UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09997
Baird Funds, Inc.
(Exact name of Registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Andrew D. Ketter
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Name and address of agent for service)
1-866-442-2473
Registrant's telephone number, including area code
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Item 1. Reports to Stockholders.
Annual Report –
Baird Funds
December 31, 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
Baird Strategic Municipal Bond Fund
Baird 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.
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Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Letter to Shareholders | 1 | |
2019 Bond Market Overview | 2 | |
Baird Ultra Short Bond Fund | 7 | |
Baird Short-Term Bond Fund | 17 | |
Baird Intermediate Bond Fund | 27 | |
Baird Aggregate Bond Fund | 37 | |
Baird Core Plus Bond Fund | 52 | |
2019 Municipal Bond Market Overview | 66 | |
Baird Short-Term Municipal Bond Fund | 70 | |
Baird Quality Intermediate Municipal Bond Fund | 87 | |
Baird Core Intermediate Municipal Bond Fund | 102 | |
Baird Strategic Municipal Bond Fund | 118 | |
Baird Municipal Bond Fund | 129 | |
Additional Information on Fund Expenses | 140 | |
Statements of Assets and Liabilities | 142 | |
Statements of Operations | 146 | |
Statements of Changes in Net Assets | 150 | |
Financial Highlights | 160 | |
Notes to the Financial Statements | 180 | |
Report of Independent Registered Public Accounting Firm | 197 | |
Directors and Officers | 198 | |
Disclosure Regarding the Board of Directors’ Approval | ||
of the Investment Advisory Agreement for Baird Bond Funds | 201 | |
Additional Information | 205 | |
Privacy Notice | A-1 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates, asset classes, types of fixed income securities and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird Funds
1-866-442-2473
www.bairdfunds.com
February 28, 2020
Dear Shareholder,
2019 saw a strong rebound in financial markets from the volatility and uncertainty of 2018 and returns in the U.S. fixed income market were truly phenomenal. In the taxable bond market, accommodative monetary policy from global central banks, including a pivot away from additional rate hikes by the U.S. Fed, allayed global recessionary fears while strong domestic and foreign demand helped drive corporate spreads tighter. In the municipal bond market, 2019 was a rewarding year for investors driven to a large extent by the supportive demographics of an aging society in need of income and the impact of the Tax Cuts and Jobs Act which continued to drive demand for tax-exempt securities.
Amidst this backdrop, all of the Baird Bond Funds delivered strong nominal and risk adjusted results to investors. The Funds’ long-term track records remain very competitive and we believe the portfolios are positioned well as we enter 2020.
Our commitment to our long-term principles to generate competitive risk-controlled returns over full market cycles; support and strengthen our long-tenured, seasoned investment group and team-based, collaborative culture; deliver outstanding client service; and provide products that are competitively priced, continues to generate strong alignment with the interests of our investors and helped drive assets under management in the Baird Bond Funds to just over $62.7 billion at year end.
We greatly value the trust you have placed in us and are privileged to provide you with fixed income investment management services. We can assure you that we never lose sight of the fact that our long-term success rests on the trust you have placed in us to be effective stewards of your assets.
Thank you for your continued investment in the Baird Bond Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
2019 Bond Market Overview
(Unaudited)
2019: U.S. and Global Growth Worries Lead to Accommodative Fed Pivot; Trade Tensions and Politics Create Uncertainty
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year yield fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%. In January, Chairman Powell said that the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. In a worrisome signal to investors looking for signs of recession, the yield spread between the 3-month Treasury bill and 10-year Treasury note inverted on multiple occasions in 2019, reaching its most negative level of -52 bps on August 28. Seeing disruption in short-term lending markets, the Fed began to provide additional Repo funding to the market in September. The Fed went even further in October, committing to buy $60B per month of Treasury Bills into Q2 2020 to rebuild excess reserve levels and to ensure ample liquidity and short-term funding market stability. The pivot to accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 bps. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal”, preventing new tariffs on December 15th, and halving the tariffs that had been implemented on September 1. Furthermore, China committed over two years to a $200B increase in purchases of U.S. goods, primarily agricultural products. Partisan politics weighed on market sentiment throughout the year, culminating in the House of Representatives voting to impeach President Trump. In the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament this month, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
Treasury Yields
Maturity | 12/31/18 | 9/30/19 | 12/31/19 | Q4 Change | 2019 Change |
3mo | 2.37% | 1.82% | 1.55% | -0.27% | -0.82% |
1 | 2.60% | 1.77% | 1.60% | -0.17% | -1.00% |
2 | 2.49% | 1.62% | 1.57% | -0.05% | -0.92% |
3 | 2.46% | 1.56% | 1.61% | 0.05% | -0.85% |
5 | 2.51% | 1.55% | 1.69% | 0.14% | -0.82% |
7 | 2.59% | 1.62% | 1.83% | 0.21% | -0.76% |
10 | 2.68% | 1.68% | 1.92% | 0.24% | -0.76% |
30 | 3.02% | 2.12% | 2.39% | 0.27% | -0.63% |
Strong Domestic and International Fixed-Income Flows in 2019, Setting New Domestic Record
Fixed income fund inflows occurred at a record pace in 2019 after experiencing $70B of outflows in the last three months of 2018. Flows into fixed income funds and ETFs for 2019 entering the last week reached $450B, breaking the previous record set in 2017 (see chart, below). The ICI data doesn’t fully capture demand from all market participants – such as insurance companies, pensions, and foreign investors. However, data
Page 2
2019 Bond Market Overview
(Unaudited)
from the Fed showed a strong appetite from foreign buyers, as net buying of investment grade corporate bonds in the first nine months of the year reached nearly $115B (or a $152B annualized pace), absorbing over a third of the $355B U.S. corporate net supply during that period. Global investors have been drawn to the positive yields on U.S. debt, as over $11 trillion in global bonds were priced at negative yields at year end, according to Bloomberg, down from a peak of $17 trillion in late August.
Option-Adjusted Spreads (in bps)
Q4 | YTD | |||||||||||||||||||
12/31/18 | 9/30/19 | 12/31/19 | Chg | Chg | ||||||||||||||||
U.S. Aggregate Index | 54 | 46 | 39 | -7 | -15 | |||||||||||||||
U.S. Agency (non-mortgage) | 16 | 11 | 10 | -1 | -6 | |||||||||||||||
Mortgage and ABS Sectors | ||||||||||||||||||||
U.S. Agency Pass-throughs | 35 | 46 | 39 | -7 | 4 | |||||||||||||||
U.S. Agency CMBS | 55 | 52 | 53 | 1 | -2 | |||||||||||||||
U.S. Non-Agency CMBS | 107 | 82 | 85 | 3 | -22 | |||||||||||||||
Asset-Backed Securities | 53 | 37 | 44 | 7 | -9 | |||||||||||||||
Corporate Sectors | ||||||||||||||||||||
U.S. Investment Grade | 153 | 115 | 93 | -22 | -60 | |||||||||||||||
Industrial | 157 | 121 | 99 | -22 | -58 | |||||||||||||||
Utility | 144 | 113 | 97 | -16 | -47 | |||||||||||||||
Financial Institutions | 147 | 103 | 80 | -23 | -67 | |||||||||||||||
Other Govt. Related | 90 | 78 | 72 | -6 | -18 | |||||||||||||||
U.S. High Yield Corporates | 526 | 373 | 336 | -37 | -190 | |||||||||||||||
Emerging Market Debt | 560 | 612 | 573 | -39 | 13 |
Source: Bloomberg Barclays Indices
Corporate Spreads Meaningfully Tighter in 2019
Fixed income industry outflows and fears of a central bank policy mistake tipping the U.S. economy into recession contributed to wider spreads at the end of 2018, setting the stage for a rebound in 2019. Accommodative monetary policy from global central banks, including a pivot away from additional rate hikes by the U.S. Fed, allayed global recessionary fears while strong domestic and foreign demand helped drive corporate spreads tighter. U.S. Investment Grade Corporates ended the year 60 bps tighter at 93 bps while High Yield Corporates tightened a remarkable 190 bps to end the year at 336 bps. U.S. Agency Pass-throughs were an outlier, widening 4 bps in 2019 to 39 bps, as prepayment risks remained elevated and the Fed no longer supported the sector with additional purchases, instead allowing its MBS holdings to continue to run off, and only reinvesting in Treasuries. Emerging Market Debt also widened 13 bps in 2019 to 573 bps, primarily driven by country-specific news such as Argentina’s currency crisis and debt default.
Phenomenal Market Returns, Credit Outperformed in 2019
The returns in the U.S. fixed income market were truly phenomenal considering that the 10-year Treasury yield began the year at 2.68%. Both credit risk and duration risk were rewarded in 2019. U.S. Investment Grade Corporates posted the strongest overall returns in 2019 (+14.54%), and returns on longer maturities (U.S. Gov’t/Credit + 9.71%) were substantially greater than those on shorter maturities (U.S. 1-3 Yr. Gov’t/Credit Index +4.03%).
Page 3
2019 Bond Market Overview
(Unaudited)
Total Returns of Selected Barclays Indices and Subsectors
Effective | ||||||||||||||||
Bloomberg Barclays Index/Sector | December | Q4 | 2019 | Duration (yrs) | ||||||||||||
U.S. Aggregate Index | -0.07 | % | 0.18 | % | 8.72 | % | 5.87 | |||||||||
U.S. Gov’t/Credit Index | -0.20 | % | -0.01 | % | 9.71 | % | 6.93 | |||||||||
U.S. Intermediate Gov’t/Credit Index | 0.13 | % | 0.37 | % | 6.80 | % | 3.91 | |||||||||
U.S. 1-3 Yr. Gov’t/Credit Index | 0.24 | % | 0.59 | % | 4.03 | % | 1.87 | |||||||||
U.S. Treasury | -0.56 | % | -0.79 | % | 6.86 | % | 6.48 | |||||||||
U.S. Agency (Non-Mortgage) | -0.21 | % | -0.09 | % | 5.89 | % | 4.08 | |||||||||
U.S. Agency Pass-Throughs | 0.28 | % | 0.71 | % | 6.35 | % | 3.21 | |||||||||
CMBS (Commercial Mortgage Backed Securities) | -0.25 | % | -0.33 | % | 8.29 | % | 5.31 | |||||||||
ABS (Asset-Backed Securities) | 0.11 | % | 0.39 | % | 4.53 | % | 2.13 | |||||||||
U.S. Corporate Investment Grade | 0.32 | % | 1.18 | % | 14.54 | % | 7.89 | |||||||||
U.S. High Yield Corporates | 2.00 | % | 2.61 | % | 14.32 | % | 3.05 | |||||||||
Emerging Market Debt | 2.99 | % | 3.50 | % | 10.90 | % | 4.63 | |||||||||
Municipal Bond Index | 0.31 | % | 0.74 | % | 7.54 | % | 5.34 | |||||||||
TIPS (Treasury Inflation Protected Securities) | 0.38 | % | 0.79 | % | 8.43 | % | 4.67 |
2020 Outlook
As we ring in 2020, we see the year as likely a “continuation of gradual”, in terms of growth and inflation, but with bouts of higher volatility. The outlook for Fed policy and short-term interest rates is a holding pattern – patiently waiting to see if the three rate cuts in 2019 are sufficient to sustain growth around 2%. Global growth quite likely bottomed in 2019 and the risk of global recession has diminished, however, it is likely global growth will be impacted in the first half of 2020 if not longer as a result of the global Coronavirus (COVID-19) outbreak. On the inflation front, the Fed will likely adopt a new approach to meeting their 2% inflation objective sometime in the first half of 2020 in response to inflation remaining persistently below their 2% target for most of this cycle. The new approach will effectively be a “make-up strategy” that would allow inflation to run above 2% for a period of time if inflation has been below 2% for prior periods to achieve an average inflation rate of 2% over the long term. Given that inflation has persistently run below 2% in the last several years, the Fed would signal that no policy action would be required if inflation would run modestly above 2% for an extended period of time under this new approach. While the full global economic impact of the Coronavirus (COVID-19) is still unknown, we currently expect U.S. real growth of 1.5%-2.5% in 2020, extending the longest post-WWII expansion further with only a modest increase in inflation.
While bouts of higher volatility may well persist, modest economic growth, moderate inflation, and the Fed’s evolving approach to inflation targeting lead us to expect a low, accommodative fed funds rate target with potential for the yield curve to steepen. The new federal budget deal boosts federal spending, creating a larger deficit which must be funded through additional federal borrowing. While few policymakers are currently focused on the growing federal debt, there is risk this could ultimately put upward pressure on Treasury rates, but not meaningfully so in 2020. Positive consumer confidence should benefit retail spending as many households have benefited from the strong equity and fixed income market returns. In addition, a de-escalation of trade tensions may help support business confidence, translating into improved growth in business capital expenditures.
Our outlook for corporate credit is mixed – we continue to see value in BBB-rated credit where business models are strong and management teams are committed to deleveraging. However, A-rated credit appears to be more fully-valued as the year-end spread of 70 bps is only a few basis points away from the tightest levels since the financial crisis. The probability of a near-term recession remains relatively low and we expect corporate earnings growth to be positive, though at a moderate pace. We remain cautious on the prospects for Agency Pass-through securities, as the Fed continues its balance sheet reduction, but find value in select collateral that offers better prepayment protections. We are optimistic on the outlook for other securitized sectors, such as Non-Agency RMBS, CMBS and ABS, which we believe offer value versus higher-rated credit and expect to outperform equivalent-duration Treasuries in 2020.
Page 4
2019 Bond Market Overview
(Unaudited)
Disclosures
Fixed income is generally considered to be a more conservative investment than stocks, but bonds and other fixed income investments still carry a variety of risks such as interest rate risk, credit risk, inflation risk, and liquidity risk. In a rising interest rate environment, the value of fixed-income securities generally declines and conversely, in a falling interest rate environment, the value of fixed-income securities generally increases. High yield securities may be subject to heightened market, interest rate or credit risk and should not be purchased solely because of the stated yield.
The Bloomberg Barclays Aggregate Bond Index is an index comprised of approximately 6000 publicly traded bonds including U.S. Government, mortgage-backed, corporate, and Yankee bonds with an average maturity of approximately 10 years.
The Bloomberg Barclays Government/Credit Index is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt.
The Bloomberg Barclays Intermediate Government/Credit Index is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt with maturities between one and ten years.
The Bloomberg Barclays Government/Credit Intermediate Index (1 – 3 yr.) is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt with maturities between zero and three years.
The Bloomberg Barclays U.S. Treasury Index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint of at least one year but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indices. The U.S. Treasury Index was launched on January 1, 1973.
U.S. Agency: This index is the U.S. Agency component of the U.S. Government/Credit index. Publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government (such as USAID securities). The largest issues are Fannie Mae, Freddie Mac, and the Federal Home Loan Bank System (FHLB). The index includes both callable and non-callable agency securities.
U.S Corporate – Investment Grade: This index is the Corporate component of the U.S. Credit index. It includes publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
CMBS (Commercial Mortgage-Backed Securities): This index is the CMBS component of the U.S. Aggregate index. The Bloomberg Barclays CMBS ERISA-Eligible Index is the ERISA-eligible component of the Bloomberg Barclays CMBS Index. This index, which includes investment grade securities that are ERISA eligible under the underwriter’s exemption, is the only CMBS sector that is included in the U.S. Aggregate Index.
MBS (Mortgage-Backed Securities): This index is the U.S. MBS component of the U.S. Aggregate index. The MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates.
ABS (Asset-Backed Securities): This index is the ABS component of the U.S. Aggregate index. The ABS index has three subsectors: credit and charge cards, autos, and utility. The index includes pass-through, bullet, and controlled amortization structures. The ABS Index includes only the senior class of each ABS issue and the ERISA-eligible B and C tranche. The Manufactured Housing sector was removed as of January 1, 2008, and the Home Equity Loan sector was removed as of October 1, 2009.
Page 5
2019 Bond Market Overview
(Unaudited)
Corporate High Yield: The Bloomberg Barclays U.S. High Yield Index covers the universe of fixed rate, non-investment grade debt. Eurobonds and debt issues from countries designated as emerging markets (sovereign rating of Baa1/BBB+/BBB+ and below using the middle of Moody’s, S&P, and Fitch) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, 144-As and pay-in-kind bonds (PIKs, as of October 1, 2009) are also included.
Emerging Market: Bloomberg uses a fixed list of countries defined as emerging markets countries for index inclusion purposes that is based on World Bank Income group definitions (Low/Middle), IMF country classifications (Non-Advanced Economies), and other advanced economies that may be less accessible or investable for global debt investors.
The Bloomberg Barclays Municipal Bond Index is a broad-based, total-return index. The bonds are all investment-grade, tax-exempt, and fixed-rate securities with long-term maturities (greater than 2 years). They are selected from issues larger than $50 million.
The Bloomberg Barclays TIPS Index consists of Treasury Inflation Protected Securities (TIPS). TIPS are securities whose principal is tied to the Consumer Price Index. TIPS pay interest semi-annually, based on the fixed rate applied to the adjusted principal.
Ratings are measured on a scale that ranges from AAA or Aaa (highest) to D or C (lowest). Investment grade investments are those rated from highest down to BBB- or Baa3.
Robert W. Baird & Co. Incorporated. This is not a complete analysis of every material fact regarding any company, industry or security. The information has been obtained from sources we consider to be reliable, but we cannot guarantee the accuracy. Indices are unmanaged, and are not available for direct investment. Past performance is not a guarantee of future results.
Page 6
Baird Ultra Short Bond Fund
December 31, 2019 (Unaudited)
The Baird Ultra Short Bond Fund seeks current income consistent with preservation of capital. The Fund’s primary benchmark index against which it measures performance is the Bloomberg Barclays U.S. Short-Term Government/Corporate Index. The Bloomberg Barclays U.S. Short-Term Government/Corporate Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities of less than one year.
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year Treasury fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%, still 76 basis points lower for the year. In January, Chairman Powell said the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the Fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. The pivot to more accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 basis points. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal” and, in the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 42 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Credit Positioning | |
• Positive – Overweight to Investment Grade Credit | ||
• Positive – Active positioning within Investment Grade Credit, specifically an overweight to BBB Credit | ||
• | Mortgage-Backed Securities (MBS) & Asset-Backed Securities (ABS) Positioning – Positive overall |
The economic outlook for 2020 is largely similar to what occurred in 2019, with a continuation of modest economic growth (1.5% – 2.5%) and moderate inflation at or below the Fed’s 2.0% target level for Core PCE. With this outlook, a stable but accommodative Fed stance is also likely to prevail for the year. One would expect that a favorable economic, inflation and monetary backdrop would imply stable market rates as well, but bouts of higher volatility are to be expected, particularly since 2020 is an election year, other geopolitical “hotspots” persist such as Iran and the global economic impact of the Coronavirus (COVID-19) outbreak is currently unknown. Prior to the outbreak, the global economic picture appeared to be improving on the margin, with the timing of Brexit resolved and the “Phase One” trade agreement between the U.S and China in place.
We maintain an overweight to Investment Grade Corporate Credit, particularly Financials. We maintain an allocation to the MBS/ABS sectors at the senior part of the capital structure due to what we believe are favorable risk/reward characteristics and the broad sector diversification benefits they provide. As a reminder, we only purchase U.S. dollar denominated securities in the cash bond market (no derivatives). We believe the Fund is well positioned to add value relative to its benchmark.
Page 7
Baird Ultra Short Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,733,534,511 | |||
| ||||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | ||||
(Subsidized) | 2.08% | |||
Institutional Class | ||||
(Unsubsidized) | 1.93% | |||
Investor Class | ||||
(Subsidized) | 1.84% | |||
Investor Class | ||||
(Unsubsidized) | 1.69% | |||
Average | ||||
Effective | ||||
Duration | 0.48 years | |||
Sector Weightings(1) | ||||
Average | ||||
| Effective | |||
Maturity | 0.69 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 | 70% | |||
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 December 31, 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, 2021. The agreement may only be terminated prior to the end of this term by or with the consent of the Board of Directors of Baird Funds, Inc. |
(5) | Includes 0.25% 12b-1 fee. |
Page 8
Baird Ultra Short Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (12/31/13), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (12/31/13), assuming reinvestment of all distributions.
Page 9
Baird Ultra Short Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
One | Three | Five | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 3.11% | 2.12% | 1.64% | 1.57% |
Investor Class Shares | 2.87% | 1.84% | 1.39% | 1.31% |
Bloomberg Barclays U.S. Short-Term | ||||
Government/Corporate Index(2) | 2.69% | 1.89% | 1.34% | 1.15% |
(1) | For the period from December 31, 2013 (inception date) through December 31, 2019. |
(2) | 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. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest up to 10% of its net assets in non-investment grade debt securities (commonly referred to as “high yield” bonds). While these types of securities typically offer higher yields than investment grade securities, they also include greater risks including increased credit risk and the increased risk of default or bankruptcy. The Fund may also invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 10
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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: | ||||||||||||
1.500%, 06/15/2020 | $ | 78,000,000 | $ | 77,972,578 | 4.5 | % | ||||||
1.500%, 08/15/2020 | 58,400,000 | 58,354,375 | 3.4 | % | ||||||||
1.375%, 09/15/2020 | 106,000,000 | 105,805,390 | 6.1 | % | ||||||||
1.625%, 10/15/2020 | 85,000,000 | 84,990,039 | 4.9 | % | ||||||||
2.625%, 11/15/2020 | 20,000,000 | 20,167,969 | 1.1 | % | ||||||||
1.875%, 12/15/2020 | 132,000,000 | 132,288,750 | 7.6 | % | ||||||||
2.000%, 01/15/2021 | 65,000,000 | 65,247,585 | 3.8 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $544,326,230) | 544,826,686 | 31.4 | % | |||||||||
Other Government Related Securities | ||||||||||||
Syngenta Finance NV, | ||||||||||||
3.698%, 04/24/2020(1)(2) | 7,500,000 | 7,523,598 | 0.5 | % | ||||||||
Other Government Related Securities(1)(2)(3)(7) | 17,884,051 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $25,369,817) | 25,407,649 | 1.5 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Broadcom, Inc., | ||||||||||||
2.375%, 01/15/2020 | 10,500,000 | 10,500,469 | 0.6 | % | ||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 9,298,000 | 9,413,987 | 0.5 | % | ||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.375%, 11/06/2020 | 11,550,000 | 11,737,688 | 0.7 | % | ||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 11,585,000 | 11,624,430 | 0.7 | % | ||||||||
CVS Health Corp., | ||||||||||||
2.605%, 03/09/2021 | ||||||||||||
(3 Month LIBOR USD + 0.720%)(3) | 7,485,000 | 7,530,896 | 0.4 | % | ||||||||
Dollar Tree, Inc., | ||||||||||||
2.702%, 04/17/2020 | ||||||||||||
(3 Month LIBOR USD + 0.700%)(3) | 11,231,000 | 11,233,085 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
EMD Finance LLC, | ||||||||||||
2.400%, 03/19/2020(2) | $ | 11,200,000 | $ | 11,203,432 | 0.7 | % | ||||||
Energy Transfer Partners LP, | ||||||||||||
4.150%, 10/01/2020 | 12,435,000 | 12,567,575 | 0.7 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 12,804,000 | 12,821,124 | 0.7 | % | ||||||||
Occidental Petroleum Corp., | ||||||||||||
3.360%, 08/15/2022 | ||||||||||||
(3 Month LIBOR USD + 1.450%)(3) | 8,000,000 | 8,042,751 | 0.5 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.625%, 02/01/2021 | 12,300,000 | 12,643,083 | 0.7 | % | ||||||||
Time Warner Cable LLC, | ||||||||||||
5.000%, 02/01/2020 | 10,252,000 | 10,271,199 | 0.6 | % | ||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020(1)(2) | 11,650,000 | 11,893,050 | 0.7 | % | ||||||||
Vulcan Materials Co., | ||||||||||||
2.557%, 03/01/2021 | ||||||||||||
(3 Month LIBOR USD + 0.650%)(3) | 9,236,000 | 9,253,694 | 0.5 | % | ||||||||
Williams Companies, Inc., | ||||||||||||
5.250%, 03/15/2020 | 9,976,000 | 10,034,579 | 0.6 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 11,200,000 | 11,207,279 | 0.6 | % | ||||||||
Other Industrials(1)(2)(3)(7) | 264,907,136 | 15.3 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $435,996,478) | 436,885,457 | 25.2 | % | |||||||||
Utilities | ||||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020(1)(2) | 10,925,000 | 10,913,157 | 0.6 | % | ||||||||
Other Utilities(3)(7) | 10,363,844 | 0.6 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $21,280,195) | 21,277,001 | 1.2 | % | |||||||||
Financials | ||||||||||||
AerCap Holdings N.V., | ||||||||||||
4.625%, 10/30/2020(1) | 8,711,000 | 8,885,268 | 0.5 | % | ||||||||
Ally Financial, Inc., | ||||||||||||
4.125%, 03/30/2020 | 12,000,000 | 12,045,000 | 0.7 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 8,794,000 | 8,890,691 | 0.5 | % | ||||||||
PNC Bank NA, | ||||||||||||
2.315%, 12/09/2022 | ||||||||||||
(3 Month LIBOR USD + 0.430%)(3) | 8,000,000 | 8,008,360 | 0.4 | % | ||||||||
Royal Bank of Scotland PLC, | ||||||||||||
5.625%, 08/24/2020(1) | 8,200,000 | 8,382,984 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
SunTrust Banks, Inc., | ||||||||||||
2.494%, 05/17/2022 | ||||||||||||
(3 Month LIBOR USD + 0.590%)(3) | $ | 8,400,000 | $ | 8,440,156 | 0.5 | % | ||||||
Wells Fargo Bank NA, | ||||||||||||
2.545%, 09/09/2022 | ||||||||||||
(3 Month LIBOR USD + 0.660%)(3) | 8,150,000 | 8,192,921 | 0.5 | % | ||||||||
Other Financials(1)(2)(3)(7) | 207,310,113 | 12.0 | % | |||||||||
Total Financials | ||||||||||||
(Cost $269,625,213) | 270,155,493 | 15.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $726,901,886) | 728,317,951 | 42.0 | % | |||||||||
Municipal Bonds | ||||||||||||
New Jersey Economic Development Authority, | ||||||||||||
0.000%, 02/15/2021 | 8,185,000 | 8,003,702 | 0.5 | % | ||||||||
State of Illinois, | ||||||||||||
5.463%, 02/01/2020 | 11,240,000 | 11,266,414 | 0.7 | % | ||||||||
Other Municipal Bonds(4)(7) | 5,970,302 | 0.3 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $25,221,039) | 25,240,418 | 1.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(7) | 91 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $88) | 91 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Mill City Mortgage Trust, | ||||||||||||
Series 2015-1, Class A3, 3.000%, 06/25/2056(2)(4) | 8,090,976 | 8,086,070 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(7) | 19,460,365 | 1.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $27,522,575) | 27,546,435 | 1.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2012-GC6, Class AAB, 3.314%, 01/12/2045 | 12,705,611 | 12,803,235 | 0.7 | % | ||||||||
Other Non-U.S. Government Agency Issues(7) | 8,392,746 | 0.5 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $21,188,134) | 21,195,981 | 1.2 | % | |||||||||
Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-3, Class A, 1.770%, 11/15/2022 | 2,000,000 | 1,999,262 | 0.1 | % | ||||||||
Series 2017-6, Class A, 2.040%, 05/15/2023 | 7,092,000 | 7,102,842 | 0.4 | % | ||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 8,384,000 | 8,383,620 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A1, Class A1, 2.000%, 01/17/2023 | $ | 10,000,000 | $ | 10,001,208 | 0.6 | % | ||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 11,125,000 | 11,124,403 | 0.6 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2015-2, Class A, 2.440%, 01/15/2027(2) | 9,343,000 | 9,362,930 | 0.5 | % | ||||||||
GM Financial Consumer Automobile Receivables Trust, | ||||||||||||
Series 2018-1, Class A3, 2.320%, 07/18/2022 | 8,623,097 | 8,645,862 | 0.5 | % | ||||||||
GMF Floorplan Owner Revolving Trust, | ||||||||||||
Series 2017-1, Class A1, 2.220%, 01/18/2022(2) | 8,511,000 | 8,510,820 | 0.5 | % | ||||||||
Golden Credit Card Trust, | ||||||||||||
Series 2017-2A, Class A, 1.980%, 04/15/2022(1)(2) | 20,420,000 | 20,418,334 | 1.2 | % | ||||||||
Honda Auto Receivables 2019-2 Owner Trust, | ||||||||||||
Series 2019-2, Class A2, 2.570%, 12/21/2021 | 10,806,000 | 10,841,127 | 0.6 | % | ||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021(1)(2) | 14,600,000 | 14,573,755 | 0.8 | % | ||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022(2) | 10,000,000 | 10,011,751 | 0.6 | % | ||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,075,000 | 12,084,404 | 0.7 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022(2) | 8,435,424 | 8,438,201 | 0.5 | % | ||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022(2) | 7,707,392 | 7,726,565 | 0.5 | % | ||||||||
Walt Disney Co., | ||||||||||||
Series 2015-A4, Class A4, 2.190%, 04/17/2023 | 8,859,000 | 8,883,634 | 0.5 | % | ||||||||
Other Asset Backed Securities(1)(2)(4)(7) | 167,726,937 | 9.7 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $325,251,898) | 325,835,655 | 18.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,695,781,667) | 1,698,370,866 | 98.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Paper | ||||||||||||
Catholic Health Initiatives, 1.73%(5) | $ | 10,000,000 | $ | 9,979,384 | 0.6 | % | ||||||
9,979,384 | 0.6 | % | ||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 1.53%(6) | 68,477,942 | 68,477,942 | 3.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $78,453,442) | 78,457,326 | 4.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,774,235,109) | 1,776,828,192 | 102.5 | % | |||||||||
Liabilities in Excess of Other Assets | (43,293,681 | ) | (2.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,733,534,511 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
(1) | Foreign security, or group of securities contains a foreign security. |
(2) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $315,841,551, which represents 18.22% of total net assets. |
(3) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(4) | Variable rate security, or group of securities contains a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2019. |
(5) | Effective Yield. |
(6) | Seven-day yield. |
(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 December 31, 2019
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 Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019 (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 544,826,686 | $ | — | $ | 544,826,686 | ||||||||
Other Government Related Securities | — | 25,407,649 | — | 25,407,649 | ||||||||||||
Corporate Bonds | — | 728,317,951 | — | 728,317,951 | ||||||||||||
Municipal Bonds | — | 25,240,418 | — | 25,240,418 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 91 | — | 91 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 27,546,435 | — | 27,546,435 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 21,195,981 | — | 21,195,981 | ||||||||||||
Asset Backed Securities | — | 325,835,655 | — | 325,835,655 | ||||||||||||
Total Long-Term Investments | — | 1,698,370,866 | — | 1,698,370,866 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | — | �� | 9,979,384 | — | 9,979,384 | |||||||||||
Money Market Mutual Fund | 68,477,942 | — | — | 68,477,942 | ||||||||||||
Total Short-Term Investments | 68,477,942 | — | — | 78,457,326 | ||||||||||||
Total Investments | $ | 68,477,942 | $ | 1,708,350,250 | $ | — | $ | 1,776,828,192 |
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 Short-Term Bond Fund
December 31, 2019 (Unaudited)
The Baird Short-Term Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index. The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and credit securities, with maturities between one and three years.
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year Treasury fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%, still 76 basis points lower for the year. In January, Chairman Powell said the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the Fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. The pivot to more accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 basis points. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal” and, in the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 65 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Credit Positioning | ||
• Positive – Overweight to Investment Grade Credit | |||
• Positive – Active positioning within Investment Grade Credit | |||
• Positive – Overweight to Financials as well as an overweight to BBB Credit | |||
• Positive – Underweight to Other Government/Non-Corp Credit in favor of Corporate Credit | |||
• | Mortgage-Backed Securities (MBS) & Asset-Backed Securities (ABS) Positioning | ||
• Positive – Exposure to Non-Agency Residential Mortgage-Backed Securities (RMBS) & ABS | |||
• Modest Positive – Exposure to Non-Agency Commercial Mortgage-Backed Securities (CMBS) | |||
• | Yield Curve Positioning | ||
• Modest detractor – Modest overweight to less than 1-year maturities and modest underweight to 1-3 year maturities as the curve steepened |
The economic outlook for 2020 is largely similar to what occurred in 2019, with a continuation of modest economic growth (1.5% – 2.5%) and moderate inflation at or below the Fed’s 2.0% target level for Core PCE. With this outlook, a stable but accommodative Fed stance is also likely to prevail for the year. One would expect that a favorable economic, inflation and monetary backdrop would imply stable market rates as well, but bouts of higher volatility are to be expected, particularly since 2020 is an election year, other geopolitical “hotspots” persist such as Iran and the global economic impact of the Coronavirus (COVID-19) outbreak is currently unknown. Prior to the outbreak, the global economic picture appeared to be improving on the margin, with the timing of Brexit resolved and the “Phase One” trade agreement between the U.S and China in place.
We maintain an overweight to Investment Grade Corporate Credit, particularly Financials. We maintain an allocation to the MBS/ABS sectors at the senior part of the capital structure due to what we believe are favorable risk/reward characteristics and the broad sector diversification benefits they provide. As a reminder, we only purchase investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 17
Baird Short-Term Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $6,651,437,392 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.89% | |||
Investor Class | 1.64% | |||
Average | ||||
Effective | ||||
Duration | 1.87 years | |||
Average | ||||
Effective | ||||
Maturity | 1.98 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(4) | ||||
| Institutional Class | 0.30% | ||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate | 64% | |||
Number of | ||||
Holdings | 465 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 18
Baird Short-Term Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (09/19/12), assuming reinvestment of all distributions.
Page 19
Baird Short-Term Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||||
Since | Since | ||||
One | Five | Ten | Inception | Inception | |
For the Periods Ended December 31, 2019 | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 4.68% | 2.16% | 2.42% | 2.80% | N/A |
Investor Class Shares | 4.42% | 1.91% | N/A | N/A | 1.73% |
Bloomberg Barclays 1-3 Year U.S. | |||||
Government/Credit Bond Index(1) | 4.03% | 1.67% | 1.54% | 2.41% | 1.37% |
(1) | The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and three years. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 20
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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: | ||||||||||||
2.000%, 08/31/2021 | $ | 352,200,000 | $ | 354,525,070 | 5.3 | % | ||||||
1.125%, 09/30/2021 | 671,100,000 | 665,699,739 | 10.0 | % | ||||||||
1.875%, 03/31/2022 | 161,165,000 | 162,191,168 | 2.5 | % | ||||||||
1.625%, 08/31/2022 | 699,425,000 | 699,998,745 | 10.5 | % | ||||||||
2.125%, 12/31/2022 | 357,000,000 | 362,438,674 | 5.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,227,340,172) | 2,244,853,396 | 33.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(3)(8) | 54,254,334 | 0.8 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $53,405,761) | 54,254,334 | 0.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022(1)(2) | 33,135,000 | 33,499,271 | 0.5 | % | ||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 27,850,000 | 28,405,932 | 0.4 | % | ||||||||
ArcelorMittal, | ||||||||||||
6.250%, 02/25/2022(1) | 28,418,000 | 30,631,665 | 0.5 | % | ||||||||
Bayer US Finance II LLC, | ||||||||||||
3.500%, 06/25/2021(2) | 26,245,000 | 26,723,786 | 0.4 | % | ||||||||
Becton Dickinson and Co., | ||||||||||||
2.894%, 06/06/2022 | 22,500,000 | 22,874,686 | 0.3 | % | ||||||||
Broadcom, Inc., | ||||||||||||
3.000%, 01/15/2022 | 30,095,000 | 30,540,231 | 0.4 | % | ||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 22,835,000 | 24,003,448 | 0.4 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 21,922,000 | 22,560,185 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 29,598,000 | 31,082,833 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021(4) | $ | 32,689,000 | $ | 33,536,803 | 0.5 | % | ||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021(1) | 32,690,000 | 33,479,321 | 0.5 | % | ||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 25,707,134 | 0.4 | % | ||||||||
Hewlett Packard Enterprise Co., | ||||||||||||
2.250%, 04/01/2023 | 23,000,000 | 22,976,892 | 0.3 | % | ||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023(1)(2) | 25,425,000 | 25,743,772 | 0.4 | % | ||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
2.530%, 11/15/2021 | 23,880,000 | 24,037,920 | 0.4 | % | ||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,406,044 | 0.5 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 31,453,000 | 31,495,065 | 0.5 | % | ||||||||
Mylan, Inc., | ||||||||||||
3.125%, 01/15/2023(2) | 23,591,000 | 23,939,342 | 0.4 | % | ||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022(1)(2) | 25,600,000 | 25,739,524 | 0.4 | % | ||||||||
Total System Services, Inc., | ||||||||||||
3.800%, 04/01/2021 | 30,693,000 | 31,296,807 | 0.5 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 31,030,000 | 31,740,312 | 0.5 | % | ||||||||
Volkswagen Group of America Finance LLC, | ||||||||||||
4.000%, 11/12/2021(2) | 24,700,000 | 25,546,807 | 0.4 | % | ||||||||
Williams Companies, Inc., | ||||||||||||
3.700%, 01/15/2023 | 22,537,000 | 23,342,899 | 0.3 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 27,785,000 | 27,803,058 | 0.4 | % | ||||||||
Other Industrials(1)(2)(3)(8) | 1,328,102,925 | 20.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,970,451,211) | 1,999,216,662 | 30.1 | % | |||||||||
Utilities | ||||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023(2) | 30,000,000 | 30,104,848 | 0.5 | % | ||||||||
Enel Finance International NV, | ||||||||||||
2.875%, 05/25/2022(1)(2) | 28,583,000 | 28,952,229 | 0.4 | % | ||||||||
Other Utilities(1)(2)(3)(8) | 56,441,768 | 0.8 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $115,004,670) | 115,498,845 | 1.7 | % | |||||||||
Financials | ||||||||||||
AerCap Holdings N.V., | ||||||||||||
4.450%, 12/16/2021(1) | 25,000,000 | 26,057,829 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
BNP Paribas SA, | ||||||||||||
2.950%, 05/23/2022(1)(2) | $ | 23,125,000 | $ | 23,584,480 | 0.4 | % | ||||||
BPCE SA, | ||||||||||||
3.000%, 05/22/2022(1)(2) | 32,127,000 | 32,692,307 | 0.5 | % | ||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
2.606%, 07/22/2023 | ||||||||||||
(3 Month LIBOR USD + 0.785%)(1)(3) | 32,050,000 | 32,399,716 | 0.5 | % | ||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 25,282,000 | 26,121,312 | 0.4 | % | ||||||||
Cooperatieve Rabobank UA, | ||||||||||||
3.950%, 11/09/2022(1) | 31,045,000 | 32,460,847 | 0.5 | % | ||||||||
HSBC Holdings PLC, | ||||||||||||
3.262%, 03/13/2023 | ||||||||||||
(3 Month LIBOR USD + 1.055%)(1)(3) | 28,200,000 | 28,844,673 | 0.4 | % | ||||||||
JPMorgan Chase & Co., | ||||||||||||
3.514%, 06/18/2022 | ||||||||||||
(3 Month LIBOR USD + 0.610%)(3) | 23,010,000 | 23,508,367 | 0.3 | % | ||||||||
KeyBank NA, | ||||||||||||
3.180%, 05/22/2022 | 25,343,000 | 25,857,000 | 0.4 | % | ||||||||
Lloyds Bank PLC, | ||||||||||||
2.907%, 11/07/2023 | ||||||||||||
(3 Month LIBOR USD + 0.810%)(1)(3) | 21,704,000 | 22,031,160 | 0.3 | % | ||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,498,000 | 27,846,985 | 0.4 | % | ||||||||
Other Financials(1)(2)(3)(8) | 1,028,396,098 | 15.5 | % | |||||||||
Total Financials | ||||||||||||
(Cost $1,307,219,680) | 1,329,800,774 | 20.0 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $3,392,675,561) | 3,444,516,281 | 51.8 | % | |||||||||
Municipal Bonds | ||||||||||||
County of Sacramento CA: | ||||||||||||
7.680%, 08/15/2021(7) | 33,785,000 | 35,412,761 | 0.6 | % | ||||||||
Other Municipal Bonds(7)(8) | 48,090,356 | 0.7 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $83,769,539) | 83,503,117 | 1.3 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
CSMC Trust, | ||||||||||||
Series 2019-RPL1, | ||||||||||||
Class A1A, 3.650%, 07/25/2058(2)(4) | 43,845,633 | 45,301,124 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055(2)(4) | $ | 995,795 | $ | 994,591 | 0.0 | % | ||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055(2)(4) | 2,144,410 | 2,154,399 | 0.0 | % | ||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056(2)(4) | 7,201,662 | 7,202,113 | 0.1 | % | ||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 14,127,889 | 14,224,290 | 0.2 | % | ||||||||
Series 2017-5, Class A1, 2.392%, 02/26/2057 | ||||||||||||
(1 Month LIBOR USD + 0.600%)(2)(3) | 8,673,683 | 8,652,253 | 0.1 | % | ||||||||
Series 2017-2, Class A1, 2.750%, 04/25/2057(2)(4) | 3,839,446 | 3,864,702 | 0.1 | % | ||||||||
Series 2017-3, Class A1, 2.750%, 06/25/2057(2)(4) | 12,197,156 | 12,245,572 | 0.2 | % | ||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057(2)(4) | 6,875,520 | 6,917,083 | 0.1 | % | ||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058(2)(4) | 11,678,355 | 12,017,471 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(8) | 81,478,532 | 1.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $194,505,926) | 195,052,130 | 2.9 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(8) | 10,182,184 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $10,049,761) | 10,182,184 | 0.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 23,064,634 | 23,358,150 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(8) | 177,188,651 | 2.7 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $200,559,862) | 200,546,801 | 3.0 | % | |||||||||
Asset Backed Securities | ||||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024(2) | 27,550,000 | 27,877,145 | 0.4 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028(2) | 24,017,000 | 24,294,332 | 0.4 | % | ||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,482,696 | 0.4 | % | ||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,729,841 | 0.5 | % | ||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-MH1, 3.000%, 11/25/2058(2)(4) | 10,201,209 | 10,248,747 | 0.1 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 24,450,000 | 24,625,453 | 0.4 | % | ||||||||
Other Asset Backed Securities(1)(2)(8) | 153,063,476 | 2.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $298,757,333) | 302,321,690 | 4.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $6,461,063,915) | 6,535,229,933 | 98.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 1.53%(5) | 206,090,450 | $ | 206,090,450 | 3.1 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $206,090,450) | 206,090,450 | 3.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $6,667,154,365) | 6,741,320,383 | 101.4 | % | |||||||||
Liabilities in Excess of Other Assets | (89,882,991 | ) | (1.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 6,651,437,392 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
(1) | Foreign security, or group of securities contains a foreign security. |
(2) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $1,553,692,141, which represents 23.36% of total net assets. |
(3) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(4) | Variable rate security, or group of securities contains a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contains a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 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 December 31, 2019
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 25
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019 (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,244,853,396 | $ | — | $ | 2,244,853,396 | ||||||||
Other Government Related Securities | — | 54,254,334 | — | 54,254,334 | ||||||||||||
Corporate Bonds | — | 3,444,516,281 | — | 3,444,516,281 | ||||||||||||
Municipal Bonds | — | 83,503,117 | — | 83,503,117 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 195,052,130 | — | 195,052,130 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 10,182,184 | — | 10,182,184 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 200,546,801 | — | 200,546,801 | ||||||||||||
Asset Backed Securities | — | 302,321,690 | — | 302,321,690 | ||||||||||||
Total Long-Term Investments | — | 6,535,229,933 | — | 6,535,229,933 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 206,090,450 | — | — | 206,090,450 | ||||||||||||
Total Short-Term Investment | 206,090,450 | — | — | 206,090,450 | ||||||||||||
Total Investments | $ | 206,090,450 | $ | 6,535,229,933 | $ | — | $ | 6,741,320,383 |
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
Baird Intermediate Bond Fund
December 31, 2019 (Unaudited)
The Baird Intermediate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and credit securities, with maturities between one and ten years.
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year Treasury fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%, still 76 basis points lower for the year. In January, Chairman Powell said the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the Fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. The pivot to more accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 basis points. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal” and, in the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 25 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Credit Positioning | ||
• Positive – Overweight to Investment Grade Credit | |||
• Positive – Active positioning within Investment Grade Credit | |||
• Positive – Overweight to Financials as well as an overweight to BBB Credit | |||
• Positive – Underweight to Other Government/Non-Corp Credit in favor of Corporate Credit | |||
• | Mortgage-Backed Securities (MBS) & Asset-Backed Securities (ABS) Positioning | ||
• Positive – Exposure to Commercial Mortgage-Backed Securities (CMBS) (Agency & Non-Agency) | |||
• Positive – Exposure to ABS | |||
• | Yield Curve Positioning | ||
• Modest detractor – Modest overweight to less than 1-year maturities and modest underweight to 1-3 year maturities as the curve steepened |
The economic outlook for 2020 is largely similar to what occurred in 2019, with a continuation of modest economic growth (1.5% – 2.5%) and moderate inflation at or below the Fed’s 2.0% target level for Core PCE. With this outlook, a stable but accommodative Fed stance is also likely to prevail for the year. One would expect that a favorable economic, inflation and monetary backdrop would imply stable market rates as well, but bouts of higher volatility are to be expected, particularly since 2020 is an election year, other geopolitical “hotspots” persist such as Iran and the global economic impact of the Coronavirus (COVID-19) outbreak is currently unknown. Prior to the outbreak, the global economic picture appeared to be improving on the margin, with the timing of Brexit resolved and the “Phase One” trade agreement between the U.S and China in place.
We maintain a modest overweight to Investment Grade Corporate Credit, particularly Financials. We maintain an allocation to the MBS/ABS sectors at the senior part of the capital structure due to what we believe are favorable risk/reward characteristics and the broad sector diversification benefits they provide. As a reminder, we only purchase investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 27
Baird Intermediate Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $4,394,235,797 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.95% | |||
Investor Class | 1.69% | |||
Average | ||||
Effective | ||||
Duration | 3.91 years | |||
Average | ||||
Effective | ||||
Maturity | 4.33 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate | 26% | |||
Number of | ||||
Holdings | 482 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 28
Baird Intermediate Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/09, assuming reinvestment of all distributions.
Page 29
Baird Intermediate Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 7.05% | 2.81% | 3.74% | 4.76% |
Investor Class Shares | 6.83% | 2.57% | 3.49% | 4.50% |
Bloomberg Barclays Intermediate U.S. | ||||
Government/Credit Bond Index(2) | 6.80% | 2.57% | 3.05% | 4.33% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated..
Page 30
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | $ | 265,050,000 | $ | 266,043,937 | 6.1 | % | ||||||
1.875%, 03/31/2022 | 519,150,000 | 522,455,527 | 11.9 | % | ||||||||
1.625%, 08/31/2022 | 126,725,000 | 126,828,954 | 2.9 | % | ||||||||
2.500%, 05/15/2024 | 353,450,000 | 365,724,103 | 8.3 | % | ||||||||
2.250%, 11/15/2025 | 286,625,000 | 294,428,813 | 6.7 | % | ||||||||
2.000%, 11/15/2026 | 101,550,000 | 102,728,138 | 2.3 | % | ||||||||
2.250%, 11/15/2027 | 198,025,000 | 203,656,336 | 4.6 | % | ||||||||
3.125%, 11/15/2028 | 123,475,000 | 135,856,263 | 3.1 | % | ||||||||
1.625%, 08/15/2029 | 26,600,000 | 25,933,961 | 0.6 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,997,419,867) | 2,043,656,032 | 46.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(9) | 29,156,323 | 0.7 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $28,486,000) | 29,156,323 | 0.7 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 13,432,190 | 0.3 | % | ||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 11,725,000 | 12,324,958 | 0.3 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
5.450%, 06/15/2023(2) | 12,100,000 | 13,125,347 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,702,334 | 0.3 | % | ||||||||
Energy Transfer Partners LP, | ||||||||||||
4.750%, 01/15/2026 | 10,326,000 | 11,182,650 | 0.2 | % | ||||||||
Ford Motor Credit Co. LLC, | ||||||||||||
2.979%, 08/03/2022 | 12,000,000 | 12,018,624 | 0.3 | % | ||||||||
Kinder Morgan, Inc., | ||||||||||||
7.800%, 08/01/2031 | 12,425,000 | 17,134,568 | 0.4 | % | ||||||||
MPLX LP, | ||||||||||||
4.875%, 06/01/2025 | 10,219,000 | 11,163,654 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023(1) | $ | 18,275,000 | $ | 18,562,411 | 0.4 | % | ||||||
Penske Truck Leasing Co., | ||||||||||||
3.950%, 03/10/2025(2) | 12,000,000 | 12,749,847 | 0.3 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 11,184,869 | 0.3 | % | ||||||||
Wabtec Corp., | ||||||||||||
4.375%, 08/15/2023 | 12,302,000 | 12,935,521 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(8)(9) | 655,955,692 | 14.9 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $782,262,742) | 816,472,665 | 18.5 | % | |||||||||
Utilities | ||||||||||||
Avangrid, Inc., | ||||||||||||
3.800%, 06/01/2029 | 10,975,000 | 11,646,595 | 0.3 | % | ||||||||
Edison International, | ||||||||||||
4.125%, 03/15/2028 | 13,600,000 | 13,955,236 | 0.3 | % | ||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020(1)(2) | 15,000,000 | 14,983,740 | 0.4 | % | ||||||||
Enel Finance International NV, | ||||||||||||
3.500%, 04/06/2028(1)(2) | 13,550,000 | 13,871,516 | 0.3 | % | ||||||||
Other Utilities(1)(2)(3)(9) | 27,490,589 | 0.6 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $79,596,122) | 81,947,676 | 1.9 | % | |||||||||
Financials | ||||||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,638,755 | 0.3 | % | ||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,333,180 | 0.3 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,341,091 | 0.3 | % | ||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 11,325,000 | 13,241,180 | 0.3 | % | ||||||||
JPMorgan Chase & Co., | ||||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%)(3) | 13,000,000 | 12,985,342 | 0.3 | % | ||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023(2) | 12,053,000 | 13,749,674 | 0.3 | % | ||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 12,850,000 | 13,491,682 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(8)(9) | 781,347,017 | 17.8 | % | |||||||||
Total Financials | ||||||||||||
(Cost $842,143,302) | 873,127,921 | 19.9 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,704,002,166) | 1,771,548,262 | 40.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(9) | $ | 53,290,096 | 1.2 | % | ||||||||
Total Municipal Bonds | ||||||||||||
(Cost $52,466,803) | 53,290,096 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(9) | 29,419 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $28,363) | 29,419 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 14,070,789 | 14,151,700 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(9) | 53,129,268 | 1.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $66,076,445) | 67,280,968 | 1.5 | % | |||||||||
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 | 17,125,000 | 17,377,388 | 0.4 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,273,741 | 0.3 | % | ||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 14,683,119 | 0.4 | % | ||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 1,650,000 | 1,733,088 | 0.1 | % | ||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,564,556 | 0.1 | % | ||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,124,515 | 0.1 | % | ||||||||
Series K043, Class A2, 3.062%, 12/25/2024 | 4,250,000 | 4,435,542 | 0.1 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 8,725,000 | 9,201,652 | 0.2 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,375,000 | 13,089,212 | 0.3 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 9,859,129 | 0.2 | % | ||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,354,000 | 9,925,097 | 0.2 | % | ||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 7,522,380 | 0.2 | % | ||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 9,715,835 | 0.2 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $119,025,290) | 122,505,254 | 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 | 11,827,089 | 0.3 | % | ||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 12,540,000 | 12,959,448 | 0.3 | % | ||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 13,000,000 | 13,819,001 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | $ | 12,980,000 | $ | 13,216,078 | 0.3 | % | ||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,746,203 | 0.3 | % | ||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 16,399,871 | 16,787,036 | 0.4 | % | ||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,675,000 | 12,210,984 | 0.3 | % | ||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 14,934,144 | 16,024,162 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues(9) | 54,595,876 | 1.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $163,363,195) | 165,185,877 | 3.8 | % | |||||||||
Asset Backed Securities | ||||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024(2) | 11,375,000 | 11,510,074 | 0.3 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030(2) | 10,825,000 | 11,363,418 | 0.3 | % | ||||||||
PFS Financing Corp.: | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 14,555,000 | 14,574,140 | 0.3 | % | ||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024(2) | 12,125,000 | 12,289,657 | 0.3 | % | ||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031(2) | 19,075,000 | 19,368,301 | 0.4 | % | ||||||||
Other Asset Backed Securities(2)(9) | 19,511,227 | 0.4 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $87,744,753) | 88,616,817 | 2.0 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $4,218,612,882) | 4,341,269,048 | 98.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 34
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 1.53%(5) | 85,466,279 | $ | 85,466,279 | 1.9 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $85,466,279) | 85,466,279 | 1.9 | % | |||||||||
Total Investments | ||||||||||||
(Cost $4,304,079,161) | 4,426,735,327 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (32,499,530 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,394,235,797 | 100.0 | % |
Notes to Summary Schedule of Investments
SOFR – Secured Overnight Financing Rate
(1) | Foreign security, or group of securities contains a foreign security. |
(2) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $785,269,895, which represents 17.87% of total net assets. |
(3) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(4) | Variable rate security, or group of securities contains a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contains a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(8) | Security in default, or group of securities contains 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 December 31, 2019
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 35
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019 (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,043,656,032 | $ | — | $ | 2,043,656,032 | ||||||||
Other Government Related Securities | — | 29,156,323 | — | 29,156,323 | ||||||||||||
Corporate Bonds | — | 1,771,548,262 | — | 1,771,548,262 | ||||||||||||
Municipal Bonds | — | 53,290,096 | — | 53,290,096 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 29,419 | — | 29,419 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 67,280,968 | — | 67,280,968 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 122,505,254 | — | 122,505,254 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | �� | — | 165,185,877 | — | 165,185,877 | |||||||||||
Asset Backed Securities | — | 88,616,817 | — | 88,616,817 | ||||||||||||
Total Long-Term Investments | — | 4,341,269,048 | — | 4,341,269,048 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 85,466,279 | — | — | 85,466,279 | ||||||||||||
Total Short-Term Investment | 85,466,279 | — | — | 85,466,279 | ||||||||||||
Total Investments | $ | 85,466,279 | $ | 4,341,269,048 | $ | — | $ | 4,426,735,327 |
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 36
Baird Aggregate Bond Fund
December 31, 2019 (Unaudited)
The Baird Aggregate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, credit, asset-backed (ABS), mortgage-backed (MBS) and commercial mortgage-backed (CMBS) securities, with maturities of at least one year.
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year Treasury fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%, still 76 basis points lower for the year. In January, Chairman Powell said the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the Fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. The pivot to more accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 basis points. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal” and, in the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 76 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Credit Positioning | ||
• Positive – Overweight to Investment Grade Credit | |||
• Positive – Active positioning within Investment Grade Credit | |||
• Positive – Overweight to Financials as well as an overweight to BBB Credit | |||
• Positive – Underweight to Other Government/Non-Corp Credit in favor of Corporate Credit | |||
• | Mortgage-Backed Securities (MBS) & Asset-Backed Securities (ABS) Positioning | ||
• Positive – Active positioning within MBS & ABS | |||
• Positive – Underweight to Agency Residential Mortgage-Backed Securities (RMBS) with a bias to more stable average life profiles | |||
• Positive – Overweight to Commercial Mortgage-Backed Securities (CMBS) and exposure to Non-Agency RMBS | |||
• | Yield Curve Positioning – Positive overall | ||
• Positive – Overall portfolio positive convexity tilt versus the benchmark | |||
• Modest detractor – Modest underweight to 1-3 year maturities as the curve steepened and favoring 20-year over 30-year maturities in the long end |
The economic outlook for 2020 is largely similar to what occurred in 2019, with a continuation of modest economic growth (1.5% – 2.5%) and moderate inflation at or below the Fed’s 2.0% target level for Core PCE. With this outlook, a stable but accommodative Fed stance is also likely to prevail for the year. One would expect that a favorable economic, inflation and monetary backdrop would imply stable market rates as well, but bouts of higher volatility are to be expected, particularly since 2020 is an election year, other geopolitical “hotspots” persist such as Iran and the global economic impact of the Coronavirus (COVID-19) outbreak is currently unknown. Prior to the outbreak, the global economic picture appeared to be improving on the margin, with the timing of Brexit resolved and the “Phase One” trade agreement between the U.S and China in place.
Page 37
Baird Aggregate Bond Fund
December 31, 2019 (Unaudited)
We maintain a modest overweight to Investment Grade corporate credit, particularly Financials. We continue to underweight Agency RMBS, albeit a more modest underweight following the weak performance of the sector in 2019, and prefer the risk/reward characteristics of Agency CMBS as well as Non-Agency CMBS, Non-Agency RMBS and ABS at the senior part of the capital structure. As a reminder, we only purchase investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 38
Baird Aggregate Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $22,643,798,859 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.35% | |||
Investor Class | 2.09% | |||
Average | ||||
Effective | ||||
Duration | 5.87 years | |||
Average | ||||
Effective | ||||
Maturity | 7.81 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
| Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate | 31% | |||
Number of | ||||
Holdings | 1,193 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 39
Baird Aggregate Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/09, assuming reinvestment of all distributions.
Page 40
Baird Aggregate Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 9.48% | 3.43% | 4.65% | 5.34% |
Investor Class Shares | 9.17% | 3.16% | 4.39% | 5.09% |
Bloomberg Barclays U.S. Aggregate Bond Index(2) | 8.72% | 3.05% | 3.75% | 4.85% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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, mortgage-backed and commercial mortgage-backed securities, with maturities of at least one year. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 41
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | $ | 339,300,000 | $ | 340,572,375 | 1.5 | % | ||||||
1.875%, 03/31/2022 | 1,222,125,000 | 1,229,906,502 | 5.4 | % | ||||||||
1.625%, 08/31/2022 | 343,150,000 | 343,431,489 | 1.5 | % | ||||||||
2.500%, 05/15/2024 | 182,075,000 | 188,397,839 | 0.8 | % | ||||||||
2.250%, 11/15/2025 | 364,650,000 | 374,578,165 | 1.7 | % | ||||||||
2.000%, 11/15/2026 | 203,125,000 | 205,481,567 | 0.9 | % | ||||||||
2.250%, 11/15/2027 | 258,450,000 | 265,799,672 | 1.2 | % | ||||||||
3.125%, 11/15/2028 | 364,925,000 | 401,517,285 | 1.8 | % | ||||||||
3.500%, 02/15/2039 | 339,980,900 | 408,096,604 | 1.8 | % | ||||||||
2.875%, 05/15/2043 | 779,725,000 | 851,270,858 | 3.8 | % | ||||||||
2.500%, 02/15/2045 | 776,850,000 | 794,511,203 | 3.5 | % | ||||||||
2.875%, 05/15/2049 | 80,300,000 | 88,747,183 | 0.4 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $5,313,232,372) | 5,492,310,742 | 24.3 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 149,041,731 | 0.6 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $144,876,873) | 149,041,731 | 0.6 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 54,750,000 | 60,289,463 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.250%, 04/15/2024 | 54,525,000 | 57,922,150 | 0.3 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 60,000,000 | 68,971,442 | 0.3 | % | ||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025(2) | 61,307,000 | 66,342,816 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(7)(9)(10) | 4,359,083,220 | 19.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $4,349,988,027) | 4,612,609,091 | 20.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | $ | 214,664,546 | 0.9 | % | ||||||||
Total Utilities | ||||||||||||
(Cost $205,463,352) | 214,664,546 | 0.9 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
4.750%, 07/28/2025(1)(2) | $ | 57,816,000 | 62,951,251 | 0.3 | % | |||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 67,525,000 | 74,948,480 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(9)(10) | 3,812,862,804 | 16.8 | % | |||||||||
Total Financials | ||||||||||||
(Cost $3,782,206,968) | 3,950,762,535 | 17.4 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $8,337,658,347) | 8,778,036,172 | 38.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(10) | 107,459,966 | 0.5 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $103,012,300) | 107,459,966 | 0.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 687 | 688 | 0.0 | % | ||||||||
3.000%, 12/01/2026 | 697,056 | 715,720 | 0.0 | % | ||||||||
2.500%, 04/01/2028 | 2,255,574 | 2,287,034 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 95,222 | 105,752 | 0.0 | % | ||||||||
3.000%, 04/01/2031 | 6,741,956 | 6,954,084 | 0.0 | % | ||||||||
3.000%, 02/01/2032 | 61,675,694 | 63,655,636 | 0.3 | % | ||||||||
3.000%, 03/01/2032 | 2,456,252 | 2,532,030 | 0.0 | % | ||||||||
3.500%, 05/01/2032 | 17,642,820 | 18,463,134 | 0.1 | % | ||||||||
3.000%, 07/01/2032 | 15,297,019 | 15,788,556 | 0.1 | % | ||||||||
3.500%, 07/01/2032 | 21,738,669 | 22,750,769 | 0.1 | % | ||||||||
3.000%, 04/01/2033 | 2,139,118 | 2,205,136 | 0.0 | % | ||||||||
5.000%, 08/01/2033 | 4,239,308 | 4,675,065 | 0.0 | % | ||||||||
3.500%, 01/01/2034 | 17,744,031 | 18,567,495 | 0.1 | % | ||||||||
5.000%, 09/01/2035 | 8,934,254 | 9,857,899 | 0.0 | % | ||||||||
5.500%, 01/01/2036 | 152,633 | 171,732 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 3,825,631 | 4,217,719 | 0.0 | % | ||||||||
6.000%, 12/01/2036 | 134,660 | 154,512 | 0.0 | % | ||||||||
4.000%, 03/01/2037 | 4,298,872 | 4,561,314 | 0.0 | % | ||||||||
5.000%, 02/01/2038 | 2,087,851 | 2,302,678 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 459,350 | 515,837 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 9,308,557 | 10,481,501 | 0.0 | % | ||||||||
4.500%, 11/01/2039 | 7,361,855 | 7,998,342 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
4.500%, 12/01/2039 | $ | 21,069,916 | $ | 22,893,004 | 0.1 | % | ||||||
5.000%, 03/01/2040 | 815,493 | 900,109 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 709,136 | 768,185 | 0.0 | % | ||||||||
4.500%, 09/01/2040 | 2,837,546 | 3,083,189 | 0.0 | % | ||||||||
4.000%, 01/01/2041 | 41,499,190 | 44,533,726 | 0.2 | % | ||||||||
4.500%, 03/01/2041 | 2,076,126 | 2,255,871 | 0.0 | % | ||||||||
3.500%, 10/01/2041 | 8,825,089 | 9,306,919 | 0.0 | % | ||||||||
4.000%, 03/01/2042 | 6,654,171 | 7,142,596 | 0.0 | % | ||||||||
3.500%, 06/01/2042 | 4,530,018 | 4,778,008 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 11,985,634 | 12,656,327 | 0.1 | % | ||||||||
3.000%, 08/01/2042 | 15,870,393 | 16,362,120 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 6,152,528 | 6,342,152 | 0.0 | % | ||||||||
3.000%, 11/01/2042 | 33,263,659 | 34,294,748 | 0.2 | % | ||||||||
3.500%, 12/01/2042 | 12,495,425 | 13,174,178 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 36,999,197 | 38,059,208 | 0.2 | % | ||||||||
3.500%, 01/01/2043 | 19,707,685 | 20,786,459 | 0.1 | % | ||||||||
3.000%, 02/01/2043 | 3,384,686 | 3,488,334 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 28,564,069 | 29,438,181 | 0.1 | % | ||||||||
3.500%, 04/01/2043 | 57,627,093 | 60,788,838 | 0.3 | % | ||||||||
4.000%, 04/01/2043 | 18,122,007 | 19,765,200 | 0.1 | % | ||||||||
3.500%, 05/01/2043 | 11,965,688 | 12,620,433 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 17,379,657 | 17,894,922 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 5,393,089 | 5,555,651 | 0.0 | % | ||||||||
3.500%, 11/01/2043 | 9,328,258 | 9,838,099 | 0.0 | % | ||||||||
3.500%, 01/01/2044 | 10,562,979 | 11,140,685 | 0.1 | % | ||||||||
3.500%, 02/01/2044 | 36,680,163 | 38,674,258 | 0.2 | % | ||||||||
4.000%, 03/01/2044 | 5,546,967 | 5,889,092 | 0.0 | % | ||||||||
3.500%, 05/01/2044 | 38,554,130 | 40,813,153 | 0.2 | % | ||||||||
4.000%, 05/01/2044 | 20,256,483 | 21,699,461 | 0.1 | % | ||||||||
4.000%, 07/01/2044 | 4,605,546 | 4,883,224 | 0.0 | % | ||||||||
3.500%, 10/01/2044 | 83,370,050 | 87,300,086 | 0.4 | % | ||||||||
4.000%, 10/01/2044 | 11,094,058 | 11,886,198 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 26,376,529 | 27,817,365 | 0.1 | % | ||||||||
4.500%, 01/01/2045 | 31,132,012 | 33,919,138 | 0.1 | % | ||||||||
3.500%, 06/01/2045 | 19,335,881 | 20,470,114 | 0.1 | % | ||||||||
3.500%, 07/01/2045 | 75,930,980 | 80,007,332 | 0.4 | % | ||||||||
3.000%, 10/01/2045 | 38,399,842 | 39,569,909 | 0.2 | % | ||||||||
4.000%, 10/01/2045 | 7,334,069 | 7,776,754 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 14,923,945 | 15,824,297 | 0.1 | % | ||||||||
3.000%, 01/01/2046 | 79,476,666 | 82,056,707 | 0.4 | % | ||||||||
3.500%, 01/01/2046 | 35,887,568 | 37,830,655 | 0.2 | % | ||||||||
4.000%, 02/01/2046 | 20,413,682 | 21,637,468 | 0.1 | % | ||||||||
4.000%, 02/01/2046 | 75,797,819 | 81,186,975 | 0.4 | % | ||||||||
4.000%, 04/01/2046 | 10,562,555 | 11,317,625 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 44
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
3.500%, 05/01/2046 | $ | 9,951,260 | $ | 10,377,946 | 0.0 | % | ||||||
3.000%, 08/01/2046 | 35,459,149 | 36,338,561 | 0.2 | % | ||||||||
3.500%, 08/01/2046 | 32,237,993 | 34,128,237 | 0.2 | % | ||||||||
3.000%, 10/01/2046 | 125,132,509 | 128,695,989 | 0.6 | % | ||||||||
4.000%, 01/01/2047 | 58,655,502 | 63,067,914 | 0.3 | % | ||||||||
4.500%, 04/01/2047 | 54,499,908 | 57,619,868 | 0.3 | % | ||||||||
3.000%, 05/01/2047 | 63,165,934 | 64,869,628 | 0.3 | % | ||||||||
4.000%, 09/01/2047 | 29,026,431 | 30,459,384 | 0.1 | % | ||||||||
4.000%, 08/01/2048 | 45,526,688 | 48,324,573 | 0.2 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 6,363 | 6,574 | 0.0 | % | ||||||||
3.000%, 04/01/2027 | 5,799,216 | 5,951,367 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 7,555,801 | 7,656,756 | 0.0 | % | ||||||||
2.500%, 05/01/2028 | 10,357,102 | 10,515,608 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 148,999 | 158,944 | 0.0 | % | ||||||||
3.000%, 11/01/2028 | 19,171,418 | 19,754,204 | 0.1 | % | ||||||||
4.500%, 08/01/2029 | 1,176,103 | 1,253,169 | 0.0 | % | ||||||||
4.500%, 09/01/2029 | 1,349,449 | 1,441,536 | 0.0 | % | ||||||||
2.500%, 04/01/2030 | 3,829,085 | 3,883,813 | 0.0 | % | ||||||||
2.500%, 05/01/2030 | 11,914,012 | 12,088,514 | 0.1 | % | ||||||||
3.500%, 11/01/2030 | 31,909,719 | 33,314,431 | 0.2 | % | ||||||||
3.000%, 12/01/2030 | 32,818,980 | 33,852,821 | 0.2 | % | ||||||||
2.500%, 09/01/2031 | 43,257,915 | 43,921,589 | 0.2 | % | ||||||||
3.500%, 01/01/2032 | 43,087,152 | 45,063,031 | 0.2 | % | ||||||||
2.500%, 02/01/2032 | 7,024,282 | 7,124,868 | 0.0 | % | ||||||||
3.000%, 09/01/2032 | 2,812,743 | 2,913,291 | 0.0 | % | ||||||||
3.000%, 10/01/2032 | 2,160,798 | 2,226,268 | 0.0 | % | ||||||||
2.500%, 12/01/2032 | 49,896,347 | 50,568,645 | 0.2 | % | ||||||||
6.000%, 03/01/2033 | 37,877 | 43,418 | 0.0 | % | ||||||||
3.500%, 10/01/2033 | 20,600,343 | 21,583,271 | 0.1 | % | ||||||||
4.500%, 10/01/2033 | 14,113,870 | 15,177,502 | 0.1 | % | ||||||||
5.000%, 10/01/2033 | 15,433,148 | 17,008,768 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 88,189,341 | 91,345,168 | 0.4 | % | ||||||||
5.000%, 11/01/2033 | 43,972 | 48,464 | 0.0 | % | ||||||||
4.000%, 01/01/2034 | 6,508,166 | 6,932,491 | 0.0 | % | ||||||||
5.500%, 04/01/2034 | 5,228,809 | 5,884,481 | 0.0 | % | ||||||||
4.000%, 06/01/2034 | 8,494,425 | 9,046,669 | 0.0 | % | ||||||||
4.000%, 09/01/2034 | 10,196,407 | 10,859,509 | 0.1 | % | ||||||||
5.500%, 09/01/2034 | 137,834 | 155,131 | 0.0 | % | ||||||||
6.000%, 11/01/2034 | 37,458 | 42,933 | 0.0 | % | ||||||||
3.500%, 01/01/2035 | 58,491,301 | 60,778,459 | 0.3 | % | ||||||||
5.500%, 02/01/2035 | 468,724 | 527,397 | 0.0 | % | ||||||||
5.000%, 07/01/2035 | 4,021,563 | 4,431,588 | 0.0 | % | ||||||||
5.000%, 10/01/2035 | 1,956,453 | 2,156,391 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 45
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
5.000%, 02/01/2036 | $ | 2,853,272 | $ | 3,145,249 | 0.0 | % | ||||||
5.500%, 11/01/2036 | 181,248 | 203,959 | 0.0 | % | ||||||||
2.500%, 12/01/2036 | 28,761,465 | 28,924,958 | 0.1 | % | ||||||||
5.500%, 04/01/2037 | 1,180,998 | 1,314,668 | 0.0 | % | ||||||||
4.000%, 05/01/2037 | 44,998,359 | 47,681,465 | 0.2 | % | ||||||||
4.000%, 02/01/2038 | 42,591,788 | 44,879,767 | 0.2 | % | ||||||||
2.500%, 04/01/2038 | 63,906,512 | 64,544,610 | 0.3 | % | ||||||||
4.000%, 04/01/2039 | 11,293,416 | 12,112,487 | 0.1 | % | ||||||||
4.500%, 04/01/2039 | 14,606,932 | 15,908,152 | 0.1 | % | ||||||||
5.000%, 06/01/2039 | 23,267,173 | 25,580,213 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 188,476 | 204,483 | 0.0 | % | ||||||||
4.000%, 08/01/2040 | 1,418,588 | 1,520,574 | 0.0 | % | ||||||||
4.000%, 10/01/2040(8) | 29,826,312 | 31,991,377 | 0.1 | % | ||||||||
3.500%, 12/01/2040 | 8,996,125 | 9,481,319 | 0.0 | % | ||||||||
4.000%, 12/01/2040 | 8,564,680 | 9,185,209 | 0.0 | % | ||||||||
3.500%, 02/01/2041 | 13,924,858 | 14,676,135 | 0.1 | % | ||||||||
4.000%, 02/01/2041 | 20,456,084 | 21,940,266 | 0.1 | % | ||||||||
4.500%, 02/01/2041 | 51,888,625 | 56,252,895 | 0.3 | % | ||||||||
3.500%, 03/01/2041 | 20,166,411 | 21,254,061 | 0.1 | % | ||||||||
4.500%, 05/01/2041 | 7,277,323 | 7,902,133 | 0.0 | % | ||||||||
4.000%, 06/01/2041 | 16,172,587 | 17,339,325 | 0.1 | % | ||||||||
4.500%, 07/01/2041 | 7,447,676 | 8,085,232 | 0.0 | % | ||||||||
5.000%, 07/01/2041 | 10,653,567 | 11,740,966 | 0.1 | % | ||||||||
3.500%, 09/01/2041 | 20,466,013 | 21,569,902 | 0.1 | % | ||||||||
4.000%, 09/01/2041 | 2,190,374 | 2,349,312 | 0.0 | % | ||||||||
4.000%, 10/01/2041 | 6,151,482 | 6,596,523 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 8,001,026 | 8,434,000 | 0.0 | % | ||||||||
3.500%, 12/01/2041 | 35,502,634 | 37,423,737 | 0.2 | % | ||||||||
4.000%, 12/01/2041 | 8,843,380 | 9,478,264 | 0.0 | % | ||||||||
4.000%, 01/01/2042 | 10,965,295 | 11,757,651 | 0.1 | % | ||||||||
4.500%, 01/01/2042 | 10,739,927 | 11,661,411 | 0.1 | % | ||||||||
4.000%, 02/01/2042 | 40,879,851 | 43,768,545 | 0.2 | % | ||||||||
3.000%, 04/01/2042 | 56,984,216 | 58,638,692 | 0.3 | % | ||||||||
3.000%, 05/01/2042 | 7,939,542 | 8,179,693 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 90,645,915 | 95,904,226 | 0.4 | % | ||||||||
3.500%, 08/01/2042 | 8,028,907 | 8,463,383 | 0.0 | % | ||||||||
4.000%, 08/01/2042 | 14,650,453 | 15,692,273 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 18,492,731 | 19,134,790 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 38,972,850 | 40,132,488 | 0.2 | % | ||||||||
3.000%, 05/01/2043 | 51,829,638 | 53,413,643 | 0.2 | % | ||||||||
3.500%, 05/01/2043 | 34,611,676 | 36,612,359 | 0.2 | % | ||||||||
3.000%, 06/01/2043 | 8,183,051 | 8,427,316 | 0.0 | % | ||||||||
3.000%, 07/01/2043 | 3,127,448 | 3,220,916 | 0.0 | % | ||||||||
4.000%, 07/01/2043 | 28,621,719 | 30,631,804 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 46
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 08/01/2043 | $ | 5,223,250 | $ | 5,374,789 | 0.0 | % | ||||||
3.500%, 09/01/2043 | 50,723,690 | 53,426,336 | 0.2 | % | ||||||||
4.500%, 09/01/2043 | 11,602,065 | 12,596,021 | 0.1 | % | ||||||||
3.000%, 10/01/2043 | 96,267,291 | 99,066,827 | 0.4 | % | ||||||||
3.500%, 10/01/2043 | 54,832,295 | 57,793,917 | 0.3 | % | ||||||||
3.000%, 11/01/2043 | 26,317,136 | 27,110,754 | 0.1 | % | ||||||||
4.000%, 11/01/2043 | 8,214,365 | 8,788,433 | 0.0 | % | ||||||||
4.000%, 01/01/2045 | 7,391,748 | 7,824,689 | 0.0 | % | ||||||||
3.500%, 02/01/2045 | 38,474,543 | 40,546,863 | 0.2 | % | ||||||||
4.000%, 02/01/2045 | 19,375,127 | 20,760,156 | 0.1 | % | ||||||||
3.500%, 04/01/2045 | 28,412,751 | 29,934,382 | 0.1 | % | ||||||||
4.000%, 10/01/2045 | 8,248,640 | 8,782,262 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 30,923,308 | 32,568,508 | 0.1 | % | ||||||||
3.500%, 12/01/2045 | 33,158,308 | 34,586,797 | 0.2 | % | ||||||||
4.500%, 02/01/2046 | 31,108,284 | 33,748,924 | 0.2 | % | ||||||||
3.000%, 05/01/2046 | 14,658,208 | 15,089,991 | 0.1 | % | ||||||||
3.500%, 05/01/2046 | 54,234,210 | 56,523,413 | 0.3 | % | ||||||||
3.000%, 07/01/2046 | 9,590,031 | 9,872,535 | 0.0 | % | ||||||||
4.500%, 08/01/2046 | 26,742,040 | 28,749,803 | 0.1 | % | ||||||||
3.500%, 09/01/2046 | 5,543,213 | 5,832,291 | 0.0 | % | ||||||||
3.000%, 11/01/2046 | 75,104,800 | 77,198,292 | 0.3 | % | ||||||||
3.500%, 11/01/2046 | 51,886,410 | 54,174,894 | 0.2 | % | ||||||||
3.500%, 05/01/2047 | 3,644,350 | 3,792,029 | 0.0 | % | ||||||||
4.000%, 08/01/2047 | 71,869,143 | 75,822,107 | 0.3 | % | ||||||||
4.000%, 11/01/2047 | 44,583,486 | 46,875,318 | 0.2 | % | ||||||||
4.500%, 11/01/2047 | 17,100,585 | 18,038,468 | 0.1 | % | ||||||||
3.500%, 12/01/2047 | 54,629,568 | 56,793,313 | 0.3 | % | ||||||||
4.000%, 12/01/2047 | 71,838,390 | 75,459,179 | 0.3 | % | ||||||||
3.500%, 01/01/2048 | 23,046,905 | 23,955,756 | 0.1 | % | ||||||||
4.000%, 04/01/2048 | 23,357,959 | 24,486,772 | 0.1 | % | ||||||||
4.000%, 07/01/2048 | 31,431,334 | 33,763,261 | 0.2 | % | ||||||||
4.000%, 09/01/2048 | 38,652,466 | 40,225,742 | 0.2 | % | ||||||||
4.500%, 11/01/2048 | 59,237,802 | 62,489,999 | 0.3 | % | ||||||||
5.000%, 11/01/2048 | 50,788,204 | 55,994,652 | 0.2 | % | ||||||||
4.500%, 01/01/2049 | 29,502,669 | 31,752,707 | 0.1 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 35,916 | 40,985 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 1,634,622 | 1,805,399 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 7,509,094 | 7,935,180 | 0.0 | % | ||||||||
3.500%, 01/15/2042 | 12,931,526 | 13,605,637 | 0.1 | % | ||||||||
4.000%, 06/20/2042 | 8,426,314 | 8,942,935 | 0.0 | % | ||||||||
3.500%, 09/20/2042 | 3,302,096 | 3,476,412 | 0.0 | % | ||||||||
3.500%, 01/20/2043 | 60,345,539 | 63,547,418 | 0.3 | % | ||||||||
4.000%, 10/20/2043 | 12,988,079 | 13,783,385 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 47
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Government National Mortgage | ||||||||||||
Association (GNMA): (cont.) | ||||||||||||
4.000%, 09/20/2044 | $ | 47,534,423 | $ | 50,397,337 | 0.2 | % | ||||||
4.000%, 01/20/2045 | 10,188,268 | 10,790,398 | 0.1 | % | ||||||||
3.500%, 03/20/2045 | 15,802,416 | 16,518,121 | 0.1 | % | ||||||||
3.000%, 04/20/2045 | 25,579,419 | 26,423,074 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 30,433,847 | 31,656,391 | 0.1 | % | ||||||||
4.000%, 08/20/2045 | 10,165,066 | 10,753,211 | 0.0 | % | ||||||||
4.500%, 01/20/2046 | 14,082,603 | 15,030,472 | 0.1 | % | ||||||||
4.000%, 04/20/2046 | 10,947,380 | 11,510,107 | 0.1 | % | ||||||||
4.000%, 05/20/2046 | 26,753,091 | 28,002,652 | 0.1 | % | ||||||||
5.000%, 04/20/2047 | 2,502,701 | 2,684,072 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 48,345,350 | 51,487,473 | 0.2 | % | ||||||||
4.500%, 07/20/2047 | 11,860,956 | 12,630,262 | 0.1 | % | ||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 65,299,241 | 66,564,100 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 82,930 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $4,860,741,315) | 4,983,817,317 | 22.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 73,158,349 | 73,579,031 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(10) | 494,355,903 | 2.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $561,656,649) | 567,934,934 | 2.5 | % | |||||||||
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 | 18,214,547 | 0.1 | % | ||||||||
Series K721, Class A2, 3.090%, 08/25/2022(4) | 25,545,000 | 26,083,402 | 0.1 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,448,271 | 0.2 | % | ||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 28,420,118 | 0.1 | % | ||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 28,425,000 | 28,783,977 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 69,525,000 | 73,118,893 | 0.3 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 60,430,000 | 63,731,327 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,739,000 | 87,514,207 | 0.4 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 22,610,269 | 0.1 | % | ||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 21,860,138 | 0.1 | % | ||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 20,355,014 | 0.1 | % | ||||||||
Series K063, Class A2, 3.430%, 01/25/2027(4) | 63,971,857 | 68,482,749 | 0.3 | % | ||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 55,027,774 | 0.3 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 28,200,000 | 29,904,966 | 0.1 | % | ||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 11,677,133 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 48
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: (cont.) | ||||||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | $ | 29,587,841 | $ | 31,282,721 | 0.1 | % | ||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 9,549,484 | 0.0 | % | ||||||||
Series K069, Class A2, 3.187%, 09/25/2027(4) | 23,130,000 | 24,448,038 | 0.1 | % | ||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 23,025,000 | 24,480,963 | 0.1 | % | ||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 1,350,000 | 1,441,360 | 0.0 | % | ||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 68,650,000 | 75,605,172 | 0.3 | % | ||||||||
Series K156, Class A3, 3.700%, 06/25/2033(4) | 11,088,000 | 12,159,201 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 9,489,587 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $765,052,399) | 792,689,311 | 3.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 80,508,000 | 85,942,234 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 882,554,266 | 3.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $952,369,356) | 968,496,500 | 4.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Other Asset Backed Securities(2)(10) | 378,397,779 | 1.7 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $371,610,974) | 378,397,779 | 1.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $21,410,210,585) | 22,218,184,452 | 98.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 49
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 1.53%(5) | 701,570,275 | $ | 701,570,275 | 3.1 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $701,570,275) | 701,570,275 | 3.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $22,111,780,860) | 22,919,754,727 | 101.2 | % | |||||||||
Liabilities in Excess of Other Assets | (275,955,868 | ) | (1.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 22,643,798,859 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign security, or group of securities contains a foreign security. |
(2) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $3,589,642,966, which represents 15.85% of total net assets. |
(3) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(4) | Variable rate security, or group of securities contains a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contains a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(8) | Security or a portion of the security, or group of securities contains a security, purchased on a when-issued or delayed delivery basis. |
(9) | Security in default, or group of securities contains a security in default. |
(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 December 31, 2019
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 50
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019 (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 5,492,310,742 | $ | — | $ | 5,492,310,742 | ||||||||
Other Government Related Securities | — | 149,041,731 | — | 149,041,731 | ||||||||||||
Corporate Bonds | — | 8,778,036,172 | — | 8,778,036,172 | ||||||||||||
Municipal Bonds | — | 107,459,966 | — | 107,459,966 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 4,983,817,317 | — | 4,983,817,317 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 567,934,934 | — | 567,934,934 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 792,689,311 | — | 792,689,311 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 968,496,500 | — | 968,496,500 | ||||||||||||
Asset Backed Securities | — | 378,397,779 | — | 378,397,779 | ||||||||||||
Total Long-Term Investments | — | 22,218,184,452 | — | 22,218,184,452 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 701,570,275 | — | — | 701,570,275 | ||||||||||||
Total Short-Term Investment | 701,570,275 | — | — | 701,570,275 | ||||||||||||
Total Investments | $ | 701,570,275 | $ | 22,218,184,452 | $ | — | $ | 22,919,754,727 |
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 51
Baird Core Plus Bond Fund
December 31, 2019 (Unaudited)
The Baird Core Plus Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Universal Bond Index. The Bloomberg Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in dollars, including U.S. government, investment grade and non-investment grade credit, emerging market debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and commercial mortgage-backed securities (CMBS), with maturities of at least one year.
Treasury yields fell in 2019 as growing recession fears compelled the Fed to pivot to a more accommodative policy stance which included three rate cuts and a renewed expansion of its balance sheet in the second half of the year. The 10-year Treasury fell to a low of 1.46% on September 4th before trending higher to end the year at 1.92%, still 76 basis points lower for the year. In January, Chairman Powell said the Fed would be “patient”, signaling a prolonged pause to further rate hikes. As global growth slowed and US/China trade tensions rose, the Fed made the first “insurance” rate cut in July and ultimately cut the Fed funds rate two more times, bringing the target range to 1.50%-1.75% by the end of October. The pivot to more accommodation by the Fed, along with easing measures by other global central banks, calmed the market’s recession concerns. The curve steepened and the 3-month to 10-year yield spread “de-inverted”, closing the year at positive 37 basis points. De-escalation in US/China trade tensions provided additional market support as the two countries agreed to a “phase one deal” and, in the UK, markets got clarity on Brexit, as Boris Johnson and the Conservative party won a historically large majority in Parliament, paving the way for Britain to approve the separation agreement with the European Union by the January 31, 2020 deadline.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 82 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Credit Positioning – Positive overall | ||
• Positive – Overweight to Investment Grade Credit | |||
• Positive – Active positioning within Investment Grade Credit | |||
• Positive – Overweight to Financials as well as an overweight to BBB Credit | |||
• Positive – Underweight to Other Government/Non-Corp Credit in favor of Corporate Credit | |||
• Negative – Underweight to High Yield Credit | |||
• | Mortgage-Backed Securities (MBS) & Asset-Backed Securities (ABS) Positioning | ||
• Positive – Active positioning within MBS & ABS | |||
• Positive – Underweight to Agency Residential Mortgage-Backed Securities (RMBS) with a bias to more stable average life profiles | |||
• Positive – Overweight to Commercial Mortgage-Backed Securities (CMBS) and exposure to Non-Agency RMBS | |||
• | Yield Curve Positioning – Positive overall | ||
• Positive – Overall portfolio positive convexity tilt versus the benchmark | |||
• Modest detractor – Modest underweight to 1-3 year maturities as the curve steepened and favoring 20-year over 30-year maturities in the long end |
The economic outlook for 2020 is largely similar to what occurred in 2019, with a continuation of modest economic growth (1.5% – 2.5%) and moderate inflation at or below the Fed’s 2.0% target level for Core PCE. With this outlook, a stable but accommodative Fed stance is also likely to prevail for the year. One would expect that a favorable economic, inflation and monetary backdrop would imply stable market rates as well, but bouts of higher volatility are to be expected, particularly since 2020 is an election year, other geopolitical “hotspots” persist such as Iran and the global economic impact of the Coronavirus (COVID-19) outbreak is currently unknown. Prior to the outbreak, the global economic picture appeared to be improving on the margin, with the timing of Brexit resolved and the “Phase One” trade agreement between the U.S and China in place.
Page 52
Baird Core Plus Bond Fund
December 31, 2019 (Unaudited)
We maintain a modest overweight to Investment Grade corporate credit, particularly Financials, and prefer the risk reward profile of BBB-rated Credit relative to High Yield credit. We continue to underweight Agency RMBS, albeit a more modest underweight following the weak performance of the sector in 2019, and prefer the risk/reward characteristics of Agency CMBS as well as Non-Agency CMBS, Non-Agency RMBS and ABS at the senior part of the capital structure. As a reminder, we only purchase U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 53
Baird Core Plus Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $23,924,809,825 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.50% | |||
Investor Class | 2.25% | |||
Average | ||||
Effective | ||||
Duration | 5.68 years | |||
Average | ||||
Effective | ||||
Maturity | 7.56 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate | 26% | |||
Number of | ||||
Holdings | 1,379 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 54
Baird Core Plus Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/09, assuming reinvestment of all distributions.
Page 55
Baird Core Plus Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 10.11% | 3.75% | 4.92% | 5.81% |
Investor Class Shares | 9.69% | 3.49% | 4.66% | 5.54% |
Bloomberg Barclays U.S. Universal Bond Index(2) | 9.29% | 3.44% | 4.12% | 5.12% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 56
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | $ | 474,725,000 | $ | 476,505,219 | 2.0 | % | ||||||
1.875%, 03/31/2022 | 765,525,000 | 770,399,243 | 3.2 | % | ||||||||
1.625%, 08/31/2022 | 305,175,000 | 305,425,338 | 1.3 | % | ||||||||
2.500%, 05/15/2024 | 1,375,000 | 1,422,749 | 0.0 | % | ||||||||
2.000%, 11/15/2026 | 202,200,000 | 204,545,836 | 0.9 | % | ||||||||
2.250%, 11/15/2027 | 310,650,000 | 319,484,110 | 1.3 | % | ||||||||
3.125%, 11/15/2028 | 181,225,000 | 199,397,054 | 0.8 | % | ||||||||
3.500%, 02/15/2039 | 333,170,000 | 399,921,129 | 1.7 | % | ||||||||
2.875%, 05/15/2043 | 729,750,000 | 796,710,262 | 3.3 | % | ||||||||
2.500%, 02/15/2045 | 720,675,000 | 737,059,099 | 3.1 | % | ||||||||
2.875%, 05/15/2049 | 38,300,000 | 42,328,980 | 0.2 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $4,101,958,890) | 4,253,199,019 | 17.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 234,437,945 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $221,858,391) | 234,437,945 | 1.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 63,550,000 | 69,979,824 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.250%, 04/15/2024 | 52,810,000 | 56,100,298 | 0.2 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 60,015,000 | 68,988,685 | 0.3 | % | ||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,946,000 | 55,990,906 | 0.2 | % | ||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 59,500,688 | 0.3 | % | ||||||||
Other Industrials(1)(2)(9)(10) | 5,983,912,257 | 25.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $5,960,109,330) | 6,294,472,658 | 26.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 57
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | $ | 308,363,710 | 1.3 | % | ||||||||
Total Utilities | ||||||||||||
(Cost $292,479,047) | 308,363,710 | 1.3 | % | |||||||||
Financials | ||||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | $ | 54,066,000 | 55,860,883 | 0.2 | % | |||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 62,161,000 | 68,994,779 | 0.3 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024(1)(2) | 59,675,000 | 59,654,749 | 0.2 | % | ||||||||
Nationwide Building Society, | ||||||||||||
4.000%, 09/14/2026(1)(2) | 58,541,000 | 61,631,413 | 0.3 | % | ||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 | ||||||||||||
(3 Month LIBOR USD + 1.480%)(1)(3) | 62,335,000 | 63,859,748 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(9)(10) | 4,260,411,038 | 17.8 | % | |||||||||
Total Financials | ||||||||||||
(Cost $4,373,403,685) | 4,570,412,610 | 19.1 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $10,625,992,062) | 11,173,248,978 | 46.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(10) | 135,332,860 | 0.6 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $131,233,775) | 135,332,860 | 0.6 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 2,842 | 2,939 | 0.0 | % | ||||||||
5.000%, 05/01/2021 | 4,093 | 4,230 | 0.0 | % | ||||||||
6.000%, 06/01/2021 | 2,100 | 2,137 | 0.0 | % | ||||||||
3.000%, 05/01/2027 | 3,958,062 | 4,064,121 | 0.0 | % | ||||||||
6.500%, 12/01/2028 | 11,517 | 12,790 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 4,709 | 5,230 | 0.0 | % | ||||||||
3.000%, 10/01/2030 | 29,350,877 | 30,291,718 | 0.1 | % | ||||||||
3.000%, 02/01/2032 | 45,348,975 | 46,804,789 | 0.2 | % | ||||||||
3.500%, 05/01/2032 | 22,714,782 | 23,770,920 | 0.1 | % | ||||||||
3.500%, 01/01/2034 | 22,579,070 | 23,626,918 | 0.1 | % | ||||||||
5.000%, 03/01/2036 | 4,224,781 | 4,657,777 | 0.0 | % | ||||||||
5.500%, 04/01/2037 | 89,756 | 100,805 | 0.0 | % | ||||||||
5.500%, 04/01/2038 | 57,220 | 64,276 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 95,501 | 107,245 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 14,966,853 | 16,852,781 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 58
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
4.500%, 11/01/2039 | $ | 1,980,976 | $ | 2,151,947 | 0.0 | % | ||||||
4.500%, 11/01/2039 | 573,051 | 622,671 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 1,953,088 | 2,122,146 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 2,782,423 | 3,014,112 | 0.0 | % | ||||||||
4.000%, 10/01/2040 | 19,937,624 | 21,394,945 | 0.1 | % | ||||||||
4.000%, 01/01/2041 | 13,945,955 | 14,966,343 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 3,835,884 | 4,044,926 | 0.0 | % | ||||||||
3.500%, 06/01/2042 | 5,894,642 | 6,217,337 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 22,751,625 | 24,024,762 | 0.1 | % | ||||||||
3.500%, 07/01/2042 | 33,175,895 | 34,980,449 | 0.1 | % | ||||||||
3.000%, 08/01/2042 | 18,928,081 | 19,514,547 | 0.1 | % | ||||||||
3.500%, 09/01/2042 | 12,662,643 | 13,371,523 | 0.1 | % | ||||||||
3.000%, 11/01/2042 | 44,589,629 | 45,971,795 | 0.2 | % | ||||||||
3.500%, 12/01/2042 | 19,767,682 | 20,841,465 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 32,483,844 | 33,501,426 | 0.1 | % | ||||||||
3.000%, 02/01/2043 | 6,320,190 | 6,513,731 | 0.0 | % | ||||||||
3.500%, 02/01/2043 | 13,672,415 | 14,434,758 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 15,070,314 | 15,531,516 | 0.1 | % | ||||||||
3.000%, 04/01/2043 | 13,059,313 | 13,458,113 | 0.1 | % | ||||||||
3.000%, 04/01/2043 | 11,197,891 | 11,541,746 | 0.0 | % | ||||||||
3.000%, 06/01/2043 | 10,494,893 | 10,806,041 | 0.0 | % | ||||||||
3.000%, 08/01/2043 | 23,892,956 | 24,613,155 | 0.1 | % | ||||||||
4.500%, 12/01/2043 | 10,573,617 | 11,497,083 | 0.0 | % | ||||||||
3.500%, 05/01/2044 | 12,490,815 | 13,222,696 | 0.1 | % | ||||||||
3.500%, 08/01/2044 | 23,048,660 | 24,149,149 | 0.1 | % | ||||||||
3.500%, 08/01/2044 | 28,912,808 | 30,479,690 | 0.1 | % | ||||||||
4.000%, 09/01/2044 | 12,022,975 | 12,793,256 | 0.1 | % | ||||||||
4.000%, 10/01/2044 | 18,392,694 | 19,705,974 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 21,059,693 | 22,210,094 | 0.1 | % | ||||||||
4.000%, 02/01/2045 | 12,661,123 | 13,424,966 | 0.1 | % | ||||||||
3.500%, 06/01/2045 | 24,179,050 | 25,597,381 | 0.1 | % | ||||||||
3.500%, 07/01/2045 | 21,716,387 | 22,882,231 | 0.1 | % | ||||||||
3.000%, 10/01/2045 | 31,929,432 | 32,902,342 | 0.1 | % | ||||||||
4.000%, 10/01/2045 | 18,872,050 | 20,009,745 | 0.1 | % | ||||||||
3.500%, 12/01/2045 | 24,287,069 | 25,387,543 | 0.1 | % | ||||||||
4.000%, 12/01/2045 | 7,690,218 | 8,154,044 | 0.0 | % | ||||||||
3.000%, 01/01/2046 | 82,755,581 | 85,442,065 | 0.4 | % | ||||||||
3.500%, 01/01/2046 | 49,415,499 | 52,091,038 | 0.2 | % | ||||||||
4.000%, 02/01/2046 | 22,701,652 | 24,315,718 | 0.1 | % | ||||||||
4.000%, 02/01/2046 | 10,509,898 | 11,139,959 | 0.0 | % | ||||||||
3.500%, 03/01/2046 | 6,306,910 | 6,676,686 | 0.0 | % | ||||||||
4.000%, 05/01/2046 | 912,410 | 965,100 | 0.0 | % | ||||||||
3.500%, 08/01/2046 | 74,431,342 | 78,795,553 | 0.3 | % | ||||||||
4.000%, 08/01/2046 | 12,161,642 | 13,029,994 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 59
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
3.000%, 10/01/2046 | $ | 66,147,162 | $ | 67,932,227 | 0.3 | % | ||||||
3.000%, 10/01/2046 | 87,568,372 | 90,201,858 | 0.4 | % | ||||||||
4.500%, 11/01/2046 | 70,436,527 | 76,434,505 | 0.3 | % | ||||||||
4.000%, 01/01/2047 | 42,363,545 | 45,550,380 | 0.2 | % | ||||||||
3.000%, 05/01/2047 | 73,107,140 | 75,078,965 | 0.3 | % | ||||||||
3.500%, 08/01/2047 | 23,405,964 | 24,671,442 | 0.1 | % | ||||||||
4.000%, 06/01/2048 | 64,272,696 | 69,677,707 | 0.3 | % | ||||||||
4.000%, 08/01/2048 | 37,249,108 | 39,538,287 | 0.2 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 1,033 | 1,067 | 0.0 | % | ||||||||
3.000%, 04/01/2027 | 7,417,991 | 7,612,612 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 11,432,146 | 11,584,895 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 30,157 | 32,170 | 0.0 | % | ||||||||
6.500%, 09/01/2028 | 8,135 | 9,029 | 0.0 | % | ||||||||
6.500%, 02/01/2029 | 19,218 | 21,389 | 0.0 | % | ||||||||
3.000%, 07/01/2029 | 16,177,549 | 16,655,623 | 0.1 | % | ||||||||
4.500%, 07/01/2030 | 3,453,799 | 3,699,078 | 0.0 | % | ||||||||
3.000%, 08/01/2030 | 23,528,152 | 24,269,164 | 0.1 | % | ||||||||
3.000%, 01/01/2031 | 64,640,940 | 66,673,825 | 0.3 | % | ||||||||
4.000%, 11/01/2031 | 15,911,905 | 16,946,879 | 0.1 | % | ||||||||
3.500%, 01/01/2032 | 39,256,438 | 41,056,649 | 0.2 | % | ||||||||
5.500%, 01/01/2032 | 7,714 | 8,416 | 0.0 | % | ||||||||
2.500%, 07/01/2032 | 24,493,346 | 24,869,338 | 0.1 | % | ||||||||
2.500%, 12/01/2032 | 91,158,183 | 92,386,438 | 0.4 | % | ||||||||
3.500%, 09/01/2033 | 60,823,336 | 63,771,232 | 0.3 | % | ||||||||
5.000%, 09/01/2033 | 10,668,888 | 11,758,412 | 0.1 | % | ||||||||
4.500%, 10/01/2033 | 19,621,209 | 21,099,878 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 96,719,781 | 100,180,867 | 0.4 | % | ||||||||
4.000%, 01/01/2034 | 11,294,572 | 12,030,966 | 0.1 | % | ||||||||
5.500%, 04/01/2034 | 609,041 | 685,181 | 0.0 | % | ||||||||
4.000%, 09/01/2034 | 16,481,580 | 17,553,425 | 0.1 | % | ||||||||
5.500%, 09/01/2034 | 27,451 | 30,896 | 0.0 | % | ||||||||
5.000%, 02/01/2035 | 26,208,141 | 28,881,601 | 0.1 | % | ||||||||
5.500%, 02/01/2035 | 24,190 | 27,218 | 0.0 | % | ||||||||
5.000%, 04/01/2035 | 1,090,801 | 1,202,309 | 0.0 | % | ||||||||
5.000%, 07/01/2035 | 3,144,862 | 3,465,502 | 0.0 | % | ||||||||
5.000%, 02/01/2036 | 1,935,795 | 2,133,886 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 883,408 | 973,717 | 0.0 | % | ||||||||
5.500%, 04/01/2036 | 2,852,909 | 3,210,402 | 0.0 | % | ||||||||
4.000%, 05/01/2037 | 59,475,043 | 63,021,347 | 0.3 | % | ||||||||
3.500%, 08/01/2037 | 37,752,217 | 39,209,709 | 0.2 | % | ||||||||
2.500%, 04/01/2038 | 64,328,895 | 64,971,210 | 0.3 | % | ||||||||
6.000%, 05/01/2038 | 4,573,822 | 5,244,150 | 0.0 | % | ||||||||
4.500%, 04/01/2039 | 15,261,585 | 16,621,123 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 60
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
4.000%, 06/01/2039 | $ | 10,471,543 | $ | 11,185,996 | 0.0 | % | ||||||
5.000%, 06/01/2039 | 13,651,183 | 14,985,636 | 0.1 | % | ||||||||
4.500%, 01/01/2040 | 10,162,372 | 11,023,223 | 0.0 | % | ||||||||
5.000%, 06/01/2040 | 11,577,106 | 12,685,858 | 0.1 | % | ||||||||
4.000%, 08/01/2040 | 939,963 | 1,007,540 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 15,163,990 | 16,464,793 | 0.1 | % | ||||||||
4.000%, 10/01/2040 | 1,668,287 | 1,789,024 | 0.0 | % | ||||||||
4.000%, 11/01/2040 | 17,363,295 | 18,621,586 | 0.1 | % | ||||||||
4.000%, 12/01/2040 | 3,626,076 | 3,908,396 | 0.0 | % | ||||||||
3.500%, 01/01/2041 | 1,903,601 | 2,006,518 | 0.0 | % | ||||||||
4.000%, 01/01/2041 | 3,667,842 | 3,934,322 | 0.0 | % | ||||||||
3.500%, 02/01/2041 | 2,156,880 | 2,273,249 | 0.0 | % | ||||||||
4.000%, 02/01/2041 | 361,760 | 388,007 | 0.0 | % | ||||||||
4.500%, 02/01/2041 | 47,372,834 | 51,357,287 | 0.2 | % | ||||||||
3.500%, 03/01/2041 | 14,714,046 | 15,507,629 | 0.1 | % | ||||||||
4.000%, 03/01/2041 | 6,557,147 | 7,032,310 | 0.0 | % | ||||||||
4.500%, 07/01/2041 | 4,749,169 | 5,155,720 | 0.0 | % | ||||||||
3.500%, 09/01/2041 | 30,506,152 | 32,151,582 | 0.1 | % | ||||||||
4.000%, 09/01/2041 | 2,862,610 | 3,070,328 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 15,996,162 | 16,861,790 | 0.1 | % | ||||||||
3.500%, 12/01/2041 | 2,885,903 | 3,041,672 | 0.0 | % | ||||||||
4.000%, 12/01/2041 | 13,259,521 | 14,211,449 | 0.1 | % | ||||||||
4.000%, 01/01/2042 | 24,753,306 | 26,541,987 | 0.1 | % | ||||||||
4.500%, 01/01/2042 | 9,804,541 | 10,645,770 | 0.0 | % | ||||||||
4.000%, 02/01/2042 | 21,758,784 | 23,296,325 | 0.1 | % | ||||||||
3.000%, 04/01/2042 | 58,025,261 | 59,709,962 | 0.3 | % | ||||||||
3.000%, 05/01/2042 | 3,390,475 | 3,493,029 | 0.0 | % | ||||||||
3.500%, 05/01/2042 | 16,382,493 | 17,265,306 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 6,337,225 | 6,680,131 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 105,793,697 | 111,930,720 | 0.5 | % | ||||||||
3.500%, 08/01/2042 | 10,116,652 | 10,664,104 | 0.0 | % | ||||||||
3.500%, 09/01/2042 | 16,918,818 | 17,834,345 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 17,106,886 | 17,700,829 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 6,421,925 | 6,601,176 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 2,141,091 | 2,205,173 | 0.0 | % | ||||||||
3.000%, 05/01/2043 | 32,491,155 | 33,464,164 | 0.1 | % | ||||||||
3.500%, 05/01/2043 | 16,387,996 | 17,292,362 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 27,251,333 | 28,064,788 | 0.1 | % | ||||||||
3.500%, 06/01/2043 | 8,456,671 | 9,065,033 | 0.0 | % | ||||||||
3.000%, 07/01/2043 | 21,280,779 | 21,926,221 | 0.1 | % | ||||||||
4.000%, 07/01/2043 | 28,894,093 | 30,923,307 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 7,834,875 | 8,062,184 | 0.0 | % | ||||||||
3.500%, 09/01/2043 | 36,114,051 | 38,038,271 | 0.2 | % | ||||||||
4.500%, 09/01/2043 | 15,190,429 | 16,491,802 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 61
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
4.000%, 01/01/2045 | $ | 12,611,676 | $ | 13,350,352 | 0.1 | % | ||||||
3.500%, 02/01/2045 | 47,749,304 | 50,321,183 | 0.2 | % | ||||||||
4.000%, 02/01/2045 | 44,479,917 | 47,541,112 | 0.2 | % | ||||||||
4.000%, 03/01/2045 | 10,236,551 | 10,961,579 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 42,630,674 | 44,898,736 | 0.2 | % | ||||||||
3.500%, 12/01/2045 | 37,899,476 | 39,532,219 | 0.2 | % | ||||||||
4.000%, 12/01/2045 | 75,973,359 | 80,817,013 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 28,590,604 | 31,017,529 | 0.1 | % | ||||||||
4.500%, 08/01/2046 | 29,385,686 | 31,591,930 | 0.1 | % | ||||||||
3.000%, 10/01/2046 | 27,211,944 | 27,946,181 | 0.1 | % | ||||||||
3.500%, 11/01/2046 | 31,847,302 | 33,251,948 | 0.1 | % | ||||||||
4.000%, 02/01/2047 | 21,845,732 | 22,999,836 | 0.1 | % | ||||||||
4.000%, 03/01/2047(8) | 68,481,548 | 72,960,088 | 0.3 | % | ||||||||
4.000%, 11/01/2047 | 16,603,552 | 17,457,064 | 0.1 | % | ||||||||
3.500%, 12/01/2047 | 53,249,536 | 55,358,621 | 0.2 | % | ||||||||
4.000%, 12/01/2047 | 85,872,102 | 90,200,215 | 0.4 | % | ||||||||
3.500%, 05/01/2048 | 94,617,631 | 99,139,170 | 0.4 | % | ||||||||
5.000%, 11/01/2048 | 37,829,946 | 41,708,004 | 0.2 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 14,671 | 16,325 | 0.0 | % | ||||||||
6.500%, 01/20/2029 | 7,902 | 8,994 | 0.0 | % | ||||||||
6.000%, 11/20/2033 | 10,731 | 12,245 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 562,075 | 620,798 | 0.0 | % | ||||||||
4.000%, 01/20/2041 | 8,851,308 | 9,389,558 | 0.0 | % | ||||||||
4.000%, 08/20/2041 | 5,133,816 | 5,449,176 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 9,341,935 | 9,872,022 | 0.0 | % | ||||||||
4.000%, 12/20/2041 | 6,754,324 | 7,169,418 | 0.0 | % | ||||||||
4.000%, 02/20/2042 | 13,155,828 | 13,964,839 | 0.1 | % | ||||||||
4.000%, 06/20/2042 | 10,986,935 | 11,660,550 | 0.0 | % | ||||||||
3.500%, 09/20/2042 | 7,394,310 | 7,784,652 | 0.0 | % | ||||||||
4.000%, 09/20/2044 | 37,860,701 | 40,140,983 | 0.2 | % | ||||||||
3.000%, 04/20/2045 | 14,961,048 | 15,454,490 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 20,178,216 | 20,988,786 | 0.1 | % | ||||||||
4.000%, 05/20/2045 | 15,760,774 | 16,672,989 | 0.1 | % | ||||||||
3.500%, 06/20/2045 | 19,395,479 | 20,221,506 | 0.1 | % | ||||||||
3.500%, 10/20/2045 | 65,110,297 | 68,117,768 | 0.3 | % | ||||||||
4.500%, 01/20/2046 | 14,877,595 | 15,878,974 | 0.1 | % | ||||||||
4.000%, 04/20/2046 | 22,191,256 | 23,331,950 | 0.1 | % | ||||||||
4.000%, 05/20/2046 | 8,210,217 | 8,593,692 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 27,296,873 | 29,070,987 | 0.1 | % | ||||||||
4.500%, 07/20/2047 | 18,671,707 | 19,882,761 | 0.1 | % | ||||||||
4.500%, 09/20/2047 | 97,135,285 | 102,831,940 | 0.4 | % | ||||||||
3.500%, 02/20/2048 | 42,597,790 | 44,496,099 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 62
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | $ | 62,383,440 | $ | 63,591,820 | 0.3 | % | ||||||
Other U.S. Government Agency Issues(10) | 61,068 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $4,319,025,650) | 4,432,763,485 | 18.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057(2) | 59,856,108 | 61,844,408 | 0.3 | % | ||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 84,692,982 | 85,179,992 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(10) | 836,901,484 | 3.5 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $977,619,630) | 983,925,884 | 4.1 | % | |||||||||
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 | 66,809,787 | 0.3 | % | ||||||||
Series K725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 15,491,997 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 70,410,786 | 0.3 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 59,391,000 | 62,635,566 | 0.2 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,951,000 | 87,738,442 | 0.4 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 47,455,273 | 0.2 | % | ||||||||
Series K061, Class A2, 3.347%, 11/25/2026(4) | 57,140,000 | 60,869,134 | 0.2 | % | ||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 1,000,000 | 1,058,310 | 0.0 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 17,665,139 | 0.1 | % | ||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 12,000,000 | 12,888,353 | 0.0 | % | ||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 36,495,000 | 39,584,032 | 0.2 | % | ||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 46,199,000 | 50,879,582 | 0.2 | % | ||||||||
Series K079, Class A2, 3.926%, 06/25/2028 | 14,725,000 | 16,320,638 | 0.1 | % | ||||||||
Series K080, Class A2, 3.926%, 07/25/2028(4) | 37,520,000 | 41,585,003 | 0.2 | % | ||||||||
Series K158, Class A3, 3.900%, 10/25/2033(4) | 18,777,000 | 21,036,906 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 31,101,342 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $624,616,635) | 643,530,290 | 2.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 60,056,751 | 63,915,199 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 1,093,779,392 | 4.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,139,188,279) | 1,157,694,591 | 4.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 63
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Asset Backed Securities | ||||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031(2) | $ | 62,085,050 | $ | 63,039,682 | 0.3 | % | ||||||
Other Asset Backed Securities(2)(10) | 194,204,096 | 0.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $251,510,175) | 257,243,778 | 1.1 | % | |||||||||
Common Stock | ||||||||||||
Energy | 1,285,784 | 0.0 | % | |||||||||
Other Energy(1) | ||||||||||||
Total Common Stock | ||||||||||||
(Cost $3,790,590) | 1,285,784 | 0.0 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $22,396,794,077) | 23,272,662,614 | 97.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 1.53%(5) | 635,096,045 | 635,096,045 | 2.6 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $635,096,045) | 635,096,045 | 2.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $23,031,890,122) | 23,907,758,659 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 17,051,166 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 23,924,809,825 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
(1) | Foreign security, or group of securities contains a foreign security. |
(2) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $4,377,341,972, which represents 18.30% of total net assets. |
(3) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(4) | Variable rate security, or group of securities contains a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2019. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contains a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(8) | Security or a portion of the security, or group of securities contains a security, purchased on a when-issued or delayed delivery basis. |
(9) | Security in default, or group of securities contains a security in default. |
(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. |
The accompanying notes are an integral part of these financial statements.
Page 64
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 4,253,199,019 | $ | — | $ | 4,253,199,019 | ||||||||
Other Government Related Securities | — | 234,437,945 | — | 234,437,945 | ||||||||||||
Corporate Bonds | — | 11,173,248,978 | — | 11,173,248,978 | ||||||||||||
Municipal Bonds | — | 135,332,860 | — | 135,332,860 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 4,432,763,485 | — | 4,432,763,485 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 983,925,884 | — | 983,925,884 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 643,530,290 | — | 643,530,290 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,157,694,591 | — | 1,157,694,591 | ||||||||||||
Asset Backed Securities | — | 257,243,778 | — | 257,243,778 | ||||||||||||
Common Stock | 1,285,784 | — | — | 1,285,784 | ||||||||||||
Total Long-Term Investments | 1,285,784 | 23,271,376,830 | — | 23,272,662,614 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 635,096,045 | — | — | 635,096,045 | ||||||||||||
Total Short-Term Investment | 635,096,045 | — | — | 635,096,045 | ||||||||||||
Total Investments | $ | 636,381,829 | $ | 23,271,376,830 | $ | — | $ | 23,907,758,659 |
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 65
2019 Municipal Bond Market Overview
(Unaudited)
Strong Finish to a Strong Year for Municipals
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. For the year, AAA tax-free yields fell 74, 84, and 94 bps, respectively, in the 2yr, 10yr and 30yr maturities. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Municipal funds and ETFs had consistently positive flows this year, with $94B of inflows, easily surpassing the previous record of $79B in 2009. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% YoY. Tax-free borrowings rose 12% YoY, nearly all of which was for new money projects, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% YoY increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings. The rise in taxable supply brought welcome renewed interest from banks and insurers, many of which had pulled back from the market when corporate tax rates fell to 21%.
AAA Municipal Yields
Maturity | 12/31/18 | 9/30/19 | 11/30/19 | 12/31/19 | 1Mo Chg | Q4 | YTD |
1 | 1.74% | 1.27% | 1.10% | 1.06% | -0.04% | -0.21% | -0.68% |
2 | 1.80% | 1.27% | 1.10% | 1.06% | -0.04% | -0.21% | -0.74% |
3 | 1.85% | 1.27% | 1.11% | 1.07% | -0.04% | -0.20% | -0.78% |
5 | 1.96% | 1.28% | 1.17% | 1.14% | -0.03% | -0.14% | -0.82% |
7 | 2.09% | 1.32% | 1.28% | 1.25% | -0.03% | -0.07% | -0.84% |
10 | 2.32% | 1.47% | 1.50% | 1.48% | -0.02% | 0.01% | -0.84% |
30 | 3.09% | 2.11% | 2.13% | 2.15% | 0.02% | 0.04% | -0.94% |
Strong Municipal Credit Backdrop Even as “New” Risks Emerge
Taking nothing away from the bottom-up analysis that is essential in the municipal market, the fundamental backdrop for municipal credit currently is quite strong. Tax revenues continued to rise this year, as they have every year since 2010, while discretionary spending increases remained modest, allowing municipalities to further increase reserves to record levels. Despite the rise in supply in 2019, total outstanding debt in the municipal market remains around 2010 levels of $3.8 trillion. Effectively, any newly-issued supply replaced debt that was maturing, keeping debt service quite manageable. Further evidence of the favorable credit
Page 66
2019 Municipal Bond Market Overview
(Unaudited)
backdrop is that rating agency upgrades for municipal debt have consistently exceeded downgrades for the last several years. Yet, long-term municipal credit challenges remain, not the least of which is the lingering pension and related healthcare liabilities. Unfortunately, plan funding status has improved only marginally in recent years despite favorable investment returns.
