ||||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 1,320,000 | 1,367,916 | ||||||||||
4.000%, 10/01/2031 (Callable 10/01/2025) | 105,000 | 115,919 | ||||||||||
4.000%, 10/01/2033 (Callable 10/01/2025) | 210,000 | 230,425 | ||||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 55,000 | 55,154 | ||||||||||
City of Lonoke AR: | ||||||||||||
5.000%, 06/01/2025 | 210,000 | 248,046 | ||||||||||
4.000%, 06/01/2028 (Callable 06/01/2025) | 50,000 | 55,642 | ||||||||||
City of Magnolia AR, | ||||||||||||
3.200%, 08/01/2033 (Callable 08/01/2024)(Insured by BAM) | 1,085,000 | 1,113,601 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 340,000 | 345,675 | ||||||||||
City of Maumelle AR: | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2025) | 25,000 | 28,171 | ||||||||||
4.000%, 08/01/2028 (Callable 08/01/2025) | 290,000 | 324,458 | ||||||||||
4.000%, 08/01/2029 (Callable 08/01/2025) | 700,000 | 781,431 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2025) | 325,000 | 360,652 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 880,000 | 913,651 | ||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,925,000 | 2,004,464 | ||||||||||
City of Russellville AR, | ||||||||||||
4.000%, 07/01/2028 (Callable 07/01/2025)(Insured by AGM) | 325,000 | 362,469 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 680,000 | 706,880 | ||||||||||
City of Springdale AR, | ||||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 1,415,000 | 1,444,856 | ||||||||||
University of Central Arkansas: | ||||||||||||
4.000%, 11/01/2027 (Callable 11/01/2025)(Insured by BAM) | 340,000 | 380,882 | ||||||||||
4.000%, 11/01/2028 (Callable 11/01/2025)(Insured by BAM) | 250,000 | 278,482 | ||||||||||
4.000%, 11/01/2031 (Callable 11/01/2025)(Insured by BAM) | 885,000 | 967,562 | ||||||||||
Total Arkansas | 14,983,442 | 3.3 | % |
California | ||||||||||||
Acalanes Union High School District: | ||||||||||||
0.000%, 08/01/2028 | 50,000 | 49,663 | ||||||||||
0.000%, 08/01/2032 | 340,000 | 371,012 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2029) | 100,000 | 103,988 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2029) | 125,000 | 128,191 | ||||||||||
Bay Area Toll Authority, | ||||||||||||
2.280%, 04/01/2045 (SIFMA Municipal Swap Index + 1.100%) (Callable 10/01/2023)(Mandatory Tender Date 04/01/2024) (2) | 650,000 | 667,843 | ||||||||||
Beaumont Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2026)(Insured by AGM) | 90,000 | 110,121 | ||||||||||
Burbank Unified School District, | ||||||||||||
0.000%, 02/01/2038 (Callable 08/01/2028) | 200,000 | 194,722 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 300,000 | 307,404 | ||||||||||
1.000%, 08/15/2053 (Mandatory Tender Date 08/15/2019) (1) | 1,970,000 | 1,968,266 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
5.000%, 08/01/2023 | 400,000 | 434,024 | ||||||||||
5.000%, 08/01/2024 | 400,000 | 439,012 | ||||||||||
5.000%, 10/01/2026 | 300,000 | 362,475 | ||||||||||
California Public Finance Authority: | ||||||||||||
5.000%, 10/15/2020 | 180,000 | 186,300 | ||||||||||
5.000%, 10/15/2021 | 200,000 | 212,280 | ||||||||||
California Statewide Communities Development Authority, | ||||||||||||
6.200%, 04/01/2028 (Insured by NATL) (1)(6) | 700,000 | 700,000 | ||||||||||
Campbell Union School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026) | 360,000 | 399,488 | ||||||||||
Carlsbad Unified School District, | ||||||||||||
0.000%, 08/01/2031 | 105,000 | 128,743 | ||||||||||
Chawanakee Unified School District: | ||||||||||||
0.000%, 08/01/2026 (Insured by BAM) | 110,000 | 123,183 | ||||||||||
0.000%, 08/01/2027 (Callable 08/01/2026)(Insured by BAM) | 100,000 | 111,856 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2026)(Insured by BAM) | 75,000 | 83,409 | ||||||||||
0.000%, 08/01/2029 (Callable 08/01/2026)(Insured by BAM) | 80,000 | 88,578 | ||||||||||
City of Redding CA, | ||||||||||||
3.674%, 07/01/2022 (ETM)(Insured by NATL) (1)(6) | 85,000 | 85,000 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026)(Insured by AGM) | 300,000 | 327,993 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
6.800%, 08/01/2039 (Callable 08/01/2027)(Insured by AGM) | 890,000 | 1,206,546 | ||||||||||
Covina-Valley Unified School District, | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2019)(Insured by AGM) | 180,000 | 91,656 | ||||||||||
Denair Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Insured by AGM) | 130,000 | 156,408 | ||||||||||
Desert Hot Springs Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2027)(Insured by BAM) | 300,000 | 370,308 | ||||||||||
East Bay Municipal Utility District, | ||||||||||||
5.000%, 06/01/2033 (Callable 06/01/2024) | 475,000 | 556,619 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Callable 08/01/2028)(Insured by AGM) | 245,000 | 265,727 | ||||||||||
Enterprise Elementary School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2031) | 30,000 | 36,700 | ||||||||||
Escondido Union High School District, | ||||||||||||
0.000%, 08/01/2034 (Insured by AGC) | 165,000 | 245,607 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
5.000%, 04/01/2027 (Insured by AGM) | 305,000 | 376,050 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 365,000 | 398,332 | ||||||||||
Imperial Community College District, | ||||||||||||
0.000%, 08/01/2040 (Callable 08/01/2030)(Insured by AGM) | 140,000 | 186,455 | ||||||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2025)(Insured by BAM) | 275,000 | 329,634 | ||||||||||
Long Beach Bond Finance Authority: | ||||||||||||
5.250%, 11/15/2023 | 90,000 | 102,593 | ||||||||||
5.000%, 11/15/2029 | 50,000 | 62,196 | ||||||||||
Los Alamitos Unified School District, | ||||||||||||
0.000%, 08/01/2043 (Callable 08/01/2031) | 300,000 | 287,889 | ||||||||||
Mount Diablo Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2025)(Insured by AGM) | 30,000 | 30,832 | ||||||||||
Northern California Gas Authority, | ||||||||||||
2.366%, 07/01/2019 (3 Month LIBOR USD + 0.630%) (2) | 295,000 | 295,000 | ||||||||||
Norwalk-La Mirada Unified School District, | ||||||||||||
0.000%, 08/01/2029 (Insured by AGC) | 210,000 | 240,868 | ||||||||||
Oak Park Unified School District: | ||||||||||||
0.000%, 08/01/2031 | 110,000 | 137,309 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2031)(Insured by AGM) | 110,000 | 142,583 | ||||||||||
Oceanside Unified School District, | ||||||||||||
0.000%, 08/01/2051 (Pre-refunded to 08/01/2022) | 1,000,000 | 152,760 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2019)(Insured by BAM) | 300,000 | 300,786 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2019)(Insured by BAM) | 300,000 | 300,777 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2019)(Insured by BAM) | 640,000 | 641,638 | ||||||||||
Palomar Community College District, | ||||||||||||
0.000%, 08/01/2039 (Callable 08/01/2035) | 75,000 | 83,153 | ||||||||||
Redondo Beach Unified School District, | ||||||||||||
6.375%, 08/01/2034 (Callable 08/01/2026) | 590,000 | 770,416 | ||||||||||
Richmond Joint Powers Financing Authority, | ||||||||||||
5.500%, 11/01/2029 (Callable 11/01/2025) | 300,000 | 358,128 | ||||||||||
Rio Hondo Community College District: | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) | 145,000 | 168,261 | ||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) | 285,000 | 335,562 | ||||||||||
Sacramento City Unified School District: | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 505,000 | 576,326 | ||||||||||
5.000%, 07/01/2031 (Callable 07/01/2022)(Insured by AGM) | 500,000 | 545,620 | ||||||||||
San Diego Unified School District, | ||||||||||||
4.000%, 07/01/2032 (Callable 07/01/2026) | 300,000 | 341,217 | ||||||||||
San Leandro Unified School District, | ||||||||||||
0.000%, 08/01/2039 (Callable 08/01/2028)(Insured by AGC) | 1,350,000 | 1,219,158 | ||||||||||
San Mateo Foster City School District, | ||||||||||||
0.000%, 08/01/2026 | 75,000 | 76,523 | ||||||||||
Santa Barbara Unified School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2033) | 330,000 | 410,830 | ||||||||||
Santa Paula Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2027) | 80,000 | 81,204 | ||||||||||
Savanna School District, | ||||||||||||
0.000%, 08/01/2047 (Callable 08/01/2029)(Insured by AGM) | 500,000 | 487,760 | ||||||||||
School District of Belmont-Redwood Shores CA, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) | 100,000 | 112,491 | ||||||||||
Silicon Valley Clean Water, | ||||||||||||
5.000%, 02/01/2039 (Callable 02/01/2024) | 640,000 | 727,469 | ||||||||||
Solano County Community College District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2025) | 90,000 | 88,059 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2025) | 80,000 | 77,937 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2025) | 100,000 | 96,268 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2028) | 325,000 | 318,656 | ||||||||||
State of California: | ||||||||||||
5.000%, 08/01/2031 (Callable 02/01/2025) | 450,000 | 528,116 | ||||||||||
3.000%, 12/01/2032 (Callable 07/29/2019)(Mandatory Tender Date 12/01/2019) (1) | 300,000 | 300,939 | ||||||||||
Summerville Union High School District, | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2028)(Insured by BAM) | 25,000 | 24,379 | ||||||||||
Temecula Valley Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2024)(Insured by BAM) | 200,000 | 219,668 | ||||||||||
West Hills Community College District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2027)(Insured by AGM) | 50,000 | 51,676 | ||||||||||
Westside Union School District, | ||||||||||||
0.000%, 08/01/2028 | 160,000 | 131,758 | ||||||||||
Wiseburn School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2031)(Insured by AGM) | 50,000 | 49,788 | ||||||||||
Total California | 22,680,186 | 5.0 | % | |||||||||
Colorado | ||||||||||||
Board of Governors of Colorado State University System, | ||||||||||||
5.000%, 03/01/2032 (Callable 03/01/2027) | 125,000 | 149,574 | ||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST) | 2,000,000 | 2,321,340 | ||||||||||
Bromley Park Metropolitan District, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 225,000 | 255,841 | ||||||||||
Canterberry Crossing Metropolitan District II: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 235,000 | 291,842 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 250,000 | 308,835 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2028)(Insured by AGM) | 530,000 | 652,456 | ||||||||||
City & County of Denver Co.: | ||||||||||||
0.000%, 08/01/2030 (Callable 08/01/2026) | 500,000 | 370,605 | ||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) | 150,000 | 106,198 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2026) | 335,000 | 226,591 | ||||||||||