That said, two relatively new risks rose in prominence this year – cyber risk and climate risk. Municipalities and investors alike should consider how each may impact valuations over time. Cyber-related attacks nearly doubled in 2019; according to Recorded Future, 104 attacks were reported through mid-December, up from 53 in the prior year. School districts were the most frequent target (37) and Texas recorded the highest number of attacks (9) among all states, including one involving 22 local municipalities. Although federal authorities recommend that municipalities do not negotiate with cyber terrorists, some municipalities have determined that paying the ransom was their best, least costly option. Examples of ransoms paid this year were: Lake City, Florida ($460,000), Riviera Beach, Florida ($600,000), and Jackson County, Georgia ($400,000). Baltimore opted not to pay the $80,000 demanded in cryptocurrency, which ultimately cost the city an estimated $18.2 million (out of a $3.5B budget) to restore systems and regain lost revenue. Municipalities should be monitored as to their regular implementation of software updates as well as the resources set aside for IT and the training of their workforce.
While certainly less frequent than cyber-attacks, the costs and potentially longer-lasting credit impact of a climate-related event can be much larger. According to The Bond Buyer, flood-related disasters alone have cost the U.S. more than $845B since 2000, and the recent devastation from wildfires in California illustrate the potential risk from drought-related events. The financial support that a community/region has received after a natural disaster in the past, from federal, state and private insurance sources, has often fully covered the costs incurred. Although bond prices of municipalities impacted may have suffered price volatility during and after an event, bondholders have rarely suffered a financial loss. However, investors shouldn’t assume that will always be the case. At some point, federal resources may be harder to secure and private insurance less available, leaving state and local governments to shoulder a greater share of the financial burden.
Because a climate-related event can occur at any time in virtually any location, an appropriate starting point for a climate risk evaluation is simply the relative strength of an individual credit. Financially strong municipalities, particularly those with broad and diverse tax/revenue support and, importantly, that have taken steps to prepare for an event, should be better able to handle a shock than issuers with a weaker, more narrowly focused revenue stream. Beyond this, it’s important to simply acknowledge that certain municipalities have a higher probability of a climate-related event than others. According to the National Oceanic and Atmospheric Administration, of the 292 hurricanes that struck the U.S. between 1851 and 2018, 40% (120) hit Florida, followed by Texas with 22% (64). In contrast, a handful of other coastal Atlantic states, including Maryland, Delaware, New Jersey and Pennsylvania combined, had only 9 direct hurricanes over the 167-year period. When considering “major” hurricanes only, which are those that caused the most damage, 88% struck Florida and/or Texas, warranting a higher level of climate-related analysis of the coastal communities in those two states. Yet, currently there is very little difference in how credits in coastal Florida or Texas trade relative to other inland issuers. We expect the market awareness of climate-related risks to grow over time, bringing greater disparity to trading levels, but at the same time more efficiency given the perceived risks.
Page 67
2019 Municipal Bond Market Overview
(Unaudited)
Modest Quarterly Returns but Strong Annual Returns in 2019
The fourth quarter of 2019 saw a modest rise in intermediate and long-term yields, but returns were still positive in Q4, adding to the strong full-year results. 2019 was a year in which risk-seeking strategies were well rewarded. For the year, long maturities (10.26%) handily outperformed the short (3.66%) and intermediate (6.44%) curve segments as rates fell and the tax-free yield curve flattened. Lower-quality credits also outperformed higher-quality issues for the quarter and full year. For example, returns on BBBs (9.94%) and High Yield municipals (10.68%) provided 321 bps and 395 bps of outperformance, respectively, over AAAs (6.73%) over the year. There was little difference in performance between the Revenue and General Obligation sectors, while the Prerefunded sector lagged these two by a wide margin, due primarily to its shorter average duration.
Total Returns of Selected Barclays Municipal Indices and Subsectors
Bloomberg | Bloomberg | |||||||
Barclays | Barclays | |||||||
Index/Sector | Dec | Q4 | YTD | Quality | Dec | Q4 | YTD | |
Municipal Bond Index | 0.31% | 0.74% | 7.54% | AAA | 0.26% | 0.72% | 6.73% | |
General Obligation bonds | 0.33% | 0.81% | 7.30% | AA | 0.28% | 0.71% | 7.12% | |
Revenue bonds | 0.31% | 0.71% | 7.93% | A | 0.31% | 0.71% | 8.10% | |
Prerefunded bonds | 0.15% | 0.73% | 3.55% | BBB | 0.49% | 1.02% | 9.94% | |
Long maturities (22+ yrs.) | 0.26% | 0.54% | 10.26% | High Yield | 0.30% | 0.90% | 10.68% | |
Intermediate | HY, ex- | |||||||
maturities (1 – 17 yrs.) | 0.32% | 0.81% | 6.44% | Puerto Rico | 0.23% | 0.84% | 9.68% | |
Short maturities (1 – 5 yrs.) | 0.21% | 0.84% | 3.66% |
2020 Outlook
In 2020 we expect a continuation of many of the favorable themes that supported the municipal market in 2019. Although rates are unlikely to continue on the same downward path, the outlook for the Fed is a stable, if not accommodative, policy stance in the new year. In addition, the technical backdrop for the municipal market remains favorable with supply expected to rise modestly (although this is dependent upon rates remaining low) and strong demand. Between the cash available from bonds rolling off due to maturities or calls, plus new money flows, there should be little trouble absorbing anticipated supply in 2020. It’s possible that as much as 25% of total municipal issuance comes in the taxable sector, where demand is nearly unlimited given the size and breadth of the taxable fixed income markets. If so, the YoY growth in tax-exempt debt should be very modest. The economic backdrop also remains favorable as the record-long expansion is expected to continue for what will be its twelfth year by mid-2020, with recession concerns fading. The economic outlook, therefore, remains supportive for municipal credits for the foreseeable future, although credit spreads largely reflect this favorable view, leaving little room for error or further tightening. We continue to believe that an up-in-quality focus is the most appropriate posture, even as we look for select bottom-up opportunities. Beyond select credit opportunities, we anticipate structural opportunities will continue to provide yield enhancement strategies. The Housing sector, in particular, will remain a common overweight allocation. While it has higher average quality benefit, it offers additional yield beyond a traditional structure due to cash flow variability. 2020 is also an election year, which may provide heightened volatility for municipals as tax policies come into greater focus, as could the Healthcare sector, if meaningful changes are anticipated.
Page 68
2019 Municipal Bond Market Overview
(Unaudited)
Disclosures
Fixed income is generally considered to be a more conservative investment than stocks, but bonds and other fixed income investments still carry a variety of risks such as interest rate risk, credit risk, inflation risk, and liquidity risk. In a rising interest rate environment, the value of fixed-income securities generally declines and conversely, in a falling interest rate environment, the value of fixed-income securities generally increases. High yield securities may be subject to heightened market, interest rate or credit risk and should not be purchased solely because of the stated yield.
The Bloomberg Barclays Municipal Bond Index is a broad-based, total-return index. The bonds are all investment-grade, tax-exempt, and fixed-rate securities with long-term maturities (greater than 2 years). They are selected from issues larger than $50 million. The components listed below the Municipal Bond Index (long maturities, intermediate maturities, short maturities, prefunded bonds, general obligation bonds and revenue bonds) are subsectors of the Bloomberg Barclays Municipal Bond Index and do not represent separate indices.
The Bloomberg Barclays High Yield Municipal Index includes bonds with a par value of at least $3 million and must be issued as part of a transaction of at least $20 million. The maximum rating for inclusion is Ba1/BB+/BB+ using the middle rating.
For more information about the Bloomberg Barclays Municipal Bond Index or Bloomberg Barclays High Yield Municipal Index, please visit https://index.barcap.com/Home/Guides_and_Factsheets.
Municipal securities investments are not appropriate for all investors, especially those taxed at lower rates. The alternative minimum tax (AMT) may be applicable, even for securities identified as tax exempt. Past performance is not a guarantee of future results.
Ratings are measured on a scale that ranges from AAA or Aaa (highest) to D or C (lowest). Investment grade investments are those rated from highest down to BBB- or Baa3.
Robert W. Baird & Co. Incorporated. This is not a complete analysis of every material fact regarding any company, industry or security. The information has been obtained from sources we consider to be reliable, but we cannot guarantee the accuracy. Indices are unmanaged, and are not available for direct investment. Past performance is not a guarantee of future results.
Page 69
Baird Short-Term Municipal Bond Fund
December 31, 2019 (Unaudited)
The Baird Short-Term Municipal Bond Fund seeks current income that is exempt from federal income tax and is consistent with the preservation of capital.
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% from the prior year. Tax-free borrowings rose 12% in 2019, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% year-over-year increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 30 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Curve Allocation | ||
• Despite modest steepening in Q4, the barbell structure contributed to full year performance as the curve flattened | |||
• | Credit Positioning | ||
• A higher quality credit weighting detracted from performance, but was partially offset by modest exposure to non-rated issues | |||
• | Sector | ||
• Overweight to the Revenue sector (e.g. Corporate-Backed and Housing issues) contributed modestly to performance | |||
• | Security Selection | ||
• Security selection was the largest contributor to performance for the year |
In 2020 we expect a continuation of the many positive themes from 2019. Although rates are not likely to decline at the same pace, a stable, if not accommodative, Fed provides a favorable investing backdrop. Positive technical support is also likely to continue as supply is expected to increase only modestly while investor demand should remain more than sufficient. From a credit perspective, the backdrop also remains favorable, certainly on a fundamental basis, but less so in terms of valuation. The record length of this economic expansion has allowed state and local governments time to close budget gaps and rebuild reserves. Yet discipline is required. Long-term pension liabilities still loom over many municipalities and the awareness of new credit risks, such as climate change and cyber risk, are rising. Broadly speaking, credit spreads have narrowed to the point that lower quality credits are only moderately attractive, suggesting a higher quality credit posture is appropriate. A point of focus in 2020 is the elections, which could create additional market volatility, particularly as it relates to tax policy and healthcare reform.
Page 70
Baird Short-Term Municipal Bond Fund
December 31, 2019 (Unaudited)
The Fund will seek to maintain a neutral duration posture relative to the benchmark with a curve allocation that seeks to optimize the roll-down benefit of an upward sloping municipal curve. Sector weightings favor an overweight to revenue-backed issues over general obligation debt. An overall neutral credit posture is appropriate in our view given relatively narrow credit spreads. Opportunities for additional yield will be sought through bottom-up credit analysis as well as through security structure and cash flow optionality.
Page 71
Baird Short-Term Municipal Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,015,707,515 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.45% | |||
Investor Class | 1.19% | |||
Average | ||||
Effective | ||||
Duration | 2.37 years | |||
Average | ||||
Effective | ||||
Maturity | 2.62 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 34% | |||
Number of | ||||
Holdings | 1,757 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 72
Baird Short-Term Municipal Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (08/31/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (08/31/15), assuming reinvestment of all distributions.
Page 73
Baird Short-Term Municipal Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||
One | Three | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Inception(1) |
Institutional Class Shares | 3.96% | 2.84% | 2.35% |
Investor Class Shares | 3.81% | 2.59% | 2.08% |
Bloomberg Barclays Short (1-5 Year) Municipal Index(2) | 3.66% | 2.34% | 1.72% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 74
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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)(2)(7) | $ | 22,073,609 | 2.2 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $21,904,387) | 22,073,609 | 2.2 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
3.750%, 12/01/2042 (Callable 06/01/2028) | $ | 10,000,000 | 10,893,500 | 1.1 | % | |||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,355,000 | 1,479,213 | 0.1 | % | ||||||||
Borough of Matanuska-Susitna AK, | ||||||||||||
5.250%, 09/01/2027 (Callable 09/01/2025) | 5,590,000 | 6,677,255 | 0.7 | % | ||||||||
Other Alaska(7) | 2,025,824 | 0.2 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $21,026,684) | 21,075,792 | 2.1 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2020 (Insured by SD CRED PROG) | 160,000 | 161,971 | 0.0 | % | ||||||||
5.000%, 11/01/2020 | 165,000 | 170,341 | 0.0 | % | ||||||||
3.375%, 07/01/2021 | 185,000 | 187,988 | 0.0 | % | ||||||||
4.000%, 07/01/2021 (Insured by SD CRED PROG) | 165,000 | 169,933 | 0.0 | % | ||||||||
5.000%, 11/01/2021 | 225,000 | 239,731 | 0.0 | % | ||||||||
2.500%, 05/01/2022 (Insured by AGM) | 12,415,443 | 12,491,426 | 1.2 | % | ||||||||
4.000%, 05/01/2022 | 300,000 | 314,541 | 0.0 | % | ||||||||
3.000%, 07/01/2022 | 100,000 | 101,078 | 0.0 | % | ||||||||
5.000%, 11/01/2022 | 400,000 | 439,760 | 0.0 | % | ||||||||
4.000%, 08/01/2023 | 705,000 | 718,881 | 0.1 | % | ||||||||
5.000%, 11/01/2023 | 250,000 | 282,675 | 0.0 | % | ||||||||
5.000%, 11/01/2024 | 500,000 | 580,440 | 0.1 | % | ||||||||
5.000%, 05/01/2025 | 405,000 | 459,007 | 0.1 | % | ||||||||
4.625%, 08/01/2028 | 375,000 | 401,711 | 0.0 | % | ||||||||
0.530%, 02/01/2048 (Optional Put Date 01/01/2020)(1) | 4,500,000 | 4,500,000 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 75
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Salt Verde Financial Corp., | ||||||||||||
5.250%, 12/01/2026 | $ | 2,500,000 | $ | 3,033,150 | 0.3 | % | ||||||
Other Arizona(1)(2)(7) | 4,522,440 | 0.5 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $28,657,070) | 28,775,073 | 2.8 | % | |||||||||
Arkansas | ||||||||||||
Other Arkansas(7) | 19,332,323 | 1.9 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $18,995,823) | 19,332,323 | 1.9 | % | |||||||||
California | ||||||||||||
Department of Veterans Affairs Veteran’s | ||||||||||||
Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 2,490,000 | 2,727,720 | 0.2 | % | ||||||||
Other California(1)(2)(5)(7) | 16,004,457 | 1.6 | % | |||||||||
Total California | ||||||||||||
(Cost $18,387,239) | 18,732,177 | 1.8 | % | |||||||||
Colorado | ||||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2020 | 130,000 | 131,456 | 0.0 | % | ||||||||
5.000%, 12/01/2023 (Callable 12/01/2022) | 1,000,000 | 1,097,000 | 0.1 | % | ||||||||
5.000%, 05/15/2025 (Callable 05/15/2023) | 320,000 | 347,936 | 0.1 | % | ||||||||
4.000%, 12/01/2026 (Pre-refunded to 06/01/2022) | 1,535,000 | 1,640,623 | 0.2 | % | ||||||||
5.000%, 11/15/2036 | ||||||||||||
(Mandatory Tender Date 11/15/2023)(1) | 145,000 | 165,425 | 0.0 | % | ||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 1,740,000 | 1,876,085 | 0.2 | % | ||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 180,000 | 201,379 | 0.0 | % | ||||||||
2.800%, 05/15/2042 (Callable 11/15/2022) | ||||||||||||
(Mandatory Tender Date 05/15/2023)(1) | 1,745,000 | 1,806,825 | 0.2 | % | ||||||||
5.625%, 06/01/2043 (Pre-refunded to 06/01/2023) | 1,080,000 | 1,242,767 | 0.1 | % | ||||||||
5.000%, 11/15/2048 | ||||||||||||
(Mandatory Tender Date 11/20/2025)(1) | 60,000 | 72,239 | 0.0 | % | ||||||||
5.000%, 08/01/2049 (Callable 02/01/2025) | ||||||||||||
(Mandatory Tender Date 08/01/2025)(1) | 5,500,000 | 6,354,150 | 0.6 | % | ||||||||
Other Colorado(1)(2)(7) | 8,042,904 | 0.8 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $22,677,657) | 22,978,789 | 2.3 | % | |||||||||
Connecticut | ||||||||||||
Other Connecticut(1)(2)(7) | 19,728,841 | 1.9 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $19,487,313) | 19,728,841 | 1.9 | % | |||||||||
Delaware | ||||||||||||
Other Delaware(7) | 616,469 | 0.1 | % | |||||||||
Total Delaware | ||||||||||||
(Cost $602,276) | 616,469 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 76
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
District of Columbia | ||||||||||||
District of Columbia Housing Finance Agency, | ||||||||||||
1.750%, 09/01/2025 | ||||||||||||
(Mandatory Tender Date 09/01/2023) | ||||||||||||
(Insured by FHA)(1) | $ | 3,760,000 | $ | 3,808,090 | 0.4 | % | ||||||
Other District of Columbia(1)(7) | 3,913,665 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $7,637,079) | 7,721,755 | 0.8 | % | |||||||||
Florida | ||||||||||||
Broward County Housing Finance Authority, | ||||||||||||
1.200%, 08/01/2022 | ||||||||||||
(Mandatory Tender Date 08/01/2021)(1) | 4,000,000 | 3,993,080 | 0.4 | % | ||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2037 (Callable 01/01/2020) | ||||||||||||
(Optional Put Date 01/07/2020)(1) | 4,200,000 | 4,200,000 | 0.4 | % | ||||||||
Other Florida(1)(7) | 31,349,282 | 3.1 | % | |||||||||
Total Florida | ||||||||||||
(Cost $39,245,124) | 39,542,362 | 3.9 | % | |||||||||
Georgia | ||||||||||||
Development Authority of Burke County, | ||||||||||||
0.620%, 11/01/2052 (Optional Put Date 01/01/2020)(1) | 4,000,000 | 4,000,000 | 0.4 | % | ||||||||
Main Street Natural Gas, Inc., | ||||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024) | ||||||||||||
(Mandatory Tender Date 12/02/2024)(1) | 2,785,000 | 3,106,166 | 0.3 | % | ||||||||
Other Georgia(1)(2)(7) | 22,347,317 | 2.2 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $29,206,869) | 29,453,483 | 2.9 | % | |||||||||
Hawaii | ||||||||||||
Other Hawaii(2)(7) | 200,012 | 0.0 | % | |||||||||
Total Hawaii | ||||||||||||
(Cost $200,104) | 200,012 | 0.0 | % | |||||||||
Idaho | ||||||||||||
Other Idaho(1)(7) | 2,624,130 | 0.3 | % | |||||||||
Total Idaho | ||||||||||||
(Cost $2,605,703) | 2,624,130 | 0.3 | % | |||||||||
Illinois | ||||||||||||
Kendall Kane & Will Counties Community | ||||||||||||
Unit School District No. 308, | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2021) | 3,000,000 | 3,104,070 | 0.3 | % | ||||||||
State of Illinois: | ||||||||||||
5.000%, 04/01/2020 | 40,000 | 40,335 | 0.0 | % | ||||||||
4.000%, 06/15/2020 | 975,000 | 984,692 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 77
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
State of Illinois: (cont.) | ||||||||||||
5.000%, 06/15/2020 | $ | 665,000 | $ | 674,576 | 0.1 | % | ||||||
5.000%, 08/01/2020 | 3,000,000 | 3,058,230 | 0.3 | % | ||||||||
4.000%, 06/15/2021 | 35,000 | 35,950 | 0.0 | % | ||||||||
5.000%, 08/01/2021 | 175,000 | 183,557 | 0.0 | % | ||||||||
5.000%, 01/01/2022 (Callable 01/31/2020) | 145,000 | 145,339 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 55,000 | 58,506 | 0.0 | % | ||||||||
5.000%, 06/15/2022 | 185,000 | 197,349 | 0.0 | % | ||||||||
6.500%, 06/15/2022 | 260,000 | 267,527 | 0.0 | % | ||||||||
5.000%, 06/15/2023 | 940,000 | 1,026,574 | 0.1 | % | ||||||||
5.000%, 04/01/2024 (Callable 04/01/2023) | ||||||||||||
(Insured by AGM) | 200,000 | 220,704 | 0.0 | % | ||||||||
5.500%, 07/01/2024 (Callable 07/01/2023) | 835,000 | 925,656 | 0.1 | % | ||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 100,000 | 106,968 | 0.0 | % | ||||||||
5.000%, 10/01/2024 | 525,000 | 587,401 | 0.1 | % | ||||||||
3.750%, 06/15/2025 (Callable 06/15/2021) | 210,000 | 214,276 | 0.0 | % | ||||||||
5.000%, 06/15/2025 (Callable 06/15/2023) | 1,500,000 | 1,628,475 | 0.2 | % | ||||||||
4.000%, 06/15/2026 (Callable 06/15/2021) | 315,000 | 322,166 | 0.0 | % | ||||||||
5.000%, 05/01/2028 (Callable 05/01/2024) | 545,000 | 599,751 | 0.1 | % | ||||||||
Other Illinois(1)(2)(5)(7) | 67,738,795 | 6.7 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $80,982,117) | 82,120,897 | 8.1 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
2.250%, 12/01/2058 (Callable 01/01/2025) | ||||||||||||
(Mandatory Tender Date 07/01/2025)(1) | 2,985,000 | 3,092,161 | 0.3 | % | ||||||||
Other Indiana(1)(2)(7) | 28,260,079 | 2.8 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $31,180,962) | 31,352,240 | 3.1 | % | |||||||||
Iowa | ||||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 2,900,000 | 2,918,067 | 0.3 | % | ||||||||
Other Iowa(1)(7) | 12,105,110 | 1.2 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $14,866,339) | 15,023,177 | 1.5 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(7) | 7,308,355 | 0.7 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $7,221,526) | 7,308,355 | 0.7 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024) | ||||||||||||
(Mandatory Tender Date 04/01/2024)(1) | 4,750,000 | 5,169,900 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 78
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kentucky Public Energy Authority: (cont.) | ||||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024) | ||||||||||||
(Mandatory Tender Date 01/01/2025)(1) | $ | 2,735,000 | $ | 3,020,096 | 0.3 | % | ||||||
Other Kentucky(1)(7) | 10,327,691 | 1.0 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $18,373,939) | 18,517,687 | 1.8 | % | |||||||||
Louisiana | ||||||||||||
Other Louisiana(1)(7) | 15,658,237 | 1.5 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $15,465,244) | 15,658,237 | 1.5 | % | |||||||||
Maine | ||||||||||||
Other Maine(7) | 2,667,023 | 0.3 | % | |||||||||
Total Maine | ||||||||||||
(Cost $2,610,142) | 2,667,023 | 0.3 | % | |||||||||
Maryland | ||||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 2,520,000 | 2,915,968 | 0.3 | % | ||||||||
Other Maryland(7) | 2,186,281 | 0.2 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $4,980,507) | 5,102,249 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Transportation Trust, | ||||||||||||
5.000%, 01/01/2039 | ||||||||||||
(Mandatory Tender Date 01/01/2023)(1) | 3,035,000 | 3,369,275 | 0.3 | % | ||||||||
Other Massachusetts(1)(2)(7) | 8,645,451 | 0.9 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $11,828,116) | 12,014,726 | 1.2 | % | |||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority, | ||||||||||||
3.500%, 06/01/2047 (Callable 06/01/2026) | 4,535,000 | 4,782,747 | 0.5 | % | ||||||||
Other Michigan(1)(2)(7) | 23,000,745 | 2.2 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $27,489,733) | 27,783,492 | 2.7 | % | |||||||||
Minnesota | ||||||||||||
Minnesota Housing Finance Agency, | ||||||||||||
3.500%, 07/01/2046 | ||||||||||||
(Callable 07/01/2025)(Insured by GNMA) | 4,315,000 | 4,547,967 | 0.5 | % | ||||||||
Other Minnesota(1)(2)(7) | 12,390,838 | 1.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $16,784,368) | 16,938,805 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 79
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | $ | 8,675,000 | $ | 8,675,087 | 0.8 | % | ||||||
Other Mississippi(1)(2)(7) | 7,883,310 | 0.8 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $16,475,969) | 16,558,397 | 1.6 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(1)(6)(7) | 9,771,201 | 1.0 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $9,670,233) | 9,771,201 | 1.0 | % | |||||||||
Montana | ||||||||||||
Other Montana(7) | 3,199,338 | 0.3 | % | |||||||||
Total Montana | ||||||||||||
(Cost $3,131,698) | 3,199,338 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska(1)(7) | 4,747,995 | 0.5 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $4,642,517) | 4,747,995 | 0.5 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(7) | 5,880,284 | 0.6 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $5,820,694) | 5,880,284 | 0.6 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
1.500%, 09/01/2022 | ||||||||||||
(Mandatory Tender Date 09/01/2021)(1) | 4,000,000 | 4,007,760 | 0.4 | % | ||||||||
Other New Jersey(1)(7) | 23,279,620 | 2.3 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $26,988,161) | 27,287,380 | 2.7 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | ||||||||||||
(Insured by GNMA) | 2,925,000 | 3,219,343 | 0.3 | % | ||||||||
Other New Mexico(1)(7) | 3,347,600 | 0.3 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $6,440,165) | 6,566,943 | 0.6 | % | |||||||||
New York | ||||||||||||
City of New York NY, | ||||||||||||
5.000%, 08/01/2038 (Callable 08/01/2023) | ||||||||||||
(Mandatory Tender Date 02/01/2024)(1) | 5,000,000 | 5,653,950 | 0.5 | % | ||||||||
Long Island Power Authority: | ||||||||||||
1.997%, 05/01/2033 | ||||||||||||
(1 Month LIBOR USD + 0.750%) (Callable 10/01/2022) | ||||||||||||
(Mandatory Tender Date 10/01/2023)(2) | 5,560,000 | 5,605,314 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 80
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
1.140%, 11/01/2022 (Callable 01/09/2020) | ||||||||||||
(Optional Put Date 01/07/2020)(1) | $ | 1,830,000 | $ | 1,830,000 | 0.2 | % | ||||||
0.580%, 08/01/2045 (Callable 01/02/2020) | ||||||||||||
(Optional Put Date 12/31/2019)(1) | 8,700,000 | 8,700,000 | 0.9 | % | ||||||||
New York State Energy Research | ||||||||||||
& Development Authority, | ||||||||||||
2.000%, 02/01/2029 | ||||||||||||
(Mandatory Tender Date 05/01/2020)(1) | 2,715,000 | 2,719,507 | 0.3 | % | ||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,000,000 | 5,001,850 | 0.5 | % | ||||||||
Other New York(1)(2)(3)(7) | 13,383,686 | 1.3 | % | |||||||||
Total New York | ||||||||||||
(Cost $42,718,640) | 42,894,307 | 4.2 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 5,000,000 | 5,518,850 | 0.6 | % | ||||||||
Other North Carolina(1)(7) | 7,236,112 | 0.7 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $12,699,100) | 12,754,962 | 1.3 | % | |||||||||
North Dakota | ||||||||||||
Other North Dakota(7) | 15,610,071 | 1.5 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $15,323,984) | 15,610,071 | 1.5 | % | |||||||||
Ohio | ||||||||||||
County of Montgomery OH, | ||||||||||||
5.000%, 11/15/2025 | 2,500,000 | 2,979,375 | 0.3 | % | ||||||||
Other Ohio(1)(2)(7) | 22,807,349 | 2.2 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $25,629,879) | 25,786,724 | 2.5 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(1)(2)(7) | 11,766,602 | 1.2 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $11,650,231) | 11,766,602 | 1.2 | % | |||||||||
Oregon | ||||||||||||
State of Oregon Housing & Community | ||||||||||||
Services Department, | ||||||||||||
3.500%, 07/01/2032 (Callable 07/01/2026) | 3,375,000 | 3,559,916 | 0.3 | % | ||||||||
Other Oregon(1)(7) | 7,904,662 | 0.8 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $11,339,663) | 11,464,578 | 1.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 81
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Pennsylvania | ||||||||||||
Crawford Central School District, | ||||||||||||
4.000%, 02/15/2025 (Insured by BAM) | $ | 2,455,000 | $ | 2,740,541 | 0.3 | % | ||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 6,000,000 | 6,491,580 | 0.6 | % | ||||||||
York City School District, | ||||||||||||
4.000%, 05/01/2025 (Insured by BAM)(6) | 3,070,000 | 3,455,070 | 0.3 | % | ||||||||
Other Pennsylvania(1)(2)(5)(6)(7) | 47,393,117 | 4.7 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $59,786,044) | 60,080,308 | 5.9 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(7) | 2,067,100 | 0.2 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $1,977,299) | 2,067,100 | 0.2 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(7) | 5,096,492 | 0.5 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $5,080,785) | 5,096,492 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Other South Carolina(1)(7) | 10,383,770 | 1.0 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $10,169,257) | 10,383,770 | 1.0 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota(7) | 620,972 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $619,661) | 620,972 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Nashville & Davidson County Metropolitan Government, | ||||||||||||
1.300%, 12/01/2020 | 5,000,000 | 4,998,200 | 0.5 | % | ||||||||
Other Tennessee(1)(7) | 18,914,031 | 1.8 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $23,739,303) | 23,912,231 | 2.3 | % | |||||||||
Texas | ||||||||||||
Brazosport Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 5,525,000 | 6,360,325 | 0.6 | % | ||||||||
Dallas Convention Center Hotel Development Corp., | ||||||||||||
0.000%, 01/01/2025 | 4,450,000 | 4,066,187 | 0.4 | % | ||||||||
Deer Park Independent School District, | ||||||||||||
1.550%, 10/01/2042 (Mandatory Tender | ||||||||||||
Date 10/01/2020)(PSF Guaranteed)(1) | 3,000,000 | 3,005,520 | 0.3 | % | ||||||||
Goose Creek Consolidated Independent School District, | ||||||||||||
3.000%, 10/01/2049 (Mandatory Tender | ||||||||||||
Date 10/01/2020)(PSF Guaranteed)(1) | 3,500,000 | 3,544,170 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 82
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2041 | ||||||||||||
(Pre-refunded to 08/15/2024)(PSF Guaranteed) | $ | 8,510,000 | $ | 3,494,210 | 0.3 | % | ||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender | ||||||||||||
Date 08/01/2021)(PSF Guaranteed)(1) | 3,765,000 | 3,833,523 | 0.4 | % | ||||||||
North Texas Tollway Authority, | ||||||||||||
5.250%, 09/01/2026 (Pre-refunded to 09/01/2021) | 3,055,000 | 3,260,449 | 0.3 | % | ||||||||
Northside Independent School District, | ||||||||||||
1.600%, 08/01/2049 (Mandatory Tender | ||||||||||||
Date 08/01/2024)(PSF Guaranteed)(1) | 3,075,000 | 3,088,007 | 0.3 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 2,825,000 | 3,324,771 | 0.3 | % | ||||||||
Texas State Public Finance Authority | ||||||||||||
Charter School Finance Corp., | ||||||||||||
6.200%, 02/15/2040 (Pre-refunded to 02/15/2020) | 3,000,000 | 3,017,100 | 0.3 | % | ||||||||
Other Texas(1)(2)(7) | 115,464,621 | 11.4 | % | |||||||||
Total Texas | ||||||||||||
(Cost $150,929,906) | 152,458,883 | 15.0 | % | |||||||||
Utah | ||||||||||||
Other Utah(1)(7) | 3,351,811 | 0.3 | % | |||||||||
Total Utah | ||||||||||||
(Cost $3,318,479) | 3,351,811 | 0.3 | % | |||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency, | ||||||||||||
4.000%, 11/01/2049 (Callable 05/01/2028) | ||||||||||||
(Insured by GNMA) | 2,515,000 | 2,804,854 | 0.3 | % | ||||||||
Other Vermont(7) | 2,354,006 | 0.2 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $5,068,582) | 5,158,860 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(7) | 101,792 | 0.0 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $101,928) | 101,792 | 0.0 | % | |||||||||
Virginia | ||||||||||||
Henry County Industrial Development Authority, | ||||||||||||
2.000%, 11/01/2023 (Callable 11/01/2021) | 3,250,000 | 3,277,690 | 0.3 | % | ||||||||
Other Virginia(1)(7) | 4,480,247 | 0.5 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $7,749,537) | 7,757,937 | 0.8 | % | |||||||||
Washington | ||||||||||||
Other Washington(1)(2)(6)(7) | 12,043,893 | 1.2 | % | |||||||||
Total Washington | ||||||||||||
(Cost $11,982,682) | 12,043,893 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 83
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
West Virginia | ||||||||||||
Other West Virginia(1)(7) | $ | 2,295,330 | 0.2 | % | ||||||||
Total West Virginia | ||||||||||||
(Cost $2,282,759) | 2,295,330 | 0.2 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 01/01/2020 | $ | 415,000 | 415,000 | 0.1 | % | |||||||
4.000%, 10/01/2020 | 200,000 | 203,086 | 0.0 | % | ||||||||
4.000%, 12/01/2020 | 350,000 | 354,315 | 0.0 | % | ||||||||
5.000%, 06/15/2021 | 140,000 | 145,930 | 0.0 | % | ||||||||
4.000%, 10/01/2021 | 200,000 | 206,924 | 0.0 | % | ||||||||
5.000%, 10/01/2022 | 2,000,000 | 2,128,360 | 0.2 | % | ||||||||
5.000%, 06/15/2023 | 395,000 | 434,247 | 0.1 | % | ||||||||
5.000%, 10/01/2023 | 2,000,000 | 2,171,420 | 0.2 | % | ||||||||
5.000%, 10/01/2024 | 1,605,000 | 1,771,455 | 0.2 | % | ||||||||
8.375%, 06/01/2037 (Pre-refunded to 06/01/2022) | 1,050,000 | 1,219,890 | 0.1 | % | ||||||||
8.625%, 06/01/2047 (Pre-refunded to 06/01/2022) | 1,265,000 | 1,481,252 | 0.2 | % | ||||||||
State of Wisconsin, | ||||||||||||
5.000%, 05/01/2025 (Pre-refunded to 05/01/2021) | 5,000,000 | 5,256,250 | 0.5 | % | ||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 56,321 | 0.0 | % | ||||||||
2.650%, 11/01/2020 (Callable 01/21/2020) | 1,655,000 | 1,655,629 | 0.2 | % | ||||||||
5.000%, 11/01/2020 | 100,000 | 101,817 | 0.0 | % | ||||||||
5.000%, 11/01/2021 | 110,000 | 114,219 | 0.0 | % | ||||||||
4.500%, 12/15/2021 (Callable 06/15/2020) | 200,000 | 202,806 | 0.0 | % | ||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 120,000 | 127,261 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 230,000 | 239,685 | 0.0 | % | ||||||||
5.000%, 07/01/2022 | 185,000 | 201,691 | 0.0 | % | ||||||||
4.000%, 09/15/2022 | 200,000 | 208,792 | 0.0 | % | ||||||||
5.000%, 03/01/2023 | 300,000 | 317,895 | 0.0 | % | ||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 350,000 | 377,843 | 0.0 | % | ||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 430,467 | 0.1 | % | ||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 156,354 | 0.0 | % | ||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 379,091 | 0.0 | % | ||||||||
4.500%, 06/01/2025 (Pre-refunded to 06/01/2020) | 500,000 | 506,905 | 0.1 | % | ||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 763,963 | 0.1 | % | ||||||||
2.750%, 08/15/2025 | 1,440,000 | 1,504,166 | 0.2 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 300,000 | 315,258 | 0.0 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2022) | 200,000 | 207,514 | 0.0 | % | ||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 1,250,000 | 1,259,150 | 0.1 | % | ||||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 135,000 | 146,703 | 0.0 | % | ||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 560,000 | 634,536 | 0.1 | % | ||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 375,000 | 428,355 | 0.1 | % | ||||||||
5.000%, 11/15/2043 | ||||||||||||
(Mandatory Tender Date 06/01/2020)(1) | 365,000 | 370,606 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 84
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Wisconsin(1)(7) | $ | 17,939,119 | 1.8 | % | ||||||||
Total Wisconsin | ||||||||||||
(Cost $43,981,207) | 44,434,275 | 4.4 | % | |||||||||
Wyoming | ||||||||||||
Other Wyoming(7) | 3,638,100 | 0.4 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $3,621,322) | 3,638,100 | 0.4 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $985,356,006) | 995,032,239 | 98.0 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $985,356,006) | 995,032,239 | 98.0 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash | ||||||||||||
Trust, Premier Shares, 1.47%(4) | 183,299 | 183,299 | 0.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $183,299) | 183,299 | 0.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $985,539,305) | 995,215,538 | 98.0 | % | |||||||||
Other Assets in Excess of Liabilities | 20,491,977 | 2.0 | % | |||||||||
TOTAL NET ASSETS | $ | 1,015,707,515 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
BAM – Build America Mutual Assurance Co.
BHAC – Berkshire Hathaway Assurance Corp.
FHA – Federal Housing Administration
GNMA – Government National Mortgage Association
SD CRED PROG – State Credit Enhancement Program
ETM – Escrowed to Maturity
LIBOR – London Inter-bank Offered Rate
PSF – Permanent School Fund
(1) | Variable rate security, or group of securities contains a variable rate security. The rate reported is the rate in effect as of December 31, 2019. |
(2) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(3) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $198,774, which represents 0.02% of total net assets. |
(4) | 7-Day Yield. |
(5) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
Page 85
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Notes to Summary Schedule of Investments (cont.)
(6) | Security or a portion of the security, or group of securities contains 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. |
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 995,032,239 | $ | — | $ | 995,032,239 | ||||||||
Total Long-Term Investments | — | 995,032,239 | — | 995,032,239 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 183,299 | — | — | 183,299 | ||||||||||||
Total Short-Term Investment | 183,299 | — | — | 183,299 | ||||||||||||
Total Investments | $ | 183,299 | $ | 995,032,239 | $ | — | $ | 995,215,538 |
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 86
Baird Quality Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
The Baird Quality Intermediate Municipal Bond Fund seeks current income that is substantially exempt from federal income tax. As a reminder, the Fund maintains a quality focus and there are several key strategies employed on an ongoing basis that differentiate it from others in the intermediate municipal fund space. These include a consistent overweight among higher quality issues, with particular emphasis on AAA-rated securities, a persistent overweight to U.S. government backed issues, and minimization of maturity extension risk.
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% from the prior year. Tax-free borrowings rose 12% in 2019, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% year-over-year increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings.
During 2019, the Fund’s Institutional Class Shares generated strong absolute returns and modestly lagged its benchmark.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Curve Allocation | ||
• Despite modest steepening in Q4, the barbell structure contributed to full year performance as the curve flattened | |||
• | Credit Positioning | ||
• The Fund’s very high credit quality detracted from performance | |||
• | Sector | ||
• An overweight to the intermediate-term, pre-refunded issues enhanced performance | |||
• | Security Selection | ||
• Security selection contributed to performance for the year |
In 2020 we expect a continuation of the many positive themes from 2019. Although rates are not likely to decline at the same pace, a stable, if not accommodative, Fed provides a favorable investing backdrop. Positive technical support is also likely to continue as supply is expected to increase only modestly while investor demand should remain more than sufficient. From a credit perspective, the backdrop also remains favorable, certainly on a fundamental basis, but less so in terms of valuation. The record length of this economic expansion has allowed state and local governments time to close budget gaps and rebuild reserves. Yet discipline is required. Long-term pension liabilities still loom over many municipalities and the awareness of new credit risks, such as climate change and cyber risk, are rising. Broadly speaking, credit spreads have narrowed to the point that lower quality credits are only moderately attractive, suggesting a higher quality credit posture is appropriate. A point of focus in 2020 is the elections, which could create additional market volatility, particularly as it relates to tax policy and healthcare reform.
Page 87
Baird Quality Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
The Fund will seek to maintain a neutral duration posture relative to the benchmark with a curve allocation that seeks to optimize the roll-down benefit of the relatively steep municipal curve. Sector weightings will seem to strongly favor a focus on AAA-rated issues and the Pre-refunded sector of the market. As available, the Fund will seek to also add high-quality tax-exempt Housing revenue bonds, which have U.S. Federal Agency support. Finally, the Fund will seek to add yield through security structure and cash flow optionality rather than credit.
Page 88
Baird Quality Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,342,417,581 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.51% | |||
Investor Class | 1.25% | |||
Average | ||||
Effective | ||||
Duration | 4.27 years | |||
Average | ||||
Effective | ||||
Maturity | 4.64 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 20% | |||
Number of | ||||
Holdings | 608 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 89
Baird Quality Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/09, assuming reinvestment of all distributions.
Page 90
Baird Quality Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 5.65% | 2.32% | 2.88% | 3.96% |
Investor Class Shares | 5.33% | 2.06% | 2.62% | 3.70% |
Bloomberg Barclays Quality Intermediate | ||||
Municipal Bond Index(2) | 5.88% | 2.71% | 3.37% | 4.02% |
(1) | For the period from March 30, 2001 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 91
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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(5) | $ | 1,279,818 | 0.1 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $1,290,715) | 1,279,818 | 0.1 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(5) | 8,882,966 | 0.7 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $8,933,818) | 8,882,966 | 0.7 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
2.500%, 05/01/2022 (Insured by AGM) | $ | 14,865,532 | 14,956,509 | 1.1 | % | |||||||
Other Arizona(5) | 9,648,591 | 0.7 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $24,420,672) | 24,605,100 | 1.8 | % | |||||||||
Arkansas | ||||||||||||
City of Little Rock AR, | ||||||||||||
5.000%, 10/01/2034 (Callable 04/01/2025) | 5,000,000 | 5,781,600 | 0.4 | % | ||||||||
Other Arkansas(5) | 4,953,811 | 0.4 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $10,302,637) | 10,735,411 | 0.8 | % | |||||||||
California | ||||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | 12,385,000 | 12,199,349 | 0.9 | % | ||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034)(4) | 6,660,000 | 8,203,788 | 0.6 | % | ||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,865,000 | 0.5 | % | ||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,528,270 | 1.0 | % | ||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,250,832 | 0.1 | % | ||||||||
0.000%, 01/01/2028 (ETM) | 770,000 | 683,837 | 0.0 | % | ||||||||
Other California(4)(5) | 25,163,268 | 1.9 | % | |||||||||
Total California | ||||||||||||
(Cost $63,807,437) | 67,894,344 | 5.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 92
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado | ||||||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | $ | 6,815,000 | $ | 6,593,240 | 0.5 | % | ||||||
0.000%, 07/15/2024 (ETM) | 505,000 | 473,195 | 0.0 | % | ||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 335,000 | 374,788 | 0.0 | % | ||||||||
5.000%, 06/01/2047 (Pre-refunded to 06/01/2027) | 5,750,000 | 7,229,935 | 0.5 | % | ||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | 62,170,000 | 59,965,452 | 4.5 | % | ||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,152,772 | 0.5 | % | ||||||||
Other Colorado(5) | 5,147,945 | 0.4 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $82,576,802) | 85,937,327 | 6.4 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 6,985,000 | 7,635,583 | 0.6 | % | ||||||||
Other Connecticut(5) | 6,935,161 | 0.5 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $14,120,852) | 14,570,744 | 1.1 | % | |||||||||
District of Columbia | ||||||||||||
Other District of Columbia(1)(5) | 4,872,874 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $4,782,360) | 4,872,874 | 0.4 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028) | ||||||||||||
(Insured by GNMA) | 7,425,000 | 8,013,283 | 0.6 | % | ||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,460,000 | 8,985,450 | 0.7 | % | ||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,915,000 | 5,220,271 | 0.4 | % | ||||||||
Other Florida(1)(4)(5) | 37,899,313 | 2.8 | % | |||||||||
Total Florida | ||||||||||||
(Cost $58,260,495) | 60,118,317 | 4.5 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,020,000 | 9,978,564 | 0.7 | % | ||||||||
Other Georgia(2)(5) | 12,924,566 | 1.0 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $22,026,912) | 22,903,130 | 1.7 | % | |||||||||
Idaho | ||||||||||||
Other Idaho(5) | 610,625 | 0.0 | % | |||||||||
Total Idaho | ||||||||||||
(Cost $608,934) | 610,625 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 93
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois | ||||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | $ | 27,080,000 | $ | 25,750,372 | 1.9 | % | ||||||
0.000%, 07/15/2025 (ETM) | 50,155,000 | 46,047,807 | 3.4 | % | ||||||||
2.450%, 11/15/2039 | ||||||||||||
(Mandatory Tender Date 03/03/2026)(1) | 1,230,000 | 1,271,660 | 0.1 | % | ||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | 1,095,000 | 1,182,129 | 0.1 | % | ||||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 2,550,000 | 2,592,534 | 0.2 | % | ||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,825,000 | 7,313,465 | 0.5 | % | ||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,426,584 | 0.1 | % | ||||||||
4.000%, 01/15/2033 (Callable 01/15/2028) | 2,170,000 | 2,474,603 | 0.2 | % | ||||||||
5.000%, 08/01/2033 (Pre-refunded to 08/01/2024) | 700,000 | 819,840 | 0.1 | % | ||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,143,279 | 0.1 | % | ||||||||
4.000%, 07/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,106,710 | 0.1 | % | ||||||||
5.000%, 02/15/2036 (Callable 02/15/2027) | 215,000 | 254,898 | 0.0 | % | ||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,715,000 | 2,794,006 | 0.2 | % | ||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 660,000 | 696,379 | 0.0 | % | ||||||||
4.000%, 08/01/2048 (Callable 08/01/2027) | ||||||||||||
(Insured by GNMA) | 785,000 | 851,168 | 0.1 | % | ||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,780,000 | 11,889,478 | 0.9 | % | ||||||||
Kendall Kane & Will Counties Community | ||||||||||||
Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 13,395,827 | 1.0 | % | ||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,661,978 | 0.6 | % | ||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,198,558 | 0.5 | % | ||||||||
Other Illinois(5) | 55,322,059 | 4.1 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $181,737,589) | 190,193,334 | 14.2 | % | |||||||||
Indiana | ||||||||||||
Other Indiana(5) | 13,074,588 | 1.0 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $12,516,799) | 13,074,588 | 1.0 | % | |||||||||
Iowa | ||||||||||||
Other Iowa(5) | 13,505,510 | 1.0 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $13,312,301) | 13,505,510 | 1.0 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(5) | 1,692,827 | 0.1 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $1,683,628) | 1,692,827 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 94
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kentucky | ||||||||||||
Other Kentucky(5) | $ | 1,440,490 | 0.1 | % | ||||||||
Total Kentucky | ||||||||||||
(Cost $1,439,047) | 1,440,490 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | $ | 26,700,000 | 32,477,880 | 2.4 | % | |||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 27,746,293 | 2.1 | % | ||||||||
Other Louisiana(5) | 7,366,160 | 0.5 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $62,909,580) | 67,590,333 | 5.0 | % | |||||||||
Maryland | ||||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,402,061 | 0.5 | % | ||||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,477,616 | 0.2 | % | ||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,487,795 | 0.9 | % | ||||||||
Other Maryland(5) | 3,859,676 | 0.3 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $23,926,123) | 25,227,148 | 1.9 | % | |||||||||
Massachusetts | ||||||||||||
Other Massachusetts(5) | 6,400,614 | 0.5 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $6,283,615) | 6,400,614 | 0.5 | % | |||||||||
Michigan | ||||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026) | ||||||||||||
(Insured by Q-SBLF) | 7,255,000 | 8,504,166 | 0.6 | % | ||||||||
Other Michigan(5) | 19,334,512 | 1.5 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $26,477,583) | 27,838,678 | 2.1 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 7,925,000 | 8,251,114 | 0.6 | % | ||||||||
Other Minnesota(5) | 6,685,602 | 0.5 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $14,795,440) | 14,936,716 | 1.1 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(1)(5) | 6,219,315 | 0.4 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $5,905,116) | 6,219,315 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 95
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Missouri | ||||||||||||
Other Missouri(5) | $ | 12,164,354 | 0.9 | % | ||||||||
Total Missouri | ||||||||||||
(Cost $11,781,126) | 12,164,354 | 0.9 | % | |||||||||
Montana | ||||||||||||
Other Montana(5) | 1,439,154 | 0.1 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,357,530) | 1,439,154 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska(5) | 4,519,910 | 0.3 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $4,523,027) | 4,519,910 | 0.3 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(5) | 2,200,872 | 0.2 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $2,099,478) | 2,200,872 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Other New Hampshire(5) | 363,066 | 0.0 | % | |||||||||
Total New Hampshire | ||||||||||||
(Cost $358,019) | 363,066 | 0.0 | % | |||||||||
New Jersey | ||||||||||||
Other New Jersey(5) | 11,680,775 | 0.9 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $11,416,094) | 11,680,775 | 0.9 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(5) | 7,740,672 | 0.6 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $7,516,308) | 7,740,672 | 0.6 | % | |||||||||
New York | ||||||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | $ | 6,500,000 | 7,799,935 | 0.6 | % | |||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,303,841 | 0.3 | % | ||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,000,000 | 5,831,950 | 0.4 | % | ||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 181,424 | 0.0 | % | ||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,634,916 | 0.4 | % | ||||||||
New York State Urban Development Corp., | ||||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,871,320 | 0.5 | % | ||||||||
Other New York(5) | 28,037,415 | 2.1 | % | |||||||||
Total New York | ||||||||||||
(Cost $55,234,342) | 57,660,801 | 4.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 96
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | $ | 10,435,000 | $ | 10,652,465 | 0.8 | % | ||||||
6.400%, 01/01/2021 (ETM) | 1,817,000 | 1,862,262 | 0.1 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 12,245,000 | 12,739,453 | 1.0 | % | ||||||||
Other North Carolina(5) | 11,951,046 | 0.9 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $37,214,197) | 37,205,226 | 2.8 | % | |||||||||
North Dakota | ||||||||||||
Other North Dakota(5) | 11,445,199 | 0.8 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $11,268,447) | 11,445,199 | 0.8 | % | |||||||||
Ohio | ||||||||||||
State of Ohio, | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,120,069 | 0.5 | % | ||||||||
Other Ohio(1)(5) | 13,555,029 | 1.0 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $20,402,738) | 20,675,098 | 1.5 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(1)(5) | 1,300,127 | 0.1 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $1,299,806) | 1,300,127 | 0.1 | % | |||||||||
Oregon | ||||||||||||
Other Oregon(1)(5) | 13,068,967 | 1.0 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $12,873,211) | 13,068,967 | 1.0 | % | |||||||||
Pennsylvania | ||||||||||||
Other Pennsylvania(1)(5) | 19,751,744 | 1.5 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $19,435,537) | 19,751,744 | 1.5 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,490,000 | 5,986,790 | 0.4 | % | ||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 9,075,000 | 11,564,999 | 0.9 | % | ||||||||
5.500%, 08/01/2027 (ETM)(Insured by AMBAC) | 6,500,000 | 8,275,605 | 0.6 | % | ||||||||
Other Puerto Rico(5) | 1,264,114 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $26,098,246) | 27,091,508 | 2.0 | % | |||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,847,750 | 0.4 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $5,529,138) | 5,847,750 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 97
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency: | �� | |||||||||||
6.750%, 01/01/2020 (ETM) | $ | 6,450,000 | $ | 6,450,000 | 0.5 | % | ||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 5,590,000 | 6,619,063 | 0.5 | % | ||||||||
Other South Carolina(5) | 5,279,669 | 0.4 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $17,862,339) | 18,348,732 | 1.4 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota(5) | 878,278 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $856,605) | 878,278 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 40,000 | 40,000 | 0.0 | % | ||||||||
3.850%, 01/01/2035 (Callable 01/01/2025) | 440,000 | 465,291 | 0.0 | % | ||||||||
3.900%, 07/01/2042 (Callable 07/01/2027) | 790,000 | 842,148 | 0.1 | % | ||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 1,195,000 | 1,290,229 | 0.1 | % | ||||||||
3.650%, 07/01/2047 (Callable 01/01/2027) | 1,155,000 | 1,212,219 | 0.1 | % | ||||||||
4.050%, 01/01/2049 (Callable 01/01/2028) | 8,055,000 | 8,569,876 | 0.6 | % | ||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 1,685,000 | 1,858,740 | 0.1 | % | ||||||||
Other Tennessee(1)(5) | 13,023,969 | 1.0 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $26,945,627) | 27,302,472 | 2.0 | % | |||||||||
Texas | ||||||||||||
City of Houston TX: | ||||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 1,835,000 | 2,120,049 | 0.2 | % | ||||||||
0.000%, 12/01/2026 (ETM)(Insured by AGM) | 455,000 | 409,227 | 0.0 | % | ||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 16,050,000 | 20,730,982 | 1.6 | % | ||||||||
5.750%, 12/01/2032 (ETM)(Insured by AGM) | 20,965,000 | 30,678,923 | 2.3 | % | ||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.750%, 07/01/2027 (ETM) | 4,700,000 | 5,756,513 | 0.4 | % | ||||||||
6.250%, 07/01/2027 (ETM) | 7,540,000 | 9,450,938 | 0.7 | % | ||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025) | ||||||||||||
(PSF Guaranteed) | 6,785,000 | 7,788,841 | 0.6 | % | ||||||||
Other Texas(1)(4)(5) | 157,557,658 | 11.7 | % | |||||||||
Total Texas | ||||||||||||
(Cost $225,047,794) | 234,493,131 | 17.5 | % | |||||||||
Utah | ||||||||||||
Other Utah(5) | 8,939,557 | 0.7 | % | |||||||||
Total Utah | ||||||||||||
(Cost $8,677,885) | 8,939,557 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 98
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Vermont | ||||||||||||
Other Vermont(5) | $ | 3,424,759 | 0.2 | % | ||||||||
Total Vermont | ||||||||||||
(Cost $3,355,924) | 3,424,759 | 0.2 | % | |||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | $ | 7,000,000 | 7,214,900 | 0.6 | % | |||||||
Other Virginia(1)(5) | 4,495,593 | 0.3 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $11,678,993) | 11,710,493 | 0.9 | % | |||||||||
Washington | ||||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,075,000 | 5,627,312 | 0.4 | % | ||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 7,010,000 | 8,135,666 | 0.6 | % | ||||||||
5.000%, 08/01/2034 (Callable 08/01/2023) | 2,755,000 | 3,102,158 | 0.2 | % | ||||||||
5.000%, 08/01/2038 (Callable 08/01/2026) | 975,000 | 1,159,031 | 0.1 | % | ||||||||
Washington State Housing Finance Commission, | ||||||||||||
2.550%, 07/01/2022 | ||||||||||||
(Mandatory Tender Date 07/01/2021)(1) | 6,250,000 | 6,325,187 | 0.5 | % | ||||||||
Other Washington(5) | 29,085,042 | 2.2 | % | |||||||||
Total Washington | ||||||||||||
(Cost $52,022,425) | 53,434,396 | 4.0 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin Clean Water | ||||||||||||
Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | 5,305,000 | 6,168,548 | 0.5 | % | ||||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,500,000 | 12,209,190 | 0.9 | % | ||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,273,170 | 0.7 | % | ||||||||
Other Wisconsin(5) | 31,669,930 | 2.3 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $57,405,194) | 59,320,838 | 4.4 | % | |||||||||
Wyoming | ||||||||||||
Other Wyoming(5) | 4,070,407 | 0.3 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $3,973,989) | 4,070,407 | 0.3 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $1,278,352,474) | 1,326,608,495 | 98.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,278,352,474) | 1,326,608,495 | 98.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 99
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 1.47%(3) | 101,460 | $ | 101,460 | 0.0 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $101,460) | 101,460 | 0.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,278,453,934) | 1,326,709,955 | 98.8 | % | |||||||||
Other Assets in Excess of Liabilities | 15,707,626 | 1.2 | % | |||||||||
TOTAL NET ASSETS | $ | 1,342,417,581 | 100.0 | % |
Notes to Summary Schedule of Investments
AGC – Assured Guaranty Corp.
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
GNMA – Government National Mortgage Association
NATL – National Public Finance Guarantee Corp.
Q-SBLF – Qualified School Building Loan Fund
ETM – Escrowed to Maturity
PSF – Permanent School Fund
(1) | Variable rate security, or group of securities contains a variable rate security. The rate reported is the rate in effect as of December 31, 2019. |
(2) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(3) | 7-Day Yield. |
(4) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(5) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 100
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,326,608,495 | $ | — | $ | 1,326,608,495 | ||||||||
Total Long-Term Investments | — | 1,326,608,495 | — | 1,326,608,495 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 101,460 | — | — | 101,460 | ||||||||||||
Total Short-Term Investment | 101,460 | — | — | 101,460 | ||||||||||||
Total Investments | $ | 101,460 | $ | 1,326,608,495 | $ | — | $ | 1,326,709,955 |
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 101
Baird Core Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
The Baird Core Intermediate Municipal Bond Fund seeks a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% from the prior year. Tax-free borrowings rose 12% in 2019, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% year-over-year increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings.
During 2019, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 31 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance in 2019 include:
• | Curve Allocation | ||
• Despite modest steepening in Q4, the barbell structure contributed to full year performance as the curve flattened | |||
• | Credit Positioning | ||
• A higher quality credit weighting detracted from performance, but was partially offset by modest exposure to non-rated issues | |||
• | Sector | ||
• Overweight to the Revenue sector (e.g. Corporate-Backed and Housing issues) contributed modestly to performance | |||
• | Security Selection | ||
• Security selection was the largest contributor to performance for the year |
In 2020 we expect a continuation of the many positive themes from 2019. Although rates are not likely to decline at the same pace, a stable, if not accommodative, Fed provides a favorable investing backdrop. Positive technical support is also likely to continue as supply is expected to increase only modestly while investor demand should remain more than sufficient. From a credit perspective, the backdrop also remains favorable, certainly on a fundamental basis, but less so in terms of valuation. The record length of this economic expansion has allowed state and local governments time to close budget gaps and rebuild reserves. Yet discipline is required. Long-term pension liabilities still loom over many municipalities and the awareness of new credit risks, such as climate change and cyber risk, are rising. Broadly speaking, credit spreads have narrowed to the point that lower quality credits are only moderately attractive, suggesting a higher quality credit posture is appropriate. A point of focus in 2020 is the elections, which could create additional market volatility, particularly as it relates to tax policy and healthcare reform.
Page 102
Baird Core Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
The Fund will seek to maintain a neutral duration posture relative to the benchmark with a curve allocation that seeks to optimize the roll-down benefit of the flatter, but still upward sloping municipal curve. Sector weightings favor an overweight to revenue-backed issues over general obligation debt. An overall neutral credit posture is appropriate in our view given relatively narrow credit spreads, despite a strong fundamental backdrop. Opportunities for additional yield will be sought through bottom-up credit analysis as well as through security structure and cash flow optionality.
Page 103
Baird Core Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $541,392,992 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.80% | |||
Investor Class | 1.54% | |||
Average | ||||
Effective | ||||
Duration | 4.50 years | |||
Average | ||||
Effective | ||||
Maturity | 4.85 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 38% | |||
Number of | ||||
Holdings | 970 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 104
Baird Core Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (08/31/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (08/31/15), assuming reinvestment of all distributions.
Page 105
Baird Core Intermediate Municipal Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||
One | Three | Since | |
For the Periods Ended December 31, 2019 | Year | Years | Inception(1) |
Institutional Class Shares | 6.75% | 4.41% | 3.77% |
Investor Class Shares | 6.40% | 4.12% | 3.50% |
Bloomberg Barclays Municipal Bond (1-15 Year) Index(2) | 6.44% | 4.10% | 3.25% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 106
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | ||||||||||||
City of Birmingham AL, | ||||||||||||
5.000%, 03/01/2043 (Callable 03/01/2023)(5) | $ | 1,935,000 | $ | 2,125,868 | 0.4 | % | ||||||
Other Alabama(1)(8) | 11,090,903 | 2.0 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $12,841,790) | 13,216,771 | 2.4 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(8) | 4,283,620 | 0.8 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $4,204,751) | 4,283,620 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.375%, 07/01/2021 | 365,000 | 370,894 | 0.1 | % | ||||||||
2.500%, 05/01/2022 (Insured by AGM) | 6,937,254 | 6,979,710 | 1.3 | % | ||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 215,000 | 229,476 | 0.0 | % | ||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 200,000 | 216,378 | 0.0 | % | ||||||||
4.000%, 07/01/2025 (Insured by SD CRED PROG) | 100,000 | 109,627 | 0.0 | % | ||||||||
4.000%, 07/01/2026 (Insured by SD CRED PROG) | 100,000 | 110,719 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 270,000 | 319,483 | 0.1 | % | ||||||||
4.625%, 08/01/2028 | 1,160,000 | 1,242,627 | 0.2 | % | ||||||||
Other Arizona(8) | 4,072,927 | 0.8 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $13,371,998) | 13,651,841 | 2.5 | % | |||||||||
Arkansas | ||||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,785,000 | 1,870,823 | 0.4 | % | ||||||||
Other Arkansas(8) | 19,549,822 | 3.6 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $20,809,658) | 21,420,645 | 4.0 | % | |||||||||
California | ||||||||||||
Other California(1)(2)(5)(8) | 26,723,266 | 4.9 | % | |||||||||
Total California | ||||||||||||
(Cost $25,190,914) | 26,723,266 | 4.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 107
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado | ||||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025) | ||||||||||||
(Insured by ST AID) | $ | 2,000,000 | $ | 2,345,220 | 0.4 | % | ||||||
Colorado Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2049 (Callable 02/01/2026) | ||||||||||||
(Mandatory Tender Date 08/01/2026)(1) | 3,130,000 | 3,692,899 | 0.7 | % | ||||||||
Colorado Housing & Finance Authority, | ||||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028) | ||||||||||||
(Insured by GNMA) | 2,480,000 | 2,747,791 | 0.5 | % | ||||||||
Other Colorado(1)(2)(8) | 21,083,309 | 3.9 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $28,536,321) | 29,869,219 | 5.5 | % | |||||||||
Connecticut | ||||||||||||
Other Connecticut(8) | 7,859,687 | 1.5 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $7,493,879) | 7,859,687 | 1.5 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 2,000,000 | 2,300,460 | 0.4 | % | ||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028)(5) | 1,540,000 | 2,049,286 | 0.4 | % | ||||||||
Other District of Columbia(1)(5)(8) | 2,238,583 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $6,208,153) | 6,588,329 | 1.2 | % | |||||||||
Florida | ||||||||||||
City of Jacksonville FL: | ||||||||||||
1.300%, 08/01/2036 (Callable 01/02/2020) | ||||||||||||
(Optional Put Date 01/07/2020)(1) | 2,725,000 | 2,725,000 | 0.5 | % | ||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,624,500 | 0.5 | % | ||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028) | ||||||||||||
(Insured by GNMA) | 2,000,000 | 2,158,460 | 0.4 | % | ||||||||
3.800%, 07/01/2047 (Callable 01/01/2027) | ||||||||||||
(Insured by GNMA) | 1,760,000 | 1,856,959 | 0.4 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,500,000 | 2,838,075 | 0.5 | % | ||||||||
Other Florida(1)(5)(8) | 22,185,190 | 4.1 | % | |||||||||
Total Florida | ||||||||||||
(Cost $33,047,507) | 34,388,184 | 6.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 108
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Georgia | ||||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
2.023%, 08/01/2048 (1 Month LIBOR USD + 0.830%) | ||||||||||||
(Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(2) | $ | 2,000,000 | $ | 2,009,920 | 0.4 | % | ||||||
Other Georgia(1)(8) | 9,039,805 | 1.6 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $10,877,831) | 11,049,725 | 2.0 | % | |||||||||
Illinois | ||||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,965,000 | 2,167,238 | 0.4 | % | ||||||||
Kendall Kane & Will Counties Community | ||||||||||||
Unit School District No. 308, | ||||||||||||
4.000%, 02/01/2030 (Callable 02/01/2025) | 2,000,000 | 2,155,200 | 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 | 1,869,000 | 0.3 | % | ||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2028 | 1,500,000 | 1,804,500 | 0.3 | % | ||||||||
5.000%, 01/01/2029 | 2,500,000 | 3,039,675 | 0.6 | % | ||||||||
State of Illinois: | ||||||||||||
5.000%, 08/01/2020 | 2,000,000 | 2,038,820 | 0.4 | % | ||||||||
5.000%, 01/01/2022 (Callable 01/31/2020) | 220,000 | 220,515 | 0.1 | % | ||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 116,842 | 0.0 | % | ||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 665,000 | 711,337 | 0.1 | % | ||||||||
5.000%, 10/01/2026 | 1,000,000 | 1,151,150 | 0.2 | % | ||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 715,800 | 0.1 | % | ||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,563,900 | 0.3 | % | ||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 191,651 | 0.1 | % | ||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 449,237 | 0.1 | % | ||||||||
4.000%, 06/15/2038 (Callable 06/15/2028) | ||||||||||||
(Insured by BAM) | 2,500,000 | 2,693,075 | 0.5 | % | ||||||||
Other Illinois(1)(2)(5)(7)(8) | 51,475,957 | 9.5 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $70,183,494) | 72,363,897 | 13.4 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 2,770,000 | 2,965,728 | 0.5 | % | ||||||||
Other Indiana(1)(2)(8) | 16,695,619 | 3.1 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $18,997,583) | 19,661,347 | 3.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 109
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Iowa | ||||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028) | ||||||||||||
(Insured by GNMA) | $ | 2,000,000 | $ | 2,227,540 | 0.4 | % | ||||||
Other Iowa(8) | 5,226,696 | 1.0 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $7,296,144) | 7,454,236 | 1.4 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(8) | 1,583,812 | 0.3 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $1,553,607) | 1,583,812 | 0.3 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024) | ||||||||||||
(Mandatory Tender Date 04/01/2024)(1) | 2,090,000 | 2,274,756 | 0.4 | % | ||||||||
Other Kentucky(1)(8) | 2,565,596 | 0.5 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $4,734,932) | 4,840,352 | 0.9 | % | |||||||||
Louisiana | ||||||||||||
Other Louisiana(8) | 1,343,417 | 0.3 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $1,226,308) | 1,343,417 | 0.3 | % | |||||||||
Maine | ||||||||||||
Other Maine(8) | 2,557,750 | 0.5 | % | |||||||||
Total Maine | ||||||||||||
(Cost $2,531,829) | 2,557,750 | 0.5 | % | |||||||||
Maryland | ||||||||||||
Other Maryland(8) | 2,753,030 | 0.5 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $2,746,776) | 2,753,030 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency, | ||||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | 1,990,000 | 2,198,472 | 0.4 | % | ||||||||
Other Massachusetts(8) | 3,237,826 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $5,293,366) | 5,436,298 | 1.0 | % | |||||||||
Michigan | ||||||||||||
Michigan State Hospital Finance Authority, | ||||||||||||
5.000%, 12/01/2028 (Pre-refunded to 06/01/2022) | 2,685,000 | 2,933,470 | 0.5 | % | ||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 1,970,000 | 2,174,919 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 110
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Michigan(1)(8) | $ | 8,120,954 | 1.5 | % | ||||||||
Total Michigan | ||||||||||||
(Cost $12,750,285) | 13,229,343 | 2.4 | % | |||||||||
Minnesota | ||||||||||||
Other Minnesota(8) | 5,730,809 | 1.1 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $5,556,125) | 5,730,809 | 1.1 | % | |||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | $ | 4,000,000 | 4,000,040 | 0.7 | % | |||||||
Other Mississippi(8) | 5,124,941 | 1.0 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $8,780,238) | 9,124,981 | 1.7 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(8) | 7,188,378 | 1.3 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $7,017,141) | 7,188,378 | 1.3 | % | |||||||||
Montana | ||||||||||||
Other Montana(8) | 1,176,435 | 0.2 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,118,099) | 1,176,435 | 0.2 | % | |||||||||
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 1,675,000 | 1,813,539 | 0.3 | % | ||||||||
Other Nebraska(1)(8) | 3,761,608 | 0.7 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $5,335,230) | 5,575,147 | 1.0 | % | |||||||||
Nevada | ||||||||||||
Nevada Housing Division, | ||||||||||||
4.000%, 04/01/2049 (Callable 10/01/2028) | ||||||||||||
(Insured by GNMA) | 2,000,000 | 2,198,400 | 0.4 | % | ||||||||
Other Nevada(8) | 2,295,438 | 0.4 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $4,367,046) | 4,493,838 | 0.8 | % | |||||||||
New Jersey | ||||||||||||
Other New Jersey(1)(2)(8) | 11,914,829 | 2.2 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $11,563,950) | 11,914,829 | 2.2 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(8) | 415,172 | 0.1 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $410,372) | 415,172 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 111
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New York | ||||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | $ | 2,000,000 | $ | 2,295,220 | 0.4 | % | ||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 2,000,000 | 2,000,740 | 0.4 | % | ||||||||
Other New York(3)(8) | 5,757,900 | 1.1 | % | |||||||||
Total New York | ||||||||||||
(Cost $9,623,943) | 10,053,860 | 1.9 | % | |||||||||
North Carolina | ||||||||||||
Other North Carolina(8) | 2,356,555 | 0.4 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $2,201,759) | 2,356,555 | 0.4 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,010,880 | 0.4 | % | ||||||||
City of Williston ND, | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 1,750,000 | 1,858,115 | 0.4 | % | ||||||||
Other North Dakota(8) | 6,685,479 | 1.2 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $10,258,248) | 10,554,474 | 2.0 | % | |||||||||
Ohio | ||||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 (Callable 11/01/2025) | ||||||||||||
(Insured by SD CRED PROG) | 1,845,000 | 2,162,635 | 0.4 | % | ||||||||
State of Ohio, | ||||||||||||
1.520%, 01/15/2045 (Callable 03/02/2020) | ||||||||||||
(Optional Put Date 02/24/2020)(1) | 5,000,000 | 5,000,000 | 0.9 | % | ||||||||
Other Ohio(1)(2)(5)(6)(8) | 14,182,420 | 2.6 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $20,788,390) | 21,345,055 | 3.9 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(8) | 1,934,898 | 0.4 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $1,911,611) | 1,934,898 | 0.4 | % | |||||||||
Oregon | ||||||||||||
State of Oregon Housing & | ||||||||||||
Community Services Department, | ||||||||||||
2.200%, 12/01/2021 | ||||||||||||
(Mandatory Tender Date 12/01/2020)(1) | 2,000,000 | 2,012,980 | 0.3 | % | ||||||||
Other Oregon(5)(8) | 3,660,381 | 0.7 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $5,329,410) | 5,673,361 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 112
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Pennsylvania | ||||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | $ | 1,925,000 | $ | 2,082,715 | 0.4 | % | ||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028 (Callable 08/15/2027) | ||||||||||||
(Insured by BAM) | 1,540,000 | 1,909,800 | 0.3 | % | ||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 (Callable 05/01/2024) | ||||||||||||
(Insured by BAM) | 1,780,000 | 1,943,297 | 0.4 | % | ||||||||
Other Pennsylvania(1)(2)(5)(8) | 14,191,833 | 2.6 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $19,333,124) | 20,127,645 | 3.7 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(8) | 2,686,442 | 0.5 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $2,479,399) | 2,686,442 | 0.5 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(8) | 3,002,059 | 0.6 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $2,862,105) | 3,002,059 | 0.6 | % | |||||||||
South Carolina | ||||||||||||
Other South Carolina(8) | 4,161,260 | 0.8 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $3,944,989) | 4,161,260 | 0.8 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 3,260,000 | 3,610,385 | 0.6 | % | ||||||||
South Dakota Housing Development Authority, | ||||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,495,000 | 2,727,384 | 0.5 | % | ||||||||
Other South Dakota(8) | 357,343 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $6,520,307) | 6,695,112 | 1.2 | % | |||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency, | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,835,000 | 1,905,996 | 0.3 | % | ||||||||
Other Tennessee(1)(8) | 8,596,724 | 1.6 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $10,271,454) | 10,502,720 | 1.9 | % | |||||||||
Texas | ||||||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025) | ||||||||||||
(PSF Guaranteed) | 3,000,000 | 3,443,850 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 113
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | $ | 4,270,000 | $ | 4,795,680 | 0.9 | % | ||||||
Other Texas(1)(5)(8) | 39,222,644 | 7.3 | % | |||||||||
Total Texas | ||||||||||||
(Cost $45,937,633) | 47,462,174 | 8.8 | % | |||||||||
Utah | ||||||||||||
Other Utah(1)(8) | 4,656,523 | 0.9 | % | |||||||||
Total Utah | ||||||||||||
(Cost $4,437,215) | 4,656,523 | 0.9 | % | |||||||||
Vermont | ||||||||||||
Other Vermont(8) | 2,283,947 | 0.4 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $2,243,320) | 2,283,947 | 0.4 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(8) | 407,168 | 0.1 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $407,713) | 407,168 | 0.1 | % | |||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 3,000,000 | 3,092,100 | 0.5 | % | ||||||||
Other Virginia(1)(8) | 389,832 | 0.1 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $3,434,885) | 3,481,932 | 0.6 | % | |||||||||
Washington | ||||||||||||
Other Washington(8) | 6,161,975 | 1.1 | % | |||||||||
Total Washington | ||||||||||||
(Cost $5,824,113) | 6,161,975 | 1.1 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 650,000 | 658,015 | 0.1 | % | ||||||||
4.000%, 01/01/2021 | 435,000 | 442,747 | 0.1 | % | ||||||||
5.000%, 10/01/2024 | 3,000,000 | 3,311,130 | 0.6 | % | ||||||||
5.000%, 06/15/2025 | 220,000 | 252,553 | 0.1 | % | ||||||||
0.000%, 09/01/2028 (Pre-refunded to 09/01/2026) | 75,000 | 61,462 | 0.0 | % | ||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 1,805,000 | 2,026,329 | 0.4 | % | ||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
2.650%, 11/01/2020 (Callable 01/21/2020) | 1,625,000 | 1,625,617 | 0.3 | % | ||||||||
5.000%, 03/01/2021 | 150,000 | 153,357 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 125,000 | 130,264 | 0.0 | % | ||||||||
5.000%, 11/01/2022 | 120,000 | 126,857 | 0.0 | % | ||||||||
5.000%, 07/01/2023 | 165,000 | 185,635 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 114
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin Health & Educational | ||||||||||||
Facilities Authority: (cont.) | ||||||||||||
5.000%, 11/01/2023 | $ | 125,000 | $ | 134,300 | 0.0 | % | ||||||
5.000%, 07/01/2024 | 250,000 | 289,640 | 0.1 | % | ||||||||
5.000%, 11/01/2024 | 155,000 | 168,758 | 0.0 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 200,000 | 210,172 | 0.1 | % | ||||||||
5.000%, 11/01/2025 | 245,000 | 269,772 | 0.1 | % | ||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 57,723 | 0.0 | % | ||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 750,000 | 755,490 | 0.2 | % | ||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 119,618 | 0.0 | % | ||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 193,134 | 0.0 | % | ||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,118,660 | 0.2 | % | ||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 54,326 | 0.0 | % | ||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 209,571 | 0.0 | % | ||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 550,627 | 0.1 | % | ||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 670,000 | 715,017 | 0.1 | % | ||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 314,070 | 0.1 | % | ||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 485,539 | 0.1 | % | ||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 1,980,000 | 2,183,781 | 0.4 | % | ||||||||
Other Wisconsin(8) | 9,204,889 | 1.7 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $25,341,967) | 26,009,053 | 4.8 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 1,965,000 | 2,143,127 | 0.4 | % | ||||||||
Other Wyoming(8) | 102,832 | 0.0 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $2,191,136) | 2,245,959 | 0.4 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $519,388,048) | 537,696,530 | 99.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $519,388,048) | 537,696,530 | 99.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 115
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 1.47%(4) | 693,086 | $ | 693,086 | 0.1 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $693,086) | 693,086 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $520,081,134) | 538,389,616 | 99.4 | % | |||||||||
Other Assets in Excess of Liabilities | 3,003,376 | 0.6 | % | |||||||||
TOTAL NET ASSETS | $ | 541,392,992 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
GNMA – Government National Mortgage Association
NATL – National Public Finance Guarantee Corp.
SD CRED PROG – State Credit Enhancement Program
ST AID – State Aid Intercept/Withholding
LIBOR – London Inter-bank Offered Rate
PSF – Permanent School Fund
(1) | Variable rate security, or group of securities contains a variable rate security. The rate reported is the rate in effect as of December 31, 2019. |
(2) | Variable rate security, or group of securities contains a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
(3) | Security, or group of securities contains 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 December 31, 2019, the value of these securities total $397,548, which represents 0.07% of total net assets. |
(4) | 7-Day Yield. |
(5) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(7) | Security in default, or group of securities contains a security in default. |
(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. |
The accompanying notes are an integral part of these financial statements.
Page 116
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 537,696,530 | $ | — | $ | 537,696,530 | ||||||||
Total Long-Term Investments | — | 537,696,530 | — | 537,696,530 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 693,086 | — | — | 693,086 | ||||||||||||
Total Short-Term Investment | 693,086 | — | — | 693,086 | ||||||||||||
Total Investments | $ | 693,086 | $ | 537,696,530 | $ | — | $ | 538,389,616 |
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 117
Baird Strategic Municipal Bond Fund
December 31, 2019 (Unaudited)
The Baird Strategic Municipal Bond Fund seeks a high level of current income that is exempt from federal income tax and is consistent with the preservation of capital.
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% from the prior year. Tax-free borrowings rose 12% in 2019, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% year-over-year increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings.
This Fund commenced operations on November 15, 2019. During this period, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 23 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance during its six weeks of operation in 2019 include:
• | The exposure to lower quality and non-rated issues was a positive contributor as credit spreads narrowed | |
• | An overweight to the Revenue sector was a positive factor | |
• | The Fund’s underweight to duration was a modest detractor as rates fell |
In 2020 we expect a continuation of the many positive themes from 2019. Although rates are not likely to decline at the same pace, a stable, if not accommodative, Fed provides a favorable investing backdrop. Positive technical support is also likely to continue as supply is expected to increase only modestly while investor demand should remain more than sufficient. From a credit perspective, the backdrop also remains favorable, certainly on a fundamental basis, but less so in terms of valuation. The record length of this economic expansion has allowed state and local governments time to close budget gaps and rebuild reserves. Yet discipline is required. Long-term pension liabilities still loom over many municipalities and the awareness of new credit risks, such as climate change and cyber risk, are rising. Broadly speaking, credit spreads have narrowed to the point that lower quality credits are only moderately attractive, suggesting a higher quality credit posture is appropriate. A point of focus in 2020 is the elections, which could create additional market volatility, particularly as it relates to tax policy and healthcare reform.
The Fund will seek to capitalize on market volatility to add value from multiple decisions including duration, curve, credit, sector weightings and individual security selection. An overall target duration of 3.5 years, or less, is a near-term focus for the Fund and curve weightings will seek to optimize roll-down benefit. Broadly speaking, credit spreads are narrow, but where individual credit opportunities exist, the Fund will seek to benefit. Opportunities for additional yield will also be sought through security structure and cash flow optionality.
Page 118
Baird Strategic Municipal Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $12,040,734 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.79% | |||
Investor Class | 1.53% | |||
Average | ||||
Effective | ||||
Duration | 3.39 years | |||
Average | ||||
Effective | ||||
Maturity | 3.64 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 47% | |||
Number of | ||||
Holdings | 60 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 119
Baird Strategic Municipal Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (11/15/19), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (11/15/19), assuming reinvestment of all distributions.
Page 120
Baird Strategic Municipal Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Cumulative | ||
One | Since | |
For the Periods Ended December 31, 2019 | Month | Inception(1) |
Institutional Class Shares | 0.67% | 0.88% |
Investor Class Shares | 0.64% | 0.85% |
Bloomberg Barclays 1-10 Year Municipal Blend Index(2) | 0.30% | 0.65% |
(1) | For the period from November 15, 2019 (inception date) through December 31, 2019. |
(2) | The Bloomberg Barclays 1-10 Year Municipal Blend Index is a market value-weighted index which covers the short and intermediate components of the Barclays Municipal Bond Index—an unmanaged, market value-weighted index which covers the U.S. investment-grade tax-exempt bond market. The 1-10 Year Municipal Blend index tracks tax-exempt municipal general obligation, revenue, insured, and prerefunded bonds with a minimum $5 million par amount outstanding, issued as part of a transaction of at least $50 million, and with a remaining maturity from 1 up to (but not including) 12 years. The index includes reinvestment of income. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 30% 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.
The Fund may invest up to 20% of its net assets in U.S. government and corporate bonds and other debt securities that are of the same quality as its investments in municipal bonds. These bonds produce income that is taxable for federal income tax purposes, unlike municipal bonds which generally provide income exempt from federal income tax.
The Fund may also invest in U.S. Treasury futures contracts. Futures contracts are subject to the risk of loss caused by unanticipated market movements, the risk that there may be an imperfect correlation between the prices of futures contracts and the value of their underlying instruments or indexes, and the risk there may not be a liquid secondary market for them.
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 121
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | ||||||||||||
Columbia Industrial Development Board, | ||||||||||||
0.700%, 12/01/2037 | ||||||||||||
(Optional Put Date 01/01/2020)(1) | $ | 200,000 | $ | 200,000 | 1.7 | % | ||||||
Total Alabama | ||||||||||||
(Cost $200,000) | 200,000 | 1.7 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.750%, 10/01/2025 | 165,000 | 164,660 | 1.4 | % | ||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) | 105,000 | 104,646 | 0.9 | % | ||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
4.500%, 07/01/2025 | 125,000 | 124,341 | 1.0 | % | ||||||||
Total Arizona | ||||||||||||
(Cost $393,282) | 393,647 | 3.3 | % | |||||||||
Arkansas | ||||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025) | ||||||||||||
(Insured by AGM) | 205,000 | 226,363 | 1.9 | % | ||||||||
Other Arkansas(4) | 100,173 | 0.8 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $325,930) | 326,536 | 2.7 | % | |||||||||
California | ||||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 08/01/2034 (Callable 08/01/2029) | 100,000 | 116,088 | 1.0 | % | ||||||||
Total California | ||||||||||||
(Cost $116,002) | 116,088 | 1.0 | % | |||||||||
Colorado | ||||||||||||
Vauxmont Metropolitan District, | ||||||||||||
5.000%, 12/15/2032 (Callable 12/15/2024) | ||||||||||||
(Insured by AGM) | 135,000 | 154,049 | 1.3 | % | ||||||||
Total Colorado | ||||||||||||
(Cost $152,426) | 154,049 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 122
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028) | ||||||||||||
(Insured by GNMA) | $ | 200,000 | $ | 215,846 | 1.8 | % | ||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2035 (Callable 01/02/2020) | ||||||||||||
(Optional Put Date 01/07/2020)(1) | 400,000 | 400,000 | 3.3 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 300,000 | 340,569 | 2.8 | % | ||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 300,000 | 327,390 | 2.7 | % | ||||||||
Other Florida(4) | 50,675 | 0.5 | % | |||||||||
Total Florida | ||||||||||||
(Cost $1,331,196) | 1,334,480 | 11.1 | % | |||||||||
Georgia | ||||||||||||
Development Authority of Burke County, | ||||||||||||
0.620%, 11/01/2052 | ||||||||||||
(Optional Put Date 01/01/2020)(1) | 200,000 | 200,000 | 1.7 | % | ||||||||
Total Georgia | ||||||||||||
(Cost $200,000) | 200,000 | 1.7 | % | |||||||||
Illinois | ||||||||||||
Cook County School District No. 111, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026) | ||||||||||||
(Insured by AGM) | 300,000 | 332,367 | 2.8 | % | ||||||||
State of Illinois: | ||||||||||||
5.000%, 01/01/2020 | 75,000 | 75,000 | 0.6 | % | ||||||||
5.000%, 04/01/2020 | 25,000 | 25,209 | 0.2 | % | ||||||||
5.000%, 04/01/2024 (Callable 04/01/2023) | ||||||||||||
(Insured by AGM) | 200,000 | 220,704 | 1.8 | % | ||||||||
Total Illinois | ||||||||||||
(Cost $649,356) | 653,280 | 5.4 | % | |||||||||
Indiana | ||||||||||||
City of Muncie IN, | ||||||||||||
4.000%, 01/15/2022 (Insured by AGM) | 160,000 | 166,376 | 1.4 | % | ||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 250,000 | 267,665 | 2.2 | % | ||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 250,000 | 256,098 | 2.1 | % | ||||||||
Munster School Building Corp., | ||||||||||||
5.000%, 07/15/2025 (Insured by ST AID) | 150,000 | 174,774 | 1.4 | % | ||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2027 | 560,000 | 463,971 | 3.9 | % | ||||||||
Total Indiana | ||||||||||||
(Cost $1,325,729) | 1,328,884 | 11.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 123
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2024 | $ | 200,000 | $ | 201,042 | 1.7 | % | ||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 250,000 | 251,558 | 2.1 | % | ||||||||
Total Iowa | ||||||||||||
(Cost $449,550) | 452,600 | 3.8 | % | |||||||||
Kansas | ||||||||||||
City of Goddard KS, | ||||||||||||
3.000%, 12/01/2022 (Callable 12/01/2021) | 150,000 | 154,418 | 1.3 | % | ||||||||
Total Kansas | ||||||||||||
(Cost $154,286) | 154,418 | 1.3 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Higher Education Student Loan Corp., | ||||||||||||
5.000%, 06/01/2024 | 115,000 | 130,120 | 1.1 | % | ||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(1) | 145,000 | 160,719 | 1.3 | % | ||||||||
Other Kentucky(4) | 30,729 | 0.3 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $319,306) | 321,568 | 2.7 | % | |||||||||
Louisiana | ||||||||||||
Parish of St. Charles LA, | ||||||||||||
0.680%, 10/01/2022 | ||||||||||||
(Optional Put Date 01/01/2020)(1) | 400,000 | 400,000 | 3.3 | % | ||||||||
Total Louisiana | ||||||||||||
(Cost $400,000) | 400,000 | 3.3 | % | |||||||||
Maryland | ||||||||||||
County of Baltimore MD, | ||||||||||||
3.000%, 09/01/2029 (Callable 09/01/2022) | 200,000 | 205,320 | 1.7 | % | ||||||||
Total Maryland | ||||||||||||
(Cost $205,054) | 205,320 | 1.7 | % | |||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 225,000 | 225,002 | 1.9 | % | ||||||||
Total Mississippi | ||||||||||||
(Cost $224,535) | 225,002 | 1.9 | % | |||||||||
Missouri | ||||||||||||
Health & Educational Facilities | ||||||||||||
Authority of the State of Missouri, | ||||||||||||
5.000%, 09/01/2027 | 150,000 | 178,432 | 1.5 | % | ||||||||
Howard Bend Levee District, | ||||||||||||
3.000%, 03/01/2020 | 140,000 | 139,987 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 124
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
0.000%, 10/01/2035 (Callable 10/01/2029)(3) | $ | 325,000 | $ | 322,342 | 2.7 | % | ||||||
Other Missouri(4) | 100,598 | 0.8 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $742,027) | 741,359 | 6.2 | % | |||||||||
Nebraska | ||||||||||||
City of La Vista NE, | ||||||||||||
3.000%, 12/15/2032 (Callable 12/30/2024) | 110,000 | 115,045 | 0.9 | % | ||||||||
Total Nebraska | ||||||||||||
(Cost $115,150) | 115,045 | 0.9 | % | |||||||||
Nevada | ||||||||||||
City of Las Vegas NV Special | ||||||||||||
Improvement District No. 814, | ||||||||||||
3.000%, 06/01/2021 | 100,000 | 101,021 | 0.8 | % | ||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 | 100,000 | 101,207 | 0.9 | % | ||||||||
Total Nevada | ||||||||||||
(Cost $200,968) | 202,228 | 1.7 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 200,000 | 218,786 | 1.8 | % | ||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 250,000 | 284,535 | 2.4 | % | ||||||||
Other New Jersey(4) | 42,291 | 0.3 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $542,979) | 545,612 | 4.5 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 200,000 | 205,128 | 1.7 | % | ||||||||
New York City Transitional Finance Authority, | ||||||||||||
0.590%, 11/01/2022 (Callable 01/09/2020) | ||||||||||||
(Optional Put Date 01/01/2020)(1) | 300,000 | 300,000 | 2.5 | % | ||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 04/01/2049 (Callable 10/01/2028) | 300,000 | 318,654 | 2.6 | % | ||||||||
Total New York | ||||||||||||
(Cost $817,891) | 823,782 | 6.8 | % | |||||||||
Ohio | ||||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 200,000 | 223,520 | 1.8 | % | ||||||||
Total Ohio | ||||||||||||
(Cost $222,974) | 223,520 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 125
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2027)(3) | $ | 125,000 | $ | 146,846 | 1.2 | % | ||||||
Total Oregon | ||||||||||||
(Cost $145,965) | 146,846 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 | ||||||||||||
(Mandatory Tender Date 05/01/2021)(1) | 175,000 | 177,301 | 1.5 | % | ||||||||
Montgomery County Industrial Development Authority, | ||||||||||||
4.000%, 12/01/2020 | 150,000 | 152,325 | 1.2 | % | ||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
1.650%, 04/01/2021 | 300,000 | 300,033 | 2.5 | % | ||||||||
Total Pennsylvania | ||||||||||||
(Cost $629,441) | 629,659 | 5.2 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 275,000 | 304,557 | 2.5 | % | ||||||||
Total South Dakota | ||||||||||||
(Cost $296,230) | 304,557 | 2.5 | % | |||||||||
Tennessee | ||||||||||||
Greeneville Health & Educational Facilities Board, | ||||||||||||
1.450%, 12/01/2022 | ||||||||||||
(Mandatory Tender Date 12/01/2021)(1) | 150,000 | 149,967 | 1.2 | % | ||||||||
Total Tennessee | ||||||||||||
(Cost $150,000) | 149,967 | 1.2 | % | |||||||||
Texas | ||||||||||||
Other Texas(4) | 26,789 | 0.2 | % | |||||||||
Total Texas | ||||||||||||
(Cost $26,677) | 26,789 | 0.2 | % | |||||||||
Washington | ||||||||||||
Pend Oreille County Public Utility District No. 1, | ||||||||||||
5.000%, 01/01/2022 | 250,000 | 266,205 | 2.2 | % | ||||||||
Vancouver Housing Authority, | ||||||||||||
1.700%, 12/01/2024 | 140,000 | 140,052 | 1.2 | % | ||||||||
Total Washington | ||||||||||||
(Cost $406,103) | 406,257 | 3.4 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 10/01/2024 | 100,000 | 110,371 | 0.9 | % | ||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 100,000 | 112,262 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 126
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021) | ||||||||||||
(Mandatory Tender Date 11/01/2022)(1) | $ | 300,000 | $ | 300,420 | 2.5 | % | ||||||
Other Wisconsin(4) | 99,998 | 0.8 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $622,352) | 623,051 | 5.2 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $11,365,409) | 11,404,544 | 94.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $11,365,409) | 11,404,544 | 94.7 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 1.47%(2) | 59,689 | 59,689 | 0.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $59,689) | 59,689 | 0.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $11,425,098) | 11,464,233 | 95.2 | % | |||||||||
Other Assets in Excess of Liabilities | 576,501 | 4.8 | % | |||||||||
TOTAL NET ASSETS | $ | 12,040,734 | 100.0 | % |
Notes to Schedule of Investments
AGM – Assured Guaranty Municipal
GNMA – Government National Mortgage Association
ST AID – State Aid Intercept/Withholding
(1) | Variable rate security, or group of securities contains a variable rate security. The rate reported is the rate in effect as of December 31, 2019. |
(2) | 7-Day Yield. |
(3) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(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 127
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 11,404,544 | $ | — | $ | 11,404,544 | ||||||||
Total Long-Term Investments | — | 11,404,544 | — | 11,404,544 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 59,689 | — | — | 59,689 | ||||||||||||
Total Short-Term Investment | 59,689 | — | — | 59,689 | ||||||||||||
Total Investments | $ | 59,689 | $ | 11,404,544 | $ | — | $ | 11,464,233 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. 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 128
Baird Municipal Bond Fund
December 31, 2019 (Unaudited)
The Baird Municipal Bond Fund seeks a high level of current income that is exempt from federal income tax and is consistent with the preservation of capital.
By all measures, 2019 was a good year for the municipal market and a rewarding year for investors, particularly those who sought a higher level of interest rate and/or credit risk. Credit spreads narrowed as investors searched for yield in lower-quality bonds. Most noteworthy this year, however, was the impressive decline in yields led by the long end of the curve. As a result, the tax-free curve flattened by 20 bps between 2–30 years, although it steepened modestly in Q4 as short rates fell and long rates rose. Even more impressive this year was that tax-free yields fell more than Treasury yields at all points along the curve even with the downward pressure on global sovereign yields from powerful macro forces, including: slowing global growth, US/China trade tensions and the pivot by the Fed to an easing mode. Broadly speaking, fixed income assets benefited this year from strong demand, driven to a large extent by the supportive demographics of an aging society in need of income. Beyond this, the municipal market continued to benefit from the passage of the Tax Cuts and Jobs Act (TCJA) in December 2017. The capping of state and local deductions at $10,000 for individuals, particularly those in high-tax states, continued to drive demand for tax-exempt securities. Complementing the strong demand was impressive growth in municipal issuance, which rose 22% from the prior year. Tax-free borrowings rose 12% in 2019, but the real surprise was the significant increase in taxable municipal debt. For the full year, taxable issuance rose $38B, a 115% year-over-year increase. The taxable supply was both the highest nominal amount ($70B) and the highest percentage of total municipal issuance (17%) in any year since the Build America Bond (BAB) program ended in 2010. The rise in taxable issuance can also be tied back to the TCJA, which eliminated tax-exempt advance refundings. Low nominal rates allowed municipalities to refund tax-free debt with taxable debt, while still realizing interest savings.
This Fund commenced operations on November 15, 2019. During this period, the Fund’s Institutional Class Shares generated strong absolute and relative returns and outperformed its benchmark by 35 basis points net of fees.
The primary factors contributing to the Fund’s absolute and relative performance during its six weeks of operation in 2019 include:
• | Security selection was the largest contributor to performance | |
• | Exposure to lower quality and non-rated issues was a positive contributor as credit spreads narrowed | |
• | The modest barbell curve allocation was a modest detractor as the curve steepened |
In 2020 we expect a continuation of the many positive themes from 2019. Although rates are not likely to decline at the same pace, a stable, if not accommodative, Fed provides a favorable investing backdrop. Positive technical support is also likely to continue as supply is expected to increase only modestly while investor demand should remain more than sufficient. From a credit perspective, the backdrop also remains favorable, certainly on a fundamental basis, but less so in terms of valuation. The record length of this economic expansion has allowed state and local governments time to close budget gaps and rebuild reserves. Yet discipline is required. Long-term pension liabilities still loom over many municipalities and the awareness of new credit risks, such as climate change and cyber risk, are rising. Broadly speaking, credit spreads have narrowed to the point that lower quality credits are only moderately attractive, suggesting a higher quality credit posture is appropriate. A point of focus in 2020 is the elections, which could create additional market volatility, particularly as it relates to tax policy and healthcare reform.
The Fund will seek to maintain a neutral duration posture relative to the benchmark with a curve allocation that seeks to optimize the roll-down benefit of the flatter, but still upward sloping municipal curve. Sector weightings favor an overweight to revenue-backed issues over general obligation debt in our view. Broadly speaking, credit spreads are narrow, but where individual credit opportunities exist and valuations appropriate, the Fund will seek to benefit. Opportunities for additional yield will also be sought through security structure and cash flow optionality.
Page 129
Baird Municipal Bond Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $7,416,952 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.90% | |||
Investor Class | 1.64% | |||
Average | ||||
Effective | ||||
Duration | 5.36 years | |||
Average | ||||
Effective | ||||
Maturity | 5.72 years | |||
Sector Weightings(1) | ||||
Annualized | ||||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 46% | |||
Number of | ||||
Holdings | 58 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 2019. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 130
Baird Municipal Bond Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (11/15/19), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (11/15/19), assuming reinvestment of all distributions.
Page 131
Baird Municipal Bond Fund
December 31, 2019 (Unaudited)
Total Returns
Cumulative | ||
One | Since | |
For the Periods Ended December 31, 2019 | Month | Inception(1) |
Institutional Class Shares | 0.78% | 1.19% |
Investor Class Shares | 0.75% | 1.16% |
Bloomberg Barclays Municipal Bond Index(2) | 0.31% | 0.84% |
(1) | For the period from November 15, 2019 (inception date) through December 31, 2019. |
(2) | The Bloomberg Barclays Municipal Bond Index is considered representative of the broad market for investment grade, tax-exempt bonds with a maturity of at least one year. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 15% 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.
The Fund may invest up to 20% of its net assets in U.S. government and corporate bonds and other debt securities that are of the same quality as its investments in municipal bonds. These bonds produce income that is taxable for federal income tax purposes, unlike municipal bonds which generally provide income exempt from federal income tax.
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 132
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
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, as of 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 | ||||||||||||
Columbia Industrial Development Board, | ||||||||||||
0.700%, 12/01/2037 (Optional Put Date 01/01/2020)(1) | $ | 100,000 | $ | 100,000 | 1.4 | % | ||||||
Homewood Educational Building Authority, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 100,000 | 111,576 | 1.5 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $210,599) | 211,576 | 2.9 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) | 100,000 | 99,663 | 1.3 | % | ||||||||
City of Phoenix Civic Improvement Corp., | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2029) | 200,000 | 248,400 | 3.4 | % | ||||||||
Total Arizona | ||||||||||||
(Cost $343,664) | 348,063 | 4.7 | % | |||||||||
Arkansas | ||||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025) | ||||||||||||
(Insured by AGM) | 130,000 | 143,547 | 1.9 | % | ||||||||
Total Arkansas | ||||||||||||
(Cost $143,030) | 143,547 | 1.9 | % | |||||||||
California | ||||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 08/01/2034 (Callable 08/01/2029) | 75,000 | 87,066 | 1.2 | % | ||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2028) | ||||||||||||
(Insured by AGM)(3) | 115,000 | 130,816 | 1.7 | % | ||||||||
Total California | ||||||||||||
(Cost $216,012) | 217,882 | 2.9 | % | |||||||||
Colorado | ||||||||||||
Colorado Educational & Cultural Facilities Authority, | ||||||||||||
5.000%, 04/01/2020 | 70,000 | 70,590 | 1.0 | % | ||||||||
Other Colorado(4) | 55,155 | 0.7 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $125,374) | 125,745 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 133
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028) | ||||||||||||
(Insured by GNMA) | $ | 150,000 | $ | 161,885 | 2.2 | % | ||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2035 (Callable 01/02/2020) | ||||||||||||
(Optional Put Date 01/07/2020)(1) | 200,000 | 200,000 | 2.7 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 200,000 | 227,046 | 3.1 | % | ||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 200,000 | 218,260 | 2.9 | % | ||||||||
Other Florida(4) | 25,337 | 0.3 | % | |||||||||
Total Florida | ||||||||||||
(Cost $830,462) | 832,528 | 11.2 | % | |||||||||
Illinois | ||||||||||||
Cook County School District No. 111, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026) | ||||||||||||
(Insured by AGM) | 200,000 | 221,578 | 3.0 | % | ||||||||
Lake County Community | ||||||||||||
Consolidated School District No. 24, | ||||||||||||
0.000%, 01/01/2023 (Insured by NATL) | 40,000 | 37,740 | 0.5 | % | ||||||||
State of Illinois: | ||||||||||||
5.000%, 01/01/2020 | 25,000 | 25,000 | 0.3 | % | ||||||||
5.000%, 04/01/2024 (Callable 04/01/2023) | ||||||||||||
(Insured by AGM) | 100,000 | 110,352 | 1.5 | % | ||||||||
Total Illinois | ||||||||||||
(Cost $391,992) | 394,670 | 5.3 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 150,000 | 160,599 | 2.1 | % | ||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 180,000 | 184,390 | 2.5 | % | ||||||||
Munster School Building Corp., | ||||||||||||
5.000%, 07/15/2025 (Insured by ST AID) | 95,000 | 110,690 | 1.5 | % | ||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2028 | 155,000 | 124,211 | 1.7 | % | ||||||||
Tri-Creek 2002 High School Building Corp., | ||||||||||||
4.000%, 07/15/2039 (Callable 07/15/2028) | ||||||||||||
(Insured by ST AID) | 200,000 | 223,192 | 3.0 | % | ||||||||
Total Indiana | ||||||||||||
(Cost $800,155) | 803,082 | 10.8 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2025 (Callable 06/01/2024) | 100,000 | 100,363 | 1.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 134
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | $ | 150,000 | $ | 150,935 | 2.0 | % | ||||||
Total Iowa | ||||||||||||
(Cost $249,555) | 251,298 | 3.4 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority, | ||||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 90,000 | 74,511 | 1.0 | % | ||||||||
Total Kentucky | ||||||||||||
(Cost $73,928) | 74,511 | 1.0 | % | |||||||||
Louisiana | ||||||||||||
Parish of St. Charles LA, | ||||||||||||
0.680%, 10/01/2022 (Optional Put Date 01/01/2020)(1) | 100,000 | 100,000 | 1.4 | % | ||||||||
Total Louisiana | ||||||||||||
(Cost $100,000) | 100,000 | 1.4 | % | |||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 150,000 | 150,002 | 2.0 | % | ||||||||
Total Mississippi | ||||||||||||
(Cost $149,690) | 150,002 | 2.0 | % | |||||||||
Missouri | ||||||||||||
Health & Educational Facilities Authority | ||||||||||||
of the State of Missouri, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 102,125 | 1.4 | % | ||||||||
Howard Bend Levee District, | ||||||||||||
3.000%, 03/01/2020 | 100,000 | 99,991 | 1.3 | % | ||||||||
Missouri Southern State University, | ||||||||||||
4.000%, 10/01/2037 (Callable 10/01/2029) | ||||||||||||
(Insured by AGM) | 65,000 | 70,420 | 1.0 | % | ||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
2.950%, 01/01/2022 | 100,000 | 100,405 | 1.4 | % | ||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
0.000%, 10/01/2035 (Callable 10/01/2029)(3) | 175,000 | 173,568 | 2.3 | % | ||||||||
Total Missouri | ||||||||||||
(Cost $547,062) | 546,509 | 7.4 | % | |||||||||
Nebraska | ||||||||||||
City of La Vista NE, | ||||||||||||
3.000%, 12/15/2032 (Callable 12/30/2024) | 85,000 | 88,898 | 1.2 | % | ||||||||
Total Nebraska | ||||||||||||
(Cost $88,980) | 88,898 | 1.2 | % | |||||||||
Nevada | ||||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 | 75,000 | 75,905 | 1.0 | % | ||||||||
Total Nevada | ||||||||||||
(Cost $75,000) | 75,905 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 135
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New Jersey | ||||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | $ | 300,000 | $ | 328,179 | 4.4 | % | ||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 150,000 | 170,721 | 2.3 | % | ||||||||
Other New Jersey(4) | 20,043 | 0.3 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $516,583) | 518,943 | 7.0 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 100,000 | 102,564 | 1.4 | % | ||||||||
Port Authority of New York & New Jersey, | ||||||||||||
4.000%, 11/01/2041 (Callable 11/01/2029) | 200,000 | 223,700 | 3.0 | % | ||||||||
Total New York | ||||||||||||
(Cost $321,765) | 326,264 | 4.4 | % | |||||||||
Ohio | ||||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 100,000 | 111,760 | 1.5 | % | ||||||||
Euclid City School District, | ||||||||||||
4.000%, 12/01/2037 (Callable 06/01/2027) | ||||||||||||
(Insured by BAM) | 200,000 | 217,980 | 3.0 | % | ||||||||
Total Ohio | ||||||||||||
(Cost $328,430) | 329,740 | 4.5 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(4) | 29,368 | 0.4 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $28,621) | 29,368 | 0.4 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2027)(3) | 100,000 | 117,477 | 1.6 | % | ||||||||
Total Oregon | ||||||||||||
(Cost $116,772) | 117,477 | 1.6 | % | |||||||||
Pennsylvania | ||||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 | ||||||||||||
(Mandatory Tender Date 05/01/2021)(1) | 100,000 | 101,315 | 1.4 | % | ||||||||
Total Pennsylvania | ||||||||||||
(Cost $101,276) | 101,315 | 1.4 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Turnpike & Bridge Authority, | ||||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029) | 125,000 | 141,530 | 1.9 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $140,551) | 141,530 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 136
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | $ | 150,000 | $ | 166,122 | 2.2 | % | ||||||
Total South Dakota | ||||||||||||
(Cost $161,580) | 166,122 | 2.2 | % | |||||||||
Tennessee | ||||||||||||
South Blount County Utility District, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 150,000 | 173,012 | 2.3 | % | ||||||||
Total Tennessee | ||||||||||||
(Cost $171,348) | 173,012 | 2.3 | % | |||||||||
Texas | ||||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2028) | ||||||||||||
(PSF Guaranteed) | 125,000 | 142,197 | 1.9 | % | ||||||||
Cibolo Canyons Special Improvement District, | ||||||||||||
2.500%, 08/15/2030 (Callable 08/15/2026) | ||||||||||||
(Insured by AGM) | 150,000 | 148,219 | 2.0 | % | ||||||||
Travis County Municipal Utility District No. 16, | ||||||||||||
4.000%, 09/01/2030 (Callable 09/01/2029) | ||||||||||||
(Insured by AGM) | 120,000 | 137,447 | 1.8 | % | ||||||||
Other Texas(4) | 26,834 | 0.4 | % | |||||||||
Total Texas | ||||||||||||
(Cost $450,553) | 454,697 | 6.1 | % | |||||||||
Washington | ||||||||||||
King County Housing Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 200,000 | 229,600 | 3.1 | % | ||||||||
Total Washington | ||||||||||||
(Cost $228,062) | 229,600 | 3.1 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 10/01/2024 | 75,000 | 82,778 | 1.1 | % | ||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 50,000 | 56,131 | 0.8 | % | ||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021) | ||||||||||||
(Mandatory Tender Date 11/01/2022)(1) | 200,000 | 200,280 | 2.7 | % | ||||||||
Total Wisconsin | ||||||||||||
(Cost $338,627) | 339,189 | 4.6 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $7,249,671) | 7,291,473 | 98.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $7,249,671) | 7,291,473 | 98.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 137
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 1.47%(2) | 87,132 | $ | 87,132 | 1.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $87,132) | 87,132 | 1.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $7,336,803) | 7,378,605 | 99.5 | % | |||||||||
Other Assets in Excess of Liabilities | 38,347 | 0.5 | % | |||||||||
TOTAL NET ASSETS | $ | 7,416,952 | 100.0 | % |
Notes to Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
GNMA – Government National Mortgage Association
NATL – National Public Finance Guarantee Corp.
ST AID – State Aid Intercept/Withholding
PSF – Permanent School Fund
(1) | Variable rate security, or group of securities contains a variable rate security. The rate reported is the rate in effect as of December 31, 2019. |
(2) | 7-Day Yield. |
(3) | Step-up bond or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
(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 138
Baird Municipal Bond Fund
Summary Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 7,291,473 | $ | — | $ | 7,291,473 | ||||||||
Total Long-Term Investments | — | 7,291,473 | — | 7,291,473 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 87,132 | — | — | 87,132 | ||||||||||||
Total Short-Term Investment | 87,132 | — | — | 87,132 | ||||||||||||
Total Investments | $ | 87,132 | $ | 7,291,473 | $ | — | $ | 7,378,605 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. 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 139
Additional Information on Fund Expenses
December 31, 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 (7/1/19 – 12/31/19).
Actual Expenses
The third and fourth columns of the following tables 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 tables 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 tables (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.
Actual vs. Hypothetical Returns
Hypothetical | ||||||
(5% return | ||||||
Actual | before expenses) | |||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |
Annualized | Account | Account | Paid | Account | Paid | |
Expense | Value | Value | During | Value | During | |
Ratio(1) | 7/1/19 | 12/31/19 | Period(1) | 12/31/19 | Period(1) | |
Baird Ultra Short Bond Fund | ||||||
Institutional Class | 0.15% | $1,000.00 | $1,013.10 | $0.76 | $1,024.45 | $0.77 |
Investor Class | 0.40% | $1,000.00 | $1,010.80 | $2.03 | $1,023.19 | $2.04 |
Baird Short-Term Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,014.90 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,013.60 | $2.79 | $1,022.43 | $2.80 |
Baird Intermediate Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,017.60 | $1.53 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,016.30 | $2.80 | $1,022.43 | $2.80 |
Page 140
Additional Information on Fund Expenses
December 31, 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) | 7/1/19 | 12/31/19 | Period(1) | 12/31/19 | Period(1) | |
Baird Aggregate Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,027.20 | $1.53 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,024.90 | $2.81 | $1,022.43 | $2.80 |
Baird Core Plus Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,028.60 | $1.53 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,027.00 | $2.81 | $1,022.43 | $2.80 |
Baird Short-Term Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,013.10 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,011.80 | $2.79 | $1,022.43 | $2.80 |
Baird Quality Intermediate Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,015.90 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,015.00 | $2.79 | $1,022.43 | $2.80 |
Baird Core Intermediate Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,022.50 | $1.53 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,020.30 | $2.80 | $1,022.43 | $2.80 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, 184 days and divided by 365 to reflect the one-half year period. |
Hypothetical | ||||||
(5% return | ||||||
Actual | before expenses) | |||||
Fund’s | Ending | Expenses | Ending | Expenses | ||
Annualized | Beginning | Account | Paid | Account | Paid | |
Expense | Account | Value | During | Value | During | |
Ratio(1) | Value | 12/31/19 | Period(1) | 12/31/19 | Period(2) | |
Baird Strategic Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,008.80 | $0.38 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,008.50 | $0.70 | $1,022.43 | $2.80 |
Baird Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,011.90 | $0.38 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,011.60 | $0.70 | $1,022.43 | $2.80 |
(1) | Expenses are equal to the Baird Strategic Municipal Bond Fund and Baird Municipal Bond Fund’s annualized net expense ratios multiplied by the respective average account value over the period, multiplied by 46/365 to reflect the period since the Funds’ inception on November 15, 2019. For comparative purposes only, the actual expenses reflecting the one-half year period (184/365) would be $1.52 and $2.78 for the Institutional Class and Investor Class, respectively, of the Baird Strategic Municipal Bond Fund and $1.52 and $2.79 for the Institutional Class and Investor Class, respectively, of the Baird Municipal Bond Fund. |
(2) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, 184 days and divided by 365 to reflect the one-half year period. |
Page 141
Statements of Assets and Liabilities
December 31, 2019
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $1,774,235,109, $6,667,154,365 | ||||||||||||
and $4,304,079,161, respectively) | $ | 1,776,828,192 | $ | 6,741,320,383 | $ | 4,426,735,327 | ||||||
Interest receivable | 8,786,818 | 41,071,653 | 27,119,755 | |||||||||
Receivable for Fund shares sold | 20,201,592 | 24,956,845 | 6,216,251 | |||||||||
Uninvested cash | — | 113,248 | — | |||||||||
Prepaid expenses and other assets | 67 | — | 133,763 | |||||||||
Total assets | 1,805,816,669 | 6,807,462,129 | 4,460,205,096 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 67,121,668 | 151,160,044 | 61,552,024 | |||||||||
Payable for Fund shares redeemed | 4,933,372 | 3,132,708 | 3,277,043 | |||||||||
Payable to Advisor, net (Note 5) | 140,929 | 1,396,155 | 929,522 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 15,725 | 56,599 | 22,606 | |||||||||
Due to custodian | — | — | 2,200 | |||||||||
Accrued administration fees (Note 5) | 70,464 | 279,231 | 185,904 | |||||||||
Total liabilities | 72,282,158 | 156,024,737 | 65,969,299 | |||||||||
NET ASSETS | $ | 1,733,534,511 | $ | 6,651,437,392 | $ | 4,394,235,797 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 1,730,552,538 | $ | 6,585,116,095 | $ | 4,288,685,103 | ||||||
Total distributable earnings | 2,981,973 | 66,321,297 | 105,550,694 | |||||||||
NET ASSETS | $ | 1,733,534,511 | $ | 6,651,437,392 | $ | 4,394,235,797 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,701,030,492 | $ | 6,469,070,988 | $ | 4,342,076,559 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 169,147,382 | 662,075,927 | 385,202,985 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.06 | $ | 9.77 | $ | 11.27 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 32,504,019 | $ | 182,366,404 | $ | 52,159,238 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 3,234,242 | 18,669,294 | 4,420,600 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.05 | $ | 9.77 | $ | 11.80 |
The accompanying notes are an integral part of these financial statements.
Page 142
Statements of Assets and Liabilities
December 31, 2019
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value | ||||||||
(cost $22,111,780,860 and | ||||||||
$23,031,890,122, respectively) | $ | 22,919,754,727 | $ | 23,907,758,659 | ||||
Interest receivable | 141,228,611 | 164,201,706 | ||||||
Receivable for investments sold | 65,928,569 | 43 | ||||||
Receivable for Fund shares sold | 87,572,941 | 72,710,721 | ||||||
Uninvested cash | 309 | 108,714 | ||||||
Prepaid expenses and other assets | 143,935 | 59,972 | ||||||
Total assets | 23,214,629,092 | 24,144,839,815 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 32,078,406 | 169,979,555 | ||||||
Payable for Fund shares redeemed | 532,602,716 | 43,323,611 | ||||||
Payable to Advisor, net (Note 5) | 4,856,390 | 5,036,394 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 321,443 | 683,151 | ||||||
Accrued administration fees (Note 5) | 971,278 | 1,007,279 | ||||||
Total liabilities | 570,830,233 | 220,029,990 | ||||||
NET ASSETS | $ | 22,643,798,859 | $ | 23,924,809,825 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 21,855,559,638 | $ | 23,096,932,577 | ||||
Total distributable earnings | 788,239,221 | 827,877,248 | ||||||
NET ASSETS | $ | 22,643,798,859 | $ | 23,924,809,825 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 21,857,410,794 | $ | 21,424,852,527 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,950,270,561 | 1,853,736,631 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 11.21 | $ | 11.56 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 786,388,065 | $ | 2,499,957,298 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 67,780,865 | 207,381,809 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 11.60 | $ | 12.05 |
The accompanying notes are an integral part of these financial statements.
Page 143
Statements of Assets and Liabilities
December 31, 2019
Baird | Baird | |||||||||||
Baird | Quality | Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $985,539,305, $1,278,453,934 | ||||||||||||
and $520,081,134, respectively) | $ | 995,215,538 | $ | 1,326,709,955 | $ | 538,389,616 | ||||||
Interest receivable | 8,626,583 | 12,565,445 | 4,896,685 | |||||||||
Receivable for investments sold | 20,000 | — | — | |||||||||
Receivable for Fund shares sold | 22,607,483 | 3,911,250 | 2,359,753 | |||||||||
Uninvested cash | 342,124 | — | — | |||||||||
Prepaid expenses and other assets | 42 | — | 2,533 | |||||||||
Total assets | 1,026,811,770 | 1,343,186,650 | 545,648,587 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 9,840,321 | 107,681 | 3,801,509 | |||||||||
Payable for Fund shares redeemed | 966,148 | 240,172 | 315,935 | |||||||||
Payable to Advisor, net (Note 5) | 208,354 | 283,221 | 113,138 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 47,761 | 78,888 | 2,187 | |||||||||
Accrued administration fees (Note 5) | 41,671 | 56,644 | 22,628 | |||||||||
Accrued expenses and other liabilities | — | 2,463 | 198 | |||||||||
Total liabilities | 11,104,255 | 769,069 | 4,255,595 | |||||||||
NET ASSETS | $ | 1,015,707,515 | $ | 1,342,417,581 | $ | 541,392,992 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 1,006,468,032 | $ | 1,304,168,846 | $ | 522,939,588 | ||||||
Total distributable earnings | 9,239,483 | 38,248,735 | 18,453,404 | |||||||||
NET ASSETS | $ | 1,015,707,515 | $ | 1,342,417,581 | $ | 541,392,992 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 926,071,249 | $ | 1,257,364,908 | $ | 535,480,846 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 90,228,606 | 107,042,733 | 50,283,479 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.26 | $ | 11.75 | $ | 10.65 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 89,636,266 | $ | 85,052,673 | $ | 5,912,146 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 8,744,555 | 7,064,666 | 555,466 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.25 | $ | 12.04 | $ | 10.64 |
The accompanying notes are an integral part of these financial statements.
Page 144
Statements of Assets and Liabilities
December 31, 2019
Baird | ||||||||
Strategic | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $11,425,098 | ||||||||
and $7,336,803, respectively) | $ | 11,464,233 | $ | 7,378,605 | ||||
Interest receivable | 61,365 | 39,512 | ||||||
Receivable for investments sold | 518,871 | 56,105 | ||||||
Receivable for Fund shares sold | 100,000 | — | ||||||
Total assets | 12,144,469 | 7,474,222 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 100,796 | 55,438 | ||||||
Payable to Advisor, net (Note 5) | 2,442 | 1,519 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 8 | 9 | ||||||
Accrued administration fees (Note 5) | 489 | 304 | ||||||
Total liabilities | 103,735 | 57,270 | ||||||
NET ASSETS | $ | 12,040,734 | $ | 7,416,952 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 11,960,046 | $ | 7,343,388 | ||||
Total distributable earnings | 80,688 | 73,564 | ||||||
NET ASSETS | $ | 12,040,734 | $ | 7,416,952 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 12,013,303 | $ | 7,387,804 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,193,182 | 731,442 | ||||||
Net asset value, offering and redemption price per share | $ | 10.07 | $ | 10.10 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 27,431 | $ | 29,148 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 2,725 | 2,886 | ||||||
Net asset value, offering and redemption price per share | $ | 10.07 | $ | 10.10 |
The accompanying notes are an integral part of these financial statements.
Page 145
Statements of Operations
Year Ended December 31, 2019
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 39,980,451 | $ | 180,892,640 | $ | 115,692,211 | ||||||
Other income | — | 44,013 | 48,420 | |||||||||
Total investment income | 39,980,451 | 180,936,653 | 115,740,631 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 3,627,516 | 16,144,852 | 10,078,193 | |||||||||
Administration fees (Note 5) | 725,503 | 3,228,970 | 2,015,638 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 64,320 | 433,123 | 123,892 | |||||||||
Total expenses | 4,417,339 | 19,806,945 | 12,217,723 | |||||||||
Fee waiver by Advisor (Note 5) | (2,176,510 | ) | — | — | ||||||||
Net expenses | 2,240,829 | 19,806,945 | 12,217,723 | |||||||||
NET INVESTMENT INCOME | 37,739,622 | 161,129,708 | 103,522,908 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN ON INVESTMENTS: | ||||||||||||
Net realized gain on investments | 1,283,731 | 24,666,686 | 8,857,119 | |||||||||
Net change in unrealized | ||||||||||||
appreciation on investments | 4,766,335 | 107,756,900 | 157,961,371 | |||||||||
Net realized and unrealized gain on investments | 6,050,066 | 132,423,586 | 166,818,490 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 43,789,688 | $ | 293,553,294 | $ | 270,341,398 |
The accompanying notes are an integral part of these financial statements.
Page 146
Statements of Operations
Year Ended December 31, 2019
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 609,053,624 | $ | 677,476,027 | ||||
Other income | 104,789 | 163,566 | ||||||
Total investment income | 609,158,413 | 677,639,593 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 50,147,018 | 52,195,283 | ||||||
Administration fees (Note 5) | 10,029,404 | 10,439,056 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 1,824,716 | 5,684,210 | ||||||
Total expenses | 62,001,138 | 68,318,549 | ||||||
NET INVESTMENT INCOME | 547,157,275 | 609,321,044 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 117,338,627 | 87,582,941 | ||||||
Net change in unrealized appreciation on investments | 1,082,352,966 | 1,227,759,163 | ||||||
Net realized and unrealized gain on investments | 1,199,691,593 | 1,315,342,104 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 1,746,848,868 | $ | 1,924,663,148 |
The accompanying notes are an integral part of these financial statements.
Page 147
Statements of Operations
Year Ended December 31, 2019
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 | $ | 13,620,871 | $ | 31,815,687 | $ | 11,983,116 | ||||||
Total investment income | 13,620,871 | 31,815,687 | 11,983,116 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 1,507,506 | 3,060,281 | 1,124,156 | |||||||||
Administration fees (Note 5) | 301,501 | 612,056 | 224,831 | |||||||||
Interest expense (Note 6) | — | — | 195 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 193,572 | 220,324 | 9,770 | |||||||||
Total expenses | 2,002,579 | 3,892,661 | 1,358,952 | |||||||||
NET INVESTMENT INCOME | 11,618,292 | 27,923,026 | 10,624,164 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | (32,969 | ) | (296,303 | ) | 1,173,329 | |||||||
Net change in unrealized | ||||||||||||
appreciation on investments | 9,376,603 | 36,837,003 | 16,527,720 | |||||||||
Net realized and unrealized gain on investments | 9,343,634 | 36,540,700 | 17,701,049 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 20,961,926 | $ | 64,463,726 | $ | 28,325,213 |
The accompanying notes are an integral part of these financial statements.
Page 148
Statements of Operations
Period Ended December 31, 2019^
Baird | ||||||||
Strategic | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 26,493 | $ | 17,262 | ||||
Total investment income | 26,493 | 17,262 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 3,495 | 2,173 | ||||||
Administration fees (Note 5) | 699 | 435 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 8 | 9 | ||||||
Total expenses | 4,202 | 2,617 | ||||||
NET INVESTMENT INCOME | 22,291 | 14,645 | ||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 40,936 | 31,173 | ||||||
Net change in unrealized appreciation on investments | 39,135 | 41,802 | ||||||
Net realized and unrealized gain on investments | 80,071 | 72,975 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 102,362 | $ | 87,620 |
^ For the period from close of business on November 15, 2019 (inception date) through December 31, 2019.
The accompanying notes are an integral part of these financial statements.
Page 149
Statements of Changes in Net Assets
Baird Ultra Short Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 37,739,622 | $ | 15,362,190 | ||||
Net realized gain (loss) on investments | 1,283,731 | (122,230 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 4,766,335 | (2,121,702 | ) | |||||
Net increase in net assets resulting from operations | 43,789,688 | 13,118,258 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,576,519,226 | 808,716,290 | ||||||
Shares issued to holders in reinvestment of distributions | 36,713,747 | 14,355,617 | ||||||
Cost of shares redeemed | (932,349,988 | ) | (313,355,931 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 680,882,985 | 509,715,976 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (37,557,823 | ) | (15,083,798 | ) | ||||
Investor Class | (624,557 | ) | (253,414 | ) | ||||
Total net distributions to shareholders | (38,182,380 | ) | (15,337,212 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 686,490,293 | 507,497,022 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,047,044,218 | 539,547,196 | ||||||
End of year | $ | 1,733,534,511 | $ | 1,047,044,218 |
The accompanying notes are an integral part of these financial statements.
Page 150
Statements of Changes in Net Assets
Baird Short-Term Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 161,129,708 | $ | 125,237,313 | ||||
Net realized gain (loss) on investments | 24,666,686 | (26,235,503 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 107,756,900 | (14,447,406 | ) | |||||
Net increase in net assets resulting from operations | 293,553,294 | 84,554,404 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,907,577,528 | 2,286,737,726 | ||||||
Shares issued to holders in reinvestment of distributions | 149,691,548 | 116,729,687 | ||||||
Cost of shares redeemed | (2,278,660,216 | ) | (2,156,148,560 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 778,608,860 | 247,318,853 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (158,021,583 | ) | (122,547,112 | ) | ||||
Investor Class | (3,939,938 | ) | (2,757,574 | ) | ||||
Total net distributions to shareholders | (161,961,521 | ) | (125,304,686 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 910,200,633 | 206,568,571 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 5,741,236,759 | 5,534,668,188 | ||||||
End of year | $ | 6,651,437,392 | $ | 5,741,236,759 |
The accompanying notes are an integral part of these financial statements.
Page 151
Statements of Changes in Net Assets
Baird Intermediate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 103,522,908 | $ | 81,483,022 | ||||
Net realized gain (loss) on investments | 8,857,119 | (22,545,628 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 157,961,371 | (36,023,033 | ) | |||||
Net increase in net assets resulting from operations | 270,341,398 | 22,914,361 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,396,378,184 | 1,314,966,726 | ||||||
Shares issued to holders in reinvestment of distributions | 87,687,553 | 67,024,736 | ||||||
Cost of shares redeemed | (568,729,114 | ) | (966,939,949 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 915,336,623 | 415,051,513 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (102,554,663 | ) | (80,653,988 | ) | ||||
Investor Class | (1,094,238 | ) | (1,007,749 | ) | ||||
Total net distributions to shareholders | (103,648,901 | ) | (81,661,737 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 1,082,029,120 | 356,304,137 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 3,312,206,677 | 2,955,902,540 | ||||||
End of year | $ | 4,394,235,797 | $ | 3,312,206,677 |
The accompanying notes are an integral part of these financial statements.
Page 152
Statements of Changes in Net Assets
Baird Aggregate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 547,157,275 | $ | 424,036,819 | ||||
Net realized gain (loss) on investments | 117,338,627 | (69,510,689 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 1,082,352,966 | (390,719,147 | ) | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | 1,746,848,868 | (36,193,017 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 10,015,319,367 | 4,982,753,257 | ||||||
Shares issued to holders in reinvestment of distributions | 512,385,172 | 390,774,288 | ||||||
Cost of shares redeemed | (4,678,796,166 | ) | (3,688,839,933 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 5,848,908,373 | 1,684,687,612 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (549,645,021 | ) | (421,718,399 | ) | ||||
Investor Class | (17,995,718 | ) | (19,304,710 | ) | ||||
Total net distributions to shareholders | (567,640,739 | ) | (441,023,109 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 7,028,116,502 | 1,207,471,486 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 15,615,682,357 | 14,408,210,871 | ||||||
End of year | $ | 22,643,798,859 | $ | 15,615,682,357 |
The accompanying notes are an integral part of these financial statements.
Page 153
Statements of Changes in Net Assets
Baird Core Plus Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 609,321,044 | $ | 519,285,134 | ||||
Net realized gain (loss) on investments | 87,582,941 | (74,445,293 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 1,227,759,163 | (513,615,666 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 1,924,663,148 | (68,775,825 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 8,006,235,991 | 5,741,152,956 | ||||||
Shares issued to holders in reinvestment of distributions | 584,928,310 | 500,610,919 | ||||||
Cost of shares redeemed | (3,769,814,425 | ) | (4,179,926,706 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 4,821,349,876 | 2,061,837,169 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (567,068,342 | ) | (474,634,516 | ) | ||||
Investor Class | (60,455,523 | ) | (63,272,584 | ) | ||||
Total net distributions to shareholders | (627,523,865 | ) | (537,907,100 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 6,118,489,159 | 1,455,154,244 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 17,806,320,666 | 16,351,166,422 | ||||||
End of year | $ | 23,924,809,825 | $ | 17,806,320,666 |
The accompanying notes are an integral part of these financial statements.
Page 154
Statements of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 11,618,292 | $ | 4,602,547 | ||||
Net realized loss on investments | (32,969 | ) | (395,641 | ) | ||||
Net change in unrealized appreciation on investments | 9,376,603 | 363,342 | ||||||
Net increase in net assets resulting from operations | 20,961,926 | 4,570,248 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 896,607,390 | 350,521,712 | ||||||
Shares issued to holders in reinvestment of distributions | 9,383,424 | 3,718,376 | ||||||
Cost of shares redeemed | (244,784,136 | ) | (134,819,382 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 661,206,678 | 219,420,706 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (10,340,865 | ) | (3,476,137 | ) | ||||
Investor Class | (1,298,626 | ) | (1,140,216 | ) | ||||
Total net distributions to shareholders | (11,639,491 | ) | (4,616,353 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 670,529,113 | 219,374,601 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 345,178,402 | 125,803,801 | ||||||
End of year | $ | 1,015,707,515 | $ | 345,178,402 |
The accompanying notes are an integral part of these financial statements.
Page 155
Statements of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 27,923,026 | $ | 27,097,810 | ||||
Net realized loss on investments | (296,303 | ) | (2,660,074 | ) | ||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 36,837,003 | (12,531,513 | ) | |||||
Net increase in net assets resulting from operations | 64,463,726 | 11,906,223 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 456,956,508 | 480,971,362 | ||||||
Shares issued to holders in reinvestment of distributions | 24,635,306 | 23,445,969 | ||||||
Cost of shares redeemed | (295,612,497 | ) | (520,681,280 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | 185,979,317 | (16,263,949 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (26,299,068 | ) | (25,039,480 | ) | ||||
Investor Class | (1,731,578 | ) | (2,013,625 | ) | ||||
Total net distributions to shareholders | (28,030,646 | ) | (27,053,105 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 222,412,397 | (31,410,831 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,120,005,184 | 1,151,416,015 | ||||||
End of year | $ | 1,342,417,581 | $ | 1,120,005,184 |
The accompanying notes are an integral part of these financial statements.
Page 156
Statements of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 10,624,164 | $ | 6,548,983 | ||||
Net realized gain (loss) on investments | 1,173,329 | (512,079 | ) | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments | 16,527,720 | (1,082,758 | ) | |||||
Net increase in net assets resulting from operations | 28,325,213 | 4,954,146 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 206,715,430 | 260,403,608 | ||||||
Shares issued to holders in reinvestment of distributions | 7,931,294 | 4,380,739 | ||||||
Cost of shares redeemed | (70,580,422 | ) | (119,644,249 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 144,066,302 | 145,140,098 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (10,964,930 | ) | (6,517,792 | ) | ||||
Investor Class | (90,108 | ) | (38,214 | ) | ||||
Total net distributions to shareholders | (11,055,038 | ) | (6,556,006 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 161,336,477 | 143,538,238 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 380,056,515 | 236,518,277 | ||||||
End of year | $ | 541,392,992 | $ | 380,056,515 |
The accompanying notes are an integral part of these financial statements.
Page 157
Statement of Changes in Net Assets
Baird Strategic Municipal Bond Fund
November 15, 2019^ | ||||
through | ||||
December 31, 2019 | ||||
OPERATIONS: | ||||
Net investment income | $ | 22,291 | ||
Net realized gain on investments | 40,936 | |||
Net change in unrealized appreciation on investments | 39,135 | |||
Net increase in net assets resulting from operations | 102,362 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 11,940,204 | |||
Shares issued to holders in reinvestment of distributions | 19,842 | |||
Net increase in net assets resulting from capital share transactions | 11,960,046 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Net distributions to shareholders: | ||||
Institutional Class | (21,632 | ) | ||
Investor Class | (42 | ) | ||
Total net distributions to shareholders | (21,674 | ) | ||
TOTAL INCREASE IN NET ASSETS | 12,040,734 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 12,040,734 |
^ Inception was the close of business on November 15, 2019.
The accompanying notes are an integral part of these financial statements.
Page 158
Statement of Changes in Net Assets
Baird Municipal Bond Fund
November 15, 2019^ | ||||
through | ||||
December 31, 2019 | ||||
OPERATIONS: | ||||
Net investment income | $ | 14,645 | ||
Net realized gain on investments | 31,173 | |||
Net change in unrealized appreciation on investments | 41,802 | |||
Net increase in net assets resulting from operations | 87,620 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 7,329,812 | |||
Shares issued to holders in reinvestment of distributions | 13,576 | |||
Net increase in net assets resulting from capital share transactions | 7,343,388 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Net distributions to shareholders: | ||||
Institutional Class | (14,009 | ) | ||
Investor Class | (47 | ) | ||
Total net distributions to shareholders | (14,056 | ) | ||
TOTAL INCREASE IN NET ASSETS | 7,416,952 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 7,416,952 |
^ Inception was the close of business on November 15, 2019.
The accompanying notes are an integral part of these financial statements.
Page 159
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.26 | 0.23 | 0.13 | 0.11 | 0.08 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.05 | (0.04 | ) | 0.00 | (2)(3) | 0.04 | (0.05 | ) | ||||||||||||
Total from investment operations | 0.31 | 0.19 | 0.13 | 0.15 | 0.03 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.26 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | — | — | — | — | ||||||||||||||
Total distributions | (0.26 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | ||||||||||
Net asset value, end of year | $ | 10.06 | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | ||||||||||
Total return | 3.11 | % | 1.95 | % | 1.30 | % | 1.56 | % | 0.30 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,701.0 | $ | 1,031.5 | $ | 532.0 | $ | 387.3 | $ | 189.3 | ||||||||||
Ratio of expenses to average net assets | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.61 | % | 2.24 | % | 1.31 | % | 1.05 | % | 0.78 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets (before waivers) | 2.46 | % | 2.09 | % | 1.16 | % | 0.90 | % | 0.63 | % | ||||||||||
Portfolio turnover rate(4) | 70 | % | 66 | % | 83 | % | 97 | % | 66 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the statement of operations. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 160
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.24 | 0.20 | 0.11 | 0.08 | 0.05 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.04 | (0.04 | ) | (0.01 | ) | 0.05 | (0.03 | ) | ||||||||||||
Total from investment operations | 0.28 | 0.16 | 0.10 | 0.13 | 0.02 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.23 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | — | — | — | — | ||||||||||||||
Total distributions | (0.23 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | ||||||||||
Net asset value, end of year | $ | 10.05 | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | ||||||||||
Total return | 2.87 | % | 1.60 | % | 1.05 | % | 1.32 | % | 0.16 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 32.5 | $ | 15.6 | $ | 7.6 | $ | 5.2 | $ | 1.2 | ||||||||||
Ratio of expenses to average net assets | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.36 | % | 1.99 | % | 1.06 | % | 0.80 | % | 0.53 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets (before waivers) | 2.21 | % | 1.84 | % | 0.91 | % | 0.65 | % | 0.38 | % | ||||||||||
Portfolio turnover rate(3) | 70 | % | 66 | % | 83 | % | 97 | % | 66 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 161
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.24 | 0.21 | 0.17 | 0.15 | 0.13 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.20 | (0.07 | ) | (0.02 | ) | 0.06 | (0.05 | ) | ||||||||||||
Total from investment operations | 0.44 | 0.14 | 0.15 | 0.21 | 0.08 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.24 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | ||||||||||||
Total distributions | (0.24 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | ||||||||||
Net asset value, end of year | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | ||||||||||
Total return | 4.68 | % | 1.49 | % | 1.53 | % | 2.25 | % | 0.89 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 6,469.1 | $ | 5,596.2 | $ | 5,399.7 | $ | 3,769.3 | $ | 2,976.0 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.50 | % | 2.21 | % | 1.73 | % | 1.57 | % | 1.30 | % | ||||||||||
Portfolio turnover rate(3) | 64 | % | 58 | % | 55 | % | 44 | % | 38 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 162
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.22 | 0.19 | 0.14 | 0.13 | 0.10 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.20 | (0.07 | ) | (0.02 | ) | 0.06 | (0.04 | ) | ||||||||||||
Total from investment operations | 0.42 | 0.12 | 0.12 | 0.19 | 0.06 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.22 | ) | (0.19 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | ||||||||||||
Total distributions | (0.22 | ) | (0.19 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | ||||||||||
Net asset value, end of year | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | ||||||||||
Total return | 4.42 | % | 1.24 | % | 1.28 | % | 2.00 | % | 0.64 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 182.4 | $ | 145.0 | $ | 134.9 | $ | 104.9 | $ | 40.6 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.25 | % | 1.96 | % | 1.48 | % | 1.32 | % | 1.05 | % | ||||||||||
Portfolio turnover rate(3) | 64 | % | 58 | % | 55 | % | 44 | % | 38 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 163
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.29 | 0.27 | 0.26 | 0.25 | 0.24 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.46 | (0.21 | ) | 0.04 | 0.06 | (0.13 | ) | |||||||||||||
Total from investment operations | 0.75 | 0.06 | 0.30 | 0.31 | 0.11 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.28 | ) | (0.27 | ) | (0.26 | ) | (0.25 | ) | (0.25 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.28 | ) | (0.27 | ) | (0.26 | ) | (0.27 | ) | (0.28 | ) | ||||||||||
Net asset value, end of year | $ | 11.27 | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | ||||||||||
Total return | 7.05 | % | 0.58 | % | 2.74 | % | 2.83 | % | 0.99 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 4,342.1 | $ | 3,264.9 | $ | 2,902.0 | $ | 2,209.1 | $ | 1,787.0 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.57 | % | 2.51 | % | 2.32 | % | 2.21 | % | 2.14 | % | ||||||||||
Portfolio turnover rate(3) | 26 | % | 32 | % | 31 | % | 30 | % | 39 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 164
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.27 | 0.25 | 0.24 | 0.23 | 0.22 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.50 | (0.22 | ) | 0.04 | 0.06 | (0.14 | ) | |||||||||||||
Total from investment operations | 0.77 | 0.03 | 0.28 | 0.29 | 0.08 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.26 | ) | (0.24 | ) | (0.22 | ) | (0.22 | ) | (0.22 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.26 | ) | (0.24 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | ||||||||||
Net asset value, end of year | $ | 11.80 | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | ||||||||||
Total return | 6.83 | % | 0.30 | % | 2.53 | % | 2.55 | % | 0.79 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 52.2 | $ | 47.3 | $ | 53.9 | $ | 98.1 | $ | 103.4 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.32 | % | 2.26 | % | 2.07 | % | 1.96 | % | 1.89 | % | ||||||||||
Portfolio turnover rate(3) | 26 | % | 32 | % | 31 | % | 30 | % | 39 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 165
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.30 | 0.29 | 0.26 | 0.25 | 0.24 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.69 | (0.33 | ) | 0.19 | 0.12 | (0.18 | ) | |||||||||||||
Total from investment operations | 0.99 | (0.04 | ) | 0.45 | 0.37 | 0.06 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.31 | ) | (0.30 | ) | (0.28 | ) | (0.26 | ) | (0.26 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.31 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.26 | ) | ||||||||||
Net asset value, end of year | $ | 11.21 | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | ||||||||||
Total return | 9.48 | % | (0.30 | )% | 4.20 | % | 3.52 | % | 0.55 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 21,857.4 | $ | 14,897.5 | $ | 13,582.8 | $ | 9,769.9 | $ | 6,318.4 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.74 | % | 2.77 | % | 2.40 | % | 2.25 | % | 2.24 | % | ||||||||||
Portfolio turnover rate(2) | 31 | % | 24 | % | 28 | % | 36 | % | 40 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 166
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.28 | 0.27 | 0.24 | 0.23 | 0.22 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.71 | (0.33 | ) | 0.19 | 0.14 | (0.20 | ) | |||||||||||||
Total from investment operations | 0.99 | (0.06 | ) | 0.43 | 0.37 | 0.02 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.28 | ) | (0.28 | ) | (0.25 | ) | (0.24 | ) | (0.23 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.28 | ) | (0.28 | ) | (0.25 | ) | (0.26 | ) | (0.23 | ) | ||||||||||
Net asset value, end of year | $ | 11.60 | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | ||||||||||
Total return | 9.17 | % | (0.54 | )% | 3.90 | % | 3.34 | % | 0.21 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 786.4 | $ | 718.2 | $ | 825.4 | $ | 809.1 | $ | 429.6 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.49 | % | 2.52 | % | 2.15 | % | 2.00 | % | 1.99 | % | ||||||||||
Portfolio turnover rate(2) | 31 | % | 24 | % | 28 | % | 36 | % | 40 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 167
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.33 | 0.33 | 0.30 | 0.29 | 0.28 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.75 | (0.39 | ) | 0.21 | 0.22 | (0.26 | ) | |||||||||||||
Total from investment operations | 1.08 | (0.06 | ) | 0.51 | 0.51 | 0.02 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.34 | ) | (0.34 | ) | (0.32 | ) | (0.31 | ) | (0.31 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.34 | ) | (0.34 | ) | (0.32 | ) | (0.33 | ) | (0.31 | ) | ||||||||||
Net asset value, end of year | $ | 11.56 | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | ||||||||||
Total return | 10.11 | % | (0.51 | )% | 4.65 | % | 4.73 | % | 0.14 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 21,424.9 | $ | 15,635.3 | $ | 13,920.2 | $ | 10,023.6 | $ | 7,199.8 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.95 | % | 3.01 | % | 2.68 | % | 2.61 | % | 2.50 | % | ||||||||||
Portfolio turnover rate(2) | 26 | % | 26 | % | 30 | % | 33 | % | 34 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 168
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.32 | 0.31 | 0.28 | 0.27 | 0.26 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.76 | (0.40 | ) | 0.23 | 0.23 | (0.27 | ) | |||||||||||||
Total from investment operations | 1.08 | (0.09 | ) | 0.51 | 0.50 | (0.01 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.31 | ) | (0.31 | ) | (0.29 | ) | (0.28 | ) | (0.28 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.31 | ) | (0.31 | ) | (0.29 | ) | (0.30 | ) | (0.28 | ) | ||||||||||
Net asset value, end of year | $ | 12.05 | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | ||||||||||
Total return | 9.69 | % | (0.74 | )% | 4.47 | % | 4.47 | % | (0.11 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2,500.0 | $ | 2,171.0 | $ | 2,431.0 | $ | 2,881.8 | $ | 2,183.5 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.70 | % | 2.76 | % | 2.43 | % | 2.36 | % | 2.25 | % | ||||||||||
Portfolio turnover rate(2) | 26 | % | 26 | % | 30 | % | 33 | % | 34 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 169
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.20 | 0.20 | 0.18 | 0.15 | 0.05 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.20 | (0.03 | ) | 0.10 | (0.08 | ) | 0.04 | |||||||||||||
Total from investment operations | 0.40 | 0.17 | 0.28 | 0.07 | 0.09 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.20 | ) | (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 | (0.20 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | (0.05 | ) | ||||||||||
Net asset value, end of period | $ | 10.26 | $ | 10.06 | $ | 10.08 | $ | 9.97 | $ | 10.04 | ||||||||||
Total return | 3.96 | % | 1.75 | % | 2.84 | % | 0.71 | % | 0.94 | %(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 926.1 | $ | 281.2 | $ | 120.9 | $ | 52.4 | $ | 12.3 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(5) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.96 | % | 2.03 | % | 1.74 | % | 1.44 | % | 1.42 | %(5) | ||||||||||
Portfolio turnover rate(6) | 34 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 170
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.17 | 0.18 | 0.15 | 0.12 | 0.04 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.21 | (0.03 | ) | 0.09 | (0.08 | ) | 0.05 | |||||||||||||
Total from investment operations | 0.38 | 0.15 | 0.24 | 0.04 | 0.09 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.17 | ) | (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 | (0.17 | ) | (0.17 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | ||||||||||
Net asset value, end of period | $ | 10.25 | $ | 10.04 | $ | 10.06 | $ | 9.96 | $ | 10.04 | ||||||||||
Total return | 3.81 | % | 1.52 | % | 2.45 | % | 0.40 | % | 0.86 | %(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 89.6 | $ | 64.0 | $ | 4.9 | $ | 6.3 | $ | 0.1 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(5) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.71 | % | 1.78 | % | 1.49 | % | 1.19 | % | 1.17 | %(5) | ||||||||||
Portfolio turnover rate(6) | 34 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 171
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.27 | 0.27 | 0.27 | 0.26 | 0.28 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.37 | (0.14 | ) | 0.09 | (0.31 | ) | (0.03 | ) | ||||||||||||
Total from investment operations | 0.64 | 0.13 | 0.36 | (0.05 | ) | 0.25 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.27 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | ||||||||||
Distributions from return of capital | — | — | (0.00 | )(2) | — | — | ||||||||||||||
Total distributions | (0.27 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | ||||||||||
Net asset value, end of year | $ | 11.75 | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | ||||||||||
Total return | 5.65 | % | 1.19 | % | 3.12 | % | (0.46 | )% | 2.19 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,257.4 | $ | 1,009.2 | $ | 1,044.1 | $ | 936.2 | $ | 988.4 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.30 | % | 2.39 | % | 2.29 | % | 2.19 | % | 2.42 | % | ||||||||||
Portfolio turnover rate(3) | 20 | % | 40 | % | 31 | % | 22 | % | 9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 172
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.24 | 0.25 | 0.24 | 0.23 | 0.26 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.38 | (0.15 | ) | 0.11 | (0.31 | ) | (0.04 | ) | ||||||||||||
Total from investment operations | 0.62 | 0.10 | 0.35 | (0.08 | ) | 0.22 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.24 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | ||||||||||
Distributions from return of capital | — | — | (0.00 | )(2) | — | — | ||||||||||||||
Total distributions | (0.24 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | ||||||||||
Net asset value, end of year | $ | 12.04 | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | ||||||||||
Total return | 5.33 | % | 0.90 | % | 2.97 | % | (0.70 | )% | 1.89 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 85.1 | $ | 110.8 | $ | 107.3 | $ | 136.1 | $ | 160.3 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.05 | % | 2.14 | % | 2.00 | % | 1.94 | % | 2.17 | % | ||||||||||
Portfolio turnover rate(3) | 20 | % | 40 | % | 31 | % | 22 | % | 9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 173
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.25 | 0.23 | 0.21 | 0.18 | 0.06 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.43 | (0.10 | ) | 0.30 | (0.05 | ) | 0.14 | |||||||||||||
Total from investment operations | 0.68 | 0.13 | 0.51 | 0.13 | 0.20 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.24 | ) | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.06 | ) | ||||||||||
Distributions from net realized gains | (0.01 | ) | — | — | (0.07 | ) | (0.01 | ) | ||||||||||||
Total distributions | (0.25 | ) | (0.23 | ) | (0.20 | ) | (0.25 | ) | (0.07 | ) | ||||||||||
Net asset value, end of period | $ | 10.65 | $ | 10.22 | $ | 10.32 | $ | 10.01 | $ | 10.13 | ||||||||||
Total return | 6.75 | % | 1.30 | % | 5.15 | % | 1.14 | % | 1.98 | %(3) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 535.5 | $ | 378.1 | $ | 234.8 | $ | 96.3 | $ | 50.8 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(4) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.36 | % | 2.30 | % | 2.04 | % | 1.79 | % | 1.75 | %(4) | ||||||||||
Portfolio turnover rate(5) | 38 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 174
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.22 | 0.21 | 0.18 | 0.16 | 0.05 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.43 | (0.11 | ) | 0.32 | (0.06 | ) | 0.14 | |||||||||||||
Total from investment operations | 0.65 | 0.10 | 0.50 | 0.10 | 0.19 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.22 | ) | (0.20 | ) | (0.18 | ) | (0.16 | ) | (0.05 | ) | ||||||||||
Distributions from net realized gains | (0.01 | ) | — | — | (0.07 | ) | (0.01 | ) | ||||||||||||
Total distributions | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.23 | ) | (0.06 | ) | ||||||||||
Net asset value, end of period | $ | 10.64 | $ | 10.22 | $ | 10.32 | $ | 10.00 | $ | 10.13 | ||||||||||
Total return | 6.40 | % | 1.05 | % | 5.00 | % | 0.91 | % | 1.91 | %(3) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 5.9 | $ | 2.0 | $ | 1.7 | $ | 1.4 | $ | 0.2 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.11 | % | 2.05 | % | 1.79 | % | 1.54 | % | 1.50 | %(4) | ||||||||||
Portfolio turnover rate(5) | 38 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 175
Financial Highlights
Baird Strategic Municipal Bond Fund – Institutional Class
Period Ended | ||||
December 31, 2019(1) | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income(2) | 0.02 | |||
Net realized and unrealized gain on investments | 0.07 | |||
Total from investment operations | 0.09 | |||
Less distributions: | ||||
Distributions from net investment income | (0.02 | ) | ||
Total distributions | (0.02 | ) | ||
Net asset value, end of period | $ | 10.07 | ||
Total return | 0.88 | %(3) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 12.0 | ||
Ratio of expenses to average net assets | 0.30 | %(4) | ||
Ratio of net investment income to average net assets | 1.60 | %(4) | ||
Portfolio turnover rate(5) | 47 | %(3) |
(1) | Inception was close of business on November 15, 2019. |
(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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 176
Financial Highlights
Baird Strategic Municipal Bond Fund – Investor Class
Period Ended | ||||
December 31, 2019(1) | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income(2) | 0.02 | |||
Net realized and unrealized gain on investments | 0.06 | |||
Total from investment operations | 0.08 | |||
Less distributions: | ||||
Distributions from net investment income | (0.01 | ) | ||
Total distributions | (0.01 | ) | ||
Net asset value, end of period | $ | 10.07 | ||
Total return | 0.85 | %(3) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (thousands) | $ | 27.4 | ||
Ratio of expenses to average net assets | 0.55 | %(4) | ||
Ratio of net investment income to average net assets | 1.35 | %(4) | ||
Portfolio turnover rate(5) | 47 | %(3) |
(1) | Inception was close of business on November 15, 2019. |
(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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 177
Financial Highlights
Baird Municipal Bond Fund – Institutional Class
Period Ended | ||||
December 31, 2019(1) | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income(2) | 0.02 | |||
Net realized and unrealized gain on investments | 0.10 | |||
Total from investment operations | 0.12 | |||
Less distributions: | ||||
Distributions from net investment income | (0.02 | ) | ||
Total distributions | (0.02 | ) | ||
Net asset value, end of period | $ | 10.10 | ||
Total return | 1.19 | %(3) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 7.4 | ||
Ratio of expenses to average net assets | 0.30 | %(4) | ||
Ratio of net investment income to average net assets | 1.69 | %(4) | ||
Portfolio turnover rate(5) | 46 | %(3) |
(1) | Inception was close of business on November 15, 2019. |
(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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 178
Financial Highlights
Baird Municipal Bond Fund – Investor Class
Period Ended | ||||
December 31, 2019(1) | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income(2) | 0.02 | |||
Net realized and unrealized gain on investments | 0.10 | |||
Total from investment operations | 0.12 | |||
Less distributions: | ||||
Distributions from net investment income | (0.02 | ) | ||
Total distributions | (0.02 | ) | ||
Net asset value, end of period | $ | 10.10 | ||
Total return | 1.16 | %(3) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (thousands) | $ | 29.1 | ||
Ratio of expenses to average net assets | 0.55 | %(4) | ||
Ratio of net investment income to average net assets | 1.44 | %(4) | ||
Portfolio turnover rate(5) | 46 | %(3) |
(1) | Inception was close of business on November 15, 2019. |
(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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 179
Notes to the Financial Statements
December 31, 2019
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, Baird Core Intermediate Municipal Bond Fund, Baird Strategic Municipal Bond Fund and Baird Municipal Bond Fund (each, a “Fund” and collectively, the “Funds”), ten of the sixteen 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 | ||
Baird Strategic Municipal Bond Fund | November 15, 2019 | November 15, 2019 | ||
Baird Municipal Bond Fund | November 15, 2019 | November 15, 2019 |
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 180
Notes to the Financial Statements
December 31, 2019
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.
The investment objective of the Baird Strategic Municipal Bond Fund is to seek a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
The investment objective of the Baird Municipal Bond Fund is to seek a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. On December 31, 2019, entities affiliated with the Advisor held 68% of the Baird Municipal Bond Fund and 42% of the Baird Strategic Municipal Bond Fund. In addition, one employee of the Advisor held 34% of the Baird Strategic Municipal Bond Fund.
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 |
Page 181
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including NASDAQ, are valued at the average of the current bid and ask price. Other assets and securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor in accordance with procedures approved by the Corporation’s Board. In accordance with such procedures, the Advisor may, under certain circumstances, use alternative valuation methodologies, or it may use broker quotes or prices obtained from alternative independent pricing services or, if broker quotes or prices from alternative pricing services are unavailable or deemed to be unreliable, fair value will be determined by a valuation committee of the Advisor. In determining fair value, the valuation committee takes into account factors deemed relevant by the valuation committee and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. The prices determined for any individual security on any given day may vary significantly from the amount that can be obtained in an actual sale of that security, and the Funds’ NAVs may fluctuate significantly from day to day or from period to period. | |
b) | Securities Purchased on a When-Issued, Delayed Delivery or Forward Commitment Basis – Each Fund may purchase securities on a when-issued, delayed delivery or forward commitment basis. When-issued, delayed delivery and forward commitment transactions involve the risk that the price or yield obtained in a transaction may be more or less favorable than the price or yield available in the market when delivery takes place. At the time a Fund makes a commitment to purchase a security, the Fund records the transaction and reflects the value of the security in determining net asset value. Each Fund designates and maintains cash and/or marketable securities at least equal in value to commitments for when-issued, delayed delivery or forward commitment securities. |
c) | Unregistered Securities — Seven of the Funds own certain investment securities which are unregistered. All of the unregistered securities held by the Funds as of December 31, 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 | Fair Value | % of Net Assets | ||||||||
Baird Ultra Short Bond Fund | $ | 315,841,551 | 18.22 | % | ||||||
Baird Short-Term Bond Fund | 1,553,692,141 | 23.36 | % | |||||||
Baird Intermediate Bond Fund | 785,269,895 | 17.87 | % | |||||||
Baird Aggregate Bond Fund | 3,589,642,966 | 15.85 | % | |||||||
Baird Core Plus Bond Fund | 4,377,341,972 | 18.30 | % | |||||||
Baird Short-Term Municipal Bond Fund | 198,774 | 0.02 | % | |||||||
Baird Core Intermediate Municipal Bond Fund | 397,548 | 0.07 | % |
d) | 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 |
Page 182
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
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. | |
e) | Income Tax Status – The Funds intend to continue to qualify as regulated investment companies as provided in subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax expense to the Funds. Therefore, no federal income or excise tax provision is recorded. |
There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax return for the fiscal year ended December 31, 2019, or for any other tax years which are open for exam. As of December 31, 2019, open tax years include the tax years ended December 31, 2016 through 2019. 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. | |
f) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets or are divided equally amongst the Funds. |
g) | 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. |
h) | 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. |
i) | 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. |
j) | 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. |
k) | New Accounting Pronouncements – In August 2018, FASB issued Accounting Standards Update 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 |
Page 183
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
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. ASU 2017-08 is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Effective January 1, 2019, the Funds adopted ASU 2017-08 and the adoption did not have a material impact on the 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
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 152,736,068 | $ | 1,536,105,216 | 78,659,234 | $ | 788,724,253 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 3,599,353 | 36,181,617 | 1,414,830 | 14,179,791 | ||||||||||||
Shares redeemed | (90,279,310 | ) | (908,254,883 | ) | (30,030,843 | ) | (301,247,845 | ) | ||||||||
Net increase | 66,056,111 | $ | 664,031,950 | 50,043,221 | $ | 501,656,199 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 103,091,271 | 53,048,050 | ||||||||||||||
End of year | 169,147,382 | 103,091,271 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,021,429 | $ | 40,414,010 | 1,993,690 | $ | 19,992,037 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 52,962 | 532,130 | 17,550 | 175,826 | ||||||||||||
Shares redeemed | (2,397,279 | ) | (24,095,105 | ) | (1,207,904 | ) | (12,108,086 | ) | ||||||||
Net increase | 1,677,112 | $ | 16,851,035 | 803,336 | $ | 8,059,777 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,557,130 | 753,794 | ||||||||||||||
End of year | 3,234,242 | 1,557,130 | ||||||||||||||
Total net increase | $ | 680,882,985 | $ | 509,715,976 |
Page 184
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Short-Term Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 289,867,873 | (1) | $ | 2,810,969,343 | (1) | 230,490,656 | $ | 2,205,699,257 | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 15,016,743 | 145,886,802 | 11,941,081 | 114,094,971 | ||||||||||||
Shares redeemed | (227,421,040 | ) | (2,212,086,535 | ) | (217,774,767 | ) | (2,083,542,157 | ) | ||||||||
Net increase | 77,463,576 | $ | 744,769,610 | 24,656,970 | $ | 236,252,071 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 584,612,351 | 559,955,381 | ||||||||||||||
End of year | 662,075,927 | 584,612,351 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,981,756 | $ | 96,608,185 | 8,470,183 | $ | 81,038,469 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 391,693 | 3,804,746 | 275,815 | 2,634,716 | ||||||||||||
Shares redeemed | (6,853,659 | ) | (66,573,681 | ) | (7,591,407 | ) | (72,606,403 | ) | ||||||||
Net increase | 3,519,790 | $ | 33,839,250 | 1,154,591 | $ | 11,066,782 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 15,149,504 | 13,994,913 | ||||||||||||||
End of year | 18,669,294 | 15,149,504 | ||||||||||||||
Total net increase | $ | 778,608,860 | $ | 247,318,853 | ||||||||||||
Baird Intermediate Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 124,549,008 | (1) | $ | 1,378,094,146 | (1) | 120,674,917 | $ | 1,302,127,327 | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 7,767,687 | 86,611,493 | 6,139,768 | 66,041,602 | ||||||||||||
Shares redeemed | (49,521,814 | ) | (552,159,328 | ) | (88,027,083 | ) | (947,396,828 | ) | ||||||||
Net increase | 82,794,881 | $ | 912,546,311 | 38,787,602 | $ | 420,772,101 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 302,408,104 | 263,620,502 | ||||||||||||||
End of year | 385,202,985 | 302,408,104 |
(1) Includes purchase in-kind transactions. See additional information contained in this Note.
Page 185
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Intermediate Bond Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,564,836 | $ | 18,284,038 | 1,141,775 | $ | 12,839,399 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 92,309 | 1,076,060 | 87,422 | 983,134 | ||||||||||||
Shares redeemed | (1,425,125 | ) | (16,569,786 | ) | (1,732,469 | ) | (19,543,121 | ) | ||||||||
Net increase (decrease) | 232,020 | $ | 2,790,312 | (503,272 | ) | $ | (5,720,588 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 4,188,580 | 4,691,852 | ||||||||||||||
End of year | 4,420,600 | 4,188,580 | ||||||||||||||
Total net increase | $ | 915,336,623 | $ | 415,051,513 | ||||||||||||
Baird Aggregate Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 890,354,110 | (1) | $ | 9,744,801,391 | (1) | 451,737,547 | $ | 4,778,349,475 | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 44,958,567 | 495,565,654 | 35,450,954 | 372,654,044 | ||||||||||||
Shares redeemed | (400,015,560 | ) | (4,414,787,850 | ) | (321,463,235 | ) | (3,384,434,780 | ) | ||||||||
Net increase | 535,297,117 | $ | 5,825,579,195 | 165,725,266 | $ | 1,766,568,739 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,414,973,444 | 1,249,248,178 | ||||||||||||||
End of year | 1,950,270,561 | 1,414,973,444 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 23,678,620 | $ | 270,517,976 | 18,687,127 | $ | 204,403,782 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,477,136 | 16,819,518 | 1,666,727 | 18,120,244 | ||||||||||||
Shares redeemed | (23,327,468 | ) | (264,008,316 | ) | (27,868,733 | ) | (304,405,153 | ) | ||||||||
Net increase (decrease) | 1,828,288 | $ | 23,329,178 | (7,514,879 | ) | $ | (81,881,127 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 65,952,577 | 73,467,456 | ||||||||||||||
End of year | 67,780,865 | 65,952,577 | ||||||||||||||
Total net increase | $ | 5,848,908,373 | $ | 1,684,687,612 |
(1) Includes purchase in-kind transactions. See additional information contained in this Note.
Page 186
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Core Plus Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 631,387,566 | $ | 7,152,999,146 | 472,086,657 | (1) | $ | 5,150,580,845 | (1) | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 46,248,366 | 524,909,170 | 40,365,062 | 437,833,773 | ||||||||||||
Shares redeemed | (268,458,877 | ) | (3,037,655,467 | ) | (308,270,771 | ) | (3,351,887,450 | ) | ||||||||
Net increase | 409,177,055 | $ | 4,640,252,849 | 204,180,948 | $ | 2,236,527,168 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,444,559,576 | 1,240,378,628 | ||||||||||||||
End of year | 1,853,736,631 | 1,444,559,576 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 71,909,873 | $ | 853,236,845 | 51,876,241 | $ | 590,572,111 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 5,080,103 | 60,019,140 | 5,554,417 | 62,777,146 | ||||||||||||
Shares redeemed | (62,144,601 | ) | (732,158,958 | ) | (73,078,935 | ) | (828,039,256 | ) | ||||||||
Net increase (decrease) | 14,845,375 | $ | 181,097,027 | (15,648,277 | ) | $ | (174,689,999 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 192,536,434 | 208,184,711 | ||||||||||||||
End of year | 207,381,809 | 192,536,434 | ||||||||||||||
Total net increase | $ | 4,821,349,876 | $ | 2,061,837,169 |
(1) Includes purchase in-kind transactions. See additional information contained in this Note.
Baird Short-Term Municipal Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 83,569,164 | $ | 854,504,880 | 25,801,037 | $ | 259,079,339 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 791,896 | 8,094,781 | 259,265 | 2,599,466 | ||||||||||||
Shares redeemed | (22,094,002 | ) | (225,537,364 | ) | (10,102,773 | ) | (101,396,304 | ) | ||||||||
Net increase | 62,267,058 | $ | 637,062,297 | 15,957,529 | $ | 160,282,501 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 27,961,548 | 12,004,019 | ||||||||||||||
End of year | 90,228,606 | 27,961,548 |
Page 187
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Short-Term Municipal Bond Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,140,204 | $ | 42,102,510 | 9,118,983 | $ | 91,442,373 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 126,459 | 1,288,643 | 111,800 | 1,118,910 | ||||||||||||
Shares redeemed | (1,894,173 | ) | (19,246,772 | ) | (3,341,533 | ) | (33,423,078 | ) | ||||||||
Net increase | 2,372,490 | $ | 24,144,381 | 5,889,250 | $ | 59,138,205 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 6,372,065 | 482,815 | ||||||||||||||
End of year | 8,744,555 | 6,372,065 | ||||||||||||||
Total net increase | $ | 661,206,678 | $ | 219,420,706 | ||||||||||||
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 37,429,313 | $ | 436,057,112 | 38,663,007 | $ | 438,949,320 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,967,518 | 22,948,488 | 1,901,388 | 21,546,361 | ||||||||||||
Shares redeemed | (21,039,444 | ) | (244,334,905 | ) | (42,485,313 | ) | (481,361,176 | ) | ||||||||
Net increase (decrease) | 18,357,387 | $ | 214,670,695 | (1,920,918 | ) | $ | (20,865,495 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 88,685,346 | 90,606,264 | ||||||||||||||
End of year | 107,042,733 | 88,685,346 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,754,039 | $ | 20,899,396 | 3,624,325 | $ | 42,022,042 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 141,316 | 1,686,818 | 163,656 | 1,899,608 | ||||||||||||
Shares redeemed | (4,334,171 | ) | (51,277,592 | ) | (3,379,869 | ) | (39,320,104 | ) | ||||||||
Net increase (decrease) | (2,438,816 | ) | $ | (28,691,378 | ) | 408,112 | $ | 4,601,546 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 9,503,482 | 9,095,370 | ||||||||||||||
End of year | 7,064,666 | 9,503,482 | ||||||||||||||
Total net increase (decrease) | $ | 185,979,317 | $ | (16,263,949 | ) |
Page 188
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Core Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 19,236,314 | $ | 202,455,794 | 25,471,835 | $ | 258,784,030 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 744,428 | 7,848,852 | 428,102 | 4,347,957 | ||||||||||||
Shares redeemed | (6,689,681 | ) | (70,036,885 | ) | (11,656,645 | ) | (118,274,571 | ) | ||||||||
Net increase | 13,291,061 | $ | 140,267,761 | 14,243,292 | $ | 144,857,416 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 36,992,418 | 22,749,126 | ||||||||||||||
End of year | 50,283,479 | 36,992,418 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 405,371 | $ | 4,259,636 | 159,205 | $ | 1,619,578 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 7,809 | 82,442 | 3,228 | 32,782 | ||||||||||||
Shares redeemed | (51,823 | ) | (543,537 | ) | (134,593 | ) | (1,369,678 | ) | ||||||||
Net increase | 361,357 | $ | 3,798,541 | 27,840 | $ | 282,682 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 194,109 | 166,269 | ||||||||||||||
End of year | 555,466 | 194,109 | ||||||||||||||
Total net increase | $ | 144,066,302 | $ | 145,140,098 | ||||||||||||
Baird Strategic Municipal Bond Fund | �� | |||||||||||||||
Period Ended | ||||||||||||||||
December 31, 2019^ | ||||||||||||||||
Institutional Class Shares | Shares | Amount | ||||||||||||||
Shares sold | 1,191,211 | $ | 11,913,000 | |||||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,971 | 19,800 | ||||||||||||||
Net increase | 1,193,182 | $ | 11,932,800 | |||||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | — | |||||||||||||||
End of period | 1,193,182 |
^ Inception was on close of business November 15, 2019.
Page 189
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Strategic Municipal Bond Fund (cont.)
Period Ended | ||||||||
December 31, 2019^ | ||||||||
Investor Class Shares | Shares | Amount | ||||||
Shares sold | 2,721 | $ | 27,204 | |||||
Shares issued to shareholders | ||||||||
in reinvestment of distributions | 4 | 42 | ||||||
Net increase | 2,725 | $ | 27,246 | |||||
Shares Outstanding: | ||||||||
Beginning of period | — | |||||||
End of period | 2,725 | |||||||
Total net increase | $ | 11,960,046 | ||||||
^ Inception was on close of business November 15, 2019. | ||||||||
Baird Municipal Bond Fund | ||||||||
Period Ended | ||||||||
December 31, 2019^ | ||||||||
Institutional Class Shares | Shares | Amount | ||||||
Shares sold | 730,100 | $ | 7,301,000 | |||||
Shares issued to shareholders | ||||||||
in reinvestment of distributions | 1,342 | 13,530 | ||||||
Net increase | 731,442 | $ | 7,314,530 | |||||
Shares Outstanding: | ||||||||
Beginning of period | — | |||||||
End of period | 731,442 | |||||||
Period Ended | ||||||||
December 31, 2019^ | ||||||||
Investor Class Shares | Shares | Amount | ||||||
Shares sold | 2,881 | $ | 28,812 | |||||
Shares issued to shareholders | ||||||||
in reinvestment of distributions | 5 | 46 | ||||||
Net increase | 2,886 | $ | 28,858 | |||||
Shares Outstanding: | ||||||||
Beginning of period | — | |||||||
End of period | 2,886 | |||||||
Total net increase | $ | 7,343,388 |
^ Inception was on close of business November 15, 2019.
Page 190
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
During the years ended December 31, 2019 and 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 sold were as follows:
Year Ended December 31, 2019
Value of Cash and | Shares | ||||||||
Fund | Effective Date | Securities Received | Sold | ||||||
Baird Short-Term Bond Fund – Institutional Class | April 17, 2019 | $ | 20,928,303 | 2,164,251 | |||||
Baird Short-Term Bond Fund – Institutional Class | May 30, 2019 | 4,117,024 | 424,435 | ||||||
Baird Short-Term Bond Fund – Institutional Class | September 27, 2019 | 27,827,277 | 2,848,237 | ||||||
Total | $ | 52,872,604 | |||||||
Baird Intermediate Bond Fund – Institutional Class | February 27, 2019 | $ | 31,286,219 | 2,878,217 | |||||
Baird Intermediate Bond Fund – Institutional Class | April 24, 2019 | 5,132,174 | 465,715 | ||||||
Baird Intermediate Bond Fund – Institutional Class | April 24, 2019 | 730,646 | 66,302 | ||||||
Baird Intermediate Bond Fund – Institutional Class | May 30, 2019 | 7,067,068 | 637,822 | ||||||
Total | $ | 44,216,107 | |||||||
Baird Aggregate Bond Fund – Institutional Class | May 30, 2019 | $ | 15,529,086 | 1,424,687 | |||||
Total | $ | 15,529,086 |
Year Ended December 31, 2018
Value of Cash and | Shares | ||||||||
Fund | Effective Date | Securities Received | Sold | ||||||
Baird Core Plus Bond Fund – Institutional Class | March 28, 2018 | $ | 21,780,947 | 1,987,313 | |||||
Baird Core Plus Bond Fund – Institutional Class | November 28, 2018 | 40,044,307 | 3,742,459 | ||||||
Total | $ | 61,825,254 |
4. | Investment Transactions and Income Tax Information |
During the period ended December 31, 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 | $ | 559,987,891 | $ | 160,059,719 | $ | 928,831,029 | $ | 591,898,075 | ||||||||
Baird Short-Term Bond Fund | 2,551,424,811 | 1,870,822,253 | 2,197,478,586 | 2,188,395,947 | ||||||||||||
Baird Intermediate Bond Fund | 1,242,177,812 | 620,436,560 | 633,493,792 | 390,461,605 | ||||||||||||
Baird Aggregate Bond Fund | 5,903,528,796 | 4,057,683,360 | 5,842,508,010 | 1,941,245,955 | ||||||||||||
Baird Core Plus Bond Fund | 4,592,944,136 | 3,041,911,122 | 5,356,553,661 | 2,377,399,957 | ||||||||||||
Baird Short-Term | ||||||||||||||||
Municipal Bond Fund | — | — | 782,428,854 | 188,108,850 | ||||||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 431,833,250 | 241,175,131 | ||||||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 319,944,114 | 161,266,072 | ||||||||||||
Baird Strategic Municipal Bond Fund(1) | — | — | 15,549,218 | 7,848,751 | ||||||||||||
Baird Municipal Bond Fund(1) | — | — | 10,329,164 | 5,101,758 |
(1) Period from close of business on November 15, 2019 (inception date) through December 31, 2019. |
Page 191
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
As of December 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of investments | $ | 1,774,235,109 | $ | 6,668,001,825 | $ | 4,312,427,013 | ||||||
Gross unrealized appreciation | 2,789,689 | 78,966,298 | 127,801,488 | |||||||||
Gross unrealized depreciation | (196,606 | ) | (5,647,740 | ) | (13,493,174 | ) | ||||||
Net unrealized appreciation | 2,593,083 | 73,318,558 | 114,308,314 | |||||||||
Undistributed ordinary income | 388,890 | 373,903 | 263,300 | |||||||||
Distributable earnings | 388,890 | 373,903 | 263,300 | |||||||||
Other accumulated losses | — | (7,371,164 | ) | (9,020,920 | ) | |||||||
Total distributable earnings | $ | 2,981,973 | $ | 66,321,297 | $ | 105,550,694 | ||||||
Baird | Baird | |||||||||||
Aggregate | Core Plus | |||||||||||
Bond Fund | Bond Fund | |||||||||||
Cost of investments | $ | 22,133,421,190 | $ | 23,047,205,717 | ||||||||
Gross unrealized appreciation | 844,751,596 | 924,654,658 | ||||||||||
Gross unrealized depreciation | (58,418,059 | ) | (64,101,716 | ) | ||||||||
Net unrealized appreciation | 786,333,537 | 860,552,942 | ||||||||||
Undistributed ordinary income | 1,905,684 | 1,591,732 | ||||||||||
Distributable earnings | 1,905,684 | 1,591,732 | ||||||||||
Other accumulated losses | — | (34,267,426 | ) | |||||||||
Total distributable earnings | $ | 788,239,221 | $ | 827,877,248 | ||||||||
Baird | Baird Quality | Baird Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of investments | $ | 985,584,899 | $ | 1,278,520,304 | $ | 520,085,365 | ||||||
Gross unrealized appreciation | 10,197,719 | 48,962,105 | 19,326,906 | |||||||||
Gross unrealized depreciation | (567,080 | ) | (772,454 | ) | (1,022,655 | ) | ||||||
Net unrealized appreciation | 9,630,639 | 48,189,651 | 18,304,251 | |||||||||
Undistributed ordinary income | — | — | 76,106 | |||||||||
Undistributed long-term capital gains | — | — | 73,047 | |||||||||
Undistributed tax-exempt income | 436 | — | — | |||||||||
Distributable earnings | 436 | — | 149,153 | |||||||||
Other accumulated losses | (391,592 | ) | (9,940,916 | ) | — | |||||||
Total distributable earnings | $ | 9,239,483 | $ | 38,248,735 | $ | 18,453,404 |
Page 192
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | ||||||||
Strategic | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
Cost of investments | $ | 11,425,098 | $ | 7,336,803 | ||||
Gross unrealized appreciation | 42,475 | 43,127 | ||||||
Gross unrealized depreciation | (3,340 | ) | (1,325 | ) | ||||
Net unrealized appreciation | 39,135 | 41,802 | ||||||
Undistributed ordinary income | 40,936 | 31,173 | ||||||
Undistributed tax-exempt income | 617 | 589 | ||||||
Distributable earnings | 41,553 | 31,762 | ||||||
Total distributable earnings | $ | 80,688 | $ | 73,564 |
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. Permanent differences are due to equalization, over distributions, and miscellaneous book adjustments. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2019, the following table shows the reclassifications made:
Total | ||||||||
Distributable | Paid-in | |||||||
Fund | Earnings | Capital | ||||||
Baird Short-Term Municipal Bond Fund | $ | 31,832 | $ | (31,832 | ) | |||
Baird Quality Intermediate Municipal Bond Fund | (863,684 | ) | 863,684 | |||||
Baird Core Intermediate Municipal Bond Fund | (127,147 | ) | 127,147 |
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. Distributions to shareholders are recorded on the ex-dividend date.
Page 193
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
The tax components of distributions paid during the periods shown below were as follows:
Year Ended December 31, 2019 | ||||||||||||||||
Ordinary | Long-Term | Tax-Exempt | ||||||||||||||
Fund | Income | Capital Gains | Income | Total | ||||||||||||
Baird Ultra Short Bond Fund | $ | 38,132,380 | $ | — | $ | — | $ | 38,132,380 | ||||||||
Baird Short-Term Bond Fund | 161,961,521 | — | — | 161,961,521 | ||||||||||||
Baird Intermediate Bond Fund | 103,648,901 | — | — | 103,648,901 | ||||||||||||
Baird Aggregate Bond Fund | 567,640,739 | — | — | 567,640,739 | ||||||||||||
Baird Core Plus Bond Fund | 627,523,865 | — | — | 627,523,865 | ||||||||||||
Baird Short-Term Municipal Bond Fund | 28,242 | — | 11,611,249 | 11,639,491 | ||||||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | 6,546 | — | 28,024,100 | 28,030,646 | ||||||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | 66,614 | 398,341 | 10,590,083 | 11,055,038 |
Period Ended December 31, 2019(1) | ||||||||||||
Ordinary | Tax-Exempt | |||||||||||
Fund | Income | Income | Total | |||||||||
Baird Strategic Municipal Bond Fund | $ | 314 | $ | 21,360 | $ | 21,674 | ||||||
Baird Municipal Bond Fund | 166 | 13,890 | 14,056 |
(1) For the period from close of business on November 15, 2019 (inception date) through December 31, 2019.
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 |
The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2019.
Page 194
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2019, 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 Short-Term Bond Fund | $ | — | $ | 7,371,164 | N/A | Indefinitely | |||||||
Baird Intermediate Bond Fund | — | 9,020,920 | N/A | Indefinitely | |||||||||
Baird Core Plus Bond Fund | 3,087,346 | 31,180,080 | Indefinitely | Indefinitely | |||||||||
Baird Short-Term Municipal Bond Fund | 112,297 | 279,295 | Indefinitely | Indefinitely | |||||||||
Baird Quality Intermediate Municipal Bond Fund | 4,639,427 | 5,301,489 | Indefinitely | Indefinitely |
At December 31, 2019, 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, 2021. The agreement may only be terminated prior to the end of this term by or with the consent of the Board.
For the year ended December 31, 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 | $2,176,510 |
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.
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 period ended December 31, 2019 for the Funds.
The Funds may use related party broker-dealers. For the year ended December 31, 2019, there were no brokerage commissions paid to broker-dealers affiliated with the Advisor. The Advisor or its affiliates may have lending, banking, brokerage, underwriting, or other business relationships with the issuers of the securities in which the Funds invest.
Page 195
Notes to the Financial Statements
December 31, 2019
6. | Line of Credit |
The Corporation maintains an uncommitted line of credit (“LOC”) with U.S. Bank to provide the sixteen Funds comprising the Corporation 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 the Funds comprising the Corporation, whichever is less. U.S. Bank charges interest at the U.S. Prime Rate less 2%, but in no event less than a net rate of 1% per annum. As of December 31, 2019, the Prime Rate was 4.75%. The LOC matures on May 25, 2020, unless renewed. The Corporation has authorized U.S. Bank to charge any of the accounts of the borrowing Fund subject to the agreement for any missed payments.
During the year, the Baird Core Intermediate Municipal Bond Fund borrowed from the LOC once in the amount of $2,553,000, incurring interest charges of $195 for the year ended December 31, 2019 based on the borrowing rate at the time of 2.75%. No other borrowings occurred during the year ended December 31, 2019 nor were any borrowings outstanding under the LOC as of December 31, 2019.
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 period ended December 31, 2019, the Funds incurred fees pursuant to the Plan as follows:
Baird Ultra Short Bond Fund | $ | 64,320 | ||
Baird Short-Term Bond Fund | 433,123 | |||
Baird Intermediate Bond Fund | 123,892 | |||
Baird Aggregate Bond Fund | 1,824,716 | |||
Baird Core Plus Bond Fund | 5,684,210 | |||
Baird Short-Term Municipal Bond Fund | 193,572 | |||
Baird Quality Intermediate Municipal Bond Fund | 220,324 | |||
Baird Core Intermediate Municipal Bond Fund | 9,770 | |||
Baird Strategic Municipal Bond Fund(1) | 8 | |||
Baird Municipal Bond Fund(1) | 9 |
(1) For the period from close of business on November 15, 2019 (inception date) through December 31, 2019. |
8. | Subsequent Events |
In preparing these financial statements, management has evaluated events after December 31, 2019. There were no subsequent events since December 31, 2019, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 196
Report of Independent Registered Public
Accounting Firm
To the Shareholders and Board of Directors
of Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, Baird Strategic Municipal Bond Fund, and Baird Municipal Bond Fund (the “Funds”), each a series of Baird Funds, Inc., as of December 31, 2019, the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period November 15, 2019 (commencement of operations) through December 31, 2019, for Baird Strategic Municipal Bond Fund and Baird Municipal Bond Fund, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the three years in the period then ended for the remainder of the Funds (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
/s/COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
February 28, 2020
Page 197
Directors & Officers
As of December 31, 2019 (Unaudited)
Independent Directors
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 77
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired.
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Thompson IM Funds, Inc., a mutual fund complex (3 portfolios) (1987-2018).
Darren R. Jackson
Independent Director
Term of Office: Indefinite
Length of Time Served: Since November 2018
Age: 55
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; President, CEO and Director, Advance Auto Parts, Inc. (2008-2016).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Fastenal Company, a tool and supply distributor, since 2012; Director of Cree, Inc., a lighting manufacturer, since 2016.
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 80
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman Emeritus, Briggs & Stratton Corporation, a manufacturing company, since 2003.
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 1976.
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 66
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chief Investment Officer, Building Trades United Pension Trust Fund (July 1989-February 2017).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio) (1995-2018).
Page 198
Directors & Officers
As of December 31, 2019 (Unaudited) (continued)
Independent Director
Cory L. Nettles
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 49
c/o Generation Growth Capital, Inc.
411 East Wisconsin Avenue, Suite 1710
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, Generation Growth Capital, Inc., a private equity fund, since March 2007; Of Counsel, Quarles & Brady LLP, a law firm (January 2005-December 2016).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 2007; Director of Associated Banc-Corp, since 2013.
Officers
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 63
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Chief Investment Officer, Baird Advisors, a department of the Advisor, since March 2000.
Charles B. Groeschell
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since January 2010
Age: 66
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Senior Portfolio Manager, Baird Advisors, a department of the Advisor, since February 2000.
Angela M. Palmer
Chief Compliance Officer and
AML Compliance Officer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2014
Age: 47
777 East Wisconsin Ave
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Chief Compliance Officer, the Advisor, since March 2014; Anti-Money Laundering Compliance Officer since May 2015; Director, the Advisor, since July 2014.
Heidi L. Schneider
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2017
Age: 48
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, since December 2013.
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 56
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Associate General Counsel, the Advisor, since January 2013; Managing Director, the Advisor, since January 2009.
Page 199
Directors & Officers
As of December 31, 2019 (Unaudited) (Continued)
Officers (Cont.)
Peter J. Hammond
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2012
Age: 56
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Managing Director, the Advisor, since January 2016; Senior Vice President, the Advisor (March 2012-December 2015).
Dustin J. Hutter
Assistant Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 43
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Business Analyst, the Advisor, since September 2017; Director of Finance Services, the Advisor (August 2015-August 2017); Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015).
Andrew D. Ketter
Assistant Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 45
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Associate General Counsel, the Advisor, since September 2010; Director, the Advisor, since July 2014.
Additional information about the Funds’ Directors is available in the Statement of Additional Information which may be obtained without charge, upon request, by calling 1-866-44BAIRD, or at www.bairdfunds.com.
Page 200
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited)
The Board of Directors (the “Board” or the “Directors”) of Baird Funds, Inc. (the “Corporation”), comprised of directors who are not “interested persons” of the Corporation within the meaning of the Investment Company Act of 1940 (the “Independent Directors”), met on August 12 and August 21, 2019 to consider the annual renewal of the investment advisory agreement between Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) and the Corporation on behalf of the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund (the “Existing Bond Funds”). At the meetings held on August 12 and August 21, 2019, the Board also considered the approval of the investment advisory agreement between the Advisor and the Corporation on behalf of the Baird Municipal Bond Fund and Baird Strategic Municipal Bond Fund (the “New Municipal Bond Funds”). The Board approved the investment advisory agreement for the New Municipal Bond Funds and approved the continuation of the investment advisory agreement for the Existing Bond Funds through a process that concluded at the August 21, 2019 meeting. In connection with its consideration of the investment advisory agreement, the Board reviewed and discussed various information that had been provided prior to the meeting, including the investment advisory agreement, a memorandum provided by legal counsel summarizing the guidelines relevant to the Board’s consideration of the approval or renewal of the investment advisory agreement, a memorandum and other information provided in response to a request from the Board from the Advisor (including the Advisor’s Form ADV Part 1A, brochures and brochure supplements and annual report and audited financial statements for the Advisor’s parent company), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2019, management fees and expense ratios, composite performance of similar accounts managed by the Advisor, trading and commission information and other pertinent information. The Board also considered the Advisor’s response to the 15(c) request from the Board with respect to the New Municipal Bond Funds.
The Board considered the Advisor’s 15(c) response and discussed various questions and information with representatives of the Advisor at the August 12, 2019 special meeting. At the August 21 meeting, the Board met in executive session with the Funds’ legal counsel to consider the investment advisory agreement. The Board also took into account information reviewed periodically throughout the year that was relevant to its consideration of the investment advisory agreement, including performance, management fee and other expense information and discussions with the Funds’ portfolio managers. Based on its evaluation of this information, the Board, which is comprised solely of Independent Directors, approved the investment advisory agreement for the New Municipal Bond Funds for an initial two-year period and approved the continuation of the investment advisory agreement for the Existing Bond Funds for an additional one-year period.
In considering the investment advisory agreement and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory agreement for each Fund, the Board did not identify any single factor as determinative but considered all factors together.
Approval of Investment Advisory Agreement – Existing Bond Funds
Nature, Extent and Quality of Services Provided to the Funds
The Board considered the nature, extent and quality of the services provided by the Advisor to the Funds. The Board noted the Advisor’s overall reputation and depth of the Advisor’s personnel, resources and commitment to the Funds and the experience of the portfolio management teams employed to manage the Funds’ investments. The Board considered the credentials and continuity of the portfolio management teams for the Funds and noted that the Advisor continues to add resources in support of the Funds, including investments in personnel, technology, research, trading, risk controls and systems.
The Board considered the Advisor’s disciplined investment decision making process used for the Funds. The Board also considered other services that the Advisor provides the Funds in its capacity as their investment advisor, such as making some of its key personnel available to serve as officers of the Funds, selecting broker-dealers for execution of portfolio transactions, ensuring adherence to the Funds’ investment policies and restrictions, proxy voting, compliance, risk management services, administering the Funds’ liquidity risk management program, valuation
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Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited) (Continued)
support, providing support services to the Board and the committees of the Board and overseeing the Funds’ other service providers. The Board noted the growth in net assets in the Funds and the Advisor’s ability to effectively manage the Funds’ cash flows while maintaining strong and competitive performance. The Board also considered the strength of the Advisor’s compliance department, including the credentials of the Funds’ chief compliance officer, as well as the Advisor’s risk management system. The Board concluded that the nature, extent and quality of the services provided by the Advisor to the Funds were appropriate and that each Fund was likely to continue to benefit from services provided under the investment advisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Funds, the Board reviewed information as of June 30, 2019 regarding the performance of each class of the Fund for applicable one-year, three-year, five-year, ten-year and since-inception periods in comparison to its benchmark index and its peer group as determined by Lipper. The Board also considered composite investment performance of Baird Advisors with respect to accounts managed by the Advisor that are comparable to the Funds.
The Board noted that the Funds have continued to perform very strongly on both an absolute and relative basis for all applicable periods, and that the performance for all of the Funds, other than the Quality Intermediate Municipal Bond Fund, has been in the top third of the respective Lipper peer group for the since-inception period.
The Board noted that the returns of the Institutional Class of the Ultra Short Bond Fund, the Short-Term Municipal Bond Fund, the Aggregate Bond Fund, the Core Plus Bond Fund and the Intermediate Bond Fund have exceeded the returns of the benchmark index and the Lipper peer group average over all applicable time periods. The returns of the Institutional Class of the Short-Term Bond Fund exceeded the benchmark index for all time periods and the Lipper peer group average over most time periods. The returns of the Institutional Class of the Core Intermediate Municipal Bond Fund exceeded the benchmark index for the three-year and since-inception periods and the Lipper peer group average over all time periods. While the Quality Intermediate Municipal Bond Fund has generally trailed its benchmark index and Lipper peer group average, the Board considered the Advisor’s commentary regarding the reasons for the Fund’s underperformance.
The Board also considered the Advisor’s quarterly portfolio commentaries and reviews explaining the Funds’ performance and the consistent investment strategies the Advisor employs for the Funds. After considering all of the information, the Board concluded that, although past performance is not a guarantee of future results, each Fund and its shareholders were likely to benefit from the continued management by the Advisor.
Fee Information, Costs of Services Provided and Profits Realized by the Advisor
The Board examined the fee and expense information for each of the Funds, including a comparison of such information to comparable mutual funds as determined by Morningstar and comparative information for certain peer funds identified by the Advisor.
The Board noted that each Fund’s advisory fee and net expense ratio for the Institutional Class shares are significantly lower than the average advisory fee and expense ratios for all mutual funds in its Morningstar category, and each Fund’s total expense ratio (for both its Investor Class and Institutional Class shares) was lower than the Morningstar category average. With respect to the Ultra Short Bond Fund, the Board considered the Advisor’s contractual agreement to waive management fees of 0.15% until April 30, 2020. In addition, the Board considered that under the Administration Agreement, each of the Funds pays administrative fees to the Advisor at an annual rate of 0.05% of each Fund’s average daily net assets, and the Advisor is responsible for paying each Fund’s custody, transfer agency, accounting, printing, auditing, legal and director fees and other ordinary expenses (except for advisory and 12b-1 fees and other excluded costs), which has the effect of capping the Funds’ expense ratios at 0.55% and 0.30% for Investor and Institutional Class Shares, respectively.
The Board also reviewed and considered investment management fees charged by the Advisor to other investment advisory clients and found that the fee paid by the Funds was less than the fee that the Advisor charges on the first $100 million of a separately managed account. The Board noted that the Advisor maintains subadvisory arrangements with other unaffiliated fixed income funds and a collective investment trust but did not consider the subadvisory fee to be a material factor given the difference in services provided by the Advisor.
Page 202
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited) (Continued)
The Board considered the fees realized, and the costs incurred, by the Advisor in providing investment management and administrative services to the Funds and a profitability analysis with respect to each Fund. The Board noted the expense structure of the Funds whereby shareholders are charged only a management fee and an administration fee in addition to the Rule 12b-1 fee charged to the Investor Class, and the Advisor assumes almost all of the other expenses on behalf of each Fund.
The Board noted the extent of the significant additional services provided to the Funds that the Advisor did not provide in the other advisory relationships. Those services included operational support, valuation services, administration of the Funds’ liquidity risk management program, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program including employment of the Funds’ Chief Compliance Officer and other compliance staff, and various other services. In addition, the Board noted that the provision of investment advisory services to the Funds requires more effort than it does for separately managed accounts due to daily sales and redemption activity and additional regulatory and compliance requirements. The Board noted that the Advisor’s profitability information does not reflect certain internal resources provided by the Advisor to the Funds, such as IT, compliance, risk management, legal and finance support.
The Board reviewed and considered the general financial condition of the Advisor and its parent company and determined it to be sound. The Board also noted that all marketing and distribution fees other than the Rule 12b-1 fee payable by the Investor Class shares of the Funds were paid by the Advisor from its reasonable profits. In light of all of the information that it received and considered, the Board concluded that the management fee and total expense ratio of each Fund were reasonable, and the profits realized by the Advisor from its relationship with the Funds were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
The Board reviewed the extent to which economies of scale may be realized as the Funds increase in size. The Board noted that the Funds’ advisory fee structure does not contain any breakpoint reductions as the Funds grow in size but took into account management’s view that each Fund shares in economies of scale through the low advisory fee, which has been in place since the Funds were organized. The advisory fee was designed to be comparable to the second or third breakpoint advisory fee levels paid by other comparable mutual funds. In addition, the Board noted that the Advisor bears almost all of the Funds’ expenses other than management, Rule 12b-1 and administration fees. The Board also considered the Advisor’s analysis of Morningstar data demonstrating that the Funds have extremely low management fees and expense ratios as compared to similar actively managed funds. The Directors considered the Advisor’s commitment to continue to evaluate breakpoints with respect to the Funds. The Directors concluded that the current fee structure of each Fund was reasonable.
Benefits Derived from the Relationship with the Funds
The Board considered other benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). Those benefits include fees received by the Advisor for administrative services to the Funds and Rule 12b-1 fees received by the Distributor and its representatives. The Board noted that the Advisor’s asset management and other businesses may experience indirect benefits from the Advisor’s association with the Funds. The Board concluded that the other benefits realized by the Advisor from its relationship with the Funds were appropriate.
Based on their evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the Directors concluded that the continuation of the investment advisory agreement was in the best interests of each Existing Bond Fund and its shareholders.
Approval of Investment Advisory Agreement – New Municipal Bond Funds
Nature, Extent and Quality of Services to be Provided to the Funds
The Board considered the nature, extent and quality of the services to be provided by the Advisor to the New Municipal Bond Funds. The Board discussed the experience and resources of Baird Advisors, as well as the depth and qualifications of the municipal bond investment team. The Board noted that they had met the newest member
Page 203
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited) (Continued)
of the Funds’ proposed portfolio management team, Lyle J. Fitterer, at the August 12 special meeting, and that Mr. Fitterer has over 30 years of investment experience managing fixed income portfolios, with a primary focus on the municipal market. Mr. Fitterer would manage the Funds with three other members of the Advisor’s municipal fixed income team, including Duane A. McAllister, who has over 32 years of experience managing fixed income portfolios, with a major portion of his time allocated to municipal portfolio management and credit research.
The Board also considered their cumulative experience with the Advisor in its management of the municipal fixed income Funds, of which the New Municipal Bond Funds would be an extension, as well as Baird Advisors in its capacity as investment adviser to the bond Funds. The Board further noted that the Advisor, in its capacity as a registered broker-dealer, was proposed to serve as distributor and principal underwriter of shares of the New Municipal Bond Funds and would assist in marketing the Funds. The Board also considered other services the Advisor would provide the New Municipal Bond Funds, such as providing compliance support and overseeing the Funds’ other service providers. The Board concluded that the nature, extent and quality of the services to be provided by the Advisor to the Funds were appropriate and that the New Municipal Bond Funds were likely to benefit from services provided under the investment advisory agreement.
Investment Performance
Because the New Municipal Bond Funds had not yet commenced operations, the Board did not consider any performance information with respect to the Funds. The Board did consider the performance of similar products managed by one of the Funds’ proposed portfolio managers on a team basis at another fund company, as well as the performance of the other Municipal Bond Funds managed by the Advisor, as discussed above.
Expense Information
The Board examined the proposed fee and expense information for the New Municipal Bond Funds, including a comparison of such information to other mutual funds in the applicable Morningstar category. The Board noted that each Fund’s proposed advisory fee was well below the Morningstar category average and that each Fund’s total expense ratio for the Institutional Class and Investor Class was also well below the category average.
Costs of Services Provided and Profitability
The Board considered information about the financial condition of the Advisor and its parent company, including the 2018 annual report and financial statements, and determined that the Advisor’s financial condition was sound. The Board did not consider any specific information regarding the costs of services to be provided or the profits the Advisor might realize because the New Municipal Bond Funds had not yet commenced operations.
In light of all of the information that it received and considered, the Board concluded that the proposed advisory fee and total expense ratio of each Fund were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
Because the New Municipal Bond Funds had not yet commenced operations, the Board did not consider whether any alternative fee structures, such as breakpoint fees, would be appropriate to reflect any economies of scale that may result from increases in a Fund’s assets.
Benefits to be Derived from the Relationship with the Funds
The Board considered other potential benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). The Board noted that the Advisor’s asset management and other businesses may experience indirect benefits from the Advisor’s association with the Funds. The Board concluded that other benefits that may be realized by the Advisor from its relationship with the New Municipal Bond Funds were appropriate.
Based on their evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the Directors concluded that the approval of the investment advisory agreement was in the best interests of each New Municipal Bond Fund and its shareholders.
Page 204
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 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. The Funds’ Form N-PORT reports may also be obtained by calling toll-free 1-866-44BAIRD.
Tax Information
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:
Baird Ultra Short Bond Fund | 1.26% |
Baird Aggregate Bond Fund | 0.18% |
Baird Core Intermediate Municipal Bond Fund | 41.98% |
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Baird Funds, Inc. Privacy Policy
FACTS | WHAT DOES BAIRD FUNDS DO WITH YOUR PERSONAL INFORMATION? | ||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: | ||
• Social Security number | |||
• Account balances, transaction history and assets | |||
• Checking account information and wire transfer instructions | |||
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Baird Funds, Inc. chooses to share; and whether you can limit this sharing. |
Does Baird | Can you limit | |
Reasons we can share your personal information | Funds, Inc. share? | this sharing? |
For our everyday business purposes— | Yes | No |
such as to process your transactions, maintain | ||
your account(s), respond to court orders and | ||
legal investigations, or report to credit bureaus | ||
For our marketing purposes— | Yes | No |
to offer our products and services to you | ||
For joint marketing with other financial companies | No | We do not share |
For our affiliates’ everyday business purposes— | Yes | No |
information about your transactions and experiences | ||
For our affiliates’ everyday business purposes— | No | We do not share |
information about your creditworthiness | ||
For our affiliates to market to you | No | We do not share |
For nonaffiliates to market to you | No | We do not share |
Questions? | Call (toll free) 1-866-442-2473, Email prospectus@bairdfunds.com or go to www.bairdfunds.com |
Page A-1
Baird Funds, Inc. Privacy Policy
Who we are | |||
Who is providing | Baird Funds, Inc. | ||
this notice? | |||
What we do | |||
How does Baird | To protect your personal information from unauthorized access and | ||
Funds, Inc. protect my | use, we use security measures that comply with federal law. These | ||
personal information? | measures include computer safeguards and secured files and buildings. | ||
How does Baird | We collect your personal information, for example, when you | ||
Funds, Inc. collect | • open an account or give us your contact information | ||
my personal | • make a wire transfer or provide account information | ||
information? | • make deposits or withdrawals from your account | ||
We also collect your personal information from other companies. | |||
Why can’t I limit | Federal law gives you the right to limit only | ||
all sharing? | • sharing for affiliates’ everyday business purposes—information about your creditworthiness | ||
• affiliates from using your information to market to you | |||
• sharing for nonaffiliates to market to you | |||
State laws and individual companies may give you additional rights to limit sharing. | |||
Definitions | |||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. | ||
• Robert W. Baird & Co Incorporated (the investment adviser and distributor to the Baird Funds) and its affiliates may share information among each other. | |||
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. | ||
• Baird Funds, Inc. does not share with nonaffiliates so they can market to you. | |||
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. We do not have any joint marketing partners. | ||
• Baird Funds, Inc. does not have any joint marketing partners. |
Page A-2
(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
Annual Report –
Baird Funds
December 31, 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
Letter to Shareholders | 1 | |
Baird MidCap Fund | 2 | |
Baird Small/Mid Cap Growth Fund | 12 | |
Baird Small/Mid Cap Value Fund | 22 | |
Baird SmallCap Value Fund | 30 | |
Chautauqua International Growth Fund | 39 | |
Chautauqua Global Growth Fund | 48 | |
Additional Information on Fund Expenses | 58 | |
Statements of Assets and Liabilities | 60 | |
Statements of Operations | 63 | |
Statements of Changes in Net Assets | 66 | |
Financial Highlights | 72 | |
Notes to the Financial Statements | 84 | |
Report of Independent Registered Public Accounting Firm | 96 | |
Directors and Officers | 97 | |
Disclosure Regarding the Board of Directors’ Approval of the Investment | ||
Advisory Agreement for Baird Equity Funds | 100 | |
Additional Information | 103 | |
Privacy Notice | A-1 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird Funds
1-866-442-2473
www.bairdfunds.com
February 28, 2020
Dear Shareholder,
2019 saw strong equity returns despite several prominent worries, including sizable volatility in very late 2018, global economic slowing, geopolitical uncertainty, an inverted yield curve, and trade friction. Nonetheless, equity markets benefited from the Fed’s pivot towards lowering interest rates three times beginning in July. Later in the year, the narrative shifted to more stable global growth given significant stimulus implemented world-wide and possible resolution of trade conflicts. Certainly in the second half of 2019, investors appeared less concerned with many of the downside risks. The S&P 500 Index was up nearly 29% from the end of 2018, with a few dips occurring in June, August and again in October. Starting the year at 2.69%, the yield on the 10-year U.S. Treasury steadily declined through early September, bottoming at 1.47%, and then rose to 1.92% at year end.
Amidst this backdrop, the Baird Equity Funds experienced solid risk-adjusted performance in 2019, with four of the six Funds adding value over benchmark returns. Further, and perhaps more importantly, our Equity Funds’ long-term track records remain very competitive and our teams and portfolios are well positioned as 2020.
Our commitment to our long-term principles to generate competitive risk-controlled returns over full market cycles; support and strengthen our long-tenured, seasoned investment group and team-based, collaborative culture; deliver outstanding client service; and provide products that are competitively priced, continues to generate strong alignment with the interests of our investors and helped drive assets under management in the Baird Equity Funds to just over $2.5 billion at year end.
We greatly value the trust you have placed in us and are privileged to provide you with equity investment management services. We can assure you that we never lose sight of the fact that our long-term success rests on the trust you have placed in us to be effective stewards of your assets.
Thank you for your continued investment in the Baird Equity Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
Baird MidCap Fund
December 31, 2019 (Unaudited)
Portfolio Managers’ Commentary
For the year ended December 31, 2019, the Baird MidCap Fund Institutional Class posted a total return of 36.31% as compared to 35.47% for the Russell Midcap® Growth Index, the Fund’s benchmark index.
While concerns built mid-year about the sustainability of the long-running economic expansion, particularly as the yield curve inverted, domestic equities responded favorably to the Federal Reserve (the “Fed”) lowering rates and optimism on a potential U.S. trade agreement with China. The support from the Fed and other central banks provided the stimulus necessary to lift optimism, leading to signs that the third economic slowdown since the Great Recession would end. The result - record high stock prices as the decade closed.
The Fund’s positioning in 2019 rested on an expectation for continued economic growth, but the underlying philosophy of investing in a mix of diversified, high-quality growth businesses served us well during periods of volatility that flared up during the year when the sustainability of the recovery came into question. The Fund produced its highest annual return since 2009 and we were pleased with the outperformance compared to the benchmark, particularly given favorable results in most benchmark sectors.
The Fund’s technology holdings played a key role in driving relative outperformance. Notably, several companies in the computer services software industry group, the Fund’s largest, delivered strong growth, which translated into favorable price returns in excess of the benchmark. In addition, strong performance from a Fund holding in the computer technology industry provided an offset to strength in benchmark names not owned in the Fund, notably in the semiconductor and related industries.
As a partial counter to strength in the technology sector, the Fund’s consumer discretionary holdings trailed benchmark performance. Weakness was limited to a few holdings but was enough to create a net performance drag. While economic concerns negatively impacted the sales growth of an auto parts supplier, two other holdings retreated under expense pressure, categorized as necessary to drive future growth. One holding in the education services industry declined on concern over potential risk to its business model as the next election approaches. Several industries, including both specialty and general retail, home building, and cable television services, performed well as the backdrop for consumer spending remained positive due to continued job and wage growth amid low unemployment.
Returns from the Fund’s holdings in the producer durables and materials sectors exceeded benchmark performance. It is worth grouping these two sectors given that characteristics influencing performance were similar. Both sectors performed best in the first quarter as optimism over the Fed’s shift toward an easing posture lifted more cyclical business models. As concern grew about the trajectory of U.S. growth mid-year, returns in these sectors moderated as well. Importantly, holdings with exposure to areas exhibiting good spending activity performed well and these included testing and measurement for the 5G network buildout, data and analytics solutions, factory automation, and uniform rental services. In addition, one holding operating in the power transmission equipment industry appreciated meaningfully as it recovered from operating challenges experienced last year.
The financial services sector contributed positively to relative performance. The payments and processing businesses stood out as they collectively delivered some of the strongest price appreciation in the Fund. Also, exposure to a company providing a leading electronic bond trading platform proved beneficial as higher volatility and market share gains led to increased revenue and stock price appreciation. Credit and market-sensitive financials did not keep pace, but the Fund’s weight in these areas was relatively limited.
The healthcare sector trailed only technology in its contribution to Fund outperformance. Good stock picking within the healthcare services industry including several companies in the medical and dental instrument segment led to outperformance. Of note, two holdings providing technologies used in the emerging treatment systems for diabetes performed very well.
Page 2
Baird MidCap Fund
December 31, 2019 (Unaudited)
Two sectors, energy and consumer staples, have a single holding owing to their small benchmark weights. We view each position as earning its place due to a favorable fundamental growth story, with the added benefit of providing diversification to the overall portfolio. The net effect of the two was positive for relative Fund performance.
While the Fund’s cash position is not used tactically, in such a strong market advance even a modest amount held to accommodate opportunistic additions to or subtractions from individual holdings created a drag on relative performance in 2019.
The long-standing investment process underlying the Fund remains focused on identifying high-quality companies that deliver attractive returns and above average growth relative to peers. Seeking to control risk at the sector and position level is also a priority of our process, with the goal of providing lower volatility of returns for the Fund compared to its benchmark index.
Charles F. Severson, CFA
Kenneth M. Hemauer, CFA
Portfolio Managers
Page 3
Baird MidCap Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | ||
CDW Corp. | 2.9% | ||
Dollar General Corp. | 2.9% | ||
Fiserv, Inc. | 2.8% | ||
Tyler Technologies, Inc. | 2.7% | ||
Burlington Stores, Inc. | 2.6% | ||
Cable One, Inc. | 2.6% | ||
O'Reilly Automotive, Inc. | 2.4% | ||
EPAM Systems, Inc. | 2.4% | ||
Monolithic Power Systems, Inc. | 2.4% | ||
Synopsys, Inc. | 2.4% | ||
Net Assets: | $1,974,162,413 | ||
Portfolio Turnover Rate: | 43% | ||
Number of Equity Holdings: | 59 | ||
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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 4
Baird MidCap Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/09, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/09, assuming reinvestment of all distributions.
Page 5
Baird MidCap Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended December 31, 2019 | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 36.31% | 11.58% | 14.14% | 8.21% |
Investor Class Shares | 35.94% | 11.29% | 13.87% | 7.96% |
Russell Midcap® Growth Index(2) | 35.47% | 11.60% | 14.24% | 7.67% |
(1) | For the period from December 29, 2000 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on growth-style stocks and therefore the performance of the Fund will typically be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund invests a substantial portion of its assets in the stocks of mid-capitalization companies. Mid-capitalization companies often are more volatile and face greater risks than larger, more established companies.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 6
Baird MidCap Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
BWX Technologies, Inc. | 446,612 | $ | 27,725,673 | 1.4 | % | |||||||
Mercury Systems, Inc.(1) | 334,139 | 23,092,346 | 1.2 | % | ||||||||
50,818,019 | 2.6 | % | ||||||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 492,603 | 23,989,766 | 1.2 | % | ||||||||
Pinnacle Financial Partners, Inc. | 423,100 | 27,078,400 | 1.4 | % | ||||||||
51,068,166 | 2.6 | % | ||||||||||
Biotechnology | ||||||||||||
Alexion Pharmaceuticals, Inc.(1) | 182,042 | 19,687,842 | 1.0 | % | ||||||||
Building Products | ||||||||||||
AO Smith Corp. | 596,208 | 28,403,349 | 1.4 | % | ||||||||
Trex Co, Inc.(1) | 236,729 | 21,277,203 | 1.1 | % | ||||||||
49,680,552 | 2.5 | % | ||||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 55,663 | 21,102,400 | 1.1 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Cintas Corporation | 171,172 | 46,058,962 | 2.3 | % | ||||||||
Communications Equipment | ||||||||||||
Arista Networks, Inc.(1) | 124,357 | 25,294,214 | 1.3 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 171,735 | 19,856,001 | 1.0 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 204,231 | 43,374,580 | 2.2 | % | ||||||||
Diversified Consumer Services | ||||||||||||
Grand Canyon Education, Inc.(1) | 277,994 | 26,629,045 | 1.3 | % | ||||||||
Electrical Equipment | ||||||||||||
Rockwell Automation, Inc. | 164,334 | 33,305,572 | 1.7 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 406,533 | 58,069,174 | 2.9 | % | ||||||||
Dolby Laboratories, Inc. – Class A | 443,216 | 30,493,261 | 1.5 | % | ||||||||
Keysight Technologies, Inc.(1) | 395,272 | 40,566,765 | 2.1 | % | ||||||||
Littelfuse, Inc. | 107,820 | 20,625,966 | 1.1 | % | ||||||||
Trimble Navigation Ltd.(1) | 521,642 | 21,747,255 | 1.1 | % | ||||||||
171,502,421 | 8.7 | % | ||||||||||
Entertainment | ||||||||||||
Take-Two Interactive Software, Inc.(1) | 343,872 | 42,100,249 | 2.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 7
Baird MidCap Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 527,270 | $ | 45,361,038 | 2.3 | % | |||||||
Health Care Equipment & Supplies | ||||||||||||
Align Technology, Inc.(1) | 152,832 | 42,646,241 | 2.2 | % | ||||||||
Cooper Cos., Inc. | 133,849 | 43,004,345 | 2.2 | % | ||||||||
DexCom, Inc.(1) | 130,390 | 28,521,509 | 1.4 | % | ||||||||
IDEXX Laboratories, Inc.(1) | 123,955 | 32,368,369 | 1.6 | % | ||||||||
Insulet Corp.(1) | 195,867 | 33,532,431 | 1.7 | % | ||||||||
180,072,895 | 9.1 | % | ||||||||||
Health Care Technology | ||||||||||||
Veeva Systems, Inc.(1) | 179,962 | 25,313,455 | 1.3 | % | ||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Vail Resorts, Inc. | 99,502 | 23,863,565 | 1.2 | % | ||||||||
Household Durables | ||||||||||||
DR Horton, Inc. | 444,743 | 23,460,193 | 1.2 | % | ||||||||
Insurance | ||||||||||||
Arthur J Gallagher & Co. | 380,390 | 36,224,540 | 1.8 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc.(1) | 601,274 | 26,636,438 | 1.3 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 284,509 | 35,148,242 | 1.8 | % | ||||||||
EPAM Systems, Inc.(1) | 226,916 | 48,142,499 | 2.4 | % | ||||||||
Euronet Worldwide, Inc.(1) | 295,931 | 46,626,888 | 2.4 | % | ||||||||
Fiserv, Inc.(1) | 485,764 | 56,168,891 | 2.8 | % | ||||||||
Gartner, Inc.(1) | 132,642 | 20,440,132 | 1.0 | % | ||||||||
Global Payments, Inc. | 243,727 | 44,494,801 | 2.3 | % | ||||||||
251,021,453 | 12.7 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 268,261 | 46,202,592 | 2.3 | % | ||||||||
Machinery | ||||||||||||
Gardner Denver Holdings, Inc.(1) | 673,911 | 24,719,056 | 1.2 | % | ||||||||
Graco, Inc. | 628,622 | 32,688,344 | 1.7 | % | ||||||||
IDEX Corp. | 217,987 | 37,493,764 | 1.9 | % | ||||||||
Xylem, Inc. | 368,246 | 29,014,102 | 1.5 | % | ||||||||
123,915,266 | 6.3 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 34,063 | 50,701,754 | 2.6 | % | ||||||||
Multiline Retail | ||||||||||||
Dollar General Corp. | 370,496 | 57,789,966 | 2.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 8
Baird MidCap Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Diamondback Energy, Inc. | 207,124 | $ | 19,233,535 | 1.0 | % | |||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 160,704 | 23,989,893 | 1.2 | % | ||||||||
Professional Services | ||||||||||||
TransUnion | 540,301 | 46,255,168 | 2.3 | % | ||||||||
Verisk Analytics, Inc. | 272,523 | 40,698,585 | 2.1 | % | ||||||||
86,953,753 | 4.4 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Microchip Technology, Inc. | 391,330 | 40,980,078 | 2.1 | % | ||||||||
Monolithic Power Systems, Inc. | 264,077 | 47,010,987 | 2.4 | % | ||||||||
87,991,065 | 4.5 | % | ||||||||||
Software | ||||||||||||
Alteryx, Inc.(1) | 197,957 | 19,809,557 | 1.0 | % | ||||||||
RealPage, Inc.(1) | 544,725 | 29,278,969 | 1.5 | % | ||||||||
Synopsys, Inc.(1) | 336,311 | 46,814,491 | 2.4 | % | ||||||||
Tyler Technologies, Inc.(1) | 178,411 | 53,526,868 | 2.7 | % | ||||||||
149,429,885 | 7.6 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 225,124 | 51,335,026 | 2.6 | % | ||||||||
Five Below, Inc.(1) | 315,719 | 40,367,831 | 2.1 | % | ||||||||
O’Reilly Automotive, Inc.(1) | 109,958 | 48,190,193 | 2.4 | % | ||||||||
139,893,050 | 7.1 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Co. | 671,640 | 24,817,098 | 1.3 | % | ||||||||
Watsco, Inc. | 106,741 | 19,229,391 | 1.0 | % | ||||||||
44,046,489 | 2.3 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $1,349,749,735) | 2,042,578,848 | 103.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 9
Baird MidCap Fund
Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 1.53%(3) | 68,514,332 | $ | 68,514,332 | 3.4 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $68,514,332) | 68,514,332 | 3.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,418,264,067) | 2,111,093,180 | 106.9 | % | |||||||||
Liabilities in Excess of Other Assets | (136,930,767 | ) | (6.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,974,162,413 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | 7-Day Yield. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 10
Baird MidCap Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 2,042,578,848 | $ | — | $ | — | $ | 2,042,578,848 | ||||||||
Total Equity | 2,042,578,848 | — | — | 2,042,578,848 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 68,514,332 | — | — | 68,514,332 | ||||||||||||
Total Short-Term Investment | 68,514,332 | — | — | 68,514,332 | ||||||||||||
Total Investments* | $ | 2,111,093,180 | $ | — | $ | — | $ | 2,111,093,180 |
* | 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 11
Baird Small/Mid Cap Growth Fund
December 31, 2019 (Unaudited)
Portfolio Manager's Commentary
For the year ended December 31, 2019, the Baird Small/Mid Cap Growth Fund Institutional Class posted a total return of 36.98% as compared to a 32.65% return for the Russell 2500® Growth Index, the Fund’s benchmark index.
While concerns built mid-year about the sustainability of the long-running economic expansion, particularly as the yield curve inverted, domestic equities responded favorably to the Federal Reserve (the “Fed”) lowering rates and optimism on a potential U.S. trade agreement with China. The support from the Fed and other central banks provided the stimulus necessary to lift optimism leading to signs that the third economic slowdown since the Great Recession would end. The result - record high stock prices as the decade closed.
The Fund’s positioning in 2019 rested on an expectation for continued economic growth, but the underlying philosophy of investing in a mix of diversified, high-quality growth businesses served us well during periods of volatility that flared up during the year when the sustainability of the recovery came into question. In the Fund’s first full calendar year since launching late in 2018, we were pleased that our strategy delivered over 400 basis points of relative outperformance versus our target index.
In general, strong absolute and relative returns were generated in multiple sectors and multiple individual stocks. Every sector of the Fund’s holdings outperformed in 2019, except for the two smallest: consumer staples and energy. Those two sectors totaled less than 4% of total weight in the Fund. The Fund’s three strongest outperforming sectors were financials, technology, and producer durables. Strong stock performance from several holdings was driven by factors we continue to favor, such as industry leading companies that can continue to compound returns year after year, as well as secular growth stories driving growth unique to their industry. Our strategy does not take big sector bets as we typically stay within 75% to 125% of the sector’s weight in our benchmark. We also do not make big bets on individual stocks, as our typical position size is between 1% and 3%.
The Fund’s outperformance in the financials sector was due to our preference for companies that use software, data, and technology to provide subscription services. These companies were able to grow much faster than analyst expectations and drove multiple expansion relative to more traditional financial services companies. We have owned these kinds of businesses since the Fund launched, and every holding that outperformed in calendar 2019 was owned since the Fund’s inception in October 2018. We do not make big bets on the direction of interest rates and have relatively equal weighted positions in both banks and REITs.
Strong performance from the Fund’s technology sector was from both lower growth holdings that continue to compound returns, as well as several high growth software-as-a-service (SAAS) businesses that grow revenues significantly faster than many other companies in other sectors. We chose to take profits on a few holdings in October, but were pleased to see these stocks continue to rally throughout the end of the year. Given the sharp sell-off in the fourth quarter of 2018, many of these stocks rebounded significantly in 2019 as revenue growth exceeded our expectations.
The Fund’s producer durables performance was driven by a slight underweight to more economically, cyclical stocks in the benchmark. Although this sector was volatile throughout the year, particularly in the fall when the market shifted to favor lower valuation, we were able to outperform due to continued strong performance from a long time holding, selling a few holdings with exposure to China, as well as adding in new ideas with some exposure to 5G, which should drive increased spending for the next several years.
The healthcare sector in any given calendar year can also be quite volatile, especially the biotech industry, which is rarely a good fit for our preference for profitable companies. The Fund was underweight this sector for the year due to profit taking in a few holdings, as well as selling a few holdings that performed below our expectations. Although we outperformed slightly in the sector for the year, strong early year performance was offset by a weak fourth quarter as several holdings in the benchmark more than doubled in the fourth quarter. Although we maintain some exposure to this industry group, we will rarely keep pace when these stocks rally over a short time period.
Page 12
Baird Small/Mid Cap Growth Fund
December 31, 2019 (Unaudited)
Offsetting our overall strong performance were a few setbacks in individual stocks, including three healthcare holdings, where sales growth was much lower than expected in calendar 2019. Our lack of an energy stock holding was also a slight drag on performance in the fourth quarter. We chose to avoid many stocks with exposure to China in the middle part of the year as the trade war progressed, which hurt performance as several of these stocks rallied in the fourth quarter as the market expected a signed trade deal around year end.
While the Fund’s cash position is not used tactically, in such a strong market advance even a modest amount held to accommodate opportunistic additions to or subtractions from individual holdings created a drag on relative performance in 2019.
The long-standing investment process underlying the Fund remains focused on identifying high-quality companies that deliver attractive returns and above average growth relative to peers. Seeking to control risk at the sector and position level is also a priority of our process, with the goal of providing lower volatility of returns for the Fund compared to its benchmark index.
Portfolio Manager:
Jonathan L. Good
Page 13
Baird Small/Mid Cap Growth Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | ||
Pool Corp. | 2.9% | ||
EPAM Systems, Inc. | 2.8% | ||
Cable One, Inc. | 2.8% | ||
IDEX Corp. | 2.7% | ||
Cooper Cos., Inc. | 2.4% | ||
DexCom, Inc. | 2.3% | ||
SiteOne Landscape Supply, Inc. | 2.2% | ||
AptarGroup, Inc. | 2.2% | ||
Burlington Stores, Inc. | 2.2% | ||
Crocs, Inc. | 2.1% | ||
Net Assets: | $18,572,852 | ||
Portfolio Turnover Rate: | 60% | ||
Number of Equity Holdings: | 65 | ||
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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 14
Baird Small/Mid Cap Growth Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (10/31/18), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (10/31/18), assuming reinvestment of all distributions.
Page 15
Baird Small/Mid Cap Growth Fund
December 31, 2019 (Unaudited)
Total Returns
Average | ||
Annual | ||
One | Since | |
For the Periods Ended December 31, 2019 | Year | Inception(1) |
Institutional Class Shares | 36.98% | 19.07% |
Investor Class Shares | 36.69% | 18.74% |
Russell 2500® Growth Index(2) | 32.65% | 17.32% |
(1) | For the period from October 31, 2018 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 16
Baird Small/Mid Cap Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
HEICO Corp. | 1,236 | $ | 141,089 | 0.7 | % | |||||||
Kratos Defense & Security Solutions, Inc.(1) | 9,260 | 166,773 | 0.9 | % | ||||||||
307,862 | 1.6 | % | ||||||||||
Auto Components | ||||||||||||
Visteon Corp.(1) | 1,917 | 165,993 | 0.9 | % | ||||||||
Banks | ||||||||||||
Western Alliance Bancorp | 4,954 | 282,378 | 1.5 | % | ||||||||
Beverages | ||||||||||||
Primo Water Corp.(1) | 10,780 | 121,006 | 0.7 | % | ||||||||
Biotechnology | ||||||||||||
Exact Sciences Corp.(1) | 1,835 | 169,701 | 0.9 | % | ||||||||
Heron Therapeutics, Inc.(1) | 8,901 | 209,173 | 1.1 | % | ||||||||
Pfenex, Inc.(1) | 9,350 | 102,663 | 0.6 | % | ||||||||
481,537 | 2.6 | % | ||||||||||
Building Products | ||||||||||||
Trex Co, Inc.(1) | 2,738 | 246,091 | 1.3 | % | ||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 762 | 288,882 | 1.5 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
IAA, Inc.(1) | 4,074 | 191,722 | 1.0 | % | ||||||||
Mobile Mini, Inc. | 4,735 | 179,504 | 1.0 | % | ||||||||
371,226 | 2.0 | % | ||||||||||
Construction & Engineering | ||||||||||||
MasTec, Inc.(1) | 4,972 | 319,004 | 1.7 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 3,502 | 404,901 | 2.2 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 2,497 | 530,313 | 2.9 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 4,135 | 284,488 | 1.5 | % | ||||||||
Littelfuse, Inc. | 1,103 | 211,004 | 1.2 | % | ||||||||
495,492 | 2.7 | % | ||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
National Storage Affiliates Trust | 7,959 | 267,582 | 1.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 17
Baird Small/Mid Cap Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Food Products | ||||||||||||
Calavo Growers, Inc. | 2,794 | $ | 253,108 | 1.3 | % | |||||||
Lamb Weston Holdings, Inc. | 2,978 | 256,197 | 1.4 | % | ||||||||
509,305 | 2.7 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Cooper Cos., Inc. | 1,376 | 442,095 | 2.4 | % | ||||||||
DexCom, Inc.(1) | 1,965 | 429,824 | 2.3 | % | ||||||||
Insulet Corp.(1) | 1,890 | 323,568 | 1.7 | % | ||||||||
Integra LifeSciences Holdings Corp.(1) | 5,830 | 339,772 | 1.8 | % | ||||||||
Novocure Ltd.(1)(2) | 2,321 | 195,591 | 1.1 | % | ||||||||
OrthoPediatrics Corp.(1) | 4,683 | 220,054 | 1.2 | % | ||||||||
QUIDEL Corp.(1) | 2,939 | 220,513 | 1.2 | % | ||||||||
Silk Road Medical, Inc.(1) | 2,670 | 107,815 | 0.6 | % | ||||||||
Tactile Systems Technology, Inc.(1) | 4,008 | 270,580 | 1.4 | % | ||||||||
2,549,812 | 13.7 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
LHC Group, Inc.(1) | 2,237 | 308,169 | 1.7 | % | ||||||||
Health Care Technology | ||||||||||||
Phreesia, Inc.(1) | 6,921 | 184,375 | 1.0 | % | ||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Vail Resorts, Inc. | 970 | 232,635 | 1.2 | % | ||||||||
Household Durables | ||||||||||||
LGI Homes, Inc.(1) | 2,041 | 144,197 | 0.8 | % | ||||||||
Insurance | ||||||||||||
Kinsale Capital Group, Inc. | 3,047 | 309,758 | 1.7 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc.(1) | 3,846 | 170,378 | 0.9 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 1,438 | 177,651 | 1.0 | % | ||||||||
EPAM Systems, Inc.(1) | 2,482 | 526,581 | 2.8 | % | ||||||||
Euronet Worldwide, Inc.(1) | 2,118 | 333,712 | 1.8 | % | ||||||||
LiveRamp Holdings, Inc.(1) | 3,053 | 146,758 | 0.8 | % | ||||||||
WNS Holdings Ltd. – ADR(1)(2) | 4,989 | 330,022 | 1.8 | % | ||||||||
1,514,724 | 8.2 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
PRA Health Sciences, Inc.(1) | 3,084 | 342,787 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 18
Baird Small/Mid Cap Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Machinery | ||||||||||||
Gardner Denver Holdings, Inc.(1) | 6,356 | $ | 233,138 | 1.3 | % | |||||||
IDEX Corp. | 2,894 | 497,768 | 2.7 | % | ||||||||
Toro Co. | 4,297 | 342,342 | 1.8 | % | ||||||||
1,073,248 | 5.8 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 348 | 517,988 | 2.8 | % | ||||||||
Multiline Retail | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 1,958 | 127,877 | 0.7 | % | ||||||||
Pharmaceuticals | ||||||||||||
Catalent, Inc.(1) | 3,618 | 203,693 | 1.1 | % | ||||||||
Jazz Pharmaceuticals PLC(1)(2) | 2,133 | 318,415 | 1.7 | % | ||||||||
522,108 | 2.8 | % | ||||||||||
Professional Services | ||||||||||||
TransUnion | 2,760 | 236,284 | 1.3 | % | ||||||||
Road & Rail | ||||||||||||
Schneider National, Inc. | 9,843 | 214,774 | 1.2 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Monolithic Power Systems, Inc. | 1,791 | 318,834 | 1.7 | % | ||||||||
Software | ||||||||||||
Alteryx, Inc.(1) | 1,651 | 165,216 | 0.9 | % | ||||||||
Descartes Systems Group, Inc.(1)(2) | 5,370 | 229,406 | 1.2 | % | ||||||||
Fair Isaac Corp.(1) | 592 | 221,811 | 1.2 | % | ||||||||
Proofpoint, Inc.(1) | 1,894 | 217,393 | 1.2 | % | ||||||||
Q2 Holdings, Inc.(1) | 3,723 | 301,861 | 1.6 | % | ||||||||
Rapid7, Inc.(1) | 3,509 | 196,574 | 1.0 | % | ||||||||
RingCentral, Inc.(1) | 1,949 | 328,738 | 1.8 | % | ||||||||
Tyler Technologies, Inc.(1) | 1,230 | 369,025 | 2.0 | % | ||||||||
Upland Software, Inc.(1) | 6,833 | 244,006 | 1.3 | % | ||||||||
2,274,030 | 12.2 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 1,752 | 399,508 | 2.2 | % | ||||||||
Five Below, Inc.(1) | 2,337 | 298,808 | 1.6 | % | ||||||||
698,316 | 3.8 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Crocs, Inc.(1) | 9,492 | 397,620 | 2.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Small/Mid Cap Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Trading Companies & Distributors | ||||||||||||
SiteOne Landscape Supply, Inc.(1) | 4,499 | $ | 407,834 | 2.2 | % | |||||||
Watsco, Inc. | 1,739 | 313,281 | 1.7 | % | ||||||||
721,115 | 3.9 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $14,829,201) | 17,650,601 | 95.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $14,829,201) | 17,650,601 | 95.0 | % | |||||||||
Other Assets in Excess of Liabilities | 922,251 | 5.0 | % | |||||||||
TOTAL NET ASSETS | $ | 18,572,852 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
ADR – American Depository Receipt
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Small/Mid Cap Growth Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 17,650,601 | $ | — | $ | — | $ | 17,650,601 | ||||||||
Total Equity | 17,650,601 | — | — | 17,650,601 | ||||||||||||
Total Investments* | $ | 17,650,601 | $ | — | $ | — | $ | 17,650,601 |
* | 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 21
Baird Small/Mid Cap Value Fund
December 31, 2019 (Unaudited)
Portfolio Manager’s Commentary
Market participants dusted off their party hats early to celebrate the beginning of a new decade. Equity indices posted strong returns for the year, with large company stocks, companies that lose money and low quality businesses leading the charge, particularly in the fourth quarter of 2019. Large purchases of passively-managed ETFs during the fall of 2019 made it tough for active small cap managers to keep up with benchmarks, and the average actively-managed fund in only one of the nine Lipper style boxes (Small Growth) beat its benchmark for the year.
Despite a heroic effort by value stocks in December, growth stocks generally outperformed value stocks again for the third straight year and eight of the past ten. Perhaps 2020 will break the streak as the Russell 2000® Value Index earnings are forecasted in Factset to grow 16.7% versus 11.2% for the Russell 2000® Growth Index. Even better news for value-focused investors is that, although the forward price/earnings ratio for the Russell 2000® Growth Index is 26.7 (the highest since December 2001), that ratio for the Russell 2000® Value Index is comparatively lower at 15.6, a 21% discount to average. In other words, value stocks appear less expensive with better growth prospects.
In addition to the trends above, another significant macro trend negatively influencing returns for the Baird SmallCap Value and Baird Small/Mid Cap Value Funds for the year was the outperformance of low quality businesses. Although this bias was inconsistent throughout the year, the strong outperformance of low quality businesses at year-end overwhelmed countertrends earlier in the year. Given our investment philosophy which favors higher quality (as defined by return on equity, cash flow and earnings persistence), this market prejudice for low quality created a strong headwind. Relative valuations (as measured by price-to-sales and price-to-book) are the most compelling they have been in over 18 years for high quality stocks, which we believe make them ripe for a snapback.
Portfolio Highlights
For the year ended December 31, 2019, the Baird Small/Mid Cap Value Fund Institutional Class posted a total return of 18.23% as compared to 23.56% return for the Russell 2500® Value Index, the Fund’s benchmark.
Significant contributors to the Fund’s relative and absolute performance for the year include the following:
• | The Fund’s Industrials position, while posting positive returns, underperformed the benchmark sector returns. Exposure to international shipping via Atlas Air and the Boeing 737 Max debacle negatively impacted the Fund’s positions in Atlas Air and Astronics, respectively. |
• | The Fund’s exposure to the Financial sector, which is the Fund’s largest sector exposure, meaningfully outperformed the Financial sector holdings of the benchmark, with a return of 39% versus 25% for the Russell 2500® Value Index. Holdings such as Meta Financial (up 90% for the year), NMI Holdings (up 86% for the year) and Essent Group (up 53% for the year) fueled returns. |
• | The Fund’s long-time holding, Boingo Wireless, suffered a serious decline during the third quarter of the year. The company did lower EBITDA guidance roughly 10% due to the re-amoritization over a longer time period of some large contracts that were renewed. However, the stock suffered a disproportionate decline due to stock sales by a very large institutional investor. We continue to have confidence in management and the business, which we believe is well positioned to take advantage of growing data traffic. |
• | ICU Medical, a position that has been in the Fund since inception, had a disappointing second quarter earnings report. The stock remains a winner since the Fund first purchased the stock despite an 18% decline for the year. We remain optimistic on the business and management’s efforts to resolve current issues. |
• | The Fund’s intentional underweight to the Energy sector boosted performance as it was the worst performing sector in the Russell 2500® Value Index, down 11%. |
• | The Fund’s Technology, Real Estate and Utility holdings all contributed positively to the Fund’s absolute return for the year posting gains of 38%, 26% and 20% respectively. Standout contributors to positive performance include Leidos Holdings, Cerence, and Algonquin Power. |
Michelle Stevens, CFA
Portfolio Manager
Page 22
Baird Small/Mid Cap Value Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | ||
Leidos Holdings, Inc. | 3.9% | ||
Meta Financial Group, Inc. | 3.5% | ||
American Financial Group, Inc. | 3.2% | ||
Old Republic International Corp. | 3.1% | ||
Essent Group Ltd. | 3.1% | ||
Lamb Weston Holdings, Inc. | 3.0% | ||
Atmos Energy Corp. | 3.0% | ||
Blackstone Mortgage Trust, Inc. | 3.0% | ||
Southwest Gas Holdings, Inc. | 3.0% | ||
National Retail Properties, Inc. | 2.9% | ||
Net Assets: | $24,886,877 | ||
Portfolio Turnover Rate: | 37% | ||
Number of Equity Holdings: | 40 | ||
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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 23
Baird Small/Mid Cap Value Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (11/30/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (11/30/15), assuming reinvestment of all distributions.