City of Commerce City CO: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by AGM) | 100,000 | 123,837 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2027)(Insured by AGM) | 310,000 | 380,246 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2027)(Insured by AGM) | 500,000 | 609,535 | ||||||||||
City of Fort Lupton CO: | ||||||||||||
5.000%, 12/01/2027 (Insured by AGM) | 75,000 | 93,632 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2027)(Insured by AGM) | 210,000 | 261,011 | ||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by AGM) | 250,000 | 309,535 | ||||||||||
5.000%, 12/01/2030 (Callable 12/01/2027)(Insured by AGM) | 350,000 | 430,689 | ||||||||||
City of Sheridan CO, | ||||||||||||
5.000%, 12/01/2042 (Callable 12/01/2025) | 1,130,000 | 1,304,777 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 415,092 | ||||||||||
4.000%, 11/15/2021 | 475,000 | 495,297 | ||||||||||
4.000%, 11/15/2022 | 445,000 | 471,633 | ||||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,413,030 | ||||||||||
4.000%, 04/01/2028 | 540,000 | 601,582 | ||||||||||
5.000%, 06/01/2029 (Callable 06/01/2024) | 120,000 | 135,050 | ||||||||||
5.000%, 08/15/2030 (Callable 08/15/2024) | 500,000 | 567,845 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 40,000 | 44,754 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 12/01/2023 | 50,000 | 56,558 | ||||||||||
5.000%, 02/01/2025 (Callable 02/01/2021) | 100,000 | 105,407 | ||||||||||
5.000%, 06/01/2027 | 750,000 | 900,623 | ||||||||||
5.500%, 07/01/2034 (Callable 07/29/2019) | 75,000 | 75,236 | ||||||||||
1.875%, 07/01/2039 (Mandatory Tender Date 11/06/2019) (1) | 375,000 | 374,947 | ||||||||||
5.250%, 01/01/2040 (Callable 01/01/2023) | 200,000 | 220,832 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
1.850%, 04/01/2020 (Mandatory Tender Date 10/01/2019) (1) | 1,500,000 | 1,501,605 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 430,000 | 459,111 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028) | 2,500,000 | 2,753,475 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by ST) | 125,000 | 154,331 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 50,000 | 49,913 | ||||||||||
Denver City & County School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 03/01/2021) | 395,000 | 416,527 | ||||||||||
5.000%, 12/01/2031 (Callable 03/01/2021) | 595,000 | 627,130 | ||||||||||
Denver Health & Hospital Authority: | ||||||||||||
5.000%, 12/01/2025 | 400,000 | 468,448 | ||||||||||
5.000%, 12/01/2027 | 340,000 | 407,432 | ||||||||||
Denver Urban Renewal Authority, | ||||||||||||
5.000%, 12/01/2019 | 50,000 | 50,746 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
2.637%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 500,000 | 503,885 | ||||||||||
El Paso County School District No. 3, | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2022)(Insured by ST) | 250,000 | 278,128 | ||||||||||
Glen Metropolitan District No. 1, | ||||||||||||
2.500%, 12/01/2025 (Insured by BAM) | 130,000 | 132,721 | ||||||||||
Grand River Hospital District: | ||||||||||||
5.250%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 350,000 | 437,007 | ||||||||||
5.250%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 1,190,000 | 1,469,007 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027) | 500,000 | 617,040 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 238,000 | 240,097 | ||||||||||
State of Colorado, | ||||||||||||
4.000%, 03/15/2030 (Callable 03/15/2022) | 175,000 | 185,407 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2027 | 230,000 | 272,918 | ||||||||||
Vista Ridge Metropolitan District: | ||||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 600,000 | 703,062 | ||||||||||
5.000%, 12/01/2026 (Insured by BAM) | 460,000 | 549,429 | ||||||||||
Total Colorado | 26,351,849 | 5.8 | % |
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2023)(Insured by BAM) | 550,000 | 610,979 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 205,000 | 218,093 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,500,000 | 1,659,315 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 135,000 | 149,098 | ||||||||||
5.000%, 07/01/2030 (Callable 07/01/2020) | 50,000 | 51,554 | ||||||||||
5.000%, 07/01/2034 (Callable 07/01/2022) | 40,000 | 43,126 | ||||||||||
State of Connecticut: | ||||||||||||
5.000%, 04/15/2024 | 175,000 | 201,794 | ||||||||||
5.000%, 09/01/2027 (Callable 09/01/2026) | 1,000,000 | 1,205,810 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 685,000 | 775,845 | ||||||||||
5.000%, 07/15/2030 (Callable 07/15/2023) | 225,000 | 251,075 | ||||||||||
5.000%, 10/15/2032 (Callable 10/15/2022) | 960,000 | 1,048,051 | ||||||||||
5.000%, 09/01/2033 (Callable 09/01/2026) | 300,000 | 352,911 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2019 (Insured by BAM) | 250,000 | 250,680 | ||||||||||
Town of Stafford CT, | ||||||||||||
2.500%, 07/30/2019 | 100,000 | 100,059 | ||||||||||
University of Connecticut: | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,000,000 | 1,196,660 | ||||||||||
5.000%, 02/15/2031 (Callable 02/15/2021) | 100,000 | 104,684 | ||||||||||
Total Connecticut | 8,219,734 | 1.8 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 2,000,000 | 2,295,420 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 825,000 | 828,902 | ||||||||||
3.500%, 06/15/2023 | 335,000 | 346,142 | ||||||||||
District of Columbia Water & Sewer Authority, | ||||||||||||
5.000%, 10/01/2037 (Callable 04/01/2026) | 275,000 | 322,735 | ||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
0.000%, 10/01/2029 (Insured by AGC) | 110,000 | 82,677 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 250,000 | 293,060 | ||||||||||
6.500%, 10/01/2041 (Callable 10/01/2026)(Insured by AGC) | 305,000 | 392,517 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028) | 605,000 | 798,201 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028)(Insured by AGM) | 875,000 | 1,159,506 | ||||||||||
Total District of Columbia | 6,519,160 | 1.4 | % |
Florida | ||||||||||||
Capital Trust Agency, Inc., | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2026) | 400,000 | 448,264 | ||||||||||
City of Fort Myers FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 475,000 | 565,696 | ||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 1,000,000 | 1,076,590 | ||||||||||
4.000%, 12/01/2038 (Callable 12/01/2025) | 500,000 | 537,220 | ||||||||||
City of Jacksonville FL: | ||||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,750,000 | 1,750,000 | ||||||||||
1.190%, 08/01/2036 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
City of Orlando FL: | ||||||||||||
5.000%, 10/01/2027 (Pre-refunded to 10/01/2020) | 100,000 | 104,548 | ||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 775,000 | 929,938 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 560,000 | 650,726 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 1,250,000 | 1,470,912 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 500,000 | 575,700 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2026) | 120,000 | 145,919 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 35,000 | 41,882 | ||||||||||
0.000%, 10/01/2034 (Callable 10/01/2029)(Insured by AGC) | 195,000 | 272,744 | ||||||||||
0.000%, 10/01/2039 (Callable 10/01/2029)(Insured by AGC) | 270,000 | 375,362 | ||||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,606,640 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 495,000 | 500,292 | ||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 2,735,000 | 2,847,162 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 290,000 | 305,753 | ||||||||||
Florida Municipal Loan Council, | ||||||||||||
5.000%, 10/01/2026 | 90,000 | 109,968 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
4.000%, 10/01/2030 (Callable 10/01/2027) | 500,000 | 571,815 | ||||||||||
Highlands County Health Facilities Authority: | ||||||||||||
1.190%, 11/15/2035 (Callable 07/01/2019)(Optional Put Date 07/05/2019) (1) | 1,500,000 | 1,500,000 | ||||||||||
1.190%, 11/15/2037 (Callable 06/28/2019)(Optional Put Date 07/05/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
Hillsborough County Aviation Authority, | ||||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 500,000 | 574,705 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 700,000 | 862,295 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 660,000 | 797,867 | ||||||||||
Manatee County School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 104,612 | ||||||||||
Martin County Health Facilities Authority: | ||||||||||||
3.370%, 11/15/2021 (ETM) | 295,000 | 308,355 | ||||||||||
5.000%, 11/15/2023 (ETM) | 260,000 | 299,533 | ||||||||||
Miami Health Facilities Authority: | ||||||||||||
5.000%, 07/01/2020 | 140,000 | 143,832 | ||||||||||
5.000%, 07/01/2021 | 250,000 | 263,275 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2020 | 350,000 | 354,554 | ||||||||||
5.000%, 01/15/2021 | 365,000 | 377,826 | ||||||||||
Monroe County School District, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 239,684 | ||||||||||
Orange County Convention Center, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 1,000,000 | 1,198,860 | ||||||||||
Orange County School Board: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2025) | 990,000 | 1,161,072 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 150,000 | 178,704 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
4.750%, 07/01/2025 (Pre-refunded to 07/01/2020)(Insured by AGM) | 130,000 | 134,429 | ||||||||||
Pinellas County Health Facilities Authority, | ||||||||||||
3.576%, 11/15/2023 (Insured by NATL)(1)(6) | 225,000 | 225,000 | ||||||||||
Pinellas County School Board, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2027) | 515,000 | 617,923 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
4.000%, 06/01/2035 (Callable 06/01/2027) | 1,000,000 | 1,109,250 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 11/01/2030 (Callable 11/01/2024) | 185,000 | 213,621 | ||||||||||
Village Community Development District No. 7, | ||||||||||||
4.000%, 05/01/2021 | 225,000 | 232,286 | ||||||||||
Total Florida | 28,784,814 | 6.4 | % | |||||||||
Georgia | ||||||||||||
Barnesville-Lamar County Industrial Development Authority, | ||||||||||||
5.000%, 06/01/2028 | 175,000 | 219,468 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 500,000 | 505,330 | ||||||||||
2.350%, 10/01/2032 (Mandatory Tender Date 12/11/2020) (1) | 100,000 | 100,978 | ||||||||||
1.270%, 07/01/2049 (Optional Put Date 06/28/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
1.850%, 12/01/2049 (Mandatory Tender Date 08/22/2019) (1) | 140,000 | 140,029 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2025 (Callable 01/01/2020) | 225,000 | 228,931 | ||||||||||
5.500%, 11/01/2027 (Insured by AGM) | 145,000 | 179,994 | ||||||||||
5.000%, 01/01/2028 (Callable 01/01/2020) | 1,000,000 | 1,017,320 | ||||||||||
City of Dahlonega GA, | ||||||||||||
4.000%, 09/01/2021 (Insured by AGM) | 150,000 | 157,502 | ||||||||||
Gainesville & Hall County Hospital Authority, | ||||||||||||
5.000%, 02/15/2029 (Callable 02/15/2027) | 475,000 | 569,159 | ||||||||||
Georgia Housing & Finance Authority: | ||||||||||||
3.600%, 12/01/2033 (Callable 06/01/2027) | 450,000 | 480,096 | ||||||||||
4.000%, 12/01/2039 (Callable 06/01/2026) | 1,000,000 | 1,062,010 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
2.440%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 2,000,000 | 1,982,600 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 500,000 | 554,655 | ||||||||||
Monroe County Development Authority: | ||||||||||||
2.350%, 10/01/2048 (Mandatory Tender Date 12/11/2020) (1) | 190,000 | 191,858 | ||||||||||
2.050%, 07/01/2049 (Mandatory Tender Date 11/19/2021) (1) | 750,000 | 751,905 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019 (Callable 07/29/2019) | 750,000 | 750,720 | ||||||||||
Total Georgia | 9,892,555 | 2.2 | % |
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2025)(Insured by BAM) | 290,000 | 320,070 | ||||||||||
4.000%, 12/01/2029 (Callable 12/01/2025)(Insured by BAM) | 310,000 | 338,721 | ||||||||||
4.000%, 12/01/2030 (Callable 12/01/2025)(Insured by BAM) | 325,000 | 353,356 | ||||||||||
4.000%, 12/01/2032 (Callable 12/01/2025)(Insured by BAM) | 350,000 | 378,102 | ||||||||||
Bourbonnais Township Park District: | ||||||||||||
4.000%, 12/15/2023 (Insured by BAM) | 100,000 | 107,157 | ||||||||||
4.000%, 12/15/2024 (Insured by BAM) | 125,000 | 135,581 | ||||||||||
4.000%, 12/15/2025 (Insured by BAM) | 130,000 | 142,506 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 1,330,000 | 1,486,262 | ||||||||||
Chicago Board of Education, | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 1,000,000 | 1,114,540 | ||||||||||
Chicago Park District, | ||||||||||||
5.000%, 01/01/2024 | 580,000 | 649,008 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2020 | 100,000 | 102,420 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2021 (Callable 01/01/2020) | 115,000 | 117,015 | ||||||||||
5.000%, 01/01/2023 (Callable 01/01/2020) | 125,000 | 127,190 | ||||||||||
5.000%, 01/01/2024 | 250,000 | 272,417 | ||||||||||
5.000%, 01/01/2025 (Callable 01/01/2024)(Insured by AGM) | 110,000 | 125,041 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2024) | 250,000 | 268,335 | ||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 330,000 | 270,814 | ||||||||||
5.000%, 11/01/2028 (Callable 11/01/2027)(Insured by AGM) | 625,000 | 757,519 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2024)(Insured by AGM) | 445,000 | 499,731 | ||||||||||
5.625%, 01/01/2031 (Callable 01/01/2027) | 250,000 | 289,680 | ||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027)(Insured by AGM) | 375,000 | 441,315 | ||||||||||
City of Country Club Hills IL, | ||||||||||||
4.000%, 12/01/2019 (Insured by BAM) | 195,000 | 196,741 | ||||||||||
City of Decatur IL, | ||||||||||||
4.250%, 03/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 269,900 | ||||||||||
City of Kankakee IL, | ||||||||||||
4.500%, 05/01/2031 (Callable 05/01/2025)(Insured by AGM) | 135,000 | 148,462 | ||||||||||
City of Rockford IL, | ||||||||||||
3.000%, 12/15/2022 (Insured by AGM) | 150,000 | 154,974 | ||||||||||
Cook & Will Counties Community College District No. 515, | ||||||||||||
4.000%, 12/01/2021 (Callable 06/01/2020)(Insured by AGM) | 690,000 | 702,489 | ||||||||||
Cook & Will Counties School District No. 194: | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2024)(Insured by BAM) | 160,000 | 174,014 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2024)(Insured by BAM) | 130,000 | 141,057 | ||||||||||
Cook County Community Consolidated School District No. 65, | ||||||||||||
0.000%, 12/01/2023 | 200,000 | 180,968 | ||||||||||
Cook County School District No. 130: | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2025)(Insured by AGM) | 1,195,000 | 1,382,950 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2025)(Insured by AGM) | 1,000,000 | 1,153,900 | ||||||||||
Cook County School District No. 144, | ||||||||||||
0.000%, 12/01/2021 (Insured by AGM) | 65,000 | 61,803 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2025 (Insured by BAM) | 430,000 | 526,264 | ||||||||||
6.000%, 12/15/2027 (Insured by BAM) | 1,150,000 | 1,463,375 | ||||||||||
Cook County School District No. 83, | ||||||||||||
5.625%, 06/01/2033 | 775,000 | 961,550 | ||||||||||
Darien Park District, | ||||||||||||
4.150%, 12/15/2026 (Callable 12/15/2019) | 200,000 | 202,108 | ||||||||||
DeKalb County Community Unit School District No. 428, | ||||||||||||
0.000%, 01/01/2030 (Callable 07/01/2020) | 300,000 | 167,541 | ||||||||||
DuPage County High School District No. 87, | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025) | 315,000 | 363,904 | ||||||||||
Ford, Champaign Counties Community Unit School District No. 10, | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2026)(Insured by AGM) | 600,000 | 723,708 | ||||||||||
Governors State University: | ||||||||||||
5.000%, 07/01/2019 (Insured by BAM) | 250,000 | 250,000 | ||||||||||
5.000%, 07/01/2020 (Insured by BAM) | 190,000 | 195,352 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2027 (Insured by BAM) | 130,000 | 132,465 | ||||||||||
3.000%, 03/01/2028 (Callable 03/01/2027)(Insured by BAM) | 140,000 | 141,562 | ||||||||||
3.000%, 03/01/2029 (Callable 03/01/2027)(Insured by BAM) | 100,000 | 100,088 | ||||||||||
3.100%, 03/01/2030 (Callable 03/01/2027)(Insured by BAM) | 155,000 | 155,169 | ||||||||||
3.150%, 03/01/2031 (Callable 03/01/2027)(Insured by BAM) | 160,000 | 159,859 | ||||||||||
3.250%, 03/01/2032 (Callable 03/01/2027)(Insured by BAM) | 165,000 | 165,015 | ||||||||||
3.300%, 03/01/2033 (Callable 03/01/2027)(Insured by BAM) | 175,000 | 174,970 | ||||||||||
3.350%, 03/01/2034 (Callable 03/01/2027)(Insured by BAM) | 185,000 | 184,774 | ||||||||||
3.400%, 03/01/2035 (Callable 03/01/2027)(Insured by BAM) | 195,000 | 194,770 | ||||||||||
3.450%, 03/01/2036 (Callable 03/01/2027)(Insured by BAM) | 205,000 | 204,902 | ||||||||||
3.500%, 03/01/2037 (Callable 03/01/2027)(Insured by BAM) | 215,000 | 214,983 | ||||||||||
Illinois Development Finance Authority, | ||||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 1,000,000 | 1,021,580 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 10/01/2019 | 525,000 | 527,987 | ||||||||||
5.000%, 02/15/2021 | 100,000 | 105,743 | ||||||||||
5.000%, 10/01/2021 | 170,000 | 177,145 | ||||||||||
5.000%, 10/01/2023 | 205,000 | 219,586 | ||||||||||
4.375%, 12/01/2028 (Callable 12/01/2023) | 300,000 | 105,000 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2027) | 475,000 | 563,811 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2027) | 90,000 | 106,114 | ||||||||||
5.250%, 02/15/2030 (Pre-refunded to 02/15/2020) | 245,000 | 250,870 | ||||||||||
5.000%, 08/01/2030 (Callable 08/01/2024) | 1,065,000 | 1,216,368 | ||||||||||
4.000%, 05/15/2034 (Callable 05/15/2026) | 200,000 | 213,976 | ||||||||||
3.032%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 300,000 | 300,753 | ||||||||||
1.120%, 11/15/2037 (Optional Put Date 06/28/2019) (1) | 300,000 | 300,000 | ||||||||||
4.000%, 12/01/2040 (Callable 12/01/2027) | 270,000 | 289,367 | ||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027) | 275,000 | 293,733 | ||||||||||
5.100%, 12/01/2043 (Callable 12/01/2023) | 1,000,000 | 350,000 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.500%, 08/01/2031 (Callable 08/01/2027)(Insured by GNMA) | 700,000 | 738,304 | ||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 750,000 | 760,462 | ||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 660,289 | 648,299 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 2,000,000 | 2,192,720 | ||||||||||
Illinois State University: | ||||||||||||
3.500%, 04/01/2020 | 320,000 | 322,227 | ||||||||||
5.000%, 04/01/2031 (Callable 04/01/2028)(Insured by AGM) | 500,000 | 590,935 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,090,000 | 1,036,863 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205: | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 285,000 | 301,958 | ||||||||||
6.125%, 01/01/2036 (Callable 01/01/2021) | 1,400,000 | 1,484,630 | ||||||||||
Macoupin, Sangaman & Montgomery Government Bonds, | ||||||||||||
4.250%, 12/01/2032 (Callable 12/01/2023)(Insured by AGM) | 685,000 | 727,977 | ||||||||||
Medinah Park District, | ||||||||||||
4.250%, 01/01/2028 (Callable 01/01/2024) | 190,000 | 205,842 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2020 (Insured by NATL) | 140,000 | 137,396 | ||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 130,000 | 139,000 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) | 15,000 | 17,017 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) | 50,000 | 55,244 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,010,000 | 1,087,083 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 1,500,000 | 1,749,255 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2021 (Insured by BAM) | 100,000 | 106,308 | ||||||||||
Ogle & Winnebago Counties Community Unit School District: | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 415,000 | 469,809 | ||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 100,000 | 115,234 | ||||||||||
Peoria City School District No. 150, | ||||||||||||
5.000%, 01/01/2026 (Insured by BAM) | 330,000 | 386,216 | ||||||||||
Peoria Public Building Commission, | ||||||||||||
0.000%, 12/01/2021 (Callable 12/01/2019)(Insured by AGC) | 440,000 | 388,406 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.250%, 06/01/2020 | 135,000 | 139,401 | ||||||||||
Richland County Community Unit School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2024)(Insured by AGM) | 155,000 | 173,687 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2024)(Insured by AGM) | 1,750,000 | 1,855,945 | ||||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2028 | 1,500,000 | 1,792,935 | ||||||||||
5.000%, 01/01/2029 | 2,500,000 | 3,011,700 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 | 80,000 | 83,619 | ||||||||||
Shelby Christian Macon Counties Community School District, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 155,000 | 167,186 | ||||||||||
St. Clair County Community Consolidated School District, | ||||||||||||
0.000%, 12/01/2021 | 200,000 | 189,982 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 150,000 | 149,713 | ||||||||||
0.000%, 08/01/2019 | 110,000 | 109,790 | ||||||||||
5.000%, 08/01/2020 | 2,000,000 | 2,070,340 | ||||||||||
5.000%, 01/01/2022 (Callable 01/01/2020) | 220,000 | 223,192 | ||||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 115,971 | ||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 665,000 | 715,247 | ||||||||||