Page 24
Baird Small/Mid Cap Value Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended December 31, 2019 | One Year | Three Years | Inception(1) |
Institutional Class Shares | 18.23% | 6.83% | 5.94% |
Investor Class Shares | 17.86% | 6.54% | 5.67% |
Russell 2500® Value Index(2) | 23.56% | 6.12% | 9.11% |
(1) | For the period from November 30, 2015 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 25
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Astronics Corp.(1) | 12,385 | $ | 346,161 | 1.4 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 24,022 | 563,556 | 2.3 | % | ||||||||
Building Products | ||||||||||||
Patrick Industries, Inc. | 9,421 | 493,943 | 2.0 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 10,690 | 533,645 | 2.1 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 16,702 | 596,261 | 2.4 | % | ||||||||
Diversified Consumer Services | ||||||||||||
OneSpaWorld Holdings Ltd.(2) | 40,105 | 675,369 | 2.7 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 17,011 | 435,141 | 1.7 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 9,279 | 638,395 | 2.6 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 9,382 | 658,335 | 2.7 | % | ||||||||
CareTrust REIT, Inc. | 33,404 | 689,125 | 2.8 | % | ||||||||
CyrusOne, Inc. | 10,310 | 674,583 | 2.7 | % | ||||||||
Healthpeak Properties, Inc. | 14,537 | 501,090 | 2.0 | % | ||||||||
National Retail Properties, Inc. | 13,590 | 728,696 | 2.9 | % | ||||||||
Physicians Realty Trust | 26,079 | 493,936 | 2.0 | % | ||||||||
VICI Properties, Inc. | 20,723 | 529,473 | 2.1 | % | ||||||||
4,275,238 | 17.2 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 8,789 | 756,118 | 3.0 | % | ||||||||
Gas Utilities | ||||||||||||
Atmos Energy Corp. | 6,757 | 755,838 | 3.0 | % | ||||||||
Southwest Gas Holdings, Inc. | 9,675 | 735,010 | 3.0 | % | ||||||||
1,490,848 | 6.0 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 2,672 | 499,985 | 2.0 | % | ||||||||
Health Care Providers & Services | ||||||||||||
DaVita, Inc.(1) | 7,320 | 549,219 | 2.2 | % | ||||||||
Laboratory Corp. of America Holdings(1) | 2,887 | 488,394 | 2.0 | % | ||||||||
1,037,613 | 4.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 26
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 54,848 | $ | 444,817 | 1.8 | % | |||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 7,423 | 813,932 | 3.2 | % | ||||||||
Fidelity National Financial, Inc. | 10,825 | 490,914 | 2.0 | % | ||||||||
Old Republic International Corp. | 34,435 | 770,311 | 3.1 | % | ||||||||
2,075,157 | 8.3 | % | ||||||||||
IT Services | ||||||||||||
CACI International, Inc.(1) | 1,638 | 409,484 | 1.7 | % | ||||||||
Leidos Holdings, Inc. | 10,001 | 978,998 | 3.9 | % | ||||||||
Perspecta, Inc. | 17,930 | 474,069 | 1.9 | % | ||||||||
VeriSign, Inc.(1) | 1,937 | 373,221 | 1.5 | % | ||||||||
2,235,772 | 9.0 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 20,237 | 753,221 | 3.0 | % | ||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 35,092 | 496,552 | 2.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
ON Semiconductor Corporation(1) | 21,016 | 512,370 | 2.1 | % | ||||||||
Software | ||||||||||||
Cerence, Inc.(1) | 15,266 | 345,470 | 1.4 | % | ||||||||
j2 Global, Inc. | 7,526 | 705,261 | 2.8 | % | ||||||||
1,050,731 | 4.2 | % | ||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 22,063 | 668,068 | 2.7 | % | ||||||||
Essent Group Ltd.(2) | 14,657 | 762,016 | 3.1 | % | ||||||||
Merchants Bancorp | 25,215 | 496,988 | 2.0 | % | ||||||||
Meta Financial Group, Inc. | 24,125 | 880,803 | 3.5 | % | ||||||||
NMI Holdings, Inc.(1) | 15,075 | 500,189 | 2.0 | % | ||||||||
3,308,064 | 13.3 | % | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 51,240 | 561,078 | 2.3 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $20,146,716) | 23,780,035 | 95.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 1.53%(3) | 1,059,928 | $ | 1,059,928 | 4.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,059,928) | 1,059,928 | 4.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $21,206,644) | 24,839,963 | 99.8 | % | |||||||||
Other Assets in Excess of Liabilities | 46,914 | 0.2 | % | |||||||||
TOTAL NET ASSETS | $ | 24,886,877 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | 7-Day Yield. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 23,780,035 | $ | — | $ | — | $ | 23,780,035 | ||||||||
Total Equity | 23,780,035 | — | — | 23,780,035 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,059,928 | — | — | 1,059,928 | ||||||||||||
Total Short-Term Investment | 1,059,928 | — | — | 1,059,928 | ||||||||||||
Total Investments* | $ | 24,839,963 | $ | — | $ | — | $ | 24,839,963 |
* | 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 29
Baird SmallCap Value Fund
December 31, 2019 (Unaudited)
Portfolio Manager’s Commentary
Market participants dusted off their party hats early to celebrate the beginning of a new decade. Equity indices posted strong returns for the year, with large company stocks, companies that lose money and low quality businesses leading the charge, particularly in the fourth quarter of 2019. Large purchases of passively-managed ETFs during the fall of 2019 made it tough for active small cap managers to keep up with benchmarks, and the average actively-managed fund in only one of the nine Lipper style boxes (Small Growth) beat its benchmark for the year.
Despite a heroic effort by value stocks in December, growth stocks generally outperformed value stocks again for the third straight year and eight of the past ten. Perhaps 2020 will break the streak as the Russell 2000® Value Index earnings are forecasted in Factset to grow 16.7% versus 11.2% for the Russell 2000® Growth Index. Even better news for value-focused investors is that, although the forward price/earnings ratio for the Russell 2000® Growth Index is 26.7 (the highest since December 2001), that ratio for the Russell 2000® Value Index is comparatively lower at 15.6, a 21% discount to average. In other words, value stocks appear less expensive with better growth prospects.
In addition to the trends above, another significant macro trend negatively influencing returns for the Baird SmallCap Value and Baird Small/Mid Cap Value Funds for the year was the outperformance of low quality businesses. Although this bias was inconsistent throughout the year, the strong outperformance of low quality businesses at year-end overwhelmed countertrends earlier in the year. Given our investment philosophy which favors higher quality (as defined by return on equity, cash flow and earnings persistence), this market prejudice for low quality created a strong headwind. Relative valuations (as measured by price-to-sales and price-to-book) are the most compelling they have been in over 18 years for high quality stocks, which we believe make them ripe for a snapback.
Portfolio Highlights
For the year ended December 31, 2019, the Baird SmallCap Value Fund Institutional Class posted a total return of 18.40% as compared to 22.39% return for the Russell 2000® Value Index, the Fund’s benchmark.
Significant contributors to the Fund’s relative and absolute performance for the year include the following:
• | The Fund’s Industrials position, while posting positive returns, underperformed the benchmark sector returns. Exposure to international shipping via Atlas Air and the Boeing 737 Max debacle negatively impacted the Fund’s positions in Atlas Air and Astronics, respectively. |
• | The Fund’s intentional underweight to the Energy sector boosted performance as it was the worst performing sector in the Russell 2000® Value Index, down 14%. The Energy positions held by the Fund for a portion of the year further added to performance, including Select Energy (up 73% for the year) and Solaris Oilfield Infrastructure (up 19% for the year). |
• | The Fund’s long-time holding, Boingo Wireless, suffered a serious decline during the third quarter of the year. The company did lower EBITDA guidance roughly 10% due to the re-amoritization over a longer time period of some large contracts that were renewed. However, the stock suffered a disproportionate decline due to stock sales by a very large institutional investor. We continue to have confidence in management and the business, which we believe is well positioned to take advantage of growing data traffic. |
• | The Fund’s exposure to the Financial sector, which is the Fund’s largest sector exposure, meaningfully outperformed the Financial sector holdings of the benchmark, with a return of 43% versus 23% for the Russell 2000® Value Index. Holdings such as Meta Financial (up 90% for the year), NMI Holdings (up 86% for the year) and Essent Group (up 53% for the year) fueled the Fund’s returns. |
• | ICU Medical, a position that has been in the Fund since inception, had a disappointing second quarter earnings report. The stock remains a winner since the Fund first purchased the stock despite an 18% decline for the year. We remain optimistic on the business and management’s actions to resolve current issues. |
Page 30
Baird SmallCap Value Fund
December 31, 2019 (Unaudited)
• | The Fund’s Technology, Real Estate and Utility holdings all contributed positively to the Fund’s absolute return for the year, posting gains of 44%, 27% and 29% respectively. Standout contributors to positive performance include Cypress Semiconductor, CACI International, and Algonquin Power. |
Guide points seem to signal that we are in the late innings of this economic cycle, which we believe calls for more defensive posturing. As such, we have raised the Fund’s exposure to Real Estate Investment Trusts, Utilities, and companies with exceptionally stable cash flows. To fund new purchases, we trimmed holdings in some stocks where our investment thesis had played out and rewarded us with higher stock prices, primarily in the Industrial and Information Technology sectors.
Michelle Stevens, CFA
Portfolio Manager
Page 31
Baird SmallCap Value Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | ||
Meta Financial Group, Inc. | 4.3% | ||
j2 Global, Inc. | 4.2% | ||
NMI Holdings, Inc. | 3.9% | ||
CACI International, Inc. | 3.7% | ||
Agree Realty Corp. | 3.6% | ||
Southwest Gas Holdings, Inc. | 3.6% | ||
Atlantica Yield PLC | 3.6% | ||
Blackstone Mortgage Trust, Inc. | 3.5% | ||
ICU Medical, Inc. | 3.4% | ||
Axos Financial, Inc. | 3.3% | ||
Net Assets: | $33,833,864 | ||
Portfolio Turnover Rate: | 55% | ||
Number of Equity Holdings: | 35 | ||
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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 32
Baird SmallCap Value Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (05/01/12), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (05/01/12), assuming reinvestment of all distributions.
Page 33
Baird SmallCap Value Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended December 31, 2019 | One Year | Three Years | Five Years | Inception(1) |
Institutional Class Shares | 18.40% | 5.30% | 4.99% | 8.38% |
Investor Class Shares | 18.19% | 5.06% | 4.73% | 8.12% |
Russell 2000® Value Index(2) | 22.39% | 4.77% | 6.99% | 10.22% |
(1) | For the period from May 1, 2012 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 34
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Astronics Corp.(1) | 20,665 | $ | 577,587 | 1.7 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 41,877 | 982,434 | 2.9 | % | ||||||||
Banks | ||||||||||||
Preferred Bank | 16,289 | 978,806 | 2.9 | % | ||||||||
Biotechnology | ||||||||||||
Eagle Pharmaceuticals, Inc.(1) | 10,693 | 642,435 | 1.9 | % | ||||||||
Building Products | ||||||||||||
Patrick Industries, Inc. | 14,797 | 775,807 | 2.3 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 14,996 | 748,600 | 2.2 | % | ||||||||
Construction & Engineering | ||||||||||||
Construction Partners, Inc.(1) | 45,437 | 766,522 | 2.3 | % | ||||||||
Diversified Consumer Services | ||||||||||||
OneSpaWorld Holdings Ltd.(2) | 66,791 | 1,124,760 | 3.3 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 34,341 | 878,443 | 2.6 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 10,300 | 708,640 | 2.1 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 17,471 | 1,225,940 | 3.6 | % | ||||||||
CareTrust REIT, Inc. | 47,553 | 981,018 | 2.9 | % | ||||||||
CyrusOne, Inc. | 14,609 | 955,867 | 2.9 | % | ||||||||
Essential Properties Realty Trust, Inc. | 30,315 | 752,115 | 2.2 | % | ||||||||
Physicians Realty Trust | 58,686 | 1,111,513 | 3.3 | % | ||||||||
5,026,453 | 14.9 | % | ||||||||||
Gas Utilities | ||||||||||||
Southwest Gas Holdings, Inc. | 16,111 | 1,223,953 | 3.6 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Hill-Rom Holdings, Inc. | 3,452 | 391,906 | 1.1 | % | ||||||||
ICU Medical, Inc.(1) | 6,112 | 1,143,677 | 3.4 | % | ||||||||
1,535,583 | 4.5 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Churchill Downs, Inc. | 4,350 | 596,820 | 1.8 | % | ||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 104,014 | 843,554 | 2.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 35
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Atlantica Yield PLC(2) | 46,246 | $ | 1,220,432 | 3.6 | % | |||||||
Insurance | ||||||||||||
First American Financial Corp. | 8,237 | 480,382 | 1.4 | % | ||||||||
IT Services | ||||||||||||
CACI International, Inc.(1) | 5,019 | 1,254,700 | 3.7 | % | ||||||||
Perspecta, Inc. | 35,718 | 944,384 | 2.8 | % | ||||||||
2,199,084 | 6.5 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 31,740 | 1,181,363 | 3.5 | % | ||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 61,166 | 865,499 | 2.6 | % | ||||||||
Software | ||||||||||||
Cerence, Inc.(1) | 25,872 | 585,483 | 1.7 | % | ||||||||
j2 Global, Inc. | 15,115 | 1,416,427 | 4.2 | % | ||||||||
2,001,910 | 5.9 | % | ||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Immersion Corp.(1) | 63,964 | 475,252 | 1.4 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 37,146 | 1,124,781 | 3.3 | % | ||||||||
Essent Group Ltd.(2) | 20,032 | 1,041,464 | 3.1 | % | ||||||||
Merchants Bancorp | 38,712 | 763,013 | 2.2 | % | ||||||||
Meta Financial Group, Inc. | 39,573 | 1,444,810 | 4.3 | % | ||||||||
NMI Holdings, Inc.(1) | 39,842 | 1,321,958 | 3.9 | % | ||||||||
5,696,026 | 16.8 | % | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 98,547 | 1,079,090 | 3.2 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $26,058,333) | 32,609,435 | 96.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 36
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2019
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 1.53%(3) | 1,252,111 | $ | 1,252,111 | 3.7 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,252,111) | 1,252,111 | 3.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $27,310,444) | 33,861,546 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (27,682 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 33,833,864 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | 7-Day Yield. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 37
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 32,609,435 | $ | — | $ | — | $ | 32,609,435 | ||||||||
Total Equity | 32,609,435 | — | — | 32,609,435 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,252,111 | — | — | 1,252,111 | ||||||||||||
Total Short-Term Investment | 1,252,111 | — | — | 1,252,111 | ||||||||||||
Total Investments* | $ | 33,861,546 | $ | — | $ | — | $ | 33,861,546 |
* | 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
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
Portfolio Manager’s Commentary
Review
For 2019, the Chautauqua International Growth Fund appreciated and outperformed its benchmark, the MSCI ACWI ex USA Index (ND). In some ways, 2019 stood in stark contrast to 2018 and in many other ways, things remain the same. Equity markets rose universally around the world by country, investment style and economic sector. The appreciation was not driven by accelerating growth in profits, but ever higher valuations investors were willing to pay for profits. This valuation multiple expansion has everything to do with continued and expanded monetary stimulus. Inflation remained at very low levels, so most central bankers have used this opportunity to continue and, in some cases, increase their bond purchases. Moreover, some central banks, notably the United States (U.S.) Federal Reserve (the Fed), pivoted back to rate cuts even though the U.S. economy was not in recession.
At the end of 2019, the global expansion was more than 10 years old. This is extraordinarily long. Gone is the inventory rebuild and pent up demand following the great financial recession of 2008 and 2009. What has fueled this growth is the increased government spending and resulting indebtedness and artificially low interest rates. 2019 was a year of increased geopolitical uncertainty. The Trump administration’s trade wars with allies and adversaries alike have weighed on business planning and overall economic growth. Despite this, we believe U.S. consumers remain optimistic. There is a clear demarcation between sentiment by producers and consumers. Global growth may continue with further growth in consumption or with increased fiscal stimulus, but we believe it is easier to imagine the possibility of more negative surprises than positive.
Except for one notable exception, increased support for a Boris Johnson-led Conservative government in the United Kingdom (UK), it was a rough year for most world leaders as many were seen to be losing their grip on power. It was a challenging year for leaders in Austria, Canada, Germany, Israel, Italy, South Africa and Spain, where each has had to build coalitions among unusual partners to retain power. Protests raged in Chile, Ecuador, France, Hong Kong and Venezuela. Leaders in Algeria, Bolivia, Iraq and Sudan quit under protest. In the U.S., the House of Representatives has impeached the president. Widespread turmoil is not compatible with long-term planning. Climate change and extreme weather have rocketed to the top of “concerns” lists, as evidence mounts that the problems are serious and imminent.
Portfolio Highlights
As a component of the MSCI ACWI ex USA Index, growth style holdings dramatically outperformed value style holdings in 2019. The very best returns were achieved in economically sensitive sectors such as information technology, consumer discretionary and industrials. The lowest return sector (still up 14% in the MSCI All Country World Index) was energy. In terms of markets by country, it is hard to discern a single trend from 2019. Among the best performers, some were “risk-on” countries, such as Greece and Russia. Some were safer places, such as Canada, Denmark, Netherlands and Switzerland. Some were small, such as Ireland and Taiwan, and at the other end of the continuum, large, such as the U.S. The poorest performers were two very large and relatively fast-growing emerging market countries, namely India and Indonesia. Hong Kong, under persistent protest, was also an underperforming market. What can one make of this? The explanation has more to do with relative performance in the prior period. Generally, markets that had substantial declines in 2018 rallied back, and those that rallied experienced profit taking.
Volatility was generally subdued in 2019. This created a bit of a challenge for the portfolio managers of Chautauqua Capital Management, a division of Robert W. Baird & Co. Incorporated (Chautauqua Capital). We tend to do better when we can exploit price anomalies when volatility presents a gap between the current price and the intrinsic value we calculate for an operating business. Nevertheless, we were able to take advantage of oversold opportunities that occurred through the fourth quarter of 2018. Our portfolio adjustments made during what appeared to be an irrational response to the Fed’s move to a neutral position late in 2018 served us well in 2019. For example, through the first four months of 2019, the Fund’s Institutional Class Shares appreciated nearly 20%, while the benchmark was up under 13%. We subsequently made adjustments to protect
Page 39
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
those gains in the face of economic data that suggested broad economic weakness. As we closed out 2019, we adjusted the Fund to emphasize investments that we believed would be better positioned to deliver superior returns in a more challenging economic environment. Specifically, we continue to emphasize the securities of companies that are mission critical to their customers. This ranges from companies that produce unique life saving or life extending drugs to technology companies that enable their customers to save money. The advantaged companies we invest in typically are industry leaders who possess strong brands and have pricing power. We also invest with companies that have amassed process advantages that enable them to offer their products more cheaply while generating strong growth and a high level of profitability.
The Fund typically holds a limited number of companies (25 to 35) invested primarily in equity securities of non-U.S. companies with medium to large market capitalizations. Detailed attribution for 2019 showed that the Fund benefited greatly from an overweight exposure to information technology. This sector is often rich with investment opportunities into companies that are high value added and have the potential to grow total addressable markets by offering new products, processes and simply by improving the way things are done. In the aftermath of the 2018 sell-off, several of our favorite positions were selling at compelling prices. Accordingly, we made additions to Alibaba, Genmab, Keyence, Bank Rakyat and Naspers. Overall, our security selection effect was positive, but currencies were a drag on performance as the U.S. dollar, due to our higher yields on government debt, rallied versus most foreign currencies. Although the Fund benefited from a low exposure to the energy sector, the Fund’s holdings in energy service companies, Core Labs and Schlumberger, underperformed the benchmark return for the sector. By region, our allocation and selection effects were positive except for companies that are headquartered in Canada. The Fund’s overall return was comparable to the Canadian market return but our selections there were inferior. The biggest contributing holdings were Tal Education, ASML, AMS, Alibaba and Temenos. The Fund’s biggest detracting holdings were Wirecard, Core Labs, Sinopharm, Pirelli and BYD. During the year, we initiated positions in the stock of some defensive but steadily growing businesses. These were Constellation Software, Tata Consultancy and Waste Connections. We retained a position in Prosus, which was spun out from an investment in Naspers. We also eliminated investments in Amore Pacific, CI Financial, Schlumberger and Toronto Dominion Bank.
As of year-end, the Fund displayed the typical characteristics of high growth and profitability while carrying less debt. As one would expect, the Fund traded at a premium valuation; however, when adjusted for growth via a PEG ratio (price to earnings ratio/earnings growth rate), the Fund traded at a steep discount to the broad market as of December 31, 2019.
Outlook
What can we expect in 2020? It may be another year of stark contrast while much remains the same. On the economic side, continued reliance on monetary stimulation has been building excesses that could prove harmful in the future. Early in the expansion, cheap loans were vital to businesses and consumers that needed to restructure their balance sheets. Lately, this cheap debt has fueled share buy-backs and takeovers that are not necessarily contributory to economic health. Are stocks a good value here? Stocks may be fairly valued based on the risk-free rate that is close to zero, and in some countries, interest rates are nominally negative. But if interest rates were trading in a normal relationship to inflation, all financial assets would be historically expensive. Can we expect central bankers to keep interest rates low? It seems so. There’s little rationale for the recession-fighting level of interest rates and bond-buying activities, but if central bankers were to take the life support away, financial markets would likely convulse. This is especially true given the amount of government debt that has been issued. Governments in the industrialized world and China are facing demographic futures that point to an ever greater need to fund earned benefit programs for an ever-aging population. Abandoned aggressive monetary accommodation and the cost of servicing existing debt would crowd out these economies’ ability to fund support for the aged. So, our guess is that secular stagnation continues as the new normal. Many serious geopolitical uncertainties remain and undoubtedly, new ones will arise. How they fester or get resolved will likely deliver volatility to the financial markets. As a result, for the world equity markets, 2020 may be a year of stark contrasts versus the returns achieved in 2019 while economic policies remain the same.
Page 40
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
In addition, unpredictable factors like the outbreak and spread of the Coronavirus may roil markets. The uncertainty around how and when this is contained will likely shake investor confidence. Rather than try to predict an outcome as a small and effective investment team we will address information and market opportunities as they unfold.
At Chautauqua Capital we will continue to do what we do best. That is, to construct and manage a concentrated and conviction-weighted set of investments in advantaged companies that trade at attractive valuations and benefit from long-term secular trends. In 2020, we will need to be ever vigilant to ensure that we maintain an understanding advantage to properly execute trades as opportunities present themselves.
During the year, Dan Boston left Chautauqua Capital as his family needed to relocate far from our Boulder, Colorado office. Shortly thereafter, Nate Velarde joined our team. Nate initially began his investment career at TCW where he worked with Brian Beitner and Haicheng Li. Upon leaving TCW, Nate worked at divisions of Nuveen in California and for PIMCO in London. In addition to his 18 years of experience, he holds an MBA from the University of Chicago and recently received a master’s degree in Data Science from the University of California, Berkeley. We are delighted that he agreed to move his family to Colorado and join us.
Respectfully Submitted,
Brian Beitner, CFA
Portfolio Manager
Page 41
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | |||||
TAL Education Group | 6.1% | Net Assets: | $174,169,166 | ||
Novo Nordisk A/S | 5.9% | Portfolio Turnover Rate: | 31% | ||
Genmab A/S | 5.5% | Number of Equity Holdings: | 28 | ||
Alibaba Group Holding Ltd. | 5.1% | ||||
HDFC Bank Ltd. | 4.9% | Annualized Portfolio Expense Ratio(3): | |||
ASML Holding NV | 4.9% | Gross | |||
Bank Rakyat Indonesia Persero Tbk PT | 4.8% | Institutional Class: | 1.02% | ||
DBS Group Holdings Ltd. | 4.8% | Investor Class: | 1.27% | (4) | |
Temenos Group AG | 4.2% | ||||
Wirecard AG | 4.1% | 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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 42
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (04/15/16), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (04/15/16), assuming reinvestment of all distributions.
Page 43
Chautauqua International Growth Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended December 31, 2019 | One Year | Three Years | Inception(1) |
Institutional Class Shares | 26.72% | 12.73% | 8.87% |
Investor Class Shares | 26.42% | 12.45% | 8.62% |
MSCI ACWI ex USA Index(2) | 21.51% | 9.87% | 8.77% |
(1) | For the period from April 15, 2016 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 January 2020, the United Kingdom (UK) left the European Union (EU) in response to the 2016 Brexit referendum. 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 44
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 19,787 | $ | 2,381,168 | 1.4 | % | |||||||
Temenos Group AG (Switzerland)(2) | 46,148 | 7,300,122 | 4.2 | % | ||||||||
9,681,290 | 5.6 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 82,019 | 4,228,319 | 2.4 | % | ||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 301,109 | 1,501,726 | 0.9 | % | ||||||||
Biotechnology | ||||||||||||
Genmab A/S (Denmark)(1)(2) | 42,758 | 9,509,532 | 5.5 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 59,287 | 7,100,812 | 4.1 | % | ||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 26,415,655 | 8,361,240 | 4.8 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 428,327 | 8,258,676 | 4.8 | % | ||||||||
16,619,916 | 9.6 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 117,903 | 4,416,098 | 2.5 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 220,376 | 10,622,123 | 6.1 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Keyence Corp. (Japan)(2) | 10,232 | 3,592,850 | 2.1 | % | ||||||||
Environmental & Facilities Services | ||||||||||||
Waste Connections, Inc. (Canada) | 67,360 | 6,115,614 | 3.5 | % | ||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 1,782,692 | 6,504,846 | 3.7 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 16,806 | 3,103,479 | 1.8 | % | ||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada) | 4,408 | 4,281,078 | 2.5 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Naspers Ltd. (South Africa)(2) | 39,395 | 6,446,874 | 3.7 | % | ||||||||
Prosus NV (Netherlands)(1)(2) | 35,204 | 2,634,735 | 1.5 | % | ||||||||
9,081,609 | 5.2 | % | ||||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 41,934 | 8,894,201 | 5.1 | % | ||||||||
Trip.com Group Ltd. – (China)(1) | 51,027 | 1,711,446 | 1.0 | % | ||||||||
10,605,647 | 6.1 | % | ||||||||||
IT Services | ||||||||||||
Tata Consultancy Services Ltd. (India) | 191,915 | 5,812,180 | 3.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 45
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 33,603 | $ | 1,265,825 | 0.7 | % | |||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 13,783 | 2,634,896 | 1.5 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 178,313 | 10,320,756 | 5.9 | % | ||||||||
12,955,652 | 7.4 | % | ||||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 135,710 | 8,599,943 | 4.9 | % | ||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 29,055 | 8,598,537 | 4.9 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 102,465 | 4,159,872 | 2.4 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – | ||||||||||||
ADR (Taiwan) | 92,849 | 5,394,527 | 3.1 | % | ||||||||
9,554,399 | 5.5 | % | ||||||||||
Tires & Rubber | ||||||||||||
Pirelli & C SpA (Italy)(2) | 792,372 | 4,573,334 | 2.6 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $133,245,458) | 158,324,809 | 90.9 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 1.53%(3) | 17,040,919 | 17,040,919 | 9.8 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $17,040,919) | 17,040,919 | 9.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $150,286,377) | 175,365,728 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (1,196,562 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 174,169,166 | 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. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 46
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 76,632,294 | $ | 81,692,515 | $ | — | $ | 158,324,809 | ||||||||
Total Equity | 76,632,294 | 81,692,515 | — | 158,324,809 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 17,040,919 | — | — | 17,040,919 | ||||||||||||
Total Short-Term Investment | 17,040,919 | — | — | 17,040,919 | ||||||||||||
Total Investments* | $ | 93,673,213 | $ | 81,692,515 | $ | — | $ | 175,365,728 |
* | 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 47
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
Portfolio Manager’s Commentary
Review
For 2019, the Chautauqua Global Growth Fund appreciated and outperformed its benchmark, the MSCI ACWI Index (ND). In some ways, 2019 stood in stark contrast to 2018 and in many other ways, things remain the same. Equity markets rose universally around the world by country, investment style and economic sector. The appreciation was not driven by accelerating growth in profits, but ever higher valuations investors were willing to pay for profits. This valuation multiple expansion has everything to do with continued and expanded monetary stimulus. Inflation remained at very low levels, so most central bankers have used this opportunity to continue and, in some cases, increase their bond purchases. Moreover, some central banks, notably the United States (U.S.) Federal Reserve (the Fed), pivoted back to rate cuts even though the U.S. economy was not in recession.
At the end of 2019, the global expansion was more than 10 years old. This is extraordinarily long. Gone is the inventory rebuild and pent up demand following the great financial recession of 2008 and 2009. What has fueled this growth is the increased government spending and resulting indebtedness and artificially low interest rates. 2019 was a year of increased geopolitical uncertainty. The Trump administration’s trade wars with allies and adversaries alike have weighed on business planning and overall economic growth. Despite this, we believe U.S. consumers remain optimistic. There is a clear demarcation between sentiment by producers and consumers. Global growth may continue with further growth in consumption or with increased fiscal stimulus, but we believe it is easier to imagine the possibility of more negative surprises than positive.
Except for one notable exception, increased support for a Boris Johnson-led Conservative government in the United Kingdom (UK), it was a rough year for most world leaders as many were seen to be losing their grip on power. It was a challenging year for leaders in Austria, Canada, Germany, Israel, Italy, South Africa and Spain, where each has had to build coalitions among unusual partners to retain power. Protests raged in Chile, Ecuador, France, Hong Kong and Venezuela. Leaders in Algeria, Bolivia, Iraq and Sudan quit under protest. In the U.S., the House of Representatives has impeached the president. Widespread turmoil is not compatible with long-term planning. Climate change and extreme weather have rocketed to the top of “concerns” lists, as evidence mounts that the problems are serious and imminent.
Portfolio Highlights
As a component of the MSCI ACWI Index, growth style holdings dramatically outperformed value style holdings in 2019. The very best returns were achieved in economically sensitive sectors such as information technology, consumer discretionary and industrials. The lowest return sector (still up 14% in the MSCI All Country World Index) was energy. In terms of markets by country, it is hard to discern a single trend from 2019. Among the best performers, some were “risk-on” countries, such as Greece and Russia. Some were safer places, such as Canada, Denmark, Netherlands and Switzerland. Some were small, such as Ireland and Taiwan, and at the other end of the continuum, large, such as the U.S. The poorest performers were two very large and relatively fast-growing emerging market countries, namely India and Indonesia. Hong Kong, under persistent protest, was also an underperforming market. What can one make of this? The explanation has more to do with relative performance in the prior period. Generally, markets that had substantial declines in 2018 rallied back, and those that rallied experienced profit taking.
Volatility was generally subdued in 2019. This created a bit of a challenge for the portfolio managers of Chautauqua Capital Management, a division of Robert W. Baird & Co. Incorporated (Chautauqua Capital). We tend to do better when we can exploit price anomalies when volatility presents a gap between the current price and the intrinsic value we calculate for an operating business. Nevertheless, we were able to take advantage of oversold opportunities that occurred through the fourth quarter of 2018. Our portfolio adjustments made during what appeared to be an irrational response to the Fed’s move to a neutral position late in 2018 served us well in 2019. For example, through the first four months of 2019, the Fund’s Institutional Class Shares appreciated nearly 20%, while the benchmark was up under 13%. We subsequently made adjustments to
Page 48
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
protect those gains in the face of economic data that suggested broad economic weakness. As we closed out 2019, we adjusted the Fund to emphasize investments that we believed would be better positioned to deliver superior returns in a more challenging economic environment. Specifically, we continue to emphasize the securities of companies that are mission critical to their customers. This ranges from companies that produce unique life saving or life extending drugs to technology companies that enable their customers to save money. The advantaged companies we invest in typically are industry leaders who possess strong brands and have pricing power. We also invest with companies that have amassed process advantages that enable them to offer their products more cheaply while generating strong growth and a high level of profitability.
The Fund typically holds a limited number of companies (35 to 45) invested primarily in equity securities of both U.S. and non-U.S. companies with medium to large market capitalizations. Detailed attribution for 2019 showed that the Fund benefited greatly from an overweight exposure to information technology. This sector is often rich with investment opportunities into companies that are high value added and have the potential to grow total addressable markets by offering new products, processes and simply by improving the way things are done. In the aftermath of the 2018 sell-off, several of our favorite positions were selling at compelling prices. Accordingly, we made additions to Atlassian, DBS Group, Nvidia and Naspers. Overall, our security selection effect was positive, but currencies were a drag on performance as the U.S. dollar, due to our higher yields on government debt, rallied versus most foreign currencies. Although the Fund benefited from a low exposure to the energy sector, the Fund’s holdings in energy service companies, Core Labs and Schlumberger, underperformed the benchmark return for the sector. By region, our allocation and selection effects were positive except for companies that are headquartered in Canada. The Fund’s overall return was comparable to the Canadian market return but our selections there were inferior. However, our holdings in the U.S. offset our Canadian positions for an overall positive contribution from the North American region. The biggest contributing holdings were Universal Display, Tal Education, Master Card, Nvidia and AMS. The Fund’s biggest detracting holdings were Wirecard, Core Labs, Sinopharm, Pirelli and BYD. During the year, we initiated positions in the stock of some defensive but steadily growing businesses. These were Constellation Software, Tata Consultancy and Waste Connections. We retained a position in Prosus, which was spun out from an investment in Naspers. And we elected to retain the investment in Bristol Myers that was obtained from their acquisition of Celgene. We also eliminated investments in Amore Pacific, CI Financial, Schlumberger and Toronto Dominion Bank.
As of year-end, the Fund displayed the typical characteristics of high growth and profitability while carrying less debt. As one would expect, the Fund traded at a premium valuation; however, when adjusted for growth via a PEG ratio (price to earnings ratio/earnings growth rate), the Fund traded at a steep discount to the broad market as of December 31, 2019.
Outlook
What can we expect in 2020? It may be another year of stark contrast while much remains the same. On the economic side, continued reliance on monetary stimulation has been building excesses that could prove harmful in the future. Early in the expansion, cheap loans were vital to businesses and consumers that needed to restructure their balance sheets. Lately, this cheap debt has fueled share buy-backs and takeovers that are not necessarily contributory to economic health. Are stocks a good value here? Stocks may be fairly valued based on the risk-free rate that is close to zero, and in some countries, interest rates are nominally negative. But if interest rates were trading in a normal relationship to inflation, all financial assets would be historically expensive. Can we expect central bankers to keep interest rates low? It seems so. There’s little rationale for the recession-fighting level of interest rates and bond-buying activities, but if central bankers were to take the life support away, financial markets would likely convulse. This is especially true given the amount of government debt that has been issued. Governments in the industrialized world and China are facing demographic futures that point to an ever greater need to fund earned benefit programs for an ever-aging population. Abandoned aggressive monetary accommodation and the cost of servicing existing debt would crowd out these economies’ ability to fund support for the aged. So, our guess is that secular stagnation continues as the new normal.
Page 49
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
Many serious geopolitical uncertainties remain and undoubtedly, new ones will arise. How they fester or get resolved will likely deliver volatility to the financial markets. As a result, for the world equity markets, 2020 may be a year of stark contrasts versus the returns achieved in 2019 while economic policies remain the same.
In addition, unpredictable factors like the outbreak and spread of the Coronavirus may roil markets. The uncertainty around how and when this is contained will likely shake investor confidence. Rather than try to predict an outcome as a small and effective investment team we will address information and market opportunities as they unfold.
At Chautauqua Capital we will continue to do what we do best. That is, to construct and manage a concentrated and conviction-weighted set of investments in advantaged companies that trade at attractive valuations and benefit from long-term secular trends. In 2020, we will need to be ever vigilant to ensure that we maintain an understanding advantage to properly execute trades as opportunities present themselves.
During the year, Dan Boston left Chautauqua Capital as his family needed to relocate far from our Boulder, Colorado office. Shortly thereafter, Nate Velarde joined our team. Nate initially began his investment career at TCW where he worked with Brian Beitner and Haicheng Li. Upon leaving TCW, Nate worked at divisions of Nuveen in California and for PIMCO in London. In addition to his 18 years of experience, he holds an MBA from the University of Chicago and recently received a master’s degree in Data Science from the University of California, Berkeley. We are delighted that he agreed to move his family to Colorado and join us.
Respectfully Submitted,
Brian Beitner, CFA
Portfolio Manager
Page 50
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
Portfolio Characteristics
A December 31, 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) | |||||
TAL Education Group | 5.9% | Net Assets: | $57,438,201 | ||
Genmab A/S | 5.1% | Portfolio Turnover Rate: | 26% | ||
Novo Nordisk A/S | 4.8% | Number of Equity Holdings: | 42 | ||
HDFC Bank Ltd. | 4.1% | ||||
Wirecard AG | 3.6% | Annualized Portfolio Expense Ratio(3): | |||
DBS Group Holdings Ltd. | 3.5% | Gross | |||
Incyte Corp. | 3.4% | Institutional Class: | 1.29% | ||
Temenos Group AG | 3.4% | Investor Class: | 1.54% | (4) | |
Regeneron Pharmaceuticals, Inc. | 3.3% | ||||
TJX Cos, Inc. | 3.2% | 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 December 31, 2019. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 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, 2021. |
(4) | Includes 0.25% 12b-1 fee. |
Page 51
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (04/15/16), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (04/15/16), assuming reinvestment of all distributions.
Page 52
Chautauqua Global Growth Fund
December 31, 2019 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended December 31, 2019 | One Year | Three Years | Inception(1) |
Institutional Class Shares | 30.14% | 15.21% | 12.39% |
Investor Class Shares | 29.73% | 14.89% | 12.11% |
MSCI ACWI Index | 26.60% | 12.44% | 11.70% |
(1) | For the period from April 15, 2016 (inception date) through December 31, 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 line graphs on the previous page and the returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the graphs and table 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 January 2020, the United Kingdom (UK) left the European Union (EU) in response to the 2016 Brexit referendum. 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 53
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel Retail | ||||||||||||
TJX Cos, Inc. (United States) | 29,700 | $ | 1,813,482 | 3.2 | % | |||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 5,404 | 650,317 | 1.1 | % | ||||||||
Temenos Group AG (Switzerland)(2) | 12,249 | 1,937,662 | 3.4 | % | ||||||||
2,587,979 | 4.5 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 23,438 | 1,208,297 | 2.1 | % | ||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 96,633 | 481,939 | 0.8 | % | ||||||||
Biotechnology | ||||||||||||
Genmab A/S (Denmark)(1)(2) | 13,247 | 2,946,180 | 5.1 | % | ||||||||
Incyte Corp. (United States)(1) | 22,572 | 1,970,987 | 3.4 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (United States)(1) | 4,946 | 1,857,124 | 3.3 | % | ||||||||
6,774,291 | 11.8 | % | ||||||||||
Data Processing & Outsourced Services | ||||||||||||
MasterCard, Inc. – Class A (United States) | 5,960 | 1,779,596 | 3.1 | % | ||||||||
Wirecard AG (Germany)(2) | 17,380 | 2,081,606 | 3.6 | % | ||||||||
3,861,202 | 6.7 | % | ||||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 3,966,105 | 1,255,375 | 2.2 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 104,710 | 2,018,939 | 3.5 | % | ||||||||
3,274,314 | 5.7 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 37,007 | 1,386,110 | 2.4 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 70,149 | 3,381,182 | 5.9 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Coherent, Inc. (United States)(1) | 3,126 | 520,010 | 0.9 | % | ||||||||
Keyence Corp. (Japan)(2) | 2,774 | 974,058 | 1.7 | % | ||||||||
Universal Display Corp. (United States) | 2,409 | 496,423 | 0.9 | % | ||||||||
1,990,491 | 3.5 | % | ||||||||||
Environmental & Facilities Services | ||||||||||||
Waste Connections, Inc. (Canada) | 19,327 | 1,754,698 | 3.1 | % | ||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 407,543 | 1,487,079 | 2.6 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 3,958 | 730,904 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 54
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada) | 1,837 | $ | 1,784,106 | 3.1 | % | |||||||
Interactive Media & Services | ||||||||||||
Alphabet, Inc. – Class A (United States)(1) | 859 | 1,150,536 | 2.0 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Naspers Ltd. (South Africa)(2) | 7,972 | 1,304,593 | 2.3 | % | ||||||||
Prosus NV (Netherlands)(1)(2) | 7,466 | 558,770 | 1.0 | % | ||||||||
Trip.com Group Ltd. – ADR (China)(1) | 11,966 | 401,340 | 0.7 | % | ||||||||
2,264,703 | 4.0 | % | ||||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 3,124 | 662,600 | 1.2 | % | ||||||||
Amazon.com, Inc. (United States)(1) | 628 | 1,160,444 | 2.0 | % | ||||||||
1,823,044 | 3.2 | % | ||||||||||
IT Services | ||||||||||||
Tata Consultancy Services Ltd. (India) | 40,492 | 1,226,307 | 2.1 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc. (United States)(1) | 3,732 | 1,238,054 | 2.2 | % | ||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 11,043 | 415,990 | 0.7 | % | ||||||||
Other Diversified Financial Services | ||||||||||||
Charles Schwab Corp. (United States) | 11,682 | 555,596 | 1.0 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 2,548 | 487,101 | 0.8 | % | ||||||||
Bristol-Myers Squibb Company (United States) | 17,416 | 1,117,933 | 1.9 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 47,870 | 2,770,716 | 4.8 | % | ||||||||
4,375,750 | 7.5 | % | ||||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 37,384 | 2,369,024 | 4.1 | % | ||||||||
SVB Financial Group (United States)(1) | 2,120 | 532,205 | 0.9 | % | ||||||||
2,901,229 | 5.0 | % | ||||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 3,361 | 994,654 | 1.7 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 28,061 | 1,139,220 | 2.0 | % | ||||||||
Nvidia Corp. (United States) | 2,815 | 662,370 | 1.2 | % | ||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Co. Ltd. – ADR (Taiwan) | 18,188 | 1,056,723 | 1.8 | % | ||||||||
2,858,313 | 5.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 55
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2019
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Tires & Rubber | ||||||||||||
Pirelli & C SpA (Italy)(2) | 177,507 | $ | 1,024,517 | 1.8 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $46,022,870) | 53,344,767 | 92.9 | % | |||||||||
Rights | ||||||||||||
Pharmaceuticals | ||||||||||||
Bristol-Myers Squibb Company (United States)(1) | 6,411 | 19,297 | 0.0 | % | ||||||||
Total Rights | ||||||||||||
(Cost $13,655) | 19,297 | 0.0 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 1.53%(3) | 3,390,427 | 3,390,427 | 5.9 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,390,427) | 3,390,427 | 5.9 | % | |||||||||
Total Investments | ||||||||||||
(Cost $49,426,952) | 56,754,491 | 98.8 | % | |||||||||
Other Assets in Excess of Liabilities | 683,710 | 1.2 | % | |||||||||
TOTAL NET ASSETS | $ | 57,438,201 | 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. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 56
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2019
Summary of Fair Value Exposure at December 31, 2019
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 32,809,518 | $ | 20,535,249 | $ | — | $ | 53,344,767 | ||||||||
Total Equity | 32,809,518 | 20,535,249 | — | 53,344,767 | ||||||||||||
Rights | ||||||||||||||||
Rights | 19,297 | — | — | 19,297 | ||||||||||||
Total Rights | 19,297 | — | — | 19,297 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,390,427 | — | — | 3,390,427 | ||||||||||||
Total Short-Term Investment | 3,390,427 | — | — | 3,390,427 | ||||||||||||
Total Investments* | $ | 36,219,242 | $ | 20,535,249 | $ | — | $ | 56,754,491 |
* | 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 57
Additional Information on Fund Expenses
December 31, 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 (7/1/19 – 12/31/19).
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 58
Additional Information on Fund Expenses
December 31, 2019 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended December 31, 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) | 7/1/19 | 12/31/19 | Period(1) | 12/31/19 | Period(1) | |
Baird MidCap Fund | ||||||
Institutional Class | 0.82% | $1,000.00 | $1,076.80 | $4.29 | $1,021.07 | $4.18 |
Investor Class | 1.07% | $1,000.00 | $1,075.70 | $5.60 | $1,019.81 | $5.45 |
Baird Small/Mid Cap | ||||||
Growth Fund | ||||||
Institutional Class | 0.85% | $1,000.00 | $1,085.90 | $4.47 | $1,020.92 | $4.33 |
Investor Class | 1.10% | $1,000.00 | $1,084.30 | $5.78 | $1,019.66 | $5.60 |
Baird Small/Mid Cap | ||||||
Value Fund | ||||||
Institutional Class | 0.85% | $1,000.00 | $1,042.50 | $4.38 | $1,020.92 | $4.33 |
Investor Class | 1.10% | $1,000.00 | $1,040.60 | $5.66 | $1,019.66 | $5.60 |
Baird SmallCap | ||||||
Value Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,047.50 | $4.90 | $1,020.42 | $4.84 |
Investor Class | 1.20% | $1,000.00 | $1,046.30 | $6.19 | $1,019.16 | $6.11 |
Chautauqua International | ||||||
Growth Fund | ||||||
Institutional Class | 0.80% | $1,000.00 | $1,052.90 | $4.14 | $1,021.17 | $4.08 |
Investor Class | 1.05% | $1,000.00 | $1,051.80 | $5.43 | $1,019.91 | $5.35 |
Chautauqua Global | ||||||
Growth Fund | ||||||
Institutional Class | 0.80% | $1,000.00 | $1,064.00 | $4.16 | $1,021.17 | $4.08 |
Investor Class | 1.05% | $1,000.00 | $1,062.50 | $5.46 | $1,019.91 | $5.35 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 184 days and divided by 365 to reflect the one-half year period. |
Page 59
Statements of Assets and Liabilities
December 31, 2019
Baird | ||||||||
Baird | Small/Mid | |||||||
MidCap | Cap Growth | |||||||
Fund | Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $1,418,264,067 | ||||||||
and $14,829,201, respectively) | $ | 2,111,093,180 | $ | 17,650,601 | ||||
Dividends receivable | 467,358 | 4,815 | ||||||
Interest receivable | 61,635 | 729 | ||||||
Receivable for investments sold | 120,724,897 | 418,341 | ||||||
Receivable for Fund shares sold | 15,424,489 | 827,333 | ||||||
Receivable from Advisor, net (Note 5) | — | 17,944 | ||||||
Prepaid expenses and other assets | 43,165 | 37,156 | ||||||
Total assets | 2,247,814,724 | 18,956,919 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | — | 311,797 | ||||||
Payable for Fund shares redeemed | 271,943,467 | — | ||||||
Payable to Advisor, net (Note 5) | 1,413,757 | — | ||||||
Payable to Directors | 14,648 | 14,648 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 51,074 | 160 | ||||||
Accrued fund accounting and administration fees | 40,536 | 13,937 | ||||||
Accrued shareholder servicing fees | 95,556 | 1,458 | ||||||
Accrued professional fees | 17,903 | 15,583 | ||||||
Accrued custody fees | 4,314 | 1,511 | ||||||
Line of credit payable (Note 6) | — | 23,000 | ||||||
Accrued expenses and other liabilities | 71,056 | 1,973 | ||||||
Total liabilities | 273,652,311 | 384,067 | ||||||
NET ASSETS | $ | 1,974,162,413 | $ | 18,572,852 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 1,282,514,364 | $ | 15,814,915 | ||||
Total distributable earnings | 691,648,049 | 2,757,937 | ||||||
NET ASSETS | $ | 1,974,162,413 | $ | 18,572,852 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 1,825,839,552 | $ | 18,285,546 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 79,737,647 | 1,491,956 | ||||||
Net asset value, offering and redemption price per share | $ | 22.90 | $ | 12.26 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 148,322,861 | $ | 287,306 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 6,889,569 | 23,521 | ||||||
Net asset value, offering and redemption price per share | $ | 21.53 | $ | 12.21 |
The accompanying notes are an integral part of these financial statements.
Page 60
Statements of Assets and Liabilities
December 31, 2019
Baird | ||||||||
Small/Mid | Baird | |||||||
Cap Value | SmallCap | |||||||
Fund | Value Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $21,206,644 | ||||||||
and $27,310,444, respectively) | $ | 24,839,963 | $ | 33,861,546 | ||||
Dividends receivable | 44,831 | 67,100 | ||||||
Interest receivable | 1,551 | 2,048 | ||||||
Receivable for investments sold | — | 2,431,745 | ||||||
Receivable for Fund shares sold | 7,757 | — | ||||||
Receivable from Advisor, net (Note 5) | 12,627 | 5,732 | ||||||
Prepaid expenses and other assets | 33,349 | 12,787 | ||||||
Total assets | 24,940,078 | 36,380,958 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | — | 2,442,038 | ||||||
Payable for Fund shares redeemed | — | 51,103 | ||||||
Payable to Directors | 14,648 | 14,648 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 309 | 800 | ||||||
Accrued fund accounting and administration fees | 15,222 | 15,324 | ||||||
Accrued shareholder servicing fees | 2,531 | 2,806 | ||||||
Accrued professional fees | 17,886 | 17,730 | ||||||
Accrued custody fees | 415 | 169 | ||||||
Accrued expenses and other liabilities | 2,190 | 2,476 | ||||||
Total liabilities | 53,201 | 2,547,094 | ||||||
NET ASSETS | $ | 24,886,877 | $ | 33,833,864 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 21,691,264 | $ | 25,699,724 | ||||
Total distributable earnings | 3,195,613 | 8,134,140 | ||||||
NET ASSETS | $ | 24,886,877 | $ | 33,833,864 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 24,326,525 | $ | 32,950,043 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,974,781 | 2,064,404 | ||||||
Net asset value, offering and redemption price per share | $ | 12.32 | $ | 15.96 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 560,352 | $ | 883,821 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 45,657 | 55,355 | ||||||
Net asset value, offering and redemption price per share | $ | 12.27 | $ | 15.97 |
The accompanying notes are an integral part of these financial statements.
Page 61
Statements of Assets and Liabilities
December 31, 2019
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $150,286,377 | ||||||||
and $49,426,952, respectively) | $ | 175,365,728 | $ | 56,754,491 | ||||
Foreign currency, at value (cost $445,755 | ||||||||
and $170,546, respectively) | 444,811 | 176,311 | ||||||
Dividends receivable | 164,087 | 30,489 | ||||||
Interest receivable | 18,943 | 4,623 | ||||||
Receivable for Fund shares sold | 1,295,161 | 530,708 | ||||||
Receivable from Advisor, net (Note 5) | — | 10,242 | ||||||
Prepaid expenses and other assets | 15,342 | 13,878 | ||||||
Total assets | 177,304,072 | 57,520,742 | ||||||
LIABILITIES: | ||||||||
Payable for Fund shares redeemed | 3,004,271 | 21,487 | ||||||
Payable to Advisor, net (Note 5) | 49,866 | — | ||||||
Payable to Directors | 14,648 | 14,648 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 816 | 812 | ||||||
Accrued fund accounting and administration fees | 18,051 | 16,720 | ||||||
Accrued shareholder servicing fees | 6,379 | 2,955 | ||||||
Accrued professional fees | 19,755 | 19,876 | ||||||
Accrued custody fees | 6,508 | 2,811 | ||||||
Accrued expenses and other liabilities | 14,612 | 3,232 | ||||||
Total liabilities | 3,134,906 | 82,541 | ||||||
NET ASSETS | $ | 174,169,166 | $ | 57,438,201 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 156,422,328 | $ | 50,264,293 | ||||
Total distributable earnings | 17,746,838 | 7,173,908 | ||||||
NET ASSETS | $ | 174,169,166 | $ | 57,438,201 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 172,674,407 | $ | 55,831,321 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 13,684,014 | 3,858,531 | ||||||
Net asset value, offering and redemption price per share | $ | 12.62 | $ | 14.47 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 1,494,759 | $ | 1,606,880 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 118,654 | 111,878 | ||||||
Net asset value, offering and redemption price per share | $ | 12.60 | $ | 14.36 |
The accompanying notes are an integral part of these financial statements.
Page 62
Statements of Operations
Year Ended December 31, 2019
Baird | ||||||||
Baird | Small/Mid | |||||||
MidCap | Cap Growth | |||||||
Fund | Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 13,240,103 | $ | 64,670 | ||||
Interest | 1,300,962 | 11,894 | ||||||
Total investment income | 14,541,065 | 76,564 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 14,689,912 | 96,378 | ||||||
Shareholder servicing fees | 767,355 | 8,036 | ||||||
Fund accounting and administration fees | 178,878 | 22,222 | ||||||
Federal and state registration | 120,743 | 34,584 | ||||||
Directors fees | 70,234 | 66,089 | ||||||
Reports to shareholders | 101,366 | 2,238 | ||||||
Professional fees | 31,929 | 27,154 | ||||||
Custody fees | 26,947 | 12,800 | ||||||
Interest expense (Note 6) | — | 2 | ||||||
Miscellaneous expenses | 2,861 | 369 | ||||||
Rule 12b-1 fees - Investor Class Shares (Note 7) | 309,280 | 308 | ||||||
Total expenses | 16,299,505 | 270,180 | ||||||
Fee waiver by Advisor (Note 5) | — | (160,643 | ) | |||||
Net expenses | 16,299,505 | 109,537 | ||||||
NET INVESTMENT LOSS | (1,758,440 | ) | (32,973 | ) | ||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||
Net realized gain (loss) on investments | 113,591,259 | (32,734 | ) | |||||
Net change in unrealized appreciation on investments | 445,197,148 | 3,511,422 | ||||||
Net realized and unrealized gain on investments | 558,788,407 | 3,478,688 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 557,029,967 | $ | 3,445,715 |
The accompanying notes are an integral part of these financial statements.
Page 63
Statements of Operations
Year Ended December 31, 2019
Baird | ||||||||
Small/Mid | Baird | |||||||
Cap Value | SmallCap | |||||||
Fund | Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $3,757 and $6,933, respectively) | $ | 387,478 | $ | 548,856 | ||||
Interest | 30,555 | 51,802 | ||||||
Total investment income | 418,033 | 600,658 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 165,957 | 281,376 | ||||||
Directors fees | 70,234 | 70,250 | ||||||
Fund accounting and administration fees | 32,867 | 33,720 | ||||||
Federal and state registration | 31,229 | 34,354 | ||||||
Professional fees | 31,946 | 33,178 | ||||||
Shareholder servicing fees | 15,310 | 17,267 | ||||||
Reports to shareholders | 1,940 | 2,733 | ||||||
Custody fees | 1,551 | 1,191 | ||||||
Miscellaneous expenses | 1,149 | 1,373 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 1,121 | 2,102 | ||||||
Total expenses | 353,304 | 477,544 | ||||||
Fee waiver by Advisor (Note 5) | (164,099 | ) | (160,963 | ) | ||||
Net expenses | 189,205 | 316,581 | ||||||
NET INVESTMENT INCOME | 228,828 | 284,077 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 346,989 | 2,315,161 | ||||||
Net change in unrealized appreciation on investments | 2,878,359 | 2,792,139 | ||||||
Net realized and unrealized gain on investments | 3,225,348 | 5,107,300 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 3,454,176 | $ | 5,391,377 |
The accompanying notes are an integral part of these financial statements.
Page 64
Statements of Operations
Year Ended December 31, 2019
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $203,325 and $46,872, respectively) | $ | 2,098,378 | $ | 516,045 | ||||
Non-cash dividends(1) | 2,510,601 | 609,843 | ||||||
Interest | 194,608 | 57,875 | ||||||
Total investment income | 4,803,587 | 1,183,763 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 1,073,512 | 363,761 | ||||||
Directors fees | 70,257 | 70,248 | ||||||
Federal and state registration | 56,341 | 45,642 | ||||||
Fund accounting and administration fees | 51,341 | 43,225 | ||||||
Professional fees | 34,127 | 33,890 | ||||||
Shareholder servicing fees | 40,389 | 19,081 | ||||||
Custody fees | 37,028 | 13,782 | ||||||
Reports to shareholders | 8,017 | 3,896 | ||||||
Miscellaneous expenses | 4,663 | 1,265 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 3,988 | 2,993 | ||||||
Total expenses | 1,379,663 | 597,783 | ||||||
Fee waiver by Advisor (Note 5) | (230,596 | ) | (206,779 | ) | ||||
Net expenses | 1,149,067 | 391,004 | ||||||
NET INVESTMENT INCOME | 3,654,520 | 792,759 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS AND | ||||||||
FOREIGN CURRENCY TRANSLATION: | ||||||||
Net realized loss on: | ||||||||
Investments | (6,686,742 | ) | (150,109 | ) | ||||
Foreign currency translation | (54,570 | ) | (7,475 | ) | ||||
Net change in unrealized appreciation on: | ||||||||
Investments | 32,738,656 | 11,317,321 | ||||||
Foreign currency translation | 4,879 | 5,441 | ||||||
Net realized and unrealized gain on investments | ||||||||
and foreign currency translation | 26,002,223 | 11,165,178 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 29,656,743 | $ | 11,957,937 |
(1) | Non-cash dividends are recorded at the fair value of the securities received. |
The accompanying notes are an integral part of these financial statements.
Page 65
Statements of Changes in Net Assets
Baird MidCap Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (1,758,440 | ) | $ | (2,559,945 | ) | ||
Net realized gain on investments | 113,591,259 | 100,449,663 | ||||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 445,197,148 | (128,172,350 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 557,029,967 | (30,282,632 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 658,933,497 | 392,164,539 | ||||||
Shares issued to holders in reinvestment of distributions | 92,604,419 | 66,692,305 | ||||||
Cost of shares redeemed | (650,544,300 | ) | (301,065,629 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 100,993,616 | 157,791,215 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (109,134,740 | ) | (79,739,254 | ) | ||||
Investor Class | (7,559,012 | ) | (5,918,540 | ) | ||||
Total net distributions to shareholders | (116,693,752 | ) | (85,657,794 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 541,329,831 | 41,850,789 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,432,832,582 | 1,390,981,793 | ||||||
End of year | $ | 1,974,162,413 | $ | 1,432,832,582 |
The accompanying notes are an integral part of these financial statements.
Page 66
Statements of Changes in Net Assets
Baird Small/Mid Cap Growth Fund
October 31, 2018^ | ||||||||
Year Ended | through | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (32,973 | ) | $ | (352 | ) | ||
Net realized loss on investments | (32,734 | ) | (30,729 | ) | ||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 3,511,422 | (690,022 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 3,445,715 | (721,103 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 9,941,887 | 8,011,208 | ||||||
Cost of shares redeemed | (2,104,855 | ) | — | |||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 7,837,032 | 8,011,208 | ||||||
TOTAL INCREASE IN NET ASSETS | 11,282,747 | 7,290,105 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,290,105 | — | ||||||
End of period | $ | 18,572,852 | $ | 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 67
Statements of Changes in Net Assets
Baird Small/Mid Cap Value Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 228,828 | $ | 62,968 | ||||
Net realized gain (loss) on investments | 346,989 | (769,328 | ) | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 2,878,359 | (2,354,666 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 3,454,176 | (3,061,026 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,171,911 | 4,915,798 | ||||||
Shares issued to holders in reinvestment of distributions | 167,707 | 57,485 | ||||||
Cost of shares redeemed | (2,097,080 | ) | (1,387,954 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 4,242,538 | 3,585,329 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (208,297 | ) | (66,490 | ) | ||||
Investor Class | (3,681 | ) | (916 | ) | ||||
Total net distributions to shareholders | (211,978 | ) | (67,406 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 7,484,736 | 456,897 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 17,402,141 | 16,945,244 | ||||||
End of year | $ | 24,886,877 | $ | 17,402,141 |
The accompanying notes are an integral part of these financial statements.
Page 68
Statements of Changes in Net Assets
Baird SmallCap Value Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 284,077 | $ | 100,083 | ||||
Net realized gain (loss) on investments | 2,315,161 | (267,801 | ) | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | 2,792,139 | (5,801,768 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 5,391,377 | (5,969,486 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 4,097,702 | 5,898,926 | ||||||
Shares issued to holders in reinvestment of distributions | 184,267 | 1,080,830 | ||||||
Cost of shares redeemed | (5,124,745 | ) | (6,447,965 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | (842,776 | ) | 531,791 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (223,517 | ) | (1,237,636 | ) | ||||
Investor Class | (3,885 | ) | (29,670 | ) | ||||
Total net distributions to shareholders | (227,402 | ) | (1,267,306 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 4,321,199 | (6,705,001 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 29,512,665 | 36,217,666 | ||||||
End of year | $ | 33,833,864 | $ | 29,512,665 |
The accompanying notes are an integral part of these financial statements.
Page 69
Statements of Changes in Net Assets
Chautauqua International Growth Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,654,520 | $ | 450,552 | ||||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | (6,741,312 | ) | 264,702 | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | 32,743,535 | (18,738,448 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 29,656,743 | (18,023,194 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 77,073,338 | 48,697,664 | ||||||
Shares issued to holders in reinvestment of distributions | 2,901,751 | 2,166,040 | ||||||
Cost of shares redeemed | (19,364,200 | ) | (18,778,472 | ) | ||||
Redemption fees | 32,973 | 20,170 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 60,643,862 | 32,105,402 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (3,632,612 | ) | (2,302,815 | ) | ||||
Investor Class | (26,317 | ) | (56,232 | ) | ||||
Total net distributions to shareholders | (3,658,929 | ) | (2,359,047 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 86,641,676 | 11,723,161 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 87,527,490 | 75,804,329 | ||||||
End of year | $ | 174,169,166 | $ | 87,527,490 |
The accompanying notes are an integral part of these financial statements.
Page 70
Statements of Changes in Net Assets
Chautauqua Global Growth Fund
Year Ended | Year Ended | |||||||
December 31, 2019 | December 31, 2018 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 792,759 | $ | 3,536 | ||||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | (157,584 | ) | 186,416 | |||||
Net change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | 11,322,762 | (6,873,327 | ) | |||||
Net increase (decrease) in net | ||||||||
assets resulting from operations | 11,957,937 | (6,683,375 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 15,333,359 | 26,064,150 | ||||||
Shares issued to holders in reinvestment of distributions | 688,936 | 479,031 | ||||||
Cost of shares redeemed | (7,222,512 | ) | (5,699,015 | ) | ||||
Redemption fees | 3,722 | 6,311 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 8,803,505 | 20,850,477 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (847,342 | ) | (518,434 | ) | ||||
Investor Class | (21,289 | ) | (10,060 | ) | ||||
Total net distributions to shareholders | (868,631 | ) | (528,494 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 19,892,811 | 13,638,608 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 37,545,390 | 23,906,782 | ||||||
End of year | $ | 57,438,201 | $ | 37,545,390 |
The accompanying notes are an integral part of these financial statements.
Page 71
Financial Highlights
Baird MidCap Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss(1) | (0.02 | ) | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.03 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 6.44 | (0.30 | ) | 4.28 | 0.83 | (0.53 | ) | |||||||||||||
Total from investment operations | 6.42 | (0.33 | ) | 4.25 | 0.81 | (0.56 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | (1.24 | ) | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | |||||||||||
Total distributions | (1.24 | ) | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | |||||||||||
Net asset value, end of year | $ | 22.90 | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | ||||||||||
Total return | 36.31 | % | (1.61 | )% | 26.88 | % | 5.40 | % | (3.59 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,825.8 | $ | 1,337.4 | $ | 1,279.6 | $ | 1,105.1 | $ | 1,035.0 | ||||||||||
Ratio of expenses to average net assets | 0.82 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.82 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.07 | )% | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | ||||||||||
Ratio of net investment loss to | ||||||||||||||||||||
average net assets (before waivers) | (0.07 | )% | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | ||||||||||
Portfolio turnover rate(2) | 43 | % | 38 | % | 45 | % | 57 | % | 53 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 72
Financial Highlights
Baird MidCap Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss(1) | (0.07 | ) | (0.08 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 6.08 | (0.28 | ) | 4.09 | 0.80 | (0.52 | ) | |||||||||||||
Total from investment operations | 6.01 | (0.36 | ) | 4.02 | 0.74 | (0.58 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | (1.24 | ) | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | |||||||||||
Total distributions | (1.24 | ) | (1.11 | ) | (0.89 | ) | — | (0.02 | ) | |||||||||||
Net asset value, end of year | $ | 21.53 | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | ||||||||||
Total return | 35.94 | % | (1.86 | )% | 26.61 | % | 5.08 | % | (3.80 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 148.3 | $ | 95.5 | $ | 111.4 | $ | 137.2 | $ | 184.1 | ||||||||||
Ratio of expenses to average net assets | 1.07 | % | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.07 | % | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.32 | )% | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | ||||||||||
Ratio of net investment loss to | ||||||||||||||||||||
average net assets (before waivers) | (0.32 | )% | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | ||||||||||
Portfolio turnover rate(2) | 43 | % | 38 | % | 45 | % | 57 | % | 53 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 73
Financial Highlights
Baird Small/Mid Cap Growth Fund – Institutional Class
Year Ended | Period Ended | |||||||
December 31, 2019 | 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) | (0.03 | ) | (0.00 | )(3) | ||||
Net realized and unrealized | ||||||||
gains (losses) on investments | 3.34 | (1.05 | ) | |||||
Total from investment operations | 3.31 | (1.05 | ) | |||||
Net asset value, end of period | $ | 12.26 | $ | 8.95 | ||||
Total return | 36.98 | % | (10.50 | )%(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 18.3 | $ | 7.3 | ||||
Ratio of expenses to average net assets | 0.85 | % | 0.85 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 2.10 | % | 3.88 | %(5) | ||||
Ratio of net investment loss to average net assets | (0.25 | )% | (0.03 | )%(5) | ||||
Ratio of net investment loss | ||||||||
to average net assets (before waivers) | (1.50 | )% | (3.06 | )%(5) | ||||
Portfolio turnover rate(6) | 60 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 74
Financial Highlights
Baird Small/Mid Cap Growth Fund – Investor Class
Year Ended | Period Ended | |||||||
December 31, 2019 | 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) | (0.06 | ) | (0.00 | )(3) | ||||
Net realized and unrealized | ||||||||
gains (losses) on investments | 3.33 | (1.06 | ) | |||||
Total from investment operations | 3.27 | (1.06 | ) | |||||
Net asset value, end of period | $ | 12.21 | $ | 8.94 | ||||
Total return | 36.69 | % | (10.60 | )%(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (thousands) | $ | 287.3 | $ | 8.9 | ||||
Ratio of expenses to average net assets | 1.10 | % | 1.10 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 2.35 | % | 4.13 | %(5) | ||||
Ratio of net investment loss to average net assets | (0.50 | )% | (0.28 | )%(5) | ||||
Ratio of net investment loss | ||||||||
to average net assets (before waivers) | (1.75 | )% | (3.31 | )%(5) | ||||
Portfolio turnover rate(6) | 60 | % | 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 and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 75
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.12 | 0.04 | 0.07 | 0.13 | 0.02 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 1.80 | (1.92 | ) | 2.14 | 0.72 | (0.49 | ) | |||||||||||||
Total from investment operations | 1.92 | (1.88 | ) | 2.21 | 0.85 | (0.47 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.11 | ) | (0.04 | ) | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | — | — | |||||||||||||
Total distributions | (0.11 | ) | (0.04 | ) | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||||||
Net asset value, end of period | $ | 12.32 | $ | 10.51 | $ | 12.43 | $ | 10.29 | $ | 9.52 | ||||||||||
Total return | 18.23 | % | (15.11 | )% | 21.48 | % | 8.91 | % | (4.66 | )%(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 24.3 | $ | 17.1 | $ | 16.9 | $ | 11.9 | $ | 4.7 | ||||||||||
Ratio of expenses to average net assets | 0.85 | % | 0.94 | %(5) | 0.95 | % | 0.95 | % | 0.95 | %(6) | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets (before waivers) | 1.59 | % | 1.75 | % | 1.91 | % | 2.86 | % | 6.88 | %(6) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.04 | % | 0.34 | % | 0.62 | % | 1.35 | % | 1.96 | %(6) | ||||||||||
Ratio of net investment income (loss) to | ||||||||||||||||||||
average net assets (before waivers) | 0.30 | % | (0.47 | )% | (0.34 | )% | (0.56 | )% | (3.97 | )%(6) | ||||||||||
Portfolio turnover rate(7) | 37 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 76
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
Period Ended | ||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||
2019 | 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) | 0.09 | 0.01 | 0.04 | 0.11 | 0.01 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 1.78 | (1.90 | ) | 2.13 | 0.71 | (0.48 | ) | |||||||||||||
Total from investment operations | 1.87 | (1.89 | ) | 2.17 | 0.82 | (0.47 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.08 | ) | (0.03 | ) | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | — | — | |||||||||||||
Total distributions | (0.08 | ) | (0.03 | ) | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||||||
Net asset value, end of period | $ | 12.27 | $ | 10.48 | $ | 12.40 | $ | 10.28 | $ | 9.52 | ||||||||||
Total return | 17.86 | % | (15.25 | )% | 21.08 | % | 8.64 | % | (4.67 | )%(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (thousands) | $ | 560.4 | $ | 341.5 | $ | 86.1 | $ | 53.2 | $ | 19.0 | ||||||||||
Ratio of expenses to average net assets | 1.10 | % | 1.19 | %(5) | 1.20 | % | 1.20 | % | 1.20 | %(6) | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets (before waivers) | 1.84 | % | 2.00 | % | 2.16 | % | 3.11 | % | 7.13 | %(6) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 0.79 | % | 0.09 | % | 0.37 | % | 1.10 | % | 1.71 | %(6) | ||||||||||
Ratio of net investment income (loss) to | ||||||||||||||||||||
average net assets (before waivers) | 0.05 | % | (0.72 | )% | (0.59 | )% | (0.81 | )% | (4.22 | )%(6) | ||||||||||
Portfolio turnover rate(7) | 37 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 77
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.13 | 0.05 | 0.09 | 0.21 | 0.11 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 2.36 | (2.85 | ) | 2.59 | 1.76 | (0.82 | ) | |||||||||||||
Total from investment operations | 2.49 | (2.80 | ) | 2.68 | 1.97 | (0.71 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.11 | ) | (0.06 | ) | (0.09 | ) | (0.17 | ) | (0.08 | ) | ||||||||||
Distributions from net realized gains | — | (0.55 | ) | (0.43 | ) | — | — | |||||||||||||
Total distributions | (0.11 | ) | (0.61 | ) | (0.52 | ) | (0.17 | ) | (0.08 | ) | ||||||||||
Net asset value, end of year | $ | 15.96 | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | ||||||||||
Total return | 18.40 | % | (16.45 | )% | 18.05 | % | 15.11 | % | (5.11 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 33.0 | $ | 28.8 | $ | 33.6 | $ | 28.2 | $ | 23.1 | ||||||||||
Ratio of expenses to average net assets | 0.95 | % | 1.00 | %(2) | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.44 | % | 1.38 | % | 1.35 | % | 1.43 | % | 1.51 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 0.87 | % | 0.29 | % | 0.61 | % | 1.58 | % | 0.79 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.38 | % | (0.09 | )% | 0.26 | % | 1.15 | % | 0.28 | % | ||||||||||
Portfolio turnover rate(3) | 55 | % | 36 | % | 30 | % | 49 | % | 42 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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%. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 78
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.09 | 0.01 | 0.06 | 0.18 | 0.07 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 2.37 | (2.85 | ) | 2.58 | 1.75 | (0.81 | ) | |||||||||||||
Total from investment operations | 2.46 | (2.84 | ) | 2.64 | 1.93 | (0.74 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.07 | ) | — | (0.05 | ) | (0.11 | ) | (0.05 | ) | |||||||||||
Distributions from net realized gains | — | (0.55 | ) | (0.43 | ) | — | — | |||||||||||||
Total distributions | (0.07 | ) | (0.55 | ) | (0.48 | ) | (0.11 | ) | (0.05 | ) | ||||||||||
Net asset value, end of year | $ | 15.97 | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | ||||||||||
Total return | 18.19 | % | (16.71 | )% | 17.78 | % | 14.84 | % | (5.37 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 0.9 | $ | 0.8 | $ | 2.6 | $ | 2.6 | $ | 2.0 | ||||||||||
Ratio of expenses to average net assets | 1.20 | % | 1.25 | %(2) | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.69 | % | 1.63 | % | 1.60 | % | 1.68 | % | 1.76 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 0.62 | % | 0.04 | % | 0.36 | % | 1.33 | % | 0.54 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.13 | % | (0.34 | )% | 0.01 | % | 0.90 | % | 0.03 | % | ||||||||||
Portfolio turnover rate(3) | 55 | % | 36 | % | 30 | % | 49 | % | 42 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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%. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 79
Financial Highlights
Chautauqua International Growth Fund – Institutional Class
Period Ended | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2019 | 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) | 0.30 | 0.06 | 0.04 | 0.00 | (3) | |||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | ||||||||||||||||
and foreign currency translation | 2.42 | (2.19 | ) | 3.41 | (0.43 | ) | ||||||||||
Total from investment operations | 2.72 | (2.13 | ) | 3.45 | (0.43 | ) | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from | ||||||||||||||||
net investment income | (0.27 | ) | (0.06 | ) | (0.02 | ) | — | |||||||||
Distributions from net realized gains | — | (0.23 | ) | (0.41 | ) | — | ||||||||||
Total distributions | (0.27 | ) | (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 | $ | 12.62 | $ | 10.17 | $ | 12.59 | $ | 9.57 | ||||||||
Total return | 26.72 | % | (16.94 | )% | 36.11 | % | (4.30 | )%(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 172.7 | $ | 85.4 | $ | 74.2 | $ | 14.8 | ||||||||
Ratio of expenses | ||||||||||||||||
to average net assets | 0.80 | % | 0.94 | %(5) | 0.95 | % | 0.95 | %(6) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 0.96 | % | 1.07 | % | 1.20 | % | 2.32 | %(6) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 2.56 | % | 0.51 | % | 0.30 | % | 0.06 | %(6) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 2.40 | % | 0.38 | % | 0.05 | % | (1.31 | )%(6) | ||||||||
Portfolio turnover rate(7) | 31 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 80
Financial Highlights
Chautauqua International Growth Fund – Investor Class
Period Ended | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2019 | 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) | 0.27 | 0.03 | 0.01 | (0.01 | ) | |||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | ||||||||||||||||
and foreign currency translation | 2.41 | (2.19 | ) | 3.41 | (0.44 | ) | ||||||||||
Total from investment operations | 2.68 | (2.16 | ) | 3.42 | (0.45 | ) | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from | ||||||||||||||||
net investment income | (0.23 | ) | (0.03 | ) | (0.00 | )(3) | — | |||||||||
Distributions from net realized gains | — | (0.23 | ) | (0.41 | ) | — | ||||||||||
Total distributions | (0.23 | ) | (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 | $ | 12.60 | $ | 10.15 | $ | 12.57 | $ | 9.56 | ||||||||
Total return | 26.42 | % | (17.21 | )% | 35.86 | % | (4.40 | )%(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 1.5 | $ | 2.1 | $ | 1.6 | $ | 0.3 | ||||||||
Ratio of expenses to average net assets | 1.05 | % | 1.19 | %(5) | 1.20 | % | 1.20 | %(6) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 1.21 | % | 1.32 | % | 1.45 | % | 2.58 | %(6) | ||||||||
Ratio of net investment income | ||||||||||||||||
(loss) to average net assets | 2.31 | % | 0.26 | % | 0.05 | % | (0.19 | )%(6) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 2.15 | % | 0.13 | % | (0.20 | )% | (1.57 | )%(6) | ||||||||
Portfolio turnover rate(7) | 31 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 81
Financial Highlights
Chautauqua Global Growth Fund – Institutional Class
Period Ended | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2019 | 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) | 0.22 | 0.00 | (3) | (0.04 | ) | (0.01 | ) | |||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | ||||||||||||||||
and foreign currency translation | 3.18 | (1.98 | ) | 3.85 | 0.10 | |||||||||||
Total from investment operations | 3.40 | (1.98 | ) | 3.81 | 0.09 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from | ||||||||||||||||
net investment income | (0.16 | ) | (0.00 | )(3) | — | — | ||||||||||
Distributions from net realized gains | (0.06 | ) | (0.16 | ) | (0.47 | ) | — | |||||||||
Total distributions | (0.22 | ) | (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 | $ | 14.47 | $ | 11.29 | $ | 13.43 | $ | 10.09 | ||||||||
Total return | 30.14 | % | (14.70 | )% | 37.75 | % | 0.90 | %(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 55.8 | $ | 36.8 | $ | 23.2 | $ | 7.6 | ||||||||
Ratio of expenses to average net assets | 0.80 | % | 0.94 | %(5) | 0.95 | % | 0.95 | %(6) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 1.23 | % | 1.34 | % | 2.26 | % | 3.65 | %(6) | ||||||||
Ratio of net investment income | ||||||||||||||||
(loss) to average net assets | 1.64 | % | 0.01 | % | (0.30 | )% | (0.16 | )%(6) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 1.21 | % | (0.39 | )% | (1.61 | )% | (2.86 | )%(6) | ||||||||
Portfolio turnover rate(7) | 26 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 82
Financial Highlights
Chautauqua Global Growth Fund – Investor Class
Period Ended | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2019 | 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) | 0.19 | (0.03 | ) | (0.07 | ) | (0.03 | ) | |||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | ||||||||||||||||
and foreign currency translation | 3.15 | (1.96 | ) | 3.83 | 0.11 | |||||||||||
Total from investment operations | 3.34 | (1.99 | ) | 3.76 | 0.08 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from | ||||||||||||||||
net investment income | (0.14 | ) | — | — | — | |||||||||||
Distributions from net realized gains | (0.06 | ) | (0.16 | ) | (0.47 | ) | — | |||||||||
Total distributions | (0.20 | ) | (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 | $ | 14.36 | $ | 11.22 | $ | 13.37 | $ | 10.08 | ||||||||
Total return | 29.73 | % | (14.86 | )% | 37.29 | % | 0.80 | %(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 1.6 | $ | 0.7 | $ | 0.7 | $ | 0.2 | ||||||||
Ratio of expenses to average net assets | 1.05 | % | 1.19 | %(5) | 1.20 | % | 1.20 | %(6) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 1.48 | % | 1.59 | % | 2.51 | % | 3.90 | %(6) | ||||||||
Ratio of net investment income | ||||||||||||||||
(loss) to average net assets | 1.39 | % | (0.24 | )% | (0.55 | )% | (0.41 | )%(6) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 0.96 | % | (0.64 | )% | (1.86 | )% | (3.11 | )%(6) | ||||||||
Portfolio turnover rate(7) | 26 | % | 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) | 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%. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 83
Notes to the Financial Statements
December 31, 2019
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 sixteen 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.
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- and mid-capitalization companies.
The Baird Small/Mid Cap Value Fund seeks long-term capital appreciation through investments in a diversified portfolio of common stocks of companies with small-to-medium market capitalization.
The Baird SmallCap Value Fund seeks long-term capital appreciation through investments in common stocks in a diversified portfolio 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 capitalizations.
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 capitalizations.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. On December 31, 2019, entities affiliated with the Advisor held 59% of the Baird Small/Mid Cap Growth Fund, 54% of the Baird Small/Mid Cap Value Fund, 52% of the Baird SmallCap Value Fund, and 48% of the Chautauqua Global Growth Fund. These shareholders included the Baird Foundation.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Page 84
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
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 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. |
Page 85
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
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 fiscal year ended December 31, 2019, or for any other tax years which are open for exam. As of December 31, 2019, open tax years include the tax years ended December 31, 2016 through 2019. 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. All distributions to shareholders are recorded on the ex-dividend date. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. GAAP requires that permanent financial reporting and tax differences be reclassified in the capital accounts. |
f) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their respective assets or are divided equally amongst the Funds. |
Page 86
Notes to the Financial Statements
December 31, 2019
2. | Significant Accounting Policies (cont.) |
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 trade date. The Funds determine the gain or loss realized from investment transactions 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. Distributions received from underlying investments in real estate investment trusts (“REITs”) may be classified as dividends, capital gains or return of capital. |
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 (“ASU 2017-08”). The amendments in ASU 2017-08 shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. ASU 2017-08 is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Effective January 1, 2019, the Funds adopted ASU 2017-08 and the adoption did not have a material impact on the financial statements. | |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird MidCap Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 28,582,666 | $ | 617,683,654 | 18,178,809 | $ | 370,633,367 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 3,751,830 | 85,204,069 | 3,505,031 | 60,882,398 | ||||||||||||
Shares redeemed | (28,056,428 | ) | (626,508,980 | ) | (12,994,679 | ) | (263,687,717 | ) | ||||||||
Net increase | 4,278,068 | $ | 76,378,743 | 8,689,161 | $ | 167,828,048 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 75,459,579 | 66,770,418 | ||||||||||||||
End of year | 79,737,647 | 75,459,579 |
Page 87
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird MidCap Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,001,794 | $ | 41,249,843 | 1,107,823 | $ | 21,531,172 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 346,621 | 7,400,350 | 353,616 | 5,809,907 | ||||||||||||
Shares redeemed | (1,156,037 | ) | (24,035,320 | ) | (1,875,673 | ) | (37,377,912 | ) | ||||||||
Net increase (decrease) | 1,192,378 | $ | 24,614,873 | (414,234 | ) | $ | (10,036,833 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 5,697,191 | 6,111,425 | ||||||||||||||
End of year | 6,889,569 | 5,697,191 | ||||||||||||||
Total net increase | $ | 100,993,616 | $ | 157,791,215 | ||||||||||||
Baird Small/Mid Cap Growth Fund | ||||||||||||||||
Year Ended | Period Ended | |||||||||||||||
December 31, 2019 | December 31, 2018^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 857,808 | $ | 9,686,310 | 813,957 | $ | 8,001,208 | ||||||||||
Shares redeemed | (179,809 | ) | (2,102,209 | ) | — | — | ||||||||||
Net increase | 677,999 | $ | 7,584,101 | 813,957 | $ | 8,001,208 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 813,957 | — | ||||||||||||||
End of period | 1,491,956 | 813,957 | ||||||||||||||
Year Ended | Period Ended | |||||||||||||||
December 31, 2019 | December 31, 2018^ | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 22,746 | $ | 255,577 | 1,000 | $ | 10,000 | ||||||||||
Shares redeemed | (225 | ) | (2,646 | ) | — | — | ||||||||||
Net increase | 22,521 | $ | 252,931 | 1,000 | $ | 10,000 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,000 | — | ||||||||||||||
End of period | 23,521 | 1,000 | ||||||||||||||
Total net increase | $ | 7,837,032 | $ | 8,011,208 | ||||||||||||
^ Inception was the close of business on October 31, 2018. | ||||||||||||||||
Baird Small/Mid Cap Value Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 513,710 | $ | 6,004,940 | 370,436 | $ | 4,588,085 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 13,395 | 164,491 | 5,478 | 56,691 | ||||||||||||
Shares redeemed | (175,075 | ) | (2,077,538 | ) | (109,927 | ) | (1,359,260 | ) | ||||||||
Net increase | 352,030 | $ | 4,091,893 | 265,987 | $ | 3,285,516 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,622,751 | 1,356,764 | ||||||||||||||
End of year | 1,974,781 | 1,622,751 |
Page 88
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Baird Small/Mid Cap Value Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 14,425 | $ | 166,971 | 27,878 | $ | 327,713 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 263 | 3,216 | 77 | 794 | ||||||||||||
Shares redeemed | (1,618 | ) | (19,542 | ) | (2,310 | ) | (28,694 | ) | ||||||||
Net increase | 13,070 | $ | 150,645 | 25,645 | $ | 299,813 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 32,587 | 6,942 | ||||||||||||||
End of year | 45,657 | 32,587 | ||||||||||||||
Total net increase | $ | 4,242,538 | $ | 3,585,329 | ||||||||||||
Baird SmallCap Value Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 265,753 | $ | 4,013,663 | 326,678 | $ | 5,628,102 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 11,374 | 181,421 | 79,232 | 1,059,328 | ||||||||||||
Shares redeemed | (330,733 | ) | (5,030,908 | ) | (267,481 | ) | (4,447,469 | ) | ||||||||
Net increase (decrease) | (53,606 | ) | $ | (835,824 | ) | 138,429 | $ | 2,239,961 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 2,118,010 | 1,979,581 | ||||||||||||||
End of year | 2,064,404 | 2,118,010 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,551 | $ | 84,039 | 15,815 | $ | 270,824 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 178 | 2,846 | 1,607 | 21,502 | ||||||||||||
Shares redeemed | (6,225 | ) | (93,837 | ) | (113,998 | ) | (2,000,496 | ) | ||||||||
Net decrease | (496 | ) | $ | (6,952 | ) | (96,576 | ) | $ | (1,708,170 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 55,851 | 152,427 | ||||||||||||||
End of year | 55,355 | 55,851 | ||||||||||||||
Total net increase (decrease) | $ | (842,776 | ) | $ | 531,791 |
Page 89
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Chautauqua International Growth Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,564,998 | (1) | $ | 76,704,816 | (1) | 3,757,570 | $ | 46,499,046 | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 227,632 | 2,881,816 | 209,939 | 2,118,285 | ||||||||||||
Shares redeemed | (1,503,822 | ) | (17,898,951 | ) | (1,463,773 | ) | (17,658,561 | ) | ||||||||
Redemption fees | — | 32,968 | — | 20,078 | ||||||||||||
Net increase | 5,288,808 | $ | 61,720,649 | 2,503,736 | $ | 30,978,848 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 8,395,206 | 5,891,470 | ||||||||||||||
End of year | 13,684,014 | 8,395,206 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 30,595 | $ | 368,522 | 177,197 | $ | 2,198,618 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,577 | 19,935 | 4,738 | 47,755 | ||||||||||||
Shares redeemed | (124,988 | ) | (1,465,249 | ) | (99,219 | ) | (1,119,911 | ) | ||||||||
Redemption fees | — | 5 | — | 92 | ||||||||||||
Net increase (decrease) | (92,816 | ) | $ | (1,076,787 | ) | 82,716 | $ | 1,126,554 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 211,470 | 128,754 | ||||||||||||||
End of year | 118,654 | 211,470 | ||||||||||||||
Total net increase | $ | 60,643,862 | $ | 32,105,402 |
(1) Includes purchase in-kind transactions. See additional information contained in this Note.
Chautauqua Global Growth Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,067,813 | $ | 14,402,805 | 1,906,230 | $ | 25,534,158 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 45,894 | 667,696 | 41,947 | 468,971 | ||||||||||||
Shares redeemed | (516,819 | ) | (6,920,288 | ) | (417,200 | ) | (5,362,851 | ) | ||||||||
Redemption fees | — | 3,644 | — | 6,272 | ||||||||||||
Net increase | 596,888 | $ | 8,153,857 | 1,530,977 | $ | 20,646,550 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 3,261,643 | 1,730,666 | ||||||||||||||
End of year | 3,858,531 | 3,261,643 |
Page 90
Notes to the Financial Statements
December 31, 2019
3. | Capital Share Transactions (cont.) |
Chautauqua Global Growth Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2019 | December 31, 2018 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 68,911 | $ | 930,554 | 38,349 | $ | 529,992 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,472 | 21,240 | 905 | 10,060 | ||||||||||||
Shares redeemed | (22,141 | ) | (302,224 | ) | (25,595 | ) | (336,164 | ) | ||||||||
Redemption fees | — | 78 | — | 39 | ||||||||||||
Net increase | 48,242 | $ | 649,648 | 13,659 | $ | 203,927 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 63,636 | 49,977 | ||||||||||||||
End of year | 111,878 | 63,636 | ||||||||||||||
Total net increase | $ | 8,803,505 | $ | 20,850,477 |
During the year ended December 31, 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 transfer was effected in accordance with policies and procedures approved by the Board. Consideration received and shares sold were as follows:
Year Ended December 31, 2019
Value of Cash and | Shares | |||||||
Fund | Effective Date | Securities Received | Sold | |||||
Chautauqua International Growth | ||||||||
Fund – Institutional Class | February 28, 2019 | $ | 26,869,633 | 2,367,369 | ||||
Total | $ | 26,869,633 |
4. | Investment Transactions and Income Tax Information |
During the year ended December 31, 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: | $ | 885,657,258 | $ | 14,463,624 | $ | 12,657,141 | $ | 18,730,859 | $ | 64,797,121 | $ | 19,240,506 | ||||||||||||
Sales: | $ | 804,161,321 | $ | 7,430,588 | $ | 7,730,184 | $ | 16,850,236 | $ | 41,453,211 | $ | 12,012,507 |
The Funds did not purchase or sell U.S. Government securities during the year ended December 31, 2019.
As of December 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
Mid Cap | Small/Mid Cap | Small/Mid Cap | ||||||||||
Fund | Growth Fund | Value Fund | ||||||||||
Cost of investments | $ | 1,422,125,460 | $ | 14,916,375 | $ | 21,247,853 | ||||||
Gross unrealized appreciation | 716,351,818 | 3,057,523 | 4,247,424 | |||||||||
Gross unrealized depreciation | (27,384,098 | ) | (323,297 | ) | (655,314 | ) | ||||||
Net unrealized appreciation | 688,967,720 | 2,734,226 | 3,592,110 | |||||||||
Undistributed ordinary income | — | — | 14,339 | |||||||||
Undistributed long-term capital gains | 5,554,268 | 23,711 | — | |||||||||
Distributable earning | 5,554,268 | 23,711 | 14,339 | |||||||||
Other accumulated losses | (2,873,939 | ) | — | (410,836 | ) | |||||||
Total distributable earnings | $ | 691,648,049 | $ | 2,757,937 | $ | 3,195,613 |
Page 91
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | Chautauqua | Chautauqua | ||||||||||
Small Cap | International | Global | ||||||||||
Value Fund | Growth Fund | Growth Fund | ||||||||||
Cost of investments | $ | 27,324,147 | $ | 151,026,844 | $ | 49,495,266 | ||||||
Gross unrealized appreciation | 7,270,234 | 31,394,411 | 10,528,062 | |||||||||
Gross unrealized depreciation | (732,835 | ) | (7,055,527 | ) | (3,268,837 | ) | ||||||
Net unrealized appreciation | 6,537,399 | 24,338,884 | 7,259,225 | |||||||||
Undistributed ordinary income | 49,379 | 49,848 | 179,837 | |||||||||
Undistributed long-term capital gains | 1,547,362 | — | — | |||||||||
Distributable earnings | 1,596,741 | 49,848 | 179,837 | |||||||||
Other accumulated losses | — | (6,641,894 | ) | (265,154 | ) | |||||||
Total distributable earnings | $ | 8,134,140 | $ | 17,746,838 | $ | 7,173,908 |
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. For the year ended December 31, 2019, the following table shows the reclassifications were made:
Total | ||||||||
Distributable | Paid-In | |||||||
Earnings | Capital | |||||||
Baird MidCap Fund | $ | (11,640,177 | ) | $ | 11,640,177 | |||
Baird Small/Mid Cap Growth Fund | 32,973 | (32,973 | ) | |||||
Baird SmallCap Value Fund | (9,637 | ) | 9,637 |
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.
The tax components of distributions paid during the periods shown below are as follows:
Year Ended December 31, 2019 | ||||||||||||
Ordinary | Long-Term | |||||||||||
Fund | Income | Capital Gains | Total | |||||||||
Baird MidCap Fund | $ | 4,716,248 | $ | 111,977,504 | $ | 116,693,752 | ||||||
Baird Small/Mid Cap Value Fund | 211,978 | — | 211,978 | |||||||||
Baird SmallCap Value Fund | 227,402 | — | 227,402 | |||||||||
Chautauqua International Growth Fund | 3,658,929 | — | 3,658,929 | |||||||||
Chautauqua Global Growth Fund | 843,708 | 24,923 | 868,631 |
Page 92
Notes to the Financial Statements
December 31, 2019
4. | Investment Transactions and Income Tax Information (cont.) |
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/Mid Cap 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 above 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, 2019.
At December 31, 2019, the following Fund deferred, on a tax basis, post-October capital losses:
Fund | Loss Deferral |
Baird MidCap Fund | $2,873,939 |
At December 31, 2019, accumulated net realized capital loss carryovers without expiration were:
Capital Loss Carryover | Year of Expiration | |||||||||||||
Fund | Short-term | Long-term | Short-term | Long-term | ||||||||||
Baird Small/Mid Cap Value Fund | $ | 410,836 | $ | — | Indefinite | N/A | ||||||||
Chautauqua International Growth Fund | — | 6,641,138 | N/A | Indefinite | ||||||||||
Chautauqua Global Growth Fund | — | 270,938 | N/A | Indefinite |
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 (to the extent, in the aggregate, such fees and expenses on an annual basis exceed 0.0049% of the Fund’s average daily net assets), but excluding taxes, brokerage commissions and extraordinary expenses, do not exceed the following annual percentages of the average daily net assets attributable to the Funds’ Institutional Class and Investor Class shares:
Page 93
Notes to the Financial Statements
December 31, 2019
5. | Investment Advisory and Other Agreements (cont.) |
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% |
The Expense Cap/Reimbursement Agreement is in effect through at least April 30, 2021.
To the extent that the Advisor reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which expenses were reimbursed or absorbed. A Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses were reimbursed or at the time these payments are proposed.
Fiscal Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Subject to Recovery on or before Fiscal Year Ending December 31, | 2022 | 2021 | 2020 | |||||||||
Fund | ||||||||||||
Baird Small/Mid Cap Growth Fund | $ | 160,643 | $ | 32,277 | (a) | $ | — | |||||
Baird Small/Mid Cap Value Fund | $ | 164,099 | $ | 151,826 | $ | 129,251 | ||||||
Baird SmallCap Value Fund | $ | 160,963 | $ | 135,562 | $ | 110,672 | ||||||
Chautauqua International Growth Fund | $ | 230,596 | $ | 116,439 | $ | 137,404 | ||||||
Chautauqua Global Growth Fund | $ | 206,779 | $ | 155,834 | $ | 170,958 |
(a) | For the period from close of business on October 31, 2018 (inception date) through December 31, 2018. |
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 year ended December 31, 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 sixteen Funds comprising the Corporation 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 the Funds comprising the Corporation, 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. As of December 31, 2019, the Prime Rate was 4.75%. The LOC matures on May 25, 2020, unless renewed. The Corporation has authorized U.S. Bank to charge any of the accounts of the borrowing Fund subject to the agreement for any missed payments.
Page 94
Notes to the Financial Statements
December 31, 2019
6. | Line of Credit (cont.) |
During the year, the Baird Small/Mid Cap Growth Fund borrowed from the LOC once in the amount of $23,000, incurring interest charges of $2 for the year ended December 31, 2019 based on the borrowing rate at the time of 2.75%. The $23,000 remained outstanding as of December 31, 2019. No other borrowings occurred during the year ended December 31, 2019 nor were any other borrowings outstanding under the LOC as of December 31, 2019.
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 year ended December 31, 2019, the Funds incurred fees pursuant to the Plan as follows:
Baird MidCap Fund | $309,280 | |
Baird Small/Mid Cap Growth Fund | 308 | |
Baird Small/Mid Cap Value Fund | 1,121 | |
Baird SmallCap Value Fund | 2,102 | |
Chautauqua International Growth Fund | 3,988 | |
Chautauqua Global Growth Fund | 2,993 |
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 year ended December 31, 2019, the Funds charged redemption fees as follows:
Chautauqua International Growth Fund | $32,973 | |
Chautauqua Global Growth Fund | $ 3,722 |
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 December 31, 2019. There were no subsequent events since December 31, 2019, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 95
Report of Independent Registered Public
Accounting Firm
To the Shareholders and Board of Directors of
Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Baird MidCap Fund, Baird Small/Mid Cap Growth Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund, and Chautauqua Global Growth Fund (the “Funds”) as of December 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets, including the related notes, and the financial highlights for each of the two periods in the period then ended for Baird Small/Mid Cap Growth Fund, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the three years in the period then ended for the remainder of the Funds (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
/s/COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
February 28, 2020
Page 96
Directors & Officers
As of December 31, 2019 (Unaudited)
Independent Directors
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 77
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired.
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Thompson IM Funds, Inc., a mutual fund complex (3 portfolios) (1987-2018).
Darren R. Jackson
Independent Director
Term of Office: Indefinite
Length of Time Served: Since November 2018
Age: 55
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; President, CEO and Director, Advance Auto Parts, Inc. (2008-2016).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Fastenal Company, a tool and supply distributor, since 2012; Director of Cree, Inc., a lighting manufacturer, since 2016.
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 80
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman Emeritus, Briggs & Stratton Corporation, a manufacturing company, since 2003.
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 1976.
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 66
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chief Investment Officer, Building Trades United Pension Trust Fund (July 1989-February 2017).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio) (1995-2018).
Page 97
Directors & Officers
As of December 31, 2019 (Unaudited) (Continued)
Independent Director
Cory L. Nettles
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 49
c/o Generation Growth Capital, Inc.
411 East Wisconsin Avenue, Suite 1710
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, Generation Growth Capital, Inc., a private equity fund, since March 2007; Of Counsel, Quarles & Brady LLP, a law firm (January 2005-December 2016).
Number of Active Portfolios in Complex Overseen by Director: 16
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 2007; Director of Associated Banc-Corp,
since 2013.
Officers
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 63
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Chief Investment Officer, Baird Advisors, a department of the Advisor, since March 2000.
Charles B. Groeschell
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since January 2010
Age: 66
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Senior Portfolio Manager, Baird Advisors, a department of the Advisor, since February 2000.
Angela M. Palmer
Chief Compliance Officer and
AML Compliance Officer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2014
Age: 47
777 East Wisconsin Ave
Milwaukee, WI 53202
Chief Compliance Officer, the Advisor, since March 2014; Anti-Money Laundering Compliance Officer since May 2015; Director, the Advisor, since July 2014.
Heidi L. Schneider
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2017
Age: 48
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, since December 2013.
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 56
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Associate General Counsel, the Advisor, since January 2013; Managing Director, the Advisor, since January 2009.
Page 98
Directors & Officers
As of December 31, 2019 (Unaudited) (Continued)
Officers (Continued)
Peter J. Hammond
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2012
Age: 56
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Managing Director, the Advisor, since January 2016; Senior Vice President, the Advisor (March 2012-December 2015).
Dustin J. Hutter
Assistant Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 43
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Business Analyst, the Advisor, since September 2017; Director of Finance Services, the Advisor (August 2015-August 2017); Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015).
Andrew D. Ketter
Assistant Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 45
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Associate General Counsel, the Advisor, since September 2010; Director, the Advisor, since July 2014.
Additional information about the Funds’ Directors is available in the Statement of Additional Information which may be obtained without charge, upon request, by calling 1-866-44BAIRD, or at www.bairdfunds.com.
Page 99
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited)
The Board of Directors (the “Board” or the “Directors”) of Baird Funds, Inc. (the “Corporation”), comprised of directors who are not “interested persons” of the Corporation within the meaning of the Investment Company Act of 1940 (the “Independent Directors”), met on August 12 and August 21, 2019 to consider the annual renewal of the investment advisory agreement between Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) and the Corporation on behalf of the Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund, and Chautauqua Global Growth Fund (the “Funds”). The Board approved the continuation of the investment advisory agreement for the Funds through a process that concluded at the August 21, 2019 meeting. In connection with its consideration of the investment advisory agreement, the Board reviewed and discussed various information that had been provided prior to the meeting, including the investment advisory agreement, a memorandum provided by legal counsel summarizing the guidelines relevant to the Board’s consideration of the approval of the investment advisory agreement, a memorandum and other information provided in response to a request from the Board from the Advisor (including the Advisor’s Form ADV Part 1A, brochures and brochure supplements and annual report and audited financial statements for the Advisor’s parent company), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2019, management fees and expense ratios, composite performance of similar accounts managed by the Advisor, trading and commission information and other pertinent information.
The Board considered the Advisor’s 15(c) response and discussed various questions and information with representatives of the Advisor at the August 12, 2019 special meeting. At the August 21 meeting, the Board met in executive session with the Funds’ legal counsel to consider the investment advisory agreement. The Board also took into account information reviewed periodically throughout the year that was relevant to its consideration of the investment advisory agreement, including performance, management fee and other expense information and discussions with the Funds’ portfolio managers. Based on its evaluation of this information, the Board, which is comprised solely of Independent Directors, approved the continuation of the investment advisory agreement for the Funds for an additional one-year period.
In considering the investment advisory agreement and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory agreement for each Fund, the Board did not identify any single factor as determinative but considered all factors together.
Approval of Investment Advisory Agreement
Nature, Extent and Quality of Services Provided to the Funds
The Board considered the nature, extent and quality of the services provided by the Advisor to the Funds. The Board noted the Advisor’s overall reputation and depth of the Advisor’s personnel, resources and commitment to the Funds and the experience of the portfolio management teams employed to manage the Funds’ investments. The Board considered the credentials and continuity of the portfolio management teams for the Funds and noted that the Advisor continues to add resources in support of the Funds, including investments in personnel, technology, research, trading, risk controls and systems.
The Board considered the Advisor’s disciplined investment decision making process used for the Funds. The Board also considered other services that the Advisor provides the Funds in its capacity as their investment advisor, such as making some of its key personnel available to serve as officers of the Funds, selecting broker-dealers for execution of portfolio transactions, ensuring adherence to the Funds’ investment policies and restrictions, proxy voting, compliance, risk management services, administering the Funds’ liquidity risk management program, valuation support, providing support services to the Board and the committees of the Board and overseeing the Funds’ other service providers. The Board noted that the Funds had experienced net inflows on a year-over-year basis. The Board also considered the strength of the Advisor’s compliance department, including the credentials of the Funds’ chief compliance officer, as well as the Advisor’s risk management system. The Board concluded that the nature, extent and quality of the services provided by the
Page 100
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited) (Continued)
Advisor to the Funds were appropriate and that each Fund was likely to continue to benefit from services provided under the investment advisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Funds, the Board reviewed information as of June 30, 2019 regarding the performance of each class of the Fund for applicable one-year, three-year, five-year, ten-year and since-inception periods in comparison to its benchmark index and its peer group as determined by Lipper. The Board also considered composite investment performance of Baird Equity Asset Management with respect to accounts managed by the Advisor that are comparable to the Funds.
The Board noted that the performance of the Institutional Class of the MidCap Fund exceeded the benchmark index and Lipper peer group average for most time periods. The Board considered the performance of the SmallCap Value Fund and Small/Mid Cap Value Fund noting that the Funds have trailed the benchmark index and peer group average for applicable time periods. The Board considered the reasons for each Fund’s underperformance during such periods as discussed by the Advisor and the Advisor’s strategy to improve the Value Funds’ performance.
The Board considered the performance of the Chautauqua Funds since they were launched in 2016, noting that the performance of the Institutional Class of the International Growth Fund and the Global Growth Fund each trailed the benchmark index and Lipper peer group average for the one-year period and but exceeded the benchmark index and Lipper peer group average for the since-inception periods.
The Board also considered the Advisor’s quarterly portfolio commentaries and reviews explaining the Funds’ performance and the consistent investment strategies the Advisor employs for the Funds. After considering all of the information, the Board concluded that, although past performance is not a guarantee of future results, each Fund and its shareholders were likely to benefit from the continued management by the Advisor.
Fee Information, Costs of Services Provided and Profits Realized by the Advisor
The Board examined the fee and expense information for each of the Funds, including a comparison of such information to other similarly situated mutual funds as determined by Morningstar. The Board noted that the advisory fee for the MidCap Fund is equal to the Morningstar category average; the advisory fee for the Small/Mid Cap Value Fund and the Chautauqua International Growth Fund is below the Morningstar category average; and the advisory fee for the Small/Cap Value Fund and the Chautauqua Global Growth Fund is above the category average.
The Board considered that the Advisor had reduced its advisory fee for the Small/Mid Cap Value Fund, the Chautauqua International Growth Fund and the Chautauqua Global Growth Fund effective December 1, 2018.
The Board also considered the total expense ratio of each Fund, after fee waivers and expense reimbursements by the Advisor, relative to all other mutual funds in its Morningstar category. The Board noted that the net expense ratios for each class of the Funds, after waivers, are below the Morningstar average except with respect to the SmallCap Value Fund, which is slightly above the peer group average. The Board noted that the Advisor had lowered the expense ratios for the SmallCap Value Fund, the Small/Mid Cap Value Fund, the Chautauqua Global Growth Fund and the Chautauqua International Growth Fund effective December 1, 2018.
The Board also reviewed and considered management fees charged by the Advisor to other investment advisory clients and noted that the advisory fee paid by the MidCap Fund was less than what the Advisor charges on the first $10 million of a separately managed account. The advisory fee paid by the Small/Mid Cap Value Fund was equal to what the Advisor charges to a separately managed account and the advisory fee paid by the SmallCap Value Fund was less than what the Advisor charges on the first $20 million of a separately managed account. With respect to the International Growth and Global Growth Funds, each Fund’s advisory fee was less than what the Advisor charges on the first $100 million of a separately managed account.
Page 101
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited) (Continued)
The Board noted that the Advisor maintains subadvisory arrangements with other unaffiliated equity mutual funds as well as two private limited partnerships managed in strategies similar to the International Growth Fund and the Global Growth Fund but did not consider the comparative fees to be a material factor given the difference in services provided by the Advisor.
The Board considered the fees realized, and the costs incurred, by the Advisor in providing investment management services to the Funds and the profitability to the Advisor of having a relationship with the Funds. The Board noted that the Advisor has waived fees for each of the Funds under the expense cap agreement, other than the MidCap Fund (due to its expense ratio being below the expense cap).
The Board noted the extent of the significant additional services provided to the Funds that the Advisor did not provide in the other advisory relationships. Those services included operational support, valuation services, administration of the Funds’ liquidity risk management program, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program including employment of the Funds’ Chief Compliance Officer and other compliance staff, and various other services. In addition, the Board noted that the provision of investment advisory services to the Funds requires more effort than it does for separately managed accounts due to daily sales and redemption activity and additional regulatory and compliance requirements. The Board noted that the Advisor’s profitability information does not reflect certain internal resources provided by the Advisor to the Funds, such as IT, compliance, risk management, legal and finance support.
The Board reviewed and considered the general financial condition of the Advisor and its parent company and determined it to be sound. The Board also noted that all marketing and distribution fees other than the Rule 12b-1 fee payable by the Investor Class shares of the Funds were paid by the Advisor from its reasonable profits. In light of all of the information that it received and considered, the Board concluded that the management fee and total expense ratio of each Fund were reasonable, and the profits realized by the Advisor from its relationship with the Funds were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
The Board reviewed the extent to which economies of scale may be realized as the Funds increase in size. The Board recognized that the Advisor has committed to waive fees and/or reimburse expenses for each Fund pursuant to the fee waiver/expense reimbursement agreement, which limits Fund expenses at prescribed levels. Other than the MidCap Fund, the Board did not consider economies of scale to be a material factor due to the current asset size of each Fund. With respect to the MidCap Fund, Fund shareholders have benefited from the Fund’s expense ratio, which has gone down with the growth in assets. In addition, the Board noted that the Fund compares favorably with other funds in its Morningstar category in terms of expenses. The Directors concluded that the absence of breakpoints in the management fee for the MidCap Fund is reasonable at this time.
The Directors considered the Advisor’s commitment to continue to evaluate breakpoints with respect to the MidCap Fund. The Directors concluded that the current fee structure of each Fund was reasonable.
Benefits Derived from the Relationship with the Funds
The Board considered other benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). Those benefits include Rule 12b-1 fees received by the Distributor and its representatives. The Board noted that the Advisor derives ancillary benefits from its association with the Funds in the form of research products and services received from unaffiliated broker-dealers who execute portfolio trades for the Funds. The Board noted that the Advisor’s asset management and other businesses may experience indirect benefits from the Advisor’s association with the Funds. The Board concluded that the other benefits realized by the Advisor from its relationship with the Funds were appropriate.
Based on their evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the Directors concluded that the continuation of the investment advisory agreement was in the best interests of each Fund and its shareholders.
Page 102
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 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. The Funds’ Form N-PORT reports may also be obtained by calling toll-free 1-866-44BAIRD.
Qualified Dividend Income/Dividends Received Deduction
For the fiscal year ended December 31, 2019, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Baird MidCap Fund | 100.00% | |
Baird Small/Mid Cap Value Fund | 100.00% | |
Baird SmallCap Value Fund | 100.00% | |
Chautauqua International Growth Fund | 100.00% | |
Chautauqua Global Growth Fund | 100.00% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2019 was as follows:
Baird MidCap Fund | 100.00% | |
Baird Small/Mid Cap Value Fund | 91.99% | |
Baird SmallCap Value Fund | 96.44% | |
Chautauqua Global Growth Fund | 6.34% |
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:
Baird MidCap Fund | 100.00% | |
Chautauqua Global Growth Fund | 24.08% |
Page 103
Baird Funds, Inc. Privacy Policy
FACTS | WHAT DOES BAIRD FUNDS DO WITH YOUR PERSONAL INFORMATION? | ||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: | ||
• Social Security number | |||
• Account balances, transaction history and assets | |||
• Checking account information and wire transfer instructions | |||
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Baird Funds, Inc. chooses to share; and whether you can limit this sharing. |
Does Baird | Can you limit | |
Reasons we can share your personal information | Funds, Inc. share? | this sharing? |
For our everyday business purposes— | Yes | No |
such as to process your transactions, maintain | ||
your account(s), respond to court orders and | ||
legal investigations, or report to credit bureaus | ||
For our marketing purposes— | Yes | No |
to offer our products and services to you | ||
For joint marketing with other financial companies | No | We do not share |
For our affiliates’ everyday business purposes— | Yes | No |
information about your transactions and experiences | ||
For our affiliates’ everyday business purposes— | No | We do not share |
information about your creditworthiness | ||
For our affiliates to market to you | No | We do not share |
For nonaffiliates to market to you | No | We do not share |
Questions? | Call (toll free) 1-866-442-2473, Email prospectus@bairdfunds.com or go to www.bairdfunds.com |
Page A-1
Baird Funds, Inc. Privacy Policy
Who we are | ||
Who is providing | Baird Funds, Inc. | |
this notice? | ||
What we do | ||
How does Baird | To protect your personal information from unauthorized access and | |
Funds, Inc. protect my | use, we use security measures that comply with federal law. These | |
personal information? | measures include computer safeguards and secured files and buildings. | |
How does Baird | We collect your personal information, for example, when you | |
Funds, Inc. collect | • open an account or give us your contact information | |
my personal | • make a wire transfer or provide account information | |
information? | • make deposits or withdrawals from your account | |
We also collect your personal information from other companies. | ||
Why can’t I limit | Federal law gives you the right to limit only | |
all sharing? | • sharing for affiliates’ everyday business purposes—information about your creditworthiness | |
• affiliates from using your information to market to you | ||
• sharing for nonaffiliates to market to you | ||
State laws and individual companies may give you additional rights to limit sharing. | ||
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. | |
• Robert W. Baird & Co Incorporated (the investment adviser and distributor to the Baird Funds) and its affiliates may share information among each other. | ||
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. | |
• Baird Funds, Inc. does not share with nonaffiliates so they can market to you. | ||
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. We do not have any joint marketing partners. | |
• Baird Funds, Inc. does not have any joint marketing partners. |
Page A-2
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.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the President, Treasurer and Assistant Treasurer of the Registrant. The Registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The Registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The Registrant’s board of directors has determined that John W. Feldt, Frederick P. Stratton, Jr., Marlyn J. Spear, and Darren R. Jackson, members of the audit committee, each qualify as an “audit committee financial expert” as such term is defined in paragraph (b) of Item 3 of Form N-CSR. Mr. Feldt, Mr. Stratton, Ms. Spear, and Mr. Jackson are each “independent” as such term is defined in paragraph (a)(2) of Item 3 of Form N‑CSR.
Item 4. Principal Accountant Fees and Services.
Fees billed by Cohen & Company, Ltd. (“Cohen”), the Registrant’s principal accountant, during the last two fiscal years were as follows:
FYE 12/31/2019 | FYE 12/31/2018 | |
Audit Fees | $229,600 | $199,000 |
Audit-Related Fees | ||
Tax Fees All Other Fees | $72,000 | $63,000 |
In the above table, “audit fees” are fees billed for professional services for the audit of the Registrant’s annual financial statements or for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements. “Tax fees” are fees billed for professional services rendered for tax compliance, tax advice and tax planning, and specifically relate to Cohen’s review of the Registrant’s federal and state tax returns.
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre‑approve all audit and non‑audit services rendered to the Registrant, as well as all non-audit services provided to the Registrant’s investment adviser and any entity affiliated with the Registrant’s investment adviser with respect to any engagement that relates directly to the operations and financial reporting of the Registrant. In accordance with its policies and procedures, the audit committee pre-approved all audit and tax services provided by Cohen to the Registrant during fiscal 2019. During the past two fiscal years, the Registrant did not receive any non-audit services from Cohen pursuant to any waivers of the pre-approval requirement under paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. All of Cohen’s hours spent on auditing the Registrant’s financial statements were attributed to work performed by full-time permanent employees of Cohen.