5.000%, 10/01/2026 | 1,000,000 | 1,146,950 | ||||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 716,216 | ||||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,578,225 | ||||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 191,847 | ||||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 451,021 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 2,500,000 | 2,646,225 | ||||||||||
University of Illinois, | ||||||||||||
5.000%, 10/01/2021 | 700,000 | 751,849 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2023 | 600,000 | 667,656 | ||||||||||
5.000%, 12/01/2024 | 485,000 | 548,778 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 263,440 | ||||||||||
4.500%, 12/15/2026 (Callable 12/15/2022)(Insured by BAM) | 200,000 | 218,338 | ||||||||||
Village of Franklin Park IL, | ||||||||||||
5.000%, 04/01/2023 (Insured by BAM) | 460,000 | 508,516 | ||||||||||
Village of Lansing IL, | ||||||||||||
5.000%, 03/01/2020 (Insured by AGM) | 455,000 | 465,410 | ||||||||||
Village of River Grove IL: | ||||||||||||
4.000%, 12/15/2027 (Callable 12/15/2026)(Insured by BAM) | 135,000 | 147,192 | ||||||||||
4.000%, 12/15/2028 (Callable 12/15/2026)(Insured by BAM) | 205,000 | 222,880 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.750%, 02/01/2029 (Callable 02/01/2023)(Insured by BAM) | 230,000 | 244,851 | ||||||||||
4.750%, 02/01/2031 (Callable 02/01/2023)(Insured by BAM) | 310,000 | 328,151 | ||||||||||
4.750%, 02/01/2032 (Callable 02/01/2023)(Insured by BAM) | 275,000 | 290,505 | ||||||||||
4.750%, 02/01/2033 (Callable 02/01/2023)(Insured by BAM) | 190,000 | 200,425 | ||||||||||
5.000%, 02/01/2035 (Callable 02/01/2029)(Insured by BAM) | 300,000 | 344,898 | ||||||||||
5.000%, 02/01/2036 (Callable 02/01/2029)(Insured by BAM) | 225,000 | 257,584 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2029)(Insured by BAM) | 185,000 | 192,374 | ||||||||||
4.000%, 02/01/2038 (Callable 02/01/2029)(Insured by BAM) | 150,000 | 155,345 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
4.000%, 01/01/2022 (Callable 07/29/2019) | 85,000 | 85,046 | ||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 140,000 | 128,250 | ||||||||||
0.000%, 01/01/2026 (Insured by AGM) | 235,000 | 196,357 | ||||||||||
0.000%, 01/01/2027 | 660,000 | 513,579 | ||||||||||
0.000%, 01/01/2027 (Insured by AGM) | 115,000 | 92,783 | ||||||||||
0.000%, 01/01/2028 | 665,000 | 496,090 | ||||||||||
0.000%, 01/01/2028 (Insured by AGM) | 180,000 | 139,898 | ||||||||||
0.000%, 01/01/2029 | 40,000 | 28,628 | ||||||||||
0.000%, 01/01/2033 | 175,000 | 103,155 | ||||||||||
3.375%, 01/01/2033 (Callable 01/01/2023) | 80,000 | 69,826 | ||||||||||
Will County Community Unit School District No. 201, | ||||||||||||
0.000%, 11/01/2019 (Insured by NATL) | 905,000 | 899,796 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 505,000 | 485,583 | ||||||||||
Will County Township High School District No. 204: | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 145,566 | ||||||||||
6.250%, 01/01/2031 (Callable 01/01/2021) | 300,000 | 320,025 | ||||||||||
Total Illinois | 66,291,581 | 14.6 | % |
Indiana | ||||||||||||
Blue River Valley School Building Corp., | ||||||||||||
2.250%, 07/15/2019 (Insured by ST) | 235,000 | 235,063 | ||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 250,000 | 263,717 | ||||||||||
City of Jeffersonville IN, | ||||||||||||
5.000%, 01/01/2030 (Callable 01/01/2028)(Insured by BAM) | 325,000 | 399,175 | ||||||||||
City of Lawrence IN, | ||||||||||||
5.000%, 01/01/2027 (Insured by BAM) | 385,000 | 466,716 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044 (Mandatory Tender Date 10/01/2019) (1) | 450,000 | 450,347 | ||||||||||
East Allen Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2023)(Insured by ST) | 165,000 | 184,310 | ||||||||||
Evansville Park District: | ||||||||||||
5.000%, 08/15/2035 (Callable 02/15/2028)(Insured by BAM) | 150,000 | 180,322 | ||||||||||
5.000%, 08/15/2036 (Callable 02/15/2028)(Insured by BAM) | 1,335,000 | 1,598,743 | ||||||||||
Franklin Township Community School Corp., | ||||||||||||
5.000%, 01/15/2035 (Callable 01/15/2023)(Insured by ST) | 775,000 | 854,445 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
4.500%, 07/15/2026 (Callable 01/15/2024)(Insured by ST) | 625,000 | 700,600 | ||||||||||
Hammond Sanitary District: | ||||||||||||
5.000%, 01/15/2022 (Insured by BAM) | 285,000 | 310,983 | ||||||||||
5.000%, 07/15/2026 (Insured by BAM) | 610,000 | 737,716 | ||||||||||
5.000%, 01/15/2028 (Callable 07/15/2027)(Insured by BAM) | 295,000 | 358,921 | ||||||||||
Indiana Bond Bank: | ||||||||||||
1.840%, 10/15/2022 (SIFMA Municipal Swap Index + 0.660%) (2) | 125,000 | 124,089 | ||||||||||
2.513%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 510,000 | 510,061 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 10/01/2023 | 180,000 | 203,256 | ||||||||||
5.500%, 08/15/2045 (Callable 08/15/2020) | 165,000 | 170,793 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 500,000 | 504,005 | ||||||||||
Indiana Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2025) | 1,000,000 | 1,160,510 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 500,000 | 582,120 | ||||||||||
IPS Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2025)(Insured by ST) | 925,000 | 1,086,339 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Insured by ST) | 1,000,000 | 1,271,550 | ||||||||||
Loogootee School Building Corp., | ||||||||||||
4.000%, 07/15/2026 (Insured by ST) | 135,000 | 153,621 | ||||||||||
Middlebury Community Schools, | ||||||||||||
3.000%, 07/15/2019 (Insured by ST) | 400,000 | 400,160 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2024 (Insured by ST) | 170,000 | 188,567 | ||||||||||
North Montgomery High School Building Corp., | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026)(Insured by ST) | 165,000 | 194,997 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Callable 07/15/2026)(Insured by ST) | 220,000 | 265,575 | ||||||||||
Taylor Community School Building Corp., | ||||||||||||
0.000%, 07/15/2029 (Callable 07/15/2025)(Insured by ST) | 360,000 | 273,017 | ||||||||||
Tipton County Jail Building Corp., | ||||||||||||
5.000%, 01/15/2027 (Insured by ST) | 245,000 | 297,205 | ||||||||||
Westfield High School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Callable 01/15/2026)(Insured by ST) | 250,000 | 293,450 | ||||||||||
5.000%, 01/15/2030 (Callable 01/15/2026)(Insured by ST) | 300,000 | 349,842 | ||||||||||
5.000%, 07/15/2031 (Callable 01/15/2026)(Insured by ST) | 150,000 | 173,577 | ||||||||||
Total Indiana | 14,943,792 | 3.3 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 05/01/2022 | 100,000 | 101,265 | ||||||||||
City of Greenfield IA: | ||||||||||||
4.000%, 09/01/2029 (Callable 09/01/2026)(Insured by AGM) | 140,000 | 155,259 | ||||||||||
4.000%, 09/01/2030 (Callable 09/01/2026)(Insured by AGM) | 220,000 | 242,466 | ||||||||||
4.000%, 09/01/2031 (Callable 09/01/2026)(Insured by AGM) | 230,000 | 251,953 | ||||||||||
4.000%, 09/01/2036 (Callable 09/01/2026)(Insured by AGM) | 200,000 | 215,260 | ||||||||||
4.000%, 09/01/2037 (Callable 09/01/2026)(Insured by AGM) | 580,000 | 622,439 | ||||||||||
4.000%, 09/01/2039 (Callable 09/01/2026)(Insured by AGM) | 630,000 | 671,920 | ||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 2,000,000 | 2,214,540 | ||||||||||
Total Iowa | 4,475,102 | 1.0 | % |
Kansas | ||||||||||||
City of Hutchinson KS: | ||||||||||||
4.000%, 12/01/2020 | 330,000 | 336,679 | ||||||||||
4.000%, 12/01/2021 | 360,000 | 372,222 | ||||||||||
5.000%, 12/01/2022 | 140,000 | 151,097 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 890,000 | 902,077 | ||||||||||
Kansas Development Finance Authority, | ||||||||||||
5.000%, 12/01/2019 (Insured by BAM) | 170,000 | 172,514 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
2.010%, 09/01/2019 (1 Month LIBOR USD + 0.400%) (2) | 115,000 | 115,061 | ||||||||||
Total Kansas | 2,049,650 | 0.5 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 10/01/2025 (Insured by NATL) | 395,000 | 338,954 | ||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 340,000 | 274,404 | ||||||||||
0.000%, 10/01/2028 (Insured by NATL) | 70,000 | 54,657 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
2.000%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 250,000 | 251,395 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024)(Mandatory Tender Date 04/01/2024) (1) | 550,000 | 597,866 | ||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 10/01/2019 | 325,000 | 327,730 | ||||||||||
Paducah Electric Plant Board, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026)(Insured by AGM) | 1,000,000 | 1,171,650 | ||||||||||
Total Kentucky | 3,016,656 | 0.7 | % | |||||||||
�� | ||||||||||||
Louisiana | ||||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 350,000 | 396,088 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
4.500%, 12/01/2047 (Callable 12/01/2027) | 200,000 | 220,412 | ||||||||||
St. Tammany Parish Wide School District No. 12: | ||||||||||||
4.000%, 03/01/2035 (Callable 03/01/2027) | 100,000 | 111,363 | ||||||||||
4.000%, 03/01/2036 (Callable 03/01/2027) | 115,000 | 127,693 | ||||||||||
Terrebonne Parish Consolidated Government, | ||||||||||||
0.000%, 04/01/2034 (Insured by AGM) | 715,000 | 458,565 | ||||||||||
Total Louisiana | 1,314,121 | 0.3 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
4.250%, 11/15/2040 (Callable 11/15/2024) | 500,000 | 526,285 | ||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 200,000 | 206,720 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 420,000 | 441,206 | ||||||||||
3.500%, 11/15/2046 (Callable 11/15/2025) | 50,000 | 51,531 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 500,000 | 543,790 | ||||||||||
Total Maine | 1,769,532 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2028 (Callable 06/01/2023) | 1,000,000 | 1,066,490 | ||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | 2,000,000 | 2,201,620 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 1,000,000 | 1,091,200 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 07/29/2019)(Insured by AGC) | 700,000 | 701,393 | ||||||||||
University of Massachusetts Building Authority, | ||||||||||||
5.000%, 11/01/2039 (Callable 11/01/2024) | 325,000 | 374,641 | ||||||||||
Total Massachusetts | 5,435,344 | 1.2 | % | |||||||||
Michigan | ||||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2039 (Callable 07/01/2022)(Insured by AGM) | 185,000 | 200,301 | ||||||||||
5.250%, 07/01/2041 (Callable 07/01/2021) | 50,000 | 53,197 | ||||||||||
City of Wyandotte MI, | ||||||||||||
5.000%, 10/01/2023 (Insured by BAM) | 25,000 | 28,176 | ||||||||||
Detroit Michigan School District, | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2022)(Insured by Q-SBLF) | 1,000,000 | 1,083,050 | ||||||||||