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 Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, Baird Strategic Municipal Bond Fund, and Baird Municipal Bond Fund are included as part of the report to shareholders filed under Item 1. The complete Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, Baird Strategic Municipal Bond Fund, and Baird Municipal Bond Fund are listed below. |
Baird Ultra Short Bond Fund | ||||||||||||
Schedule of Investments, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.500%, 06/15/2020 | $ | 78,000,000 | $ | 77,972,578 | ||||||||
1.500%, 08/15/2020 | 58,400,000 | 58,354,375 | ||||||||||
1.375%, 09/15/2020 | 106,000,000 | 105,805,390 | ||||||||||
1.625%, 10/15/2020 | 85,000,000 | 84,990,039 | ||||||||||
2.625%, 11/15/2020 | 20,000,000 | 20,167,969 | ||||||||||
1.875%, 12/15/2020 | 132,000,000 | 132,288,750 | ||||||||||
2.000%, 01/15/2021 | 65,000,000 | 65,247,585 | ||||||||||
Total U.S. Treasury Securities (Cost $544,326,230) | 544,826,686 | 31.4 | % | |||||||||
Other Government Related Securities | ||||||||||||
Industrial Bank of Korea, | ||||||||||||
2.502%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 4,000,000 | 4,013,040 | ||||||||||
Motiva Enterprises LLC, | ||||||||||||
5.750%, 01/15/2020 (2) | 6,849,000 | 6,855,941 | ||||||||||
Petroleos Mexicanos, | ||||||||||||
6.000%, 03/05/2020 (1) | 2,000,000 | 2,013,720 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
2.375%, 04/12/2020 (1)(2) | 5,000,000 | 5,001,350 | ||||||||||
Syngenta Finance NV, | ||||||||||||
3.698%, 04/24/2020 (1)(2) | 7,500,000 | 7,523,598 | ||||||||||
Total Other Government Related Securities (Cost $25,369,817) | 25,407,649 | 1.5 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
AbbVie, Inc., | ||||||||||||
2.500%, 05/14/2020 | 6,196,000 | 6,205,309 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.000%, 03/12/2020 (1) | 6,500,000 | 6,504,759 | ||||||||||
3.142%, 03/12/2020 (3 Month LIBOR USD + 1.255%) (1)(3) | 1,500,000 | 1,502,817 | ||||||||||
America Movil SAB de CV, | ||||||||||||
5.000%, 03/30/2020 (1) | 2,500,000 | 2,515,350 | ||||||||||
AT&T, Inc.: | ||||||||||||
2.951%, 07/15/2021 (3 Month LIBOR USD + 0.950%) (3) | 3,000,000 | 3,028,555 | ||||||||||
3.067%, 06/12/2024 (3 Month LIBOR USD + 1.180%) (3) | 6,000,000 | 6,104,110 | ||||||||||
AutoNation, Inc., | ||||||||||||
3.350%, 01/15/2021 | 378,000 | 381,941 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
2.577%, 06/25/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 3,000,000 | 3,009,466 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.404%, 06/05/2020 | 725,000 | 725,771 | ||||||||||
3.250%, 11/12/2020 | 3,653,000 | 3,687,226 | ||||||||||
2.836%, 12/29/2020 (3 Month LIBOR USD + 0.875%) (3) | 2,250,000 | 2,251,105 | ||||||||||
Broadcom, Inc., | ||||||||||||
2.375%, 01/15/2020 | 10,500,000 | 10,500,469 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 9,298,000 | 9,413,987 | ||||||||||
Campbell Soup Co.: | ||||||||||||
2.394%, 03/16/2020 (3 Month LIBOR USD + 0.500%) (3) | 2,480,000 | 2,480,737 | ||||||||||
2.524%, 03/15/2021 (3 Month LIBOR USD + 0.630%) (3) | 4,275,000 | 4,283,982 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
3.579%, 07/23/2020 | 1,425,000 | 1,434,082 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.659%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 1,500,000 | 1,502,828 | ||||||||||
Cigna Corp., | ||||||||||||
2.550%, 09/17/2021 (3 Month LIBOR USD + 0.650%) (3) | 2,000,000 | 2,000,112 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 2,400,000 | 2,398,896 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.375%, 11/06/2020 | 11,550,000 | 11,737,688 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 11,585,000 | 11,624,430 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
2.512%, 10/09/2020 (3 Month LIBOR USD + 0.500%) (3) | 1,855,000 | 1,857,767 | ||||||||||
2.703%, 10/22/2020 (3 Month LIBOR USD + 0.750%) (3) | 3,000,000 | 3,000,272 | ||||||||||
CRH America, Inc., | ||||||||||||
5.750%, 01/15/2021 | 1,000,000 | 1,034,944 | ||||||||||
CVS Health Corp., | ||||||||||||
2.605%, 03/09/2021 (3 Month LIBOR USD + 0.720%) (3) | 7,485,000 | 7,530,896 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.100%, 05/04/2020 (2) | 2,000,000 | 2,006,586 | ||||||||||
2.200%, 05/05/2020 (2) | 1,243,000 | 1,243,625 | ||||||||||
2.349%, 02/22/2021 (3 Month LIBOR USD + 0.450%) (2)(3) | 3,500,000 | 3,501,356 | ||||||||||
3.000%, 02/22/2021 (2) | 2,800,000 | 2,827,543 | ||||||||||
2.779%, 02/22/2022 (3 Month LIBOR USD + 0.880%) (2)(3) | 3,150,000 | 3,173,632 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
2.582%, 01/17/2020 (3 Month LIBOR USD + 0.580%) (1)(2)(3) | 2,000,000 | 2,000,499 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
2.702%, 04/17/2020 (3 Month LIBOR USD + 0.700%) (3) | 11,231,000 | 11,233,085 | ||||||||||
DR Horton, Inc., | ||||||||||||
2.550%, 12/01/2020 | 1,775,000 | 1,782,824 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
2.620%, 11/15/2020 (3 Month LIBOR USD + 0.710%) (3) | 5,222,000 | 5,244,418 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.400%, 03/19/2020 (2) | 11,200,000 | 11,203,432 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020 (2) | 1,700,000 | 1,712,281 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.150%, 10/01/2020 | 12,435,000 | 12,567,575 | ||||||||||
Family Dollar Stores, Inc., | ||||||||||||
5.000%, 02/01/2021 | 905,000 | 932,358 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
5.450%, 07/15/2020 (2) | 4,210,000 | 4,280,778 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.012%, 01/09/2020 (3 Month LIBOR USD + 1.000%) (3) | 1,125,000 | 1,125,158 | ||||||||||
2.459%, 03/27/2020 | 3,200,000 | 3,200,984 | ||||||||||
2.425%, 06/12/2020 | 675,000 | 674,587 | ||||||||||
2.677%, 06/12/2020 (3 Month LIBOR USD + 0.790%) (3) | 2,000,000 | 2,001,164 | ||||||||||
5.085%, 01/07/2021 | 350,000 | 358,371 | ||||||||||
5.750%, 02/01/2021 | 5,200,000 | 5,367,895 | ||||||||||
General Electric Co.: | ||||||||||||
5.500%, 01/08/2020 | 6,082,000 | 6,084,198 | ||||||||||
4.375%, 09/16/2020 | 360,000 | 365,580 | ||||||||||
4.625%, 01/07/2021 | 1,700,000 | 1,738,635 | ||||||||||
General Mills, Inc., | ||||||||||||
2.541%, 04/16/2021 (3 Month LIBOR USD + 0.540%) (3) | 3,500,000 | 3,511,299 | ||||||||||
General Motors Co., | ||||||||||||
2.791%, 09/10/2021 (3 Month LIBOR USD + 0.900%) (3) | 1,500,000 | 1,500,438 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.650%, 04/13/2020 | 3,052,000 | 3,055,789 | ||||||||||
2.916%, 04/13/2020 (3 Month LIBOR USD + 0.930%) (3) | 2,700,000 | 2,704,229 | ||||||||||
2.450%, 11/06/2020 | 3,000,000 | 3,007,236 | ||||||||||
4.200%, 03/01/2021 | 1,815,000 | 1,854,242 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 2,668,000 | 2,697,935 | ||||||||||
Hewlett Packard Enterprise Co., | ||||||||||||
2.567%, 03/12/2021 (3 Month LIBOR USD + 0.680%) (3) | 5,000,000 | 5,018,600 | ||||||||||
Hillshire Brands Co., | ||||||||||||
4.100%, 09/15/2020 | 2,525,000 | 2,553,512 | ||||||||||
Hyundai Capital America, Inc.: | ||||||||||||
2.708%, 04/03/2020 (3 Month LIBOR USD + 0.800%) (2)(3) | 3,000,000 | 3,003,484 | ||||||||||
3.000%, 10/30/2020 (2) | 630,000 | 633,917 | ||||||||||
3.450%, 03/12/2021 (2) | 1,905,000 | 1,928,434 | ||||||||||
2.812%, 07/08/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,825,000 | 1,829,622 | ||||||||||
Ingredion, Inc., | ||||||||||||
4.625%, 11/01/2020 | 4,000,000 | 4,082,232 | ||||||||||
International Business Machines Corp., | ||||||||||||
2.305%, 05/13/2021 (3 Month LIBOR USD + 0.400%) (3) | 6,400,000 | 6,424,474 | ||||||||||
International Flavors & Fragrances, Inc., | ||||||||||||
3.400%, 09/25/2020 | 5,150,000 | 5,194,090 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
6.850%, 02/15/2020 | 2,000,000 | 2,010,092 | ||||||||||
6.500%, 04/01/2020 | 3,983,000 | 4,024,963 | ||||||||||
Kinder Morgan, Inc., | ||||||||||||
5.000%, 02/15/2021 (2) | 1,615,000 | 1,660,816 | ||||||||||
Kraft Heinz Foods Co., | ||||||||||||
2.800%, 07/02/2020 | 757,000 | 758,210 | ||||||||||
L3Harris Technologies, Inc., | ||||||||||||
2.416%, 04/30/2020 (3 Month LIBOR USD + 0.480%) (3) | 2,050,000 | 2,051,122 | ||||||||||
Lennar Corp., | ||||||||||||
2.950%, 11/29/2020 | 3,000,000 | 3,007,500 | ||||||||||
Marriott International, Inc.: | ||||||||||||
2.507%, 12/01/2020 (3 Month LIBOR USD + 0.600%) (3) | 4,775,000 | 4,790,262 | ||||||||||
2.535%, 03/08/2021 (3 Month LIBOR USD + 0.650%) (3) | 1,500,000 | 1,505,528 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.549%, 05/22/2020 (3 Month LIBOR USD + 0.650%) (3) | 2,305,000 | 2,307,667 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020 (2) | 12,804,000 | 12,821,124 | ||||||||||
Molson Coors Brewing Co., | ||||||||||||
2.250%, 03/15/2020 | 5,000,000 | 4,997,867 | ||||||||||
MPLX LP, | ||||||||||||
2.785%, 09/09/2021 (3 Month LIBOR USD + 0.900%) (3) | 6,800,000 | 6,820,814 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.250%, 01/13/2020 (2) | 1,060,000 | 1,059,966 | ||||||||||
2.150%, 07/13/2020 (2) | 5,150,000 | 5,147,816 | ||||||||||
2.558%, 09/21/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 4,800,000 | 4,803,316 | ||||||||||
Occidental Petroleum Corp., | ||||||||||||
3.360%, 08/15/2022 (3 Month LIBOR USD + 1.450%) (3) | 8,000,000 | 8,042,751 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
3.050%, 01/09/2020 (2) | 5,185,000 | 5,185,683 | ||||||||||
3.200%, 07/15/2020 (2) | 5,695,000 | 5,719,431 | ||||||||||
Phillips 66, | ||||||||||||
2.751%, 04/15/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 3,000,000 | 3,001,239 | ||||||||||
Qualcomm, Inc., | ||||||||||||
2.449%, 05/20/2020 (3 Month LIBOR USD + 0.550%) (3) | 1,500,000 | 1,502,126 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 7,000,000 | 7,074,184 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020 (1)(2) | 2,300,000 | 2,308,791 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020 (1) | 1,780,000 | 1,789,117 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.625%, 02/01/2021 | 12,300,000 | 12,643,083 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
2.694%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 4,000,000 | 3,990,173 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.134%, 04/27/2020 (1) | 3,000,000 | 3,028,402 | ||||||||||
Tencent Holdings Ltd., | ||||||||||||
2.875%, 02/11/2020 (1)(2) | 1,970,000 | 1,971,359 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
5.000%, 02/01/2020 | 10,252,000 | 10,271,199 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
2.342%, 06/05/2020 (3 Month LIBOR USD + 0.450%) (1)(3) | 5,000,000 | 5,005,981 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
2.457%, 06/02/2020 (3 Month LIBOR USD + 0.550%) (3) | 1,945,000 | 1,947,582 | ||||||||||
United Technologies Corp., | ||||||||||||
2.554%, 08/16/2021 (3 Month LIBOR USD + 0.650%) (3) | 4,000,000 | 4,000,514 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
3.010%, 05/15/2025 (3 Month LIBOR USD + 1.100%) (3) | 4,000,000 | 4,091,671 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020 (1)(2) | 11,650,000 | 11,893,050 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.400%, 05/22/2020 (2) | 2,225,000 | 2,227,947 | ||||||||||
2.841%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 6,000,000 | 6,052,253 | ||||||||||
Vulcan Materials Co., | ||||||||||||
2.557%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 9,236,000 | 9,253,694 | ||||||||||
Wabtec Corp., | ||||||||||||
3.194%, 09/15/2021 (3 Month LIBOR USD + 1.300%) (3) | 3,800,000 | 3,800,575 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
5.250%, 03/15/2020 | 9,976,000 | 10,034,579 | ||||||||||
4.125%, 11/15/2020 | 2,700,000 | 2,732,135 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 11,200,000 | 11,207,279 | ||||||||||
Total Industrials (Cost $435,996,478) | 436,885,457 | 25.2 | % |
Utilities | ||||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 10,925,000 | 10,913,157 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
2.950%, 01/15/2020 | 1,437,000 | 1,437,241 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.597%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 1,834,000 | 1,834,685 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 2,000,000 | 2,017,809 | ||||||||||
Sempra Energy, | ||||||||||||
2.400%, 02/01/2020 | 3,615,000 | 3,615,247 | ||||||||||
TECO Finance, Inc., | ||||||||||||
5.150%, 03/15/2020 | 1,450,000 | 1,458,862 | ||||||||||
Total Utilities (Cost $21,280,195) | 21,277,001 | 1.2 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
2.489%, 08/27/2021 (3 Month LIBOR USD + 0.570%) (1)(2)(3) | 1,000,000 | 1,004,166 | ||||||||||
AerCap Holdings N.V.: | ||||||||||||
4.250%, 07/01/2020 (1) | 1,571,000 | 1,586,817 | ||||||||||
4.625%, 10/30/2020 (1) | 8,711,000 | 8,885,268 | ||||||||||
Air Lease Corp., | ||||||||||||
2.125%, 01/15/2020 | 2,500,000 | 2,499,857 | ||||||||||
Ally Financial, Inc., | ||||||||||||
4.125%, 03/30/2020 | 12,000,000 | 12,045,000 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.559%, 10/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 1,965,000 | 1,970,586 | ||||||||||
2.597%, 06/25/2022 (3 Month LIBOR USD + 0.650%) (3) | 4,000,000 | 4,021,825 | ||||||||||
Barclays Bank PLC, | ||||||||||||
5.140%, 10/14/2020 (1) | 4,012,000 | 4,095,936 | ||||||||||
Barclays PLC, | ||||||||||||
2.875%, 06/08/2020 (1) | 2,200,000 | 2,204,224 | ||||||||||
BB&T Corp., | ||||||||||||
2.464%, 06/15/2020 (3 Month LIBOR USD + 0.570%) (3) | 791,000 | 792,461 | ||||||||||
BBVA USA: | ||||||||||||
5.500%, 04/01/2020 | 1,738,000 | 1,752,042 | ||||||||||
2.618%, 06/11/2021 (3 Month LIBOR USD + 0.730%) (3) | 4,750,000 | 4,761,161 | ||||||||||
Capital One Financial Corp., | ||||||||||||
2.661%, 05/12/2020 (3 Month LIBOR USD + 0.760%) (3) | 1,700,000 | 1,703,188 | ||||||||||
Capital One NA, | ||||||||||||
2.350%, 01/31/2020 | 4,000,000 | 4,000,791 | ||||||||||
Citibank NA, | ||||||||||||
2.499%, 05/20/2022 (3 Month LIBOR USD + 0.600%) (3) | 7,000,000 | 7,026,242 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.447%, 03/02/2020 (3 Month LIBOR USD + 0.540%) (3) | 2,000,000 | 2,000,850 | ||||||||||
2.629%, 02/14/2022 (3 Month LIBOR USD + 0.720%) (3) | 1,500,000 | 1,508,415 | ||||||||||
Credit Agricole CIB, | ||||||||||||
2.533%, 10/03/2021 (3 Month LIBOR USD + 0.625%) (1)(3) | 4,000,000 | 4,010,940 | ||||||||||
Credit Agricole SA, | ||||||||||||
2.861%, 06/10/2020 (3 Month LIBOR USD + 0.970%) (1)(2)(3) | 1,000,000 | 1,003,710 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.400%, 01/14/2020 (1) | 2,000,000 | 2,001,876 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.125%, 12/10/2020 (1) | 4,520,000 | 4,560,294 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020 (1) | 1,000,000 | 1,000,705 | ||||||||||
2.971%, 07/13/2020 (3 Month LIBOR USD + 0.970%) (1)(3) | 3,226,000 | 3,228,677 | ||||||||||
2.950%, 08/20/2020 (1) | 3,183,000 | 3,190,442 | ||||||||||
Discover Bank: | ||||||||||||
7.000%, 04/15/2020 | 7,000,000 | 7,093,920 | ||||||||||
3.100%, 06/04/2020 | 2,810,000 | 2,820,460 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 8,794,000 | 8,890,691 | ||||||||||
GATX Corp., | ||||||||||||
2.600%, 03/30/2020 | 4,997,000 | 5,000,006 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 4,512,000 | 4,515,642 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
6.000%, 06/15/2020 | 4,000,000 | 4,070,601 | ||||||||||
3.680%, 02/25/2021 (3 Month LIBOR USD + 1.770%) (3) | 2,285,000 | 2,323,356 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.504%, 05/18/2021 (3 Month LIBOR USD + 0.600%) (1)(3) | 3,000,000 | 3,003,055 | ||||||||||
3.570%, 05/25/2021 (3 Month LIBOR USD + 1.660%) (1)(3) | 5,000,000 | 5,085,848 | ||||||||||
2.537%, 09/11/2021 (3 Month LIBOR USD + 0.650%) (1)(3) | 2,000,000 | 2,004,379 | ||||||||||
International Lease Finance Corp., | ||||||||||||
8.250%, 12/15/2020 | 1,575,000 | 1,665,078 | ||||||||||
JPMorgan Chase & Co., | ||||||||||||
2.509%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 3,000,000 | 3,011,535 | ||||||||||
KEB Hana Bank, | ||||||||||||
2.625%, 04/06/2020 (3 Month LIBOR USD + 0.725%) (1)(2)(3) | 3,000,000 | 3,002,280 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
2.384%, 05/07/2021 (3 Month LIBOR USD + 0.490%) (1)(3) | 3,665,000 | 3,676,929 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.161%, 12/29/2021 (3 Month LIBOR USD + 1.200%) (3) | 7,000,000 | 7,006,552 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||||||
2.586%, 07/26/2021 (3 Month LIBOR USD + 0.650%) (1)(3) | 5,981,000 | 6,007,210 | ||||||||||
Mizuho Financial Group, Inc., | ||||||||||||
3.481%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 1,500,000 | 1,521,045 | ||||||||||
Morgan Stanley: | ||||||||||||
5.500%, 01/26/2020 | 7,500,000 | 7,515,931 | ||||||||||
3.076%, 01/27/2020 (3 Month LIBOR USD + 1.140%) (3) | 500,000 | 500,379 | ||||||||||
3.146%, 01/20/2022 (3 Month LIBOR USD + 1.180%) (3) | 2,500,000 | 2,522,772 | ||||||||||
National Bank of Canada, | ||||||||||||
2.447%, 06/12/2020 (3 Month LIBOR USD + 0.560%) (1)(3) | 4,000,000 | 4,005,889 | ||||||||||
Nationwide Building Society, | ||||||||||||
2.350%, 01/21/2020 (1)(2) | 3,500,000 | 3,500,395 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 3,000,000 | 3,023,223 | ||||||||||
PNC Bank NA, | ||||||||||||
2.315%, 12/09/2022 (3 Month LIBOR USD + 0.430%) (3) | 8,000,000 | 8,008,360 | ||||||||||
Regions Bank, | ||||||||||||
2.405%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,500,000 | 3,503,147 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.500%, 01/15/2020 (2) | 6,763,000 | 6,763,341 | ||||||||||
Royal Bank of Scotland PLC, | ||||||||||||
5.625%, 08/24/2020 (1) | 8,200,000 | 8,382,984 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.650%, 04/17/2020 | 6,225,000 | 6,232,055 | ||||||||||
Santander UK PLC: | ||||||||||||
2.500%, 01/05/2021 (1) | 2,000,000 | 2,012,139 | ||||||||||
2.570%, 11/15/2021 (3 Month LIBOR USD + 0.660%) (1)(3) | 2,750,000 | 2,763,399 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 3,500,000 | 3,522,296 | ||||||||||
3.091%, 09/10/2022 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 5,000,000 | 5,037,650 | ||||||||||
3.116%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 3,000,000 | 3,017,699 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.352%, 01/17/2020 (3 Month LIBOR USD + 0.350%) (1)(3) | 1,250,000 | 1,250,244 | ||||||||||
2.514%, 01/17/2020 (1) | 4,500,000 | 4,500,805 | ||||||||||
SunTrust Banks, Inc., | ||||||||||||
2.494%, 05/17/2022 (3 Month LIBOR USD + 0.590%) (3) | 8,400,000 | 8,440,156 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.380%, 05/24/2021 (3 Month LIBOR USD + 0.470%) (1)(3) | 3,725,000 | 3,736,925 | ||||||||||
Synchrony Bank, | ||||||||||||
2.586%, 03/30/2020 (3 Month LIBOR USD + 0.625%) (3) | 4,550,000 | 4,553,372 | ||||||||||
Synchrony Financial: | ||||||||||||
2.700%, 02/03/2020 | 4,150,000 | 4,151,422 | ||||||||||
3.132%, 02/03/2020 (3 Month LIBOR USD + 1.230%) (3) | 1,000,000 | 1,000,786 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.375%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 500,000 | 504,575 | ||||||||||
3.439%, 02/01/2022 (3 Month LIBOR USD + 1.530%) (1)(2)(3) | 2,450,000 | 2,507,555 | ||||||||||
Wells Fargo & Co., | ||||||||||||
2.616%, 01/30/2020 (3 Month LIBOR USD + 0.680%) (3) | 1,000,000 | 1,000,555 | ||||||||||
Wells Fargo Bank NA: | ||||||||||||
2.434%, 07/23/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,000,000 | 3,004,287 | ||||||||||
2.545%, 09/09/2022 (3 Month LIBOR USD + 0.660%) (3) | 8,150,000 | 8,192,921 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 5,225,000 | 5,446,171 | ||||||||||
Total Financials (Cost $269,625,213) | 270,155,493 | 15.6 | % | |||||||||
Total Corporate Bonds (Cost $726,901,886) | 728,317,951 | 42.0 | % |
Municipal Bonds | ||||||||||||
Berks County Municipal Authority, | ||||||||||||
2.750%, 05/15/2022 (Callable 01/01/2020) (4) | 1,170,000 | 1,170,000 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
0.000%, 02/15/2021 | 8,185,000 | 8,003,702 | ||||||||||
Niagara Area Development Corp., | ||||||||||||
2.455%, 05/01/2020 | 1,000,000 | 999,990 | ||||||||||
Public Finance Authority, | ||||||||||||
2.750%, 06/01/2020 (Callable 01/21/2020) | 1,300,000 | 1,300,312 | ||||||||||
State of Illinois, | ||||||||||||
5.463%, 02/01/2020 | 11,240,000 | 11,266,414 | ||||||||||
Virginia Small Business Financing Authority, | ||||||||||||
3.000%, 07/01/2050 (Callable 03/02/2020) (4) | 2,500,000 | 2,500,000 | ||||||||||
Total Municipal Bonds (Cost $25,221,039) | 25,240,418 | 1.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal National Mortgage Association (FNMA), | ||||||||||||
5.000%, 04/01/2020 | 88 | 91 | ||||||||||
Total U.S. Government Agency Issues (Cost $88) | 91 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 2.112%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 124,531 | 124,328 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.242%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 2,091,563 | 2,098,564 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.572%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 1,017,043 | 1,019,510 | ||||||||||
Series 2007-HE1, Class A2, 1.942%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 657,291 | 654,902 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2007-WFH2, Class A4, 2.142%, 03/25/2037 (1 Month LIBOR USD + 0.350%) (3) | 281,625 | 281,565 | ||||||||||
Series 2007-AMC4, Class A2C, 1.962%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 294,787 | 293,833 | ||||||||||
Countrywide Asset-Backed Certificates, | ||||||||||||
Series 2006-23, Class 2A3, 1.962%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 3,733,961 | 3,722,684 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-14, Class 2A2, 1.942%, 04/25/2033 (1 Month LIBOR USD + 0.150%) (3) | 31,948 | 31,939 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A2C, 2.492%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 593,391 | 593,513 | ||||||||||
Series 2006-HE4, Class A2C, 1.942%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,034,245 | 1,030,318 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2006-2, Class 2A4, 2.102%, 05/25/2036 (1 Month LIBOR USD + 0.310%) (2)(3) | 1,605,728 | 1,603,661 | ||||||||||
Series 2006-3, Class 1A1, 1.992%, 07/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 1,296,811 | 1,295,905 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2007-CH5, Class A4, 1.952%, 06/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 34,269 | 34,256 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 30,642 | 30,773 | ||||||||||
Mill City Mortgage Trust, | ||||||||||||
Series 2015-1, Class A3, 3.000%, 06/25/2056 (2)(4) | 8,090,976 | 8,086,070 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-2, Class M2, 2.467%, 06/25/2035 (1 Month LIBOR USD + 0.675%) (3) | 786,576 | 786,761 | ||||||||||
Popular ABS Mortgage Pass-Through Trust: | ||||||||||||
Series 2005-B, Class M2, 2.452%, 08/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 396,995 | 397,567 | ||||||||||
Series 2006-C, Class A4, 2.042%, 07/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 911,026 | 908,246 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2007-RZ1, Class A2, 1.952%, 02/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 1,039,804 | 1,036,649 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 2.192%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 1,541,703 | 1,543,025 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 1.972%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 1,096,485 | 1,095,604 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-5, Class A1, 2.392%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 878,933 | 876,762 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $27,522,575) | 27,546,435 | 1.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR2, Class ASB, 2.752%, 08/17/2045 | 3,232,772 | 3,239,889 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2012-GC6, Class AAB, 3.314%, 01/12/2045 | 12,705,611 | 12,803,235 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.559%, 08/17/2045 | 5,130,270 | 5,152,857 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $21,188,134) | 21,195,981 | 1.2 | % |
Asset Backed Securities | ||||||||||||
Ally Auto Receivables Trust: | ||||||||||||
Series 2018-2, Class A2, 2.640%, 02/16/2021 | 31,268 | 31,273 | ||||||||||
Series 2019-1, Class A2, 2.850%, 03/15/2022 | 6,829,247 | 6,847,408 | ||||||||||
American Express Credit Account Master Trust: | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 8,384,000 | 8,383,620 | ||||||||||
Series 2017-3, Class A, 1.770%, 11/15/2022 | 2,000,000 | 1,999,262 | ||||||||||
Series 2017-6, Class A, 2.040%, 05/15/2023 | 7,092,000 | 7,102,842 | ||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2017-A1, Class A1, 1.950%, 08/15/2022 | 5,611,000 | 5,611,561 | ||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023 (2) | 2,458,091 | 2,458,277 | ||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 4,217,000 | 4,217,778 | ||||||||||
BMW Vehicle Owner Trust, | ||||||||||||
Series 2018-A, Class A3, 2.350%, 04/25/2022 | 6,499,996 | 6,517,545 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A1, Class A1, 2.000%, 01/17/2023 | 10,000,000 | 10,001,208 | ||||||||||
CarMax Auto Owner Trust: | ||||||||||||
Series 2016-3, Class A3, 1.390%, 05/17/2021 | 225,181 | 225,009 | ||||||||||
Series 2016-4, Class A3, 1.400%, 08/16/2021 | 1,799,568 | 1,796,650 | ||||||||||
Series 2018-4, Class A2A, 3.110%, 02/15/2022 | 7,141,437 | 7,169,630 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 11,125,000 | 11,124,403 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030 (4) | 203,795 | 210,347 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2018-1, Class A2A, 2.970%, 10/22/2020 (2) | 709,063 | 709,952 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2015-A2, Class A, 1.900%, 10/17/2022 | 6,625,000 | 6,625,800 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2017-B, Class A4, 1.870%, 09/15/2022 | 1,250,000 | 1,249,145 | ||||||||||
Series 2015-1, Class A, 2.120%, 07/15/2026 (2) | 5,000,000 | 4,999,705 | ||||||||||
Series 2015-2, Class A, 2.440%, 01/15/2027 (2) | 9,343,000 | 9,362,930 | ||||||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||||||
Series 2017-1, Class A1, 2.070%, 05/15/2022 | 4,265,000 | 4,265,694 | ||||||||||
GM Financial Automobile Leasing Trust: | ||||||||||||
Series 2018-1, Class A3, 2.610%, 01/20/2021 | 2,619,516 | 2,622,569 | ||||||||||
Series 2019-2, Class A2A, 2.670%, 06/21/2021 | 2,538,204 | 2,544,766 | ||||||||||
GM Financial Consumer Automobile Receivables Trust: | ||||||||||||
Series 2019-2, Class A2A, 2.660%, 06/16/2022 | 3,164,542 | 3,173,292 | ||||||||||
Series 2018-1, Class A3, 2.320%, 07/18/2022 | 8,623,097 | 8,645,862 | ||||||||||
GMF Floorplan Owner Revolving Trust, | ||||||||||||
Series 2017-1, Class A1, 2.220%, 01/18/2022 (2) | 8,511,000 | 8,510,820 | ||||||||||
Golden Credit Card Trust, | ||||||||||||
Series 2017-2A, Class A, 1.980%, 04/15/2022 (1)(2) | 20,420,000 | 20,418,334 | ||||||||||
Honda Auto Receivables 2019-2 Owner Trust, | ||||||||||||
Series 2019-2, Class A2, 2.570%, 12/21/2021 | 10,806,000 | 10,841,127 | ||||||||||
HPEFS Equipment Trust, | ||||||||||||
Series 2019-1A, Class A2, 2.190%, 09/20/2029 (2) | 3,000,000 | 3,002,603 | ||||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2017-B, Class A4, 2.130%, 03/15/2021 (2) | 2,033,221 | 2,033,182 | ||||||||||
Hyundai Auto Receivables Trust: | ||||||||||||
Series 2017-A, Class A3, 1.760%, 08/16/2021 | 619,216 | 618,773 | ||||||||||
Series 2019-A, Class A2, 2.670%, 12/15/2021 | 6,876,309 | 6,898,974 | ||||||||||
Series 2017-A, Class A4, 2.090%, 04/17/2023 | 5,726,000 | 5,731,446 | ||||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021 (1)(2) | 14,600,000 | 14,573,755 | ||||||||||
Mercedes-Benz Auto Lease Trust: | ||||||||||||
Series 2018-B, Class A2, 3.040%, 12/15/2020 | 2,016,208 | 2,018,575 | ||||||||||
Series 2019-A, Class A2, 3.010%, 02/16/2021 | 1,111,568 | 1,113,691 | ||||||||||
Mercedes-Benz Auto Receivables Trust: | ||||||||||||
Series 2018-1, Class A2A, 2.710%, 04/15/2021 | 979,256 | 980,015 | ||||||||||
Series 2016-1, Class A4, 1.460%, 12/15/2022 | 5,000,000 | 4,989,205 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2014-AA, Class A4, 1.590%, 02/08/2022 (2) | 1,291,006 | 1,289,692 | ||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 4,230,579 | 4,230,056 | ||||||||||
Nissan Auto Lease Trust: | ||||||||||||
Series 2019-A, Class A2, 2.710%, 07/15/2021 | 4,138,947 | 4,153,723 | ||||||||||
Series 2017-B, Class A4, 2.170%, 12/15/2021 | 5,659,000 | 5,659,576 | ||||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2016-C, Class A3, 1.180%, 01/15/2021 | 727,563 | 727,137 | ||||||||||
Series 2017-B, Class A3, 1.750%, 10/15/2021 | 5,809,236 | 5,804,011 | ||||||||||
Series 2019-A, Class A2A, 2.820%, 01/18/2022 | 6,126,087 | 6,146,711 | ||||||||||
Santander Retail Auto Lease Trust: | ||||||||||||
Series 2017-A, Class A3, 2.220%, 01/20/2021 (2) | 3,369,522 | 3,370,132 | ||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022 (2) | 10,000,000 | 10,011,751 | ||||||||||
Securitized Term Auto Receivables Trust, | ||||||||||||
Series 2018-2A, Class A2A, 3.060%, 02/25/2021 (1)(2) | 745,684 | 746,690 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2016-2, Class A, 3.090%, 10/27/2025 (2) | 4,882,618 | 4,894,327 | ||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 1,146,035 | 1,150,042 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 1,438,811 | 1,441,155 | ||||||||||
Series 2018-4, Class A, 3.540%, 11/26/2027 (2) | 1,874,248 | 1,889,323 | ||||||||||
SoFi Consumer Loan Program Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027 (2) | 118,855 | 118,895 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,075,000 | 12,084,404 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 4,430,266 | 4,487,885 | ||||||||||
Toyota Auto Receivables Owner Trust, | ||||||||||||
Series 2017-B, Class A3, 1.760%, 07/15/2021 | 4,697,351 | 4,694,551 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021 (2) | 89,673 | 89,655 | ||||||||||
Series 2017-1A, Class A, 2.060%, 09/20/2021 (2) | 2,501,335 | 2,501,477 | ||||||||||
Series 2017-2A, Class A, 1.920%, 12/20/2021 (2) | 1,246,703 | 1,246,567 | ||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022 (2) | 8,435,424 | 8,438,201 | ||||||||||
Volkswagen Auto Lease Trust, | ||||||||||||
Series 2019-A, Class A2A, 2.000%, 03/21/2022 | 6,317,000 | 6,316,085 | ||||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022 (2) | 7,707,392 | 7,726,565 | ||||||||||
Walt Disney Co., | ||||||||||||
Series 2015-A4, Class A4, 2.190%, 04/17/2023 | 8,859,000 | 8,883,634 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series A, 2.120%, 03/15/2024 | 3,000,000 | 2,999,490 | ||||||||||
World Omni Auto Receivables Trust, | ||||||||||||
Series 2016-A, Class A4, 1.950%, 05/16/2022 | 7,000,000 | 6,996,724 | ||||||||||
World Omni Automobile Lease Securitization Trust: | ||||||||||||
Series 2018-A, Class A3, 2.830%, 07/15/2021 | 2,098,000 | 2,104,226 | ||||||||||
Series 2019-A, Class A2, 2.890%, 11/15/2021 | 5,977,473 | 6,005,942 | ||||||||||
Total Asset Backed Securities (Cost $325,251,898) | 325,835,655 | 18.8 | % | |||||||||
Total Long-Term Investments (Cost $1,695,781,667) | 1,698,370,866 | 98.0 | % |
SHORT-TERM INVESTMENTS | ||||||||||||
Commercial Paper | ||||||||||||
Catholic Health Initiatives, 1.73% (5) | 10,000,000 | 9,979,384 | ||||||||||
9,979,384 | 0.6 | % | ||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 1.53% (6) | 68,477,942 | 68,477,942 | ||||||||||
68,477,942 | 3.9 | % | ||||||||||
Total Short-Term Investments (Cost $78,453,442) | 78,457,326 | 4.5 | % | |||||||||
Total Investments (Cost $1,774,235,109) | 1,776,828,192 | 102.5 | % | |||||||||
Liabilities in Excess of Other Assets | (43,293,681 | ) | (2.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,733,534,511 | 100.0 | % |
Notes to Schedule of Investments | |||||||
LIBOR - London Inter-bank Offered Rate | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144(a) 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 December 31, 2019, the value of these securities total $315,841,551, which represents 18.22% of total net assets. | ||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 2019. | ||||||
(5) | Effective Yield. | ||||||
(6) | Seven-day yield. |
Baird Ultra Short Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 544,826,686 | $ | – | $ | 544,826,686 | ||||||||
Other Government Related Securities | – | 25,407,649 | – | 25,407,649 | ||||||||||||
Corporate Bonds | – | 728,317,951 | – | 728,317,951 | ||||||||||||
Municipal Bonds | – | 25,240,418 | – | 25,240,418 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 91 | – | 91 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 27,546,435 | – | 27,546,435 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 21,195,981 | – | 21,195,981 | ||||||||||||
Asset Backed Securities | – | 325,835,655 | – | 325,835,655 | ||||||||||||
Total Long-Term Investments | – | 1,698,370,866 | – | 1,698,370,866 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 9,979,384 | – | 9,979,384 | ||||||||||||
Money Market Mutual Fund | 68,477,942 | – | – | 68,477,942 | ||||||||||||
Total Short-Term Investments | 68,477,942 | 9,979,384 | – | 78,457,326 | ||||||||||||
Total Investments | $ | 68,477,942 | $ | 1,708,350,250 | $ | – | $ | 1,776,828,192 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.000%, 08/31/2021 | $ | 352,200,000 | $ | 354,525,070 | ||||||||
1.125%, 09/30/2021 | 671,100,000 | 665,699,739 | ||||||||||
1.875%, 03/31/2022 | 161,165,000 | 162,191,168 | ||||||||||
1.625%, 08/31/2022 | 699,425,000 | 699,998,745 | ||||||||||
2.125%, 12/31/2022 | 357,000,000 | 362,438,674 | ||||||||||
Total U.S. Treasury Securities (Cost $2,227,340,172) | 2,244,853,396 | 33.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2012) Ltd., | ||||||||||||
3.875%, 05/02/2022 (1)(2) | 15,137,000 | 15,634,683 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
2.502%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 2,150,000 | 2,157,009 | ||||||||||
Motiva Enterprises LLC, | ||||||||||||
5.750%, 01/15/2020 (2) | 3,106,000 | 3,109,148 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 8,000,000 | 8,005,920 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
2.375%, 04/12/2020 (1)(2) | 10,125,000 | 10,127,734 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.933%, 04/23/2021 (1)(2) | 10,000,000 | 10,170,506 | ||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,049,334 | ||||||||||
Total Other Government Related Securities (Cost $53,405,761) | 54,254,334 | 0.8 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Actavis Funding SCS: | ||||||||||||
3.000%, 03/12/2020 (1) | 3,900,000 | 3,902,856 | ||||||||||
3.142%, 03/12/2020 (3 Month LIBOR USD + 1.255%) (1)(3) | 1,000,000 | 1,001,878 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 7,500,000 | 7,870,820 | ||||||||||
Albemarle Corp., | ||||||||||||
2.941%, 11/15/2022 (3 Month LIBOR USD + 1.050%) (2)(3) | 7,000,000 | 7,012,984 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 33,135,000 | 33,499,271 | ||||||||||
Allergan Funding SCS, | ||||||||||||
3.450%, 03/15/2022 (1) | 6,975,000 | 7,135,178 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
4.125%, 04/15/2021 (1)(2) | 27,850,000 | 28,405,932 | ||||||||||
3.750%, 04/10/2022 (1)(2) | 5,000,000 | 5,132,250 | ||||||||||
ArcelorMittal, | ||||||||||||
6.250%, 02/25/2022 (1) | 28,418,000 | 30,631,665 | ||||||||||
AutoNation, Inc.: | ||||||||||||
5.500%, 02/01/2020 | 3,369,000 | 3,377,578 | ||||||||||
3.350%, 01/15/2021 | 4,603,000 | 4,650,995 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
3.500%, 06/25/2021 (2) | 26,245,000 | 26,723,786 | ||||||||||
2.200%, 07/15/2022 (2) | 2,250,000 | 2,238,273 | ||||||||||
Beam Suntory, Inc., | ||||||||||||
3.250%, 05/15/2022 | 8,875,000 | 9,051,274 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.404%, 06/05/2020 | 10,350,000 | 10,361,004 | ||||||||||
3.125%, 11/08/2021 | 1,000,000 | 1,019,429 | ||||||||||
2.894%, 06/06/2022 | 22,500,000 | 22,874,686 | ||||||||||
Bemis Co., Inc., | ||||||||||||
4.500%, 10/15/2021 (2) | 5,375,000 | 5,538,975 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 2,475,000 | 2,485,301 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.000%, 01/15/2022 | 30,095,000 | 30,540,231 | ||||||||||
3.125%, 10/15/2022 (2) | 5,060,000 | 5,155,114 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 10,425,000 | 10,555,046 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.300%, 03/15/2021 | 9,700,000 | 9,843,980 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
3.200%, 06/15/2022 | 9,922,000 | 10,166,401 | ||||||||||
Carlisle Companies, Inc.: | ||||||||||||
5.125%, 12/15/2020 | 2,950,000 | 3,020,567 | ||||||||||
3.750%, 11/15/2022 | 2,230,000 | 2,300,481 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
4.625%, 11/15/2022 | 3,395,000 | 3,596,380 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
3.579%, 07/23/2020 | 3,150,000 | 3,170,075 | ||||||||||
4.464%, 07/23/2022 | 22,835,000 | 24,003,448 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.659%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 5,050,000 | 5,059,521 | ||||||||||
Cigna Corp.: | ||||||||||||
3.300%, 02/25/2021 (2) | 5,000,000 | 5,063,930 | ||||||||||
3.400%, 09/17/2021 | 3,000,000 | 3,070,982 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 20,000,000 | 19,990,800 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
4.375%, 11/06/2020 | 9,810,000 | 9,969,412 | ||||||||||
4.875%, 04/01/2021 | 2,554,000 | 2,637,005 | ||||||||||
3.875%, 10/15/2021 | 13,460,000 | 13,811,852 | ||||||||||
4.375%, 04/05/2022 | 4,102,000 | 4,282,242 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 6,575,000 | 6,597,378 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 4,500,000 | 4,569,347 | ||||||||||
2.512%, 10/09/2020 (3 Month LIBOR USD + 0.500%) (3) | 20,000,000 | 20,029,838 | ||||||||||
3.800%, 10/22/2021 | 4,950,000 | 5,108,217 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
2.610%, 11/15/2021 (3 Month LIBOR USD + 0.700%) (3) | 10,020,000 | 10,021,750 | ||||||||||
3.200%, 02/15/2023 | 9,650,000 | 9,914,634 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.350%, 03/09/2021 | 10,462,000 | 10,635,940 | ||||||||||
2.125%, 06/01/2021 | 5,000,000 | 5,008,642 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.350%, 05/04/2021 (2) | 15,000,000 | 15,234,000 | ||||||||||
3.400%, 02/22/2022 (2) | 13,000,000 | 13,320,377 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
2.582%, 01/17/2020 (3 Month LIBOR USD + 0.580%) (1)(2)(3) | 8,000,000 | 8,001,995 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 21,922,000 | 22,560,185 | ||||||||||
5.450%, 06/15/2023 (2) | 10,000,000 | 10,847,394 | ||||||||||
Discovery Communications LLC, | ||||||||||||
4.375%, 06/15/2021 | 4,650,000 | 4,802,836 | ||||||||||
Domtar Corp., | ||||||||||||
4.400%, 04/01/2022 | 4,775,000 | 4,942,859 | ||||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 29,598,000 | 31,082,833 | ||||||||||
Eastman Chemical Co., | ||||||||||||
3.500%, 12/01/2021 | 17,550,000 | 18,003,406 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021 | 32,689,000 | 33,536,803 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.950%, 03/19/2022 (2) | 12,400,000 | 12,568,261 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 (1) | 32,690,000 | 33,479,321 | ||||||||||
Energy Transfer Operating LP, | ||||||||||||
4.250%, 03/15/2023 | 15,933,000 | 16,642,257 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.150%, 10/01/2020 | 12,875,000 | 13,012,266 | ||||||||||
EQT Corp.: | ||||||||||||
2.500%, 10/01/2020 | 15,000,000 | 14,997,243 | ||||||||||
4.875%, 11/15/2021 | 12,000,000 | 12,389,370 | ||||||||||
Equifax, Inc., | ||||||||||||
3.950%, 06/15/2023 | 12,294,000 | 12,913,008 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 1,450,000 | 1,461,201 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
2.664%, 11/30/2020 (3 Month LIBOR USD + 0.750%) (3) | 7,000,000 | 7,001,090 | ||||||||||
FedEx Corp., | ||||||||||||
3.400%, 01/14/2022 | 7,000,000 | 7,190,096 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 3,220,000 | 3,348,601 | ||||||||||
3.500%, 10/01/2022 | 6,350,000 | 6,582,188 | ||||||||||
Flowserve Corp., | ||||||||||||
4.000%, 11/15/2023 | 1,669,000 | 1,723,533 | ||||||||||
FMC Corp., | ||||||||||||
3.950%, 02/01/2022 | 13,172,000 | 13,572,865 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.681%, 01/09/2020 | 5,000,000 | 5,000,386 | ||||||||||
3.200%, 01/15/2021 | 4,705,000 | 4,731,321 | ||||||||||
3.470%, 04/05/2021 | 2,500,000 | 2,523,192 | ||||||||||
2.979%, 08/03/2022 | 15,000,000 | 15,023,280 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 20,045,000 | 20,965,668 | ||||||||||
Fox Corp., | ||||||||||||
3.666%, 01/25/2022 (2) | 5,000,000 | 5,163,625 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: | ||||||||||||
4.125%, 10/15/2020 (2) | 19,325,000 | 19,517,440 | ||||||||||
5.875%, 01/31/2022 (2) | 1,000,000 | 1,070,101 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021 (2) | 4,907,000 | 5,090,167 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 1,525,000 | 1,606,840 | ||||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 25,707,134 | ||||||||||
General Mills, Inc., | ||||||||||||
3.200%, 04/16/2021 | 5,000,000 | 5,090,267 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.694%, 08/07/2020 (3 Month LIBOR USD + 0.800%) (3) | 7,000,000 | 7,010,173 | ||||||||||
3.700%, 11/24/2020 | 1,409,000 | 1,425,697 | ||||||||||
4.200%, 03/01/2021 | 1,215,000 | 1,241,269 | ||||||||||
3.550%, 04/09/2021 | 4,750,000 | 4,839,997 | ||||||||||
3.200%, 07/06/2021 | 8,500,000 | 8,617,364 | ||||||||||
4.200%, 11/06/2021 | 5,000,000 | 5,183,953 | ||||||||||
3.550%, 07/08/2022 | 5,000,000 | 5,147,145 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.700%, 04/01/2022 (1) | 5,511,000 | 5,591,211 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 18,000,000 | 18,823,884 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 5,760,000 | 6,030,870 | ||||||||||
Glencore Funding LLC, | ||||||||||||
4.125%, 05/30/2023 (2) | 7,121,000 | 7,420,824 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 6,966,000 | 7,044,159 | ||||||||||
4.500%, 01/25/2022 (1)(2) | 12,224,000 | 12,707,608 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.500%, 10/05/2021 | 5,000,000 | 5,125,860 | ||||||||||
2.250%, 04/01/2023 | 23,000,000 | 22,976,892 | ||||||||||
Huntsman International LLC, | ||||||||||||
5.125%, 11/15/2022 | 4,500,000 | 4,806,736 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 8,200,000 | 8,555,185 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.750%, 09/18/2020 (2) | 10,000,000 | 10,034,642 | ||||||||||
3.450%, 03/12/2021 (2) | 5,000,000 | 5,061,507 | ||||||||||
2.450%, 06/15/2021 (2) | 1,000,000 | 1,001,006 | ||||||||||
3.750%, 07/08/2021 (2) | 2,650,000 | 2,703,046 | ||||||||||
3.950%, 02/01/2022 (2) | 5,024,000 | 5,166,317 | ||||||||||
3.000%, 06/20/2022 (2) | 5,000,000 | 5,055,544 | ||||||||||
2.850%, 11/01/2022 (2) | 6,000,000 | 6,066,869 | ||||||||||
IDEX Corp., | ||||||||||||
4.200%, 12/15/2021 | 14,244,000 | 14,654,197 | ||||||||||
IHS Markit Ltd., | ||||||||||||
5.000%, 11/01/2022 (1)(2) | 4,613,000 | 4,917,282 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 25,425,000 | 25,743,772 | ||||||||||
Keurig Dr Pepper, Inc.: | ||||||||||||
3.551%, 05/25/2021 | 2,855,000 | 2,915,981 | ||||||||||
2.530%, 11/15/2021 | 23,880,000 | 24,037,920 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
6.500%, 04/01/2020 | 22,000 | 22,232 | ||||||||||
5.000%, 10/01/2021 | 13,000,000 | 13,551,155 | ||||||||||
Kinder Morgan, Inc., | ||||||||||||
5.625%, 11/15/2023 (2) | 9,060,000 | 10,016,751 | ||||||||||
Kraft Heinz Foods Co., | ||||||||||||
2.471%, 02/10/2021 (3 Month LIBOR USD + 0.570%) (3) | 15,000,000 | 15,021,322 | ||||||||||
Leggett & Platt, Inc., | ||||||||||||
3.400%, 08/15/2022 | 10,000,000 | 10,193,762 | ||||||||||
Lennar Corp., | ||||||||||||
8.375%, 01/15/2021 | 2,337,000 | 2,471,378 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 3,235,000 | 3,292,436 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 17,775,000 | 18,881,982 | ||||||||||
Marathon Petroleum Corp., | ||||||||||||
3.400%, 12/15/2020 | 15,375,000 | 15,550,027 | ||||||||||
Marriott International, Inc., | ||||||||||||
2.125%, 10/03/2022 | 10,000,000 | 10,019,229 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.549%, 05/22/2020 (3 Month LIBOR USD + 0.650%) (3) | 5,575,000 | 5,581,452 | ||||||||||
Masco Corp.: | ||||||||||||
3.500%, 04/01/2021 | 3,881,000 | 3,938,811 | ||||||||||
5.950%, 03/15/2022 | 10,800,000 | 11,601,808 | ||||||||||
Maxim Integrated Products, Inc., | ||||||||||||
3.375%, 03/15/2023 | 2,190,000 | 2,240,224 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,406,044 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.625%, 04/01/2022 (2) | 10,000,000 | 10,239,034 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020 (2) | 31,453,000 | 31,495,065 | ||||||||||
Mosaic Co.: | ||||||||||||
3.750%, 11/15/2021 | 2,850,000 | 2,931,274 | ||||||||||
3.250%, 11/15/2022 | 6,443,000 | 6,611,192 | ||||||||||
MPLX LP, | ||||||||||||
3.500%, 12/01/2022 (2) | 1,930,000 | 1,987,135 | ||||||||||
Mylan NV, | ||||||||||||
3.750%, 12/15/2020 (1) | 522,000 | 532,415 | ||||||||||
Mylan, Inc., | ||||||||||||
3.125%, 01/15/2023 (2) | 23,591,000 | 23,939,342 | ||||||||||
Newmont Goldcorp Corp., | ||||||||||||
3.625%, 06/09/2021 | 4,900,000 | 4,994,356 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.150%, 07/13/2020 (2) | 20,000,000 | 19,991,516 | ||||||||||
2.150%, 09/28/2020 (2) | 4,300,000 | 4,291,537 | ||||||||||
Norfolk Southern Railway Co., | ||||||||||||
9.750%, 06/15/2020 | 2,000,000 | 2,069,840 | ||||||||||
Northern Border Pipeline Co., | ||||||||||||
7.500%, 09/15/2021 | 4,500,000 | 4,861,034 | ||||||||||
Nutrien Ltd.: | ||||||||||||
4.875%, 03/30/2020 (1) | 13,000,000 | 13,084,816 | ||||||||||
3.150%, 10/01/2022 (1) | 1,000,000 | 1,021,768 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 12,565,000 | 12,762,610 | ||||||||||
NXP Semiconductors N.V., | ||||||||||||
4.625%, 06/15/2022 (1)(2) | 5,650,000 | 5,955,257 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
2.700%, 08/15/2022 | 17,650,000 | 17,833,467 | ||||||||||
3.360%, 08/15/2022 (3 Month LIBOR USD + 1.450%) (3) | 4,250,000 | 4,272,711 | ||||||||||
Panasonic Corp., | ||||||||||||
2.536%, 07/19/2022 (1)(2) | 15,000,000 | 15,130,361 | ||||||||||
Penske Truck Leasing Co., | ||||||||||||
3.650%, 07/29/2021 (2) | 5,000,000 | 5,115,439 | ||||||||||
Pernod Ricard SA, | ||||||||||||
5.750%, 04/07/2021 (1)(2) | 6,375,000 | 6,673,133 | ||||||||||
Perrigo Finance Unlimited Co.: | ||||||||||||
3.500%, 03/15/2021 (1) | 3,349,000 | 3,380,601 | ||||||||||
3.500%, 12/15/2021 (1) | 7,355,000 | 7,454,602 | ||||||||||
Reckitt Benckiser Treasury Services PLC, | ||||||||||||
2.495%, 06/24/2022 (3 Month LIBOR USD + 0.560%) (1)(2)(3) | 2,000,000 | 2,004,500 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp.: | ||||||||||||
5.750%, 09/01/2020 | 1,300,000 | 1,318,339 | ||||||||||
5.000%, 10/01/2022 | 1,430,000 | 1,516,971 | ||||||||||
Reliance Holding USA, Inc., | ||||||||||||
4.500%, 10/19/2020 (2) | 17,178,000 | 17,450,271 | ||||||||||
RELX Capital, Inc., | ||||||||||||
3.125%, 10/15/2022 | 4,277,000 | 4,407,359 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,400,000 | 1,414,837 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020 (1)(2) | 5,000,000 | 5,019,110 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.125%, 11/15/2022 | 10,000,000 | 10,249,482 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020 (1) | 5,000,000 | 5,025,610 | ||||||||||
RPM International, Inc., | ||||||||||||
3.450%, 11/15/2022 | 2,508,000 | 2,571,507 | ||||||||||
Ryder System, Inc.: | ||||||||||||
3.500%, 06/01/2021 | 6,700,000 | 6,837,009 | ||||||||||
2.875%, 06/01/2022 | 5,000,000 | 5,076,929 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 02/01/2021 | 16,975,000 | 17,448,483 | ||||||||||
5.625%, 04/15/2023 | 15,800,000 | 17,197,005 | ||||||||||
Seagate HDD Cayman: | ||||||||||||
4.250%, 03/01/2022 (1) | 7,211,000 | 7,464,242 | ||||||||||
4.750%, 06/01/2023 (1) | 10,000,000 | 10,633,151 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.400%, 09/23/2021 (1) | 19,530,000 | 19,641,085 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 17,740,000 | 17,637,513 | ||||||||||
3.350%, 02/01/2022 (2) | 1,000,000 | 1,002,956 | ||||||||||
Smiths Group PLC, | ||||||||||||
3.625%, 10/12/2022 (1)(2) | 8,200,000 | 8,351,147 | ||||||||||
Sociedad Quimica y Minera de Chile SA, | ||||||||||||
3.625%, 04/03/2023 (1)(2) | 3,000,000 | 3,055,500 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 855,000 | 879,726 | ||||||||||
Spirit AeroSystems, Inc.: | ||||||||||||
2.694%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 9,625,000 | 9,601,355 | ||||||||||
3.950%, 06/15/2023 | 3,515,000 | 3,623,994 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 25,600,000 | 25,739,524 | ||||||||||
Takeda Pharmaceutical Co. Ltd., | ||||||||||||
2.450%, 01/18/2022 (1)(2) | 13,000,000 | 13,074,166 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 20,000,000 | 20,444,458 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.462%, 02/16/2021 (1) | 12,577,000 | 13,053,646 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, | ||||||||||||
2.200%, 07/21/2021 (1) | 15,654,000 | 15,160,116 | ||||||||||
Texas Gas Transmission LLC, | ||||||||||||
4.500%, 02/01/2021 (2) | 6,286,000 | 6,393,277 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
4.000%, 09/01/2021 | 9,706,000 | 9,932,329 | ||||||||||
Total System Services, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 30,693,000 | 31,296,807 | ||||||||||
3.750%, 06/01/2023 | 4,550,000 | 4,739,393 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 1,025,000 | 1,100,537 | ||||||||||
TTX Co., | ||||||||||||
4.400%, 05/01/2021 (2) | 2,100,000 | 2,164,658 | ||||||||||
United Technologies Corp.: | ||||||||||||
2.554%, 08/16/2021 (3 Month LIBOR USD + 0.650%) (3) | 5,800,000 | 5,800,746 | ||||||||||
3.350%, 08/16/2021 | 3,000,000 | 3,071,994 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 9,011,000 | 9,420,588 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 31,030,000 | 31,740,312 | ||||||||||
Vodafone Group PLC, | ||||||||||||
2.991%, 01/16/2024 (3 Month LIBOR USD + 0.990%) (1)(3) | 15,000,000 | 15,186,012 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.400%, 05/22/2020 (2) | 5,270,000 | 5,276,980 | ||||||||||
4.000%, 11/12/2021 (2) | 24,700,000 | 25,546,807 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
2.494%, 06/15/2020 (3 Month LIBOR USD + 0.600%) (3) | 11,730,000 | 11,741,988 | ||||||||||
2.557%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 16,433,000 | 16,464,482 | ||||||||||
WestRock RKT LLC, | ||||||||||||
4.900%, 03/01/2022 | 4,100,000 | 4,319,729 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 3,065,000 | 3,342,709 | ||||||||||
3.600%, 03/15/2022 | 4,750,000 | 4,884,202 | ||||||||||
3.350%, 08/15/2022 | 235,000 | 240,788 | ||||||||||
3.700%, 01/15/2023 | 22,537,000 | 23,342,899 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
2.653%, 03/19/2021 (3 Month LIBOR USD + 0.750%) (3) | 695,000 | 695,068 | ||||||||||
Zimmer Holdings, Inc.: | ||||||||||||
2.700%, 04/01/2020 | 27,785,000 | 27,803,058 | ||||||||||
3.150%, 04/01/2022 | 2,690,000 | 2,746,523 | ||||||||||
Total Industrials (Cost $1,970,451,211) | 1,999,216,662 | 30.1 | % |
Utilities | ||||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 9,979,000 | 10,393,540 | ||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023 (2) | 30,000,000 | 30,104,848 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 12,271,000 | 12,257,698 | ||||||||||
5.250%, 01/14/2021 (1)(2) | 2,840,000 | 2,921,622 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 28,583,000 | 28,952,229 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 1,100,000 | 1,164,772 | ||||||||||
Exelon Corp.: | ||||||||||||
5.150%, 12/01/2020 | 8,275,000 | 8,441,270 | ||||||||||
2.450%, 04/15/2021 | 955,000 | 959,338 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.597%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 5,019,000 | 5,020,875 | ||||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||||||
2.403%, 09/01/2021 | 6,775,000 | 6,823,869 | ||||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022 (2) | 4,925,460 | 5,216,143 | ||||||||||
Sempra Energy, | ||||||||||||
2.501%, 01/15/2021 (3 Month LIBOR USD + 0.500%) (3) | 1,460,000 | 1,460,244 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 1,750,000 | 1,782,397 | ||||||||||
Total Utilities (Cost $115,004,670) | 115,498,845 | 1.7 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
3.400%, 08/27/2021 (1)(2) | 15,250,000 | 15,585,164 | ||||||||||
AerCap Holdings N.V.: | ||||||||||||
4.450%, 12/16/2021 (1) | 25,000,000 | 26,057,829 | ||||||||||
3.300%, 01/23/2023 (1) | 8,000,000 | 8,200,817 | ||||||||||
AIG Global Funding, | ||||||||||||
2.300%, 07/01/2022 (2) | 8,775,000 | 8,823,836 | ||||||||||
Air Lease Corp.: | ||||||||||||
3.875%, 04/01/2021 | 6,885,000 | 7,026,210 | ||||||||||
3.375%, 06/01/2021 | 3,000,000 | 3,050,985 | ||||||||||
2.625%, 07/01/2022 | 1,609,000 | 1,627,710 | ||||||||||
2.750%, 01/15/2023 | 21,150,000 | 21,430,437 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
3.000%, 03/22/2022 | 6,300,000 | 6,444,413 | ||||||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||||||
2.125%, 07/28/2021 (1)(2) | 2,388,000 | 2,393,981 | ||||||||||
Assurant, Inc., | ||||||||||||
3.197%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 1,276,000 | 1,276,148 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 10,000,000 | 10,020,546 | ||||||||||
2.328%, 10/01/2021 (3 Month LIBOR USD + 0.630%) (3) | 10,000,000 | 10,028,493 | ||||||||||
3.499%, 05/17/2022 (3 Month LIBOR USD + 0.630%) (3) | 5,000,000 | 5,100,454 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.700%, 07/20/2022 (1)(2) | 3,000,000 | 3,047,267 | ||||||||||
2.125%, 11/21/2022 (1)(2) | 18,000,000 | 18,025,328 | ||||||||||
Barclays Bank PLC: | ||||||||||||
5.140%, 10/14/2020 (1) | 5,606,000 | 5,723,285 | ||||||||||
10.180%, 06/12/2021 (1)(2) | 7,179,000 | 7,980,345 | ||||||||||
Barclays PLC: | ||||||||||||
2.875%, 06/08/2020 (1) | 3,000,000 | 3,005,760 | ||||||||||
3.250%, 01/12/2021 (1) | 10,950,000 | 11,042,418 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 5,000,000 | 5,222,512 | ||||||||||
BBVA USA: | ||||||||||||
5.500%, 04/01/2020 | 1,360,000 | 1,370,988 | ||||||||||
3.500%, 06/11/2021 | 16,200,000 | 16,480,959 | ||||||||||
2.875%, 06/29/2022 | 18,861,000 | 19,130,599 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.950%, 05/23/2022 (1)(2) | 23,125,000 | 23,584,480 | ||||||||||
3.500%, 03/01/2023 (1)(2) | 10,794,000 | 11,170,446 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.900%, 02/21/2022 (1)(2) | 1,950,000 | 1,983,596 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 15,305,000 | 15,828,148 | ||||||||||
BPCE SA: | ||||||||||||
3.000%, 05/22/2022 (1)(2) | 32,127,000 | 32,692,307 | ||||||||||
5.700%, 10/22/2023 (1)(2) | 2,323,000 | 2,565,545 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
2.606%, 07/22/2023 (3 Month LIBOR USD + 0.785%) (1)(3) | 32,050,000 | 32,399,716 | ||||||||||
Capital One Financial Corp., | ||||||||||||
3.450%, 04/30/2021 | 7,125,000 | 7,254,606 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 25,282,000 | 26,121,312 | ||||||||||
Citizens Bank NA, | ||||||||||||
3.250%, 02/14/2022 | 3,000,000 | 3,074,416 | ||||||||||
CNA Financial Corp., | ||||||||||||
5.750%, 08/15/2021 | 6,000,000 | 6,342,420 | ||||||||||
Cooperatieve Rabobank UA, | ||||||||||||
3.950%, 11/09/2022 (1) | 31,045,000 | 32,460,847 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 19,895,000 | 20,358,905 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 3,380,000 | 3,535,829 | ||||||||||
Credit Suisse, | ||||||||||||
3.450%, 04/16/2021 (1) | 7,000,000 | 7,119,905 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 1,400,000 | 1,438,571 | ||||||||||
2.997%, 12/14/2023 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 18,000,000 | 18,337,148 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 09/15/2022 (1) | 4,650,000 | 4,841,333 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 9,750,000 | 9,939,794 | ||||||||||
DBS Group Holdings Ltd., | ||||||||||||
2.850%, 04/16/2022 (1)(2) | 10,000,000 | 10,148,328 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 4,575,000 | 4,585,697 | ||||||||||
3.125%, 01/13/2021 (1) | 5,515,000 | 5,535,985 | ||||||||||
3.150%, 01/22/2021 (1) | 7,400,000 | 7,433,654 | ||||||||||
4.250%, 10/14/2021 (1) | 5,400,000 | 5,554,018 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,445,557 | ||||||||||
Discover Financial Services, | ||||||||||||
5.200%, 04/27/2022 | 10,443,000 | 11,134,289 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 11,148,000 | 11,270,573 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 8,000,000 | 8,006,458 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,063,151 | ||||||||||
2.876%, 10/31/2022 (3 Month LIBOR USD + 0.821%) (3) | 12,000,000 | 12,170,273 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 8,280,000 | 8,416,515 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 14,200,000 | 14,456,336 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
2.000%, 04/26/2021 (2) | 7,825,000 | 7,835,773 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021 (1) | 5,400,000 | 5,485,798 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 28,200,000 | 28,844,673 | ||||||||||
HSBC USA, Inc., | ||||||||||||
5.000%, 09/27/2020 | 4,805,000 | 4,905,744 | ||||||||||
Huntington National Bank, | ||||||||||||
3.250%, 05/14/2021 | 5,000,000 | 5,084,707 | ||||||||||
ING Bank NV: | ||||||||||||
5.000%, 06/09/2021 (1)(2) | 7,250,000 | 7,568,163 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 5,000,000 | 5,549,684 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 3,700,000 | 3,783,083 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 9,377,000 | 9,641,089 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 10,291,000 | 10,888,456 | ||||||||||
5.125%, 01/20/2023 | 8,900,000 | 9,611,810 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 10,550,000 | 10,575,994 | ||||||||||
3.514%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 23,010,000 | 23,508,367 | ||||||||||
KeyBank NA, | ||||||||||||
3.180%, 05/22/2022 | 25,343,000 | 25,857,000 | ||||||||||
Lexington Realty Trust, | ||||||||||||
4.250%, 06/15/2023 | 6,903,000 | 7,110,463 | ||||||||||
Liberty Mutual Group, Inc., | ||||||||||||
4.950%, 05/01/2022 (2) | 3,000,000 | 3,182,351 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
6.500%, 09/14/2020 (1)(2) | 1,543,000 | 1,585,442 | ||||||||||
3.000%, 01/11/2022 (1) | 10,000,000 | 10,161,241 | ||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 21,704,000 | 22,031,160 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 1,965,000 | 2,069,195 | ||||||||||
2.100%, 10/17/2022 (1)(2) | 17,600,000 | 17,655,343 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 4,000,000 | 4,088,000 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
3.020%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 282,000 | 282,167 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
2.750%, 01/30/2022 | 7,010,000 | 7,122,371 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 15,000,000 | 15,044,485 | ||||||||||
2.623%, 07/18/2022 (1) | 10,000,000 | 10,136,727 | ||||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd.: | ||||||||||||
3.406%, 02/28/2022 (1)(2) | 5,200,000 | 5,311,749 | ||||||||||
2.652%, 09/19/2022 (1)(2) | 3,000,000 | 3,020,080 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021 (1)(2) | 12,750,000 | 12,856,908 | ||||||||||
3.481%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 3,000,000 | 3,042,089 | ||||||||||
2.273%, 09/13/2021 (1) | 8,530,000 | 8,564,983 | ||||||||||
2.953%, 02/28/2022 (1) | 8,700,000 | 8,859,424 | ||||||||||
Morgan Stanley: | ||||||||||||
3.146%, 01/20/2022 (3 Month LIBOR USD + 1.180%) (3) | 10,000,000 | 10,091,088 | ||||||||||
2.883%, 07/22/2022 (3 Month LIBOR USD + 0.930%) (3) | 10,000,000 | 10,094,650 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 5,000,000 | 5,224,485 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.622%, 04/26/2023 (3 Month LIBOR USD + 1.181%) (1)(2)(3) | 18,635,000 | 19,169,240 | ||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 9,670,000 | 10,011,701 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,797,000 | 1,866,590 | ||||||||||
Nordea Bank AB: | ||||||||||||
4.875%, 05/13/2021 (1)(2) | 16,080,000 | 16,673,173 | ||||||||||
4.250%, 09/21/2022 (1)(2) | 14,785,000 | 15,523,309 | ||||||||||
People's United Financial, Inc., | ||||||||||||
3.650%, 12/06/2022 | 4,200,000 | 4,362,840 | ||||||||||
Regions Bank, | ||||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 14,000,000 | 14,108,229 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.625%, 07/22/2022 (2) | 13,625,000 | 13,815,818 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 13,000,000 | 13,317,987 | ||||||||||
4.519%, 06/25/2024 (3 Month LIBOR USD + 1.550%) (1)(3) | 2,384,000 | 2,532,696 | ||||||||||
Royal Bank of Scotland PLC: | ||||||||||||
5.625%, 08/24/2020 (1) | 2,450,000 | 2,504,672 | ||||||||||
6.125%, 01/11/2021 (1) | 9,667,000 | 10,039,650 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
4.450%, 12/03/2021 | 17,300,000 | 17,983,872 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 1,030,000 | 1,034,553 | ||||||||||
3.125%, 01/08/2021 (1) | 3,500,000 | 3,529,907 | ||||||||||
2.875%, 08/05/2021 (1) | 2,970,000 | 2,997,674 | ||||||||||
3.571%, 01/10/2023 (1) | 2,500,000 | 2,559,587 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.200%, 12/12/2022 (1)(2) | 17,825,000 | 17,859,224 | ||||||||||
SMBC Aviation Capital Finance DAC: | ||||||||||||
2.650%, 07/15/2021 (1)(2) | 1,950,000 | 1,963,704 | ||||||||||
4.125%, 07/15/2023 (1)(2) | 1,960,000 | 2,062,494 | ||||||||||
Societe Generale SA, | ||||||||||||
4.250%, 09/14/2023 (1)(2) | 8,500,000 | 9,028,109 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 17,471,000 | 17,582,296 | ||||||||||
2.744%, 09/10/2022 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 10,000,000 | 10,062,455 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 5,486,000 | 5,676,976 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,498,000 | 27,846,985 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
3.525%, 10/26/2021 (3 Month LIBOR USD + 0.500%) (3) | 15,015,000 | 15,191,802 | ||||||||||
2.800%, 05/17/2022 | 18,000,000 | 18,342,430 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 8,839,000 | 9,040,147 | ||||||||||
2.850%, 07/25/2022 | 5,000,000 | 5,061,787 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
3.500%, 09/15/2021 (1) | 18,183,000 | 18,532,631 | ||||||||||
UBS Group Funding Jersey Ltd., | ||||||||||||
3.000%, 04/15/2021 (1)(2) | 3,000,000 | 3,039,075 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 9,471,000 | 9,568,393 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 7,200,000 | 7,315,459 | ||||||||||
WEA Finance LLC, | ||||||||||||
3.150%, 04/05/2022 (2) | 12,750,000 | 13,034,354 | ||||||||||
Wells Fargo & Co., | ||||||||||||
3.069%, 01/24/2023 | 4,650,000 | 4,745,958 | ||||||||||
Wells Fargo Bank NA, | ||||||||||||
3.325%, 07/23/2021 (3 Month LIBOR USD + 0.490%) (3) | 15,000,000 | 15,117,451 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,585,000 | 14,160,045 | ||||||||||
Zions Bancorp NA: | ||||||||||||
3.500%, 08/27/2021 | 11,700,000 | 11,974,055 | ||||||||||
3.350%, 03/04/2022 | 20,000,000 | 20,522,062 | ||||||||||
Total Financials (Cost $1,307,219,680) | 1,329,800,774 | 20.0 | % | |||||||||
Total Corporate Bonds (Cost $3,392,675,561) | 3,444,516,281 | 51.8 | % |
Municipal Bonds | ||||||||||||
Bloomington Redevelopment District, | ||||||||||||
2.400%, 08/01/2024 | 1,000,000 | 994,020 | ||||||||||
Brazos Higher Education Authority, Inc.: | ||||||||||||
2.378%, 04/01/2021 | 675,000 | 675,128 | ||||||||||
2.427%, 04/01/2022 | 1,320,000 | 1,321,690 | ||||||||||
City of Pittsburg CA, | ||||||||||||
5.864%, 07/01/2021 | 1,060,000 | 1,097,556 | ||||||||||
County of Sacramento CA: | ||||||||||||
7.680%, 08/15/2021 (7) | 30,135,000 | 31,586,904 | ||||||||||
7.680%, 08/15/2021 (7) | 3,650,000 | 3,825,857 | ||||||||||
County of Saline AR, | ||||||||||||
3.550%, 06/01/2042 (Callable 06/01/2024) | 1,890,000 | 1,949,346 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
2.880%, 04/01/2021 | 1,685,000 | 1,698,311 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.000%, 02/01/2034 (Callable 08/01/2025) | 5,350,000 | 5,508,306 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/31/2020) | 165,000 | 167,452 | ||||||||||
Memphis-Shelby County Industrial Development Board, | ||||||||||||
2.222%, 11/01/2020 | 5,990,000 | 6,007,491 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 4,850,000 | 4,978,476 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 02/15/2021 | 1,440,000 | 1,408,104 | ||||||||||
2.609%, 06/15/2022 | 500,000 | 496,185 | ||||||||||
2.781%, 06/15/2023 | 2,085,000 | 2,064,755 | ||||||||||
New Jersey Sports & Exposition Authority: | ||||||||||||
6.076%, 03/01/2023 | 1,805,000 | 1,928,949 | ||||||||||
5.976%, 03/01/2024 | 6,055,000 | 6,276,674 | ||||||||||
Niagara Area Development Corp., | ||||||||||||
2.643%, 05/01/2022 | 1,000,000 | 999,550 | ||||||||||
Public Finance Authority, | ||||||||||||
3.750%, 02/01/2022 (Callable 02/01/2020) | 5,250,000 | 5,256,615 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 2,750,000 | 2,764,548 | ||||||||||
State Public School Building Authority, | ||||||||||||
2.615%, 04/01/2023 | 2,500,000 | 2,497,200 | ||||||||||
Total Municipal Bonds (Cost $83,769,539) | 83,503,117 | 1.3 | % |
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 1.942%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,191,424 | 1,188,807 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.242%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 9,258,652 | 9,289,642 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 01/25/2020 | 19,292 | 19,339 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 28,044 | 28,072 | ||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 82,413 | 84,362 | ||||||||||
Series 2004-8CB, Class A, 2.062%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 1,115,179 | 1,118,293 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 (6) | 58,661 | 58,756 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 570,379 | 450,231 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 2.132%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 2,951,168 | 2,953,901 | ||||||||||
Arroyo Mortgage Trust, | ||||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 12,295,153 | 12,352,546 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1, 2.007%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 4,683,475 | 4,675,947 | ||||||||||
Carrington Mortgage Loan Trust, | ||||||||||||
Series 2007-HE1, Class A2, 1.942%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 4,662,954 | 4,646,010 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-2, Class 2A3, 2.092%, 06/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 4,136,414 | 4,137,149 | ||||||||||
Series 2006-13, Class 1AF3, 4.275%, 01/25/2037 (4) | 147,458 | 147,858 | ||||||||||
CSMC Trust, | ||||||||||||
Series 2019-RPL1, Class A1A, 3.650%, 07/25/2058 (2)(4) | 43,845,633 | 45,301,124 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 513,945 | 483,985 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2005-6, Class A3, 2.162%, 06/25/2035 (1 Month LIBOR USD + 0.370%) (3) | 209,060 | 209,180 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE7, Class A2D, 2.022%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 7,961,389 | 7,929,705 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.922%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 779,524 | 779,152 | ||||||||||
J.P. Morgan Mortgage Trust, | ||||||||||||
Series 2005-A4, Class 1A1, 4.106%, 07/25/2035 (4) | 374,117 | 378,356 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2003-9, Class 3A1, 4.750%, 01/25/2020 | 78 | 78 | ||||||||||
Series 2003-5, Class 7A1, 5.000%, 10/01/2031 | 43,075 | 36,463 | ||||||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 2,762,853 | 2,831,337 | ||||||||||
Mill City Mortgage Loan Trust, | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 2,097,993 | 2,139,277 | ||||||||||
Morgan Stanley, | ||||||||||||
Series 2005-HE5, Class M2, 2.437%, 09/25/2035 (1 Month LIBOR USD + 0.645%) (3) | 8,072,214 | 8,049,937 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.022%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 1,362,435 | 1,361,084 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-B, Class M2, 2.452%, 08/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 510,422 | 511,157 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 2.192%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 3,144,013 | 3,146,709 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,914,212 | 789,497 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-2, Class A3C, 1.942%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 449,226 | 447,487 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 1.972%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 1,468,975 | 1,467,794 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 2.792%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 2,029,602 | 2,026,763 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034 (7) | 42,458 | 43,195 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.995%, 10/25/2043 (4) | 4,226,074 | 4,337,848 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055 (2)(4) | 995,795 | 994,591 | ||||||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055 (2)(4) | 2,144,410 | 2,154,399 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 7,201,662 | 7,202,113 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 14,127,889 | 14,224,290 | ||||||||||
Series 2017-5, Class A1, 2.392%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 8,673,683 | 8,652,253 | ||||||||||
Series 2017-2, Class A1, 2.750%, 04/25/2057 (2)(4) | 3,839,446 | 3,864,702 | ||||||||||
Series 2017-3, Class A1, 2.750%, 06/25/2057 (2)(4) | 12,197,156 | 12,245,572 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 6,875,520 | 6,917,083 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 11,678,355 | 12,017,471 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||||
Series 2004-AR3, Class A1, 4.498%, 06/25/2034 (4) | 3,302,502 | 3,358,615 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $194,505,926) | 195,052,130 | 2.9 | % |
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 | 10,026,932 | 10,182,184 | ||||||||||
Total U.S. Government Agency Issues (Cost $10,049,761) | 10,182,184 | 0.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2014-GC23, Class AAB, 3.337%, 07/12/2047 | 13,231,058 | 13,570,700 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/17/2045 | 12,949,861 | 13,054,100 | ||||||||||
Series 2013-LC6, Class ASB, 2.478%, 01/12/2046 | 7,831,036 | 7,860,639 | ||||||||||
Series 2014-LC15, Class ASB, 3.528%, 04/12/2047 | 12,319,222 | 12,629,606 | ||||||||||
Series 2014-CR16, Class ASB, 3.653%, 04/12/2047 | 11,256,961 | 11,556,719 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 12,752,000 | 12,944,560 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 23,064,634 | 23,358,150 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/17/2045 | 11,389,552 | 11,396,609 | ||||||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 1,522,576 | 1,540,809 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C14, Class ASB, 3.761%, 08/17/2046 (4) | 13,627,511 | 14,001,321 | ||||||||||
Series 2015-C31, Class ASB, 3.540%, 08/17/2048 | 8,729,000 | 9,050,740 | ||||||||||
Series 2015-C33, Class ASB, 3.562%, 12/17/2048 | 4,175,000 | 4,346,142 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C9, Class AAB, 2.657%, 05/17/2046 | 16,186,574 | 16,300,667 | ||||||||||
Series 2013-C8, Class ASB, 2.699%, 12/17/2048 | 9,990,576 | 10,041,507 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2014-LC16, Class ASB, 3.477%, 08/17/2050 | 13,002,929 | 13,346,521 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,167,355 | ||||||||||
Series 2013-C14, Class ASB, 2.977%, 06/15/2046 | 18,205,910 | 18,380,656 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $200,559,862) | 200,546,801 | 3.0 | % |
Asset Backed Securities | ||||||||||||
Bank of The West Auto Trust: | ||||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023 (2) | 5,625,781 | 5,626,206 | ||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 13,005,000 | 13,079,375 | ||||||||||
Carmax Auto Owner Trust, | ||||||||||||
Series 2018-4, Class A3, 3.360%, 09/15/2023 | 11,300,000 | 11,527,206 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2018-1A, Class A1, 3.040%, 04/15/2030 (2) | 7,726,165 | 7,813,580 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 500 | 501 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 55,060 | 56,749 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 27,550,000 | 27,877,145 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028 (2) | 24,017,000 | 24,294,332 | ||||||||||
Kookmin Bank, | ||||||||||||
2.125%, 10/21/2021 (1)(2) | 3,400,000 | 3,397,193 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2018-B, Class A, 2.890%, 02/15/2023 (2) | 11,725,000 | 11,815,610 | ||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 12,490,000 | 12,640,390 | ||||||||||
Series 2018-F, Class A, 3.520%, 10/16/2023 (2) | 6,210,000 | 6,337,871 | ||||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024 (2) | 7,475,000 | 7,576,510 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022 (2) | 3,148,000 | 3,151,699 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 2,518,881 | 2,527,690 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 1,520,042 | 1,522,518 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,482,696 | ||||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,729,841 | ||||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1A, Class A4, 2.030%, 02/15/2022 (2) | 7,722,823 | 7,716,629 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 5,249,216 | 5,317,486 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-MH1, 3.000%, 11/25/2058 (2)(4) | 10,201,209 | 10,248,747 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 24,450,000 | 24,625,453 | ||||||||||
Volkswagen Auto Lease Trust, | ||||||||||||
Series 2019-A, Class A3, 1.990%, 11/21/2022 | 8,868,000 | 8,876,586 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 19,279,000 | 19,316,129 | ||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 16,710,000 | 16,693,681 | ||||||||||
Series 2019-A, Class A, 3.140%, 12/15/2025 | 7,900,000 | 8,069,867 | ||||||||||
Total Asset Backed Securities (Cost $298,757,333) | 302,321,690 | 4.5 | % | |||||||||
Total Long-Term Investments (Cost $6,461,063,915) | 6,535,229,933 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 1.53% (5) | 206,090,450 | 206,090,450 | ||||||||||
Total Short-Term Investment (Cost $206,090,450) | 206,090,450 | 3.1 | % | |||||||||
Total Investments (Cost $6,667,154,365) | 6,741,320,383 | 101.4 | % | |||||||||
Liabilities in Excess of Other Assets | (89,882,991 | ) | (1.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 6,651,437,392 | 100.0 | % |
Notes to Schedule of Investments | |||||||
LIBOR - London Inter-bank Offered Rate | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144(a) 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 December 31, 2019, the value of these securities total $1,553,692,141, which represents 23.36% of total net assets. | ||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 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 December 31, 2019. |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,244,853,396 | $ | – | $ | 2,244,853,396 | ||||||||
Other Government Related Securities | – | 54,254,334 | – | 54,254,334 | ||||||||||||
Corporate Bonds | – | 3,444,516,281 | – | 3,444,516,281 | ||||||||||||
Municipal Bonds | – | 83,503,117 | – | 83,503,117 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 195,052,130 | – | 195,052,130 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 10,182,184 | – | 10,182,184 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 200,546,801 | – | 200,546,801 | ||||||||||||
Asset Backed Securities | – | 302,321,690 | – | 302,321,690 | ||||||||||||
Total Long-Term Investments | – | 6,535,229,933 | – | 6,535,229,933 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 206,090,450 | – | – | 206,090,450 | ||||||||||||
Total Short-Term Investment | 206,090,450 | – | – | 206,090,450 | ||||||||||||
Total Investments | $ | 206,090,450 | $ | 6,535,229,933 | $ | – | $ | 6,741,320,383 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 265,050,000 | $ | 266,043,937 | ||||||||
1.875%, 03/31/2022 | 519,150,000 | 522,455,527 | ||||||||||
1.625%, 08/31/2022 | 126,725,000 | 126,828,954 | ||||||||||
2.500%, 05/15/2024 | 353,450,000 | 365,724,103 | ||||||||||
2.250%, 11/15/2025 | 286,625,000 | 294,428,813 | ||||||||||
2.000%, 11/15/2026 | 101,550,000 | 102,728,138 | ||||||||||
2.250%, 11/15/2027 | 198,025,000 | 203,656,336 | ||||||||||
3.125%, 11/15/2028 | 123,475,000 | 135,856,263 | ||||||||||
1.625%, 08/15/2029 | 26,600,000 | 25,933,961 | ||||||||||
Total U.S. Treasury Securities (Cost $1,997,419,867) | 2,043,656,032 | 46.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA, | ||||||||||||
5.750%, 10/27/2021 (1)(2) | 1,150,000 | 1,200,037 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,000,000 | 2,032,819 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 5,150,000 | 5,502,534 | ||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020 (1)(2) | 8,875,000 | 8,892,302 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020 (1) | 3,200,000 | 3,200,384 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 3,000,000 | 3,002,220 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
2.750%, 05/03/2021 (1)(2) | 5,300,000 | 5,326,027 | ||||||||||
Total Other Government Related Securities (Cost $28,486,000) | 29,156,323 | 0.7 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 4,853,000 | 5,102,371 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.050%, 09/22/2026 | 1,495,000 | 1,529,160 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 7,730,000 | 7,814,980 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 4,523,000 | 4,651,851 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 4,005,000 | 4,149,383 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
3.650%, 02/01/2026 | 3,945,000 | 4,207,589 | ||||||||||
4.750%, 01/23/2029 | 835,000 | 967,907 | ||||||||||
ArcelorMittal, | ||||||||||||
4.550%, 03/11/2026 (1) | 4,015,000 | 4,263,675 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 8,030,000 | 8,607,370 | ||||||||||
3.600%, 07/15/2025 | 2,575,000 | 2,725,775 | ||||||||||
4.300%, 02/15/2030 | 9,604,000 | 10,671,878 | ||||||||||
Becton Dickinson and Co., | ||||||||||||
7.000%, 08/01/2027 | 1,900,000 | 2,336,545 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.950%, 06/01/2026 | 1,360,000 | 1,530,468 | ||||||||||
Broadcom, Inc.: | ||||||||||||
2.375%, 01/15/2020 | 1,500,000 | 1,500,067 | ||||||||||
3.000%, 01/15/2022 | 5,625,000 | 5,708,217 | ||||||||||
3.625%, 10/15/2024 (2) | 8,000,000 | 8,319,112 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 2,650,000 | 2,683,057 | ||||||||||
3.750%, 09/25/2027 | 5,000,000 | 5,111,482 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 8,000,000 | 8,523,912 | ||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 13,432,190 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 11,725,000 | 12,324,958 | ||||||||||
3.750%, 02/15/2028 | 3,835,000 | 3,978,092 | ||||||||||
4.200%, 03/15/2028 | 2,070,000 | 2,206,734 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.450%, 05/01/2020 (2) | 4,125,000 | 4,128,845 | ||||||||||
Cigna Corp., | ||||||||||||
3.000%, 07/15/2023 (2) | 5,655,000 | 5,778,517 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
3.250%, 04/11/2024 (1)(2) | 10,000,000 | 10,253,712 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.875%, 10/15/2021 | 3,000,000 | 3,078,421 | ||||||||||
4.200%, 01/15/2024 | 2,800,000 | 2,966,309 | ||||||||||
CNH Industrial NV, | ||||||||||||
4.500%, 08/15/2023 (1) | 5,000,000 | 5,353,900 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
4.500%, 06/01/2025 | 630,000 | 691,268 | ||||||||||
Comcast Corp., | ||||||||||||
2.750%, 03/01/2023 | 1,475,000 | 1,506,965 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
2.700%, 05/09/2022 | 2,975,000 | 3,012,504 | ||||||||||
3.500%, 05/09/2027 | 3,625,000 | 3,787,452 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.250%, 12/15/2022 (2) | 3,610,000 | 3,713,645 | ||||||||||
3.850%, 02/01/2025 (2) | 2,800,000 | 2,966,034 | ||||||||||
3.350%, 09/15/2026 (2) | 1,927,000 | 1,988,895 | ||||||||||
CVS Health Corp.: | ||||||||||||
4.000%, 12/05/2023 | 4,425,000 | 4,682,993 | ||||||||||
4.100%, 03/25/2025 | 3,340,000 | 3,586,038 | ||||||||||
3.000%, 08/15/2026 | 6,000,000 | 6,121,495 | ||||||||||
4.300%, 03/25/2028 | 5,000,000 | 5,462,206 | ||||||||||
CVS Pass-Through Trust, | ||||||||||||
5.926%, 01/10/2034 (2) | 2,116,418 | 2,467,361 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.200%, 05/05/2020 (2) | 5,000,000 | 5,002,514 | ||||||||||
3.750%, 11/05/2021 (2) | 6,800,000 | 6,989,995 | ||||||||||
Dell Technologies, Inc., | ||||||||||||
4.000%, 07/15/2024 (2) | 3,000,000 | 3,143,173 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 4,000,000 | 4,116,446 | ||||||||||
5.450%, 06/15/2023 (2) | 12,100,000 | 13,125,347 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.700%, 05/15/2023 | 5,050,000 | 5,262,345 | ||||||||||
Dow Chemical Co., | ||||||||||||
4.550%, 11/30/2025 | 2,515,000 | 2,779,122 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
4.493%, 11/15/2025 | 4,175,000 | 4,598,300 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,702,334 | ||||||||||
4.250%, 04/15/2024 | 5,700,000 | 6,055,135 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.500%, 04/15/2024 | 1,000,000 | 1,064,643 | ||||||||||
5.500%, 06/01/2027 | 7,605,000 | 8,549,961 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.750%, 01/15/2026 | 10,326,000 | 11,182,650 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 9,701,000 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 5,000,000 | 4,716,182 | ||||||||||
Equifax, Inc., | ||||||||||||
2.600%, 12/01/2024 | 5,000,000 | 5,031,428 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 4,825,000 | 4,862,272 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 5,930,000 | 6,490,111 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 2,373,000 | 2,470,602 | ||||||||||
3.875%, 06/05/2024 | 1,247,000 | 1,327,216 | ||||||||||
3.000%, 08/15/2026 | 2,027,000 | 2,097,539 | ||||||||||
4.250%, 05/15/2028 | 8,690,000 | 9,740,882 | ||||||||||
3.750%, 05/21/2029 | 7,000,000 | 7,673,764 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 1,928,000 | 2,005,001 | ||||||||||
3.500%, 10/01/2022 | 3,050,000 | 3,161,523 | ||||||||||
4.200%, 10/01/2028 | 1,035,000 | 1,148,070 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 4,685,000 | 4,939,522 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.750%, 02/01/2021 | 2,000,000 | 2,064,575 | ||||||||||
3.336%, 03/18/2021 | 1,800,000 | 1,813,535 | ||||||||||
3.339%, 03/28/2022 | 2,000,000 | 2,020,351 | ||||||||||
2.979%, 08/03/2022 | 12,000,000 | 12,018,624 | ||||||||||
4.250%, 09/20/2022 | 1,545,000 | 1,598,291 | ||||||||||
Fortune Brands Home & Security, Inc.: | ||||||||||||
4.000%, 09/21/2023 | 5,775,000 | 6,103,059 | ||||||||||
3.250%, 09/15/2029 | 2,725,000 | 2,756,108 | ||||||||||
Fox Corp., | ||||||||||||
4.030%, 01/25/2024 (2) | 5,155,000 | 5,493,465 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 1,979,000 | 2,003,737 | ||||||||||
3.875%, 03/15/2023 | 1,100,000 | 1,120,053 | ||||||||||
General Electric Co.: | ||||||||||||
5.500%, 01/08/2020 | 731,000 | 731,264 | ||||||||||
5.550%, 05/04/2020 | 816,000 | 824,760 | ||||||||||
3.150%, 09/07/2022 | 3,125,000 | 3,191,055 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
4.375%, 09/25/2021 | 5,325,000 | 5,517,644 | ||||||||||
4.200%, 11/06/2021 | 2,000,000 | 2,073,581 | ||||||||||
3.450%, 01/14/2022 | 1,475,000 | 1,508,015 | ||||||||||
3.150%, 06/30/2022 | 1,000,000 | 1,019,298 | ||||||||||
4.150%, 06/19/2023 | 1,325,000 | 1,391,898 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.375%, 12/01/2024 (1) | 7,000,000 | 7,032,466 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020 (2) | 6,797,000 | 6,985,674 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 1,750,000 | 1,823,682 | ||||||||||
4.125%, 03/12/2024 (2) | 5,000,000 | 5,236,981 | ||||||||||
4.625%, 04/29/2024 (2) | 1,000,000 | 1,060,200 | ||||||||||
4.000%, 03/27/2027 (2) | 4,850,000 | 5,041,091 | ||||||||||
3.875%, 10/27/2027 (2) | 1,150,000 | 1,187,697 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.875%, 06/30/2020 (1)(2) | 870,000 | 879,761 | ||||||||||
4.500%, 01/25/2022 (1)(2) | 8,129,000 | 8,450,601 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 5,340,000 | 5,571,462 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 5,000,000 | 5,379,519 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 7,000,000 | 7,303,207 | ||||||||||
Hyundai Capital America, | ||||||||||||
3.450%, 03/12/2021 (2) | 9,000,000 | 9,110,713 | ||||||||||
Ingersoll-Rand Co., | ||||||||||||
6.391%, 11/15/2027 (1) | 1,195,000 | 1,419,004 | ||||||||||
International Business Machines Corp., | ||||||||||||
3.300%, 05/15/2026 | 6,150,000 | 6,492,301 | ||||||||||
JB Hunt Transport Services, Inc., | ||||||||||||
3.875%, 03/01/2026 | 3,000,000 | 3,223,972 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 5,000,000 | 5,062,689 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.625%, 11/15/2023 (2) | 1,000,000 | 1,105,602 | ||||||||||
7.800%, 08/01/2031 | 12,425,000 | 17,134,568 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 06/06/2022 | 2,000,000 | 2,062,893 | ||||||||||
6.375%, 07/15/2028 | 7,929,000 | 9,466,025 | ||||||||||
Lear Corp., | ||||||||||||
3.800%, 09/15/2027 | 1,000,000 | 1,010,102 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 1,100,000 | 1,168,505 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 7,000,000 | 7,158,764 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 7,450,000 | 7,821,297 | ||||||||||
Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 9,181,094 | ||||||||||
MPLX LP: | ||||||||||||
4.875%, 06/01/2025 | 10,219,000 | 11,163,654 | ||||||||||
4.800%, 02/15/2029 | 3,475,000 | 3,814,164 | ||||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
3.650%, 09/21/2021 (2) | 7,210,000 | 7,360,286 | ||||||||||
Nutrien Ltd., | ||||||||||||
3.150%, 10/01/2022 (1) | 1,306,000 | 1,334,430 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 18,275,000 | 18,562,411 | ||||||||||
NXP Semiconductors N.V., | ||||||||||||
4.875%, 03/01/2024 (1)(2) | 5,790,000 | 6,314,988 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
2.900%, 08/15/2024 | 5,000,000 | 5,081,697 | ||||||||||
7.500%, 10/15/2026 | 1,288,000 | 1,559,301 | ||||||||||
ONEOK, Inc.: | ||||||||||||
7.500%, 09/01/2023 | 7,470,000 | 8,720,142 | ||||||||||
2.750%, 09/01/2024 | 3,300,000 | 3,331,350 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 4,125,000 | 6,389,757 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
2.700%, 11/01/2024 (2) | 8,000,000 | 8,057,258 | ||||||||||
3.950%, 03/10/2025 (2) | 12,000,000 | 12,749,847 | ||||||||||
Phillips 66 Partners LP, | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,096,647 | ||||||||||
POSCO: | ||||||||||||
5.250%, 04/14/2021 (1)(2) | 3,000,000 | 3,108,870 | ||||||||||
4.000%, 08/01/2023 (1)(2) | 5,000,000 | 5,229,158 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 1,100,000 | 1,165,510 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,000,000 | 1,010,598 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.800%, 12/15/2026 | 1,450,000 | 1,558,595 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 11,184,869 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.375%, 09/26/2024 (1)(2)(8) | 1,675,000 | 1,130,625 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 2,000,000 | 2,047,046 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
3.300%, 02/01/2025 | 3,851,000 | 3,911,791 | ||||||||||
Smithfield Foods, Inc., | ||||||||||||
2.650%, 10/03/2021 (2) | 8,000,000 | 7,953,783 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025 (2) | 6,145,000 | 6,649,756 | ||||||||||
Sysco Corp.: | ||||||||||||
2.500%, 07/15/2021 | 2,000,000 | 2,016,895 | ||||||||||
2.600%, 06/12/2022 | 150,000 | 152,086 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 5,500,000 | 5,857,361 | ||||||||||
3.900%, 05/25/2027 | 8,425,000 | 8,809,489 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.462%, 02/16/2021 (1) | 650,000 | 674,634 | ||||||||||
Total System Services, Inc., | ||||||||||||
3.750%, 06/01/2023 | 2,325,000 | 2,421,777 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 556,000 | 596,974 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
4.000%, 03/01/2026 | 3,000,000 | 3,247,460 | ||||||||||
Vale Overseas Ltd., | ||||||||||||
6.250%, 08/10/2026 (1) | 3,830,000 | 4,495,654 | ||||||||||
Valero Energy Corp., | ||||||||||||
3.400%, 09/15/2026 | 4,985,000 | 5,225,395 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
4.125%, 03/15/2029 | 3,000,000 | 3,294,693 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.376%, 02/15/2025 | 853,000 | 903,590 | ||||||||||
4.125%, 03/16/2027 | 3,196,000 | 3,548,323 | ||||||||||
4.329%, 09/21/2028 | 2,051,000 | 2,327,822 | ||||||||||
4.016%, 12/03/2029 | 5,628,000 | 6,273,787 | ||||||||||
Vodafone Group PLC, | ||||||||||||
3.750%, 01/16/2024 (1) | 3,940,000 | 4,167,758 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.841%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,800,000 | 1,815,676 | ||||||||||
4.000%, 11/12/2021 (2) | 8,000,000 | 8,274,269 | ||||||||||
2.850%, 09/26/2024 (2) | 8,600,000 | 8,736,471 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 12,302,000 | 12,935,521 | ||||||||||
3.450%, 11/15/2026 | 5,000,000 | 5,056,507 | ||||||||||
Western Midstream Operating LP, | ||||||||||||
4.500%, 03/01/2028 | 7,195,000 | 7,103,521 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
5.250%, 03/15/2020 | 1,185,000 | 1,191,958 | ||||||||||
4.125%, 11/15/2020 | 1,635,000 | 1,654,460 | ||||||||||
3.700%, 01/15/2023 | 1,775,000 | 1,838,472 | ||||||||||
4.300%, 03/04/2024 | 5,725,000 | 6,110,230 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.900%, 06/01/2028 | 8,275,000 | 8,781,436 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 650,000 | 664,698 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.700%, 03/19/2023 | 10,000,000 | 10,422,984 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.250%, 02/01/2023 | 7,500,000 | 7,721,281 | ||||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,215,357 | ||||||||||
Total Industrials (Cost $782,262,742) | 816,472,665 | 18.5 | % |
Utilities | ||||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 6,200,000 | 6,457,556 | ||||||||||
Avangrid, Inc., | ||||||||||||
3.800%, 06/01/2029 | 10,975,000 | 11,646,595 | ||||||||||
Edison International: | ||||||||||||
2.950%, 03/15/2023 | 2,650,000 | 2,652,666 | ||||||||||
4.125%, 03/15/2028 | 13,600,000 | 13,955,236 | ||||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 15,000,000 | 14,983,740 | ||||||||||
Enel Finance International NV: | ||||||||||||
3.625%, 05/25/2027 (1)(2) | 1,550,000 | 1,606,034 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 13,550,000 | 13,871,516 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.597%, 03/27/2020 (3 Month LIBOR USD + 0.650%) (3) | 6,416,000 | 6,418,397 | ||||||||||
PPL Capital Funding, Inc., | ||||||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,555,424 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 220,000 | 221,959 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 394,147 | 423,309 | ||||||||||
Southern Co., | ||||||||||||
2.750%, 06/15/2020 | 3,200,000 | 3,207,621 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 3,800,000 | 3,947,623 | ||||||||||
Total Utilities (Cost $79,596,122) | 81,947,676 | 1.9 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
4.750%, 07/28/2025 (1)(2) | 8,650,000 | 9,418,298 | ||||||||||
AerCap Holdings N.V., | ||||||||||||
2.875%, 08/14/2024 (1) | 5,000,000 | 5,044,992 | ||||||||||
Aetna, Inc., | ||||||||||||
2.800%, 06/15/2023 | 4,010,000 | 4,075,174 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 3,000,000 | 3,078,330 | ||||||||||
Air Lease Corp., | ||||||||||||
2.250%, 01/15/2023 | 3,800,000 | 3,803,570 | ||||||||||
American International Group, Inc.: | ||||||||||||
4.875%, 06/01/2022 | 6,000,000 | 6,405,740 | ||||||||||
4.125%, 02/15/2024 | 1,000,000 | 1,073,908 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 630,000 | 744,772 | ||||||||||
Anthem, Inc.: | ||||||||||||
3.350%, 12/01/2024 | 10,000,000 | 10,438,331 | ||||||||||
2.375%, 01/15/2025 | 5,000,000 | 4,994,124 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020 (1)(2) | 4,000,000 | 4,019,601 | ||||||||||
2.125%, 07/28/2021 (1)(2) | 1,200,000 | 1,203,005 | ||||||||||
Banco Santander SA, | ||||||||||||
3.500%, 04/11/2022 (1) | 4,400,000 | 4,520,241 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 11,000,000 | 11,022,600 | ||||||||||
3.300%, 01/11/2023 | 4,710,000 | 4,869,584 | ||||||||||
4.000%, 04/01/2024 | 1,596,000 | 1,709,449 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 5,060,000 | 5,284,088 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 3,295,000 | 3,400,750 | ||||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.512%) (3) | 5,050,000 | 5,399,738 | ||||||||||
3.419%, 12/20/2028 (3 Month LIBOR USD + 1.040%) (3) | 1,519,000 | 1,595,168 | ||||||||||
Bank of New Zealand, | ||||||||||||
3.500%, 02/20/2024 (1)(2) | 5,000,000 | 5,227,144 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
4.500%, 12/16/2025 (1) | 7,000,000 | 7,690,273 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 8,000,000 | 8,390,408 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 5,000,000 | 5,558,118 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 2,000,000 | 2,016,880 | ||||||||||
3.684%, 01/10/2023 (1) | 7,350,000 | 7,537,374 | ||||||||||
4.337%, 01/10/2028 (1) | 2,275,000 | 2,441,750 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 3,475,000 | 3,524,672 | ||||||||||
3.875%, 04/10/2025 | 4,200,000 | 4,412,431 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 10,000,000 | 10,348,755 | ||||||||||
2.819%, 11/19/2025 (3 Month LIBOR USD + 1.111%) (1)(2)(3) | 5,000,000 | 5,059,386 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.100%, 09/14/2021 (1)(2) | 10,000,000 | 10,014,078 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 2,000,000 | 2,068,363 | ||||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,638,755 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 5,375,000 | 5,936,204 | ||||||||||
4.000%, 04/15/2024 (1) | 3,500,000 | 3,744,850 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 10,000,000 | 10,759,650 | ||||||||||
Brown & Brown, Inc.: | ||||||||||||
4.200%, 09/15/2024 | 10,461,000 | 11,128,737 | ||||||||||
4.500%, 03/15/2029 | 5,000,000 | 5,503,487 | ||||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,333,180 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 2,000,000 | 2,033,841 | ||||||||||
3.750%, 06/16/2024 | 500,000 | 531,102 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 10,040,000 | 10,449,683 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 9,000,000 | 9,699,408 | ||||||||||
Citizens Bank NA, | ||||||||||||
2.550%, 05/13/2021 | 2,000,000 | 2,015,380 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 1,385,000 | 1,464,042 | ||||||||||
7.250%, 11/15/2023 | 1,980,000 | 2,315,348 | ||||||||||
4.500%, 03/01/2026 | 5,070,000 | 5,592,322 | ||||||||||
3.900%, 05/01/2029 | 4,000,000 | 4,307,331 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023 (1) | 7,400,000 | 8,021,016 | ||||||||||
3.750%, 07/21/2026 (1) | 1,276,000 | 1,329,573 | ||||||||||
Credit Agricole SA: | ||||||||||||
2.750%, 06/10/2020 (1)(2) | 3,000,000 | 3,009,419 | ||||||||||
3.375%, 01/10/2022 (1)(2) | 7,400,000 | 7,572,551 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 1,000,000 | 1,027,550 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 4,000,000 | 4,231,408 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(3) | 7,000,000 | 7,020,029 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 06/09/2023 (1) | 9,000,000 | 9,423,199 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 3,000,000 | 3,007,014 | ||||||||||
3.150%, 01/22/2021 (1) | 1,500,000 | 1,506,822 | ||||||||||
4.250%, 10/14/2021 (1) | 7,000,000 | 7,199,653 | ||||||||||
3.300%, 11/16/2022 (1) | 5,175,000 | 5,228,634 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 4,200,000 | 4,461,064 | ||||||||||
4.100%, 02/09/2027 | 9,000,000 | 9,698,436 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,341,091 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.350%, 11/15/2021 | 3,160,000 | 3,172,557 | ||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,063,151 | ||||||||||
3.500%, 01/23/2025 | 2,000,000 | 2,099,625 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 3,500,000 | 3,623,564 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 4,000,000 | 4,255,940 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 3,100,000 | 3,417,995 | ||||||||||
Guardian Life Global Funding: | ||||||||||||
2.000%, 04/26/2021 (2) | 4,350,000 | 4,355,989 | ||||||||||
3.400%, 04/25/2023 (2) | 9,000,000 | 9,359,487 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
2.800%, 08/19/2029 | 3,625,000 | 3,667,390 | ||||||||||
High Street Funding Trust I, | ||||||||||||
4.111%, 02/15/2028 (2) | 5,000,000 | 5,384,269 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 2,000,000 | 2,057,646 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 10,140,000 | 10,371,808 | ||||||||||
3.600%, 05/25/2023 (1) | 2,700,000 | 2,816,869 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 3,000,000 | 3,149,418 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 1,000,000 | 1,078,365 | ||||||||||
Humana, Inc., | ||||||||||||
2.900%, 12/15/2022 | 6,275,000 | 6,394,104 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 1,585,000 | 1,604,669 | ||||||||||
2.300%, 01/14/2022 | 1,300,000 | 1,307,202 | ||||||||||
Huntington National Bank, | ||||||||||||
2.875%, 08/20/2020 | 3,500,000 | 3,517,628 | ||||||||||
ING Bank NV: | ||||||||||||
5.000%, 06/09/2021 (1)(2) | 2,000,000 | 2,087,769 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 9,405,000 | 10,438,955 | ||||||||||
ING Groep NV, | ||||||||||||
3.550%, 04/09/2024 (1) | 4,000,000 | 4,186,623 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 4,750,000 | 4,883,777 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,350,000 | 10,738,954 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,116,113 | ||||||||||
4.850%, 01/15/2027 | 1,425,000 | 1,573,950 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 11,325,000 | 13,241,180 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 2,500,000 | 2,506,160 | ||||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,150,068 | ||||||||||
3.166%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,035,000 | 5,120,630 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 13,000,000 | 12,985,342 | ||||||||||
KeyBank NA: | ||||||||||||
3.180%, 05/22/2022 | 2,750,000 | 2,805,775 | ||||||||||
3.400%, 05/20/2026 | 2,200,000 | 2,291,780 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 10,000,000 | 9,996,606 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 966,000 | 1,026,566 | ||||||||||
4.569%, 02/01/2029 (2) | 1,559,000 | 1,742,267 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 8,000,000 | 8,439,027 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 500,000 | 500,515 | ||||||||||
3.000%, 01/11/2022 (1) | 7,000,000 | 7,112,869 | ||||||||||
4.050%, 08/16/2023 (1) | 4,580,000 | 4,856,503 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 1,100,000 | 1,100,126 | ||||||||||
6.625%, 04/07/2021 (1)(2) | 5,482,000 | 5,772,687 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 5,250,000 | 5,365,499 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 4,000,000 | 4,203,912 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.875%, 03/15/2024 | 1,550,000 | 1,653,536 | ||||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023 (2) | 12,053,000 | 13,749,674 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.261%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(8) | 500,000 | 342,153 | ||||||||||
Metropolitan Life Global Funding I, | ||||||||||||
3.000%, 01/10/2023 (2) | 1,300,000 | 1,337,637 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 3,000,000 | 3,008,897 | ||||||||||
2.998%, 02/22/2022 (1) | 2,595,000 | 2,644,905 | ||||||||||
3.455%, 03/02/2023 (1) | 2,000,000 | 2,069,946 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 5,066,376 | ||||||||||
4.600%, 03/27/2024 (1)(2) | 7,000,000 | 7,480,653 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 3,000,000 | 3,152,072 | ||||||||||
Morgan Stanley: | ||||||||||||
3.336%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 7,000,000 | 7,151,102 | ||||||||||
3.125%, 07/27/2026 | 4,600,000 | 4,749,688 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 225,000 | 232,771 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 5,000,000 | 5,176,681 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 10,000,000 | 10,527,906 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,478,000 | 1,535,237 | ||||||||||
Nationwide Mutual Insurance Co., | ||||||||||||
8.250%, 12/01/2031 (2) | 2,195,000 | 3,159,439 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 1,000,000 | 1,007,741 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 12,850,000 | 13,491,682 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 6,000,000 | 6,343,707 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 5,000,000 | 5,224,346 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,385,666 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
3.000%, 04/18/2026 (2) | 7,000,000 | 7,239,517 | ||||||||||
Protective Life Corp., | ||||||||||||
4.300%, 09/30/2028 (2) | 1,400,000 | 1,515,669 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 8,300,000 | 10,657,267 | ||||||||||
Regions Bank, | ||||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,425,000 | 3,451,478 | ||||||||||
Regions Financial Corp., | ||||||||||||
2.750%, 08/14/2022 | 4,725,000 | 4,810,438 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
3.050%, 01/20/2021 (2) | 5,000,000 | 5,053,731 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 2,000,000 | 2,124,907 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 4,700,000 | 5,406,776 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 6,850,000 | 7,569,278 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
3.125%, 01/08/2021 (1) | 2,475,000 | 2,496,148 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,000,000 | 5,399,707 | ||||||||||
Santander UK PLC: | ||||||||||||
2.125%, 11/03/2020 (1) | 4,500,000 | 4,505,367 | ||||||||||
5.000%, 11/07/2023 (1)(2) | 3,675,000 | 3,951,595 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (1)(2) | 8,500,000 | 8,513,311 | ||||||||||
SMBC Aviation Capital Finance DAC: | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 4,000,000 | 4,071,401 | ||||||||||
3.550%, 04/15/2024 (1)(2) | 6,075,000 | 6,310,663 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021 (1)(2) | 2,150,000 | 2,161,005 | ||||||||||
5.200%, 04/15/2021 (1)(2) | 1,250,000 | 1,300,077 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 5,000,000 | 5,310,653 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 3,350,000 | 3,612,851 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 4,814,000 | 5,059,000 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 10,350,000 | 10,415,933 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 4,125,000 | 4,291,235 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 10,139,000 | 10,795,699 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.442%, 10/19/2021 (1) | 6,200,000 | 6,248,995 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 3,800,000 | 3,822,474 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 5,000,000 | 5,113,784 | ||||||||||
4.250%, 08/15/2024 | 5,275,000 | 5,630,263 | ||||||||||
3.700%, 08/04/2026 | 3,000,000 | 3,100,302 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
4.400%, 03/15/2026 (1) | 1,125,000 | 1,223,303 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.950%, 09/24/2020 (1)(2) | 6,225,000 | 6,268,536 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 5,000,000 | 5,051,416 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 3,050,000 | 3,138,876 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 3,350,000 | 3,455,878 | ||||||||||
3.650%, 06/15/2026 | 2,410,000 | 2,546,200 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
3.250%, 10/05/2020 (2) | 7,500,000 | 7,560,395 | ||||||||||
Wells Fargo & Co., | ||||||||||||
3.157%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,088,950 | ||||||||||
Westpac Banking Corp., | ||||||||||||
2.100%, 05/13/2021 (1) | 5,000,000 | 5,014,657 | ||||||||||
Willis North America, Inc.: | ||||||||||||
3.600%, 05/15/2024 | 8,150,000 | 8,515,517 | ||||||||||