Flushing Community Schools, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 220,000 | 257,585 | ||||||||||
Michigan Finance Authority: | ||||||||||||
5.000%, 07/01/2034 (Callable 07/01/2025) | 250,000 | 289,310 | ||||||||||
1.100%, 11/15/2046 (Mandatory Tender Date 08/15/2019) (1) | 565,000 | 564,751 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 2,000,000 | 2,187,560 | ||||||||||
Romeo Community School District, | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2026)(Insured by Q-SBLF) | 1,000,000 | 1,198,380 | ||||||||||
Roseville Community Schools, | ||||||||||||
5.000%, 05/01/2026 (Insured by Q-SBLF) | 400,000 | 486,288 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2039 (Callable 05/01/2029)(Insured by Q-SBLF) | 815,000 | 982,841 | ||||||||||
Trenton Public Schools School District: | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 135,000 | 169,244 | ||||||||||
5.000%, 05/01/2030 (Callable 05/01/2028)(Insured by Q-SBLF) | 300,000 | 373,104 | ||||||||||
Warren Consolidated Schools, | ||||||||||||
5.000%, 05/01/2025 (Insured by BAM) | 300,000 | 355,710 | ||||||||||
Wayne County Airport Authority, | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027) | 375,000 | 459,236 | ||||||||||
Wayne-Westland Community Schools, | ||||||||||||
4.000%, 11/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 750,000 | 819,848 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2029 (Callable 05/15/2025) | 250,000 | 292,130 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 51,065 | ||||||||||
Total Michigan | 9,851,776 | 2.2 | % | |||||||||
Minnesota | ||||||||||||
City of Maple Grove MN: | ||||||||||||
5.000%, 05/01/2027 | 200,000 | 244,034 | ||||||||||
5.000%, 05/01/2031 (Callable 05/01/2027) | 520,000 | 617,911 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2021 | 280,000 | 290,326 | ||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019 (Callable 07/29/2019) | 2,000,000 | 2,000,660 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.375%, 07/01/2026 (Callable 07/01/2021)(Insured by GNMA) | 130,000 | 131,492 | ||||||||||
3.300%, 07/01/2029 (Callable 07/01/2025) | 595,000 | 625,988 | ||||||||||
3.600%, 07/01/2033 (Callable 01/01/2023)(Insured by GNMA) | 705,000 | 727,588 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 820,000 | 865,961 | ||||||||||
3.800%, 07/01/2038 (Callable 01/01/2023)(Insured by GNMA) | 225,000 | 231,217 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 790,000 | 833,948 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 02/01/2027 | 200,000 | 230,604 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2027) | 350,000 | 399,469 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2027) | 250,000 | 272,922 | ||||||||||
Total Minnesota | 7,472,120 | 1.6 | % | |||||||||
Mississippi | ||||||||||||
Biloxi Public School District, | ||||||||||||
5.000%, 04/01/2026 (Insured by BAM) | 500,000 | 596,860 | ||||||||||
City of Gulfport MS, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2026) | 500,000 | 579,315 | ||||||||||
Medical Center Educational Building Corp., | ||||||||||||
5.000%, 06/01/2042 (Callable 06/01/2027) | 500,000 | 582,260 | ||||||||||
Mississippi Development Bank: | ||||||||||||
4.375%, 03/01/2023 (Pre-refunded to 07/01/2019)(Insured by AGC) | 150,000 | 150,000 | ||||||||||
5.250%, 03/01/2034 (Callable 03/01/2028) | 490,000 | 596,055 | ||||||||||
State of Mississippi: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 215,000 | 264,278 | ||||||||||
5.000%, 10/15/2034 (Callable 10/15/2025) | 1,000,000 | 1,162,760 | ||||||||||
West Rankin Utility Authority: | ||||||||||||
5.000%, 01/01/2028 (Callable 01/01/2025)(Insured by AGM) | 110,000 | 128,544 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025)(Insured by AGM) | 275,000 | 320,339 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2025)(Insured by AGM) | 590,000 | 684,424 | ||||||||||
Total Mississippi | 5,064,835 | 1.1 | % |
Missouri | ||||||||||||
Center School District No. 58: | ||||||||||||
4.000%, 04/15/2030 (Callable 04/15/2027) | 210,000 | 232,550 | ||||||||||
4.000%, 04/15/2031 (Callable 04/15/2027) | 220,000 | 241,914 | ||||||||||
County of Boone MO, | ||||||||||||
4.000%, 08/01/2019 | 250,000 | 250,367 | ||||||||||
Industrial Development Authority of the City of St. Louis MO, | ||||||||||||
4.750%, 11/15/2047 (Callable 11/15/2026) | 500,000 | 523,060 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
6.000%, 03/01/2038 (Callable 03/01/2029)(Insured by ST) | 1,005,000 | 1,339,876 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.700%, 11/01/2035 (Callable 05/01/2025)(Insured by GNMA) | 150,000 | 156,560 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 880,000 | 910,712 | ||||||||||
4.000%, 05/01/2042 (Callable 11/01/2026)(Insured by GNMA) | 1,085,000 | 1,160,559 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 370,000 | 395,389 | ||||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
3.000%, 06/01/2020 (Insured by AGM) | 130,000 | 131,798 | ||||||||||
St. Louis Regional Convention & Sports Complex Authority, | ||||||||||||
5.250%, 08/15/2019 (Insured by AMBAC) | 70,000 | 70,296 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
4.000%, 08/01/2019 | 150,000 | 150,249 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 50,000 | 56,837 | ||||||||||
Total Missouri | 5,620,167 | 1.2 | % | |||||||||
Montana | ||||||||||||
Montana Board of Housing: | ||||||||||||
3.600%, 12/01/2030 (Callable 06/01/2022) | 400,000 | 409,112 | ||||||||||
3.750%, 12/01/2038 (Callable 12/01/2027)(Insured by FHA) | 495,000 | 522,918 | ||||||||||
Yellowstone County School District No. 8, | ||||||||||||
5.000%, 07/01/2027 | 225,000 | 278,150 | ||||||||||
Total Montana | 1,210,180 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2022) | 290,000 | 314,401 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 575,000 | 623,380 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 500,000 | 561,550 | ||||||||||
Colfax County School District No. 123, | ||||||||||||
4.000%, 12/15/2030 (Callable 05/22/2024) | 225,000 | 244,636 | ||||||||||
Gering School District: | ||||||||||||
5.000%, 12/01/2031 (Callable 05/30/2022) | 25,000 | 27,306 | ||||||||||
5.000%, 12/01/2033 (Callable 05/30/2022) | 430,000 | 469,143 | ||||||||||
5.000%, 12/01/2034 (Callable 05/30/2022) | 300,000 | 326,856 | ||||||||||
Nebraska Investment Finance Authority: | ||||||||||||
3.500%, 09/01/2036 (Callable 03/01/2025) | 395,000 | 407,790 | ||||||||||
3.500%, 09/01/2046 (Callable 03/01/2025) | 160,000 | 166,683 | ||||||||||
Papio-Missouri River Natural Resource District: | ||||||||||||
4.000%, 12/15/2027 (Callable 06/15/2022) | 150,000 | 160,224 | ||||||||||
4.000%, 12/15/2028 (Callable 06/15/2022) | 210,000 | 223,915 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 1,675,000 | 1,791,848 | ||||||||||
Total Nebraska | 5,317,732 | 1.2 | % | |||||||||
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2033 (Callable 09/01/2027) | 250,000 | 289,610 | ||||||||||
Clark County School District, | ||||||||||||
5.000%, 06/15/2032 (Callable 06/15/2027)(Insured by BAM) | 450,000 | 538,839 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 520,000 | 528,902 | ||||||||||
4.000%, 04/01/2049 (Callable 10/01/2028)(Insured by GNMA) | 2,000,000 | 2,186,720 | ||||||||||
State of Nevada, | ||||||||||||
5.000%, 06/01/2033 (Callable 12/01/2023) | 300,000 | 337,992 | ||||||||||
Washoe County School District, | ||||||||||||
5.000%, 05/01/2030 (Callable 05/01/2027) | 525,000 | 634,452 | ||||||||||
Total Nevada | 4,516,515 | 1.0 | % | |||||||||
New Jersey | ||||||||||||
City of Atlantic City NJ: | ||||||||||||
5.000%, 03/01/2020 (Insured by AGM) | 200,000 | 204,254 | ||||||||||
5.000%, 03/01/2021 (Insured by BAM) | 100,000 | 105,271 | ||||||||||
City of Trenton NJ, | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 400,000 | 432,836 | ||||||||||
City of Union City NJ, | ||||||||||||
5.000%, 11/01/2023 (Insured by ST) | 440,000 | 494,947 | ||||||||||
Landis Sewage Authority, | ||||||||||||
5.009%, 09/19/2019 (Insured by NATL) (1)(6) | 50,000 | 50,000 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2019 | 130,000 | 130,130 | ||||||||||
5.000%, 07/15/2020 | 100,000 | 102,758 | ||||||||||
5.000%, 06/15/2023 (Insured by BAM) | 295,000 | 328,636 | ||||||||||
5.000%, 03/01/2024 (Callable 03/01/2023) | 150,000 | 165,565 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 200,000 | 201,610 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 150,000 | 175,084 | ||||||||||
4.500%, 11/15/2025 (Callable 11/15/2020) | 150,000 | 156,404 | ||||||||||
4.000%, 07/01/2026 (Callable 07/01/2022) | 1,000,000 | 1,070,440 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2025)(Insured by AGM) | 175,000 | 203,842 | ||||||||||
5.500%, 07/01/2038 (Callable 07/01/2019)(Insured by AGC) | 80,000 | 80,000 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,580,000 | 1,737,020 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 500,000 | 556,390 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2019 | 355,000 | 360,883 | ||||||||||
0.000%, 12/15/2024 (Insured by BHAC) | 555,000 | 496,120 | ||||||||||
5.000%, 06/15/2029 (Callable 06/15/2026) | 775,000 | 906,556 | ||||||||||
4.000%, 12/15/2037 (Callable 12/15/2028)(Insured by BAM) | 500,000 | 543,330 | ||||||||||
New Jersey Turnpike Authority: | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2028) | 50,000 | 62,584 | ||||||||||
2.432%, 01/01/2030 (1 Month LIBOR USD + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 01/01/2023) (2) | 690,000 | 694,168 | ||||||||||
Newark Housing Authority, | ||||||||||||
5.000%, 01/01/2032 (Insured by NATL) | 200,000 | 246,836 | ||||||||||
Passaic Valley Sewerage Commission, | ||||||||||||
5.750%, 12/01/2022 | 550,000 | 623,964 | ||||||||||
Total New Jersey | 10,129,628 | 2.2 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 520,000 | 538,356 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
2.360%, 11/01/2039 (1 Month LIBOR USD + 0.750%) (Callable 07/19/2019)(Mandatory Tender Date 08/01/2019) (2) | 315,000 | 315,000 | ||||||||||
Total New Mexico | 853,356 | 0.2 | % |
New York | ||||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 407,487 | 421,037 | ||||||||||
City of New York NY: | ||||||||||||
5.250%, 07/01/2029 (Callable 07/01/2023) | 250,000 | 281,440 | ||||||||||
1.150%, 03/01/2034 (Optional Put Date 06/28/2019) (1) | 1,000,000 | 1,000,000 | ||||||||||
County of Suffolk NY: | ||||||||||||
5.000%, 09/26/2019 | 1,000,000 | 1,008,240 | ||||||||||
3.500%, 10/15/2025 (Callable 10/15/2019) | 50,000 | 50,256 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 11/15/2038 (Callable 11/15/2023) | 500,000 | 555,685 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2019) | 900,000 | 910,764 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 50,000 | 62,870 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2026) | 650,000 | 778,512 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2028) | 1,295,000 | 1,574,668 | ||||||||||