4.500%, 09/15/2028 | 8,500,000 | 9,373,614 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 3,450,000 | 3,596,037 | ||||||||||
Total Financials (Cost $842,143,302) | 873,127,921 | 19.9 | % | |||||||||
Total Corporate Bonds (Cost $1,704,002,166) | 1,771,548,262 | 40.3 | % |
Municipal Bonds | ||||||||||||
Alabama Economic Settlement Authority, | ||||||||||||
3.163%, 09/15/2025 | 3,910,000 | 4,000,868 | ||||||||||
California School Finance Authority, | ||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,526,025 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,162,800 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 880,000 | 924,933 | ||||||||||
5.790%, 12/01/2022 | 2,265,000 | 2,270,164 | ||||||||||
County of Cook IL, | ||||||||||||
5.240%, 11/15/2025 (Callable 11/15/2021) | 2,345,000 | 2,451,955 | ||||||||||
County of Hamilton OH, | ||||||||||||
3.374%, 06/01/2034 | 10,000,000 | 10,037,600 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/31/2020) | 595,000 | 603,842 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
2.600%, 01/01/2020 | 1,415,000 | 1,415,000 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 02/15/2021 | 3,000,000 | 2,933,550 | ||||||||||
0.000%, 02/15/2022 | 2,000,000 | 1,908,120 | ||||||||||
Niagara Area Development Corp.: | ||||||||||||
3.004%, 05/01/2025 | 1,000,000 | 995,120 | ||||||||||
3.204%, 05/01/2026 | 1,995,000 | 1,981,434 | ||||||||||
3.272%, 05/01/2027 | 2,060,000 | 2,042,737 | ||||||||||
3.372%, 05/01/2028 | 2,130,000 | 2,111,640 | ||||||||||
3.422%, 05/01/2029 | 2,200,000 | 2,179,166 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 185,000 | 187,490 | ||||||||||
3.000%, 01/01/2033 (Callable 01/01/2025) | 2,565,000 | 2,581,673 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,493,120 | ||||||||||
Public Finance Authority, | ||||||||||||
2.820%, 03/01/2020 (Callable 01/21/2020) | 2,000,000 | 2,000,500 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
2.700%, 11/01/2036 (Callable 11/01/2025) | 1,395,000 | 1,400,259 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
3.800%, 12/01/2026 (Callable 12/01/2025) | 2,200,000 | 2,302,234 | ||||||||||
3.950%, 12/01/2027 (Callable 12/01/2025) | 1,700,000 | 1,779,866 | ||||||||||
Total Municipal Bonds (Cost $52,466,803) | 53,290,096 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 99 | 100 | ||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 61 | 63 | ||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 4,772 | 4,880 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 4,582 | 4,777 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2021 | 13,653 | 13,889 | ||||||||||
6.000%, 07/01/2028 | 3,205 | 3,590 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 2,046 | 2,120 | ||||||||||
Total U.S. Government Agency Issues (Cost $28,363) | 29,419 | 0.0 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 32,250 | 32,283 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (6) | 44,928 | 44,301 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 106,340 | 105,095 | ||||||||||
Series 2004-8CB, Class A, 2.062%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 685,038 | 686,952 | ||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 (6) | 31,421 | 31,249 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 (4) | 392 | 402 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.132%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 566,171 | 566,695 | ||||||||||
Series 2005-W5, Class A1, 2.027%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 5,697,896 | 5,670,822 | ||||||||||
Banc of America Alternative Loan Trust, | ||||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 (6) | 33,074 | 30,482 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 1,950,296 | 2,096,127 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2004-5, Class 2A, 4.372%, 07/25/2034 (4) | 764,016 | 768,241 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 35,398 | 36,162 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 239 | 241 | ||||||||||
Series 2006-13, Class 1AF3, 4.275%, 01/25/2037 (4) | 22,163 | 22,223 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 20,377 | 20,605 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 472,830 | 445,266 | ||||||||||
Delta Funding Home Equity Loan Trust: | ||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 668 | 622 | ||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 168,478 | 168,370 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2005-WMC2, Class A1B, 2.412%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 844,655 | 846,268 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 (7) | 457 | 459 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 13,226 | 13,172 | ||||||||||
Series 2006-A1, Class 2A1, 4.134%, 03/25/2036 (4)(6) | 270,148 | 255,828 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.922%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 374,171 | 373,993 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 155 | 154 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.022%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 681,218 | 680,542 | ||||||||||
New Residential Mortgage Loan Trust, | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 3,154,477 | 3,290,619 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 04/01/2020 (6) | 1,457 | 1,408 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 1,649 | 1,656 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2003-2, Class A2, 3.092%, 11/25/2033 (1 Month LIBOR USD + 1.300%) (3) | 1,214,218 | 1,224,185 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 2.462%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,132,495 | 1,131,435 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 2.792%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 945,760 | 944,438 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.995%, 10/25/2043 (4) | 2,535,645 | 2,602,709 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-5, Class A1B, 2.750%, 05/25/2055 (2)(4) | 1,525,787 | 1,524,626 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 1,664,009 | 1,678,563 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 8,006,305 | 8,060,935 | ||||||||||
Series 2017-5, Class A1, 2.392%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 4,059,283 | 4,049,255 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 8,722,269 | 9,055,692 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 14,070,789 | 14,151,700 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-AR3, Class A1, 4.498%, 06/25/2034 (4) | 1,999,115 | 2,033,081 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 2,205,387 | 2,385,610 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, | ||||||||||||
Series 2004-2, Class A33, 2.792%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 2,256,764 | 2,248,502 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $66,076,445) | 67,280,968 | 1.5 | % |
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 | 17,125,000 | 17,377,388 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,273,741 | ||||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 14,683,119 | ||||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 1,650,000 | 1,733,088 | ||||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,564,556 | ||||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,124,515 | ||||||||||
Series K043, Class A2, 3.062%, 12/25/2024 | 4,250,000 | 4,435,542 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 8,725,000 | 9,201,652 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 12,375,000 | 13,089,212 | ||||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 9,859,129 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,354,000 | 9,925,097 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 7,522,380 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 9,715,835 | ||||||||||
Total U.S. Government Agency Issues (Cost $119,025,290) | 122,505,254 | 2.8 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2017-CD6, Class ASB, 3.332%, 11/15/2050 | 10,480,000 | 10,920,952 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,550,000 | 11,827,089 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 12,540,000 | 12,959,448 | ||||||||||
Series 2015-GC35, Class A4, 3.818%, 11/13/2048 | 8,795,000 | 9,437,566 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 13,000,000 | 13,819,001 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 3,373,000 | 3,527,423 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | 12,980,000 | 13,216,078 | ||||||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,746,203 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 5,000,000 | 5,143,024 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 16,399,871 | 16,787,036 | ||||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,675,000 | 12,210,984 | ||||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 14,934,144 | 16,024,162 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,875,000 | 9,022,734 | ||||||||||
Series 2014-C24, Class ASB, 3.324%, 11/18/2047 | 9,948,851 | 10,189,854 | ||||||||||
Series 2013-C12, Class ASB, 2.838%, 03/17/2048 | 6,301,708 | 6,354,323 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $163,363,195) | 165,185,877 | 3.8 | % |
Asset Backed Securities | ||||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 8,100,000 | 8,146,323 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 7,792 | 7,800 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 901,643 | 923,365 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 100,576 | 103,662 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 49,288 | 50,686 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 11,375,000 | 11,510,074 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 10,825,000 | 11,363,418 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 3,053,247 | 3,052,870 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 27,345 | 27,733 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 14,555,000 | 14,574,140 | ||||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024 (2) | 12,125,000 | 12,289,657 | ||||||||||
SoFi Consumer Loan Program LLC, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 1,332,861 | 1,337,522 | ||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 19,075,000 | 19,368,301 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 5,850,000 | 5,861,266 | ||||||||||
Total Asset Backed Securities (Cost $87,744,753) | 88,616,817 | 2.0 | % | |||||||||
Total Long-Term Investments (Cost $4,218,612,882) | 4,341,269,048 | 98.8 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 1.53% (5) | 85,466,279 | 85,466,279 | ||||||||||
Total Short-Term Investment (Cost $85,466,279) | 85,466,279 | 1.9 | % | |||||||||
Total Investments (Cost $4,304,079,161) | 4,426,735,327 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (32,499,530 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,394,235,797 | 100.0 | % |
Notes to Schedule of Investments | |||||||
LIBOR - London Inter-bank Offered Rate | |||||||
SOFR - Secured Overnight Financing Rate | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144(a) 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 December 31, 2019, the value of these securities total $785,269,895, which represents 17.87% of total net assets. | ||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 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 December 31, 2019. | ||||||
(8) | Security in default. |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,043,656,032 | $ | – | $ | 2,043,656,032 | ||||||||
Other Government Related Securities | – | 29,156,323 | – | 29,156,323 | ||||||||||||
Corporate Bonds | – | 1,771,548,262 | – | 1,771,548,262 | ||||||||||||
Municipal Bonds | – | 53,290,096 | – | 53,290,096 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 29,419 | – | 29,419 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 67,280,968 | – | 67,280,968 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 122,505,254 | – | 122,505,254 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 165,185,877 | – | 165,185,877 | ||||||||||||
Asset Backed Securities | – | 88,616,817 | – | 88,616,817 | ||||||||||||
Total Long-Term Investments | – | 4,341,269,048 | – | 4,341,269,048 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 85,466,279 | – | – | 85,466,279 | ||||||||||||
Total Short-Term Investment | 85,466,279 | – | – | 85,466,279 | ||||||||||||
Total Investments | $ | 85,466,279 | $ | 4,341,269,048 | $ | – | $ | 4,426,735,327 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 339,300,000 | $ | 340,572,375 | ||||||||
1.875%, 03/31/2022 | 1,222,125,000 | 1,229,906,502 | ||||||||||
1.625%, 08/31/2022 | 343,150,000 | 343,431,489 | ||||||||||
2.500%, 05/15/2024 | 182,075,000 | 188,397,839 | ||||||||||
2.250%, 11/15/2025 | 364,650,000 | 374,578,165 | ||||||||||
2.000%, 11/15/2026 | 203,125,000 | 205,481,567 | ||||||||||
2.250%, 11/15/2027 | 258,450,000 | 265,799,672 | ||||||||||
3.125%, 11/15/2028 | 364,925,000 | 401,517,285 | ||||||||||
3.500%, 02/15/2039 | 339,980,900 | 408,096,604 | ||||||||||
2.875%, 05/15/2043 | 779,725,000 | 851,270,858 | ||||||||||
2.500%, 02/15/2045 | 776,850,000 | 794,511,203 | ||||||||||
2.875%, 05/15/2049 | 80,300,000 | 88,747,183 | ||||||||||
Total U.S. Treasury Securities (Cost $5,313,232,372) | 5,492,310,742 | 24.3 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2015) Australia Pty Ltd., | ||||||||||||
2.625%, 05/05/2020 (1) | 14,500,000 | 14,515,370 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
4.875%, 01/15/2024 (1)(2) | 3,423,000 | 3,679,759 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 6,107,000 | 6,405,510 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020 (1) | 11,000,000 | 11,001,320 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
2.000%, 04/23/2020 (1)(2) | 7,000,000 | 6,997,477 | ||||||||||
Korea Development Bank, | ||||||||||||
2.250%, 05/18/2020 (1) | 2,000,000 | 2,000,637 | ||||||||||
Korea Gas Corp., | ||||||||||||
4.250%, 11/02/2020 (1)(2) | 2,321,000 | 2,360,599 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037 (1) | 7,567,000 | 10,374,632 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.500%, 01/23/2026 (1) | 2,500,000 | 2,489,500 | ||||||||||
6.490%, 01/23/2027 (1)(2) | 4,150,000 | 4,415,600 | ||||||||||
6.625%, 06/15/2035 | 893,000 | 914,878 | ||||||||||
6.350%, 02/12/2048 (1) | 8,500,000 | 8,202,500 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,618,253 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 15,000,000 | 15,011,100 | ||||||||||
3.250%, 04/28/2025 (1)(2) | 10,000,000 | 10,319,789 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026 (1)(2) | 13,450,000 | 13,961,383 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd.: | ||||||||||||
2.250%, 09/13/2020 (1)(2) | 9,125,000 | 9,123,540 | ||||||||||
3.000%, 04/12/2022 (1)(2) | 15,000,000 | 15,206,237 | ||||||||||
Syngenta Finance NV, | ||||||||||||
4.441%, 04/24/2023 (1)(2) | 10,000,000 | 10,443,647 | ||||||||||
Total Other Government Related Securities (Cost $144,876,873) | 149,041,731 | 0.6 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
4.900%, 11/30/2046 | 4,700,000 | 6,177,016 | ||||||||||
AbbVie, Inc.: | ||||||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,514,273 | ||||||||||
2.950%, 11/21/2026 (2) | 9,625,000 | 9,799,826 | ||||||||||
4.500%, 05/14/2035 | 9,000,000 | 10,150,655 | ||||||||||
4.300%, 05/14/2036 | 6,000,000 | 6,604,956 | ||||||||||
4.050%, 11/21/2039 (2) | 12,700,000 | 13,348,426 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024 (1) | 12,067,000 | 12,675,637 | ||||||||||
3.800%, 03/15/2025 (1) | 16,425,000 | 17,261,156 | ||||||||||
4.550%, 03/15/2035 (1) | 8,000,000 | 8,745,737 | ||||||||||
Adventist Health System, | ||||||||||||
3.630%, 03/01/2049 | 9,000,000 | 8,785,592 | ||||||||||
Alcon Finance Corp., | ||||||||||||
3.800%, 09/23/2049 (2) | 7,000,000 | 7,344,712 | ||||||||||
Allegion PLC, | ||||||||||||
3.500%, 10/01/2029 (1) | 15,000,000 | 15,269,481 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 7,000,000 | 7,199,415 | ||||||||||
Allergan Finance LLC, | ||||||||||||
3.250%, 10/01/2022 | 17,863,000 | 18,258,644 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 12,300,000 | 13,782,750 | ||||||||||
Analog Devices, Inc., | ||||||||||||
3.125%, 12/05/2023 | 10,000,000 | 10,337,002 | ||||||||||
Anglo American Capital PLC, | ||||||||||||
4.875%, 05/14/2025 (1)(2) | 13,831,000 | 15,198,536 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 4,075,000 | 4,723,616 | ||||||||||
4.375%, 04/15/2038 | 7,000,000 | 7,863,675 | ||||||||||
5.450%, 01/23/2039 | 20,000,000 | 25,168,638 | ||||||||||
4.900%, 02/01/2046 | 37,000,000 | 43,886,534 | ||||||||||
AP Moller - Maersk A/S: | ||||||||||||
3.875%, 09/28/2025 (1)(2) | 8,900,000 | 9,228,979 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 8,000,000 | 8,532,131 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,723,696 | ||||||||||
ArcelorMittal: | ||||||||||||
6.250%, 02/25/2022 (1) | 19,100,000 | 20,587,824 | ||||||||||
3.600%, 07/16/2024 (1) | 10,000,000 | 10,254,547 | ||||||||||
4.550%, 03/11/2026 (1) | 13,000,000 | 13,805,173 | ||||||||||
4.250%, 07/16/2029 (1) | 15,000,000 | 15,671,927 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 5,000,000 | 5,359,508 | ||||||||||
3.400%, 05/15/2025 | 23,200,000 | 24,296,721 | ||||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,328,817 | ||||||||||
3.875%, 01/15/2026 | 7,000,000 | 7,501,911 | ||||||||||
4.125%, 02/17/2026 | 7,650,000 | 8,292,119 | ||||||||||
2.950%, 07/15/2026 | 6,250,000 | 6,371,780 | ||||||||||
3.800%, 02/15/2027 | 6,300,000 | 6,716,007 | ||||||||||
5.250%, 03/01/2037 | 10,000,000 | 11,947,839 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 11,514,237 | ||||||||||
6.375%, 03/01/2041 | 11,764,000 | 15,596,491 | ||||||||||
4.800%, 06/15/2044 | 1,375,000 | 1,568,868 | ||||||||||
4.750%, 05/15/2046 | 5,000,000 | 5,658,713 | ||||||||||
5.150%, 11/15/2046 | 10,599,000 | 12,690,644 | ||||||||||
5.150%, 02/15/2050 | 27,500,000 | 33,180,283 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
5.500%, 08/15/2025 (2) | 14,400,000 | 15,973,990 | ||||||||||
4.250%, 12/15/2025 (2) | 14,440,000 | 15,584,371 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 7,000,000 | 7,065,585 | ||||||||||
3.363%, 06/06/2024 | 6,300,000 | 6,561,711 | ||||||||||
3.734%, 12/15/2024 | 4,000,000 | 4,240,704 | ||||||||||
4.875%, 05/15/2044 | 10,815,000 | 12,529,944 | ||||||||||
Bell Canada, Inc., | ||||||||||||
4.464%, 04/01/2048 (1) | 1,225,000 | 1,420,702 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 27,631,000 | 29,894,994 | ||||||||||
5.950%, 06/01/2026 | 28,506,000 | 32,079,053 | ||||||||||
4.450%, 07/15/2027 | 7,000,000 | 7,257,573 | ||||||||||
4.800%, 05/03/2029 | 15,000,000 | 16,079,531 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 6,000,000 | 6,024,972 | ||||||||||
Bristol-Myers Squibb Co.: | ||||||||||||
3.550%, 08/15/2022 (2) | 6,450,000 | 6,703,513 | ||||||||||
3.250%, 02/20/2023 (2) | 6,175,000 | 6,395,569 | ||||||||||
4.000%, 08/15/2023 (2) | 2,477,000 | 2,639,430 | ||||||||||
4.125%, 06/15/2039 (2) | 9,150,000 | 10,561,350 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.625%, 10/15/2024 (2) | 19,075,000 | 19,835,883 | ||||||||||
3.125%, 01/15/2025 | 12,000,000 | 12,146,248 | ||||||||||
4.250%, 04/15/2026 (2) | 35,000,000 | 37,176,003 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
2.900%, 12/01/2029 | 11,300,000 | 11,289,656 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 12,235,000 | 12,387,624 | ||||||||||
3.000%, 09/25/2022 | 15,000,000 | 15,214,806 | ||||||||||
3.250%, 08/15/2026 | 11,550,000 | 11,508,382 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,000,000 | 3,406,202 | ||||||||||
Cameron LNG LLC, | ||||||||||||
3.302%, 01/15/2035 (2) | 20,000,000 | 20,199,790 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 10,325,000 | 11,001,174 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
6.500%, 02/15/2037 (1) | 982,000 | 1,283,964 | ||||||||||
Carlisle Companies, Inc., | ||||||||||||
3.500%, 12/01/2024 | 5,000,000 | 5,193,975 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
3.500%, 05/08/2024 | 10,640,000 | 11,003,149 | ||||||||||
Celulosa Arauco y Constitucion SA, | ||||||||||||
3.875%, 11/02/2027 (1) | 12,000,000 | 12,045,120 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 21,000,000 | 21,610,680 | ||||||||||
5.150%, 03/15/2034 | 3,000,000 | 3,352,500 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 13,773,000 | 14,477,753 | ||||||||||
4.908%, 07/23/2025 | 54,750,000 | 60,289,463 | ||||||||||
6.384%, 10/23/2035 | 5,800,000 | 7,300,148 | ||||||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||||||
5.125%, 06/30/2027 | 18,219,000 | 20,135,274 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.659%, 05/01/2020 (3 Month LIBOR USD + 0.750%) (2)(3) | 25,000,000 | 25,047,135 | ||||||||||
Cigna Corp.: | ||||||||||||
3.300%, 02/25/2021 (2) | 2,350,000 | 2,380,047 | ||||||||||
4.750%, 11/15/2021 (2) | 5,000,000 | 5,241,888 | ||||||||||
3.900%, 02/15/2022 (2) | 10,000,000 | 10,357,021 | ||||||||||
3.050%, 11/30/2022 (2) | 10,000,000 | 10,222,104 | ||||||||||
3.000%, 07/15/2023 (2) | 5,512,000 | 5,632,393 | ||||||||||
3.500%, 06/15/2024 (2) | 9,000,000 | 9,400,622 | ||||||||||
4.125%, 11/15/2025 | 13,000,000 | 14,108,166 | ||||||||||
4.800%, 08/15/2038 | 5,000,000 | 5,832,101 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.875%, 04/05/2022 (1)(2) | 8,000,000 | 8,085,760 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.200%, 01/15/2024 | 2,450,000 | 2,595,520 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 14,575,000 | 14,624,607 | ||||||||||
4.500%, 06/01/2025 | 6,199,000 | 6,801,857 | ||||||||||
5.800%, 06/01/2045 | 10,776,000 | 13,672,471 | ||||||||||
Comcast Corp.: | ||||||||||||
3.200%, 07/15/2036 | 6,000,000 | 6,142,871 | ||||||||||
3.969%, 11/01/2047 | 8,622,000 | 9,499,107 | ||||||||||
4.950%, 10/15/2058 | 10,000,000 | 13,032,207 | ||||||||||
CommonSpirit Health, | ||||||||||||
3.347%, 10/01/2029 | 8,200,000 | 8,250,324 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 332,000 | 337,116 | ||||||||||
9.750%, 03/01/2021 | 4,548,000 | 4,881,687 | ||||||||||
7.125%, 10/01/2026 | 6,441,000 | 7,898,577 | ||||||||||
7.000%, 10/01/2028 | 4,300,000 | 5,423,412 | ||||||||||
5.300%, 11/01/2038 | 5,000,000 | 5,938,126 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 9,000,000 | 9,235,731 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.850%, 02/01/2025 (2) | 4,725,000 | 5,005,183 | ||||||||||
3.350%, 09/15/2026 (2) | 4,450,000 | 4,592,933 | ||||||||||
4.800%, 02/01/2035 (2) | 14,000,000 | 15,508,546 | ||||||||||
8.375%, 03/01/2039 (2) | 19,011,000 | 28,589,873 | ||||||||||
CSX Corp., | ||||||||||||
4.650%, 03/01/2068 | 9,000,000 | 10,339,876 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.250%, 08/15/2029 | 8,000,000 | 8,130,731 | ||||||||||
4.780%, 03/25/2038 | 33,000,000 | 37,516,680 | ||||||||||
5.125%, 07/20/2045 | 10,000,000 | 11,863,155 | ||||||||||
5.050%, 03/25/2048 | 19,300,000 | 22,871,010 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.400%, 02/22/2022 (2) | 6,550,000 | 6,711,421 | ||||||||||
2.550%, 08/15/2022 (2) | 30,000,000 | 30,225,580 | ||||||||||
Danone SA, | ||||||||||||
2.589%, 11/02/2023 (1)(2) | 19,600,000 | 19,910,791 | ||||||||||
Dell Technologies, Inc., | ||||||||||||
4.000%, 07/15/2024 (2) | 27,450,000 | 28,760,032 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 5,661,000 | 8,339,802 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 50,575,000 | 52,047,320 | ||||||||||
5.450%, 06/15/2023 (2) | 15,043,000 | 16,317,735 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,326,020 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 10,000,000 | 11,013,893 | ||||||||||
5.319%, 11/15/2038 | 29,000,000 | 34,616,462 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.250%, 04/15/2024 | 54,525,000 | 57,922,150 | ||||||||||
4.750%, 04/15/2027 | 24,583,000 | 26,477,978 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
4.272%, 08/28/2023 | 10,000,000 | 10,563,924 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
3.900%, 05/15/2024 | 5,000,000 | 5,122,665 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,457,309 | ||||||||||
7.375%, 10/15/2045 | 20,000,000 | 29,879,386 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 (1) | 20,000,000 | 20,482,913 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
5.800%, 06/15/2038 | 7,797,000 | 8,830,649 | ||||||||||
6.000%, 06/15/2048 | 10,000,000 | 11,668,368 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.150%, 10/01/2020 | 10,000,000 | 10,106,614 | ||||||||||
4.050%, 03/15/2025 | 26,585,000 | 27,950,917 | ||||||||||
6.050%, 06/01/2041 | 1,968,000 | 2,222,066 | ||||||||||
6.500%, 02/01/2042 | 5,621,000 | 6,686,201 | ||||||||||
5.950%, 10/01/2043 | 3,550,000 | 3,965,468 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 20,041,840 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
3.700%, 02/15/2026 | 8,350,000 | 8,889,793 | ||||||||||
5.750%, 03/01/2035 | 4,930,000 | 5,945,244 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 10,405,000 | 10,438,207 | ||||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,919,608 | ||||||||||
4.125%, 12/01/2026 | 10,000,000 | 9,432,364 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
3.300%, 12/01/2026 (2) | 20,225,000 | 20,823,914 | ||||||||||
FedEx Corp., | ||||||||||||
4.950%, 10/17/2048 | 15,000,000 | 16,398,876 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 11,000,000 | 12,038,992 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 12,188,000 | 12,689,297 | ||||||||||
3.875%, 06/05/2024 | 582,000 | 619,438 | ||||||||||
4.500%, 08/15/2046 | 17,040,000 | 19,575,649 | ||||||||||
Fiserv, Inc.: | ||||||||||||
2.700%, 06/01/2020 | 10,000,000 | 10,024,781 | ||||||||||
3.500%, 10/01/2022 | 5,410,000 | 5,607,816 | ||||||||||
3.200%, 07/01/2026 | 11,650,000 | 12,065,271 | ||||||||||
4.200%, 10/01/2028 | 5,000,000 | 5,546,233 | ||||||||||
4.400%, 07/01/2049 | 3,500,000 | 3,973,492 | ||||||||||
FMC Corp.: | ||||||||||||
4.100%, 02/01/2024 | 46,920,000 | 49,469,020 | ||||||||||
3.200%, 10/01/2026 | 5,000,000 | 5,107,585 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 5,000,000 | 5,045,819 | ||||||||||
4.375%, 05/10/2043 (1) | 1,874,000 | 2,071,909 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.200%, 01/15/2021 | 25,000,000 | 25,139,854 | ||||||||||
3.336%, 03/18/2021 | 7,500,000 | 7,556,394 | ||||||||||
3.339%, 03/28/2022 | 5,000,000 | 5,050,877 | ||||||||||
2.979%, 08/03/2022 | 34,690,000 | 34,743,840 | ||||||||||
3.664%, 09/08/2024 | 5,565,000 | 5,595,557 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 24,000,000 | 25,102,322 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 5,125,000 | 5,146,808 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
3.250%, 09/15/2029 | 15,000,000 | 15,171,235 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 14,530,000 | 15,710,889 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 14,200,000 | 14,579,141 | ||||||||||
General Electric Co.: | ||||||||||||
5.550%, 05/04/2020 | 1,585,000 | 1,602,016 | ||||||||||
4.650%, 10/17/2021 | 1,534,000 | 1,599,364 | ||||||||||
3.150%, 09/07/2022 | 11,538,000 | 11,781,883 | ||||||||||
3.100%, 01/09/2023 | 2,850,000 | 2,911,995 | ||||||||||
6.150%, 08/07/2037 | 13,124,000 | 16,320,739 | ||||||||||
6.875%, 01/10/2039 | 5,000,000 | 6,682,714 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.650%, 04/13/2020 | 3,500,000 | 3,504,346 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 9,021,707 | ||||||||||
4.200%, 03/01/2021 | 30,000,000 | 30,648,622 | ||||||||||
4.375%, 09/25/2021 | 2,675,000 | 2,771,774 | ||||||||||
3.450%, 01/14/2022 | 5,000,000 | 5,111,915 | ||||||||||
3.150%, 06/30/2022 | 6,000,000 | 6,115,786 | ||||||||||
5.100%, 01/17/2024 | 23,000,000 | 24,969,535 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.375%, 12/01/2024 (1) | 24,000,000 | 24,111,311 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
4.600%, 09/01/2035 | 4,600,000 | 5,492,969 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 13,691,000 | 14,267,449 | ||||||||||
4.625%, 04/29/2024 (2) | 30,620,000 | 32,463,324 | ||||||||||
4.000%, 04/16/2025 (2) | 4,450,000 | 4,633,798 | ||||||||||
4.000%, 03/27/2027 (2) | 25,550,000 | 26,556,674 | ||||||||||
3.875%, 10/27/2027 (2) | 2,000,000 | 2,065,560 | ||||||||||
4.875%, 03/12/2029 (2) | 11,000,000 | 11,952,152 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 17,505,000 | 18,197,536 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 18,220,000 | 19,009,745 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 7,400,000 | 7,916,715 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 25,000,000 | 26,157,000 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,743,983 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 5,000,000 | 5,407,567 | ||||||||||
Halliburton Co., | ||||||||||||
3.800%, 11/15/2025 | 9,000,000 | 9,601,116 | ||||||||||
HCA, Inc., | ||||||||||||
5.250%, 04/15/2025 | 30,686,000 | 34,334,866 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.600%, 10/15/2020 | 10,000,000 | 10,113,590 | ||||||||||
4.400%, 10/15/2022 | 15,150,000 | 16,007,939 | ||||||||||
Hubbell, Inc., | ||||||||||||
3.150%, 08/15/2027 | 11,700,000 | 11,692,225 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 20,000,000 | 21,518,075 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
3.625%, 10/31/2024 (1)(2) | 7,850,000 | 8,211,579 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.750%, 09/18/2020 (2) | 6,000,000 | 6,020,785 | ||||||||||
3.000%, 03/18/2021 (2) | 15,000,000 | 15,111,994 | ||||||||||
3.750%, 07/08/2021 (2) | 12,950,000 | 13,209,227 | ||||||||||
3.950%, 02/01/2022 (2) | 17,222,000 | 17,709,853 | ||||||||||
3.100%, 04/05/2022 (2) | 21,255,000 | 21,530,549 | ||||||||||
3.000%, 06/20/2022 (2) | 6,222,000 | 6,291,119 | ||||||||||
3.400%, 06/20/2024 (2) | 19,025,000 | 19,414,065 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 5,150,000 | 5,158,931 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA: | ||||||||||||
2.625%, 05/01/2020 (1) | 2,650,000 | 2,653,470 | ||||||||||
4.500%, 03/21/2049 (1) | 10,000,000 | 11,247,910 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 11,325,000 | 12,774,901 | ||||||||||
JM Smucker Co., | ||||||||||||
3.500%, 03/15/2025 | 5,000,000 | 5,263,075 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
6.000%, 01/15/2036 (1) | 892,000 | 1,095,034 | ||||||||||
4.500%, 02/15/2047 (1) | 4,400,000 | 4,759,406 | ||||||||||
4.950%, 07/02/2064 (1)(7) | 1,713,000 | 1,812,510 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 10,075,000 | 11,819,017 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
4.600%, 04/06/2027 | 22,450,000 | 24,900,325 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
4.300%, 05/01/2024 | 10,000,000 | 10,688,049 | ||||||||||
6.950%, 01/15/2038 | 14,008,000 | 18,558,889 | ||||||||||
6.500%, 09/01/2039 | 5,359,000 | 6,783,931 | ||||||||||
7.500%, 11/15/2040 | 6,617,000 | 9,120,370 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021 (2) | 4,155,000 | 4,272,874 | ||||||||||
5.625%, 11/15/2023 (2) | 5,017,000 | 5,546,804 | ||||||||||
8.050%, 10/15/2030 | 3,670,000 | 4,858,203 | ||||||||||
7.800%, 08/01/2031 | 14,995,000 | 20,678,700 | ||||||||||
7.750%, 01/15/2032 | 26,569,000 | 36,625,119 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.800%, 07/02/2020 | 563,000 | 563,900 | ||||||||||
3.000%, 06/01/2026 | 10,000,000 | 10,002,910 | ||||||||||
5.000%, 07/15/2035 | 14,740,000 | 16,376,943 | ||||||||||
L3Harris Technologies, Inc., | ||||||||||||
3.832%, 04/27/2025 | 5,000,000 | 5,336,248 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,454,807 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 893,000 | 1,167,250 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 496,000 | 507,160 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 5,930,000 | 6,035,285 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.100%, 01/15/2023 | 5,000,000 | 5,158,215 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
3.200%, 03/15/2025 | 5,000,000 | 5,114,477 | ||||||||||
3.950%, 03/01/2050 | 5,100,000 | 5,245,471 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 10,825,000 | 10,948,231 | ||||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,680,711 | ||||||||||
4.750%, 09/15/2044 | 1,500,000 | 1,649,063 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 893,000 | 1,090,760 | ||||||||||
Masco Corp., | ||||||||||||
4.450%, 04/01/2025 | 5,000,000 | 5,428,715 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.150%, 03/15/2022 | 1,562,000 | 1,606,545 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 19,981,000 | 20,434,182 | ||||||||||
4.333%, 06/01/2023 | 16,455,000 | 17,383,868 | ||||||||||
Microsoft Corp., | ||||||||||||
3.950%, 08/08/2056 | 12,000,000 | 14,221,940 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020 (2) | 23,093,000 | 23,123,884 | ||||||||||
3.900%, 04/15/2025 (2) | 9,365,000 | 9,667,644 | ||||||||||
Mosaic Co.: | ||||||||||||
4.250%, 11/15/2023 | 36,878,000 | 39,342,363 | ||||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,270,374 | ||||||||||
4.875%, 11/15/2041 | 5,000,000 | 5,240,912 | ||||||||||
MPLX LP: | ||||||||||||
4.500%, 07/15/2023 | 18,255,000 | 19,401,742 | ||||||||||
4.875%, 12/01/2024 | 12,165,000 | 13,225,706 | ||||||||||
5.250%, 01/15/2025 (2) | 9,276,000 | 9,742,985 | ||||||||||
4.875%, 06/01/2025 | 12,500,000 | 13,655,512 | ||||||||||
4.125%, 03/01/2027 | 11,700,000 | 12,290,136 | ||||||||||
4.500%, 04/15/2038 | 5,725,000 | 5,825,610 | ||||||||||
Mylan NV: | ||||||||||||
3.150%, 06/15/2021 (1) | 5,000,000 | 5,065,716 | ||||||||||
3.950%, 06/15/2026 (1) | 29,400,000 | 30,650,193 | ||||||||||
Mylan, Inc., | ||||||||||||
4.550%, 04/15/2028 | 10,000,000 | 10,765,679 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 15,000,000 | 15,588,161 | ||||||||||
Nutrien Ltd.: | ||||||||||||
3.375%, 03/15/2025 (1) | 5,125,000 | 5,310,933 | ||||||||||
4.200%, 04/01/2029 (1) | 7,000,000 | 7,713,225 | ||||||||||
nVent Finance Sarl, | ||||||||||||
4.550%, 04/15/2028 (1) | 26,190,000 | 27,187,033 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
3.200%, 08/15/2026 | 11,000,000 | 11,132,120 | ||||||||||
7.500%, 05/01/2031 | 7,170,000 | 9,329,476 | ||||||||||
7.875%, 09/15/2031 | 6,320,000 | 8,480,367 | ||||||||||
ONEOK, Inc.: | ||||||||||||
7.500%, 09/01/2023 | 5,000,000 | 5,836,775 | ||||||||||
2.750%, 09/01/2024 | 1,200,000 | 1,211,400 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 29,044,000 | 44,990,085 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 286,000 | 326,755 | ||||||||||
Penske Truck Leasing Co., | ||||||||||||
2.700%, 11/01/2024 (2) | 5,275,000 | 5,312,755 | ||||||||||
PerkinElmer, Inc., | ||||||||||||
3.300%, 09/15/2029 | 24,200,000 | 24,720,626 | ||||||||||
Pernod Ricard SA: | ||||||||||||
4.450%, 01/15/2022 (1)(2) | 331,000 | 346,282 | ||||||||||
4.250%, 07/15/2022 (1)(2) | 20,527,000 | 21,601,189 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
4.375%, 03/15/2026 (1) | 4,875,000 | 5,032,993 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 3,938,000 | 4,450,811 | ||||||||||
Phillips 66: | ||||||||||||
5.875%, 05/01/2042 | 6,000,000 | 8,107,134 | ||||||||||
4.875%, 11/15/2044 | 21,130,000 | 25,492,219 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 3,000,000 | 3,144,970 | ||||||||||
3.550%, 10/01/2026 | 7,000,000 | 7,338,426 | ||||||||||
3.150%, 12/15/2029 | 12,000,000 | 11,958,031 | ||||||||||
Plains All American Pipeline LP / PAA Finance Corp., | ||||||||||||
3.550%, 12/15/2029 | 10,000,000 | 9,864,938 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020 (1)(2) | 975,000 | 990,126 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.875%, 03/01/2022 | 8,955,000 | 9,505,049 | ||||||||||
Rio Tinto Alcan, Inc., | ||||||||||||
5.750%, 06/01/2035 (1) | 446,000 | 575,691 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 1,785,000 | 1,803,917 | ||||||||||
Rockwell Collins, Inc., | ||||||||||||
4.350%, 04/15/2047 | 9,175,000 | 10,805,753 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 17,500,000 | 19,710,399 | ||||||||||
5.875%, 06/30/2026 | 60,000,000 | 68,971,442 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.750%, 10/24/2023 (1)(2)(9) | 4,463,000 | 3,012,525 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.750%, 06/01/2023 (1) | 7,500,000 | 7,974,863 | ||||||||||
Shell International Finance BV: | ||||||||||||
3.250%, 05/11/2025 (1) | 5,725,000 | 6,068,355 | ||||||||||
4.125%, 05/11/2035 (1) | 10,000,000 | 11,701,050 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 4,000,000 | 4,546,729 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023 (1) | 26,223,000 | 26,721,682 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027 (1)(2) | 1,339,000 | 1,664,939 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 6,000,000 | 5,965,337 | ||||||||||
3.350%, 02/01/2022 (2) | 30,802,000 | 30,893,049 | ||||||||||
Sociedad Quimica y Minera de Chile SA, | ||||||||||||
3.625%, 04/03/2023 (1)(2) | 10,000,000 | 10,185,000 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025 (2) | 61,307,000 | 66,342,816 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
4.500%, 03/15/2045 | 7,000,000 | 7,723,884 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.900%, 07/15/2026 | 12,000,000 | 12,466,713 | ||||||||||
5.400%, 10/01/2047 | 7,425,000 | 8,073,043 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 16,500,000 | 16,589,927 | ||||||||||
Sysco Corp., | ||||||||||||
3.300%, 07/15/2026 | 11,550,000 | 12,180,168 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 31,115,000 | 33,136,688 | ||||||||||
3.900%, 05/25/2027 | 10,327,000 | 10,798,290 | ||||||||||
Telecom Italia Capital SA, | ||||||||||||
7.200%, 07/18/2036 (1) | 5,475,000 | 6,486,780 | ||||||||||
Telefonica Emisiones SA: | ||||||||||||
5.462%, 02/16/2021 (1) | 8,830,000 | 9,164,641 | ||||||||||
4.665%, 03/06/2038 (1) | 4,000,000 | 4,475,178 | ||||||||||
5.213%, 03/08/2047 (1) | 7,225,000 | 8,575,395 | ||||||||||
5.520%, 03/01/2049 (1) | 10,375,000 | 13,016,189 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
4.895%, 03/06/2048 (1) | 12,550,000 | 14,370,217 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023 (1) | 25,000,000 | 23,187,500 | ||||||||||
3.150%, 10/01/2026 (1) | 15,000,000 | 12,487,500 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.000%, 04/15/2023 | 7,975,000 | 8,200,484 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.550%, 05/01/2037 | 893,000 | 1,095,483 | ||||||||||
6.750%, 06/15/2039 | 2,767,000 | 3,496,103 | ||||||||||
Timken Co.: | ||||||||||||
3.875%, 09/01/2024 | 6,255,000 | 6,513,879 | ||||||||||
4.500%, 12/15/2028 | 6,550,000 | 7,059,838 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||||||
7.250%, 12/01/2026 | 3,500,000 | 4,381,498 | ||||||||||
4.600%, 03/15/2048 | 5,150,000 | 5,647,609 | ||||||||||
TTX Co.: | ||||||||||||
3.600%, 01/15/2025 (2) | 5,000,000 | 5,273,264 | ||||||||||
3.900%, 02/01/2045 (2) | 10,250,000 | 10,987,613 | ||||||||||
4.600%, 02/01/2049 (2) | 8,325,000 | 10,153,808 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
5.100%, 09/23/2048 | 10,000,000 | 12,591,586 | ||||||||||
Valaris PLC, | ||||||||||||
5.200%, 03/15/2025 (1) | 4,000,000 | 2,220,000 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
6.250%, 08/10/2026 (1) | 7,000,000 | 8,216,600 | ||||||||||
8.250%, 01/17/2034 (1) | 8,526,000 | 11,968,372 | ||||||||||
6.875%, 11/21/2036 (1) | 3,483,000 | 4,527,900 | ||||||||||
6.875%, 11/10/2039 (1) | 16,643,000 | 21,677,508 | ||||||||||
Valero Energy Corp.: | ||||||||||||
4.000%, 04/01/2029 | 15,475,000 | 16,695,452 | ||||||||||
6.625%, 06/15/2037 | 2,100,000 | 2,778,663 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.375%, 12/15/2026 | 10,000,000 | 10,896,976 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 8,325,000 | 8,703,406 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.329%, 09/21/2028 | 3,077,000 | 3,492,300 | ||||||||||
4.500%, 08/10/2033 | 16,325,000 | 19,056,338 | ||||||||||
4.272%, 01/15/2036 | 8,148,000 | 9,228,042 | ||||||||||
5.250%, 03/16/2037 | 28,793,000 | 36,161,970 | ||||||||||
4.812%, 03/15/2039 | 36,839,000 | 44,470,744 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030 (1) | 3,100,000 | 4,327,048 | ||||||||||
5.000%, 05/30/2038 (1) | 6,800,000 | 7,874,860 | ||||||||||
4.375%, 02/19/2043 (1) | 15,554,000 | 16,704,741 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 8,845,000 | 9,148,239 | ||||||||||
4.250%, 11/13/2023 (2) | 17,350,000 | 18,489,951 | ||||||||||
2.850%, 09/26/2024 (2) | 14,000,000 | 14,222,162 | ||||||||||
Vulcan Materials Co., | ||||||||||||
4.700%, 03/01/2048 | 3,446,000 | 3,879,401 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,815,910 | ||||||||||
4.400%, 03/15/2024 | 7,825,000 | 8,308,701 | ||||||||||
3.450%, 11/15/2026 | 19,315,000 | 19,533,288 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,504,053 | ||||||||||
3.800%, 11/18/2024 | 5,934,000 | 6,185,607 | ||||||||||
4.500%, 11/18/2034 | 4,750,000 | 4,955,603 | ||||||||||
4.800%, 11/18/2044 | 8,520,000 | 8,634,036 | ||||||||||
Walt Disney Co., | ||||||||||||
7.300%, 04/30/2028 | 6,350,000 | 8,500,729 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.450%, 06/15/2029 | 5,000,000 | 5,354,780 | ||||||||||
Western Gas Partners LP: | ||||||||||||
4.000%, 07/01/2022 | 10,463,000 | 10,725,237 | ||||||||||
3.950%, 06/01/2025 | 8,000,000 | 8,079,544 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 143,000 | 147,540 | ||||||||||
8.200%, 01/15/2030 | 7,963,000 | 10,985,941 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
3.600%, 03/15/2022 | 10,176,000 | 10,463,503 | ||||||||||
3.700%, 01/15/2023 | 1,690,000 | 1,750,433 | ||||||||||
4.300%, 03/04/2024 | 7,310,000 | 7,801,883 | ||||||||||
4.550%, 06/24/2024 | 7,000,000 | 7,557,635 | ||||||||||
3.900%, 01/15/2025 | 3,160,000 | 3,327,888 | ||||||||||
8.750%, 03/15/2032 | 4,000,000 | 5,753,700 | ||||||||||
6.300%, 04/15/2040 | 2,767,000 | 3,433,034 | ||||||||||
4.850%, 03/01/2048 | 7,000,000 | 7,663,470 | ||||||||||
Woodside Finance Ltd.: | ||||||||||||
3.650%, 03/05/2025 (1)(2) | 12,300,000 | 12,744,952 | ||||||||||
4.500%, 03/04/2029 (1)(2) | 10,000,000 | 10,946,750 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.000%, 09/15/2024 | 14,895,000 | 15,200,671 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 13,965,000 | 14,280,781 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
5.750%, 11/30/2039 | 9,850,000 | 11,740,290 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,699,618 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 5,145,000 | 5,200,514 | ||||||||||
3.250%, 02/01/2023 | 34,200,000 | 35,209,041 | ||||||||||
4.700%, 02/01/2043 | 3,568,000 | 4,254,922 | ||||||||||
Total Industrials (Cost $4,349,988,027) | 4,612,609,091 | 20.4 | % |
Utilities | ||||||||||||
Ameren Corp., | ||||||||||||
2.700%, 11/15/2020 | 10,000,000 | 10,053,553 | ||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 5,000,000 | 5,207,706 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
2.400%, 02/01/2020 | 5,000,000 | 5,001,606 | ||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023 (2) | 15,000,000 | 15,052,424 | ||||||||||
Duke Energy Corp., | ||||||||||||
2.650%, 09/01/2026 | 10,000,000 | 10,048,693 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,005,031 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024 (1)(2) | 19,175,000 | 19,923,774 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,000,000 | 7,090,424 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 22,790,000 | 23,613,876 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 8,000,000 | 8,189,825 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 4,565,000 | 6,077,686 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 34,392,000 | 38,735,161 | ||||||||||
Entergy Corp., | ||||||||||||
2.950%, 09/01/2026 | 13,075,000 | 13,286,264 | ||||||||||
Evergy, Inc., | ||||||||||||
2.450%, 09/15/2024 | 6,675,000 | 6,714,633 | ||||||||||
Exelon Corp., | ||||||||||||
4.950%, 06/15/2035 | 3,500,000 | 4,052,209 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 4,909,000 | 5,061,032 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
8.000%, 03/01/2032 | 4,659,000 | 7,007,687 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,750,000 | 12,391,613 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 3,575,000 | 3,606,833 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 683,036 | 733,571 | ||||||||||
Southern Co., | ||||||||||||
4.250%, 07/01/2036 | 5,525,000 | 5,956,601 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 1,785,000 | 1,854,344 | ||||||||||
Total Utilities (Cost $205,463,352) | 214,664,546 | 0.9 | % |
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.450%, 06/04/2020 (1)(2) | 9,000,000 | 9,013,824 | ||||||||||
7.750%, 05/15/2023 (1)(2) | 7,200,000 | 8,267,982 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 57,816,000 | 62,951,251 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 17,165,000 | 18,721,753 | ||||||||||
AerCap Holdings N.V.: | ||||||||||||
4.875%, 01/16/2024 (1) | 20,000,000 | 21,682,438 | ||||||||||
2.875%, 08/14/2024 (1) | 20,000,000 | 20,179,968 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 6,000,000 | 6,156,660 | ||||||||||
Air Lease Corp., | ||||||||||||
4.250%, 02/01/2024 | 8,550,000 | 9,173,606 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 10,830,000 | 11,277,414 | ||||||||||
4.875%, 06/01/2022 | 17,698,000 | 18,894,797 | ||||||||||
4.125%, 02/15/2024 | 893,000 | 959,000 | ||||||||||
3.750%, 07/10/2025 | 12,135,000 | 12,988,654 | ||||||||||
3.875%, 01/15/2035 | 4,875,000 | 5,176,423 | ||||||||||
6.820%, 11/15/2037 | 1,410,000 | 1,939,108 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 223,000 | 263,626 | ||||||||||
Anthem, Inc.: | ||||||||||||
2.375%, 01/15/2025 | 6,000,000 | 5,992,949 | ||||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,895,711 | ||||||||||
4.375%, 12/01/2047 | 8,650,000 | 9,550,651 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020 (1)(2) | 15,350,000 | 15,425,218 | ||||||||||
2.750%, 02/03/2021 (1)(2) | 3,000,000 | 3,024,056 | ||||||||||
3.400%, 03/19/2024 (1)(2) | 2,000,000 | 2,085,300 | ||||||||||
Aon PLC: | ||||||||||||
4.000%, 11/27/2023 (1) | 6,150,000 | 6,513,062 | ||||||||||
3.875%, 12/15/2025 (1) | 9,126,000 | 9,822,914 | ||||||||||
4.450%, 05/24/2043 (1) | 1,274,000 | 1,396,720 | ||||||||||
ASB Bank Ltd., | ||||||||||||
3.750%, 06/14/2023 (1)(2) | 10,000,000 | 10,469,715 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 44,423,000 | 47,299,327 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 13,000,000 | 13,355,258 | ||||||||||
5.179%, 11/19/2025 (1) | 14,000,000 | 15,686,773 | ||||||||||
4.379%, 04/12/2028 (1) | 13,400,000 | 14,670,897 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 29,000,000 | 29,059,582 | ||||||||||
3.300%, 01/11/2023 | 7,000,000 | 7,237,174 | ||||||||||
4.125%, 01/22/2024 | 15,000,000 | 16,124,054 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 16,000,000 | 16,708,579 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 15,000,000 | 15,481,409 | ||||||||||
2.456%, 10/22/2025 (3 Month LIBOR USD + 0.870%) (3) | 17,775,000 | 17,893,919 | ||||||||||
3.559%, 04/23/2027 (3 Month LIBOR USD + 1.060%) (3) | 9,000,000 | 9,513,481 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,254,747 | ||||||||||
7.750%, 05/14/2038 | 1,138,000 | 1,793,948 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 10,000,000 | 10,150,906 | ||||||||||
4.500%, 12/16/2025 (1) | 8,500,000 | 9,338,189 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||||||
4.100%, 09/09/2023 (1)(2) | 2,911,000 | 3,105,570 | ||||||||||
3.750%, 03/10/2024 (1)(2) | 2,800,000 | 2,959,403 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.700%, 07/20/2022 (1)(2) | 5,000,000 | 5,078,778 | ||||||||||
3.750%, 07/20/2023 (1)(2) | 34,100,000 | 35,764,113 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 12,770,000 | 14,195,432 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 12,175,000 | 12,277,757 | ||||||||||
3.684%, 01/10/2023 (1) | 25,475,000 | 26,124,435 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,445,025 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 13,000,000 | 13,707,200 | ||||||||||
3.650%, 03/16/2025 (1) | 8,100,000 | 8,431,085 | ||||||||||
3.932%, 05/07/2025 (3 Month LIBOR USD + 1.610%) (1)(3) | 16,700,000 | 17,555,869 | ||||||||||
BB&T Corp., | ||||||||||||
2.625%, 06/29/2020 | 5,000,000 | 5,013,457 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 8,000,000 | 8,114,352 | ||||||||||
3.875%, 04/10/2025 | 36,235,000 | 38,067,728 | ||||||||||
Berkshire Hathaway, Inc., | ||||||||||||
2.750%, 03/15/2023 | 14,675,000 | 15,048,094 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 8,570,000 | 8,868,883 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,350,000 | 8,672,611 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.400%, 02/21/2020 (1)(2) | 7,000,000 | 7,002,333 | ||||||||||
2.750%, 03/02/2021 (1)(2) | 14,000,000 | 14,126,053 | ||||||||||
2.650%, 11/03/2022 (1)(2) | 20,350,000 | 20,599,383 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 20,000,000 | 20,683,630 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 22,955,000 | 25,351,732 | ||||||||||
4.000%, 04/15/2024 (1) | 2,500,000 | 2,674,893 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 31,285,000 | 34,333,690 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 28,254,000 | 30,446,993 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 23,825,000 | 26,224,114 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
3.100%, 04/02/2024 (1) | 37,700,000 | 38,997,985 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.200%, 01/30/2023 | 6,550,000 | 6,734,636 | ||||||||||
3.900%, 01/29/2024 | 4,550,000 | 4,826,126 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 45,962,000 | 47,487,846 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 9,000,000 | 9,055,544 | ||||||||||
2.750%, 04/25/2022 | 8,675,000 | 8,813,997 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 12,200,000 | 12,439,050 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 20,350,000 | 20,694,327 | ||||||||||
3.337%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 7,000,000 | 7,148,572 | ||||||||||
4.044%, 06/01/2024 (3 Month LIBOR USD + 1.023%) (3) | 22,600,000 | 23,909,116 | ||||||||||
3.750%, 06/16/2024 | 1,000,000 | 1,062,205 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 5,650,000 | 5,880,548 | ||||||||||
3.700%, 01/12/2026 | 4,500,000 | 4,799,842 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 7,600,000 | 8,190,612 | ||||||||||
Citizens Financial Group, Inc., | ||||||||||||
2.850%, 07/27/2026 | 10,000,000 | 10,190,948 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 7,199,000 | 7,609,847 | ||||||||||
7.250%, 11/15/2023 | 4,000,000 | 4,677,471 | ||||||||||
4.500%, 03/01/2026 | 14,000,000 | 15,442,309 | ||||||||||
3.450%, 08/15/2027 | 9,550,000 | 9,954,862 | ||||||||||
3.900%, 05/01/2029 | 8,000,000 | 8,614,662 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 10,000,000 | 10,736,223 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 15,000,000 | 16,222,213 | ||||||||||
3.743%, 09/12/2039 (1)(2) | 23,500,000 | 23,574,080 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023 (1) | 14,630,000 | 15,857,766 | ||||||||||
4.375%, 08/04/2025 (1) | 20,397,000 | 22,135,476 | ||||||||||
3.750%, 07/21/2026 (1) | 12,000,000 | 12,503,820 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 10,180,000 | 10,417,374 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 5,000,000 | 5,230,516 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 4,204,000 | 4,507,004 | ||||||||||
4.000%, 01/10/2033 (5 Year Swap Rate USD + 1.644%) (1)(2)(3) | 8,000,000 | 8,443,945 | ||||||||||
Credit Suisse AG: | ||||||||||||
5.400%, 01/14/2020 (1) | 5,000,000 | 5,004,690 | ||||||||||
3.625%, 09/09/2024 (1) | 4,325,000 | 4,601,394 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 17,000,000 | 17,468,358 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 8,325,000 | 8,806,618 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(3) | 11,300,000 | 11,332,332 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 8,900,000 | 9,684,138 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 11,000,000 | 11,721,316 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 14,550,000 | 15,234,172 | ||||||||||
4.550%, 04/17/2026 (1) | 2,000,000 | 2,220,466 | ||||||||||
Credit Suisse USA, Inc., | ||||||||||||
7.125%, 07/15/2032 | 5,063,000 | 7,433,857 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 12,000,000 | 12,233,592 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020 (1) | 5,300,000 | 5,303,735 | ||||||||||
2.950%, 08/20/2020 (1) | 575,000 | 576,344 | ||||||||||
3.125%, 01/13/2021 (1) | 1,625,000 | 1,631,183 | ||||||||||
3.150%, 01/22/2021 (1) | 3,000,000 | 3,013,644 | ||||||||||
4.250%, 10/14/2021 (1) | 36,125,000 | 37,155,350 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,445,557 | ||||||||||
3.300%, 11/16/2022 (1) | 22,175,000 | 22,404,826 | ||||||||||
3.700%, 05/30/2024 (1) | 10,000,000 | 10,149,719 | ||||||||||
Discover Bank: | ||||||||||||
3.350%, 02/06/2023 | 8,600,000 | 8,869,348 | ||||||||||
4.200%, 08/08/2023 | 20,000,000 | 21,262,293 | ||||||||||
3.450%, 07/27/2026 | 12,000,000 | 12,464,023 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 10,000,000 | 10,621,583 | ||||||||||
4.100%, 02/09/2027 | 9,150,000 | 9,860,076 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,078,000 | 29,397,715 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 4,600,000 | 4,933,936 | ||||||||||
Five Corners Funding Trust, | ||||||||||||
4.419%, 11/15/2023 (2) | 11,330,000 | 12,300,566 | ||||||||||
FMR LLC, | ||||||||||||
4.950%, 02/01/2033 (2) | 1,750,000 | 2,145,944 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020 (1) | 12,638,000 | 12,648,202 | ||||||||||
Globe Life, Inc.: | ||||||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,788,103 | ||||||||||
4.550%, 09/15/2028 | 5,000,000 | 5,558,441 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.350%, 11/15/2021 | 6,175,000 | 6,199,537 | ||||||||||
3.000%, 04/26/2022 | 20,000,000 | 20,252,603 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 12,000,000 | 12,197,847 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 8,000,000 | 8,144,415 | ||||||||||
3.514%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 5,000,000 | 5,179,000 | ||||||||||
3.850%, 07/08/2024 | 3,000,000 | 3,173,091 | ||||||||||
3.500%, 01/23/2025 | 3,000,000 | 3,149,437 | ||||||||||
3.750%, 05/22/2025 | 5,000,000 | 5,307,766 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 15,000,000 | 15,529,560 | ||||||||||
3.686%, 10/28/2027 (3 Month LIBOR USD + 1.750%) (3) | 10,000,000 | 10,431,508 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 6,775,000 | 7,208,498 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 10,000,000 | 11,025,792 | ||||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,368,076 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
3.400%, 04/25/2023 (2) | 6,950,000 | 7,227,604 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 2,000,000 | 2,444,119 | ||||||||||
4.850%, 01/24/2077 (2) | 22,227,000 | 27,087,784 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 23,170,000 | 27,352,367 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
3.600%, 08/19/2049 | 7,000,000 | 7,184,272 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 4,378,000 | 4,504,186 | ||||||||||
HSBC Bank PLC, | ||||||||||||
7.650%, 05/01/2025 (1) | 2,525,000 | 3,055,761 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
7.000%, 01/15/2039 | 4,200,000 | 6,133,285 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,044,131 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 17,600,000 | 18,002,349 | ||||||||||
3.600%, 05/25/2023 (1) | 2,275,000 | 2,373,473 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 6,000,000 | 6,312,955 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 26,550,000 | 27,872,347 | ||||||||||
4.292%, 09/12/2026 (3 Month LIBOR USD + 1.348%) (1)(3) | 7,450,000 | 8,056,621 | ||||||||||
4.375%, 11/23/2026 (1) | 10,000,000 | 10,815,397 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 2,000,000 | 2,156,730 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.350%, 03/05/2020 | 3,000,000 | 3,001,532 | ||||||||||
5.000%, 09/27/2020 | 3,716,000 | 3,793,912 | ||||||||||
9.125%, 05/15/2021 | 625,000 | 680,362 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 7,600,000 | 7,694,311 | ||||||||||
2.300%, 01/14/2022 | 26,450,000 | 26,596,530 | ||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023 (1)(2) | 67,525,000 | 74,948,480 | ||||||||||
Invesco Finance PLC: | ||||||||||||
3.125%, 11/30/2022 (1) | 5,902,000 | 6,068,221 | ||||||||||
3.750%, 01/15/2026 (1) | 4,900,000 | 5,224,156 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 23,475,000 | 24,357,193 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,777,261 | ||||||||||
4.850%, 01/15/2027 | 4,600,000 | 5,080,821 | ||||||||||
4.150%, 01/23/2030 | 10,000,000 | 10,604,799 | ||||||||||
6.250%, 01/15/2036 | 1,390,000 | 1,660,677 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 13,339,000 | 15,595,947 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
4.250%, 10/15/2020 | 886,000 | 901,747 | ||||||||||
2.295%, 08/15/2021 | 18,000,000 | 18,044,349 | ||||||||||
3.166%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 15,000,000 | 15,255,105 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,000,000 | 15,631,338 | ||||||||||
3.125%, 01/23/2025 | 14,000,000 | 14,610,917 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 10,000,000 | 9,988,724 | ||||||||||
5.600%, 07/15/2041 | 4,106,000 | 5,623,325 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 5,000,000 | 5,002,942 | ||||||||||
3.400%, 05/20/2026 | 18,965,000 | 19,756,189 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 41,025,000 | 41,011,078 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 591,000 | 628,055 | ||||||||||
4.569%, 02/01/2029 (2) | 2,087,000 | 2,332,335 | ||||||||||
3.951%, 10/15/2050 (2) | 2,231,000 | 2,320,590 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 465,000 | 662,289 | ||||||||||
Life Storage LP, | ||||||||||||
3.500%, 07/01/2026 | 6,819,000 | 7,008,271 | ||||||||||
Lincoln National Corp., | ||||||||||||
3.050%, 01/15/2030 | 24,650,000 | 24,737,668 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 1,428,000 | 1,429,472 | ||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 18,669,000 | 18,950,411 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 10,000,000 | 10,448,852 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 17,000,000 | 17,001,952 | ||||||||||
4.875%, 06/10/2025 (1)(2) | 17,600,000 | 19,057,019 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 29,067,000 | 29,706,471 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 24,000,000 | 25,223,471 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026 (1) | 10,000,000 | 11,008,383 | ||||||||||
5.375%, 03/04/2046 (1) | 5,150,000 | 6,852,629 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
5.875%, 08/01/2033 | 4,700,000 | 6,128,727 | ||||||||||
4.350%, 01/30/2047 | 3,450,000 | 3,974,609 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
3.729%, 10/15/2070 (2) | 16,676,000 | 16,126,680 | ||||||||||
4.900%, 04/01/2077 (2) | 11,175,000 | 13,491,701 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.261%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(9) | 714,000 | 488,594 | ||||||||||
MetLife, Inc.: | ||||||||||||
6.500%, 12/15/2032 | 466,000 | 656,843 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,185,232 | ||||||||||
4.050%, 03/01/2045 | 12,375,000 | 14,367,031 | ||||||||||
Metropolitan Life Insurance Co., | ||||||||||||
7.800%, 11/01/2025 (2) | 3,725,000 | 4,709,500 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021 (1) | 8,738,000 | 8,833,814 | ||||||||||
2.190%, 09/13/2021 (1) | 12,400,000 | 12,436,774 | ||||||||||
2.665%, 07/25/2022 (1) | 9,000,000 | 9,133,344 | ||||||||||
3.455%, 03/02/2023 (1) | 10,650,000 | 11,022,464 | ||||||||||
2.801%, 07/18/2024 (1) | 10,000,000 | 10,203,053 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021 (1)(2) | 13,000,000 | 13,109,004 | ||||||||||
2.953%, 02/28/2022 (1) | 12,575,000 | 12,805,432 | ||||||||||
2.601%, 09/11/2022 (1) | 13,000,000 | 13,172,579 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 5,000,000 | 5,253,453 | ||||||||||
2.555%, 09/13/2025 (3 Month LIBOR USD + 1.100%) (1)(3) | 20,000,000 | 20,005,775 | ||||||||||
Morgan Stanley: | ||||||||||||
2.650%, 01/27/2020 | 4,200,000 | 4,201,378 | ||||||||||
2.800%, 06/16/2020 | 5,000,000 | 5,020,782 | ||||||||||
2.500%, 04/21/2021 | 8,000,000 | 8,060,661 | ||||||||||
2.750%, 05/19/2022 | 20,000,000 | 20,369,344 | ||||||||||
3.336%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 8,000,000 | 8,172,688 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 6,455,000 | 6,744,810 | ||||||||||
3.875%, 04/29/2024 | 1,650,000 | 1,754,079 | ||||||||||
3.700%, 10/23/2024 | 4,000,000 | 4,249,216 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 12,000,000 | 12,759,760 | ||||||||||
3.772%, 01/24/2029 (3 Month LIBOR USD + 1.140%) (3) | 1,000,000 | 1,076,453 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
3.933%, 08/02/2034 (5 Year CMT Rate + 1.880%) (1)(2)(3) | 10,000,000 | 10,393,936 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 20,000,000 | 20,706,724 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 35,507,000 | 37,381,435 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 20,000,000 | 21,815,724 | ||||||||||
3.960%, 07/18/2030 (3 Month LIBOR USD + 1.855%) (1)(2)(3) | 10,125,000 | 10,877,776 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 7,000,000 | 7,291,025 | ||||||||||
Nationwide Financial Services, Inc.: | ||||||||||||
5.375%, 03/25/2021 (2) | 16,905,000 | 17,559,658 | ||||||||||
3.900%, 11/30/2049 (2) | 10,000,000 | 10,421,957 | ||||||||||
Nationwide Mutual Insurance Co., | ||||||||||||
9.375%, 08/15/2039 (2) | 9,000,000 | 15,300,389 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 12,026,000 | 17,636,526 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 11,463,200 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 1,667,000 | 1,679,904 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 15,793,000 | 16,581,645 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 12,295,000 | 12,999,314 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 11,400,000 | 11,911,510 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 7,825,000 | 8,428,568 | ||||||||||
PNC Bank NA, | ||||||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,945,106 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,860,000 | 1,913,007 | ||||||||||
3.125%, 05/15/2023 | 4,667,000 | 4,791,087 | ||||||||||
3.400%, 05/15/2025 | 16,000,000 | 16,768,207 | ||||||||||
4.300%, 11/15/2046 | 2,325,000 | 2,631,199 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
3.000%, 04/18/2026 (2) | 13,400,000 | 13,858,505 | ||||||||||
Protective Life Corp.: | ||||||||||||
4.300%, 09/30/2028 (2) | 10,000,000 | 10,826,205 | ||||||||||
8.450%, 10/15/2039 | 2,650,000 | 3,958,834 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
6.625%, 12/01/2037 | 5,000,000 | 6,937,463 | ||||||||||
3.935%, 12/07/2049 | 11,426,000 | 12,474,768 | ||||||||||
Regions Financial Corp., | ||||||||||||
2.750%, 08/14/2022 | 8,800,000 | 8,959,122 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020 (2) | 6,940,000 | 6,940,350 | ||||||||||
2.500%, 10/30/2024 (2) | 22,800,000 | 22,782,382 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 7,773,000 | 8,622,719 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 10,650,000 | 10,910,505 | ||||||||||
3.875%, 09/12/2023 (1) | 10,000,000 | 10,480,337 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 19,275,000 | 20,478,789 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 10,000,000 | 11,312,194 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 7,000,000 | 8,052,646 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 35,000,000 | 38,675,142 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.650%, 04/17/2020 | 2,000,000 | 2,002,267 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 4,866,000 | 4,887,508 | ||||||||||
3.125%, 01/08/2021 (1) | 2,600,000 | 2,622,217 | ||||||||||
3.571%, 01/10/2023 (1) | 5,000,000 | 5,119,173 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,250,000 | 5,669,692 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,329,531 | ||||||||||
Santander UK PLC, | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 21,921,000 | 23,570,862 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (1)(2) | 15,000,000 | 15,023,490 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 8,000,000 | 8,142,802 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021 (1)(2) | 10,225,000 | 10,277,337 | ||||||||||
3.250%, 01/12/2022 (1)(2) | 8,000,000 | 8,165,302 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 8,000,000 | 8,497,044 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 20,000,000 | 21,569,260 | ||||||||||
3.875%, 03/28/2024 (1) | 15,300,000 | 16,091,866 | ||||||||||
2.625%, 10/16/2024 (1)(2) | 23,000,000 | 23,007,670 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,032,000 | 22,102,387 | ||||||||||
4.250%, 08/19/2026 (1)(2) | 3,000,000 | 3,168,026 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.250%, 04/17/2020 (1)(2) | 8,000,000 | 8,002,647 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 4,500,000 | 4,528,666 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 10,000,000 | 10,348,116 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 31,557,000 | 32,679,658 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 11,250,000 | 11,703,369 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 6,000,000 | 7,718,253 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 17,850,000 | 19,006,137 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020 (1) | 20,500,000 | 20,504,367 | ||||||||||
3.950%, 07/19/2023 (1) | 1,850,000 | 1,951,873 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.442%, 10/19/2021 (1) | 15,775,000 | 15,899,662 | ||||||||||
2.784%, 07/12/2022 (1) | 10,000,000 | 10,173,062 | ||||||||||
3.102%, 01/17/2023 (1) | 12,000,000 | 12,308,510 | ||||||||||
2.696%, 07/16/2024 (1) | 12,000,000 | 12,172,524 | ||||||||||
2.448%, 09/27/2024 (1) | 19,000,000 | 19,048,550 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 14,150,000 | 14,297,991 | ||||||||||
2.700%, 01/27/2022 | 12,800,000 | 12,977,117 | ||||||||||
3.300%, 05/15/2026 | 3,925,000 | 4,085,219 | ||||||||||
Swedbank AB, | ||||||||||||
2.200%, 03/04/2020 (1)(2) | 6,468,000 | 6,469,792 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 10,225,000 | 10,457,689 | ||||||||||
4.375%, 03/19/2024 | 1,538,000 | 1,641,058 | ||||||||||
4.250%, 08/15/2024 | 26,864,000 | 28,673,248 | ||||||||||
4.500%, 07/23/2025 | 23,127,000 | 24,954,266 | ||||||||||
3.700%, 08/04/2026 | 3,185,000 | 3,291,487 | ||||||||||
3.950%, 12/01/2027 | 7,000,000 | 7,357,498 | ||||||||||
TD Ameritrade Holding Corp.: | ||||||||||||
2.950%, 04/01/2022 | 4,625,000 | 4,728,142 | ||||||||||
3.625%, 04/01/2025 | 7,000,000 | 7,449,421 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 27,305,000 | 29,690,928 | ||||||||||
6.125%, 08/15/2043 (1) | 16,436,000 | 21,175,354 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 14,150,000 | 14,295,508 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 14,825,000 | 15,256,997 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 42,658,000 | 43,342,063 | ||||||||||
4.253%, 03/23/2028 (1)(2) | 17,150,000 | 18,743,785 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 21,875,000 | 22,566,365 | ||||||||||
3.650%, 06/15/2026 | 5,800,000 | 6,127,786 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
3.250%, 10/05/2020 (2) | 8,000,000 | 8,064,421 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.069%, 01/24/2023 | 10,000,000 | 10,206,361 | ||||||||||
3.157%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,088,950 | ||||||||||
3.000%, 02/19/2025 | 5,000,000 | 5,159,615 | ||||||||||
2.406%, 10/30/2025 (3 Month LIBOR USD + 0.825%) (3) | 11,500,000 | 11,510,837 | ||||||||||
3.000%, 04/22/2026 | 8,000,000 | 8,229,484 | ||||||||||
3.900%, 05/01/2045 | 5,000,000 | 5,671,286 | ||||||||||
Wells Fargo Bank NA, | ||||||||||||
5.850%, 02/01/2037 | 10,000,000 | 13,250,362 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 8,350,000 | 8,842,265 | ||||||||||
4.110%, 07/24/2034 (5 Year CMT Rate + 2.000%) (1)(3) | 10,000,000 | 10,483,443 | ||||||||||
4.421%, 07/24/2039 (1) | 10,000,000 | 11,000,873 | ||||||||||
Willis North America, Inc.: | ||||||||||||
3.600%, 05/15/2024 | 9,000,000 | 9,403,638 | ||||||||||
2.950%, 09/15/2029 | 7,500,000 | 7,433,694 | ||||||||||
5.050%, 09/15/2048 | 10,200,000 | 12,033,242 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,879,000 | 14,466,490 | ||||||||||
Total Financials (Cost $3,782,206,968) | 3,950,762,535 | 17.4 | % | |||||||||
Total Corporate Bonds (Cost $8,337,658,347) | 8,778,036,172 | 38.7 | % |
Municipal Bonds | ||||||||||||
Atlanta Independent School System, | ||||||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,254,635 | ||||||||||
California Housing Finance Agency: | ||||||||||||
3.656%, 02/01/2029 (Callable 08/01/2025) | 19,650,000 | 20,617,566 | ||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 8,220,000 | 8,270,142 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
7.155%, 03/01/2027 | 6,695,000 | 7,994,098 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 1,720,000 | 1,807,823 | ||||||||||
5.790%, 12/01/2022 | 4,445,000 | 4,455,135 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,676,199 | ||||||||||
County of Cuyahoga OH, | ||||||||||||
9.125%, 10/01/2023 | 795,000 | 897,269 | ||||||||||
Eaton Community City School District, | ||||||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,305,000 | 2,322,933 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/31/2020) | 3,150,000 | 3,196,809 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
3.500%, 01/01/2040 (Callable 07/01/2025) | 3,545,000 | 3,636,000 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
2.100%, 12/01/2038 (Callable 09/01/2024) | 3,400,849 | 3,316,881 | ||||||||||
Maryland Community Development Administration Housing Revenue, | ||||||||||||
3.160%, 09/01/2041 (Callable 09/01/2025) | 12,130,000 | 12,292,663 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.050%, 01/01/2021 | 730,000 | 738,140 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 830,000 | 845,172 | ||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025) | 4,745,000 | 4,887,113 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 1,955,000 | 1,964,873 | ||||||||||
Texas Private Activity Bond Surface Transportation Corp., | ||||||||||||
3.922%, 12/31/2049 | 8,800,000 | 8,846,112 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,425,828 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,341,152 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,673,423 | ||||||||||
Total Municipal Bonds (Cost $103,012,300) | 107,459,966 | 0.5 | % |
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 39 | 40 | ||||||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 442 | 443 | ||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 585 | 591 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 114 | 115 | ||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 360 | 365 | ||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 2,466 | 2,527 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 37,507 | 38,891 | ||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 29,556 | 31,179 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 687 | 688 | ||||||||||
3.000%, 12/01/2026 | 697,056 | 715,720 | ||||||||||
2.500%, 04/01/2028 | 2,255,574 | 2,287,034 | ||||||||||
6.500%, 06/01/2029 | 95,222 | 105,752 | ||||||||||
3.000%, 04/01/2031 | 6,741,956 | 6,954,084 | ||||||||||
3.000%, 02/01/2032 | 61,675,694 | 63,655,636 | ||||||||||
3.000%, 03/01/2032 | 2,456,252 | 2,532,030 | ||||||||||
3.500%, 05/01/2032 | 17,642,820 | 18,463,134 | ||||||||||
3.000%, 07/01/2032 | 15,297,019 | 15,788,556 | ||||||||||
3.500%, 07/01/2032 | 21,738,669 | 22,750,769 | ||||||||||
3.000%, 04/01/2033 | 2,139,118 | 2,205,136 | ||||||||||
5.000%, 08/01/2033 | 4,239,308 | 4,675,065 | ||||||||||
3.500%, 01/01/2034 | 17,744,031 | 18,567,495 | ||||||||||
5.000%, 09/01/2035 | 8,934,254 | 9,857,899 | ||||||||||
5.500%, 01/01/2036 | 152,633 | 171,732 | ||||||||||
5.000%, 03/01/2036 | 3,825,631 | 4,217,719 | ||||||||||
6.000%, 12/01/2036 | 134,660 | 154,512 | ||||||||||
4.000%, 03/01/2037 | 4,298,872 | 4,561,314 | ||||||||||
5.000%, 02/01/2038 | 2,087,851 | 2,302,678 | ||||||||||
5.500%, 05/01/2038 | 459,350 | 515,837 | ||||||||||
5.500%, 01/01/2039 | 9,308,557 | 10,481,501 | ||||||||||
4.500%, 11/01/2039 | 3,948,013 | 4,289,864 | ||||||||||
4.500%, 11/01/2039 | 3,413,842 | 3,708,478 | ||||||||||
4.500%, 12/01/2039 | 21,069,916 | 22,893,004 | ||||||||||
5.000%, 03/01/2040 | 815,493 | 900,109 | ||||||||||
4.500%, 08/01/2040 | 709,136 | 768,185 | ||||||||||
4.500%, 09/01/2040 | 2,837,546 | 3,083,189 | ||||||||||
4.000%, 01/01/2041 | 27,470,900 | 29,480,873 | ||||||||||
4.000%, 01/01/2041 | 14,028,290 | 15,052,853 | ||||||||||
4.500%, 03/01/2041 | 2,076,126 | 2,255,871 | ||||||||||
3.500%, 10/01/2041 | 8,825,089 | 9,306,919 | ||||||||||
4.000%, 03/01/2042 | 6,654,171 | 7,142,596 | ||||||||||
3.500%, 06/01/2042 | 4,530,018 | 4,778,008 | ||||||||||
3.500%, 07/01/2042 | 11,985,634 | 12,656,327 | ||||||||||
3.000%, 08/01/2042 | 15,870,393 | 16,362,120 | ||||||||||
3.000%, 10/01/2042 | 6,152,528 | 6,342,152 | ||||||||||
3.000%, 11/01/2042 | 33,263,659 | 34,294,748 | ||||||||||
3.500%, 12/01/2042 | 12,495,425 | 13,174,178 | ||||||||||
3.000%, 01/01/2043 | 12,087,345 | 12,366,972 | ||||||||||
3.000%, 01/01/2043 | 24,911,852 | 25,692,236 | ||||||||||
3.500%, 01/01/2043 | 19,707,685 | 20,786,459 | ||||||||||
3.000%, 02/01/2043 | 3,384,686 | 3,488,334 | ||||||||||
3.000%, 04/01/2043 | 14,856,068 | 15,310,677 | ||||||||||
3.000%, 04/01/2043 | 8,434,797 | 8,692,375 | ||||||||||
3.000%, 04/01/2043 | 5,273,204 | 5,435,129 | ||||||||||
3.500%, 04/01/2043 | 57,627,093 | 60,788,838 | ||||||||||
4.000%, 04/01/2043 | 18,122,007 | 19,765,200 | ||||||||||
3.500%, 05/01/2043 | 11,965,688 | 12,620,433 | ||||||||||
3.000%, 06/01/2043 | 17,379,657 | 17,894,922 | ||||||||||
3.000%, 08/01/2043 | 5,393,089 | 5,555,651 | ||||||||||
3.500%, 11/01/2043 | 9,328,258 | 9,838,099 | ||||||||||
3.500%, 01/01/2044 | 10,562,979 | 11,140,685 | ||||||||||
3.500%, 02/01/2044 | 36,680,163 | 38,674,258 | ||||||||||
4.000%, 03/01/2044 | 5,546,967 | 5,889,092 | ||||||||||
3.500%, 05/01/2044 | 38,554,130 | 40,813,153 | ||||||||||
4.000%, 05/01/2044 | 20,256,483 | 21,699,461 | ||||||||||
4.000%, 07/01/2044 | 4,605,546 | 4,883,224 | ||||||||||
3.500%, 10/01/2044 | 83,370,050 | 87,300,086 | ||||||||||
4.000%, 10/01/2044 | 11,094,058 | 11,886,198 | ||||||||||
3.500%, 01/01/2045 | 26,376,529 | 27,817,365 | ||||||||||
4.500%, 01/01/2045 | 31,132,012 | 33,919,138 | ||||||||||
3.500%, 06/01/2045 | 19,335,881 | 20,470,114 | ||||||||||
3.500%, 07/01/2045 | 75,930,980 | 80,007,332 | ||||||||||
3.000%, 10/01/2045 | 38,399,842 | 39,569,909 | ||||||||||
4.000%, 10/01/2045 | 7,334,069 | 7,776,754 | ||||||||||
4.000%, 11/01/2045 | 14,923,945 | 15,824,297 | ||||||||||
3.000%, 01/01/2046 | 79,476,666 | 82,056,707 | ||||||||||
3.500%, 01/01/2046 | 35,887,568 | 37,830,655 | ||||||||||
4.000%, 02/01/2046 | 20,413,682 | 21,637,468 | ||||||||||
4.000%, 02/01/2046 | 75,797,819 | 81,186,975 | ||||||||||
4.000%, 04/01/2046 | 10,562,555 | 11,317,625 | ||||||||||
3.500%, 05/01/2046 | 9,951,260 | 10,377,946 | ||||||||||
3.000%, 08/01/2046 | 35,459,149 | 36,338,561 | ||||||||||
3.500%, 08/01/2046 | 32,237,993 | 34,128,237 | ||||||||||
3.000%, 10/01/2046 | 64,683,249 | 66,428,809 | ||||||||||
3.000%, 10/01/2046 | 60,449,260 | 62,267,180 | ||||||||||
4.000%, 01/01/2047 | 58,655,502 | 63,067,914 | ||||||||||
4.500%, 04/01/2047 | 54,499,908 | 57,619,868 | ||||||||||
3.000%, 05/01/2047 | 63,165,934 | 64,869,628 | ||||||||||
4.000%, 09/01/2047 | 29,026,431 | 30,459,384 | ||||||||||
4.000%, 08/01/2048 | 45,526,688 | 48,324,573 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 141, Class D, 5.000%, 05/15/2021 | 23 | 23 | ||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 7,900 | 8,048 | ||||||||||
Series 163, Class F, 6.000%, 07/15/2021 (4) | 703 | 708 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 6,363 | 6,574 | ||||||||||
3.000%, 04/01/2027 | 5,799,216 | 5,951,367 | ||||||||||
2.500%, 12/01/2027 | 7,555,801 | 7,656,756 | ||||||||||
2.500%, 05/01/2028 | 10,357,102 | 10,515,608 | ||||||||||
5.000%, 05/01/2028 | 148,999 | 158,944 | ||||||||||
3.000%, 11/01/2028 | 19,171,418 | 19,754,204 | ||||||||||
4.500%, 08/01/2029 | 1,176,103 | 1,253,169 | ||||||||||
4.500%, 09/01/2029 | 1,349,449 | 1,441,536 | ||||||||||
2.500%, 04/01/2030 | 3,829,085 | 3,883,813 | ||||||||||
2.500%, 05/01/2030 | 11,914,012 | 12,088,514 | ||||||||||
3.500%, 11/01/2030 | 31,909,719 | 33,314,431 | ||||||||||
3.000%, 12/01/2030 | 20,313,697 | 20,953,714 | ||||||||||
3.000%, 12/01/2030 | 12,505,283 | 12,899,107 | ||||||||||
2.500%, 09/01/2031 | 43,257,915 | 43,921,589 | ||||||||||
3.500%, 01/01/2032 | 43,087,152 | 45,063,031 | ||||||||||
2.500%, 02/01/2032 | 7,024,282 | 7,124,868 | ||||||||||
3.000%, 09/01/2032 | 2,812,743 | 2,913,291 | ||||||||||
3.000%, 10/01/2032 | 2,160,798 | 2,226,268 | ||||||||||
2.500%, 12/01/2032 | 49,896,347 | 50,568,645 | ||||||||||
6.000%, 03/01/2033 | 37,877 | 43,418 | ||||||||||
3.500%, 10/01/2033 | 20,600,343 | 21,583,271 | ||||||||||
4.500%, 10/01/2033 | 14,113,870 | 15,177,502 | ||||||||||
5.000%, 10/01/2033 | 15,433,148 | 17,008,768 | ||||||||||
3.000%, 11/01/2033 | 88,189,341 | 91,345,168 | ||||||||||
5.000%, 11/01/2033 | 43,972 | 48,464 | ||||||||||
4.000%, 01/01/2034 | 6,508,166 | 6,932,491 | ||||||||||
5.500%, 04/01/2034 | 5,228,809 | 5,884,481 | ||||||||||
4.000%, 06/01/2034 | 8,494,425 | 9,046,669 | ||||||||||
4.000%, 09/01/2034 | 10,196,407 | 10,859,509 | ||||||||||
5.500%, 09/01/2034 | 137,834 | 155,131 | ||||||||||
6.000%, 11/01/2034 | 37,458 | 42,933 | ||||||||||
3.500%, 01/01/2035 | 58,491,301 | 60,778,459 | ||||||||||
5.500%, 02/01/2035 | 468,724 | 527,397 | ||||||||||
5.000%, 07/01/2035 | 4,021,563 | 4,431,588 | ||||||||||
5.000%, 10/01/2035 | 1,956,453 | 2,156,391 | ||||||||||
5.000%, 02/01/2036 | 2,853,272 | 3,145,249 | ||||||||||
5.500%, 11/01/2036 | 181,248 | 203,959 | ||||||||||
2.500%, 12/01/2036 | 28,761,465 | 28,924,958 | ||||||||||
5.500%, 04/01/2037 | 1,180,998 | 1,314,668 | ||||||||||
4.000%, 05/01/2037 | 44,998,359 | 47,681,465 | ||||||||||
4.000%, 02/01/2038 | 42,591,788 | 44,879,767 | ||||||||||
2.500%, 04/01/2038 | 63,906,512 | 64,544,610 | ||||||||||
4.000%, 04/01/2039 | 11,293,416 | 12,112,487 | ||||||||||
4.500%, 04/01/2039 | 14,606,932 | 15,908,152 | ||||||||||
5.000%, 06/01/2039 | 13,835,183 | 15,187,622 | ||||||||||
5.000%, 06/01/2039 | 9,431,989 | 10,392,591 | ||||||||||
4.500%, 11/01/2039 | 188,476 | 204,483 | ||||||||||
4.000%, 08/01/2040 | 1,418,588 | 1,520,574 | ||||||||||
4.000%, 10/01/2040 (8) | 29,826,312 | 31,991,377 | ||||||||||
3.500%, 12/01/2040 | 8,996,125 | 9,481,319 | ||||||||||
4.000%, 12/01/2040 | 8,564,680 | 9,185,209 | ||||||||||
3.500%, 02/01/2041 | 13,924,858 | 14,676,135 | ||||||||||
4.000%, 02/01/2041 | 20,456,084 | 21,940,266 | ||||||||||
4.500%, 02/01/2041 | 51,888,625 | 56,252,895 | ||||||||||
3.500%, 03/01/2041 | 20,166,411 | 21,254,061 | ||||||||||
4.500%, 05/01/2041 | 7,277,323 | 7,902,133 | ||||||||||
4.000%, 06/01/2041 | 16,172,587 | 17,339,325 | ||||||||||
4.500%, 07/01/2041 | 7,447,676 | 8,085,232 | ||||||||||
5.000%, 07/01/2041 | 10,653,567 | 11,740,966 | ||||||||||
3.500%, 09/01/2041 | 20,466,013 | 21,569,902 | ||||||||||
4.000%, 09/01/2041 | 2,190,374 | 2,349,312 | ||||||||||
4.000%, 10/01/2041 | 6,151,482 | 6,596,523 | ||||||||||
3.500%, 11/01/2041 | 8,001,026 | 8,434,000 | ||||||||||
3.500%, 12/01/2041 | 35,502,634 | 37,423,737 | ||||||||||
4.000%, 12/01/2041 | 8,843,380 | 9,478,264 | ||||||||||
4.000%, 01/01/2042 | 10,965,295 | 11,757,651 | ||||||||||
4.500%, 01/01/2042 | 10,739,927 | 11,661,411 | ||||||||||
4.000%, 02/01/2042 | 40,879,851 | 43,768,545 | ||||||||||
3.000%, 04/01/2042 | 56,984,216 | 58,638,692 | ||||||||||
3.000%, 05/01/2042 | 7,939,542 | 8,179,693 | ||||||||||
3.500%, 07/01/2042 | 90,645,915 | 95,904,226 | ||||||||||
3.500%, 08/01/2042 | 8,028,907 | 8,463,383 | ||||||||||
4.000%, 08/01/2042 | 14,650,453 | 15,692,273 | ||||||||||
3.000%, 10/01/2042 | 18,492,731 | 19,134,790 | ||||||||||
3.000%, 03/01/2043 | 33,164,574 | 34,149,307 | ||||||||||
3.000%, 03/01/2043 | 5,808,276 | 5,983,181 | ||||||||||
3.000%, 05/01/2043 | 32,499,889 | 33,505,792 | ||||||||||
3.000%, 05/01/2043 | 19,329,749 | 19,907,851 | ||||||||||
3.500%, 05/01/2043 | 34,611,676 | 36,612,359 | ||||||||||
3.000%, 06/01/2043 | 8,183,051 | 8,427,316 | ||||||||||
3.000%, 07/01/2043 | 3,127,448 | 3,220,916 | ||||||||||
4.000%, 07/01/2043 | 28,621,719 | 30,631,804 | ||||||||||
3.000%, 08/01/2043 | 5,223,250 | 5,374,789 | ||||||||||
3.500%, 09/01/2043 | 50,723,690 | 53,426,336 | ||||||||||
4.500%, 09/01/2043 | 11,602,065 | 12,596,021 | ||||||||||
3.000%, 10/01/2043 | 96,267,291 | 99,066,827 | ||||||||||
3.500%, 10/01/2043 | 54,832,295 | 57,793,917 | ||||||||||
3.000%, 11/01/2043 | 26,317,136 | 27,110,754 | ||||||||||
4.000%, 11/01/2043 | 8,214,365 | 8,788,433 | ||||||||||
4.000%, 01/01/2045 | 7,391,748 | 7,824,689 | ||||||||||
3.500%, 02/01/2045 | 38,474,543 | 40,546,863 | ||||||||||
4.000%, 02/01/2045 | 19,375,127 | 20,760,156 | ||||||||||
3.500%, 04/01/2045 | 28,412,751 | 29,934,382 | ||||||||||
4.000%, 10/01/2045 | 8,248,640 | 8,782,262 | ||||||||||
4.000%, 11/01/2045 | 30,923,308 | 32,568,508 | ||||||||||
3.500%, 12/01/2045 | 33,158,308 | 34,586,797 | ||||||||||
4.500%, 02/01/2046 | 31,108,284 | 33,748,924 | ||||||||||
3.000%, 05/01/2046 | 14,658,208 | 15,089,991 | ||||||||||
3.500%, 05/01/2046 | 54,234,210 | 56,523,413 | ||||||||||
3.000%, 07/01/2046 | 9,590,031 | 9,872,535 | ||||||||||
4.500%, 08/01/2046 | 26,742,040 | 28,749,803 | ||||||||||
3.500%, 09/01/2046 | 5,543,213 | 5,832,291 | ||||||||||
3.000%, 11/01/2046 | 26,564,363 | 27,207,285 | ||||||||||
3.000%, 11/01/2046 | 48,540,437 | 49,991,007 | ||||||||||
3.500%, 11/01/2046 | 51,886,410 | 54,174,894 | ||||||||||
3.500%, 05/01/2047 | 3,644,350 | 3,792,029 | ||||||||||
4.000%, 08/01/2047 | 71,869,143 | 75,822,107 | ||||||||||
4.000%, 11/01/2047 | 44,583,486 | 46,875,318 | ||||||||||
4.500%, 11/01/2047 | 17,100,585 | 18,038,468 | ||||||||||
3.500%, 12/01/2047 | 54,629,568 | 56,793,313 | ||||||||||
4.000%, 12/01/2047 | 71,838,390 | 75,459,179 | ||||||||||
3.500%, 01/01/2048 | 23,046,905 | 23,955,756 | ||||||||||
4.000%, 04/01/2048 | 23,357,959 | 24,486,772 | ||||||||||
4.000%, 07/01/2048 | 31,431,334 | 33,763,261 | ||||||||||
4.000%, 09/01/2048 | 38,652,466 | 40,225,742 | ||||||||||
4.500%, 11/01/2048 | 59,237,802 | 62,489,999 | ||||||||||
5.000%, 11/01/2048 | 50,788,204 | 55,994,652 | ||||||||||
4.500%, 01/01/2049 | 29,502,669 | 31,752,707 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 35,916 | 40,985 | ||||||||||
5.000%, 07/20/2040 | 1,634,622 | 1,805,399 | ||||||||||
3.500%, 10/20/2041 | 7,509,094 | 7,935,180 | ||||||||||
3.500%, 01/15/2042 | 12,931,526 | 13,605,637 | ||||||||||
4.000%, 06/20/2042 | 8,426,314 | 8,942,935 | ||||||||||
3.500%, 09/20/2042 | 3,302,096 | 3,476,412 | ||||||||||
3.500%, 01/20/2043 | 60,345,539 | 63,547,418 | ||||||||||
4.000%, 10/20/2043 | 12,988,079 | 13,783,385 | ||||||||||
4.000%, 09/20/2044 | 47,534,423 | 50,397,337 | ||||||||||
4.000%, 01/20/2045 | 10,188,268 | 10,790,398 | ||||||||||
3.500%, 03/20/2045 | 15,802,416 | 16,518,121 | ||||||||||
3.000%, 04/20/2045 | 25,579,419 | 26,423,074 | ||||||||||
3.500%, 04/20/2045 | 30,433,847 | 31,656,391 | ||||||||||
4.000%, 08/20/2045 | 10,165,066 | 10,753,211 | ||||||||||
4.500%, 01/20/2046 | 14,082,603 | 15,030,472 | ||||||||||
4.000%, 04/20/2046 | 10,947,380 | 11,510,107 | ||||||||||
4.000%, 05/20/2046 | 26,753,091 | 28,002,652 | ||||||||||
5.000%, 04/20/2047 | 2,502,701 | 2,684,072 | ||||||||||
4.500%, 06/20/2047 | 48,345,350 | 51,487,473 | ||||||||||
4.500%, 07/20/2047 | 11,860,956 | 12,630,262 | ||||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 65,299,241 | 66,564,100 | ||||||||||
Total U.S. Government Agency Issues (Cost $4,860,741,315) | 4,983,817,317 | 22.0 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 31,283 | 31,314 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 303,314 | 299,764 | ||||||||||
Series 2006-J5, Class 3A1, 4.131%, 07/25/2021 (4) | 62,210 | 60,168 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 47,673 | 47,717 | ||||||||||
Series 2004-8CB, Class A, 2.062%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 2,995,051 | 3,003,416 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 572,734 | 452,091 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.132%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 1,783,440 | 1,785,091 | ||||||||||
Series 2005-W5, Class A1, 2.027%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 26,030,011 | 25,906,327 | ||||||||||
Arroyo Mortgage Trust: | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 21,302,456 | 21,550,362 | ||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 42,843,365 | 43,043,353 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A3, 1.992%, 01/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 2,306,512 | 2,301,806 | ||||||||||
Series 2006-HE1, Class A1, 2.007%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 1,572,644 | 1,570,116 | ||||||||||
Series 2006-HE3, Class A2, 1.957%, 03/25/2036 (1 Month LIBOR USD + 0.165%) (3) | 8,747,281 | 8,676,254 | ||||||||||
Series 2006-HE6, Class A1, 1.937%, 11/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 22,183,821 | 21,714,121 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 17,881 | 17,950 | ||||||||||
Series 2007-1, Class 1A1, 5.211%, 04/25/2022 (4) | 211,718 | 209,404 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 131,016 | 132,067 | ||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 (6) | 75,078 | 73,969 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 284,288 | 281,260 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 (7) | 198,257 | 197,803 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 1,397,841 | 1,358,713 | ||||||||||
Bear Stearns ALT-A Trust: | ||||||||||||
Series 2004-4, Class A1, 2.392%, 06/25/2034 (1 Month LIBOR USD + 0.600%) (3) | 1,090,165 | 1,095,150 | ||||||||||
Series 2005-4, Class 1A1, 2.232%, 04/25/2035 (1 Month LIBOR USD + 0.440%) (3) | 2,494,776 | 2,492,525 | ||||||||||
Series 2005-7, Class 12A1, 2.332%, 08/25/2035 (1 Month LIBOR USD + 0.540%) (3) | 3,654,308 | 3,662,936 | ||||||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 158,480 | 161,495 | ||||||||||
Chase Mortgage Finance Trust, | ||||||||||||
Series 2006-A1, Class 2A3, 4.305%, 09/25/2036 (4)(6) | 1,011,019 | 961,236 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 127,432 | 130,183 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 20,268 | 20,264 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 386,107 | 341,522 | ||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 (7) | 154,302 | 153,964 | ||||||||||
Series 2005-10, Class AF6, 4.414%, 12/25/2035 (4) | 94,135 | 95,921 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4)(6) | 486,645 | 456,985 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2003-AR26, Class 8A1, 4.304%, 11/25/2033 (4) | 5,218,524 | 5,264,114 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 12,980 | 13,036 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 43,830 | 44,321 | ||||||||||
Series 2005-17, Class 1AF5, 5.564%, 03/25/2036 (4) | 157,937 | 159,768 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, | ||||||||||||
Series 2004-4, Class 1A6, 6.150%, 04/25/2034 (7) | 1,169 | 1,190 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FFH1, Class A4, 2.092%, 01/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 491,350 | 491,672 | ||||||||||
Series 2006-FF1, Class 2A4, 2.132%, 01/25/2036 (1 Month LIBOR USD + 0.340%) (3) | 4,228,215 | 4,236,219 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 (6) | 32,146 | 31,613 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 (6) | 175,693 | 138,620 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2006-A, Class 1A1, 1.937%, 05/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 20,406,257 | 19,937,580 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 154 | 156 | ||||||||||
GMACM Mortgage Loan Trust, | ||||||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035 (7) | 186 | 187 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2004-6, Class A1, 2.592%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 794,842 | 791,535 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A1B, 2.412%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 4,088,824 | 4,096,631 | ||||||||||
Series 2005-WMC2, Class A2C, 2.492%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 3,675,219 | 3,675,975 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-3, Class A1, 2.032%, 07/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 1,516,306 | 1,516,486 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 363 | 361 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-4, Class 2A2, 4.850%, 09/25/2034 (7) | 72,163 | 74,262 | ||||||||||
Series 2004-5, Class 1A2, 2.492%, 10/25/2034 (1 Month LIBOR USD + 0.700%) (3) | 2,811,112 | 2,838,025 | ||||||||||
Series 2004-6, Class 1A1, 2.592%, 10/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 2,388,256 | 2,387,608 | ||||||||||
J.P. Morgan Alternative Loan Trust, | ||||||||||||
Series 2006-A1, Class 2A1, 4.134%, 03/25/2036 (4)(6) | 241,123 | 228,341 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.922%, 07/25/2036 (1 Month LIBOR USD + 0.130%) (3) | 715,993 | 715,651 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2005-A4, Class 1A1, 4.106%, 07/25/2035 (4) | 675,251 | 682,902 | ||||||||||
Series 2007-A1, Class 5A2, 4.305%, 07/25/2035 (4) | 2,123,212 | 2,168,360 | ||||||||||
Series 2007-A1, Class 5A5, 4.305%, 07/25/2035 (4) | 3,214,887 | 3,289,305 | ||||||||||
Series 2006-A7, Class 2A2, 3.826%, 01/25/2037 (4)(6) | 118,231 | 114,857 | ||||||||||
Series 2006-A7, Class 2A4R, 3.826%, 01/25/2037 (4)(6) | 505,137 | 490,720 | ||||||||||
Series 2007-A2, Class 2A3, 4.324%, 04/25/2037 (4) | 1,277,762 | 1,190,742 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 2.392%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 2,703,524 | 2,706,719 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1A, 3.573%, 12/25/2029 (4) | 4,464,526 | 4,539,428 | ||||||||||
Series 2005-A10, Class A, 2.002%, 02/25/2036 (1 Month LIBOR USD + 0.210%) (3) | 12,403,916 | 12,097,972 | ||||||||||
MetLife, Inc., | ||||||||||||
Series 2019-1A, Class A1A, 3.750%, 04/25/2058 (2)(4) | 9,693,296 | 10,000,832 | ||||||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||||||
Series 2004-7AR, Class 2A1, 4.351%, 09/25/2034 (4) | 2,056,647 | 2,133,649 | ||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-2, Class 1A1, 2.312%, 05/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 1,023,879 | 1,038,503 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.022%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 3,406,088 | 3,402,710 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 11,694,191 | 12,198,895 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 13,863,111 | 14,404,668 | ||||||||||
Series 2017-4A, Class A1, 4.000%, 05/25/2057 (2)(4) | 22,105,991 | 23,044,434 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 12,104,196 | 12,546,188 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2006-E, Class A2, 1.942%, 01/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 175,650 | 175,579 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 04/01/2020 (6) | 7,573 | 7,318 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 2,573 | 2,584 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2006-KS4, Class A4, 2.032%, 06/25/2036 (1 Month LIBOR USD + 0.240%) (3) | 2,824,557 | 2,822,636 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 (7) | 2,484,266 | 1,086,649 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 2.462%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,195,394 | 1,194,275 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||||||
Series 2004-12, Class 3A1, 4.159%, 09/25/2034 (4) | 2,379,716 | 2,418,079 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2005-WF1, Class A3, 2.452%, 02/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 114,170 | 114,191 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 9,715 | 9,963 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 2006-OPT1, Class A6, 1.942%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 10,661,919 | 10,491,939 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.995%, 10/25/2043 (4) | 9,826,946 | 10,086,854 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 3,235,363 | 3,251,645 | ||||||||||
Series 2015-5, Class A1, 3.500%, 05/25/2055 (2)(4) | 2,048,036 | 2,062,969 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 1,215,961 | 1,212,919 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 6,870,418 | 6,930,510 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 6,211,743 | 6,212,132 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 31,111,620 | 31,323,907 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 35,510,037 | 35,724,698 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 31,961,813 | 32,889,921 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 22,332,507 | 23,186,203 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 12,896,793 | 13,086,700 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 73,158,349 | 73,579,031 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 5,452,759 | 5,898,355 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 2,521,104 | 2,625,753 | ||||||||||
Series 2004-AR14, Class A1, 3.936%, 01/25/2035 (4) | 6,362,569 | 6,560,642 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $561,656,649) | 567,934,934 | 2.5 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2014-M2, Class A2, 3.513%, 12/25/2023 (4) | 9,058,461 | 9,489,587 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 17,950,000 | 18,214,547 | ||||||||||
Series K721, Class A2, 3.090%, 08/25/2022 (4) | 25,545,000 | 26,083,402 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,448,271 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 28,420,118 | ||||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 28,425,000 | 28,783,977 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 69,525,000 | 73,118,893 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 60,430,000 | 63,731,327 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,739,000 | 87,514,207 | ||||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 22,610,269 | ||||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 21,860,138 | ||||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 20,355,014 | ||||||||||
Series K063, Class A2, 3.430%, 01/25/2027 (4) | 63,971,857 | 68,482,749 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 55,027,774 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 28,200,000 | 29,904,966 | ||||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 11,677,133 | ||||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | 29,587,841 | 31,282,721 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 9,549,484 | ||||||||||
Series K069, Class A2, 3.187%, 09/25/2027 (4) | 23,130,000 | 24,448,038 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 23,025,000 | 24,480,963 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 1,350,000 | 1,441,360 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 68,650,000 | 75,605,172 | ||||||||||
Series K156, Class A3, 3.700%, 06/25/2033 (4) | 11,088,000 | 12,159,201 | ||||||||||
Total U.S. Government Agency Issues (Cost $765,052,399) | 792,689,311 | 3.5 | % |
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 43,435,000 | 46,551,674 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 33,847,000 | 36,021,558 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 80,508,000 | 85,942,234 | ||||||||||
Series 2017-BNK5, Class A5, 3.390%, 06/17/2060 | 17,171,000 | 18,159,680 | ||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2016-CD1, Class A4, 2.724%, 08/12/2049 | 45,910,000 | 46,504,815 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 34,503,388 | 35,331,138 | ||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 6,561,373 | 6,905,112 | ||||||||||
Series 2014-GC25, Class A4, 3.635%, 10/10/2047 | 16,838,590 | 17,744,557 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 43,114,824 | 44,556,963 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 7,488,584 | 7,660,413 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 | 19,677,928 | 20,467,725 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 20,250,536 | 20,685,313 | ||||||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 23,113,096 | 24,359,615 | ||||||||||
Series 2014-CR15, Class ASB, 3.595%, 02/12/2047 | 11,022,657 | 11,316,526 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 15,789,828 | 16,737,780 | ||||||||||
Series 2013-CR11, Class A3, 3.983%, 08/12/2050 | 10,259,278 | 10,805,276 | ||||||||||
DBJPM Mortgage Trust, | ||||||||||||
Series 2016-C3, Class ASB, 2.756%, 08/12/2049 | 10,755,000 | 10,926,858 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 38,036,713 | 38,520,760 | ||||||||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 25,500,000 | 27,151,401 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 18,102,913 | 18,512,745 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 6,379,493 | 6,432,096 | ||||||||||
Series 2012-LC9, Class A5, 2.840%, 12/17/2047 | 11,490,066 | 11,657,328 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C12, Class ASB, 3.157%, 07/17/2045 | 2,876,007 | 2,907,258 | ||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 6,835,000 | 7,147,920 | ||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 1,751,100 | 1,848,199 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 3,382,847 | 3,571,775 | ||||||||||
Series 2013-C17, Class A4, 4.199%, 01/17/2047 | 17,276,000 | 18,496,404 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 9,519,352 | 9,759,143 | ||||||||||
Series 2014-C25, Class ASB, 3.407%, 11/18/2047 | 8,732,843 | 8,962,395 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 37,925,000 | 38,732,780 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 22,462,932 | 22,784,952 | ||||||||||
Series 2013-C10, Class A3, 3.966%, 07/17/2046 (4) | 6,438,840 | 6,778,022 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 16,700,231 | 17,576,438 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 12,500,000 | 12,857,559 | ||||||||||
Series 2017-C34, Class A4, 3.536%, 11/18/2052 | 18,500,000 | 19,713,613 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class ASB, 3.278%, 02/18/2048 | 18,198,000 | 18,687,410 | ||||||||||
Series 2015-SG1, Class ASB, 3.556%, 09/17/2048 | 21,300,000 | 22,018,724 | ||||||||||
Series 2015-SG1, Class A4, 3.789%, 09/17/2048 | 15,564,000 | 16,596,031 | ||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 46,750,000 | 49,471,551 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 26,735,220 | 27,180,257 | ||||||||||
Series 2013-C13, Class ASB, 2.654%, 05/17/2045 | 5,024,262 | 5,068,145 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 12,900,000 | 13,655,707 | ||||||||||
Series 2014-C21, Class A5, 3.678%, 08/16/2047 | 34,719,000 | 36,634,614 | ||||||||||
Series 2014-C24, Class A4, 3.343%, 11/18/2047 | 36,730,000 | 38,184,030 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 6,699,909 | 6,912,006 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $952,369,356) | 968,496,500 | 4.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 8,691,000 | 11,701,505 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 15,576 | 15,592 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 6,900,390 | 7,066,630 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 135,465 | 139,622 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 921,429 | 947,552 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 28,860,000 | 28,965,146 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027 (2) | 43,505,000 | 43,512,039 | ||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028 (2) | 2,400,000 | 2,427,713 | ||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 38,742,000 | 40,668,965 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 40,550,000 | 42,142,800 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2016-AA, Class A5, 2.210%, 12/15/2032 (2) | 14,100,000 | 14,117,323 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 12,204 | 12,377 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 20,555,000 | 20,582,030 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-6, Class A2, 2.820%, 11/25/2026 (2) | 10,271,892 | 10,305,428 | ||||||||||
Series 2018-3, Class A2, 3.670%, 08/25/2027 (2) | 20,465,000 | 20,695,872 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 47,621,000 | 48,562,282 | ||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 47,704,950 | 48,438,471 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 37,825,000 | 38,096,432 | ||||||||||
Total Asset Backed Securities (Cost $371,610,974) | 378,397,779 | 1.7 | % | |||||||||
Total Long-Term Investments (Cost $21,410,210,585) | 22,218,184,452 | 98.1 | % |
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 1.53% (5) | 701,570,275 | 701,570,275 | ||||||||||
Total Short-Term Investment (Cost $701,570,275) | 701,570,275 | 3.1 | % | |||||||||
Total Investments (Cost $22,111,780,860) | 22,919,754,727 | 101.2 | % | |||||||||
Liabilities in Excess of Other Assets | (275,955,868 | ) | (1.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 22,643,798,859 | 100.0 | % |
Notes to Schedule of Investments | |||||||
LIBOR - London Inter-bank Offered Rate | |||||||
SOFR - Secured Overnight Financing Rate | |||||||
CMT - Constant Maturity Rate | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144(a) 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 December 31, 2019, the value of these securities total $3,589,642,966, which represents 15.85% of total net assets. | ||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 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 December 31, 2019. | ||||||
(8) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. | ||||||
(9) | Security in default. |
Baird Aggregate Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 5,492,310,742 | $ | – | $ | 5,492,310,742 | ||||||||
Other Government Related Securities | – | 149,041,731 | – | 149,041,731 | ||||||||||||
Corporate Bonds | – | 8,778,036,172 | – | 8,778,036,172 | ||||||||||||
Municipal Bonds | – | 107,459,966 | – | 107,459,966 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 4,983,817,317 | – | 4,983,817,317 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 567,934,934 | – | 567,934,934 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 792,689,311 | – | 792,689,311 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 968,496,500 | – | 968,496,500 | ||||||||||||
Asset Backed Securities | – | 378,397,779 | – | 378,397,779 | ||||||||||||
Total Long-Term Investments | – | 22,218,184,452 | – | 22,218,184,452 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 701,570,275 | – | – | 701,570,275 | ||||||||||||
Total Short-Term Investment | 701,570,275 | – | – | 701,570,275 | ||||||||||||
Total Investments | $ | 701,570,275 | $ | 22,218,184,452 | $ | – | $ | 22,919,754,727 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 474,725,000 | $ | 476,505,219 | ||||||||
1.875%, 03/31/2022 | 765,525,000 | 770,399,243 | ||||||||||
1.625%, 08/31/2022 | 305,175,000 | 305,425,338 | ||||||||||
2.500%, 05/15/2024 | 1,375,000 | 1,422,749 | ||||||||||
2.000%, 11/15/2026 | 202,200,000 | 204,545,836 | ||||||||||
2.250%, 11/15/2027 | 310,650,000 | 319,484,110 | ||||||||||
3.125%, 11/15/2028 | 181,225,000 | 199,397,054 | ||||||||||
3.500%, 02/15/2039 | 333,170,000 | 399,921,129 | ||||||||||
2.875%, 05/15/2043 | 729,750,000 | 796,710,262 | ||||||||||
2.500%, 02/15/2045 | 720,675,000 | 737,059,099 | ||||||||||
2.875%, 05/15/2049 | 38,300,000 | 42,328,980 | ||||||||||
Total U.S. Treasury Securities (Cost $4,101,958,890) | 4,253,199,019 | 17.8 | % |
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA, | ||||||||||||
5.750%, 10/27/2021 (1)(2) | 4,000,000 | 4,174,040 | ||||||||||
CNOOC Curtis Funding No. 1 Pty Ltd., | ||||||||||||
4.500%, 10/03/2023 (1)(2) | 5,000,000 | 5,353,529 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,415,000 | 2,454,629 | ||||||||||
CNOOC Finance (2015) USA LLC, | ||||||||||||
3.500%, 05/05/2025 | 21,200,000 | 22,145,121 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 4,750,000 | 5,075,153 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
5.750%, 02/14/2042 (1)(2) | 5,200,000 | 5,798,052 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 4,265,000 | 4,473,473 | ||||||||||
Electricite de France SA, | ||||||||||||
4.750%, 10/13/2035 (1)(2) | 10,000,000 | 11,444,563 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
4.000%, 01/29/2021 (1) | 2,400,000 | 2,450,131 | ||||||||||
Korea Development Bank: | ||||||||||||
2.250%, 05/18/2020 (1) | 7,200,000 | 7,202,292 | ||||||||||
3.000%, 09/14/2022 (1) | 4,400,000 | 4,514,576 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037 (1) | 6,249,000 | 8,567,606 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.299%, 01/27/2025 (1) | 3,400,000 | 3,707,734 | ||||||||||