5.000%, 08/01/2039 (Callable 08/01/2024) | 105,000 | 120,312 | ||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,147,600 | ||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,147,600 | ||||||||||
1.130%, 06/15/2050 (Optional Put Date 06/28/2019) (1) | 750,000 | 750,000 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
5.000%, 09/01/2031 (Callable 09/01/2024) | 270,000 | 314,820 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 280,000 | 289,722 | ||||||||||
Total New York | 10,413,526 | 2.3 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 150,000 | 164,298 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027) | 560,000 | 597,688 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.000%, 06/01/2025 (Callable 06/01/2022) | 385,000 | 422,853 | ||||||||||
North Carolina Turnpike Authority, | ||||||||||||
4.000%, 01/01/2041 (Callable 01/01/2029)(Insured by AGM) | 2,000,000 | 2,169,500 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020 (Mandatory Tender Date 10/01/2019) (1) | 1,000,000 | 999,880 | ||||||||||
Total North Carolina | 4,354,219 | 1.0 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) (5) | 2,000,000 | 1,999,720 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 07/29/2019) | 1,030,000 | 1,024,582 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 1,750,000 | 1,840,230 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2023) | 480,000 | 525,538 | ||||||||||
County of Burleigh ND: | ||||||||||||
4.000%, 11/01/2021 | 525,000 | 546,347 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 850,000 | 907,230 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2026 (Callable 04/01/2023)(Insured by AGM) | 1,030,000 | 1,103,830 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 07/15/2019) | 1,340,000 | 1,342,479 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 370,000 | 388,389 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,000,000 | 1,108,030 | ||||||||||
Total North Dakota | 10,786,375 | 2.4 | % | |||||||||
Ohio | ||||||||||||
City of Avon OH, | ||||||||||||
3.000%, 09/05/2019 | 800,000 | 802,064 | ||||||||||
Clermont County Port Authority, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 310,000 | 355,046 | ||||||||||
Columbus-Franklin County Finance Authority: | ||||||||||||
3.820%, 11/15/2036 (Callable 11/15/2021) | 490,000 | 498,590 | ||||||||||
4.000%, 11/15/2038 (Callable 05/15/2022) | 340,000 | 346,871 | ||||||||||
County of Franklin OH, | ||||||||||||
1.610%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 1,000,000 | 1,002,610 | ||||||||||
County of Hamilton OH, | ||||||||||||
0.000%, 12/01/2027 (Insured by AMBAC) | 75,000 | 62,993 | ||||||||||
County of Licking OH, | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2021) | 250,000 | 264,413 | ||||||||||
County of Lorain OH: | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023) | 180,000 | 196,515 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2023) | 480,000 | 546,230 | ||||||||||
County of Lucas OH, | ||||||||||||
5.000%, 11/15/2029 (Callable 11/15/2021) | 600,000 | 638,850 | ||||||||||
County of Trumbull OH, | ||||||||||||
3.125%, 08/29/2019 | 400,000 | 400,844 | ||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 (Callable 11/01/2025)(Insured by SD CRED PROG) | 1,845,000 | 2,152,931 | ||||||||||
New Riegel Local School District, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2020)(Insured by BAM) | 215,000 | 221,519 | ||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
5.000%, 03/01/2025 | 690,000 | 773,193 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.200%, 09/01/2036 (Callable 09/01/2025)(Insured by GNMA) | 960,000 | 978,518 | ||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 315,000 | 333,100 | ||||||||||
Ohio Turnpike & Infrastructure Commission: | ||||||||||||
0.000%, 02/15/2034 (Callable 02/15/2031) | 1,315,000 | 1,439,359 | ||||||||||
0.000%, 02/15/2036 (Callable 02/15/2031) | 335,000 | 365,358 | ||||||||||
State of Ohio, | ||||||||||||
5.000%, 11/15/2028 (Callable 05/15/2023) | 225,000 | 255,004 | ||||||||||
Village of Bratenahl OH, | ||||||||||||
3.000%, 08/14/2019 | 775,000 | 775,946 | ||||||||||
Total Ohio | 12,409,954 | 2.7 | % | |||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 330,000 | 339,190 | ||||||||||
Oklahoma Development Finance Authority, | ||||||||||||
2.600%, 03/01/2024 | 425,000 | 424,622 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
3.300%, 03/01/2031 (Callable 03/01/2022)(Insured by GNMA) | 335,000 | 337,666 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2024) | 180,000 | 211,639 | ||||||||||
Total Oklahoma | 1,313,117 | 0.3 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2040 (Callable 06/15/2027) | 425,000 | 482,069 | ||||||||||
Clatsop County School District No. 30: | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2029)(Insured by SCH BD GTY) | 425,000 | 217,269 | ||||||||||
0.000%, 06/15/2039 (Callable 06/15/2029)(Insured by SCH BD GTY) | 560,000 | 271,953 | ||||||||||
Multnomah & Clackamas Counties School District No. 10JT: | ||||||||||||
0.000%, 06/15/2031 (Callable 06/15/2029)(Insured by SCH BD GTY) | 100,000 | 71,532 | ||||||||||
0.000%, 06/15/2033 (Callable 06/15/2029)(Insured by SCH BD GTY) | 700,000 | 460,677 | ||||||||||
Port of Portland OR, | ||||||||||||
3.000%, 07/01/2019 | 100,000 | 100,000 | ||||||||||
Salem Hospital Facility Authority: | ||||||||||||
5.000%, 05/15/2033 (Callable 05/15/2026) | 105,000 | 122,012 | ||||||||||
5.000%, 05/15/2035 (Callable 05/15/2026) | 500,000 | 579,485 | ||||||||||
State of Oregon Department of Transportation, | ||||||||||||
5.000%, 11/15/2038 (Callable 11/15/2023) | 300,000 | 339,117 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 2,000,000 | 2,014,120 | ||||||||||
Umatilla County School District No. 6R: | ||||||||||||
0.000%, 06/15/2028 (Callable 06/15/2027)(Insured by SCH BD GTY) | 100,000 | 102,335 | ||||||||||
0.000%, 06/15/2030 (Callable 06/15/2027)(Insured by SCH BD GTY) | 100,000 | 101,039 | ||||||||||
0.000%, 06/15/2033 (Callable 06/15/2027)(Insured by SCH BD GTY) | 200,000 | 199,448 | ||||||||||
0.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) | 540,000 | 530,431 | ||||||||||
Total Oregon | 5,591,487 | 1.2 | % |
Pennsylvania | ||||||||||||
Bloomsburg PA Area School District, | ||||||||||||
4.000%, 09/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 271,022 | ||||||||||
Central Bradford Progress Authority, | ||||||||||||
5.500%, 12/01/2031 (Callable 12/01/2021) | 800,000 | 864,848 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 750,000 | 821,940 | ||||||||||
5.000%, 06/01/2036 (Callable 06/01/2022) | 1,500,000 | 1,619,460 | ||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,525,000 | 1,657,950 | ||||||||||
Deer Lakes School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 104,497 | ||||||||||
Lycoming County Authority, | ||||||||||||
4.000%, 11/01/2043 (Mandatory Tender Date 05/01/2024) (1) | 500,000 | 535,235 | ||||||||||
Montgomery County Higher Education & Health Authority: | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 250,000 | 253,295 | ||||||||||
4.000%, 05/01/2036 (Mandatory Tender Date 05/01/2022) (1) | 625,000 | 653,750 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.580%, 08/15/2043 (SIFMA Municipal Swap Index + 1.400%) (Callable 02/15/2020)(Mandatory Tender Date 08/15/2020) (2) | 225,000 | 226,094 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
4.000%, 11/15/2034 (Callable 11/15/2027) | 1,000,000 | 1,106,590 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.250%, 07/01/2019 | 275,000 | 275,000 | ||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 360,000 | 373,766 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2020 | 50,000 | 51,665 | ||||||||||
5.000%, 06/01/2030 (Callable 12/01/2025) | 280,000 | 325,998 | ||||||||||
6.000%, 12/01/2030 (Callable 12/01/2027)(Insured by BAM) | 205,000 | 263,659 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026)(Insured by AGM) | 75,000 | 75,975 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026) | 365,000 | 370,844 | ||||||||||
5.000%, 12/01/2038 (Callable 12/01/2028) | 605,000 | 715,745 | ||||||||||
6.375%, 12/01/2038 (Callable 12/01/2027) | 745,000 | 959,106 | ||||||||||
Reading School District, | ||||||||||||
5.000%, 02/01/2023 (Insured by AGM) | 230,000 | 255,114 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 09/01/2023 (Insured by ST) | 55,000 | 62,095 | ||||||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by BAM) | 500,000 | 613,500 | ||||||||||
5.000%, 02/01/2031 (Callable 08/01/2020)(Insured by AGM) | 500,000 | 516,920 | ||||||||||
Upper Moreland Township School District, | ||||||||||||
5.000%, 10/01/2030 (Callable 04/01/2025)(Insured by ST) | 250,000 | 292,828 | ||||||||||
Washington County Industrial Development Authority, | ||||||||||||
5.000%, 11/01/2019 | 285,000 | 288,012 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 125,000 | 128,581 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028 (Callable 08/15/2027)(Insured by BAM) | 1,540,000 | 1,906,304 | ||||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 (Callable 05/01/2024)(Insured by BAM) | 1,780,000 | 1,926,156 | ||||||||||
Total Pennsylvania | 17,515,949 | 3.9 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Sales Tax Financing Corp.: | ||||||||||||
0.000%, 07/01/2024 | 548,000 | 465,773 | ||||||||||
0.000%, 07/01/2027 | 1,112,000 | 851,147 | ||||||||||
0.000%, 07/01/2029 (Callable 07/01/2028) | 1,429,000 | 1,001,443 | ||||||||||
Total Puerto Rico | 2,318,363 | 0.5 | % | |||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 40,000 | 42,032 | ||||||||||
Rhode Island Commerce Corp., | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2028)(Insured by BAM) | 950,000 | 1,129,778 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp.: | ||||||||||||
3.950%, 10/01/2043 (Callable 04/01/2028)(Insured by GNMA) | 650,000 | 685,230 | ||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 95,000 | 97,633 | ||||||||||
Total Rhode Island | 1,954,673 | 0.4 | % | |||||||||
South Carolina | ||||||||||||
City of Charleston SC, | ||||||||||||
5.000%, 01/01/2045 (Callable 01/01/2025) | 1,000,000 | 1,151,740 | ||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2025 (Insured by BAM) | 185,000 | 219,201 | ||||||||||
County of Florence SC, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2024) | 250,000 | 284,445 | ||||||||||
Scago Educational Facilities Corp. for Union School District, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 500,000 | 568,080 | ||||||||||
South Carolina Jobs-Economic Development Authority, | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028) | 955,000 | 1,178,871 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