7.375%, 01/17/2027 (1) | 9,300,000 | 11,346,000 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.500%, 01/23/2026 (1) | 4,500,000 | 4,481,100 | ||||||||||
6.490%, 01/23/2027 (1)(2) | 11,743,000 | 12,494,552 | ||||||||||
6.840%, 01/23/2030 (1)(2) | 14,606,000 | 15,574,962 | ||||||||||
7.690%, 01/23/2050 (1)(2) | 3,720,000 | 4,059,785 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,618,253 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 20,000,000 | 20,014,800 | ||||||||||
3.250%, 04/28/2025 (1)(2) | 20,000,000 | 20,639,578 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026 (1)(2) | 10,000,000 | 10,380,211 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
3.000%, 04/12/2022 (1)(2) | 6,950,000 | 7,045,556 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,049,335 | ||||||||||
4.441%, 04/24/2023 (1)(2) | 5,000,000 | 5,221,823 | ||||||||||
4.892%, 04/24/2025 (1)(2) | 27,231,000 | 29,151,091 | ||||||||||
Total Other Government Related Securities (Cost $221,858,391) | 234,437,945 | 1.0 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
A.P. Meoller - Maersk A/S, | ||||||||||||
3.750%, 09/22/2024 (1)(2) | 4,475,000 | 4,607,440 | ||||||||||
Abbott Laboratories: | ||||||||||||
3.400%, 11/30/2023 | 4,583,000 | 4,818,497 | ||||||||||
4.750%, 11/30/2036 | 7,506,000 | 9,413,634 | ||||||||||
AbbVie, Inc.: | ||||||||||||
3.200%, 11/06/2022 | 3,000,000 | 3,078,366 | ||||||||||
3.600%, 05/14/2025 | 2,500,000 | 2,641,188 | ||||||||||
4.300%, 05/14/2036 | 3,825,000 | 4,210,659 | ||||||||||
4.050%, 11/21/2039 (2) | 11,250,000 | 11,824,393 | ||||||||||
4.250%, 11/21/2049 (2) | 20,000,000 | 21,236,369 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024 (1) | 10,125,000 | 10,635,686 | ||||||||||
3.800%, 03/15/2025 (1) | 29,200,000 | 30,686,500 | ||||||||||
4.550%, 03/15/2035 (1) | 14,098,000 | 15,412,174 | ||||||||||
ADT Corp., | ||||||||||||
3.500%, 07/15/2022 | 6,900,000 | 7,025,097 | ||||||||||
Adventist Health System: | ||||||||||||
2.952%, 03/01/2029 | 7,250,000 | 7,172,342 | ||||||||||
3.630%, 03/01/2049 | 8,900,000 | 8,687,974 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 5,325,000 | 5,588,282 | ||||||||||
Alibaba Group Holding Ltd., | ||||||||||||
3.125%, 11/28/2021 (1) | 10,000,000 | 10,200,501 | ||||||||||
Allegion PLC, | ||||||||||||
3.500%, 10/01/2029 (1) | 8,000,000 | 8,143,723 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 22,750,000 | 23,398,099 | ||||||||||
Allergan Finance LLC, | ||||||||||||
3.250%, 10/01/2022 | 7,500,000 | 7,666,116 | ||||||||||
Alpek SAB de CV, | ||||||||||||
4.250%, 09/18/2029 (1)(2) | 6,000,000 | 6,120,000 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 8,000,000 | 8,964,390 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
3.750%, 04/10/2022 (1)(2) | 7,000,000 | 7,185,151 | ||||||||||
4.125%, 09/27/2022 (1)(2) | 5,385,000 | 5,601,628 | ||||||||||
3.625%, 09/11/2024 (1)(2) | 4,325,000 | 4,486,963 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 18,290,000 | 18,949,369 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 5,000,000 | 5,795,848 | ||||||||||
5.450%, 01/23/2039 | 9,975,000 | 12,552,858 | ||||||||||
4.900%, 02/01/2046 | 41,075,000 | 48,719,983 | ||||||||||
ANR Pipeline Co., | ||||||||||||
9.625%, 11/01/2021 | 9,150,000 | 10,307,080 | ||||||||||
AP Moller - Maersk A/S: | ||||||||||||
3.875%, 09/28/2025 (1)(2) | 18,140,000 | 18,810,525 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 9,475,000 | 10,105,243 | ||||||||||
Aramark Services, Inc., | ||||||||||||
5.000%, 02/01/2028 (2) | 1,000,000 | 1,053,750 | ||||||||||
ArcelorMittal: | ||||||||||||
6.250%, 02/25/2022 (1) | 19,760,000 | 21,299,236 | ||||||||||
3.600%, 07/16/2024 (1) | 14,575,000 | 14,946,002 | ||||||||||
4.550%, 03/11/2026 (1) | 15,000,000 | 15,929,046 | ||||||||||
4.250%, 07/16/2029 (1) | 15,000,000 | 15,671,927 | ||||||||||
Arrow Electronics, Inc., | ||||||||||||
3.250%, 09/08/2024 | 15,000,000 | 15,424,632 | ||||||||||
Ashtead Capital, Inc., | ||||||||||||
4.000%, 05/01/2028 (2) | 4,000,000 | 4,040,000 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 4,425,000 | 4,743,165 | ||||||||||
3.400%, 05/15/2025 | 20,225,000 | 21,181,086 | ||||||||||
4.125%, 02/17/2026 | 8,925,000 | 9,674,139 | ||||||||||
3.800%, 02/15/2027 | 3,500,000 | 3,731,115 | ||||||||||
4.300%, 02/15/2030 | 10,980,000 | 12,200,877 | ||||||||||
5.250%, 03/01/2037 | 7,125,000 | 8,512,835 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 11,514,237 | ||||||||||
4.850%, 07/15/2045 | 12,000,000 | 13,705,886 | ||||||||||
5.150%, 11/15/2046 | 10,321,000 | 12,357,782 | ||||||||||
4.500%, 03/09/2048 | 15,264,000 | 16,863,639 | ||||||||||
5.150%, 02/15/2050 | 23,650,000 | 28,535,043 | ||||||||||
Avnet, Inc., | ||||||||||||
3.750%, 12/01/2021 | 5,000,000 | 5,131,527 | ||||||||||
Ball Corp.: | ||||||||||||
5.250%, 07/01/2025 | 25,000,000 | 27,843,750 | ||||||||||
4.875%, 03/15/2026 | 7,000,000 | 7,595,000 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
4.250%, 12/15/2025 (2) | 25,000,000 | 26,981,252 | ||||||||||
4.625%, 06/25/2038 (2) | 12,000,000 | 13,043,410 | ||||||||||
4.400%, 07/15/2044 (2) | 5,125,000 | 5,194,184 | ||||||||||
Beam Suntory, Inc.: | ||||||||||||
3.250%, 05/15/2022 | 7,000,000 | 7,139,033 | ||||||||||
3.250%, 06/15/2023 | 10,960,000 | 11,157,776 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 13,000,000 | 13,121,800 | ||||||||||
3.363%, 06/06/2024 | 10,000,000 | 10,415,415 | ||||||||||
3.734%, 12/15/2024 | 9,250,000 | 9,806,627 | ||||||||||
4.875%, 05/15/2044 | 5,455,000 | 6,320,004 | ||||||||||
Bemis Co., Inc., | ||||||||||||
4.500%, 10/15/2021 (2) | 1,000,000 | 1,030,507 | ||||||||||
Berry Global, Inc., | ||||||||||||
4.875%, 07/15/2026 (2) | 14,000,000 | 14,765,800 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 17,475,000 | 18,906,844 | ||||||||||
5.950%, 06/01/2026 | 26,406,000 | 29,715,831 | ||||||||||
4.800%, 05/03/2029 | 26,341,000 | 28,236,729 | ||||||||||
Boral Finance Pty Ltd.: | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 8,650,000 | 8,686,002 | ||||||||||
3.750%, 05/01/2028 (1)(2) | 5,550,000 | 5,573,212 | ||||||||||
Bristol-Myers Squibb Co.: | ||||||||||||
3.550%, 08/15/2022 (2) | 5,730,000 | 5,955,214 | ||||||||||
3.250%, 02/20/2023 (2) | 10,000,000 | 10,357,197 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.000%, 01/15/2022 | 25,000,000 | 25,369,855 | ||||||||||
3.625%, 10/15/2024 (2) | 32,800,000 | 34,108,359 | ||||||||||
3.125%, 01/15/2025 | 13,250,000 | 13,411,482 | ||||||||||
4.250%, 04/15/2026 (2) | 25,000,000 | 26,554,288 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
3.400%, 06/27/2026 | 18,286,000 | 19,117,087 | ||||||||||
Browning-Ferris Industries, Inc., | ||||||||||||
9.250%, 05/01/2021 | 1,600,000 | 1,743,516 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.250%, 08/15/2026 | 13,188,000 | 13,140,479 | ||||||||||
3.750%, 09/25/2027 | 22,800,000 | 23,308,357 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,100,000 | 3,519,742 | ||||||||||
Cameron LNG LLC, | ||||||||||||
3.701%, 01/15/2039 (2) | 15,000,000 | 15,327,643 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 11,000,000 | 11,720,379 | ||||||||||
Carlisle Companies, Inc., | ||||||||||||
3.750%, 12/01/2027 | 4,600,000 | 4,817,881 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 24,874,000 | 25,597,336 | ||||||||||
5.375%, 03/15/2044 | 10,922,000 | 11,904,980 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 33,748,000 | 35,474,857 | ||||||||||
4.908%, 07/23/2025 | 63,550,000 | 69,979,824 | ||||||||||
6.384%, 10/23/2035 | 6,000,000 | 7,551,878 | ||||||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||||||
5.125%, 06/30/2027 | 5,000,000 | 5,525,900 | ||||||||||
Cigna Corp.: | ||||||||||||
4.750%, 11/15/2021 (2) | 14,700,000 | 15,411,152 | ||||||||||
3.050%, 11/30/2022 (2) | 15,000,000 | 15,333,156 | ||||||||||
3.000%, 07/15/2023 (2) | 7,525,000 | 7,689,361 | ||||||||||
3.500%, 06/15/2024 (2) | 7,800,000 | 8,147,206 | ||||||||||
4.125%, 11/15/2025 | 4,900,000 | 5,317,693 | ||||||||||
4.500%, 02/25/2026 (2) | 825,000 | 905,339 | ||||||||||
4.800%, 08/15/2038 | 7,600,000 | 8,864,793 | ||||||||||
CK Hutchison International Ltd.: | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 17,600,000 | 17,591,904 | ||||||||||
2.875%, 04/05/2022 (1)(2) | 7,475,000 | 7,555,132 | ||||||||||
3.250%, 04/11/2024 (1)(2) | 7,000,000 | 7,177,598 | ||||||||||
Clean Harbors, Inc., | ||||||||||||
5.125%, 07/15/2029 (2) | 100,000 | 107,260 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.200%, 01/15/2024 | 15,000,000 | 15,890,940 | ||||||||||
CNH Industrial NV: | ||||||||||||
4.500%, 08/15/2023 (1) | 16,168,000 | 17,312,371 | ||||||||||
3.850%, 11/15/2027 (1) | 8,390,000 | 8,759,887 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 9,943,000 | 9,976,841 | ||||||||||
4.500%, 06/01/2025 | 14,135,000 | 15,509,640 | ||||||||||
5.800%, 06/01/2045 | 4,733,000 | 6,005,179 | ||||||||||
Comcast Cable Communications Holdings, Inc., | ||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,453,292 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 6,500,000 | 7,534,034 | ||||||||||
4.400%, 08/15/2035 | 13,575,000 | 15,923,857 | ||||||||||
3.200%, 07/15/2036 | 15,000,000 | 15,357,179 | ||||||||||
4.600%, 10/15/2038 | 12,350,000 | 14,724,497 | ||||||||||
4.650%, 07/15/2042 | 2,000,000 | 2,404,830 | ||||||||||
4.950%, 10/15/2058 | 7,500,000 | 9,774,156 | ||||||||||
CommonSpirit Health, | ||||||||||||
2.760%, 10/01/2024 | 7,500,000 | 7,569,435 | ||||||||||
Conagra Brands, Inc., | ||||||||||||
5.300%, 11/01/2038 | 6,625,000 | 7,868,017 | ||||||||||
ConocoPhillips Canada Funding Co. I, | ||||||||||||
5.950%, 10/15/2036 (1) | 845,000 | 1,146,154 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
4.750%, 12/01/2025 | 1,000,000 | 1,114,528 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 10,000,000 | 10,261,924 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
2.950%, 06/30/2023 (2) | 5,475,000 | 5,577,136 | ||||||||||
3.850%, 02/01/2025 (2) | 2,875,000 | 3,045,481 | ||||||||||
3.350%, 09/15/2026 (2) | 20,850,000 | 21,519,698 | ||||||||||
4.800%, 02/01/2035 (2) | 4,450,000 | 4,929,502 | ||||||||||
6.450%, 12/01/2036 (2) | 5,550,000 | 7,078,886 | ||||||||||
8.375%, 03/01/2039 (2) | 11,639,000 | 17,503,421 | ||||||||||
4.700%, 12/15/2042 (2) | 5,000,000 | 5,421,196 | ||||||||||
CSX Corp.: | ||||||||||||
6.220%, 04/30/2040 | 475,000 | 644,554 | ||||||||||
4.650%, 03/01/2068 | 9,000,000 | 10,339,876 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.875%, 07/20/2025 | 2,302,000 | 2,451,873 | ||||||||||
3.250%, 08/15/2029 | 11,800,000 | 11,992,829 | ||||||||||
4.780%, 03/25/2038 | 35,075,000 | 39,875,684 | ||||||||||
5.125%, 07/20/2045 | 5,000,000 | 5,931,577 | ||||||||||
5.050%, 03/25/2048 | 19,600,000 | 23,226,517 | ||||||||||
CVS Pass-Through Trust, | ||||||||||||
7.507%, 01/10/2032 (2) | 3,866,784 | 4,782,158 | ||||||||||
Daimler Finance North America LLC, | ||||||||||||
2.550%, 08/15/2022 (2) | 19,750,000 | 19,898,507 | ||||||||||
Danone SA: | ||||||||||||
3.000%, 06/15/2022 (1)(2) | 3,500,000 | 3,578,715 | ||||||||||
2.589%, 11/02/2023 (1)(2) | 10,000,000 | 10,158,567 | ||||||||||
DCP Midstream LLC: | ||||||||||||
4.750%, 09/30/2021 (2) | 2,245,000 | 2,306,737 | ||||||||||
5.375%, 07/15/2025 | 3,000,000 | 3,262,500 | ||||||||||
5.125%, 05/15/2029 | 8,000,000 | 8,300,000 | ||||||||||
Dell Technologies, Inc.: | ||||||||||||
4.000%, 07/15/2024 (2) | 5,000,000 | 5,238,621 | ||||||||||
4.900%, 10/01/2026 (2) | 5,000,000 | 5,505,997 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 26,015,000 | 38,325,374 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 39,125,000 | 40,263,992 | ||||||||||
5.450%, 06/15/2023 (2) | 42,180,000 | 45,754,308 | ||||||||||
6.020%, 06/15/2026 (2) | 10,000,000 | 11,512,000 | ||||||||||
DISH DBS Corp., | ||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,564,625 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,405,512 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 9,275,000 | 10,215,385 | ||||||||||
5.319%, 11/15/2038 | 17,350,000 | 20,710,194 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 2,000,000 | 2,100,333 | ||||||||||
4.250%, 04/15/2024 | 52,810,000 | 56,100,298 | ||||||||||
4.750%, 04/15/2027 | 28,650,000 | 30,858,483 | ||||||||||
Eaton Corp.: | ||||||||||||
2.750%, 11/02/2022 | 2,625,000 | 2,678,558 | ||||||||||
4.000%, 11/02/2032 | 3,660,000 | 4,152,489 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 6,325,000 | 6,527,202 | ||||||||||
EMC Corp., | ||||||||||||
2.650%, 06/01/2020 | 200,000 | 200,036 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
4.400%, 03/15/2027 | 15,000,000 | 14,981,650 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020 (2) | 3,300,000 | 3,323,839 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,457,309 | ||||||||||
7.375%, 10/15/2045 | 23,298,000 | 34,806,496 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.250%, 03/15/2023 | 10,000,000 | 10,445,150 | ||||||||||
5.875%, 01/15/2024 | 15,000,000 | 16,607,098 | ||||||||||
6.000%, 06/15/2048 | 5,000,000 | 5,834,184 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.150%, 10/01/2020 | 13,475,000 | 13,618,663 | ||||||||||
4.050%, 03/15/2025 | 6,204,000 | 6,522,757 | ||||||||||
4.200%, 04/15/2027 | 8,650,000 | 9,059,590 | ||||||||||
6.500%, 02/01/2042 | 18,727,000 | 22,275,839 | ||||||||||
5.950%, 10/01/2043 | 2,702,000 | 3,018,224 | ||||||||||
5.150%, 03/15/2045 | 5,000,000 | 5,264,193 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 20,041,840 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 23,605,000 | 22,899,210 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
3.350%, 03/15/2023 | 10,000,000 | 10,346,470 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 22,000,000 | 22,070,212 | ||||||||||
4.125%, 12/01/2026 | 14,750,000 | 13,912,737 | ||||||||||
Equinix, Inc., | ||||||||||||
2.625%, 11/18/2024 | 8,000,000 | 8,014,880 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 10,400,000 | 10,480,338 | ||||||||||
FedEx Corp.: | ||||||||||||
3.900%, 02/01/2035 | 7,000,000 | 7,136,077 | ||||||||||
4.950%, 10/17/2048 | 13,500,000 | 14,758,989 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 26,252,000 | 28,731,603 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 3,268,000 | 3,402,414 | ||||||||||
3.875%, 06/05/2024 | 6,367,000 | 6,776,572 | ||||||||||
3.000%, 08/15/2026 | 9,300,000 | 9,623,639 | ||||||||||
4.500%, 08/15/2046 | 6,700,000 | 7,696,998 | ||||||||||
Fiserv, Inc.: | ||||||||||||
3.500%, 10/01/2022 | 11,625,000 | 12,050,068 | ||||||||||
3.850%, 06/01/2025 | 11,720,000 | 12,506,273 | ||||||||||
3.200%, 07/01/2026 | 6,400,000 | 6,628,131 | ||||||||||
4.400%, 07/01/2049 | 20,000,000 | 22,705,669 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
3.875%, 07/15/2022 (2) | 3,000,000 | 3,085,333 | ||||||||||
FMC Corp., | ||||||||||||
3.200%, 10/01/2026 | 8,100,000 | 8,274,288 | ||||||||||
FMG Resources Pty Ltd., | ||||||||||||
5.125%, 03/15/2023 (1)(2) | 22,000,000 | 23,237,500 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 11,700,000 | 11,807,216 | ||||||||||
4.375%, 05/10/2043 (1) | 2,000,000 | 2,211,216 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.681%, 01/09/2020 | 5,000,000 | 5,000,387 | ||||||||||
3.200%, 01/15/2021 | 11,250,000 | 11,312,934 | ||||||||||
5.750%, 02/01/2021 | 13,000,000 | 13,419,737 | ||||||||||
3.336%, 03/18/2021 | 5,500,000 | 5,541,355 | ||||||||||
5.875%, 08/02/2021 | 8,975,000 | 9,396,161 | ||||||||||
2.979%, 08/03/2022 | 20,000,000 | 20,031,041 | ||||||||||
4.250%, 09/20/2022 | 4,459,000 | 4,612,802 | ||||||||||
5.584%, 03/18/2024 | 20,000,000 | 21,650,796 | ||||||||||
3.664%, 09/08/2024 | 12,000,000 | 12,065,891 | ||||||||||
4.063%, 11/01/2024 | 7,000,000 | 7,144,097 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (2) | 41,397,000 | 43,298,367 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
3.250%, 09/15/2029 | 14,000,000 | 14,159,819 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 6,208,000 | 6,285,600 | ||||||||||
3.875%, 03/15/2023 | 38,916,000 | 39,625,439 | ||||||||||
5.000%, 09/01/2027 | 12,000,000 | 12,600,000 | ||||||||||
5.250%, 09/01/2029 | 12,000,000 | 12,855,600 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 8,075,000 | 8,731,275 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 24,930,000 | 25,595,633 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 33,385,000 | 35,176,617 | ||||||||||
General Electric Co.: | ||||||||||||
5.550%, 05/04/2020 | 1,199,000 | 1,211,872 | ||||||||||
4.375%, 09/16/2020 | 838,000 | 850,988 | ||||||||||
5.300%, 02/11/2021 | 859,000 | 886,256 | ||||||||||
4.650%, 10/17/2021 | 2,420,000 | 2,523,116 | ||||||||||
3.150%, 09/07/2022 | 6,500,000 | 6,637,393 | ||||||||||
6.150%, 08/07/2037 | 2,000,000 | 2,487,159 | ||||||||||
General Mills, Inc.: | ||||||||||||
3.700%, 10/17/2023 | 20,000,000 | 21,075,891 | ||||||||||
4.000%, 04/17/2025 | 3,175,000 | 3,434,136 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.450%, 11/06/2020 | 9,000,000 | 9,021,707 | ||||||||||
3.700%, 11/24/2020 | 1,509,000 | 1,526,882 | ||||||||||
4.200%, 03/01/2021 | 21,283,000 | 21,743,154 | ||||||||||
3.200%, 07/06/2021 | 25,600,000 | 25,953,472 | ||||||||||
4.375%, 09/25/2021 | 4,875,000 | 5,051,364 | ||||||||||
3.450%, 01/14/2022 | 5,200,000 | 5,316,392 | ||||||||||
3.150%, 06/30/2022 | 13,050,000 | 13,301,835 | ||||||||||
4.150%, 06/19/2023 | 3,375,000 | 3,545,400 | ||||||||||
Genpact Luxembourg Sarl: | ||||||||||||
3.700%, 04/01/2022 (1) | 43,005,000 | 43,630,924 | ||||||||||
3.375%, 12/01/2024 (1) | 27,750,000 | 27,878,703 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
5.400%, 11/01/2020 (2) | 11,000,000 | 11,305,343 | ||||||||||
3.163%, 11/15/2021 (2) | 20,000,000 | 20,377,317 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 2,000,000 | 2,091,543 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 7,000,000 | 7,329,181 | ||||||||||
6.000%, 11/15/2041 (1)(2) | 9,400,000 | 10,506,715 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 16,940,000 | 17,653,245 | ||||||||||
4.625%, 04/29/2024 (2) | 26,730,000 | 28,339,146 | ||||||||||
4.000%, 03/27/2027 (2) | 17,000,000 | 17,669,803 | ||||||||||
4.875%, 03/12/2029 (2) | 18,000,000 | 19,558,067 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 3,915,000 | 4,069,886 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 31,501,000 | 32,866,410 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 9,575,000 | 10,243,587 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 22,671,000 | 23,720,214 | ||||||||||
4.000%, 09/06/2049 (1)(2) | 13,000,000 | 12,169,300 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 3,091,646 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 10,000,000 | 10,815,133 | ||||||||||
HB Fuller Co., | ||||||||||||
4.000%, 02/15/2027 | 6,725,000 | 6,657,750 | ||||||||||
HCA, Inc.: | ||||||||||||
5.000%, 03/15/2024 | 10,366,000 | 11,331,768 | ||||||||||
5.375%, 02/01/2025 | 25,300,000 | 27,977,499 | ||||||||||
5.250%, 04/15/2025 | 19,200,000 | 21,483,068 | ||||||||||
5.375%, 09/01/2026 | 1,000,000 | 1,113,750 | ||||||||||
5.875%, 02/01/2029 | 500,000 | 578,125 | ||||||||||
4.125%, 06/15/2029 | 15,000,000 | 15,916,188 | ||||||||||
Hewlett Packard Enterprise Co., | ||||||||||||
3.600%, 10/15/2020 | 7,550,000 | 7,635,761 | ||||||||||
Hexcel Corp.: | ||||||||||||
4.700%, 08/15/2025 | 8,303,000 | 8,959,792 | ||||||||||
3.950%, 02/15/2027 | 19,000,000 | 19,824,578 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
5.150%, 09/12/2023 (1)(2) | 4,350,000 | 4,673,254 | ||||||||||
Husky Energy, Inc.: | ||||||||||||
4.000%, 04/15/2024 (1) | 7,380,000 | 7,787,648 | ||||||||||
4.400%, 04/15/2029 (1) | 15,000,000 | 16,138,556 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
3.250%, 11/08/2022 (1)(2) | 4,625,000 | 4,739,006 | ||||||||||
3.625%, 10/31/2024 (1)(2) | 15,000,000 | 15,690,915 | ||||||||||
Hyundai Capital America: | ||||||||||||
3.450%, 03/12/2021 (2) | 20,950,000 | 21,207,714 | ||||||||||
3.000%, 03/18/2021 (2) | 10,000,000 | 10,074,663 | ||||||||||
3.750%, 07/08/2021 (2) | 10,150,000 | 10,353,178 | ||||||||||
3.100%, 04/05/2022 (2) | 2,000,000 | 2,025,928 | ||||||||||
2.850%, 11/01/2022 (2) | 5,225,000 | 5,283,232 | ||||||||||
3.400%, 06/20/2024 (2) | 16,850,000 | 17,194,586 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 9,225,000 | 9,240,998 | ||||||||||
IHS Markit Ltd., | ||||||||||||
3.625%, 05/01/2024 (1) | 10,000,000 | 10,390,500 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||||||
5.750%, 06/15/2043 | 4,126,000 | 5,264,767 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.650%, 11/01/2044 (1) | 1,300,000 | 1,470,063 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 13,000,000 | 14,664,346 | ||||||||||
International Flavors & Fragrances, Inc., | ||||||||||||
5.000%, 09/26/2048 | 10,000,000 | 11,353,906 | ||||||||||
Johnson Controls International PLC, | ||||||||||||
3.900%, 02/14/2026 (1) | 3,645,000 | 3,858,525 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 12,000,000 | 14,077,241 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 18,500,000 | 18,731,948 | ||||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
4.417%, 05/25/2025 | 7,000,000 | 7,645,217 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
4.550%, 10/30/2024 | 7,283,000 | 7,937,731 | ||||||||||
4.600%, 04/06/2027 | 50,189,000 | 55,666,921 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
6.850%, 02/15/2020 | 4,645,000 | 4,668,437 | ||||||||||
7.300%, 08/15/2033 | 1,675,000 | 2,244,188 | ||||||||||
6.500%, 02/01/2037 | 400,000 | 498,944 | ||||||||||
6.950%, 01/15/2038 | 14,755,000 | 19,548,573 | ||||||||||
7.500%, 11/15/2040 | 15,783,000 | 21,754,088 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021 (2) | 10,008,000 | 10,291,920 | ||||||||||
8.050%, 10/15/2030 | 15,384,000 | 20,364,740 | ||||||||||
7.800%, 08/01/2031 | 16,174,000 | 22,304,588 | ||||||||||
7.750%, 01/15/2032 | 7,466,000 | 10,291,811 | ||||||||||
Kinross Gold Corp., | ||||||||||||
6.875%, 09/01/2041 (1) | 5,500,000 | 6,386,875 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
4.000%, 06/15/2023 | 17,000,000 | 17,880,402 | ||||||||||
6.750%, 03/15/2032 | 10,000,000 | 12,594,947 | ||||||||||
5.000%, 07/15/2035 | 7,375,000 | 8,194,027 | ||||||||||
5.000%, 06/04/2042 | 5,000,000 | 5,342,599 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 1,500,000 | 1,960,666 | ||||||||||
LafargeHolcim Finance US LLC, | ||||||||||||
3.500%, 09/22/2026 (2) | 12,565,000 | 12,776,598 | ||||||||||
Lear Corp.: | ||||||||||||
5.250%, 01/15/2025 | 21,600,000 | 22,205,364 | ||||||||||
3.800%, 09/15/2027 | 7,725,000 | 7,803,038 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 1,385,000 | 1,416,162 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 10,000,000 | 10,177,547 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
5.000%, 03/01/2026 | 10,000,000 | 11,292,100 | ||||||||||
4.200%, 03/15/2045 | 8,770,000 | 8,879,897 | ||||||||||
4.250%, 09/15/2046 | 1,230,000 | 1,312,968 | ||||||||||
3.950%, 03/01/2050 | 19,000,000 | 19,541,950 | ||||||||||
Marathon Oil Corp., | ||||||||||||
2.800%, 11/01/2022 | 10,175,000 | 10,346,256 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 20,000,000 | 20,227,678 | ||||||||||
3.625%, 09/15/2024 | 2,500,000 | 2,626,111 | ||||||||||
5.125%, 12/15/2026 | 3,000,000 | 3,398,519 | ||||||||||
4.750%, 09/15/2044 | 3,985,000 | 4,381,011 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 450,000 | 549,655 | ||||||||||
Masco Corp.: | ||||||||||||
4.450%, 04/01/2025 | 5,000,000 | 5,428,715 | ||||||||||
6.500%, 08/15/2032 | 14,934,000 | 18,334,613 | ||||||||||
McDonald's Corp., | ||||||||||||
3.700%, 01/30/2026 | 7,250,000 | 7,823,066 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 12,845,000 | 13,136,333 | ||||||||||
4.333%, 06/01/2023 | 32,298,000 | 34,121,189 | ||||||||||
Micron Technology, Inc., | ||||||||||||
4.640%, 02/06/2024 | 3,000,000 | 3,255,876 | ||||||||||
Microsoft Corp., | ||||||||||||
4.200%, 11/03/2035 | 5,650,000 | 6,722,144 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 13,695,000 | 14,377,538 | ||||||||||
Minera Mexico SA de CV, | ||||||||||||
4.500%, 01/26/2050 (1)(2) | 5,000,000 | 5,087,500 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020 (2) | 26,313,000 | 26,348,191 | ||||||||||
3.900%, 04/15/2025 (2) | 8,250,000 | 8,516,611 | ||||||||||
Mosaic Co., | ||||||||||||
5.450%, 11/15/2033 | 16,101,000 | 18,277,647 | ||||||||||
MPLX LP: | ||||||||||||
3.500%, 12/01/2022 (2) | 8,600,000 | 8,854,591 | ||||||||||
4.875%, 12/01/2024 | 9,650,000 | 10,491,415 | ||||||||||
4.000%, 02/15/2025 | 8,125,000 | 8,496,132 | ||||||||||
4.875%, 06/01/2025 | 14,500,000 | 15,840,394 | ||||||||||
4.250%, 12/01/2027 (2) | 6,519,000 | 6,863,941 | ||||||||||
5.500%, 02/15/2049 | 8,825,000 | 10,025,949 | ||||||||||
4.900%, 04/15/2058 | 5,000,000 | 5,098,962 | ||||||||||
MSCI, Inc., | ||||||||||||
4.000%, 11/15/2029 (2) | 6,500,000 | 6,589,375 | ||||||||||
Mylan NV: | ||||||||||||
3.750%, 12/15/2020 (1) | 582,000 | 593,612 | ||||||||||
3.150%, 06/15/2021 (1) | 8,100,000 | 8,206,459 | ||||||||||
3.950%, 06/15/2026 (1) | 5,000,000 | 5,212,618 | ||||||||||
Mylan, Inc.: | ||||||||||||
3.125%, 01/15/2023 (2) | 11,800,000 | 11,974,238 | ||||||||||
4.200%, 11/29/2023 | 4,525,000 | 4,791,526 | ||||||||||
4.550%, 04/15/2028 | 5,000,000 | 5,382,839 | ||||||||||
NCL Corp. Ltd., | ||||||||||||
3.625%, 12/15/2024 (1)(2) | 20,000,000 | 20,275,000 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 40,709,000 | 42,305,230 | ||||||||||
Newfield Exploration Co., | ||||||||||||
5.750%, 01/30/2022 | 7,700,000 | 8,185,619 | ||||||||||
NGPL PipeCo LLC, | ||||||||||||
4.875%, 08/15/2027 (2) | 20,000,000 | 21,258,752 | ||||||||||
Noble Energy, Inc.: | ||||||||||||
3.900%, 11/15/2024 | 3,000,000 | 3,171,422 | ||||||||||
5.050%, 11/15/2044 | 3,000,000 | 3,336,064 | ||||||||||
NuStar Logistics LP: | ||||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,328,438 | ||||||||||
6.750%, 02/01/2021 | 3,000,000 | 3,112,500 | ||||||||||
Nutrien Ltd.: | ||||||||||||
4.000%, 12/15/2026 (1) | 10,000,000 | 10,649,590 | ||||||||||
4.125%, 03/15/2035 (1) | 6,550,000 | 6,853,431 | ||||||||||
nVent Finance Sarl: | ||||||||||||
3.950%, 04/15/2023 (1) | 11,055,000 | 11,228,862 | ||||||||||
4.550%, 04/15/2028 (1) | 32,435,000 | 33,669,776 | ||||||||||
NXP Semiconductors N.V.: | ||||||||||||
4.625%, 06/15/2022 (1)(2) | 3,326,000 | 3,505,696 | ||||||||||
3.875%, 09/01/2022 (1)(2) | 9,300,000 | 9,649,209 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
2.900%, 08/15/2024 | 10,000,000 | 10,163,395 | ||||||||||
7.150%, 05/15/2028 | 7,000,000 | 8,694,641 | ||||||||||
7.875%, 09/15/2031 | 12,790,000 | 17,162,008 | ||||||||||
6.450%, 09/15/2036 | 9,025,000 | 11,086,450 | ||||||||||
ONEOK Partners LP, | ||||||||||||
3.375%, 10/01/2022 | 4,007,000 | 4,123,979 | ||||||||||
ONEOK, Inc.: | ||||||||||||
4.250%, 02/01/2022 | 6,450,000 | 6,693,383 | ||||||||||
7.500%, 09/01/2023 | 22,959,000 | 26,801,305 | ||||||||||
2.750%, 09/01/2024 | 8,300,000 | 8,378,849 | ||||||||||
Oracle Corp., | ||||||||||||
3.900%, 05/15/2035 | 7,425,000 | 8,281,631 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 33,426,000 | 51,777,943 | ||||||||||
Owens Corning: | ||||||||||||
4.200%, 12/01/2024 | 10,000,000 | 10,552,780 | ||||||||||
3.400%, 08/15/2026 | 5,000,000 | 5,084,225 | ||||||||||
Packaging Corp. of America, | ||||||||||||
4.500%, 11/01/2023 | 4,700,000 | 5,050,102 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,528,665 | ||||||||||
PerkinElmer, Inc., | ||||||||||||
3.300%, 09/15/2029 | 25,000,000 | 25,537,837 | ||||||||||
Pernod Ricard SA, | ||||||||||||
4.250%, 07/15/2022 (1)(2) | 26,700,000 | 28,097,225 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
3.900%, 12/15/2024 (1) | 31,500,000 | 32,377,761 | ||||||||||
Phillips 66: | ||||||||||||
4.650%, 11/15/2034 | 13,000,000 | 15,279,158 | ||||||||||
5.875%, 05/01/2042 | 5,000,000 | 6,755,945 | ||||||||||
4.875%, 11/15/2044 | 15,000,000 | 18,096,701 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,096,647 | ||||||||||
3.150%, 12/15/2029 | 12,550,000 | 12,506,108 | ||||||||||
4.680%, 02/15/2045 | 2,000,000 | 2,171,035 | ||||||||||
Plains All American Pipeline LP / PAA Finance Corp., | ||||||||||||
3.550%, 12/15/2029 | 20,000,000 | 19,729,876 | ||||||||||
Plum Creek Timberlands LP: | ||||||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,230,833 | ||||||||||
3.250%, 03/15/2023 | 8,375,000 | 8,564,728 | ||||||||||
POSCO: | ||||||||||||
4.250%, 10/28/2020 (1)(2) | 2,300,000 | 2,335,682 | ||||||||||
4.000%, 08/01/2023 (1)(2) | 13,000,000 | 13,595,810 | ||||||||||
Qwest Capital Funding, Inc., | ||||||||||||
7.625%, 08/03/2021 | 200,000 | 209,539 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 11,850,000 | 12,555,722 | ||||||||||
Reliance Holding USA, Inc.: | ||||||||||||
4.500%, 10/19/2020 (2) | 2,000,000 | 2,031,700 | ||||||||||
5.400%, 02/14/2022 (2) | 3,500,000 | 3,703,980 | ||||||||||
Republic Services, Inc.: | ||||||||||||
4.750%, 05/15/2023 | 13,459,000 | 14,494,327 | ||||||||||
2.900%, 07/01/2026 | 15,000,000 | 15,368,350 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020 (2) | 2,695,000 | 2,723,561 | ||||||||||
Rogers Communications, Inc., | ||||||||||||
4.350%, 05/01/2049 (1) | 10,000,000 | 11,195,923 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 14,500,000 | 16,331,473 | ||||||||||
5.875%, 06/30/2026 | 60,015,000 | 68,988,685 | ||||||||||
5.000%, 03/15/2027 | 15,300,000 | 16,842,072 | ||||||||||
Samarco Mineracao SA: | ||||||||||||
5.750%, 10/24/2023 (1)(2)(9) | 5,475,000 | 3,695,625 | ||||||||||
5.375%, 09/26/2024 (1)(2)(9) | 5,125,000 | 3,459,375 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
3.900%, 05/17/2028 (2) | 11,096,000 | 11,821,721 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 5,000,000 | 5,117,615 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022 (1) | 18,455,000 | 19,103,118 | �� | |||||||||
Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 10,550,000 | 11,991,997 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023 (1) | 54,946,000 | 55,990,906 | ||||||||||
Silgan Holdings, Inc.: | ||||||||||||
4.750%, 03/15/2025 | 1,000,000 | 1,022,500 | ||||||||||
4.125%, 02/01/2028 (2) | 3,000,000 | 3,000,900 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027 (1)(2) | 960,000 | 1,193,683 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 10,200,000 | 10,141,073 | ||||||||||
3.350%, 02/01/2022 (2) | 31,389,000 | 31,481,784 | ||||||||||
5.200%, 04/01/2029 (2) | 12,000,000 | 13,309,342 | ||||||||||
Sociedad Quimica y Minera de Chile SA, | ||||||||||||
3.625%, 04/03/2023 (1)(2) | 8,093,000 | 8,242,721 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025 (2) | 37,426,000 | 40,500,208 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,028,919 | ||||||||||
Spectra Energy Partners LP: | ||||||||||||
3.500%, 03/15/2025 | 15,150,000 | 15,858,120 | ||||||||||
4.500%, 03/15/2045 | 5,000,000 | 5,517,060 | ||||||||||
Standard Industries, Inc.: | ||||||||||||
5.375%, 11/15/2024 (2) | 3,727,000 | 3,829,492 | ||||||||||
6.000%, 10/15/2025 (2) | 8,511,000 | 8,947,189 | ||||||||||
4.750%, 01/15/2028 (2) | 21,000,000 | 21,525,000 | ||||||||||
Stanley Black & Decker, Inc., | ||||||||||||
4.850%, 11/15/2048 | 4,175,000 | 5,136,429 | ||||||||||
Steel Dynamics, Inc., | ||||||||||||
2.800%, 12/15/2024 | 7,000,000 | 7,044,886 | ||||||||||
Sunoco Finance Corp., | ||||||||||||
4.875%, 01/15/2023 | 2,000,000 | 2,045,040 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.450%, 01/15/2023 | 2,000,000 | 2,034,204 | ||||||||||
6.100%, 02/15/2042 | 1,000,000 | 1,121,220 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 2,000,000 | 2,010,900 | ||||||||||
Tallgrass Energy Finance Corp., | ||||||||||||
4.750%, 10/01/2023 (2) | 7,000,000 | 6,982,500 | ||||||||||
Targa Resources Partners LP: | ||||||||||||
6.500%, 07/15/2027 (2) | 1,000,000 | 1,095,000 | ||||||||||
5.000%, 01/15/2028 | 28,000,000 | 28,560,000 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 26,205,000 | 27,907,662 | ||||||||||
3.900%, 05/25/2027 | 5,885,000 | 6,153,572 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 13,235,000 | 13,529,120 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
5.303%, 05/30/2024 (1)(2) | 21,500,000 | 23,112,500 | ||||||||||
7.200%, 07/18/2036 (1) | 3,175,000 | 3,761,740 | ||||||||||
Telefonica Emisiones SA: | ||||||||||||
5.462%, 02/16/2021 (1) | 2,402,000 | 2,493,032 | ||||||||||
4.103%, 03/08/2027 (1) | 8,125,000 | 8,795,492 | ||||||||||
5.213%, 03/08/2047 (1) | 5,000,000 | 5,934,529 | ||||||||||
5.520%, 03/01/2049 (1) | 12,000,000 | 15,054,870 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
4.570%, 04/27/2023 (1) | 1,000,000 | 1,076,143 | ||||||||||
7.045%, 06/20/2036 (1) | 4,925,000 | 6,893,722 | ||||||||||
4.895%, 03/06/2048 (1) | 9,475,000 | 10,849,227 | ||||||||||
TELUS Corp., | ||||||||||||
2.800%, 02/16/2027 (1) | 13,100,000 | 13,140,328 | ||||||||||
Tenet Healthcare Corp., | ||||||||||||
6.750%, 06/15/2023 | 1,000,000 | 1,098,710 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023 (1) | 24,275,000 | 22,515,063 | ||||||||||
3.150%, 10/01/2026 (1) | 36,000,000 | 29,970,000 | ||||||||||
Timken Co.: | ||||||||||||
3.875%, 09/01/2024 | 18,500,000 | 19,265,670 | ||||||||||
4.500%, 12/15/2028 | 6,025,000 | 6,493,973 | ||||||||||
T-Mobile USA, Inc., | ||||||||||||
4.750%, 02/01/2028 | 17,250,000 | 18,074,723 | ||||||||||
Total System Services, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 9,199,000 | 9,379,967 | ||||||||||
4.000%, 06/01/2023 | 10,775,000 | 11,337,218 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
4.750%, 05/15/2038 (1) | 10,000,000 | 11,424,794 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,739,192 | ||||||||||
Transocean, Inc.: | ||||||||||||
8.375%, 12/15/2021 (1) | 5,500,000 | 5,637,500 | ||||||||||
5.800%, 10/15/2022 (1) | 5,000,000 | 4,825,000 | ||||||||||
TTX Co.: | ||||||||||||
4.650%, 06/15/2044 (2) | 7,710,000 | 8,729,482 | ||||||||||
3.900%, 02/01/2045 (2) | 25,325,000 | 27,147,444 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
7.125%, 10/01/2037 (1) | 500,000 | 735,029 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
5.100%, 09/23/2048 | 4,650,000 | 5,855,087 | ||||||||||
United Rentals North America, Inc.: | ||||||||||||
4.625%, 10/15/2025 | 15,540,000 | 15,976,674 | ||||||||||
5.875%, 09/15/2026 | 13,000,000 | 13,945,750 | ||||||||||
6.500%, 12/15/2026 | 5,000,000 | 5,495,313 | ||||||||||
3.875%, 11/15/2027 | 5,000,000 | 5,104,750 | ||||||||||
4.875%, 01/15/2028 | 5,000,000 | 5,206,150 | ||||||||||
5.250%, 01/15/2030 | 3,000,000 | 3,228,900 | ||||||||||
Valaris PLC, | ||||||||||||
5.200%, 03/15/2025 (1) | 6,000,000 | 3,330,000 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
6.250%, 08/10/2026 (1) | 22,000,000 | 25,823,600 | ||||||||||
8.250%, 01/17/2034 (1) | 425,000 | 596,594 | ||||||||||
6.875%, 11/21/2036 (1) | 10,475,000 | 13,617,500 | ||||||||||
6.875%, 11/10/2039 (1) | 15,850,000 | 20,644,625 | ||||||||||
Valeant Pharmaceuticals International, Inc., | ||||||||||||
5.875%, 05/15/2023 (1)(2) | 1,913,000 | 1,929,739 | ||||||||||
Valero Energy Corp.: | ||||||||||||
3.400%, 09/15/2026 | 17,500,000 | 18,343,913 | ||||||||||
6.625%, 06/15/2037 | 5,000,000 | 6,615,865 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.500%, 03/15/2028 | 20,000,000 | 22,036,898 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
5.800%, 05/01/2021 | 2,585,000 | 2,702,499 | ||||||||||
4.000%, 06/15/2025 | 10,000,000 | 10,768,555 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.500%, 08/10/2033 | 15,710,000 | 18,338,442 | ||||||||||
4.400%, 11/01/2034 | 790,000 | 915,813 | ||||||||||
4.272%, 01/15/2036 | 19,793,000 | 22,416,622 | ||||||||||
5.250%, 03/16/2037 | 18,225,000 | 22,889,310 | ||||||||||
4.812%, 03/15/2039 | 38,575,000 | 46,566,382 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020 (1)(2) | 7,000,000 | 7,146,039 | ||||||||||
Vodafone Group PLC: | ||||||||||||
3.750%, 01/16/2024 (1) | 2,184,000 | 2,310,249 | ||||||||||
7.875%, 02/15/2030 (1) | 9,793,000 | 13,669,284 | ||||||||||
6.150%, 02/27/2037 (1) | 11,825,000 | 15,271,526 | ||||||||||
4.375%, 02/19/2043 (1) | 5,054,000 | 5,427,913 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 9,000,000 | 9,308,553 | ||||||||||
4.250%, 11/13/2023 (2) | 18,000,000 | 19,182,658 | ||||||||||
2.850%, 09/26/2024 (2) | 5,000,000 | 5,079,344 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
4.500%, 04/01/2025 | 3,000,000 | 3,233,377 | ||||||||||
4.700%, 03/01/2048 | 500,000 | 562,884 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 9,750,000 | 10,252,099 | ||||||||||
4.400%, 03/15/2024 | 13,109,000 | 13,919,330 | ||||||||||
3.450%, 11/15/2026 | 27,225,000 | 27,532,683 | ||||||||||
4.950%, 09/15/2028 | 10,205,000 | 11,226,105 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 8,060,000 | 8,212,858 | ||||||||||
3.800%, 11/18/2024 | 10,000,000 | 10,424,009 | ||||||||||
3.450%, 06/01/2026 | 7,000,000 | 7,122,099 | ||||||||||
Walmart, Inc., | ||||||||||||
4.050%, 06/29/2048 | 11,975,000 | 14,194,495 | ||||||||||
Walt Disney Co.: | ||||||||||||
3.700%, 09/15/2024 | 4,025,000 | 4,308,123 | ||||||||||
7.430%, 10/01/2026 | 3,300,000 | 4,287,663 | ||||||||||
5.400%, 10/01/2043 | 5,000,000 | 6,809,450 | ||||||||||
4.750%, 09/15/2044 | 1,950,000 | 2,436,049 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.900%, 03/01/2035 | 5,000,000 | 5,511,955 | ||||||||||
Weatherford International Ltd., | ||||||||||||
11.000%, 12/01/2024 (1)(2) | 332,000 | 358,975 | ||||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 59,500,688 | ||||||||||
Western Gas Partners LP, | ||||||||||||
4.000%, 07/01/2022 | 17,845,000 | 18,292,254 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 1,160,000 | 1,196,825 | ||||||||||
8.200%, 01/15/2030 | 3,012,000 | 4,155,426 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
5.250%, 03/15/2020 | 2,390,000 | 2,404,034 | ||||||||||
7.875%, 09/01/2021 | 5,065,000 | 5,523,922 | ||||||||||
3.700%, 01/15/2023 | 44,375,000 | 45,961,801 | ||||||||||
4.550%, 06/24/2024 | 7,629,000 | 8,236,742 | ||||||||||
7.500%, 01/15/2031 | 120,000 | 156,615 | ||||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,668,071 | ||||||||||
8.750%, 03/15/2032 | 9,275,000 | 13,341,393 | ||||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,972,723 | ||||||||||
5.750%, 06/24/2044 | 2,500,000 | 2,962,862 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025 (1)(2) | 15,575,000 | 16,138,425 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.000%, 09/15/2024 | 6,000,000 | 6,123,131 | ||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | ||||||||||||
4.250%, 05/30/2023 (2) | 4,000,000 | 4,189,240 | ||||||||||
Xerox Corp., | ||||||||||||
4.125%, 03/15/2023 | 35,175,000 | 36,450,094 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 20,250,000 | 20,707,899 | ||||||||||
Zimmer Biomet Holdings, Inc.: | ||||||||||||
3.550%, 04/01/2025 | 5,000,000 | 5,273,044 | ||||||||||
5.750%, 11/30/2039 | 9,000,000 | 10,727,169 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 11,885,000 | 12,013,237 | ||||||||||
3.250%, 02/01/2023 | 24,701,000 | 25,429,781 | ||||||||||
4.500%, 11/13/2025 | 16,275,000 | 18,027,470 | ||||||||||
Total Industrials (Cost $5,960,109,330) | 6,294,472,658 | 26.3 | % |
Utilities | ||||||||||||
Appalachian Power Co., | ||||||||||||
6.700%, 08/15/2037 | 1,400,000 | 1,910,819 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
3.500%, 02/01/2025 | 7,000,000 | 7,432,043 | ||||||||||
CMS Energy Corp., | ||||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,055,359 | ||||||||||
Consolidated Edison Co. of New York, Inc., | ||||||||||||
4.625%, 12/01/2054 | 7,600,000 | 9,235,821 | ||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023 (2) | 15,000,000 | 15,052,424 | ||||||||||
Dominion Resources, Inc., | ||||||||||||
5.950%, 06/15/2035 | 1,880,000 | 2,392,369 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,005,031 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020 (1)(2) | 8,816,000 | 8,806,444 | ||||||||||
3.625%, 07/15/2024 (1)(2) | 45,999,000 | 47,795,238 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,500,000 | 7,596,883 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 27,500,000 | 28,494,146 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 7,000,000 | 7,166,097 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 3,875,000 | 5,159,043 | ||||||||||
6.000%, 10/07/2039 (1)(2) | 631,000 | 795,075 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 42,584,000 | 47,961,680 | ||||||||||
Exelon Corp.: | ||||||||||||
3.950%, 06/15/2025 | 15,775,000 | 16,971,653 | ||||||||||
5.100%, 06/15/2045 | 5,875,000 | 7,085,789 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
5.600%, 06/15/2042 | 6,100,000 | 6,979,318 | ||||||||||
Fortis Inc., | ||||||||||||
3.055%, 10/04/2026 (1) | 8,762,000 | 8,949,729 | ||||||||||
Infraestructura Energetica Nova SAB de CV, | ||||||||||||
3.750%, 01/14/2028 (1)(2) | 5,000,000 | 4,862,500 | ||||||||||
KeySpan Corp., | ||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,581,143 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 2,800,000 | 2,886,716 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,775,000 | 12,417,978 | ||||||||||
PSEG Power LLC, | ||||||||||||
3.000%, 06/15/2021 | 25,027,000 | 25,314,733 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 347,777 | 373,508 | ||||||||||
Southern Co., | ||||||||||||
2.950%, 07/01/2023 | 17,400,000 | 17,849,083 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 6,000,000 | 6,233,088 | ||||||||||
Total Utilities (Cost $292,479,047) | 308,363,710 | 1.3 | % |
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
7.750%, 05/15/2023 (1)(2) | 8,000,000 | 9,186,646 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 37,818,000 | 41,177,017 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 34,925,000 | 38,092,470 | ||||||||||
AerCap Holdings N.V.: | ||||||||||||
4.875%, 01/16/2024 (1) | 6,708,000 | 7,272,290 | ||||||||||
2.875%, 08/14/2024 (1) | 39,395,000 | 39,749,491 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 9,000,000 | 9,234,990 | ||||||||||
AIG SunAmerica Global Financing X, | ||||||||||||
6.900%, 03/15/2032 (2) | 2,000,000 | 2,805,554 | ||||||||||
Air Lease Corp., | ||||||||||||
4.250%, 02/01/2024 | 8,175,000 | 8,771,255 | ||||||||||
Ally Financial, Inc.: | ||||||||||||
4.125%, 03/30/2020 | 10,000,000 | 10,037,500 | ||||||||||
5.125%, 09/30/2024 | 3,000,000 | 3,308,370 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 3,500,000 | 3,644,594 | ||||||||||
4.875%, 06/01/2022 | 25,951,000 | 27,705,892 | ||||||||||
3.750%, 07/10/2025 | 11,400,000 | 12,201,949 | ||||||||||
3.875%, 01/15/2035 | 15,000,000 | 15,927,456 | ||||||||||
6.820%, 11/15/2037 | 4,173,000 | 5,738,933 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 1,110,000 | 1,312,218 | ||||||||||
Anthem, Inc.: | ||||||||||||
3.350%, 12/01/2024 | 7,050,000 | 7,359,023 | ||||||||||
2.375%, 01/15/2025 | 4,075,000 | 4,070,211 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.750%, 02/03/2021 (1)(2) | 10,000,000 | 10,080,188 | ||||||||||
2.125%, 07/28/2021 (1)(2) | 17,175,000 | 17,218,013 | ||||||||||
Aon Corp., | ||||||||||||
5.000%, 09/30/2020 | 150,000 | 153,219 | ||||||||||
Aon PLC, | ||||||||||||
3.875%, 12/15/2025 (1) | 14,490,000 | 15,596,541 | ||||||||||
Assurant, Inc.: | ||||||||||||
3.197%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 1,916,000 | 1,916,222 | ||||||||||
3.700%, 02/22/2030 | 10,000,000 | 10,138,553 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 32,000,000 | 34,071,955 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 12,000,000 | 12,327,931 | ||||||||||
3.848%, 04/12/2023 (1) | 16,700,000 | 17,421,852 | ||||||||||
5.179%, 11/19/2025 (1) | 11,150,000 | 12,493,394 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.625%, 04/19/2021 | 17,500,000 | 17,660,334 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 4,500,000 | 4,509,245 | ||||||||||
3.300%, 01/11/2023 | 22,650,000 | 23,417,429 | ||||||||||
3.004%, 12/20/2023 (3 Month LIBOR USD + 0.790%) (3) | 8,352,000 | 8,546,976 | ||||||||||
3.864%, 07/23/2024 (3 Month LIBOR USD + 0.940%) (3) | 12,575,000 | 13,233,708 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 9,650,000 | 10,077,362 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 22,000,000 | 22,706,067 | ||||||||||
2.456%, 10/22/2025 (3 Month LIBOR USD + 0.870%) (3) | 8,000,000 | 8,053,522 | ||||||||||
3.366%, 01/23/2026 (3 Month LIBOR USD + 0.810%) (3) | 22,700,000 | 23,744,170 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,254,747 | ||||||||||
7.750%, 05/14/2038 | 725,000 | 1,142,893 | ||||||||||
Bank of Montreal: | ||||||||||||
1.900%, 08/27/2021 (1) | 26,450,000 | 26,499,853 | ||||||||||
3.803%, 12/15/2032 (5 Year Swap Rate USD + 1.432%) (1)(3) | 5,000,000 | 5,214,750 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 8,225,000 | 8,349,120 | ||||||||||
4.500%, 12/16/2025 (1) | 8,048,000 | 8,841,617 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 12,475,000 | 13,083,792 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 25,000,000 | 25,211,000 | ||||||||||
3.684%, 01/10/2023 (1) | 22,500,000 | 23,073,593 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,445,025 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 5,000,000 | 5,272,000 | ||||||||||
3.650%, 03/16/2025 (1) | 17,350,000 | 18,059,177 | ||||||||||
4.337%, 01/10/2028 (1) | 10,000,000 | 10,732,967 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 15,700,000 | 15,924,415 | ||||||||||
3.875%, 04/10/2025 | 37,470,000 | 39,365,193 | ||||||||||
Berkshire Hathaway Finance Corp., | ||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 4,118,173 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 4,000,000 | 4,139,502 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,000,000 | 8,309,088 | ||||||||||
4.375%, 09/28/2025 (1)(2) | 4,700,000 | 5,062,989 | ||||||||||
2.819%, 11/19/2025 (3 Month LIBOR USD + 1.111%) (1)(2)(3) | 42,500,000 | 43,004,776 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.400%, 02/21/2020 (1)(2) | 8,000,000 | 8,002,666 | ||||||||||
2.750%, 03/02/2021 (1)(2) | 18,750,000 | 18,918,822 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 24,750,000 | 25,595,992 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 33,770,000 | 37,295,926 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 3,185,000 | 3,426,948 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 30,902,000 | 33,913,367 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 27,475,000 | 29,607,530 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 11,090,000 | 12,206,734 | ||||||||||
Cantor Fitzgerald LP, | ||||||||||||
4.875%, 05/01/2024 (2) | 5,000,000 | 5,332,723 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.200%, 01/30/2023 | 5,000,000 | 5,140,943 | ||||||||||
3.750%, 07/28/2026 | 5,000,000 | 5,268,340 | ||||||||||
3.800%, 01/31/2028 | 6,960,000 | 7,484,949 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 54,066,000 | 55,860,883 | ||||||||||
CIT Bank NA, | ||||||||||||
2.969%, 09/27/2025 (SOFR + 1.715%) (3) | 21,219,000 | 21,165,952 | ||||||||||
CIT Group, Inc.: | ||||||||||||
4.125%, 03/09/2021 | 100,000 | 101,886 | ||||||||||
5.000%, 08/01/2023 | 5,000,000 | 5,387,500 | ||||||||||
4.750%, 02/16/2024 | 13,000,000 | 13,877,500 | ||||||||||
5.250%, 03/07/2025 | 100,000 | 110,000 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.400%, 02/18/2020 | 8,000,000 | 8,003,218 | ||||||||||
2.350%, 08/02/2021 | 8,125,000 | 8,175,144 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 10,000,000 | 10,195,943 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 12,450,000 | 12,660,657 | ||||||||||
3.337%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 8,000,000 | 8,169,797 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 11,000,000 | 11,448,855 | ||||||||||
3.700%, 01/12/2026 | 4,700,000 | 5,013,168 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 30,000,000 | 32,331,361 | ||||||||||
Citizens Bank NA, | ||||||||||||
2.550%, 05/13/2021 | 6,175,000 | 6,222,485 | ||||||||||
Citizens Financial Group, Inc., | ||||||||||||
2.850%, 07/27/2026 | 23,400,000 | 23,846,819 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 9,752,000 | 10,308,547 | ||||||||||
7.250%, 11/15/2023 | 12,400,000 | 14,500,161 | ||||||||||
4.500%, 03/01/2026 | 21,125,000 | 23,301,341 | ||||||||||
3.450%, 08/15/2027 | 9,000,000 | 9,381,545 | ||||||||||
CNO Financial Group, Inc., | ||||||||||||
5.250%, 05/30/2025 | 18,640,000 | 20,643,800 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 21,425,000 | 23,002,358 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 19,000,000 | 20,548,137 | ||||||||||
3.610%, 09/12/2034 (5 Year CMT Rate + 2.050%) (1)(2)(3) | 25,000,000 | 25,144,931 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.875%, 02/08/2022 (1) | 4,150,000 | 4,322,181 | ||||||||||
4.625%, 12/01/2023 (1) | 7,229,000 | 7,835,666 | ||||||||||
4.375%, 08/04/2025 (1) | 11,805,000 | 12,811,163 | ||||||||||
3.750%, 07/21/2026 (1) | 26,000,000 | 27,091,611 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 23,225,000 | �� | 23,766,553 | |||||||||
3.750%, 04/24/2023 (1)(2) | 8,375,000 | 8,761,114 | ||||||||||
3.250%, 10/04/2024 (1)(2) | 8,575,000 | 8,888,777 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 37,093,000 | 39,766,487 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 9,000,000 | 9,247,954 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 6,000,000 | 6,347,112 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(3) | 13,700,000 | 13,739,199 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 16,750,000 | 18,225,765 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 10,850,000 | 11,561,480 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 21,400,000 | 22,406,274 | ||||||||||
3.750%, 03/26/2025 (1) | 15,000,000 | 15,878,280 | ||||||||||
4.550%, 04/17/2026 (1) | 5,000,000 | 5,551,166 | ||||||||||
CyrusOne LP / CyrusOne Finance Corp., | ||||||||||||
2.900%, 11/15/2024 | 10,000,000 | 10,038,400 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 14,175,000 | 14,450,931 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 8,625,000 | 8,645,166 | ||||||||||
3.150%, 01/22/2021 (1) | 16,954,000 | 17,031,105 | ||||||||||
3.375%, 05/12/2021 (1) | 5,450,000 | 5,507,461 | ||||||||||
4.250%, 10/14/2021 (1) | 29,900,000 | 30,752,802 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,445,557 | ||||||||||
3.300%, 11/16/2022 (1) | 17,625,000 | 17,807,669 | ||||||||||
3.950%, 02/27/2023 (1) | 14,875,000 | 15,255,233 | ||||||||||
Digital Realty Trust LP: | ||||||||||||
4.450%, 07/15/2028 | 7,000,000 | 7,752,109 | ||||||||||
3.600%, 07/01/2029 | 41,950,000 | 43,668,262 | ||||||||||
Discover Bank: | ||||||||||||
3.100%, 06/04/2020 | 12,000,000 | 12,044,668 | ||||||||||
3.350%, 02/06/2023 | 7,000,000 | 7,219,237 | ||||||||||
4.650%, 09/13/2028 | 23,225,000 | 26,181,236 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 25,000,000 | 26,553,956 | ||||||||||
4.100%, 02/09/2027 | 4,600,000 | 4,956,978 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,022,000 | 29,341,099 | ||||||||||
First Republic Bank, | ||||||||||||
4.625%, 02/13/2047 | 1,850,000 | 2,111,375 | ||||||||||
FMR LLC: | ||||||||||||
4.950%, 02/01/2033 (2) | 4,235,000 | 5,193,184 | ||||||||||
6.500%, 12/14/2040 (2) | 1,820,000 | 2,594,110 | ||||||||||
GE Capital International Funding Co. Unlimited Co.: | ||||||||||||
2.342%, 11/15/2020 (1) | 24,200,000 | 24,219,535 | ||||||||||
3.373%, 11/15/2025 (1) | 5,000,000 | 5,209,945 | ||||||||||
4.418%, 11/15/2035 (1) | 10,000,000 | 10,697,340 | ||||||||||
Globe Life, Inc.: | ||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,307,001 | ||||||||||
4.550%, 09/15/2028 | 9,350,000 | 10,394,284 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
5.250%, 07/27/2021 | 1,100,000 | 1,154,362 | ||||||||||
2.350%, 11/15/2021 | 10,000,000 | 10,039,736 | ||||||||||
5.750%, 01/24/2022 | 15,100,000 | 16,210,081 | ||||||||||
3.514%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 10,000,000 | 10,358,000 | ||||||||||
3.500%, 01/23/2025 | 9,400,000 | 9,868,237 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 24,000,000 | 24,847,296 | ||||||||||
3.814%, 04/23/2029 (3 Month LIBOR USD + 1.158%) (3) | 17,875,000 | 19,177,701 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 15,050,000 | 16,593,817 | ||||||||||
6.345%, 02/15/2034 | 125,000 | 162,402 | ||||||||||
6.750%, 10/01/2037 | 300,000 | 416,739 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 11,215,000 | 13,705,394 | ||||||||||
4.850%, 01/24/2077 (2) | 10,546,000 | 12,852,287 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 10,000,000 | 11,805,079 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
3.600%, 08/19/2049 | 15,725,000 | 16,138,953 | ||||||||||
High Street Funding Trust I, | ||||||||||||
4.111%, 02/15/2028 (2) | 9,000,000 | 9,691,683 | ||||||||||
High Street Funding Trust II, | ||||||||||||
4.682%, 02/15/2048 (2) | 7,000,000 | 7,989,569 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 7,800,000 | 8,024,817 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021 (1) | 9,100,000 | 9,244,586 | ||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,044,131 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 30,996,000 | 31,704,592 | ||||||||||
3.600%, 05/25/2023 (1) | 6,000,000 | 6,259,709 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 9,000,000 | 9,469,433 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 5,200,000 | 5,458,991 | ||||||||||
4.583%, 06/19/2029 (3 Month LIBOR USD + 1.535%) (1)(3) | 17,125,000 | 19,149,896 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 4,775,000 | 5,149,192 | ||||||||||
Humana, Inc., | ||||||||||||
8.150%, 06/15/2038 | 8,983,000 | 13,190,880 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 17,225,000 | 17,438,750 | ||||||||||
2.300%, 01/14/2022 | 15,225,000 | 15,309,345 | ||||||||||
Huntington National Bank, | ||||||||||||
2.875%, 08/20/2020 | 12,275,000 | 12,336,825 | ||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023 (1)(2) | 62,161,000 | 68,994,779 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 4,000,000 | 4,089,819 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 5,500,000 | 5,654,899 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,000,000 | 10,375,801 | ||||||||||
Jefferies Group LLC: | ||||||||||||
4.850%, 01/15/2027 | 15,750,000 | 17,396,291 | ||||||||||
6.450%, 06/08/2027 | 1,300,000 | 1,525,062 | ||||||||||
4.150%, 01/23/2030 | 30,200,000 | 32,026,493 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 17,615,000 | 20,595,443 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 22,000,000 | 22,054,205 | ||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,492,450 | ||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,620,100 | ||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,521,434 | ||||||||||
3.166%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,170,070 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,575,000 | 16,230,540 | ||||||||||
3.125%, 01/23/2025 | 21,850,000 | 22,803,466 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 10,000,000 | 9,988,724 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 9,425,000 | 9,430,545 | ||||||||||
3.400%, 05/20/2026 | 21,575,000 | 22,475,075 | ||||||||||
KeyCorp, | ||||||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,314,582 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 59,675,000 | 59,654,749 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
6.500%, 03/15/2035 (2) | 750,000 | 978,908 | ||||||||||
3.951%, 10/15/2050 (2) | 900,000 | 936,141 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 375,000 | 534,104 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 2,575,000 | 2,716,312 | ||||||||||
Lincoln National Corp., | ||||||||||||
6.300%, 10/09/2037 | 2,190,000 | 2,834,944 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
5.800%, 01/13/2020 (1)(2) | 6,350,000 | 6,356,546 | ||||||||||
4.050%, 08/16/2023 (1) | 6,575,000 | 6,971,944 | ||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 21,520,000 | 21,844,386 | ||||||||||
3.750%, 01/11/2027 (1) | 7,800,000 | 8,204,341 | ||||||||||
4.375%, 03/22/2028 (1) | 15,000,000 | 16,544,829 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 21,550,000 | 22,517,276 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020 (1)(2) | 17,750,000 | 17,752,039 | ||||||||||
6.625%, 04/07/2021 (1)(2) | 275,000 | 289,582 | ||||||||||
4.875%, 06/10/2025 (1)(2) | 7,800,000 | 8,445,724 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 35,850,000 | 36,638,696 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 21,000,000 | 22,070,537 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
3.020%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 9,483,000 | 9,488,603 | ||||||||||
Manulife Financial Corp., | ||||||||||||
4.150%, 03/04/2026 (1) | 16,375,000 | 18,026,228 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,036,322 | ||||||||||
3.300%, 03/14/2023 | 6,875,000 | 7,113,322 | ||||||||||
3.750%, 03/14/2026 | 9,225,000 | 9,914,484 | ||||||||||
5.875%, 08/01/2033 | 3,729,000 | 4,862,558 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
7.625%, 11/15/2023 (2) | 3,184,000 | 3,632,204 | ||||||||||
3.729%, 10/15/2070 (2) | 19,253,000 | 18,618,792 | ||||||||||
4.900%, 04/01/2077 (2) | 8,000,000 | 9,658,489 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.261%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(9) | 700,000 | 479,013 | ||||||||||
MetLife, Inc.: | ||||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,185,232 | ||||||||||
4.050%, 03/01/2045 | 9,025,000 | 10,477,774 | ||||||||||
Metropolitan Life Insurance Co., | ||||||||||||
7.800%, 11/01/2025 (2) | 3,725,000 | 4,709,500 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 20,000,000 | 20,059,313 | ||||||||||
3.455%, 03/02/2023 (1) | 15,000,000 | 15,524,597 | ||||||||||
2.801%, 07/18/2024 (1) | 10,000,000 | 10,203,053 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.953%, 02/28/2022 (1) | 9,750,000 | 9,928,665 | ||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 5,066,377 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 9,000,000 | 9,456,216 | ||||||||||
2.555%, 09/13/2025 (3 Month LIBOR USD + 1.100%) (1)(3) | 20,000,000 | 20,005,775 | ||||||||||
3.170%, 09/11/2027 (1) | 24,650,000 | 25,395,768 | ||||||||||
Morgan Stanley: | ||||||||||||
3.125%, 01/23/2023 | 15,000,000 | 15,421,287 | ||||||||||
3.750%, 02/25/2023 | 1,000,000 | 1,047,210 | ||||||||||
3.336%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 10,000,000 | 10,215,860 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 25,000,000 | 26,122,426 | ||||||||||
3.700%, 10/23/2024 | 5,000,000 | 5,311,520 | ||||||||||
2.720%, 07/22/2025 (SOFR + 1.152%) (3) | 15,000,000 | 15,189,636 | ||||||||||
4.000%, 07/23/2025 | 2,500,000 | 2,705,161 | ||||||||||
3.875%, 01/27/2026 | 7,000,000 | 7,518,652 | ||||||||||
3.125%, 07/27/2026 | 13,175,000 | 13,603,727 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 15,350,000 | 16,321,860 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 1,150,000 | 1,189,717 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
3.933%, 08/02/2034 (5 Year CMT Rate + 1.880%) (1)(2)(3) | 5,000,000 | 5,196,968 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 14,500,000 | 15,012,375 | ||||||||||
3.900%, 07/21/2025 (1)(2) | 8,100,000 | 8,737,286 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 58,541,000 | 61,631,413 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 1,425,000 | 1,554,370 | ||||||||||
3.960%, 07/18/2030 (3 Month LIBOR USD + 1.855%) (1)(2)(3) | 10,125,000 | 10,877,776 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 8,000,000 | 8,332,600 | ||||||||||
Nationwide Financial Services, Inc.: | ||||||||||||
5.375%, 03/25/2021 (2) | 15,088,000 | 15,672,294 | ||||||||||
3.900%, 11/30/2049 (2) | 17,500,000 | 18,238,424 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
7.875%, 04/01/2033 (2) | 5,600,000 | 7,993,788 | ||||||||||
9.375%, 08/15/2039 (2) | 27,409,000 | 46,596,484 | ||||||||||
New England Mutual Life Insurance Co., | ||||||||||||
7.875%, 02/15/2024 (2) | 3,200,000 | 3,839,525 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 25,105,000 | 36,817,312 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 11,463,199 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
6.700%, 03/04/2020 (1) | 3,050,000 | 3,073,610 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 16,000,000 | 16,916,553 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 4,400,000 | 4,597,425 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,385,666 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,215,000 | 1,249,626 | ||||||||||
3.125%, 05/15/2023 | 3,675,000 | 3,772,712 | ||||||||||
Protective Life Corp., | ||||||||||||
4.300%, 09/30/2028 (2) | 4,105,000 | 4,444,157 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
3.878%, 03/27/2028 | 11,025,000 | 12,090,579 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 21,011,000 | 26,978,295 | ||||||||||
Raymond James Financial, Inc.: | ||||||||||||
3.625%, 09/15/2026 | 425,000 | 449,275 | ||||||||||
4.950%, 07/15/2046 | 15,000,000 | 17,538,607 | ||||||||||
Realty Income Corp., | ||||||||||||
3.875%, 04/15/2025 | 10,000,000 | 10,785,225 | ||||||||||
Regions Financial Corp.: | ||||||||||||
2.750%, 08/14/2022 | 14,900,000 | 15,169,423 | ||||||||||
3.800%, 08/14/2023 | 19,737,000 | 20,894,807 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020 (2) | 14,000,000 | 14,000,706 | ||||||||||
3.050%, 01/20/2021 (2) | 10,954,000 | 11,071,714 | ||||||||||
2.625%, 07/22/2022 (2) | 9,700,000 | 9,835,848 | ||||||||||
2.500%, 10/30/2024 (2) | 20,000,000 | 19,984,546 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 29,930,000 | 33,201,851 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 62,335,000 | 63,859,748 | ||||||||||
4.519%, 06/25/2024 (3 Month LIBOR USD + 1.550%) (1)(3) | 17,475,000 | 18,564,958 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 8,300,000 | 8,818,363 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 4,250,000 | 4,807,682 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 11,000,000 | 12,155,045 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.400%, 01/18/2023 | 5,750,000 | 5,895,738 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 08/05/2021 (1) | 9,375,000 | 9,462,357 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,329,531 | ||||||||||
Santander UK PLC: | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 36,375,000 | 39,112,728 | ||||||||||
4.000%, 03/13/2024 (1) | 7,700,000 | 8,231,628 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.550%, 04/15/2024 (1)(2) | 15,000,000 | 15,581,884 | ||||||||||
Societe Generale SA: | ||||||||||||
5.200%, 04/15/2021 (1)(2) | 10,100,000 | 10,504,622 | ||||||||||
3.250%, 01/12/2022 (1)(2) | 20,000,000 | 20,413,255 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 9,725,000 | 10,329,219 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 13,000,000 | 14,020,019 | ||||||||||
3.875%, 03/28/2024 (1) | 10,000,000 | 10,517,560 | ||||||||||
2.625%, 10/16/2024 (1)(2) | 14,575,000 | 14,579,860 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,975,000 | 23,093,380 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.250%, 04/17/2020 (1)(2) | 7,000,000 | 7,002,316 | ||||||||||
3.050%, 01/15/2021 (1)(2) | 14,000,000 | 14,089,185 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 17,600,000 | 18,226,130 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 25,500,000 | 26,527,636 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 14,000,000 | 18,009,256 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
3.500%, 12/01/2020 | 5,000,000 | 5,063,457 | ||||||||||
4.250%, 07/18/2024 | 19,615,000 | 20,885,455 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020 (1) | 13,025,000 | 13,027,774 | ||||||||||
3.000%, 01/18/2023 (1) | 2,500,000 | 2,556,864 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.784%, 07/12/2022 (1) | 13,325,000 | 13,555,605 | ||||||||||
3.102%, 01/17/2023 (1) | 16,125,000 | 16,539,561 | ||||||||||
2.696%, 07/16/2024 (1) | 10,400,000 | 10,549,520 | ||||||||||
2.448%, 09/27/2024 (1) | 20,000,000 | 20,051,106 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
3.689%, 08/02/2024 (3 Month LIBOR USD + 0.735%) (3) | 6,345,000 | 6,661,204 | ||||||||||
3.300%, 05/15/2026 | 28,734,000 | 29,906,924 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 7,025,000 | 7,066,547 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 16,825,000 | 17,207,883 | ||||||||||
4.250%, 08/15/2024 | 33,325,000 | 35,569,387 | ||||||||||
4.500%, 07/23/2025 | 12,795,000 | 13,805,934 | ||||||||||
3.700%, 08/04/2026 | 5,388,000 | 5,568,142 | ||||||||||
3.950%, 12/01/2027 | 23,000,000 | 24,174,637 | ||||||||||
Synovus Financial Corp., | ||||||||||||
3.125%, 11/01/2022 | 19,588,000 | 19,797,592 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 15,776,000 | 17,154,517 | ||||||||||
6.125%, 08/15/2043 (1) | 22,605,000 | 29,123,198 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.375%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 26,350,000 | 26,591,103 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 10,000,000 | 10,102,833 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 34,075,000 | 35,067,938 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 31,700,000 | 32,208,340 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
4.625%, 07/15/2035 | 12,175,000 | 14,789,226 | ||||||||||
Voya Financial, Inc., | ||||||||||||
3.650%, 06/15/2026 | 7,102,000 | 7,503,368 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.069%, 01/24/2023 | 12,000,000 | 12,247,633 | ||||||||||
3.157%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,177,900 | ||||||||||
3.000%, 02/19/2025 | 5,225,000 | 5,391,797 | ||||||||||
2.406%, 10/30/2025 (3 Month LIBOR USD + 0.825%) (3) | 10,000,000 | 10,009,424 | ||||||||||
3.000%, 04/22/2026 | 4,000,000 | 4,114,742 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
2.100%, 05/13/2021 (1) | 13,300,000 | 13,338,988 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 10,000,000 | 10,589,538 | ||||||||||
4.110%, 07/24/2034 (5 Year CMT Rate + 2.000%) (1)(3) | 10,000,000 | 10,483,443 | ||||||||||
Willis North America, Inc.: | ||||||||||||
2.950%, 09/15/2029 | 7,600,000 | 7,532,810 | ||||||||||
5.050%, 09/15/2048 | 15,000,000 | 17,695,943 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 20,329,000 | 21,189,515 | ||||||||||
Total Financials (Cost $4,373,403,685) | 4,570,412,610 | 19.1 | % | |||||||||
Total Corporate Bonds (Cost $10,625,992,062) | 11,173,248,978 | 46.7 | % |
Municipal Bonds | ||||||||||||
Bellevue Union School District, | ||||||||||||
5.000%, 08/01/2028 | 625,000 | 713,113 | ||||||||||
California Housing Finance Agency, | ||||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 11,290,000 | 11,358,869 | ||||||||||
California Qualified School Bond Joint Powers Authority: | ||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,851,970 | ||||||||||
7.155%, 03/01/2027 | 1,700,000 | 2,029,868 | ||||||||||
Camden County Improvement Authority, | ||||||||||||
7.747%, 07/01/2034 (Callable 07/01/2020) | 1,100,000 | 1,128,402 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,717,200 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,500,000 | 7,924,500 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,502,150 | ||||||||||
County of Hamilton OH, | ||||||||||||
3.756%, 06/01/2042 | 20,000,000 | 20,075,400 | ||||||||||
Hillsborough City School District: | ||||||||||||
0.000%, 09/01/2036 (Callable 09/01/2021) | 10,000,000 | 4,938,400 | ||||||||||
0.000%, 09/01/2042 (Callable 09/01/2021) | 10,000,000 | 3,673,200 | ||||||||||
Iowa Student Loan Liquidity Corp., | ||||||||||||
2.989%, 12/01/2039 (Callable 12/01/2029) | 5,600,000 | 5,389,888 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/31/2020) | 1,735,000 | 1,760,782 | ||||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
3.775%, 07/01/2035 (Callable 07/01/2029) | 10,000,000 | 10,178,900 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.100%, 07/01/2021 | 1,355,000 | 1,377,710 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 2,475,000 | 2,520,243 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
2.870%, 07/01/2032 (Callable 01/01/2024) | 2,795,000 | 2,812,133 | ||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 3,455,000 | 3,472,448 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,561,600 | ||||||||||
Public Finance Authority, | ||||||||||||
0.000%, 12/15/2027 | 17,000,000 | 12,864,580 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
2.913%, 10/01/2039 (Callable 10/01/2023) | 1,715,000 | 1,723,935 | ||||||||||
State of Illinois, | ||||||||||||
6.200%, 07/01/2021 | 7,955,000 | 8,244,960 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,384,722 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
4.000%, 04/01/2020 (Callable 01/31/2020) | 15,250,000 | 15,268,300 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 5,665,982 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,193,605 | ||||||||||
Total Municipal Bonds (Cost $131,233,775) | 135,332,860 | 0.6 | % |
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 80 | 80 | ||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 6,556 | 6,660 | ||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 3,311 | 3,366 | ||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 15,649 | 16,234 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 5,297 | 5,524 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 23,738 | 24,615 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 2,842 | 2,939 | ||||||||||
5.000%, 05/01/2021 | 4,093 | 4,230 | ||||||||||
6.000%, 06/01/2021 | 2,100 | 2,137 | ||||||||||
3.000%, 05/01/2027 | 3,958,062 | 4,064,121 | ||||||||||
6.500%, 12/01/2028 | 11,517 | 12,790 | ||||||||||
6.500%, 06/01/2029 | 4,709 | 5,230 | ||||||||||
3.000%, 10/01/2030 | 29,350,877 | 30,291,718 | ||||||||||
3.000%, 02/01/2032 | 45,348,975 | 46,804,789 | ||||||||||
3.500%, 05/01/2032 | 22,714,782 | 23,770,920 | ||||||||||
3.500%, 01/01/2034 | 22,579,070 | 23,626,918 | ||||||||||
5.000%, 03/01/2036 | 4,224,781 | 4,657,777 | ||||||||||
5.500%, 04/01/2037 | 89,756 | 100,805 | ||||||||||
5.500%, 04/01/2038 | 57,220 | 64,276 | ||||||||||
5.500%, 05/01/2038 | 95,501 | 107,245 | ||||||||||
5.500%, 01/01/2039 | 14,966,853 | 16,852,781 | ||||||||||
4.500%, 11/01/2039 | 1,980,976 | 2,151,947 | ||||||||||
4.500%, 11/01/2039 | 573,051 | 622,671 | ||||||||||
4.500%, 08/01/2040 | 1,953,088 | 2,122,146 | ||||||||||
4.500%, 08/01/2040 | 2,782,423 | 3,014,112 | ||||||||||
4.000%, 10/01/2040 | 19,937,624 | 21,394,945 | ||||||||||
4.000%, 01/01/2041 | 13,945,955 | 14,966,343 | ||||||||||
3.500%, 06/01/2042 | 3,835,884 | 4,044,926 | ||||||||||
3.500%, 06/01/2042 | 5,894,642 | 6,217,337 | ||||||||||
3.500%, 07/01/2042 | 22,751,625 | 24,024,762 | ||||||||||
3.500%, 07/01/2042 | 33,175,895 | 34,980,449 | ||||||||||
3.000%, 08/01/2042 | 18,928,081 | 19,514,547 | ||||||||||
3.500%, 09/01/2042 | 12,662,643 | 13,371,523 | ||||||||||
3.000%, 11/01/2042 | 44,589,629 | 45,971,795 | ||||||||||
3.500%, 12/01/2042 | 19,767,682 | 20,841,465 | ||||||||||
3.000%, 01/01/2043 | 32,483,844 | 33,501,426 | ||||||||||
3.000%, 02/01/2043 | 6,320,190 | 6,513,731 | ||||||||||
3.500%, 02/01/2043 | 13,672,415 | 14,434,758 | ||||||||||
3.000%, 03/01/2043 | 15,070,314 | 15,531,516 | ||||||||||
3.000%, 04/01/2043 | 13,059,313 | 13,458,113 | ||||||||||
3.000%, 04/01/2043 | 11,197,891 | 11,541,746 | ||||||||||
3.000%, 06/01/2043 | 10,494,893 | 10,806,041 | ||||||||||
3.000%, 08/01/2043 | 23,892,956 | 24,613,155 | ||||||||||
4.500%, 12/01/2043 | 10,573,617 | 11,497,083 | ||||||||||
3.500%, 05/01/2044 | 12,490,815 | 13,222,696 | ||||||||||
3.500%, 08/01/2044 | 23,048,660 | 24,149,149 | ||||||||||
3.500%, 08/01/2044 | 28,912,808 | 30,479,690 | ||||||||||
4.000%, 09/01/2044 | 12,022,975 | 12,793,256 | ||||||||||
4.000%, 10/01/2044 | 18,392,694 | 19,705,974 | ||||||||||
3.500%, 01/01/2045 | 21,059,693 | 22,210,094 | ||||||||||
4.000%, 02/01/2045 | 12,661,123 | 13,424,966 | ||||||||||
3.500%, 06/01/2045 | 24,179,050 | 25,597,381 | ||||||||||
3.500%, 07/01/2045 | 21,716,387 | 22,882,231 | ||||||||||
3.000%, 10/01/2045 | 31,929,432 | 32,902,342 | ||||||||||
4.000%, 10/01/2045 | 18,872,050 | 20,009,745 | ||||||||||
3.500%, 12/01/2045 | 24,287,069 | 25,387,543 | ||||||||||
4.000%, 12/01/2045 | 7,690,218 | 8,154,044 | ||||||||||
3.000%, 01/01/2046 | 82,755,581 | 85,442,065 | ||||||||||
3.500%, 01/01/2046 | 49,415,499 | 52,091,038 | ||||||||||
4.000%, 02/01/2046 | 22,701,652 | 24,315,718 | ||||||||||
4.000%, 02/01/2046 | 10,509,898 | 11,139,959 | ||||||||||
3.500%, 03/01/2046 | 6,306,910 | 6,676,686 | ||||||||||
4.000%, 05/01/2046 | 912,410 | 965,100 | ||||||||||
3.500%, 08/01/2046 | 74,431,342 | 78,795,553 | ||||||||||
4.000%, 08/01/2046 | 12,161,642 | 13,029,994 | ||||||||||
3.000%, 10/01/2046 | 66,147,162 | 67,932,227 | ||||||||||
3.000%, 10/01/2046 | 87,568,372 | 90,201,858 | ||||||||||
4.500%, 11/01/2046 | 70,436,527 | 76,434,505 | ||||||||||
4.000%, 01/01/2047 | 42,363,545 | 45,550,380 | ||||||||||
3.000%, 05/01/2047 | 73,107,140 | 75,078,965 | ||||||||||
3.500%, 08/01/2047 | 23,405,964 | 24,671,442 | ||||||||||
4.000%, 06/01/2048 | 64,272,696 | 69,677,707 | ||||||||||
4.000%, 08/01/2048 | 37,249,108 | 39,538,287 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 404 | 412 | ||||||||||
Series 136, Class E, 6.000%, 04/15/2021 | 1 | 1 | ||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 1,133 | 1,160 | ||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 2,921 | 3,016 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 1,033 | 1,067 | ||||||||||
3.000%, 04/01/2027 | 7,417,991 | 7,612,612 | ||||||||||
2.500%, 12/01/2027 | 11,432,146 | 11,584,895 | ||||||||||
5.000%, 05/01/2028 | 30,157 | 32,170 | ||||||||||
6.500%, 09/01/2028 | 8,135 | 9,029 | ||||||||||
6.500%, 02/01/2029 | 19,218 | 21,389 | ||||||||||
3.000%, 07/01/2029 | 16,177,549 | 16,655,623 | ||||||||||
4.500%, 07/01/2030 | 3,453,799 | 3,699,078 | ||||||||||
3.000%, 08/01/2030 | 23,528,152 | 24,269,164 | ||||||||||
3.000%, 01/01/2031 | 64,640,940 | 66,673,825 | ||||||||||
4.000%, 11/01/2031 | 15,911,905 | 16,946,879 | ||||||||||
3.500%, 01/01/2032 | 39,256,438 | 41,056,649 | ||||||||||
5.500%, 01/01/2032 | 7,714 | 8,416 | ||||||||||
2.500%, 07/01/2032 | 24,493,346 | 24,869,338 | ||||||||||
2.500%, 12/01/2032 | 91,158,183 | 92,386,438 | ||||||||||
3.500%, 09/01/2033 | 60,823,336 | 63,771,232 | ||||||||||
5.000%, 09/01/2033 | 10,668,888 | 11,758,412 | ||||||||||
4.500%, 10/01/2033 | 19,621,209 | 21,099,878 | ||||||||||
3.000%, 11/01/2033 | 96,719,781 | 100,180,867 | ||||||||||
4.000%, 01/01/2034 | 11,294,572 | 12,030,966 | ||||||||||
5.500%, 04/01/2034 | 609,041 | 685,181 | ||||||||||
4.000%, 09/01/2034 | 16,481,580 | 17,553,425 | ||||||||||
5.500%, 09/01/2034 | 27,451 | 30,896 | ||||||||||
5.000%, 02/01/2035 | 15,476,383 | 17,056,388 | ||||||||||
5.000%, 02/01/2035 | 10,731,758 | 11,825,213 | ||||||||||
5.500%, 02/01/2035 | 24,190 | 27,218 | ||||||||||
5.000%, 04/01/2035 | 1,090,801 | 1,202,309 | ||||||||||
5.000%, 07/01/2035 | 3,144,862 | 3,465,502 | ||||||||||
5.000%, 02/01/2036 | 1,935,795 | 2,133,886 | ||||||||||
5.000%, 03/01/2036 | 883,408 | 973,717 | ||||||||||
5.500%, 04/01/2036 | 2,852,909 | 3,210,402 | ||||||||||
4.000%, 05/01/2037 | 59,475,043 | 63,021,347 | ||||||||||
3.500%, 08/01/2037 | 37,752,217 | 39,209,709 | ||||||||||
2.500%, 04/01/2038 | 64,328,895 | 64,971,210 | ||||||||||
6.000%, 05/01/2038 | 4,573,822 | 5,244,150 | ||||||||||
4.500%, 04/01/2039 | 15,261,585 | 16,621,123 | ||||||||||
4.000%, 06/01/2039 | 10,471,543 | 11,185,996 | ||||||||||
5.000%, 06/01/2039 | 13,651,183 | 14,985,636 | ||||||||||
4.500%, 01/01/2040 | 7,133,098 | 7,740,659 | ||||||||||
4.500%, 01/01/2040 | 3,029,274 | 3,282,564 | ||||||||||
5.000%, 06/01/2040 | 11,577,106 | 12,685,858 | ||||||||||
4.000%, 08/01/2040 | 939,963 | 1,007,540 | ||||||||||
4.500%, 08/01/2040 | 4,070,718 | 4,420,237 | ||||||||||
4.500%, 08/01/2040 | 11,093,272 | 12,044,556 | ||||||||||
4.000%, 10/01/2040 | 1,668,287 | 1,789,024 | ||||||||||
4.000%, 11/01/2040 | 17,363,295 | 18,621,586 | ||||||||||
4.000%, 12/01/2040 | 3,626,076 | 3,908,396 | ||||||||||
3.500%, 01/01/2041 | 1,903,601 | 2,006,518 | ||||||||||
4.000%, 01/01/2041 | 3,667,842 | 3,934,322 | ||||||||||
3.500%, 02/01/2041 | 2,156,880 | 2,273,249 | ||||||||||
4.000%, 02/01/2041 | 361,760 | 388,007 | ||||||||||
4.500%, 02/01/2041 | 47,372,834 | 51,357,287 | ||||||||||
3.500%, 03/01/2041 | 14,714,046 | 15,507,629 | ||||||||||
4.000%, 03/01/2041 | 6,557,147 | 7,032,310 | ||||||||||
4.500%, 07/01/2041 | 4,749,169 | 5,155,720 | ||||||||||
3.500%, 09/01/2041 | 30,506,152 | 32,151,582 | ||||||||||
4.000%, 09/01/2041 | 2,862,610 | 3,070,328 | ||||||||||
3.500%, 11/01/2041 | 15,996,162 | 16,861,790 | ||||||||||
3.500%, 12/01/2041 | 2,885,903 | 3,041,672 | ||||||||||
4.000%, 12/01/2041 | 13,259,521 | 14,211,449 | ||||||||||
4.000%, 01/01/2042 | 24,753,306 | 26,541,987 | ||||||||||
4.500%, 01/01/2042 | 9,804,541 | 10,645,770 | ||||||||||
4.000%, 02/01/2042 | 21,758,784 | 23,296,325 | ||||||||||
3.000%, 04/01/2042 | 58,025,261 | 59,709,962 | ||||||||||
3.000%, 05/01/2042 | 3,390,475 | 3,493,029 | ||||||||||
3.500%, 05/01/2042 | 16,382,493 | 17,265,306 | ||||||||||
3.500%, 06/01/2042 | 6,337,225 | 6,680,131 | ||||||||||
3.500%, 07/01/2042 | 105,793,697 | 111,930,720 | ||||||||||
3.500%, 08/01/2042 | 10,116,652 | 10,664,104 | ||||||||||
3.500%, 09/01/2042 | 16,918,818 | 17,834,345 | ||||||||||
3.000%, 10/01/2042 | 17,106,886 | 17,700,829 | ||||||||||
3.000%, 03/01/2043 | 6,421,925 | 6,601,176 | ||||||||||
3.000%, 04/01/2043 | 2,141,091 | 2,205,173 | ||||||||||
3.000%, 05/01/2043 | 25,180,563 | 25,933,648 | ||||||||||
3.000%, 05/01/2043 | 7,310,592 | 7,530,516 | ||||||||||
3.500%, 05/01/2043 | 16,387,996 | 17,292,362 | ||||||||||
3.000%, 06/01/2043 | 27,251,333 | 28,064,788 | ||||||||||
3.500%, 06/01/2043 | 8,456,671 | 9,065,033 | ||||||||||
3.000%, 07/01/2043 | 21,280,779 | 21,926,221 | ||||||||||
4.000%, 07/01/2043 | 28,894,093 | 30,923,307 | ||||||||||
3.000%, 08/01/2043 | 7,834,875 | 8,062,184 | ||||||||||
3.500%, 09/01/2043 | 36,114,051 | 38,038,271 | ||||||||||
4.500%, 09/01/2043 | 15,190,429 | 16,491,802 | ||||||||||
4.000%, 01/01/2045 | 12,611,676 | 13,350,352 | ||||||||||
3.500%, 02/01/2045 | 47,749,304 | 50,321,183 | ||||||||||
4.000%, 02/01/2045 | 14,150,378 | 15,146,478 | ||||||||||
4.000%, 02/01/2045 | 7,107,106 | 7,615,157 | ||||||||||
4.000%, 02/01/2045 | 4,181,943 | 4,430,942 | ||||||||||
4.000%, 02/01/2045 | 19,040,490 | 20,348,535 | ||||||||||
4.000%, 03/01/2045 | 10,236,551 | 10,961,579 | ||||||||||
4.000%, 11/01/2045 | 42,630,674 | 44,898,736 | ||||||||||
3.500%, 12/01/2045 | 37,899,476 | 39,532,219 | ||||||||||
4.000%, 12/01/2045 | 54,639,075 | 57,888,226 | ||||||||||
4.000%, 12/01/2045 | 21,334,284 | 22,928,787 | ||||||||||
4.500%, 02/01/2046 | 28,590,604 | 31,017,529 | ||||||||||
4.500%, 08/01/2046 | 29,385,686 | 31,591,930 | ||||||||||
3.000%, 10/01/2046 | 27,211,944 | 27,946,181 | ||||||||||
3.500%, 11/01/2046 | 31,847,302 | 33,251,948 | ||||||||||
4.000%, 02/01/2047 | 21,845,732 | 22,999,836 | ||||||||||
4.000%, 03/01/2047 (8) | 28,876,267 | 31,029,700 | ||||||||||
4.000%, 03/01/2047 | 39,605,280 | 41,930,388 | ||||||||||
4.000%, 11/01/2047 | 16,603,552 | 17,457,064 | ||||||||||
3.500%, 12/01/2047 | 53,249,536 | 55,358,621 | ||||||||||
4.000%, 12/01/2047 | 85,872,102 | 90,200,215 | ||||||||||
3.500%, 05/01/2048 | 94,617,631 | 99,139,170 | ||||||||||
5.000%, 11/01/2048 | 37,829,946 | 41,708,004 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 14,671 | 16,325 | ||||||||||
6.500%, 01/20/2029 | 7,902 | 8,994 | ||||||||||
6.000%, 11/20/2033 | 10,731 | 12,245 | ||||||||||
5.000%, 07/20/2040 | 562,075 | 620,798 | ||||||||||
4.000%, 01/20/2041 | 8,851,308 | 9,389,558 | ||||||||||
4.000%, 08/20/2041 | 5,133,816 | 5,449,176 | ||||||||||
3.500%, 10/20/2041 | 9,341,935 | 9,872,022 | ||||||||||
4.000%, 12/20/2041 | 6,754,324 | 7,169,418 | ||||||||||
4.000%, 02/20/2042 | 13,155,828 | 13,964,839 | ||||||||||
4.000%, 06/20/2042 | 10,986,935 | 11,660,550 | ||||||||||
3.500%, 09/20/2042 | 7,394,310 | 7,784,652 | ||||||||||
4.000%, 09/20/2044 | 37,860,701 | 40,140,983 | ||||||||||
3.000%, 04/20/2045 | 14,961,048 | 15,454,490 | ||||||||||
3.500%, 04/20/2045 | 20,178,216 | 20,988,786 | ||||||||||
4.000%, 05/20/2045 | 15,760,774 | 16,672,989 | ||||||||||
3.500%, 06/20/2045 | 19,395,479 | 20,221,506 | ||||||||||
3.500%, 10/20/2045 | 65,110,297 | 68,117,768 | ||||||||||
4.500%, 01/20/2046 | 14,877,595 | 15,878,974 | ||||||||||
4.000%, 04/20/2046 | 22,191,256 | 23,331,950 | ||||||||||
4.000%, 05/20/2046 | 8,210,217 | 8,593,692 | ||||||||||
4.500%, 06/20/2047 | 27,296,873 | 29,070,987 | ||||||||||
4.500%, 07/20/2047 | 18,671,707 | 19,882,761 | ||||||||||
4.500%, 09/20/2047 | 97,135,285 | 102,831,940 | ||||||||||
3.500%, 02/20/2048 | 42,597,790 | 44,496,099 | ||||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 62,383,440 | 63,591,820 | ||||||||||
Total U.S. Government Agency Issues (Cost $4,319,025,650) | 4,432,763,485 | 18.5 | % |
Non-U.S. Government Agency Issues | ||||||||||||
ABFC Trust, | ||||||||||||
Series 2006-OPT1, Class A3C2, 1.942%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 6,118,153 | 6,017,725 | ||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 2.112%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 2,276,105 | 2,272,387 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 1.942%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 2,952,680 | 2,946,196 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 (6) | 152,023 | 148,091 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 55,036 | 55,092 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (6) | 21,143 | 20,847 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 176,242 | 174,179 | ||||||||||
Series 2006-J5, Class 3A1, 4.131%, 07/25/2021 (4) | 15,334 | 14,830 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 69,577 | 69,642 | ||||||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2025 (6) | 5,512,419 | 5,482,249 | ||||||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 3,663,601 | 3,772,538 | ||||||||||
Series 2005-6CB, Class 1A4, 5.500%, 04/25/2035 (6) | 13,287,080 | 13,193,492 | ||||||||||
Series 2005-29CB, Class A1, 5.500%, 07/25/2035 (6) | 2,504,510 | 2,203,469 | ||||||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035 (6) | 2,407,014 | 2,193,504 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 (6) | 353,374 | 353,944 | ||||||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036 (6) | 2,999,634 | 2,881,799 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 488,387 | 385,511 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 314 | 312 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 2.027%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 32,122,176 | 31,969,544 | ||||||||||
Arroyo Mortgage Trust: | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 4,633,127 | 4,687,045 | ||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 44,337,527 | 44,544,490 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE2, Class A1, 1.982%, 03/25/2036 (1 Month LIBOR USD + 0.190%) (3) | 13,738,626 | 13,687,234 | ||||||||||
Series 2006-HE6, Class A4, 1.952%, 11/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 502,506 | 496,195 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-6, Class 4A1, 5.000%, 05/01/2020 | 304,566 | 314,881 | ||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 (6) | 26,817 | 25,639 | ||||||||||
Series 2007-1, Class 1A1, 5.211%, 04/25/2022 (4) | 220,600 | 218,188 | ||||||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 2,017,924 | 2,116,692 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 34,658 | 34,936 | ||||||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035 (6) | 5,228,106 | 5,221,100 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 196,414 | 194,322 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2005-C, Class A1, 2.005%, 05/20/2035 (1 Month LIBOR USD + 0.240%) (3) | 4,702,962 | 4,705,946 | ||||||||||
Series 2007-C, Class 1A3, 4.366%, 05/20/2036 (4)(6) | 1,975,057 | 1,973,555 | ||||||||||
Series 2006-G, Class 1A1, 2.145%, 07/20/2036 (1 Month LIBOR USD + 0.380%) (3) | 27,344,841 | 27,119,506 | ||||||||||
Series 2007-C, Class 7A5, 2.065%, 05/20/2047 (1 Month LIBOR USD + 0.300%) (3)(6) | 2,388,045 | 2,354,443 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 (7) | 44,990 | 44,887 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 93,966 | 91,336 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2005-9, Class A1, 4.270%, 10/25/2035 (1 Year CMT Rate + 2.300%) (3) | 589,656 | 604,560 | ||||||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||||||
Series 2005-HE4, Class M2, 2.752%, 04/25/2035 (1 Month LIBOR USD + 0.960%) (3) | 3,716,260 | 3,723,565 | ||||||||||
Series 2007-HE5, Class 1A2, 1.972%, 11/25/2035 (1 Month LIBOR USD + 0.180%) (3) | 596,231 | 596,075 | ||||||||||
Series 2006-HE8, Class 21A2, 1.962%, 07/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 4,170,743 | 4,163,672 | ||||||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||||||
Series 2007-2, Class A2, 2.112%, 05/25/2037 (1 Month LIBOR USD + 0.320%) (3) | 1,144,434 | 1,151,118 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.572%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 2,060,183 | 2,065,179 | ||||||||||
Series 2007-HE1, Class A2, 1.942%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 793,829 | 790,945 | ||||||||||
Chase Mortgage Finance Trust: | ||||||||||||
Series 2005-A2, Class 1A5, 4.086%, 01/25/2036 (4)(6) | 802,756 | 793,874 | ||||||||||
Series 2006-A1, Class 2A3, 4.305%, 09/25/2036 (4)(6) | 585,277 | 556,458 | ||||||||||
Series 2007-A1, Class 3A1, 4.511%, 02/25/2037 (4) | 2,664,907 | 2,708,156 | ||||||||||
Series 2007-A1, Class 2A3, 4.690%, 02/25/2037 (4) | 1,154,722 | 1,182,281 | ||||||||||
CHL Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 341,370 | 327,474 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 4,239,633 | 4,302,250 | ||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 (6) | 1,103,767 | 1,081,182 | ||||||||||
Citicorp Residential Mortgage Trust: | ||||||||||||
Series 2007-1, Class A6, 5.297%, 03/25/2037 (7) | 18,619 | 19,134 | ||||||||||
Series 2007-2, Class A4, 5.059%, 06/25/2037 (7) | 8,723,495 | 8,748,473 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
Series 2018-RP2, Class A1, 3.500%, 02/25/2058 (2)(4) | 19,048,776 | 19,508,901 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-AR1, Class 1A1, 4.970%, 10/25/2035 (1 Year CMT Rate + 2.400%) (3) | 8,628,675 | 8,622,836 | ||||||||||
Series 2005-9, Class 22A2, 6.000%, 10/25/2035 (6) | 3,098,596 | 3,187,305 | ||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 64,224 | 64,212 | ||||||||||
Series 2007-AMC4, Class A2C, 1.962%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 1,263,372 | 1,259,282 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 252,018 | 222,917 | ||||||||||
Series 2006-23, Class 2A3, 1.962%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 1,829,781 | 1,824,255 | ||||||||||
Series 2006-22, Class 2A3, 1.952%, 01/25/2034 (1 Month LIBOR USD + 0.160%) (3) | 6,053,200 | 6,022,925 | ||||||||||
Series 2007-11, Class 2A3, 1.982%, 04/25/2034 (1 Month LIBOR USD + 0.190%) (3) | 5,538,898 | 5,490,418 | ||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 4,296 | 4,327 | ||||||||||
Series 2005-10, Class AF6, 4.414%, 12/25/2035 (4) | 153,994 | 156,915 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4)(6) | 472,527 | 443,728 | ||||||||||
Series 2006-13, Class 3AV2, 1.942%, 01/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 1,596,123 | 1,594,366 | ||||||||||
Series 2006-13, Class 1AF3, 4.275%, 01/25/2037 (4) | 14,775 | 14,815 | ||||||||||
Series 2007-9, Class 2A3, 1.972%, 06/25/2047 (1 Month LIBOR USD + 0.180%) (3) | 20,445,078 | 20,310,335 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 12,084 | 10,693 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2007-CB4, Class A1A, 1.882%, 04/25/2037 (1 Month LIBOR USD + 0.090%) (3) | 3,300,936 | 3,201,968 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2006-14, Class 2A2, 1.942%, 04/25/2033 (1 Month LIBOR USD + 0.150%) (3) | 108,812 | 108,779 | ||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 3,772 | 3,789 | ||||||||||
Series 2005-7, Class AF6, 4.693%, 08/25/2035 (4) | 20,118 | 20,299 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 211,060 | 198,756 | ||||||||||
Series 2006-18, Class 2A2, 1.952%, 03/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 3,694,652 | 3,666,039 | ||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust: | ||||||||||||
Series 2005-1, Class 1A1, 2.292%, 02/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 5,764,586 | 5,561,930 | ||||||||||
Series 2005-2, Class 1A7, 5.377%, 04/25/2035 (4) | 8,307,087 | 8,382,232 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FF3, Class A2B, 1.992%, 02/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 6,132,248 | 6,124,381 | ||||||||||
Series 2006-FF6, Class A4, 2.042%, 04/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 23,238,211 | 22,991,044 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 (6) | 27,762 | 27,302 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 (6) | 124,154 | 97,956 | ||||||||||
Series 2004-AA1, Class A1, 3.840%, 06/25/2034 (4) | 4,055,835 | 4,090,524 | ||||||||||
Series 2005-AA2, Class 2A1, 3.851%, 04/25/2035 (4) | 1,778,765 | 1,809,055 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2005-B, Class M4, 2.497%, 04/25/2035 (1 Month LIBOR USD + 0.705%) (3) | 1,270,694 | 1,271,661 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 93 | 94 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057 (2) | 59,856,108 | 61,844,408 | ||||||||||
GSAA Home Equity Trust: | ||||||||||||
Series 2004-6, Class A1, 2.592%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 1,166,682 | 1,161,828 | ||||||||||
Series 2005-14, Class 1A1, 2.042%, 12/25/2035 (1 Month LIBOR USD + 0.250%) (3) | 13,390,104 | 13,269,323 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-AHL2, Class A2C, 2.032%, 12/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 2,426,138 | 2,423,323 | ||||||||||
Series 2006-HE7, Class A2D, 2.022%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 1,147,501 | 1,142,935 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 24,603 | 22,666 | ||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 2,567,017 | 2,616,470 | ||||||||||
Series 2005-AR2, Class 2A1, 4.678%, 04/25/2035 (4) | 2,746,869 | 2,748,367 | ||||||||||
Home Equity Asset Trust, | ||||||||||||
Series 2004-7, Class A1, 2.512%, 01/25/2035 (1 Month LIBOR USD + 0.720%) (3) | 10,084,238 | 10,103,304 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-4, Class A1, 2.062%, 10/25/2035 (1 Month LIBOR USD + 0.270%) (3) | 3,811,507 | 3,857,738 | ||||||||||
HSI Asset Securitization Corp. Trust, | ||||||||||||
Series 2006-OPT4, Class 2A3, 1.952%, 03/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 2,221,110 | 2,212,596 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 48,640 | 48,443 | ||||||||||
Series 2006-A1, Class 2A1, 4.134%, 03/25/2036 (4)(6) | 74,291 | 70,352 | ||||||||||
Series 2007-S1, Class A1, 2.072%, 06/25/2037 (1 Month LIBOR USD + 0.280%) (3) | 5,961,728 | 5,734,310 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 (6) | 4,611 | 4,697 | ||||||||||
Series 2005-A8, Class 2A3, 3.912%, 11/25/2035 (4) | 4,915,644 | 4,739,663 | ||||||||||
Series 2006-A2, Class 2A1, 4.187%, 04/25/2036 (4)(6) | 1,227,210 | 1,202,948 | ||||||||||
Series 2006-A2, Class 3A3, 4.202%, 04/25/2036 (4)(6) | 1,441,770 | 1,319,356 | ||||||||||
Series 2006-A7, Class 2A2, 3.826%, 01/25/2037 (4)(6) | 2,018,737 | 1,961,121 | ||||||||||
Series 2006-A7, Class 2A4R, 3.826%, 01/25/2037 (4)(6) | 2,064,775 | 2,005,845 | ||||||||||
Series 2007-A2, Class 2A3, 4.324%, 04/25/2037 (4) | 4,000,187 | 3,727,760 | ||||||||||
Series 2007-A4, Class 2A3, 4.506%, 06/25/2037 (4) | 4,707,698 | 4,311,748 | ||||||||||
Luminent Mortgage Trust, | ||||||||||||
Series 2005-1, Class A1, 2.052%, 11/25/2035 (1 Month LIBOR USD + 0.260%) (3) | 7,807,942 | 7,721,371 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 1,483 | 1,478 | ||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 2,329,067 | 2,398,952 | ||||||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 1,804,915 | 1,886,577 | ||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 (6) | 2,288,848 | 2,161,230 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 2.392%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 1,492,138 | 1,493,901 | ||||||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||||||
Series 2005-A5, Class A3, 4.310%, 06/25/2035 (4) | 1,815,245 | 1,830,031 | ||||||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||||||
Series 2004-F, Class A1B, 2.412%, 12/25/2029 (1 Month LIBOR USD + 0.620%) (3) | 5,759,172 | 5,647,234 | ||||||||||
Mill City Mortgage Loan Trust: | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 30,965,658 | 31,574,985 | ||||||||||
Series 2018-3, Class A1, 3.500%, 08/25/2058 (2)(4) | 12,689,702 | 13,000,362 | ||||||||||
Series 2019-1, Class A1, 3.250%, 10/25/2069 (2)(4) | 28,191,908 | 28,712,570 | ||||||||||
Morgan Stanley Capital I, Inc. Trust, | ||||||||||||
Series 2006-HE2, Class A1, 1.962%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 5,679,941 | 5,627,290 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-4, Class A1, 2.072%, 10/25/2035 (1 Month LIBOR USD + 0.280%) (3) | 3,535,284 | 3,537,250 | ||||||||||
Series 2005-5, Class A1, 2.312%, 12/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 3,687,917 | 3,671,231 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.022%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 2,037,304 | 2,035,284 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2016-1A, Class A1, 3.750%, 03/25/2056 (2)(4) | 12,435,424 | 12,816,590 | ||||||||||
Series 2017-1A, Class A1, 4.000%, 02/25/2057 (2)(4) | 20,789,612 | 21,586,879 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 21,811,974 | 22,664,050 | ||||||||||
Series 2017-6A, Class A1, 4.000%, 08/25/2057 (2)(4) | 24,743,872 | 25,696,065 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 13,508,056 | 14,001,311 | ||||||||||
Series 2019-RPL2, Class A1, 3.250%, 02/25/2059 (2)(4) | 14,208,759 | 14,443,924 | ||||||||||
RALI Series Trust: | ||||||||||||
Series 2004-QS13, Class CB, 5.000%, 04/01/2020 | 25,540 | 25,384 | ||||||||||
Series 2005-QS5, Class A1, 2.192%, 04/25/2035 (1 Month LIBOR USD + 0.400%) (3)(6) | 2,230,353 | 1,779,895 | ||||||||||
Series 2005-QS11, Class A2, 2.292%, 07/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 4,040,283 | 3,350,625 | ||||||||||
Series 2005-QA7, Class A22, 4.446%, 07/25/2035 (4)(6) | 1,926,127 | 1,823,506 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032 (4) | 1,357,943 | 1,389,369 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2006-EMX2, Class A3, 2.092%, 02/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 1,512,665 | 1,513,001 | ||||||||||
Series 2007-KS1, Class A3, 1.942%, 11/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,671,987 | 1,659,836 | ||||||||||
Renaissance Home Equity Loan Trust: | ||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 (7) | 12,581 | 13,025 | ||||||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035 (7) | 790,745 | 822,292 | ||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 (7) | 15,248,755 | 8,335,901 | ||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 (7) | 10,220,553 | 5,265,778 | ||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 (7) | 278,331 | 121,746 | ||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,435,659 | 592,123 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2006-OPT4, Class 2A3, 1.942%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,540,857 | 1,539,371 | ||||||||||
Series 2006-EQ1, Class A3, 1.952%, 10/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 9,236,965 | 9,194,925 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 2.462%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,339,289 | 1,338,035 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2003-31A, Class 2A7, 3.989%, 10/25/2033 (4) | 1,101,597 | 1,123,408 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 17,061 | 17,498 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 4,157,661 | 4,178,585 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 73,251 | 73,067 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 8,942,773 | 9,020,990 | ||||||||||
Series 2016-4, Class A1, 2.250%, 07/25/2056 (2)(4) | 10,858,867 | 10,794,097 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 3,329,483 | 3,352,201 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 29,176,118 | 29,352,491 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 25,467,009 | 26,206,520 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 13,365,402 | 13,876,316 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 37,680,130 | 38,234,974 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 84,692,982 | 85,179,992 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 2,468,289 | 2,548,549 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 2,906,397 | 3,027,039 | ||||||||||
Series 2005-3, Class 1CB3, 2.242%, 05/25/2035 (1 Month LIBOR USD + 0.450%) (3)(6) | 5,296,670 | 4,498,580 | ||||||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 (6) | 5,815,033 | 5,711,024 | ||||||||||
Series 2007-HY3, Class 4A1, 4.212%, 08/25/2036 (4)(6) | 12,030,485 | 12,087,040 | ||||||||||
Series 2006-AR10, Class 1A1, 3.709%, 09/25/2036 (4)(6) | 900,389 | 867,399 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||||||
Series 2006-AR14, Class 2A3, 4.556%, 10/25/2036 (4)(6) | 1,819,784 | 1,850,594 | ||||||||||
Series 2007-7, Class A49, 6.000%, 06/25/2037 (6) | 3,095,706 | 3,028,761 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $977,619,630) | 983,925,884 | 4.1 | % |
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 | 31,101,342 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 64,407,000 | 66,809,787 | ||||||||||
Series K725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 15,491,997 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 70,410,786 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 59,391,000 | 62,635,566 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,951,000 | 87,738,442 | ||||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 47,455,273 | ||||||||||
Series K061, Class A2, 3.347%, 11/25/2026 (4) | 57,140,000 | 60,869,134 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 1,000,000 | 1,058,310 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 17,665,139 | ||||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 12,000,000 | 12,888,353 | ||||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 36,495,000 | 39,584,032 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 46,199,000 | 50,879,582 | ||||||||||
Series K079, Class A2, 3.926%, 06/25/2028 | 14,725,000 | 16,320,638 | ||||||||||
Series K080, Class A2, 3.926%, 07/25/2028 (4) | 37,520,000 | 41,585,003 | ||||||||||
Series K158, Class A3, 3.900%, 10/25/2033 (4) | 18,777,000 | 21,036,906 | ||||||||||
Total U.S. Government Agency Issues (Cost $624,616,635) | 643,530,290 | 2.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 30,037,000 | 32,192,302 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 60,056,751 | 63,915,199 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 32,737,000 | 34,946,725 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 2,774,365 | 2,919,709 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 50,189,111 | 51,867,877 | ||||||||||
Series 2015-GC29, Class A4, 3.192%, 04/10/2048 | 25,030,000 | 25,956,721 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
Series 2017-P8, Class A4, 3.465%, 09/16/2050 | 29,775,000 | 31,612,704 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 24,224,935 | 24,780,788 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 | 26,979,223 | 28,062,067 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 35,388,000 | 36,147,777 | ||||||||||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 14,680,000 | 15,039,638 | ||||||||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (4) | 11,500,000 | 12,240,498 | ||||||||||
Series 2014-CR18, Class A4, 3.550%, 07/17/2047 | 5,665,844 | 5,911,632 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 33,800,000 | 35,829,203 | ||||||||||
Series 2014-CR20, Class ASB, 3.305%, 11/13/2047 | 28,376,236 | 29,080,971 | ||||||||||
Series 2015-LC19, Class A4, 3.183%, 02/10/2048 | 25,900,399 | 26,854,132 | ||||||||||
Series 2015-DC1, Class A5, 3.350%, 02/12/2048 | 23,390,000 | 24,359,003 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 1,498,736 | 1,535,196 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 17,924,873 | 18,195,546 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 40,957,258 | 41,478,472 | ||||||||||
Series 2013-GC13, Class A4, 3.871%, 07/12/2046 (4) | 14,700,000 | 15,348,877 | ||||||||||
Series 2014-GC20, Class AAB, 3.655%, 04/12/2047 | 20,787,114 | 21,366,287 | ||||||||||
Series 2014-GC20, Class A5, 3.998%, 04/12/2047 | 5,651,000 | 5,996,835 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 31,025,000 | 31,727,375 | ||||||||||
Series 2013-LC11, Class A4, 2.694%, 04/17/2046 | 4,598,963 | 4,669,968 | ||||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/17/2047 | 2,177,958 | 2,185,537 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 12,574,962 | 12,678,650 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 8,221,127 | 8,676,990 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 8,714,507 | 9,201,203 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 11,827,795 | 12,125,735 | ||||||||||
Series 2014-C25, Class A5, 3.672%, 11/18/2047 | 45,697,000 | 48,356,054 | ||||||||||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 | 40,110,000 | 42,933,491 | ||||||||||
Series 2016-C4, Class A3, 3.141%, 12/17/2049 | 27,933,000 | 29,003,203 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 41,590,000 | 42,475,842 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 28,887,059 | 29,301,172 | ||||||||||
Series 2013-C10, Class A3, 3.966%, 07/17/2046 (4) | 41,814,587 | 44,017,271 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 14,142,209 | 14,884,205 | ||||||||||
Series 2014-C16, Class A5, 3.892%, 06/17/2047 | 35,020,000 | 37,052,428 | ||||||||||
Series 2015-C25, Class ASB, 3.383%, 10/19/2048 | 29,047,000 | 30,036,312 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 15,339,908 | ||||||||||
Series 2016-C35, Class ASB, 2.788%, 07/17/2048 | 11,425,000 | 11,627,565 | ||||||||||
Series 2016-BNK1, Class A3, 2.652%, 08/17/2049 | 7,452,000 | 7,509,209 | ||||||||||
Series 2017-RC1, Class A4, 3.631%, 01/15/2060 | 11,875,000 | 12,691,412 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2013-C11, Class A5, 3.071%, 03/17/2045 | 14,324,000 | 14,654,589 | ||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,291,000 | 19,612,120 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 22,050,000 | 23,341,731 | ||||||||||
Series 2014-C21, Class ASB, 3.393%, 08/16/2047 | 11,809,161 | 12,045,601 | ||||||||||
Series 2014-C24, Class A5, 3.607%, 11/18/2047 | 43,091,000 | 45,420,991 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 10,166,047 | 10,487,870 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $1,139,188,279) | 1,157,694,591 | 4.8 | % |
Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 8,213,000 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 78,038 | 80,433 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 42,511 | 43,716 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 29,300,000 | 30,757,335 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 28,641,000 | 29,766,016 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 7,813 | 7,924 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 32,525,000 | 32,916,627 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2018-A, Class A3, 2.930%, 05/20/2021 (2) | 25,299,497 | 25,368,967 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 4,560,127 | 4,567,555 | ||||||||||
Series 2017-5, Class A2, 2.780%, 09/25/2026 (2) | 25,041,917 | 25,133,222 | ||||||||||
SoFi Consumer Loan Program Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027 (2) | 190,886 | 190,950 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 16,745,000 | 17,075,983 | ||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 62,085,050 | 63,039,682 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 20,102,000 | 20,082,368 | ||||||||||
Total Asset Backed Securities (Cost $251,510,175) | 257,243,778 | 1.1 | % | |||||||||
COMMON STOCK | ||||||||||||
Energy | ||||||||||||
Weatherford International PLC (1) | 3,790,590 | 1,285,784 | ||||||||||
Total Common Stock (Cost $3,790,590) | 1,285,784 | 0.0 | % | |||||||||
Total Long-Term Investments (Cost $22,396,794,077) | 23,272,662,614 | 97.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 1.53% (5) | 635,096,045 | 635,096,045 | ||||||||||
Total Short-Term Investment (Cost $635,096,045) | 635,096,045 | 2.6 | % | |||||||||
Total Investments (Cost $23,031,890,122) | 23,907,758,659 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 17,051,166 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 23,924,809,825 | 100.0 | % |
Notes to Schedule of Investments | |||||||
LIBOR - London Inter-bank Offered Rate | |||||||
SOFR - Secured Overnight Financing Rate | |||||||
CMT - Constant Maturity Rate | |||||||
(1) | Foreign security. | ||||||