3.800%, 01/01/2049 (Callable 07/01/2027) | 500,000 | 524,995 | ||||||||||
Sumter Two School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 200,000 | 225,960 | ||||||||||
Total South Carolina | 4,153,292 | 0.9 | % | |||||||||
South Dakota | ||||||||||||
South Dakota Housing Development Authority: | ||||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 350,000 | 356,405 | ||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,515,000 | 2,735,842 | ||||||||||
Total South Dakota | 3,092,247 | 0.7 | % | |||||||||
Tennessee | ||||||||||||
City of Memphis TN: | ||||||||||||
5.000%, 12/01/2032 (Callable 12/01/2024) | 530,000 | 615,463 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2027) | 480,000 | 540,643 | ||||||||||
County of Warren TN, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026)(Insured by AGM) | 150,000 | 169,832 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
5.000%, 04/01/2022 | 200,000 | 215,264 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 145,000 | 161,272 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
3.000%, 10/01/2024 | 420,000 | 428,181 | ||||||||||
1.550%, 11/15/2030 (Mandatory Tender Date 11/03/2020) (1) | 255,000 | 255,301 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.625%, 09/01/2026 | 75,000 | 91,138 | ||||||||||
5.000%, 02/01/2027 | 85,000 | 100,823 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 2,025,000 | 2,066,674 | ||||||||||
3.550%, 07/01/2039 (Callable 07/01/2024) | 290,000 | 299,167 | ||||||||||
4.000%, 01/01/2042 (Callable 07/01/2026) | 260,000 | 277,800 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 235,000 | 241,796 | ||||||||||
4.000%, 07/01/2043 (Callable 01/01/2023) | 205,000 | 209,159 | ||||||||||
4.000%, 07/01/2045 (Callable 01/01/2025) | 160,000 | 168,666 | ||||||||||
3.500%, 01/01/2047 (Callable 01/01/2026) | 105,000 | 109,950 | ||||||||||
4.500%, 07/01/2049 (Callable 01/01/2028) | 975,000 | 1,073,416 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 1,000,000 | 1,097,370 | ||||||||||
Total Tennessee | 8,121,915 | 1.8 | % |
Texas | ||||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 250,000 | 283,850 | ||||||||||
5.000%, 02/15/2038 (Callable 02/15/2025)(PSF Guaranteed) | 295,000 | 333,778 | ||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
5.000%, 07/15/2021 | 145,000 | 153,200 | ||||||||||
5.000%, 07/15/2021 | 250,000 | 264,137 | ||||||||||
5.000%, 07/15/2022 | 235,000 | 254,160 | ||||||||||
Brazoria-Fort Bend County Municipal Utility, | ||||||||||||
2.000%, 09/01/2019 (Insured by MAC) | 180,000 | 180,094 | ||||||||||
Bullard Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 350,000 | 385,388 | ||||||||||
Burleson Independent School District, | ||||||||||||
2.500%, 02/01/2047 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 675,000 | 691,342 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
5.000%, 08/15/2042 (Mandatory Tender Date 04/01/2020) (1) | 200,000 | 204,996 | ||||||||||
Chambers County Improvement District No. 1, | ||||||||||||
3.000%, 09/01/2019 | 900,000 | 901,935 | ||||||||||
City of Brownsville TX, | ||||||||||||
4.000%, 09/01/2029 (Callable 09/01/2026)(Insured by AGM) | 170,000 | 190,793 | ||||||||||
City of Greenville TX: | ||||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024) | 200,000 | 225,418 | ||||||||||
5.000%, 02/15/2035 (Callable 02/15/2024) | 175,000 | 196,835 | ||||||||||
City of Houston TX, | ||||||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 500,000 | 648,000 | ||||||||||
City of Round Rock TX, | ||||||||||||
4.000%, 12/01/2024 | 205,000 | 228,104 | ||||||||||
City of San Antonio TX, | ||||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,500,000 | 1,549,500 | ||||||||||
City of Tyler Texas, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2025) | 150,000 | 178,863 | ||||||||||
Clifton Higher Education Finance Corp., | ||||||||||||
5.000%, 08/15/2034 (Callable 08/15/2026)(PSF Guaranteed) | 1,000,000 | 1,175,360 | ||||||||||
Comal Independent School District, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2024)(PSF Guaranteed) | 610,000 | 658,574 | ||||||||||
Corpus Christi Independent School District, | ||||||||||||
2.000%, 08/15/2047 (Mandatory Tender Date 08/15/2019)(PSF Guaranteed) (1) | 1,035,000 | 1,035,652 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2022) | 150,000 | 165,066 | ||||||||||
County of Williamson TX, | ||||||||||||
5.000%, 02/15/2028 (Callable 02/15/2025) | 90,000 | 106,728 | ||||||||||
Crane County Water District, | ||||||||||||
5.000%, 02/15/2023 | 250,000 | 279,807 | ||||||||||
Danbury Higher Education Authority, Inc.: | ||||||||||||
4.000%, 02/15/2027 (PSF Guaranteed) | 200,000 | 227,204 | ||||||||||
4.000%, 02/15/2028 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 227,006 | ||||||||||
4.000%, 02/15/2030 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 224,228 | ||||||||||
4.000%, 02/15/2031 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 222,370 | ||||||||||
5.000%, 02/15/2047 (Callable 02/15/2022)(PSF Guaranteed) | 500,000 | 537,615 | ||||||||||
Dickinson Independent School District, | ||||||||||||
1.350%, 08/01/2037 (Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 750,000 | 749,925 | ||||||||||
Ferris Independent School District, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2026)(PSF Guaranteed) | 560,000 | 678,625 | ||||||||||
Fort Bend County Municipal Utility District No. 155, | ||||||||||||
4.000%, 09/01/2033 (Callable 09/01/2023)(Insured by AGM) | 230,000 | 242,310 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 295,000 | 320,276 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
5.000%, 08/15/2030 (Callable 08/15/2026)(PSF Guaranteed) | 100,000 | 121,189 | ||||||||||
1.350%, 08/01/2042 (Mandatory Tender Date 08/01/2020)(PSF Guaranteed) (1) | 975,000 | 974,269 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 500,000 | 506,145 | ||||||||||
Grand Parkway Transportation Corp.: | ||||||||||||
0.000%, 10/01/2034 (Callable 10/01/2028) | 40,000 | 41,886 | ||||||||||
0.000%, 10/01/2046 (Callable 10/01/2028) | 135,000 | 139,134 | ||||||||||
0.000%, 10/01/2047 (Callable 10/01/2028) | 910,000 | 936,071 | ||||||||||
0.000%, 10/01/2048 (Callable 10/01/2028) | 320,000 | 328,906 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2024) | 100,000 | 116,497 | ||||||||||
5.000%, 12/01/2035 (Callable 12/01/2022) | 495,000 | 540,505 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
3.000%, 12/01/2022 (Insured by AGM) | 175,000 | 181,923 | ||||||||||
Harris County Municipal Utility District No. 71, | ||||||||||||
4.000%, 09/01/2028 (Callable 09/01/2023)(Insured by BAM) | 250,000 | 266,912 | ||||||||||
Harris County Municipal Utility District No. 81, | ||||||||||||
4.000%, 09/01/2030 (Callable 09/01/2019)(Insured by AGM) | 200,000 | 200,878 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2024)(Insured by AGM) | 135,000 | 156,515 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.625%, 02/15/2048 (Pre-refunded to 2/15/2022)(PSF Guaranteed) (1) | 25,000 | 25,798 | ||||||||||
2.625%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 200,000 | 205,014 | ||||||||||
Laredo Community College District, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2027)(Insured by BAM) | 250,000 | 306,952 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 145,000 | 59,337 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,010,000 | 265,256 | ||||||||||
Mansfield Independent School District: | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 750,000 | 763,957 | ||||||||||
5.000%, 02/15/2047 (Callable 02/15/2020)(PSF Guaranteed) | 1,400,000 | 1,427,790 | ||||||||||
Matagorda County Navigation District No. 1, | ||||||||||||
4.400%, 05/01/2030 (Insured by AMBAC) | 355,000 | 416,067 | ||||||||||
Mesquite Independent School District, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2025)(PSF Guaranteed) | 500,000 | 595,675 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 200,000 | 215,118 | ||||||||||
4.000%, 04/01/2024 (Insured by BAM) | 200,000 | 217,766 | ||||||||||
New Caney Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2025)(PSF Guaranteed) | 1,450,000 | 1,612,878 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
3.000%, 07/01/2019 | 125,000 | 125,000 | ||||||||||
4.000%, 04/01/2020 | 175,000 | 176,277 | ||||||||||
4.000%, 07/01/2022 | 120,000 | 126,886 | ||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) | 230,000 | 231,983 | ||||||||||
North East Independent School District, | ||||||||||||
2.000%, 08/01/2044 (Mandatory Tender Date 08/01/2019)(PSF Guaranteed) (1) | 190,000 | 190,080 | ||||||||||
North Hays County Municipal Utility District No. 1, | ||||||||||||
4.000%, 08/15/2019 (Insured by BAM) | 225,000 | 225,619 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2024 | 100,000 | 115,257 | ||||||||||
5.000%, 01/01/2033 (Callable 01/01/2026) | 675,000 | 794,900 | ||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 95,000 | 109,278 | ||||||||||
0.000%, 09/01/2037 (Pre-refunded to 09/01/2031) | 2,000,000 | 956,840 | ||||||||||
5.500%, 09/01/2041 (Pre-refunded to 09/01/2021) | 255,000 | 277,430 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 410,000 | 501,701 | ||||||||||
Red River Education Finance Corp., | ||||||||||||
5.000%, 06/01/2021 | 485,000 | 512,039 | ||||||||||
Rio Vista Independent School District, | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2025)(Insured by BAM) | 125,000 | 137,940 | ||||||||||
Rosebud-Lott Independent School District: | ||||||||||||
5.500%, 02/15/2030 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 119,866 | ||||||||||
5.500%, 02/15/2031 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 119,715 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 08/01/2019)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 425,000 | 424,248 | ||||||||||
Royse City Independent School District, | ||||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 200,000 | 207,306 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2022 | 160,000 | 176,597 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 375,000 | 381,368 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
4.000%, 09/01/2026 (Callable 09/01/2025)(Insured by BAM) | 85,000 | 94,580 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | 4,320,000 | 4,824,835 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2019 | 40,000 | 40,663 | ||||||||||
6.250%, 12/15/2026 | 1,650,000 | 1,927,959 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2026 (Callable 12/15/2022) | 190,000 | 209,182 | ||||||||||
5.000%, 12/15/2028 (Callable 12/15/2022) | 575,000 | 631,057 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,000,000 | 1,094,880 | ||||||||||
Texas Municipal Power Agency, | ||||||||||||
5.000%, 09/01/2047 (Callable 09/01/2020) | 500,000 | 517,605 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
1.900%, 12/01/2020 (Callable 07/19/2019)(Mandatory Tender Date 12/01/2019) (1) | 580,000 | 580,110 | ||||||||||
Tioga Independent School District Public Facility Corp., | ||||||||||||
4.000%, 08/15/2041 (Callable 08/15/2024) | 700,000 | 704,816 | ||||||||||
Tomball Independent School District, | ||||||||||||
1.100%, 02/15/2043 (Mandatory Tender Date 08/15/2019)(PSF Guaranteed) (1) | 150,000 | 149,934 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2025 (Insured by BAM) | 105,000 | 116,619 | ||||||||||
Travis County Municipal Utility District No. 4, | ||||||||||||
4.000%, 09/01/2035 (Callable 09/01/2022)(Insured by AGM) | 615,000 | 647,054 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2028)(Insured by BAM) | 240,000 | 292,879 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 315,000 | 340,317 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023)(Insured by AGM) | 470,000 | 506,486 | ||||||||||
6.000%, 12/01/2035 (Callable 12/01/2024)(Insured by BAM) | 90,000 | 109,698 | ||||||||||
Washington County Junior College District, | ||||||||||||
5.000%, 10/01/2028 (Callable 04/01/2026)(Insured by BAM) | 500,000 | 596,890 | ||||||||||
Wimberley Independent School District, | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2027)(PSF Guaranteed) | 330,000 | 372,837 | ||||||||||
Total Texas | 44,012,308 | 9.7 | % |
Utah | ||||||||||||
Jordan Valley Water Conservancy District: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 250,000 | 300,650 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2026) | 350,000 | 419,762 | ||||||||||
Salt Lake City Corp., | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2027) | 155,000 | 189,934 | ||||||||||
Timpanogos Special Service District, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2024) | 50,000 | 54,960 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2027 (Callable 04/15/2026)(Insured by UT CSCE) | 365,000 | 430,821 | ||||||||||
5.000%, 04/15/2028 (Callable 04/15/2026)(Insured by UT CSCE) | 720,000 | 847,267 | ||||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 520,000 | 593,117 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021 (Mandatory Tender Date 01/01/2021)(Insured by GNMA) (1) | 400,000 | 402,208 | ||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 340,000 | 360,886 | ||||||||||
Utah Infrastructure Agency: | ||||||||||||
5.000%, 10/15/2026 | 140,000 | 169,911 | ||||||||||
5.000%, 10/15/2027 | 125,000 | 153,951 | ||||||||||
Utah Transit Authority, | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2028) | 75,000 | 92,980 | ||||||||||
Total Utah | 4,016,447 | 0.9 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 275,000 | 334,029 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020 (Callable 07/29/2019) | 650,000 | 647,134 | ||||||||||
Vermont Educational & Health Buildings Financing Agency, | ||||||||||||
5.000%, 12/01/2035 (Callable 06/01/2026) | 710,000 | 829,259 | ||||||||||
Vermont Housing Finance Agency, | ||||||||||||
3.650%, 11/01/2032 (Callable 11/01/2024) | 120,000 | 125,270 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
4.000%, 07/01/2020 | 335,000 | 342,018 | ||||||||||
Total Vermont | 2,277,710 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 400,000 | 411,568 | 0.1 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST) | 390,000 | 416,735 | ||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 3,000,000 | 3,081,330 | ||||||||||
Total Virginia | 3,498,065 | 0.8 | % | |||||||||
Washington | ||||||||||||
Clark & Skamania Counties School District No. 112-6, | ||||||||||||
5.000%, 12/01/2031 (Callable 06/01/2025)(Insured by SCH BD GTY) | 160,000 | 188,144 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2028) | 600,000 | 758,058 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019 (Callable 07/19/2019) | 1,000,000 | 1,000,120 | ||||||||||
King County Public Hospital District No. 1, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2028) | 680,000 | 843,635 | ||||||||||
Lewis County School District No. 302, | ||||||||||||
5.000%, 12/01/2031 (Callable 06/01/2025)(Insured by SCH BD GTY) | 235,000 | 276,050 | ||||||||||
Pacific County School District No. 118, | ||||||||||||
4.000%, 12/01/2025 (Insured by SCH BD GTY) | 215,000 | 243,793 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2022) | 160,000 | 174,281 | ||||||||||
5.000%, 02/01/2038 (Callable 02/01/2024) | 645,000 | 727,850 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2028) | 1,330,000 | 1,593,992 | ||||||||||
Washington Biomedical Research Properties 3.2, | ||||||||||||
5.000%, 01/01/2037 (Callable 07/01/2025) | 100,000 | 115,820 | ||||||||||
Washington Health Care Facilities Authority, | ||||||||||||
6.375%, 10/01/2036 (Callable 07/29/2019) | 45,000 | 45,169 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
3.700%, 12/01/2033 (Callable 06/01/2024) | 85,000 | 85,432 | ||||||||||
3.700%, 12/01/2034 (Callable 06/01/2025) | 165,000 | 174,350 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 500,000 | 544,465 | ||||||||||
Total Washington | 6,771,159 | 1.5 | % | |||||||||
West Virginia | ||||||||||||
Morgantown Building Commission, | ||||||||||||
2.400%, 10/01/2019 (Callable 07/29/2019) | 255,000 | 255,071 | 0.1 | % | ||||||||
Wisconsin | ||||||||||||
Milwaukee Redevelopment Authority: | ||||||||||||
5.000%, 11/15/2030 (Callable 11/15/2026) | 225,000 | 268,405 | ||||||||||
5.000%, 11/15/2032 (Callable 11/15/2026) | 225,000 | 265,632 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 650,000 | 658,470 | ||||||||||
4.000%, 01/01/2021 | 435,000 | 445,288 | ||||||||||
5.000%, 06/15/2025 | 220,000 | 250,243 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2023 (ETM)(Insured by NATL) | 25,000 | 23,329 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 830,000 | 913,133 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 1,000,000 | 1,203,380 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 1,000,000 | 1,104,390 | ||||||||||
Village of Sussex WI, | ||||||||||||
3.000%, 06/01/2023 (Callable 06/01/2022) | 590,000 | 611,116 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.250%, 12/15/2023 (Insured by AGM) | 245,000 | 271,061 | ||||||||||
0.000%, 12/15/2027 (Insured by NATL) | 220,000 | 184,138 | ||||||||||
5.000%, 12/15/2027 (Callable 06/15/2026) | 500,000 | 601,360 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 255,000 | 305,747 | ||||||||||
5.000%, 12/15/2028 (Callable 06/15/2026) | 185,000 | 222,320 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 395,000 | 435,713 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
4.000%, 09/15/2019 | 165,000 | 165,635 | ||||||||||
3.000%, 12/01/2019 | 750,000 | 754,335 | ||||||||||
2.650%, 11/01/2020 (Callable 11/01/2019) | 1,625,000 | 1,627,503 | ||||||||||
5.000%, 03/01/2021 | 150,000 | 154,227 | ||||||||||
5.000%, 03/01/2022 | 125,000 | 130,685 | ||||||||||
5.000%, 07/01/2023 | 165,000 | 182,937 | ||||||||||
5.000%, 07/01/2024 | 250,000 | 283,408 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 200,000 | 209,852 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 56,530 | ||||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 119,808 | ||||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 194,966 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,124,340 | ||||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 54,275 | ||||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 208,979 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 547,603 | ||||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 50,000 | 53,368 | ||||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 316,114 | ||||||||||
1.375%, 11/15/2038 (Mandatory Tender Date 12/03/2019) (1) | 185,000 | 184,933 | ||||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 490,259 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 455,000 | 484,152 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 2,000,000 | 2,192,480 | ||||||||||
Total Wisconsin | 17,300,114 | 3.8 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
3.000%, 12/01/2044 (Callable 06/01/2024) | 95,000 | 97,129 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 2,000,000 | 2,170,620 | ||||||||||
Total Wyoming | 2,267,749 | 0.5 | % | |||||||||
Total Long-Term Investments (Cost $433,831,743) | 447,672,908 | 98.9 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, 1.80% (4) | 2,718,785 | 2,718,785 | ||||||||||
Total Short-Term Investment (Cost $2,718,785) | 2,718,785 | 0.6 | % | |||||||||
Total Investments (Cost $436,550,528) | 450,391,693 | 99.5 | % | |||||||||
Liabilities in Excess of Other Assets | 2,334,356 | 0.5 | % | |||||||||
TOTAL NET ASSETS | $ | 452,726,049 | 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 | |
SD CRED PROG | State Credit Enhancement Program | |
UT CSCE | Utah Charter School Finance Authority | |
(1) | 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, 2019. | |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. | |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund's liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $421,037, which represents 0.09% of total net assets. | |
(4) | 7-Day Yield. | |
(5) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. | |
(6) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
Baird Core Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2019 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2019 (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, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 447,672,908 | $ | – | $ | 447,672,908 | ||||||||
Total Long-Term Investments | – | 447,672,908 | – | 447,672,908 | ||||||||||||
Short-Term Investment | ||||||||||||||||
2,718,785 | – | – | 2,718,785 | |||||||||||||
Total Short-Term Investment | 2,718,785 | – | – | 2,718,785 | ||||||||||||
Total Investments | $ | 2,718,785 | $ | 447,672,908 | $ | – | $ | 450,391,693 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications 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 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 because the Registrant is not a closed-end management investment company.
Item 13. Exhibits.
(a) | (1) Code of ethics |
Not applicable - only required for annual reports on Form N-CSR.
(2) A separate certification for each principal executive officer 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) Change in the Registrant’s independent public accountant.
There was no change in the Registrant’s independent public accountant for the period covered by this 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 6, 2019
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 6, 2019
By (Signature and Title) /s/Heidi Schneider
Heidi Schneider, Treasurer
Date September 6, 2019