(2) | Security as defined in Rule 144(a) 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 December 31, 2019, the value of these securities total $4,377,341,972, which represents 18.30% of total net assets. | ||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 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 December 31, 2019. | ||||||
(8) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. | ||||||
(9) | Security in default. |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 4,253,199,019 | $ | – | $ | 4,253,199,019 | ||||||||
Other Government Related Securities | – | 234,437,945 | – | 234,437,945 | ||||||||||||
Corporate Bonds | – | 11,173,248,978 | – | 11,173,248,978 | ||||||||||||
Municipal Bonds | – | 135,332,860 | – | 135,332,860 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 4,432,763,485 | – | 4,432,763,485 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 983,925,884 | – | 983,925,884 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 643,530,290 | – | 643,530,290 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 1,157,694,591 | – | 1,157,694,591 | ||||||||||||
Asset Backed Securities | – | 257,243,778 | – | 257,243,778 | ||||||||||||
Common Stock | 1,285,784 | – | – | 1,285,784 | ||||||||||||
Total Long-Term Investments | 1,285,784 | 23,271,376,830 | – | 23,272,662,614 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 635,096,045 | – | – | 635,096,045 | ||||||||||||
Total Short-Term Investment | 635,096,045 | – | – | 635,096,045 | ||||||||||||
Total Investments | $ | 636,381,829 | $ | 23,271,376,830 | $ | – | $ | 23,907,758,659 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Housing Finance Authority, | ||||||||||||
1.500%, 11/01/2022 (Mandatory Tender Date 05/01/2022) (1) | $ | 775,000 | $ | 775,852 | ||||||||
Alabama Incentives Financing Authority, | ||||||||||||
5.000%, 09/01/2023 | 650,000 | 735,449 | ||||||||||
Alabama Special Care Facilities Financing Authority: | ||||||||||||
1.500%, 10/01/2027 (Mandatory Tender Date 05/01/2020) (1) | 320,000 | 320,288 | ||||||||||
1.850%, 11/15/2046 (Mandatory Tender Date 11/01/2022) (1) | 340,000 | 344,967 | ||||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 970,000 | 1,004,445 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 695,000 | 737,082 | ||||||||||
2.093%, 12/01/2048 (1 Month LIBOR USD + 0.900%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 1,500,000 | 1,500,630 | ||||||||||
Calera Waterworks Board, | ||||||||||||
2.400%, 02/01/2026 (Callable 01/31/2020) | 485,000 | 485,073 | ||||||||||
Chilton County Health Care Authority: | ||||||||||||
3.000%, 11/01/2021 | 560,000 | 572,326 | ||||||||||
5.000%, 11/01/2024 | 825,000 | 943,247 | ||||||||||
City of Opelika AL, | ||||||||||||
3.000%, 10/01/2022 | 445,000 | 464,447 | ||||||||||
City of Phenix City AL, | ||||||||||||
2.000%, 08/01/2023 (Callable 01/31/2020) | 885,000 | 885,549 | ||||||||||
County of Jefferson AL, | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 750,000 | 653,887 | ||||||||||
County of Morgan AL: | ||||||||||||
3.000%, 04/01/2022 | 135,000 | 139,537 | ||||||||||
4.000%, 04/01/2023 | 210,000 | 226,222 | ||||||||||
4.000%, 04/01/2024 | 220,000 | 241,336 | ||||||||||
Douglas Water Authority, | ||||||||||||
3.000%, 07/01/2024 (Insured by AGM) | 270,000 | 286,548 | ||||||||||
Greenville Public Improvement Cooperative District: | ||||||||||||
4.000%, 03/01/2022 (Insured by BAM) | 25,000 | 26,306 | ||||||||||
4.000%, 03/01/2023 (Insured by BAM) | 100,000 | 107,411 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 115,000 | 130,461 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 100,000 | 104,823 | ||||||||||
Lauderdale County Agriculture Center Authority: | ||||||||||||
2.000%, 07/01/2020 | 430,000 | 431,565 | ||||||||||
2.000%, 07/01/2021 | 440,000 | 444,413 | ||||||||||
2.000%, 07/01/2022 | 450,000 | 457,020 | ||||||||||
5.000%, 07/01/2024 | 495,000 | 573,255 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 490,000 | 567,650 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 545,000 | 629,181 | ||||||||||
5.000%, 07/01/2027 (Callable 07/01/2024) | 570,000 | 654,069 | ||||||||||
5.000%, 07/01/2028 (Callable 07/01/2024) | 600,000 | 684,060 | ||||||||||
Macon County Board of Education, | ||||||||||||
3.250%, 02/01/2026 (Callable 02/01/2023) | 375,000 | 387,791 | ||||||||||
Madison County Public Building Authority, | ||||||||||||
4.500%, 03/01/2035 (Pre-refunded to 03/01/2020) | 760,000 | 763,739 | ||||||||||
Mobile County Board of School Commissioners, | ||||||||||||
5.000%, 03/01/2023 | 875,000 | 968,144 | ||||||||||
Montgomery Waterworks & Sanitation, | ||||||||||||
5.000%, 03/01/2025 (Pre-refunded to 03/01/2022) | 150,000 | 162,626 | ||||||||||
Morgan County Board of Education: | ||||||||||||
2.500%, 03/01/2025 (Callable 03/01/2022) | 1,165,000 | 1,188,323 | ||||||||||
2.700%, 03/01/2027 (Callable 03/01/2022) | 865,000 | 882,811 | ||||||||||
Pickens County Water Authority: | ||||||||||||
3.000%, 01/01/2021 (Insured by BAM) | 145,000 | 146,981 | ||||||||||
3.000%, 01/01/2022 (Insured by BAM) | 145,000 | 148,825 | ||||||||||
3.000%, 01/01/2023 (Insured by BAM) | 155,000 | 160,850 | ||||||||||
3.000%, 01/01/2024 (Insured by BAM) | 100,000 | 104,843 | ||||||||||
3.000%, 01/01/2025 (Insured by BAM) | 160,000 | 169,256 | ||||||||||
Town of Berry AL, | ||||||||||||
3.250%, 09/01/2028 (Callable 09/01/2026)(Insured by AGM) | 1,040,000 | 1,091,917 | ||||||||||
West Escambia Utilities, Inc., | ||||||||||||
2.400%, 08/15/2025 (Callable 08/15/2022)(Insured by BAM) | 760,000 | 770,404 | ||||||||||
Total Alabama (Cost $21,904,387) | 22,073,609 | 2.2 | % |
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
3.750%, 12/01/2042 (Callable 06/01/2028) | 10,000,000 | 10,893,500 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,355,000 | 1,479,213 | ||||||||||
Alaska Industrial Development & Export Authority: | ||||||||||||
3.500%, 12/01/2020 (Callable 01/31/2020) | 750,000 | 750,900 | ||||||||||
5.000%, 10/01/2022 | 550,000 | 600,908 | ||||||||||
5.000%, 10/01/2023 | 600,000 | 674,016 | ||||||||||
Borough of Matanuska-Susitna AK, | ||||||||||||
5.250%, 09/01/2027 (Callable 09/01/2025) | 5,590,000 | 6,677,255 | ||||||||||
Total Alaska (Cost $21,026,684) | 21,075,792 | 2.1 | % | |||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
3.170%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/05/2022)(Mandatory Tender Date 02/01/2023) (2) | 100,000 | 103,238 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2020 (Insured by SD CRED PROG) | 160,000 | 161,971 | ||||||||||
5.000%, 11/01/2020 | 165,000 | 170,341 | ||||||||||
3.375%, 07/01/2021 | 185,000 | 187,988 | ||||||||||
4.000%, 07/01/2021 (Insured by SD CRED PROG) | 165,000 | 169,933 | ||||||||||
5.000%, 11/01/2021 | 225,000 | 239,731 | ||||||||||
2.500%, 05/01/2022 (Insured by AGM) | 12,415,443 | 12,491,426 | ||||||||||
4.000%, 05/01/2022 | 300,000 | 314,541 | ||||||||||
3.000%, 07/01/2022 | 100,000 | 101,078 | ||||||||||
5.000%, 11/01/2022 | 400,000 | 439,760 | ||||||||||
4.000%, 08/01/2023 | 705,000 | 718,881 | ||||||||||
5.000%, 11/01/2023 | 250,000 | 282,675 | ||||||||||
5.000%, 11/01/2024 | 500,000 | 580,440 | ||||||||||
5.000%, 05/01/2025 | 405,000 | 459,007 | ||||||||||
4.625%, 08/01/2028 | 375,000 | 401,711 | ||||||||||
0.530%, 02/01/2048 (Optional Put Date 01/01/2020) (1) | 4,500,000 | 4,500,000 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 885,000 | 968,544 | ||||||||||
Chandler Industrial Development Authority, | ||||||||||||
2.400%, 12/01/2035 (Mandatory Tender Date 08/14/2023) (1) | 215,000 | 222,557 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 50,000 | 50,907 | ||||||||||
Glendale Industrial Development Authority, | ||||||||||||
4.000%, 05/15/2026 (Callable 05/15/2024) | 115,000 | 126,987 | ||||||||||
Industrial Development Authority of the County of Pima: | ||||||||||||
4.950%, 10/01/2020 | 760,000 | 779,433 | ||||||||||
4.000%, 07/01/2021 | 245,000 | 251,960 | ||||||||||
4.000%, 07/01/2022 | 105,000 | 109,767 | ||||||||||
4.000%, 07/01/2023 | 265,000 | 281,091 | ||||||||||
La Paz County Industrial Development Authority, | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 101,816 | ||||||||||
Maricopa County Industrial Development Authority: | ||||||||||||
2.625%, 07/01/2021 | 40,000 | 39,922 | ||||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 135,000 | 148,986 | ||||||||||
5.000%, 01/01/2048 (Mandatory Tender Date 10/18/2024) (1) | 1,000,000 | 1,168,830 | ||||||||||
Salt Verde Financial Corp., | ||||||||||||
5.250%, 12/01/2026 | 2,500,000 | 3,033,150 | ||||||||||
Vistancia Community Facilities District, | ||||||||||||
5.000%, 07/15/2021 (Callable 07/15/2020) | 165,000 | 168,402 | ||||||||||
Total Arizona (Cost $28,657,070) | 28,775,073 | 2.8 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2026 (Callable 06/01/2023) | 200,000 | 217,242 | ||||||||||
City of Bentonville AR, | ||||||||||||
2.625%, 11/01/2027 (Callable 11/01/2025) | 20,000 | 21,507 | ||||||||||
City of Conway AR, | ||||||||||||
4.000%, 12/01/2023 (Callable 06/01/2022) | 35,000 | 37,273 | ||||||||||
City of Fayetteville AR: | ||||||||||||
1.750%, 11/01/2032 (Callable 11/01/2026) | 2,500,000 | 2,507,425 | ||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 665,000 | 683,221 | ||||||||||
City of Heber Springs AR: | ||||||||||||
3.000%, 11/01/2021 (Insured by BAM) | 55,000 | 56,804 | ||||||||||
3.000%, 11/01/2022 (Insured by BAM) | 50,000 | 52,136 | ||||||||||
3.000%, 11/01/2023 (Insured by BAM) | 40,000 | 42,109 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by BAM) | 255,000 | 278,774 | ||||||||||
City of Jacksonville AR, | ||||||||||||
4.000%, 12/01/2025 (Callable 06/01/2021) | 110,000 | 114,393 | ||||||||||
City of Little Rock AR: | ||||||||||||
3.000%, 10/01/2021 | 100,000 | 103,255 | ||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 915,000 | 932,028 | ||||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 20,000 | 20,076 | ||||||||||
City of Lonoke AR, | ||||||||||||
5.000%, 06/01/2023 | 160,000 | 179,555 | ||||||||||
City of Magnolia AR, | ||||||||||||
2.600%, 08/01/2036 (Callable 08/01/2024)(Insured by BAM) | 465,000 | 465,079 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 275,000 | 279,856 | ||||||||||
City of Maumelle AR, | ||||||||||||
2.875%, 08/01/2038 (Callable 08/01/2025) | 485,000 | 496,024 | ||||||||||
City of North Little Rock AR: | ||||||||||||
5.000%, 11/01/2021 | 310,000 | 330,004 | ||||||||||
5.000%, 11/01/2024 | 305,000 | 353,605 | ||||||||||
5.000%, 11/01/2025 | 510,000 | 604,436 | ||||||||||
5.000%, 11/01/2026 | 535,000 | 645,970 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 550,000 | 575,790 | ||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,785,000 | 1,870,823 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 405,000 | 421,504 | ||||||||||
City of Springdale AR: | ||||||||||||
5.000%, 11/01/2025 (Callable 11/01/2022) | 150,000 | 165,042 | ||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 805,000 | 821,712 | ||||||||||
Conway Health Facilities Board: | ||||||||||||
5.000%, 08/01/2021 | 450,000 | 472,504 | ||||||||||
5.000%, 08/01/2023 | 500,000 | 553,580 | ||||||||||
5.000%, 08/01/2024 | 410,000 | 464,239 | ||||||||||
County of Cross AR, | ||||||||||||
2.250%, 10/01/2030 (Callable 10/01/2024) | 1,525,000 | 1,537,459 | ||||||||||
Dumas Arkansas School District No. 6: | ||||||||||||
1.400%, 02/01/2022 (Insured by ST AID) | 235,000 | 234,654 | ||||||||||
1.450%, 02/01/2023 (Callable 08/01/2022)(Insured by ST AID) | 245,000 | 244,677 | ||||||||||
1.500%, 02/01/2024 (Callable 08/01/2022)(Insured by ST AID) | 245,000 | 244,694 | ||||||||||
Foreman School District No. 25, | ||||||||||||
2.250%, 02/01/2024 (Callable 01/31/2020)(Insured by ST AID) | 250,000 | 250,117 | ||||||||||
Lonoke White Public Water Authority, | ||||||||||||
3.000%, 12/01/2022 (Insured by BAM) | 100,000 | 103,758 | ||||||||||
National Park College District: | ||||||||||||
3.000%, 05/01/2021 | 210,000 | 214,236 | ||||||||||
3.000%, 05/01/2022 | 115,000 | 118,926 | ||||||||||
3.000%, 05/01/2023 | 65,000 | 67,913 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2024 (Callable 09/01/2022)(Insured by BAM) | 375,000 | 400,950 | ||||||||||
Pulaski County Special School District, | ||||||||||||
3.250%, 02/01/2029 (Pre-refunded to 02/01/2021)(Insured by ST AID) | 50,000 | 51,121 | ||||||||||
Siloam Springs School District No. 21, | ||||||||||||
3.000%, 06/01/2022 (Callable 01/31/2020)(Insured by ST AID) | 500,000 | 500,590 | ||||||||||
Southern Arkansas University: | ||||||||||||
4.000%, 03/01/2023 (Insured by AGM) | 465,000 | 499,461 | ||||||||||
4.000%, 03/01/2023 (Insured by AGM) | 235,000 | 252,416 | ||||||||||
4.000%, 03/01/2024 (Insured by AGM) | 245,000 | 268,434 | ||||||||||
4.000%, 03/01/2024 (Insured by AGM) | 175,000 | 191,739 | ||||||||||
Van Buren School District No. 42: | ||||||||||||
2.000%, 04/01/2022 (Insured by ST AID) | 250,000 | 252,958 | ||||||||||
2.000%, 04/01/2024 (Insured by ST AID) | 130,000 | 132,254 | ||||||||||
Total Arkansas (Cost $18,995,823) | 19,332,323 | 1.9 | % |
California | ||||||||||||
Allan Hancock Joint Community College District, | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2022) | 225,000 | 101,092 | ||||||||||
Beaumont Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2026)(Insured by AGM) (5) | 150,000 | 187,139 | ||||||||||
California Health Facilities Financing Authority, | ||||||||||||
5.000%, 04/01/2020 | 65,000 | 65,561 | ||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
1.750%, 08/01/2055 (Callable 02/01/2026)(Mandatory Tender Date 08/01/2026) (1) | 1,000,000 | 1,002,330 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
5.000%, 08/01/2020 | 580,000 | 590,341 | ||||||||||
5.000%, 08/01/2021 | 400,000 | 417,076 | ||||||||||
5.000%, 08/01/2021 | 610,000 | 638,957 | ||||||||||
5.000%, 08/01/2022 | 400,000 | 426,872 | ||||||||||
5.000%, 08/01/2022 | 640,000 | 688,160 | ||||||||||
5.000%, 08/01/2023 | 670,000 | 737,596 | ||||||||||
California State University, | ||||||||||||
4.000%, 11/01/2049 (Callable 05/01/2021)(Mandatory Tender Date 11/01/2021) (1) | 75,000 | 77,818 | ||||||||||
California Statewide Communities Development Authority: | ||||||||||||
6.000%, 01/01/2021 (ETM) | 240,000 | 245,688 | ||||||||||
3.500%, 11/01/2021 (Callable 01/21/2020)(Insured by CA MTG) | 70,000 | 70,139 | ||||||||||
3.000%, 07/01/2026 (Callable 01/01/2021)(Insured by CA MTG) | 625,000 | 635,287 | ||||||||||
4.250%, 04/01/2028 (Insured by NATL) (1) | 400,000 | 400,000 | ||||||||||
Centinela Valley Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2022)(Insured by AGM) | 330,000 | 133,010 | ||||||||||
Central School District, | ||||||||||||
0.000%, 08/01/2051 (Callable 08/01/2022) | 400,000 | 66,188 | ||||||||||
Ceres Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Pre-refunded to 08/01/2020) | 300,000 | 111,099 | ||||||||||
City of Redding CA, | ||||||||||||
2.502%, 07/01/2022 (ETM)(Insured by NATL) (1) | 95,000 | 95,000 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 105,000 | 99,231 | ||||||||||
Corona-Norco Unified School District, | ||||||||||||
0.000%, 08/01/2024 (5) | 30,000 | 32,535 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 2,490,000 | 2,727,720 | ||||||||||
Emery Unified School District, | ||||||||||||
0.000%, 08/01/2041 | 505,000 | 185,360 | ||||||||||
Folsom Cordova Unified School District School Facilities Improvement Dist No. 3, | ||||||||||||
0.000%, 10/01/2020 (Insured by AGC) | 220,000 | 217,936 | ||||||||||
Fresno Unified School District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2021) | 200,000 | 133,536 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2021) | 225,000 | 140,020 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2021) | 65,000 | 34,968 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2023)(Insured by BAM) | 35,000 | 18,879 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2021) | 310,000 | 133,675 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2023)(Insured by BAM) | 610,000 | 306,970 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2021) | 100,000 | 40,120 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2023)(Insured by BAM) | 400,000 | 187,876 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 150,000 | 65,718 | ||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 165,000 | 67,450 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2023)(Insured by BAM) | 650,000 | 215,176 | ||||||||||
0.000%, 08/01/2040 (Callable 08/01/2023)(Insured by BAM) | 805,000 | 248,310 | ||||||||||
0.000%, 08/01/2041 | 1,295,000 | 319,762 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2021) | 975,000 | 240,747 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 286,760 | ||||||||||
0.000%, 08/01/2044 (Callable 08/01/2023) | 1,000,000 | 227,920 | ||||||||||
Glendale Unified School District: | ||||||||||||
0.000%, 09/01/2030 (Callable 09/01/2021) | 350,000 | 192,980 | ||||||||||
0.000%, 09/01/2041 (Callable 09/01/2021) | 500,000 | 123,640 | ||||||||||
Golden State Tobacco Securitization Corp.: | ||||||||||||
5.000%, 06/01/2022 | 135,000 | 146,063 | ||||||||||
5.000%, 06/01/2023 | 590,000 | 656,476 | ||||||||||
Healdsburg Unified School District, | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2022) | 90,000 | 52,515 | ||||||||||
Lemoore Union High School District, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 30,000 | 29,049 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2021)(Insured by AGM) | 65,000 | 23,265 | ||||||||||
Merced Union High School District, | ||||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2021) | 100,000 | 16,480 | ||||||||||
Morongo Unified School District, | ||||||||||||
0.000%, 08/01/2039 (Pre-refunded to 08/01/2022) | 170,000 | 59,148 | ||||||||||
Piedmont Unified School District: | ||||||||||||
0.000%, 08/01/2029 (Callable 08/01/2023) | 200,000 | 135,870 | ||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023) | 975,000 | 422,390 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2035 (Pre-refunded to 09/01/2021)(Insured by AGM) | 200,000 | 68,748 | ||||||||||
Ripon Unified School District: | ||||||||||||
0.000%, 08/01/2025 (Callable 08/01/2023)(Insured by BAM) | 60,000 | 52,273 | ||||||||||
0.000%, 08/01/2026 (Callable 08/01/2023)(Insured by BAM) | 35,000 | 28,957 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 585,000 | 290,388 | ||||||||||
Sacramento City Unified School District: | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2022) | 115,000 | 124,954 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 725,000 | 825,949 | ||||||||||
0.000%, 07/01/2026 (Insured by AGM) | 300,000 | 262,806 | ||||||||||
San Joaquin Hills Transportation Corridor Agency, | ||||||||||||
0.000%, 01/15/2025 (Insured by NATL) | 85,000 | 76,225 | ||||||||||
San Mateo Union High School District: | ||||||||||||
0.000%, 09/01/2033 (Callable 09/01/2021) | 100,000 | 44,000 | ||||||||||
5.000%, 12/15/2043 (Pre-refunded to 12/15/2024)(Insured by AMBAC) (5) | 480,000 | 574,037 | ||||||||||
San Ysidro School District, | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 300,000 | 61,833 | ||||||||||
State of California, | ||||||||||||
1.934%, 12/01/2028 (1 Month LIBOR USD + 0.700%) (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (2) | 100,000 | 100,186 | ||||||||||
Sutter Union High School District, | ||||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 250,000 | 38,103 | ||||||||||
Twin Rivers Unified School District: | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 02/01/2024)(Insured by BAM) | 200,000 | 92,958 | ||||||||||
0.000%, 08/01/2036 (Pre-refunded to 02/01/2024)(Insured by BAM) | 85,000 | 36,907 | ||||||||||
University of California, | ||||||||||||
1.400%, 05/15/2046 (Callable 11/15/2020)(Mandatory Tender Date 05/15/2021) (1) | 330,000 | 331,277 | ||||||||||
Vallejo City Unified School District, | ||||||||||||
5.900%, 08/01/2025 (Insured by NATL) | 500,000 | 578,410 | ||||||||||
Victor Valley Union High School District, | ||||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2023) | 1,000,000 | 291,310 | ||||||||||
Westminster School District: | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 190,000 | 79,572 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2023)(Insured by BAM) | 260,000 | 94,848 | ||||||||||
0.000%, 08/01/2048 (Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 170,940 | ||||||||||
0.000%, 08/01/2053 (Callable 08/01/2023)(Insured by BAM) | 255,000 | 29,598 | ||||||||||
Total California (Cost $18,387,239) | 18,732,177 | 1.8 | % |
Colorado | ||||||||||||
Bromley Park Metropolitan District No. 2: | ||||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 200,000 | 232,074 | ||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 315,000 | 373,250 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
4.000%, 06/01/2020 | 100,000 | 101,148 | ||||||||||
4.000%, 10/01/2020 | 125,000 | 127,275 | ||||||||||
5.000%, 10/01/2020 | 435,000 | 445,562 | ||||||||||
5.000%, 12/01/2020 | 300,000 | 309,657 | ||||||||||
4.000%, 11/01/2021 | 50,000 | 52,309 | ||||||||||
4.000%, 12/01/2021 | 100,000 | 105,118 | ||||||||||
5.000%, 12/01/2021 | 80,000 | 85,208 | ||||||||||
4.000%, 03/01/2022 | 45,000 | 47,440 | ||||||||||
5.000%, 12/01/2022 | 200,000 | 219,314 | ||||||||||
4.000%, 04/01/2023 | 130,000 | 135,177 | ||||||||||
5.250%, 03/01/2025 (Insured by NATL) | 540,000 | 629,073 | ||||||||||
4.000%, 12/15/2025 | 800,000 | 851,904 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2020 | 130,000 | 131,456 | ||||||||||
5.000%, 12/01/2023 (Callable 12/01/2022) | 1,000,000 | 1,097,000 | ||||||||||
5.000%, 05/15/2025 (Callable 05/15/2023) | 320,000 | 347,936 | ||||||||||
4.000%, 12/01/2026 (Pre-refunded to 06/01/2022) | 1,535,000 | 1,640,623 | ||||||||||
5.000%, 11/15/2036 (Mandatory Tender Date 11/15/2023) (1) | 145,000 | 165,425 | ||||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 1,740,000 | 1,876,085 | ||||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 180,000 | 201,379 | ||||||||||
2.800%, 05/15/2042 (Callable 11/15/2022)(Mandatory Tender Date 05/15/2023) (1) | 1,745,000 | 1,806,825 | ||||||||||
5.625%, 06/01/2043 (Pre-refunded to 06/01/2023) | 1,080,000 | 1,242,767 | ||||||||||
5.000%, 11/15/2048 (Mandatory Tender Date 11/20/2025) (1) | 60,000 | 72,239 | ||||||||||
5.000%, 08/01/2049 (Callable 02/01/2025)(Mandatory Tender Date 08/01/2025) (1) | 5,500,000 | 6,354,150 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
1.450%, 04/01/2022 | 60,000 | 60,103 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 395,000 | 423,977 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028)(Insured by GNMA) | 995,000 | 1,102,440 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 120,000 | 120,570 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2020 (Insured by NATL) | 135,000 | 133,893 | ||||||||||
0.000%, 09/01/2022 (Insured by NATL) | 30,000 | 28,867 | ||||||||||
0.000%, 09/01/2028 (Callable 09/01/2020)(Insured by NATL) | 200,000 | 126,558 | ||||||||||
2.243%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 400,000 | 403,348 | ||||||||||
High Plains Metropolitan District, | ||||||||||||
4.000%, 12/01/2022 (Insured by NATL) | 420,000 | 454,650 | ||||||||||
Lincoln Park Metropolitan District, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 150,000 | 165,229 | ||||||||||
Lyons Regional Library District, | ||||||||||||
3.000%, 12/01/2020 | 30,000 | 30,436 | ||||||||||
Regional Transportation District: | ||||||||||||
5.500%, 06/01/2022 (Pre-refunded to 06/01/2020) | 50,000 | 50,906 | ||||||||||
5.000%, 06/01/2025 (Pre-refunded to 06/01/2020) | 100,000 | 101,607 | ||||||||||
Southlands Metropolitan District No. 1: | ||||||||||||
3.000%, 12/01/2022 | 182,000 | 184,386 | ||||||||||
3.000%, 12/01/2022 | 100,000 | 101,302 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2020 | 125,000 | 128,459 | ||||||||||
Tallyns Reach Metropolitan District No. 3, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 30,000 | 33,879 | ||||||||||
Vauxmont Metropolitan District: | ||||||||||||
5.000%, 12/15/2025 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 145,296 | ||||||||||
5.000%, 12/15/2026 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 156,592 | ||||||||||
5.000%, 12/15/2027 (Callable 12/15/2024)(Insured by AGM) | 130,000 | 150,345 | ||||||||||
Vista Ridge Metropolitan District, | ||||||||||||
4.500%, 12/01/2024 (Insured by BAM) | 200,000 | 225,552 | ||||||||||
Total Colorado (Cost $22,677,657) | 22,978,789 | 2.3 | % |
Connecticut | ||||||||||||
City of Bridgeport CT: | ||||||||||||
5.000%, 02/01/2022 (Insured by BAM) | 250,000 | 268,303 | ||||||||||
5.000%, 02/01/2024 (Insured by BAM) | 475,000 | 540,887 | ||||||||||
City of Hartford CT: | ||||||||||||
5.000%, 04/01/2020 (ETM)(Insured by ST AID) | 200,000 | 201,786 | ||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 1,000,000 | 1,084,770 | ||||||||||
City of New Haven CT, | ||||||||||||
5.000%, 08/15/2022 (ETM)(Insured by AGM) | 520,000 | 572,161 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
3.000%, 05/15/2025 (Callable 05/15/2021) | 825,000 | 840,131 | ||||||||||
4.000%, 11/15/2044 (Callable 11/15/2023) | 130,000 | 136,088 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2027) | 215,000 | 233,266 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,600,000 | 1,780,016 | ||||||||||
2.600%, 11/15/2058 (Callable 01/31/2020)(Mandatory Tender Date 11/15/2021) (1) | 750,000 | 750,840 | ||||||||||
1.625%, 11/15/2059 (Callable 11/15/2020)(Mandatory Tender Date 11/15/2022) (1) | 2,500,000 | 2,503,500 | ||||||||||
Connecticut Municipal Electric Energy Cooperative, | ||||||||||||
5.000%, 01/01/2030 (Callable 01/01/2022) | 500,000 | 533,935 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
5.000%, 07/01/2020 | 1,250,000 | 1,273,350 | ||||||||||
5.000%, 07/01/2021 | 750,000 | 791,625 | ||||||||||
4.000%, 11/01/2021 | 100,000 | 104,804 | ||||||||||
5.000%, 07/01/2022 | 1,300,000 | 1,418,300 | ||||||||||
5.000%, 07/01/2023 | 500,000 | 562,165 | ||||||||||
5.000%, 07/01/2024 | 800,000 | 924,200 | ||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 445,000 | 490,145 | ||||||||||
5.000%, 07/01/2028 (Callable 07/01/2024) | 630,000 | 719,731 | ||||||||||
1.650%, 07/01/2029 (Mandatory Tender Date 02/03/2020) (1) | 100,000 | 100,042 | ||||||||||
5.000%, 07/01/2037 (Mandatory Tender Date 07/01/2020) (1) | 35,000 | 35,673 | ||||||||||
2.161%, 07/01/2049 (1 Month LIBOR USD + 0.950%) (Callable 01/31/2020)(Mandatory Tender Date 07/01/2020) (2) | 200,000 | 200,104 | ||||||||||
Southeastern Connecticut Water Authority, | ||||||||||||
4.000%, 09/01/2022 (Callable 01/31/2020)(Insured by ST AID) | 265,000 | 265,604 | ||||||||||
State of Connecticut: | ||||||||||||
4.000%, 11/01/2020 | 225,000 | 230,247 | ||||||||||
5.000%, 11/01/2020 | 150,000 | 154,730 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 1,000,000 | 1,129,550 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2021 (Insured by BAM) | 415,000 | 432,455 | ||||||||||
Town of Plainfield CT, | ||||||||||||
3.375%, 07/15/2026 (Callable 07/15/2024) | 275,000 | 296,120 | ||||||||||
Town of Plymouth CT, | ||||||||||||
3.000%, 10/15/2027 (Callable 10/15/2024)(Insured by BAM) | 300,000 | 317,751 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2022) | 760,000 | 836,562 | ||||||||||
Total Connecticut (Cost $19,487,313) | 19,728,841 | 1.9 | % | |||||||||
Delaware | ||||||||||||
Delaware Municipal Electric Corp.: | ||||||||||||
5.000%, 10/01/2024 (Insured by BAM) | 230,000 | 265,836 | ||||||||||
5.000%, 10/01/2025 (Insured by BAM) | 140,000 | 165,360 | ||||||||||
Delaware State Housing Authority, | ||||||||||||
2.600%, 07/01/2043 (Callable 06/01/2023)(Insured by GNMA) | 182,892 | 185,273 | ||||||||||
Total Delaware (Cost $602,276) | 616,469 | 0.1 | % |
District of Columbia | ||||||||||||
District of Columbia: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2022) | 310,000 | 343,865 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2022) | 330,000 | 354,344 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,618 | ||||||||||
1.250%, 03/01/2023 (Mandatory Tender Date 03/01/2022)(Insured by FNMA) (1) | 1,700,000 | 1,695,954 | ||||||||||
3.500%, 06/15/2023 | 335,000 | 346,474 | ||||||||||
2.550%, 09/01/2023 (Mandatory Tender Date 03/01/2022)(Insured by FHA) (1) | 1,000,000 | 1,022,410 | ||||||||||
1.750%, 09/01/2025 (Mandatory Tender Date 09/01/2023)(Insured by FHA) (1) | 3,760,000 | 3,808,090 | ||||||||||
Total District of Columbia (Cost $7,637,079) | 7,721,755 | 0.8 | % | |||||||||
Florida | ||||||||||||
Broward County Housing Finance Authority, | ||||||||||||
1.200%, 08/01/2022 (Mandatory Tender Date 08/01/2021) (1) | 4,000,000 | 3,993,080 | ||||||||||
Capital Trust Agency, Inc.: | ||||||||||||
4.000%, 12/15/2024 | 280,000 | 294,837 | ||||||||||
4.000%, 11/01/2025 (Pre-refunded to 11/01/2022) | 240,000 | 253,639 | ||||||||||
4.250%, 12/01/2042 (Pre-refunded to 12/01/2022) | 50,000 | 56,607 | ||||||||||
City of Auburndale FL, | ||||||||||||
5.250%, 12/01/2023 | 1,010,000 | 1,164,257 | ||||||||||
City of Boynton Beach FL, | ||||||||||||
4.500%, 11/01/2022 (Callable 11/01/2021)(Insured by AGM) | 130,000 | 137,580 | ||||||||||
City of Gulf Breeze FL, | ||||||||||||
3.100%, 12/01/2020 | 75,000 | 76,129 | ||||||||||
City of Jacksonville FL: | ||||||||||||
5.000%, 11/01/2022 | 100,000 | 109,852 | ||||||||||
1.300%, 08/01/2036 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
City of Melbourne FL, | ||||||||||||
0.000%, 10/01/2023 (Insured by NATL) | 100,000 | 94,619 | ||||||||||
City of Port St. Lucie FL: | �� | |||||||||||
5.000%, 09/01/2021 | 55,000 | 58,211 | ||||||||||
5.250%, 09/01/2022 (Insured by NATL) | 100,000 | 110,403 | ||||||||||
City of Tampa FL, | ||||||||||||
5.250%, 11/15/2024 (Pre-refunded to 05/15/2020) | 395,000 | 401,020 | ||||||||||
County of Collier FL, | ||||||||||||
5.000%, 06/01/2020 | 120,000 | 121,918 | ||||||||||
County of Miami-Dade FL, | ||||||||||||
0.000%, 10/01/2023 (ETM)(Insured by NATL) | 50,000 | 47,402 | ||||||||||
County of Okeechobee FL, | ||||||||||||
1.550%, 07/01/2039 (Mandatory Tender Date 07/01/2021) (1) | 475,000 | 477,033 | ||||||||||
County of St. Johns FL, | ||||||||||||
0.000%, 06/01/2021 (Insured by NATL) | 210,000 | 206,163 | ||||||||||
Florida Development Finance Corp., | ||||||||||||
2.625%, 12/15/2024 | 310,000 | 312,254 | ||||||||||
Florida Gulf Coast University Financing Corp., | ||||||||||||
4.100%, 02/01/2025 (Callable 02/01/2020) | 100,000 | 100,234 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
3.700%, 07/01/2021 (Callable 01/01/2021)(Insured by GNMA) | 585,000 | 595,671 | ||||||||||
1.450%, 03/01/2023 (Mandatory Tender Date 03/01/2022) (1) | 100,000 | 100,187 | ||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 305,000 | 318,728 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 120,000 | 127,062 | ||||||||||
4.000%, 07/01/2049 (Callable 07/01/2027)(Insured by GNMA) | 210,000 | 226,829 |
Florida Municipal Power Agency, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 585,000 | 621,141 | ||||||||||
Florida State Municipal Loan Council, | ||||||||||||
3.000%, 10/01/2020 (Insured by NATL) | 555,000 | 562,171 |
0.000%, 04/01/2022 (Insured by NATL) | 210,000 | 200,640 | ||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 155,000 | 166,862 | ||||||||||
0.000%, 04/01/2023 (Insured by NATL) | 165,000 | 154,145 | ||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 160,000 | 181,995 | ||||||||||
0.000%, 04/01/2024 (Insured by NATL) | 55,000 | 50,173 | ||||||||||
5.000%, 12/01/2024 (Insured by AGM) | 85,000 | 99,289 |
Heritage Bay Community Development District: | ||||||||||||
2.125%, 05/01/2020 | 125,000 | 125,240 | ||||||||||
2.250%, 05/01/2021 | 125,000 | 126,079 | ||||||||||
Highlands County Health Facilities Authority: | ||||||||||||
1.250%, 11/15/2035 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
1.250%, 11/15/2037 (Callable 01/01/2020)(Optional Put Date 01/07/2020) (1) | 4,200,000 | 4,200,000 | ||||||||||
Hollywood Community Redevelopment Agency: | ||||||||||||
5.000%, 03/01/2023 | 615,000 | 682,281 | ||||||||||
5.000%, 03/01/2024 | 800,000 | 913,440 | ||||||||||
Jacksonville Housing Finance Authority: | ||||||||||||
1.900%, 01/01/2021 (Mandatory Tender Date 01/01/2020) (1) | 290,000 | 290,000 | ||||||||||
2.250%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 1,500,000 | 1,509,720 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
4.000%, 10/01/2022 (Pre-refunded to 04/01/2021) | 135,000 | 139,909 | ||||||||||
5.000%, 10/01/2023 | 150,000 | 170,202 | ||||||||||
5.000%, 10/01/2023 | 210,000 | 238,283 | ||||||||||
5.000%, 10/01/2026 (Callable 04/01/2021) | 245,000 | 256,679 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2023 | 190,000 | 214,867 | ||||||||||
Lee Memorial Health System, | ||||||||||||
1.520%, 04/01/2049 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
Martin County Health Facilities Authority, | ||||||||||||
3.750%, 11/15/2020 (ETM) | 125,000 | 127,739 | ||||||||||
Miami Beach Health Facilities Authority, | ||||||||||||
4.000%, 11/15/2025 (Callable 11/15/2022) | 715,000 | 760,481 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 310,000 | 314,182 | ||||||||||
Miami-Dade County Educational Facilities Authority: | ||||||||||||
5.000%, 04/01/2022 | 150,000 | 162,159 | ||||||||||
5.000%, 04/01/2023 | 150,000 | 167,427 | ||||||||||
Miami-Dade County Industrial Development Authority, | ||||||||||||
5.000%, 01/15/2022 | 385,000 | 403,557 | ||||||||||
Orange County Health Facilities Authority: | ||||||||||||
3.500%, 08/01/2021 | 560,000 | 577,741 | ||||||||||
6.250%, 10/01/2021 (ETM)(Insured by NATL) | 75,000 | 79,519 | ||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,000,000 | 2,270,460 | ||||||||||
Orange County Housing Finance Authority: | ||||||||||||
1.900%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 855,000 | 860,138 | ||||||||||
4.375%, 03/01/2031 (Callable 03/01/2021)(Insured by GNMA) | 290,000 | 293,811 | ||||||||||
4.000%, 09/01/2040 (Callable 09/01/2024)(Insured by GNMA) | 425,000 | 442,918 | ||||||||||
4.250%, 09/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 130,000 | 142,943 | ||||||||||
Osceola County Expressway Authority, | ||||||||||||
0.000%, 10/01/2024 (ETM) | 110,000 | 101,559 | ||||||||||
Palm Beach County Health Facilities Authority: | ||||||||||||
5.000%, 08/15/2020 | 1,000,000 | 1,023,510 | ||||||||||
5.000%, 08/15/2021 | 400,000 | 424,260 | ||||||||||
5.000%, 11/15/2022 | 220,000 | 241,316 | ||||||||||
5.000%, 12/01/2031 (Pre-refunded to 12/01/2024) | 1,250,000 | 1,468,687 | ||||||||||
Pinellas County Housing Finance Authority: | ||||||||||||
1.850%, 01/01/2022 (Mandatory Tender Date 01/01/2020) (1) | 1,400,000 | 1,400,000 | ||||||||||
1.250%, 08/01/2022 (Mandatory Tender Date 08/01/2021) (1) | 1,015,000 | 1,013,244 | ||||||||||
4.375%, 09/01/2027 (Callable 09/01/2021)(Insured by GNMA) | 125,000 | 127,294 | ||||||||||
3.500%, 03/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 480,000 | 502,545 | ||||||||||
School Board of Miami-Dade County: | ||||||||||||
5.000%, 05/01/2031 (Mandatory Tender Date 05/01/2024) (1) | 705,000 | 809,996 | ||||||||||
5.500%, 05/01/2031 (Callable 05/01/2021)(Insured by AGM) | 300,000 | 315,672 | ||||||||||
St. Johns River Power Park, | ||||||||||||
5.000%, 10/01/2024 (Callable 01/31/2020) | 105,000 | 105,283 | ||||||||||
St. Lucie County School Board, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2023) | 1,150,000 | 1,279,180 | ||||||||||
Tolomato Community Development District, | ||||||||||||
2.000%, 05/01/2020 (Insured by AGM) | 500,000 | 500,580 | ||||||||||
University of North Florida Financing Corp., | ||||||||||||
5.000%, 11/01/2023 (Insured by AGM) | 300,000 | 339,330 | ||||||||||
Total Florida (Cost $39,245,124) | 39,542,362 | 3.9 | % |
Georgia | ||||||||||||
Bartow County Development Authority, | ||||||||||||
2.750%, 12/01/2032 (Mandatory Tender Date 03/15/2023) (1) | 2,000,000 | 2,064,000 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 170,000 | 173,053 | ||||||||||
1.650%, 11/01/2048 (Mandatory Tender Date 06/18/2021) (1) | 245,000 | 245,282 | ||||||||||
1.550%, 12/01/2049 (Mandatory Tender Date 08/19/2022) (1) | 2,000,000 | 1,994,780 | ||||||||||
1.700%, 12/01/2049 (Mandatory Tender Date 08/22/2024) (1) | 1,500,000 | 1,497,645 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2023 (Callable 01/31/2020) | 450,000 | 451,368 | ||||||||||
5.000%, 01/01/2024 (Callable 01/31/2020) | 515,000 | 516,566 | ||||||||||
4.000%, 07/01/2026 (Callable 07/01/2023) | 100,000 | 107,388 | ||||||||||
City of Thomson GA: | ||||||||||||
3.000%, 07/01/2022 | 535,000 | 552,687 | ||||||||||
3.000%, 07/01/2023 (Callable 07/01/2022) | 550,000 | 567,721 | ||||||||||
City of Union City GA, | ||||||||||||
3.000%, 07/01/2020 | 75,000 | 75,630 | ||||||||||
Colquitt County Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 100,000 | 97,314 | ||||||||||
Cornelia Urban Redevelopment Agency, | ||||||||||||
4.000%, 10/01/2023 (Insured by AGM) | 80,000 | 86,668 | ||||||||||
County of Columbia GA, | ||||||||||||
6.000%, 06/01/2020 (Insured by NATL) | 110,000 | 112,130 | ||||||||||
Development Authority of Burke County, | ||||||||||||
0.620%, 11/01/2052 (Optional Put Date 01/01/2020) (1) | 4,000,000 | 4,000,000 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 740,000 | 920,715 | ||||||||||
Gainesville & Hall County Hospital Authority: | ||||||||||||
2.270%, 08/15/2035 (SIFMA Municipal Swap Index + 0.950%) (Callable 01/31/2020)(Mandatory Tender Date 02/18/2020) (2) | 1,775,000 | 1,775,905 | ||||||||||
1.520%, 02/15/2047 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 750,000 | 750,000 | ||||||||||
Macon-Bibb County Housing Authority, | ||||||||||||
2.040%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 1,190,000 | 1,191,856 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2022 | 180,000 | 193,491 | ||||||||||
5.000%, 09/01/2026 (Callable 06/01/2026) | 500,000 | 598,475 | ||||||||||
2.023%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 2,000,000 | 2,009,920 | ||||||||||
4.000%, 08/01/2048 (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (1) | 995,000 | 1,084,699 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 2,785,000 | 3,106,166 | ||||||||||
Monroe County Development Authority: | ||||||||||||
3.850%, 04/01/2043 (1) | 100,000 | 100,053 | ||||||||||
2.350%, 10/01/2048 (Mandatory Tender Date 12/11/2020) (1) | 500,000 | 504,880 | ||||||||||
2.050%, 07/01/2049 (Mandatory Tender Date 11/19/2021) (1) | 260,000 | 261,994 | ||||||||||
Pelham School District: | ||||||||||||
5.000%, 09/01/2021 (Insured by ST AID) | 100,000 | 106,008 | ||||||||||
5.000%, 09/01/2022 (Insured by ST AID) | 125,000 | 136,844 | ||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 290,000 | 326,902 | ||||||||||
5.000%, 09/01/2024 (Insured by ST AID) | 210,000 | 243,111 | ||||||||||
Private Colleges & Universities Authority: | ||||||||||||
3.750%, 10/01/2021 | 55,000 | 56,977 | ||||||||||
5.000%, 10/01/2021 | 75,000 | 79,435 | ||||||||||
1.740%, 10/01/2039 (SIFMA Municipal Swap Index + 0.420%) (Callable 02/16/2022)(Mandatory Tender Date 08/16/2022) (2) | 2,000,000 | 2,003,520 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 425,000 | 414,367 | ||||||||||
0.000%, 12/01/2021 (ETM) | 345,000 | 336,368 | ||||||||||
Valdosta & Lowndes County Hospital Authority, | ||||||||||||
5.000%, 10/01/2033 (Pre-refunded to 10/01/2021) | 300,000 | 319,941 | ||||||||||
Washington Wilkes Payroll Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 400,000 | 389,624 | ||||||||||
Total Georgia (Cost $29,206,869) | 29,453,483 | 2.9 | % | |||||||||
Hawaii | ||||||||||||
Honda Auto Receivables Owner Trust, | ||||||||||||
1.640%, 09/01/2027 (SIFMA Municipal Swap Index + 0.320%) (Callable 01/16/2020)(Mandatory Tender Date 09/01/2020) (2) | 200,000 | 200,012 | ||||||||||
Total Hawaii (Cost $200,104) | 200,012 | 0.0 | % | |||||||||
Idaho | ||||||||||||
University of Idaho, | ||||||||||||
5.250%, 04/01/2041 (Mandatory Tender Date 04/01/2021) (1) | 2,510,000 | 2,624,130 | ||||||||||
Total Idaho (Cost $2,605,703) | 2,624,130 | 0.3 | % |
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2026 (Callable 12/01/2025)(Insured by BAM) | 275,000 | 306,364 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
3.000%, 12/01/2021 (Insured by BAM) | 30,000 | 30,925 | ||||||||||
Carroll & Whiteside Counties Cmnty Unit Sch Dist No. 399, | ||||||||||||
4.000%, 12/01/2024 (Insured by AGM) | 410,000 | 450,549 | ||||||||||
Chicago Board of Education: | ||||||||||||
0.000%, 12/01/2022 | 125,000 | 118,744 | ||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 295,000 | 319,974 | ||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 500,000 | 555,810 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2020 | 70,000 | 70,000 | ||||||||||
Chicago Park District: | ||||||||||||
5.000%, 01/01/2020 | 325,000 | 325,000 | ||||||||||
5.000%, 01/01/2024 | 1,305,000 | 1,461,717 | ||||||||||
City of Burbank IL, | ||||||||||||
4.000%, 12/01/2021 (Insured by BAM) | 1,500,000 | 1,570,665 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2020 | 300,000 | 300,000 | ||||||||||
5.000%, 01/01/2020 | 50,000 | 50,000 | ||||||||||
5.000%, 11/01/2020 | 850,000 | 874,225 | ||||||||||
5.000%, 01/01/2023 (Callable 01/01/2020) | 25,000 | 25,000 | ||||||||||
5.000%, 01/01/2024 (Callable 01/01/2022) | 705,000 | 750,867 | ||||||||||
5.250%, 01/01/2038 (Pre-refunded to 01/01/2022) | 400,000 | 432,244 | ||||||||||
City of Decatur IL, | ||||||||||||
4.000%, 03/01/2022 | 65,000 | 68,043 | ||||||||||
City of Oregon IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 105,000 | 111,608 | ||||||||||
City of Peoria IL: | ||||||||||||
4.500%, 01/01/2023 (Callable 04/15/2021) | 500,000 | 526,405 | ||||||||||
4.000%, 01/01/2026 (Callable 04/15/2021) | 500,000 | 522,125 | ||||||||||
City of Princeton IL: | ||||||||||||
4.000%, 11/01/2021 (Insured by AGM) | 45,000 | 47,162 | ||||||||||
4.000%, 11/01/2022 (Insured by AGM) | 100,000 | 106,919 | ||||||||||
4.000%, 01/01/2023 (Insured by AGM) | 50,000 | 53,508 | ||||||||||
4.000%, 01/01/2025 (Insured by AGM) | 120,000 | 133,015 | ||||||||||
City of Rock Island IL, | ||||||||||||
3.000%, 12/01/2022 | 435,000 | 447,341 | ||||||||||
City of Rockford IL, | ||||||||||||
5.000%, 12/15/2023 (Insured by BAM) | 110,000 | 123,638 | ||||||||||
City of Springfield IL: | ||||||||||||
5.000%, 12/01/2023 | 155,000 | 173,665 | ||||||||||
5.000%, 03/01/2024 | 35,000 | 39,872 | ||||||||||
City of Waukegan IL: | ||||||||||||
5.000%, 12/30/2020 (Insured by AGM) | 75,000 | 77,703 | ||||||||||
3.000%, 12/30/2022 | 365,000 | 378,439 | ||||||||||
Cook County Community High School District No. 219, | ||||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 65,000 | 63,797 | ||||||||||
Cook County Forest Preserve District, | ||||||||||||
5.000%, 11/15/2021 | 750,000 | 792,285 | ||||||||||
Cook County Illinois School District No. 163, | ||||||||||||
6.000%, 12/15/2024 (Insured by BAM) | 795,000 | 949,826 |
Cook County School District No. 84: | ||||||||||||
0.000%, 12/01/2020 (Insured by AGM) | 490,000 | 483,944 | ||||||||||
0.000%, 12/01/2021 (ETM)(Insured by AGM) | 180,000 | 175,464 | ||||||||||
0.000%, 12/01/2021 (ETM)(Insured by AGM) | 105,000 | 102,354 | ||||||||||
0.000%, 12/01/2021 (ETM)(Insured by AGM) | 120,000 | 116,643 |
Cook County School District No. 111, | ||||||||||||
0.000%, 12/01/2020 (ETM)(Insured by AGM) | 70,000 | 69,203 | ||||||||||
Cook County School District No. 123, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 200,000 | 194,960 | ||||||||||
Cook County School District No. 130, | ||||||||||||
5.000%, 12/01/2025 (Insured by AGM) | 1,320,000 | 1,554,340 | ||||||||||
Cook County School District No. 154, | ||||||||||||
3.500%, 12/01/2024 (Insured by BAM) | 114,000 | 121,142 | ||||||||||
Cook County School District No. 159, | ||||||||||||
0.000%, 12/01/2022 (Insured by AGM) | 100,000 | 94,940 |
Cook County Township High School District No. 201: | ||||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 265,000 | 260,638 | ||||||||||
0.000%, 12/01/2025 (Insured by AGM) | 165,000 | 145,335 | ||||||||||
County of Champaign IL, | ||||||||||||
8.250%, 01/01/2020 (Insured by NATL) | 1,015,000 | 1,015,000 | ||||||||||
County of Jefferson IL, | ||||||||||||
2.000%, 01/15/2020 (Insured by AGM) | 100,000 | 100,026 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2024 (Insured by AGM) | 250,000 | 277,903 | ||||||||||
DeKalb & Kane Counties Community Unit School District No. 427, | ||||||||||||
4.000%, 02/01/2029 (Callable 02/01/2022)(Insured by BAM) | 475,000 | 493,677 | ||||||||||
DeKalb County Community Unit School District No. 424, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 250,000 | 241,500 | ||||||||||
DuPage County School District No. 34, | ||||||||||||
0.000%, 01/01/2020 (Insured by NATL) | 460,000 | 460,000 | ||||||||||
Fulton, Mason, Knox, Schuyler, Etc. Counties Community College District No. 534: | ||||||||||||
3.250%, 12/01/2020 (Insured by BAM) | 210,000 | 212,736 | ||||||||||
4.000%, 12/01/2027 (Callable 12/01/2022)(Insured by BAM) | 90,000 | 94,505 | ||||||||||
Governors State University, | ||||||||||||
5.000%, 07/01/2021 (Insured by BAM) | 295,000 | 309,260 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2022 (Insured by BAM) | 100,000 | 102,142 | ||||||||||
3.000%, 03/01/2023 (Insured by BAM) | 210,000 | 216,227 | ||||||||||
3.000%, 03/01/2026 (Insured by BAM) | 90,000 | 92,994 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 01/01/2020 (Insured by AGM) | 105,000 | 105,000 | ||||||||||
0.000%, 07/15/2023 (ETM) | 720,000 | 684,648 | ||||||||||
0.000%, 07/15/2025 (ETM) | 475,000 | 436,102 | ||||||||||
Illinois Educational Facilities Authority, | ||||||||||||
1.800%, 07/01/2036 (Mandatory Tender Date 02/13/2020) (1) | 200,000 | 200,136 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2020 | 100,000 | 100,402 | ||||||||||
5.000%, 08/01/2020 | 425,000 | 433,122 | ||||||||||
5.000%, 10/01/2020 | 105,000 | 106,857 | ||||||||||
5.000%, 01/01/2021 | 125,000 | 128,975 | ||||||||||
4.000%, 09/01/2021 | 75,000 | 77,712 | ||||||||||
5.000%, 11/01/2021 | 75,000 | 79,459 | ||||||||||
5.000%, 02/15/2022 | 235,000 | 253,083 | ||||||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 145,000 | 147,419 | ||||||||||
5.000%, 05/15/2022 | 190,000 | 202,736 | ||||||||||
5.000%, 09/01/2022 | 200,000 | 216,542 | ||||||||||
5.000%, 05/15/2023 | 120,000 | 133,895 | ||||||||||
5.000%, 09/01/2023 | 400,000 | 444,088 | ||||||||||
5.000%, 05/15/2024 | 350,000 | 401,446 | ||||||||||
5.000%, 11/01/2024 | 235,000 | 269,033 | ||||||||||
2.597%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 135,000 | 135,242 | ||||||||||
1.750%, 07/01/2042 (Mandatory Tender Date 05/06/2020) (1) | 1,950,000 | 1,952,476 | ||||||||||
2.070%, 01/01/2046 (SIFMA Municipal Swap Index + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 07/01/2023) (2) | 70,000 | 70,208 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
1.900%, 10/01/2022 (Mandatory Tender Date 10/01/2021) (1) | 1,250,000 | 1,261,338 | ||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 359,914 | 363,743 | ||||||||||
4.500%, 10/01/2048 (Callable 04/01/2028) | 340,000 | 376,621 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,970,000 | 2,172,752 | ||||||||||
Illinois Sports Facilities Authority, | ||||||||||||
0.000%, 06/15/2020 (Insured by AMBAC) | 50,000 | 49,587 | ||||||||||
Iroquois & Kankakee Counties Community Unit School District No. 4, | ||||||||||||
0.000%, 11/01/2021 (Insured by AMBAC) | 500,000 | 482,740 | ||||||||||
Jefferson County Township High School District No. 201, | ||||||||||||
6.500%, 12/30/2020 (Insured by BAM) | 195,000 | 205,039 | ||||||||||
Joliet Park District: | ||||||||||||
5.000%, 03/01/2022 (Callable 03/01/2021) | 130,000 | 133,662 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 150,000 | 158,615 | ||||||||||
Joliet Regional Port District, | ||||||||||||
4.000%, 06/30/2025 (Callable 06/30/2024)(Insured by AGM) | 40,000 | 43,883 | ||||||||||
Kane County School District No. 131, | ||||||||||||
3.500%, 06/01/2024 (Callable 06/01/2021)(Insured by AGM) | 785,000 | 803,502 | ||||||||||
Kankakee County Community High School District No. 307, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 390,000 | 422,760 | ||||||||||
Kankakee, Iroquois, Ford, Etc. Counties Community Unit School District No. 2, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 445,000 | 480,978 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,250,000 | 1,206,313 | ||||||||||
Kendall County Forest Preserve District, | ||||||||||||
4.000%, 01/01/2025 (Insured by BAM) | 215,000 | 234,976 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2021) | 3,000,000 | 3,104,070 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205, | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 500,000 | 520,945 | ||||||||||
Lake County Community Consolidated School District No. 24, | ||||||||||||
4.000%, 01/01/2020 | 940,000 | 940,000 | ||||||||||
Lake County Community High School District No. 127, | ||||||||||||
0.000%, 02/01/2020 (Insured by NATL) | 150,000 | 149,840 | ||||||||||
Lake County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/15/2025 (Callable 01/15/2023) | 240,000 | 265,020 | ||||||||||
Lake County Community Unit School District No. 95, | ||||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 700,000 | 690,284 | ||||||||||
Lake County Elementary School District No. 6: | ||||||||||||
0.000%, 12/01/2021 (Insured by AMBAC) | 115,000 | 109,747 | ||||||||||
0.000%, 12/01/2022 (Insured by AMBAC) | 115,000 | 106,756 | ||||||||||
0.000%, 12/01/2024 (Insured by AMBAC) | 70,000 | 61,000 | ||||||||||
Lake County Forest Preserve District, | ||||||||||||
1.749%, 12/15/2020 (3 Month LIBOR USD + 0.480%) (2) | 295,000 | 295,345 | ||||||||||
Lake County School District No. 38, | ||||||||||||
0.000%, 02/01/2023 (Insured by AMBAC) | 815,000 | 755,366 | ||||||||||
Lee County Community Unit School District No. 272: | ||||||||||||
4.000%, 01/01/2020 (Insured by AGM) | 300,000 | 300,000 | ||||||||||
4.000%, 01/01/2021 (Insured by AGM) | 370,000 | 379,801 | ||||||||||
Logan Sangamon Etc Counties Community Unit School District No. 23: | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 440,000 | 466,070 | ||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 520,000 | 566,181 | ||||||||||
Macon & De Witt Counties Community Unit School District No. 1, | ||||||||||||
2.250%, 12/01/2022 (Callable 01/31/2020) | 80,000 | 80,025 | ||||||||||
McHenry County Community Unit School District No. 200, | ||||||||||||
5.250%, 01/15/2027 (Callable 01/15/2024) | 110,000 | 126,036 | ||||||||||
Menard Cass & Sangamon Counties Community Unit School District No. 202, | ||||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 300,000 | 320,115 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2021 (ETM)(Insured by NATL) | 45,000 | 44,137 | ||||||||||
0.000%, 06/15/2021 | 55,000 | 53,945 | ||||||||||
0.000%, 06/15/2022 (ETM)(Insured by NATL) | 30,000 | 29,020 | ||||||||||
5.650%, 06/15/2022 (Insured by NATL) (5) | 145,000 | 157,912 | ||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 200,000 | 215,490 | ||||||||||
0.000%, 06/15/2024 (Insured by NATL) | 35,000 | 32,033 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) (5) | 30,000 | 33,580 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) (5) | 35,000 | 38,422 | ||||||||||
5.000%, 12/15/2026 (Callable 06/15/2022)(Insured by ST AID) | 290,000 | 310,784 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2020 (Insured by BAM) | 270,000 | 272,878 | ||||||||||
Newport Township Fire Protection District: | ||||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 125,000 | 130,189 | ||||||||||
4.000%, 01/01/2023 (Insured by BAM) | 135,000 | 143,368 | ||||||||||
Ogle & Winnebago Counties Community Unit School District No. 223, | ||||||||||||
5.000%, 12/01/2021 (Insured by BAM) | 150,000 | 160,412 | ||||||||||
Peoria Public Building Commission, | ||||||||||||
5.000%, 12/01/2020 (Insured by BAM) | 185,000 | 191,161 | ||||||||||
Pike & Adams Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 345,000 | 375,902 | ||||||||||
Plano Special Service Areas No. 3 & 4, | ||||||||||||
4.000%, 03/01/2030 (Callable 03/01/2025) | 315,000 | 342,597 | ||||||||||
Prospect Heights Park District: | ||||||||||||
4.000%, 12/01/2020 (Insured by BAM) | 120,000 | 122,891 | ||||||||||
4.000%, 12/01/2021 (Insured by BAM) | 330,000 | 346,569 | ||||||||||
Public Building Commission of Chicago: | ||||||||||||
7.000%, 01/01/2020 (ETM)(Insured by NATL) | 2,585,000 | 2,585,000 | ||||||||||
5.000%, 03/01/2020 (Callable 01/31/2020)(Insured by AMBAC) | 100,000 | 100,258 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.250%, 06/01/2020 | 85,000 | 86,353 | ||||||||||
Regional Transportation Authority: | ||||||||||||
6.250%, 07/01/2021 (Insured by AGM) | 600,000 | 644,466 | ||||||||||
5.750%, 06/01/2023 (Insured by AGM) | 175,000 | 195,060 | ||||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2022 | 2,035,000 | 2,162,004 | ||||||||||
5.000%, 01/01/2024 | 200,000 | 223,614 | ||||||||||
Sangamon & Morgan Counties Community Unit School District No. 16, | ||||||||||||
5.500%, 02/01/2020 (Insured by NATL) | 870,000 | 872,906 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 (ETM) | 315,000 | 326,797 | ||||||||||
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 | 471,018 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.125%, 11/01/2030 (Pre-refunded to 11/01/2023) | 195,000 | 237,929 | ||||||||||
St. Charles Public Library District, | ||||||||||||
4.000%, 11/01/2028 (Callable 11/01/2024) | 455,000 | 494,075 | ||||||||||
St. Clair County Community Consolidated School District: | ||||||||||||
0.000%, 12/01/2021 | 510,000 | 493,374 | ||||||||||
0.000%, 12/01/2022 | 190,000 | 180,126 | ||||||||||
St. Clair County School District No. 119: | ||||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 350,000 | 377,804 | ||||||||||
5.000%, 04/01/2023 (Insured by AGM) | 300,000 | 334,248 | ||||||||||
St. Clair County Township High School District No. 203, | ||||||||||||
4.000%, 12/01/2022 | 400,000 | 425,060 | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 04/01/2020 | 40,000 | 40,335 | ||||||||||
4.000%, 06/15/2020 | 975,000 | 984,692 | ||||||||||
5.000%, 06/15/2020 | 35,000 | 35,504 | ||||||||||
5.000%, 06/15/2020 | 630,000 | 639,072 | ||||||||||
5.000%, 08/01/2020 | 3,000,000 | 3,058,230 | ||||||||||
4.000%, 06/15/2021 | 35,000 | 35,950 | ||||||||||
5.000%, 08/01/2021 | 175,000 | 183,557 | ||||||||||
5.000%, 01/01/2022 (Callable 01/31/2020) | 145,000 | 145,339 | ||||||||||
5.000%, 03/01/2022 | 55,000 | 58,506 | ||||||||||
5.000%, 06/15/2022 | 185,000 | 197,349 | ||||||||||
6.500%, 06/15/2022 | 260,000 | 267,527 | ||||||||||
5.000%, 06/15/2023 | 270,000 | 294,867 | ||||||||||
5.000%, 06/15/2023 | 670,000 | 731,707 | ||||||||||
5.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 200,000 | 220,704 | ||||||||||
5.500%, 07/01/2024 (Callable 07/01/2023) | 835,000 | 925,656 | ||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 100,000 | 106,968 | ||||||||||
5.000%, 10/01/2024 | 525,000 | 587,401 | ||||||||||
3.750%, 06/15/2025 (Callable 06/15/2021) | 210,000 | 214,276 | ||||||||||
5.000%, 06/15/2025 (Callable 06/15/2023) | 1,500,000 | 1,628,475 | ||||||||||
4.000%, 06/15/2026 (Callable 06/15/2021) | 315,000 | 322,166 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2024) | 545,000 | 599,751 | ||||||||||
United City of Yorkville IL, | ||||||||||||
4.050%, 12/01/2027 (Callable 12/01/2023) | 120,000 | 129,139 | ||||||||||
University of Illinois: | ||||||||||||
5.000%, 08/15/2020 | 290,000 | 296,583 | ||||||||||
5.000%, 10/01/2021 | 300,000 | 319,131 | ||||||||||
5.000%, 03/15/2022 | 50,000 | 53,986 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2022 | 530,000 | 575,183 | ||||||||||
5.000%, 12/01/2023 | 400,000 | 444,168 | ||||||||||
Village of Calumet Park IL, | ||||||||||||
5.250%, 12/01/2029 (Callable 12/01/2024)(Insured by BAM) | 500,000 | 569,205 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 261,818 | ||||||||||
4.500%, 12/15/2025 (Callable 12/15/2022)(Insured by BAM) | 60,000 | 65,191 | ||||||||||
Village of Lansing IL: | ||||||||||||
5.000%, 03/01/2022 (Insured by AGM) | 340,000 | 361,967 | ||||||||||
5.000%, 03/01/2023 (Insured by AGM) | 275,000 | 300,616 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 230,000 | 257,474 | ||||||||||
Village of Lyons IL, | ||||||||||||
5.000%, 12/01/2025 (Callable 12/01/2022)(Insured by BAM) | 25,000 | 27,250 | ||||||||||
Village of Matteson IL, | ||||||||||||
8.000%, 12/01/2029 (Pre-refunded to 06/01/2022) (5) | 315,000 | 359,664 | ||||||||||
Village of Montgomery IL, | ||||||||||||
2.100%, 03/01/2020 (Insured by BAM) | 190,000 | 190,272 | ||||||||||
Village of Oak Park IL: | ||||||||||||
5.000%, 11/01/2020 | 235,000 | 242,172 | ||||||||||
4.000%, 11/01/2021 | 245,000 | 256,951 | ||||||||||
Village of Orland Hills IL: | ||||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 145,000 | 154,168 | ||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 130,000 | 140,307 | ||||||||||
Village of Rantoul IL, | ||||||||||||
4.300%, 01/01/2025 (Callable 01/01/2023) | 125,000 | 134,206 | ||||||||||
Village of Richton Park IL, | ||||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 80,000 | 84,521 | ||||||||||
Village of River Grove IL: | ||||||||||||
3.000%, 12/15/2020 (Insured by BAM) | 75,000 | 75,985 | ||||||||||
3.000%, 12/15/2021 (Insured by BAM) | 120,000 | 123,119 | ||||||||||
Village of Sauk Village IL, | ||||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 1,260,000 | 1,377,180 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.000%, 02/01/2022 (Insured by BAM) | 125,000 | 131,311 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 130,000 | 139,641 | ||||||||||
4.000%, 02/01/2024 (Insured by BAM) | 135,000 | 148,010 | ||||||||||
4.000%, 02/01/2025 (Insured by BAM) | 140,000 | 156,474 | ||||||||||
4.000%, 02/01/2026 (Insured by BAM) | 220,000 | 249,924 | ||||||||||
4.750%, 02/01/2028 (Callable 02/01/2023)(Insured by BAM) | 50,000 | 54,434 | ||||||||||
Village of Sugar Grove IL, | ||||||||||||
3.000%, 12/15/2025 (Callable 12/15/2021) | 225,000 | 229,581 | ||||||||||
Village of Tremont IL: | ||||||||||||
3.000%, 01/01/2020 (Insured by BAM) | 70,000 | 70,000 | ||||||||||
3.000%, 07/01/2020 (Insured by BAM) | 95,000 | 95,765 | ||||||||||
Wayne Hamilton & Jefferson Counties Community Unit School District No. 100, | ||||||||||||
4.500%, 12/01/2021 (Insured by BAM) | 195,000 | 205,750 | ||||||||||
Western Illinois University, | ||||||||||||
5.000%, 04/01/2020 (Insured by BAM) | 250,000 | 251,920 | ||||||||||
White County Community Unit School District No. 5, | ||||||||||||
4.300%, 12/01/2021 (Insured by AGM) | 100,000 | 105,527 | ||||||||||
Will County Community Consolidated School District No. 70-C: | ||||||||||||
4.000%, 12/01/2020 (Insured by AGM) | 130,000 | 133,216 | ||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 270,000 | 290,021 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2021 (Insured by AGM) | 210,000 | 206,291 | ||||||||||
5.000%, 01/01/2021 (Callable 01/31/2020) | 125,000 | 125,258 | ||||||||||
0.000%, 01/01/2022 (ETM)(Insured by AGM) | 245,000 | 237,993 | ||||||||||
0.000%, 01/01/2023 (ETM)(Insured by AGM) | 365,000 | 349,236 | ||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 210,000 | 197,841 | ||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 500,000 | 469,910 | ||||||||||
0.000%, 01/01/2024 (Insured by AGM) | 275,000 | 252,788 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2023) | 35,000 | 37,373 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2021 (Insured by NATL) | 215,000 | 208,180 | ||||||||||
Will County Community Unit School District No. 365: | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 200,000 | 194,360 | ||||||||||
0.000%, 11/01/2022 (ETM)(Insured by AGM) | 45,000 | 43,053 | ||||||||||
Will County Elementary School District No. 122: | ||||||||||||
0.000%, 11/01/2021 (ETM)(Insured by AGM) | 50,000 | 48,750 | ||||||||||
0.000%, 11/01/2023 (ETM)(Insured by AGM) | 125,000 | 117,916 | ||||||||||
Will County School District No. 88, | ||||||||||||
5.250%, 01/01/2022 (Insured by AGM) | 860,000 | 910,499 | ||||||||||
Will County Township High School District No. 204, | ||||||||||||
5.000%, 01/01/2023 | 195,000 | 214,962 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
0.000%, 02/01/2022 | 95,000 | 91,525 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2023) | 965,000 | 1,024,811 | ||||||||||
Total Illinois (Cost $80,982,117) | 82,120,897 | 8.1 | % |
Indiana | ||||||||||||
Anderson Redevelopment District, | ||||||||||||
5.000%, 02/01/2020 | 535,000 | 536,428 | ||||||||||
Center Grove Community School Corp., | ||||||||||||
2.000%, 01/01/2020 (Insured by ST AID) | 655,000 | 655,000 | ||||||||||
City of Goshen IN, | ||||||||||||
4.100%, 01/01/2021 (Callable 01/31/2020)(Insured by AGM) | 470,000 | 471,198 | ||||||||||
City of Lawrence IN: | ||||||||||||
3.000%, 01/01/2020 (Insured by BAM) | 175,000 | 175,000 | ||||||||||
4.000%, 01/01/2021 (Insured by BAM) | 200,000 | 205,038 | ||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 400,000 | 420,464 | ||||||||||
City of Mishawaka IN, | ||||||||||||
5.000%, 03/01/2025 (Insured by AGM) | 100,000 | 117,841 | ||||||||||
City of Muncie IN: | ||||||||||||
4.000%, 07/15/2020 (Insured by AGM) | 100,000 | 101,114 | ||||||||||
4.000%, 07/15/2020 (Insured by AGM) | 100,000 | 101,114 | ||||||||||
4.000%, 07/15/2022 (Insured by AGM) | 110,000 | 115,431 | ||||||||||
4.000%, 01/15/2024 (Insured by AGM) | 170,000 | 182,423 | ||||||||||
City of Rockport IN, | ||||||||||||
1.350%, 07/01/2025 (Mandatory Tender Date 09/01/2022) (1) | 1,000,000 | 996,520 | ||||||||||
City of Valparaiso IN, | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2023) | 375,000 | 407,201 | ||||||||||
City of Whiting IN, | ||||||||||||
5.250%, 01/01/2021 | 2,550,000 | 2,647,130 | ||||||||||
Clarksville Redevelopment Authority: | ||||||||||||
4.000%, 08/01/2021 | 155,000 | 161,389 | ||||||||||
4.000%, 02/01/2022 | 230,000 | 242,243 | ||||||||||
County of Lake IN, | ||||||||||||
4.000%, 07/15/2021 (Insured by AGM) | 100,000 | 104,226 | ||||||||||
Evansville Vanderburgh Public Library, | ||||||||||||
4.000%, 07/01/2021 (Insured by ST AID) | 135,000 | 138,542 | ||||||||||
Fishers Redevelopment Authority: | ||||||||||||
4.000%, 07/15/2020 (Insured by ST AID) | 400,000 | 402,972 | ||||||||||
4.000%, 01/15/2023 | 270,000 | 291,171 | ||||||||||
4.000%, 07/15/2023 | 275,000 | 299,893 | ||||||||||
Hammond Local Public Improvement Bond Bank, | ||||||||||||
2.375%, 12/31/2020 | 1,850,000 | 1,857,714 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
5.000%, 01/15/2025 (Insured by ST AID) | 525,000 | 607,782 | ||||||||||
Hammond Sanitary District, | ||||||||||||
5.000%, 01/15/2021 (Insured by BAM) | 445,000 | 462,733 | ||||||||||
Indiana Bond Bank, | ||||||||||||
2.311%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 1,125,000 | 1,125,225 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 09/15/2022 | 60,000 | 65,233 | ||||||||||
5.000%, 10/01/2022 | 175,000 | 191,347 | ||||||||||
5.250%, 10/01/2022 (Callable 10/01/2021) | 800,000 | 856,168 | ||||||||||
5.000%, 09/15/2023 | 75,000 | 83,662 | ||||||||||
5.000%, 09/15/2024 | 155,000 | 176,675 | ||||||||||
5.000%, 09/15/2025 | 325,000 | 376,772 | ||||||||||
2.250%, 12/01/2058 (Callable 01/01/2025)(Mandatory Tender Date 07/01/2025) (1) | 2,985,000 | 3,092,161 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 400,000 | 403,388 | ||||||||||
Indiana Housing & Community Development Authority: | ||||||||||||
4.000%, 12/01/2027 (Callable 06/01/2021)(Insured by GNMA) | 395,000 | 401,557 | ||||||||||
3.500%, 01/01/2049 (Callable 01/01/2029)(Insured by GNMA) | 1,275,000 | 1,375,342 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 06/01/2020 | 1,030,000 | 1,046,161 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 215,000 | 235,090 | ||||||||||
Lake Central Multi-District School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2023)(Insured by ST AID) | 585,000 | 648,198 | ||||||||||
Lake Station School Building Corp., | ||||||||||||
3.000%, 07/15/2022 (Callable 01/15/2022)(Insured by ST AID) | 125,000 | 127,678 | ||||||||||
Marion High School Building Corp.: | ||||||||||||
3.000%, 01/15/2021 (Insured by ST AID) | 115,000 | 117,107 | ||||||||||
4.000%, 01/15/2022 (Insured by ST AID) | 170,000 | 179,498 | ||||||||||
4.000%, 07/15/2022 (Insured by ST AID) | 135,000 | 144,188 | ||||||||||
4.000%, 01/15/2023 (Insured by ST AID) | 215,000 | 231,991 | ||||||||||
4.000%, 01/15/2025 (Insured by ST AID) | 200,000 | 224,188 | ||||||||||
Michigan City School Building Corp., | ||||||||||||
5.000%, 07/15/2023 (Insured by ST AID) | 350,000 | 390,600 | ||||||||||
Munster School Building Corp.: | ||||||||||||
5.000%, 01/15/2022 (Insured by ST AID) | 205,000 | 218,462 | ||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 215,000 | 232,510 | ||||||||||
5.000%, 01/15/2023 (Insured by ST AID) | 215,000 | 235,801 | ||||||||||
4.000%, 07/15/2023 (Insured by ST AID) | 160,000 | 172,357 | ||||||||||
5.000%, 01/15/2024 (Insured by ST AID) | 225,000 | 253,258 | ||||||||||
New Durham Township Metropolitan School District School Building Corp., | ||||||||||||
1.600%, 01/15/2021 | 160,000 | 160,229 | ||||||||||
Noblesville Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2021 (Insured by ST AID) | 2,160,000 | 2,258,604 | ||||||||||
Salem Middle School Building Corp., | ||||||||||||
4.000%, 01/15/2024 (Insured by ST AID) | 195,000 | 213,443 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 260,000 | 283,884 | ||||||||||
Starke County Building Corp., | ||||||||||||
4.000%, 08/01/2028 (Callable 02/01/2022)(Insured by ST AID) | 700,000 | 730,513 | ||||||||||
Town of Rossville IN, | ||||||||||||
3.500%, 07/01/2023 | 115,000 | 121,136 | ||||||||||
Vinton-Tecumseh School Building Corp.: | ||||||||||||
4.000%, 01/15/2020 (Insured by ST AID) | 275,000 | 275,248 | ||||||||||
4.000%, 07/15/2020 (Insured by ST AID) | 255,000 | 258,687 | ||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 265,000 | 272,346 | ||||||||||
4.000%, 07/15/2021 (Insured by ST AID) | 220,000 | 229,022 | ||||||||||
4.000%, 07/15/2022 (Insured by ST AID) | 385,000 | 411,103 | ||||||||||
5.000%, 01/15/2023 (Insured by ST AID) | 145,000 | 160,985 | ||||||||||
Wabash City Schools Building Corp.: | ||||||||||||
4.000%, 07/15/2024 (Insured by ST AID) | 110,000 | 122,147 | ||||||||||
4.000%, 01/15/2025 (Insured by ST AID) | 140,000 | 157,005 | ||||||||||
4.000%, 07/15/2025 (Insured by ST AID) | 240,000 | 271,524 | ||||||||||
Washington Indiana Elementary School Building Corp., | ||||||||||||
3.000%, 01/15/2024 (Insured by ST AID) | 550,000 | 571,005 | ||||||||||
West Washington School Corp.: | ||||||||||||
2.000%, 01/15/2022 (Insured by ST AID) | 125,000 | 126,246 | ||||||||||
2.000%, 07/15/2022 (Insured by ST AID) | 195,000 | 197,309 | ||||||||||
Westfield High School Building Corp., | ||||||||||||
5.000%, 01/15/2024 (Insured by ST AID) | 200,000 | 226,620 | ||||||||||
Total Indiana (Cost $31,180,962) | 31,352,240 | 3.1 | % |
Iowa | ||||||||||||
Bondurant-Farrar Community School District, | ||||||||||||
3.000%, 06/01/2023 (Insured by MAC) | 110,000 | 115,715 | ||||||||||
City of Cedar Rapids IA, | ||||||||||||
2.888%, 08/15/2029 (Insured by AMBAC) (1) | 710,000 | 709,645 | ||||||||||
City of Coralville IA: | ||||||||||||
4.000%, 06/01/2024 | 300,000 | 301,563 | ||||||||||
4.000%, 06/01/2025 (Callable 06/01/2024) | 455,000 | 456,652 | ||||||||||
City of New Hampton IA: | ||||||||||||
3.000%, 06/01/2022 (Insured by BAM) | 130,000 | 134,688 | ||||||||||
3.000%, 06/01/2023 (Insured by BAM) | 135,000 | 141,739 | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 2,900,000 | 2,918,067 | ||||||||||
County of Adair IA: | ||||||||||||
2.000%, 06/01/2022 | 580,000 | 589,582 | ||||||||||
2.000%, 06/01/2023 | 730,000 | 745,680 | ||||||||||
2.000%, 06/01/2024 | 755,000 | 774,313 | ||||||||||
County of Taylor IA: | ||||||||||||
4.000%, 06/01/2020 | 230,000 | 232,668 | ||||||||||
4.000%, 06/01/2021 | 245,000 | 254,709 | ||||||||||
Iowa Finance Authority: | ||||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026)(Insured by GNMA) | 180,000 | 188,455 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 935,000 | 1,008,930 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,100,000 | 1,225,147 | ||||||||||
2.875%, 05/15/2049 (Callable 11/15/2020) | 900,000 | 905,337 | ||||||||||
Iowa Western Community College, | ||||||||||||
3.000%, 06/01/2021 | 500,000 | 512,270 | ||||||||||
Lake Panorama Improvement Zone: | ||||||||||||
3.000%, 06/01/2020 | 815,000 | 819,817 | ||||||||||
3.000%, 06/01/2021 | 385,000 | 392,273 | ||||||||||
3.000%, 06/01/2022 | 395,000 | 406,964 | ||||||||||
3.000%, 06/01/2023 | 405,000 | 421,917 | ||||||||||
3.000%, 06/01/2024 | 420,000 | 441,097 | ||||||||||
3.000%, 06/01/2025 | 430,000 | 453,327 | ||||||||||
PEFA, Inc., | ||||||||||||
5.000%, 09/01/2049 (Callable 06/01/2026)(Mandatory Tender Date 09/01/2026) (1) | 500,000 | 591,950 | ||||||||||
West Monona Community School District, | ||||||||||||
2.000%, 06/01/2021 (Callable 06/01/2020) | 280,000 | 280,672 | ||||||||||
Total Iowa (Cost $14,866,339) | 15,023,177 | 1.5 | % | |||||||||
Kansas | ||||||||||||
City of Goddard KS, | ||||||||||||
3.000%, 12/01/2022 (Callable 12/01/2021) | 1,325,000 | 1,364,021 | ||||||||||
City of Lenexa KS, | ||||||||||||
1.625%, 09/01/2021 (Callable 09/01/2020) | 275,000 | 275,080 | ||||||||||
City of Washington KS, | ||||||||||||
2.000%, 12/01/2022 (Callable 12/01/2020) | 1,860,000 | 1,871,216 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 425,000 | 431,859 | ||||||||||
Dickinson County Unified School District No. 487, | ||||||||||||
5.000%, 09/01/2038 (Pre-refunded to 09/01/2023)(Insured by AGM) | 750,000 | 854,377 | ||||||||||
Kansas Municipal Energy Agency, | ||||||||||||
5.000%, 04/01/2022 (Insured by BAM) | 515,000 | 557,822 | ||||||||||
Public Building Commission of Johnson County, | ||||||||||||
5.000%, 09/01/2023 | 1,310,000 | 1,492,300 | ||||||||||
Reno County Unified School District No. 313, | ||||||||||||
4.000%, 09/01/2030 (Callable 09/01/2022) | 200,000 | 210,622 | ||||||||||
Wyandotte County-Kansas City Unified Government, | ||||||||||||
4.000%, 09/01/2020 (Callable 03/01/2020) | 250,000 | 251,058 | ||||||||||
Total Kansas (Cost $7,221,526) | 7,308,355 | 0.7 | % | |||||||||
Kentucky | ||||||||||||
City of Ashland KY, | ||||||||||||
4.500%, 02/01/2025 (Callable 02/01/2020) | 100,000 | 100,261 | ||||||||||
City of Owensboro KY, | ||||||||||||
0.000%, 01/01/2020 (Insured by AMBAC) | 385,000 | 385,000 | ||||||||||
City of Somerset KY, | ||||||||||||
4.000%, 11/01/2026 (Callable 11/01/2021) | 205,000 | 211,601 | ||||||||||
County of Carroll KY, | ||||||||||||
1.550%, 09/01/2042 (Mandatory Tender Date 09/01/2026) (1) | 750,000 | 743,520 | ||||||||||
County of Kenton KY: | ||||||||||||
5.000%, 04/01/2024 | 375,000 | 431,006 | ||||||||||
5.000%, 04/01/2026 | 700,000 | 844,529 | ||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 12/01/2022 (ETM)(Insured by AGC) | 60,000 | 57,662 | ||||||||||
0.000%, 10/01/2024 (Insured by NATL) | 880,000 | 792,933 | ||||||||||
0.000%, 12/01/2024 (ETM)(Insured by AGC) | 60,000 | 55,754 | ||||||||||
4.500%, 02/01/2025 (Callable 02/01/2020) | 165,000 | 165,431 | ||||||||||
6.000%, 06/01/2030 (Pre-refunded to 06/01/2020) | 190,000 | 193,741 | ||||||||||
6.375%, 06/01/2040 (Pre-refunded to 06/01/2020) | 340,000 | 347,218 | ||||||||||
6.500%, 03/01/2045 (Pre-refunded to 06/01/2020) | 950,000 | 970,615 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,707 | ||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024)(Mandatory Tender Date 04/01/2024) (1) | 4,750,000 | 5,169,900 | ||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024)(Mandatory Tender Date 01/01/2025) (1) | 2,735,000 | 3,020,096 | ||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 460,000 | 509,869 | ||||||||||
Kentucky Rural Water Finance Corp., | ||||||||||||
2.250%, 03/01/2020 (Callable 01/21/2020) | 565,000 | 565,277 | ||||||||||
Kentucky Turnpike Authority, | ||||||||||||
4.000%, 07/01/2026 | 1,000,000 | 1,143,600 | ||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 12/01/2022 (Pre-refunded to 06/01/2022) | 975,000 | 1,060,352 | ||||||||||
Magoffin County Justice Center Corp., | ||||||||||||
3.000%, 05/01/2023 | 345,000 | 359,776 | ||||||||||
Murray State University: | ||||||||||||
5.000%, 09/01/2021 (Insured by ST AID) | 285,000 | 301,977 | ||||||||||
5.000%, 09/01/2022 (Insured by ST AID) | 410,000 | 447,835 | ||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 435,000 | 489,027 | ||||||||||
Total Kentucky (Cost $18,373,939) | 18,517,687 | 1.8 | % |
Louisiana | ||||||||||||
Calcasieu Parish Fire Protection District No. 1: | ||||||||||||
3.000%, 03/01/2020 (Insured by BAM) | 110,000 | 110,309 | ||||||||||
3.500%, 03/01/2022 (Insured by BAM) | 145,000 | 151,168 | ||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 155,000 | 169,956 | ||||||||||
Calcasieu Parish School Board, | �� | |||||||||||
5.000%, 02/01/2025 (Callable 02/01/2022) | 115,000 | 123,616 | ||||||||||
Calcasieu Parish School District No. 23: | ||||||||||||
5.000%, 09/01/2022 (Insured by BAM) | 85,000 | 93,265 | ||||||||||
5.000%, 09/01/2023 (Insured by BAM) | 175,000 | 197,937 | ||||||||||
5.000%, 09/01/2024 (Insured by BAM) | 250,000 | 290,765 | ||||||||||
Calcasieu Parish School District No. 30: | ||||||||||||
2.500%, 02/15/2022 | 225,000 | 230,135 | ||||||||||
4.000%, 02/15/2023 (Insured by AGM) | 125,000 | 134,576 | ||||||||||
Calcasieu Parish School District No. 34: | ||||||||||||
2.000%, 11/01/2021 | 420,000 | 425,594 | ||||||||||
2.000%, 11/01/2022 | 425,000 | 433,092 | ||||||||||
Central Community School System, | ||||||||||||
3.000%, 01/01/2021 | 695,000 | 707,260 | ||||||||||
City of New Iberia LA, | ||||||||||||
4.500%, 03/01/2022 (Callable 03/01/2021)(Insured by AGM) | 865,000 | 896,062 | ||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 165,000 | 186,100 | ||||||||||
East Ouachita Parish School District: | ||||||||||||
2.500%, 03/01/2022 | 435,000 | 445,879 | ||||||||||
2.500%, 03/01/2024 | 200,000 | 207,678 | ||||||||||
Ernest N Morial New Orleans Exhibition Hall Authority, | ||||||||||||
5.000%, 07/15/2021 | 250,000 | 264,468 | ||||||||||
Greater Ouachita Water Co., | ||||||||||||
5.000%, 09/01/2022 (Insured by BAM) | 300,000 | 327,930 | ||||||||||
Jefferson Sales Tax District: | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 500,000 | 572,225 | ||||||||||
5.000%, 12/01/2024 (Insured by AGM) | 575,000 | 676,137 | ||||||||||
Lafourche Parish Water District No. 1, | ||||||||||||
2.500%, 01/01/2021 | 390,000 | 394,957 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2023) | 180,000 | 201,811 | ||||||||||
5.500%, 10/01/2025 (Pre-refunded to 10/01/2020) | 1,050,000 | 1,084,219 | ||||||||||
5.625%, 10/01/2030 (Pre-refunded to 10/01/2020) | 80,000 | 82,681 | ||||||||||
5.750%, 09/01/2035 (Pre-refunded to 09/01/2023) | 75,000 | 87,303 | ||||||||||
6.000%, 10/01/2044 (Pre-refunded to 10/01/2020) | 145,000 | 150,250 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
0.000%, 02/01/2020 (ETM) | 200,000 | 199,786 | ||||||||||
5.000%, 10/01/2023 | 255,000 | 285,863 | ||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 2,005,000 | 2,438,882 | ||||||||||
New Orleans Aviation Board, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 237,070 | ||||||||||
Parish of St. Charles LA, | ||||||||||||
4.000%, 12/01/2040 (Mandatory Tender Date 06/01/2022) (1) | 425,000 | 447,559 | ||||||||||
Parish of St. John the Baptist LA, | ||||||||||||
2.100%, 06/01/2037 (Mandatory Tender Date 07/01/2024) (1) | 2,190,000 | 2,210,915 | ||||||||||
Regional Transit Authority, | ||||||||||||
0.000%, 12/01/2021 (Insured by NATL) | 85,000 | 80,131 | ||||||||||
St. Landry Parish Road District No. 1, | ||||||||||||
3.250%, 03/01/2025 (Callable 03/01/2024)(Insured by BAM) | 210,000 | 224,557 | ||||||||||
St. Tammany Parish Recreation District No. 14: | ||||||||||||
2.000%, 04/01/2021 | 210,000 | 212,119 | ||||||||||
2.250%, 04/01/2023 | 225,000 | 231,995 | ||||||||||
State of Louisiana: | ||||||||||||
5.000%, 05/01/2024 (Pre-refunded to 05/01/2022) | 345,000 | 375,833 | ||||||||||
5.000%, 06/15/2034 (Callable 06/15/2024) | 60,000 | 68,154 | ||||||||||
Total Louisiana (Cost $15,465,244) | 15,658,237 | 1.5 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 30,000 | 31,300 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 350,000 | 369,040 | ||||||||||
3.500%, 11/15/2047 (Callable 11/15/2026) | 465,000 | 491,435 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 1,625,000 | 1,775,248 | ||||||||||
Total Maine (Cost $2,610,142) | 2,667,023 | 0.3 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD, | ||||||||||||
5.000%, 07/01/2024 (ETM) | 100,000 | 111,734 | ||||||||||
County of Baltimore MD, | ||||||||||||
3.000%, 09/01/2025 (Callable 09/01/2022) | 950,000 | 986,680 | ||||||||||
County of Washington MD: | ||||||||||||
5.000%, 01/01/2020 | 200,000 | 200,000 | ||||||||||
5.000%, 01/01/2022 | 415,000 | 441,813 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 2,520,000 | 2,915,968 | ||||||||||
Montgomery County Housing Opportunities Commission, | ||||||||||||
4.000%, 07/01/2048 (Callable 07/01/2026) | 415,000 | 446,054 | ||||||||||
Total Maryland (Cost $4,980,507) | 5,102,249 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
City of Worcester MA, | ||||||||||||
4.000%, 02/13/2020 | 100,000 | 100,328 | ||||||||||
Commonwealth of Massachusetts: | ||||||||||||
1.740%, 11/01/2020 (3 Month LIBOR USD + 0.460%) (Callable 01/31/2020) (2) | 60,000 | 60,105 | ||||||||||
1.050%, 08/01/2043 (Mandatory Tender Date 07/01/2020) (1) | 1,215,000 | 1,214,040 | ||||||||||
Massachusetts Development Finance Agency: | ||||||||||||
5.000%, 12/01/2023 | 190,000 | 217,446 | ||||||||||
5.000%, 12/01/2024 | 500,000 | 588,205 | ||||||||||
5.000%, 07/01/2025 | 240,000 | 270,665 | ||||||||||
5.250%, 07/01/2033 (Pre-refunded to 07/01/2021)(Insured by AGM) | 1,025,000 | 1,087,873 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
1.900%, 02/01/2021 (Callable 01/21/2020)(Mandatory Tender Date 02/01/2020) (1) | 105,000 | 105,027 | ||||||||||
2.400%, 12/01/2023 (Mandatory Tender Date 12/01/2021) (1) | 1,745,000 | 1,773,095 | ||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 140,000 | 147,830 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 960,000 | 1,036,608 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 650,000 | 697,132 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 1,000,000 | 1,096,540 | ||||||||||
Massachusetts Transportation Trust, | ||||||||||||
5.000%, 01/01/2039 (Mandatory Tender Date 01/01/2023) (1) | 3,035,000 | 3,369,275 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 01/31/2020)(Insured by AGC) | 250,000 | 250,557 | ||||||||||
Total Massachusetts (Cost $11,828,116) | 12,014,726 | 1.2 | % |
Michigan | ||||||||||||
Bad Axe Public Schools, | ||||||||||||
4.000%, 05/01/2027 (Callable 05/01/2024)(Insured by Q-SBLF) | 630,000 | 695,583 | ||||||||||
Battle Creek Tax Increment Finance Authority, | ||||||||||||
4.300%, 12/01/2028 (Callable 01/31/2020) | 500,000 | 501,200 | ||||||||||
City of Allen Park Brownfield Redevelopment Authority: | ||||||||||||
4.000%, 05/01/2022 (Insured by BAM) | 600,000 | 633,444 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 620,000 | 668,000 | ||||||||||
4.000%, 05/01/2024 (Insured by BAM) | 320,000 | 350,330 | ||||||||||
City of Allen Park MI: | ||||||||||||
2.000%, 05/01/2022 (Insured by BAM) | 220,000 | 221,967 | ||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 250,000 | 266,230 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 115,000 | 124,020 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 300,000 | 325,719 | ||||||||||
City of Detroit MI, | ||||||||||||
5.000%, 07/01/2020 | 265,000 | 269,897 | ||||||||||
City of Kalamazoo MI, | ||||||||||||
5.000%, 10/01/2023 | 50,000 | 56,891 | ||||||||||
Comstock Public Schools, | ||||||||||||
5.000%, 11/01/2023 (Insured by AGM) | 215,000 | 244,565 | ||||||||||
Davison Community Schools: | ||||||||||||
3.000%, 05/01/2020 | 615,000 | 618,641 | ||||||||||
3.000%, 05/01/2022 | 190,000 | 196,574 | ||||||||||
Detroit Wayne County Stadium Authority, | ||||||||||||
5.000%, 10/01/2026 (Callable 10/01/2022)(Insured by AGM) | 25,000 | 27,325 | ||||||||||
East Grand Rapids Public School District, | ||||||||||||
4.000%, 05/01/2024 (Callable 05/01/2020)(Insured by Q-SBLF) | 1,440,000 | 1,453,334 | ||||||||||
Essexville-Hampton Public Schools, | ||||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 325,000 | 345,192 | ||||||||||
Fruitport Community Schools: | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 65,000 | 65,580 | ||||||||||
4.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 103,595 | ||||||||||
4.000%, 05/01/2023 (Insured by Q-SBLF) | 135,000 | 146,919 | �� | |||||||||
Ingham County Brownfield Redevelopment Authority, | ||||||||||||
4.125%, 08/01/2024 (Callable 01/31/2020)(Insured by AGM) | 215,000 | 215,505 | ||||||||||
Jenison Public Schools, | ||||||||||||
3.500%, 05/01/2021 (Callable 05/01/2020) | 250,000 | 251,822 | ||||||||||
Karegnondi Water Authority, | ||||||||||||
5.000%, 11/01/2020 | 100,000 | 102,959 | ||||||||||
Macomb Township Building Authority, | ||||||||||||
3.750%, 04/01/2020 | 850,000 | 854,819 | ||||||||||
Manton Consolidated Schools, | ||||||||||||
3.000%, 05/01/2020 (Insured by Q-SBLF) | 210,000 | 211,258 | ||||||||||
Michigan Finance Authority: | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 101,012 | ||||||||||
5.000%, 11/01/2022 | 100,000 | 110,292 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024)(Insured by AGM) | 1,475,000 | 1,719,968 | ||||||||||
4.000%, 05/01/2026 | 60,000 | 68,102 | ||||||||||
5.500%, 12/01/2026 (Callable 06/01/2025) | 335,000 | 405,986 | ||||||||||
1.961%, 10/15/2038 (1 Month LIBOR USD + 0.750%) (Callable 04/15/2020)(Mandatory Tender Date 10/15/2020) (2) | 350,000 | 350,452 | ||||||||||
1.733%, 12/01/2039 (1 Month LIBOR USD + 0.540%) (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (2) | 280,000 | 280,554 | ||||||||||
3.500%, 11/15/2044 (Mandatory Tender Date 11/15/2022) (1) | 1,250,000 | 1,321,263 | ||||||||||
4.000%, 11/15/2044 (Mandatory Tender Date 08/15/2024) (1) | 2,270,000 | 2,536,725 | ||||||||||
5.000%, 12/01/2044 (Mandatory Tender Date 02/01/2025) (1) | 1,525,000 | 1,787,529 | ||||||||||
Michigan State Hospital Finance Authority, | ||||||||||||
1.900%, 11/15/2047 (Mandatory Tender Date 04/01/2021) (1) | 335,000 | 337,513 | ||||||||||
Michigan State Housing Development Authority: | ||||||||||||
4.000%, 06/01/2046 (Callable 12/01/2024) | 1,340,000 | 1,414,424 | ||||||||||
3.500%, 06/01/2047 (Callable 06/01/2026) | 4,535,000 | 4,782,747 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 104,962 | ||||||||||
South Lake Schools: | ||||||||||||
4.000%, 11/01/2021 (Insured by Q-SBLF) | 425,000 | 444,707 | ||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 290,000 | 306,577 | ||||||||||
4.000%, 11/01/2023 (Insured by Q-SBLF) | 500,000 | 544,860 | ||||||||||
Standish-Sterling Community Schools, | ||||||||||||
5.000%, 05/01/2020 (Insured by Q-SBLF) | 100,000 | 101,227 | ||||||||||
Tri-County Area School District: | ||||||||||||
4.000%, 05/01/2021 (Insured by AGM) | 520,000 | 538,486 | ||||||||||
4.000%, 05/01/2022 (Insured by AGM) | 640,000 | 679,002 | ||||||||||
4.000%, 05/01/2023 (Insured by AGM) | 705,000 | 765,080 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2025 (Callable 11/15/2021) | 75,000 | 80,199 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 50,456 | ||||||||||
Total Michigan (Cost $27,489,733) | 27,783,492 | 2.7 | % |
Minnesota | ||||||||||||
City of Brooklyn Center MN, | ||||||||||||
1.950%, 12/01/2021 (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020) (1) | 685,000 | 686,726 | ||||||||||
City of Cold Spring MN, | ||||||||||||
3.000%, 02/01/2020 (Insured by MAC) | 105,000 | 105,151 | ||||||||||
City of Crosslake MN, | ||||||||||||
3.250%, 02/01/2027 (Callable 02/01/2023) | 40,000 | 42,148 | ||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2022 | 605,000 | 640,151 | ||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority: | ||||||||||||
2.311%, 08/01/2027 (Insured by NATL) (1) | 25,000 | 25,000 | ||||||||||
2.290%, 08/01/2028 (Insured by NATL) (1) | 150,000 | 150,000 | ||||||||||
City of Minneapolis MN/St. Paul Metropolitan Airports Commission: | ||||||||||||
5.000%, 01/01/2022 | 1,000,000 | 1,077,550 | ||||||||||
5.000%, 01/01/2025 | 125,000 | 148,333 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2022 | 265,000 | 278,711 | ||||||||||
Duluth Independent School District No. 709, | ||||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 700,000 | 774,214 | ||||||||||
Fergus Falls Independent School District No. 544: | ||||||||||||
2.500%, 02/01/2021 | 160,000 | 161,617 | ||||||||||
2.500%, 02/01/2022 | 145,000 | 147,591 | ||||||||||
2.500%, 02/01/2024 | 105,000 | 108,079 | ||||||||||
Housing & Redevelopment Authority of The City of St. Paul: | ||||||||||||
5.000%, 07/01/2021 | 80,000 | 84,453 | ||||||||||
2.200%, 09/01/2021 (Callable 03/01/2020)(Mandatory Tender Date 09/01/2020) (1) | 750,000 | 750,877 | ||||||||||
Jordan Independent School District No. 717, | ||||||||||||
5.000%, 02/01/2035 (Callable 02/01/2023)(Insured by SD CRED PROG) | 1,000,000 | 1,106,790 | ||||||||||
Minnesota Higher Education Facilities Authority: | ||||||||||||
3.000%, 12/01/2021 | 125,000 | 128,422 | ||||||||||
5.000%, 04/01/2023 | 100,000 | 111,991 | ||||||||||
3.000%, 12/01/2023 | 150,000 | 157,538 | ||||||||||
4.000%, 12/01/2024 | 100,000 | 110,633 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.900%, 01/01/2025 (Insured by GNMA) | 55,000 | 57,974 | ||||||||||
3.900%, 07/01/2030 (Callable 01/01/2022)(Insured by GNMA) | 200,000 | 205,968 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 830,000 | 875,409 | ||||||||||
1.870%, 07/01/2041 (SIFMA Municipal Swap Index + 0.550%) (Callable 07/01/2023)(Mandatory Tender Date 12/12/2023)(Insured by GNMA) (2) | 75,000 | 74,894 | ||||||||||
3.500%, 07/01/2046 (Callable 07/01/2025)(Insured by GNMA) | 4,315,000 | 4,547,967 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 305,000 | 323,511 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 565,000 | 603,742 | ||||||||||
Minnesota Rural Water Finance Authority, Inc., | ||||||||||||
2.000%, 08/01/2020 (Callable 02/01/2020) | 640,000 | 640,422 | ||||||||||
Moorhead Independent School District No. 152: | ||||||||||||
4.000%, 02/01/2020 | 180,000 | 180,383 | ||||||||||
4.000%, 02/01/2021 | 220,000 | 226,479 | ||||||||||
4.000%, 02/01/2022 | 230,000 | 241,951 | ||||||||||
4.000%, 02/01/2023 | 235,000 | 252,649 | ||||||||||
4.000%, 02/01/2024 | 245,000 | 268,510 | ||||||||||
4.000%, 02/01/2025 | 255,000 | 284,611 | ||||||||||
Northern Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2027 (Callable 01/01/2023) | 220,000 | 242,440 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 05/01/2020 | 25,000 | 25,227 | ||||||||||
5.000%, 05/01/2022 | 105,000 | 113,571 | ||||||||||
Shakopee Independent School District No. 720, | ||||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 675,000 | 748,069 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 220,000 | 229,053 | ||||||||||
Total Minnesota (Cost $16,784,368) | 16,938,805 | 1.7 | % |
Mississippi | ||||||||||||
Brookhaven School District, | ||||||||||||
3.000%, 08/01/2023 (Insured by MAC) | 200,000 | 210,998 | ||||||||||
City of Oxford MS, | ||||||||||||
3.000%, 09/01/2024 | 250,000 | 249,240 | ||||||||||
City of Yazoo MS: | ||||||||||||
3.000%, 03/01/2021 (Insured by MAC) | 105,000 | 106,878 | ||||||||||
3.000%, 03/01/2025 (Insured by MAC) | 125,000 | 134,316 | ||||||||||
3.000%, 03/01/2026 (Insured by MAC) | 130,000 | 140,754 | ||||||||||
Copiah-Lincoln Community College District: | ||||||||||||
2.000%, 09/01/2022 (Insured by MAC) | 165,000 | 167,223 | ||||||||||
2.000%, 09/01/2023 (Insured by MAC) | 95,000 | 96,582 | ||||||||||
2.000%, 09/01/2025 (Insured by MAC) | 205,000 | 208,708 | ||||||||||
2.000%, 09/01/2026 (Callable 09/01/2025)(Insured by MAC) | 110,000 | 111,474 | ||||||||||
County of Lowndes MS, | ||||||||||||
6.800%, 04/01/2022 | 50,000 | 54,833 | ||||||||||
Marshall County School District, | ||||||||||||
3.000%, 06/01/2022 (Insured by BAM) | 275,000 | 284,056 | ||||||||||
Mississippi Business Finance Corp., | ||||||||||||
1.350%, 03/01/2029 (Mandatory Tender Date 09/01/2020) (1) | 1,300,000 | 1,300,845 | ||||||||||
Mississippi Development Bank: | ||||||||||||
3.000%, 07/01/2021 (Insured by ST AID) | 730,000 | 739,826 | ||||||||||
4.000%, 07/01/2022 | 170,000 | 179,759 | ||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 50,000 | 56,960 | ||||||||||
5.000%, 11/01/2025 (Insured by BAM) | 215,000 | 254,943 | ||||||||||
Mississippi Home Corp.: | ||||||||||||
1.900%, 08/01/2020 (Mandatory Tender Date 02/01/2020) (1) | 180,000 | 180,077 | ||||||||||
2.400%, 02/01/2022 (Pre-refunded to 08/01/2021) (1) | 2,000,000 | 2,037,080 | ||||||||||
3.500%, 12/01/2049 (Callable 12/01/2028)(Insured by GNMA) | 1,000,000 | 1,078,700 | ||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 8,675,000 | 8,675,087 | ||||||||||
State of Mississippi, | ||||||||||||
1.523%, 09/01/2027 (1 Month LIBOR USD + 0.330%) (Callable 03/01/2020)(Mandatory Tender Date 09/01/2020) (2) | 290,000 | 290,058 | ||||||||||
Total Mississippi (Cost $16,475,969) | 16,558,397 | 1.6 | % | |||||||||
Missouri | ||||||||||||
Arnold Retail Corridor Transportation Development District, | ||||||||||||
3.000%, 11/01/2028 (Callable 11/01/2024) | 1,500,000 | 1,502,640 | ||||||||||
City of St. Louis MO, | ||||||||||||
5.000%, 07/01/2023 (Insured by AGM) | 415,000 | 469,942 | ||||||||||
Fort Osage School District No. R-1, | ||||||||||||
4.000%, 03/01/2020 (Insured by ST AID) | 100,000 | 100,451 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||||||
3.000%, 04/01/2020 | 1,415,000 | 1,417,179 | ||||||||||
4.000%, 04/01/2021 | 500,000 | 509,610 | ||||||||||
4.000%, 06/01/2021 | 175,000 | 182,035 | ||||||||||
5.000%, 09/01/2021 | 235,000 | 247,241 | ||||||||||
0.000%, 09/01/2022 (ETM)(Insured by NATL) | 55,000 | 52,758 | ||||||||||
5.000%, 09/01/2023 | 285,000 | 315,774 | ||||||||||
5.000%, 09/01/2024 | 295,000 | 334,530 | ||||||||||
4.250%, 06/01/2025 (Pre-refunded to 06/01/2020) | 250,000 | 253,198 | ||||||||||
Independence School District, | ||||||||||||
5.000%, 03/01/2027 (Callable 03/01/2020)(Insured by ST AID) | 375,000 | 377,231 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
3.875%, 11/15/2029 (Callable 11/15/2026) | 440,000 | 475,776 | ||||||||||
Joplin Industrial Development Authority, | ||||||||||||
4.250%, 02/15/2021 | 135,000 | 137,344 | ||||||||||
Kirkwood Industrial Development Authority, | ||||||||||||
8.000%, 05/15/2021 (Pre-refunded to 05/15/2020) | 295,000 | 302,298 | ||||||||||
Missouri Association of Rural Education, | ||||||||||||
3.000%, 04/15/2022 (Callable 01/31/2020) | 300,000 | 300,270 | ||||||||||
Missouri Housing Development Commission, | ||||||||||||
3.400%, 11/01/2030 (Callable 11/01/2024)(Insured by GNMA) | 305,000 | 320,036 | ||||||||||
Missouri Southern State University: | ||||||||||||
5.000%, 10/01/2026 (Insured by AGM) | 105,000 | 123,936 | ||||||||||
5.000%, 10/01/2027 (Insured by AGM) | 100,000 | 119,649 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 345,000 | 365,762 | ||||||||||
Riverview Gardens School District: | ||||||||||||
4.000%, 04/01/2021 (Insured by ST AID) (6) | 800,000 | 827,632 | ||||||||||
4.000%, 04/01/2022 (Insured by ST AID) (6) | 380,000 | 402,234 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
3.350%, 01/01/2024 | 175,000 | 176,698 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
2.415%, 06/01/2020 (Insured by AMBAC) (1) | 50,000 | 50,000 | ||||||||||
5.000%, 02/01/2022 | 265,000 | 282,596 | ||||||||||
5.000%, 06/01/2036 (Callable 12/01/2022)(Mandatory Tender Date 06/01/2023) (1) | 75,000 | 82,063 | ||||||||||
Trenton School District No. R-IX, | ||||||||||||
4.000%, 03/01/2022 (Insured by ST AID) | 40,000 | 42,318 | ||||||||||
Total Missouri (Cost $9,670,233) | 9,771,201 | 1.0 | % | |||||||||
Montana | ||||||||||||
City of Red Lodge MT: | ||||||||||||
2.000%, 07/01/2021 (Insured by BAM) | 210,000 | 212,261 | ||||||||||
2.000%, 07/01/2022 (Insured by BAM) | 195,000 | 197,851 | ||||||||||
2.000%, 07/01/2023 (Insured by BAM) | 270,000 | 275,268 | ||||||||||
Montana Board of Housing: | ||||||||||||
4.000%, 12/01/2043 (Callable 12/01/2027) | 1,020,000 | 1,099,040 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2027)(Insured by FHA) | 1,190,000 | 1,283,427 | ||||||||||
Montana Facility Finance Authority, | ||||||||||||
5.000%, 07/01/2025 | 110,000 | 131,491 | ||||||||||
Total Montana (Cost $3,131,698) | 3,199,338 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2032 (Callable 09/01/2022) | 600,000 | 648,678 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 1,225,000 | 1,324,715 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 2,370,000 | 2,648,973 | ||||||||||
Scotts Bluff County School District No. 16, | ||||||||||||
5.000%, 12/01/2026 (Pre-refunded to 05/30/2022) | 115,000 | 125,629 | ||||||||||
Total Nebraska (Cost $4,642,517) | 4,747,995 | 0.5 | % |
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2020 | 185,000 | 189,079 | ||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 | 825,000 | 834,958 | ||||||||||
Clark County School District: | ||||||||||||
5.000%, 06/15/2021 | 1,040,000 | 1,097,252 | ||||||||||
5.000%, 06/15/2023 | 585,000 | 657,271 | ||||||||||
County of Clark NV, | ||||||||||||
3.000%, 08/01/2020 | 1,000,000 | 1,011,140 | ||||||||||
Las Vegas Redevelopment Agency: | ||||||||||||
3.000%, 06/15/2020 | 125,000 | 125,927 | ||||||||||
5.000%, 06/15/2023 | 250,000 | 278,378 | ||||||||||
Lyon County School District, | ||||||||||||
5.000%, 04/01/2021 | 490,000 | 513,172 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 70,000 | 71,287 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028)(Insured by GNMA) | 1,000,000 | 1,101,820 | ||||||||||
Total Nevada (Cost $5,820,694) | 5,880,284 | 0.6 | % | |||||||||
New Jersey | ||||||||||||
Cape May County Industrial Pollution Control Financing Authority, | ||||||||||||
6.800%, 03/01/2021 (Insured by NATL) | 85,000 | 90,205 | ||||||||||
City of Atlantic City NJ: | ||||||||||||
5.000%, 03/01/2022 (Insured by BAM) | 100,000 | 107,232 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 300,000 | 340,332 | ||||||||||
City of Bayonne NJ, | ||||||||||||
5.000%, 07/15/2022 (Insured by AGM) | 475,000 | 517,888 | ||||||||||
City of Trenton NJ: | ||||||||||||
4.000%, 07/15/2022 (Insured by AGM) | 500,000 | 532,480 | ||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 200,000 | 217,888 | ||||||||||
Garden State Preservation Trust, | ||||||||||||
5.000%, 11/01/2020 | 100,000 | 102,917 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 01/01/2020 (Insured by AMBAC) | 70,000 | 70,000 | ||||||||||
5.000%, 03/01/2020 | 405,000 | 407,337 | ||||||||||
5.000%, 07/15/2020 | 100,000 | 101,744 | ||||||||||
0.000%, 01/01/2021 (Insured by AMBAC) | 130,000 | 127,893 | ||||||||||
3.250%, 01/01/2021 | 230,000 | 233,158 | ||||||||||
5.000%, 07/15/2021 | 100,000 | 104,864 | ||||||||||
4.000%, 01/01/2022 | 660,000 | 686,974 | ||||||||||
0.000%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 24,109 | ||||||||||
5.000%, 07/15/2022 | 240,000 | 258,677 | ||||||||||
4.000%, 01/01/2023 | 50,000 | 52,979 | ||||||||||
5.000%, 09/01/2023 (Callable 03/01/2021) | 115,000 | 119,722 | ||||||||||
5.000%, 06/15/2024 | 390,000 | 443,660 | ||||||||||
0.000%, 07/01/2024 (ETM)(Insured by NATL) | 455,000 | 423,741 | ||||||||||
5.250%, 09/01/2024 (Callable 03/01/2021) | 320,000 | 333,946 | ||||||||||
5.250%, 07/01/2025 (Insured by NATL) | 380,000 | 445,820 | ||||||||||
5.000%, 03/01/2026 (Callable 03/01/2023) | 960,000 | 1,056,605 | ||||||||||
5.000%, 06/15/2026 (Callable 06/15/2024) | 400,000 | 450,744 | ||||||||||
5.250%, 09/01/2026 (Callable 03/01/2021) | 585,000 | 610,214 | ||||||||||
5.000%, 06/15/2027 (Callable 06/15/2024) | 1,050,000 | 1,179,937 | ||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 500,000 | 546,965 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 230,000 | 233,399 | ||||||||||
5.000%, 03/01/2030 (Callable 03/01/2023) | 735,000 | 801,848 | ||||||||||
4.000%, 07/01/2030 (Callable 07/01/2020) | 500,000 | 506,260 | ||||||||||
5.000%, 03/01/2031 (Pre-refunded to 09/01/2022) | 65,000 | 71,539 | ||||||||||
New Jersey Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 163,687 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
4.250%, 11/15/2021 (Pre-refunded to 11/15/2020) | 70,000 | 71,895 | ||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 55,000 | 64,660 | ||||||||||
5.250%, 11/15/2029 (Pre-refunded to 11/15/2020) | 2,040,000 | 2,112,787 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 2,070,000 | 2,093,081 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
2.020%, 08/01/2021 (Mandatory Tender Date 08/01/2020) (1) | 350,000 | 351,284 | ||||||||||
2.450%, 10/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 500,000 | 504,020 | ||||||||||
1.500%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 4,000,000 | 4,007,760 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 885,000 | 979,660 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 1,455,000 | 1,633,470 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.500%, 12/15/2021 (Insured by AGM) | 220,000 | 237,556 | ||||||||||
5.000%, 06/15/2023 | 450,000 | 502,366 | ||||||||||
5.000%, 12/15/2023 | 275,000 | 310,217 | ||||||||||
5.000%, 12/15/2023 | 415,000 | 468,145 | ||||||||||
5.000%, 06/15/2024 | 785,000 | 899,531 | ||||||||||
0.000%, 12/15/2026 (Insured by BHAC) | 130,000 | 113,593 | ||||||||||
5.000%, 12/15/2026 | 850,000 | 1,004,964 | ||||||||||
North Hudson Sewerage Authority, | ||||||||||||
0.000%, 08/01/2021 (ETM)(Insured by NATL) | 60,000 | 58,749 | ||||||||||
South Jersey Transportation Authority, | ||||||||||||
5.000%, 11/01/2029 (Pre-refunded to 11/01/2022) | 125,000 | 138,166 | ||||||||||
Township of South Hackensack NJ, | ||||||||||||
3.000%, 02/20/2020 | 250,000 | 250,548 | ||||||||||
Washington Township Municipal Utilities Authority: | ||||||||||||
0.000%, 12/15/2021 (Insured by NATL) | 100,000 | 96,862 | ||||||||||
0.000%, 12/15/2023 (Insured by NATL) | 25,000 | 23,302 | ||||||||||
Total New Jersey (Cost $26,988,161) | 27,287,380 | 2.7 | % | |||||||||
New Mexico | ||||||||||||
City of Farmington NM, | ||||||||||||
1.875%, 04/01/2033 (Mandatory Tender Date 10/01/2021) (1) | 200,000 | 200,662 | ||||||||||
Las Cruces School District No. 2, | ||||||||||||
5.000%, 08/01/2026 (Callable 08/01/2020)(Insured by ST AID) | 150,000 | 153,297 | ||||||||||
New Mexico Educational Assistance Foundation, | ||||||||||||
4.000%, 09/01/2020 | 105,000 | 106,950 | ||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 250,000 | 259,482 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
3.500%, 03/01/2045 (Callable 03/01/2026) | 65,000 | 68,979 | ||||||||||
3.750%, 03/01/2048 (Callable 03/01/2027)(Insured by GNMA) | 275,000 | 295,361 | ||||||||||
4.250%, 07/01/2049 (Callable 01/01/2028) | 75,000 | 82,589 | ||||||||||
3.750%, 01/01/2050 (Callable 01/01/2029)(Insured by GNMA) | 2,000,000 | 2,180,280 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028)(Insured by GNMA) | 2,925,000 | 3,219,343 | ||||||||||
Total New Mexico (Cost $6,440,165) | 6,566,943 | 0.6 | % |
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
2.600%, 07/01/2025 | 1,000,000 | 1,012,300 | ||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 192,692 | 198,774 | ||||||||||
City of Long Beach NY, | ||||||||||||
4.000%, 08/15/2025 (Callable 08/15/2022)(Insured by BAM) | 100,000 | 106,467 | ||||||||||
City of New York NY: | ||||||||||||
5.000%, 08/01/2022 | 160,000 | 175,851 | ||||||||||
5.000%, 10/01/2022 (Callable 10/01/2021) | 190,000 | 202,932 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2023)(Mandatory Tender Date 02/01/2024) (1) | 5,000,000 | 5,653,950 | ||||||||||
County of Rockland NY: | ||||||||||||
5.000%, 03/01/2023 (Insured by AGM) | 415,000 | 465,327 | ||||||||||
3.750%, 10/01/2026 (Callable 10/01/2020) | 70,000 | 71,299 | ||||||||||
County of Suffolk NY, | ||||||||||||
2.000%, 04/16/2020 | 200,000 | 200,382 | ||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057 (Callable 08/01/2020)(Mandatory Tender Date 12/31/2021) (1) | 1,775,000 | 1,781,993 | ||||||||||
Long Island Power Authority: | ||||||||||||
1.997%, 05/01/2033 (1 Month LIBOR USD + 0.750%) (Callable 10/01/2022)(Mandatory Tender Date 10/01/2023) (2) | 200,000 | 201,630 | ||||||||||
1.997%, 05/01/2033 (1 Month LIBOR USD + 0.750%) (Callable 10/01/2022)(Mandatory Tender Date 10/01/2023) (2) | 5,360,000 | 5,403,684 | ||||||||||
1.650%, 09/01/2049 (Callable 03/01/2024)(Mandatory Tender Date 09/01/2024) (1) | 500,000 | 504,150 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
1.909%, 11/01/2032 (1 Month LIBOR USD + 0.680%) (Mandatory Tender Date 04/06/2021)(Insured by AGM) (2) | 145,000 | 145,418 | ||||||||||
Monroe County Industrial Development Corp., | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 102,655 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046 (Callable 01/21/2020)(Partially Pre-refunded) | 500,000 | 500,875 | ||||||||||
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 | 237,508 | ||||||||||
1.300%, 11/01/2049 (Callable 01/21/2020)(Mandatory Tender Date 05/01/2020) (1) | 2,270,000 | 2,270,091 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
1.140%, 11/01/2022 (Callable 01/09/2020)(Optional Put Date 01/07/2020) (1) | 1,830,000 | 1,830,000 | ||||||||||
0.580%, 08/01/2045 (Callable 01/02/2020)(Optional Put Date 01/01/2020) (1) | 8,700,000 | 8,700,000 | ||||||||||
New York State Dormitory Authority, | ||||||||||||
5.000%, 12/15/2021 | 45,000 | 48,449 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.000%, 02/01/2029 (Mandatory Tender Date 05/01/2020) (1) | 2,715,000 | 2,719,507 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,000,000 | 5,001,850 | ||||||||||
Oneida County Local Development Corp., | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2023)(Insured by AGM) | 630,000 | 706,652 | ||||||||||
Southwestern Central School District, | ||||||||||||
2.250%, 06/25/2020 (Insured by ST AID) | 506,933 | 509,574 | ||||||||||
State of New York Mortgage Agency: | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 220,000 | 229,150 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2025) | 360,000 | 381,326 | ||||||||||
Town of Oyster Bay NY: | ||||||||||||
3.000%, 03/01/2020 (Insured by AGM) | 200,000 | 200,578 | ||||||||||
4.000%, 02/15/2026 (Insured by BAM) | 65,000 | 74,207 | ||||||||||
Triborough Bridge & Tunnel Authority: | ||||||||||||
1.693%, 11/15/2027 (1 Month LIBOR USD + 0.500%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 525,000 | 524,916 | ||||||||||
1.893%, 01/01/2032 (1 Month LIBOR USD + 0.700%) (Mandatory Tender Date 02/01/2021) (2) | 2,485,000 | 2,491,138 | ||||||||||
Utility Debt Securitization Authority, | ||||||||||||
5.000%, 12/15/2025 (Callable 12/15/2023) | 210,000 | 241,674 | ||||||||||
Total New York (Cost $42,718,640) | 42,894,307 | 4.2 | % | |||||||||
North Carolina | ||||||||||||
Durham Housing Authority, | ||||||||||||
1.800%, 01/01/2021 (Mandatory Tender Date 01/01/2020) (1) | 285,000 | 285,000 | ||||||||||
Fayetteville Metropolitan Housing Authority, | ||||||||||||
1.950%, 01/01/2022 (Mandatory Tender Date 01/01/2021) (1) | 450,000 | 452,615 | ||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 100,000 | 108,476 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 880,000 | 913,405 | ||||||||||
5.000%, 01/01/2021 (ETM) | 1,125,000 | 1,168,279 | ||||||||||
6.000%, 01/01/2022 (ETM) | 145,000 | 158,947 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 07/01/2048 (Callable 07/01/2027)(Insured by GNMA) | 400,000 | 433,068 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 5,000,000 | 5,518,850 | ||||||||||
North Carolina Medical Care Commission: | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 130,000 | 135,829 | ||||||||||
2.200%, 12/01/2048 (Callable 06/01/2022)(Mandatory Tender Date 12/01/2022) (1) | 1,845,000 | 1,871,439 | ||||||||||
State of North Carolina: | ||||||||||||
5.000%, 03/01/2020 | 300,000 | 301,854 | ||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,250,000 | 1,407,200 | ||||||||||
Total North Carolina (Cost $12,699,100) | 12,754,962 | 1.3 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND: | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,010,880 | ||||||||||
2.350%, 10/01/2021 (Callable 08/01/2020) | 300,000 | 301,131 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 01/31/2020) | 430,000 | 437,607 | ||||||||||
City of Watford City ND: | ||||||||||||
3.000%, 12/01/2021 (Insured by AGM) | 1,980,000 | 2,033,084 | ||||||||||
3.000%, 12/01/2023 (Insured by AGM) | 1,325,000 | 1,389,011 | ||||||||||
City of West Fargo ND: | ||||||||||||
4.000%, 05/01/2021 | 300,000 | 310,623 | ||||||||||
5.000%, 05/01/2022 | 200,000 | 216,614 | ||||||||||
4.000%, 05/01/2023 | 305,000 | 330,681 | ||||||||||
4.000%, 05/01/2024 | 900,000 | 994,014 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 775,000 | 822,879 | ||||||||||
4.500%, 11/01/2026 (Callable 11/01/2023) | 2,150,000 | 2,361,646 | ||||||||||
County of Burleigh ND: | ||||||||||||
4.000%, 11/01/2021 | 1,000,000 | 1,039,550 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 400,000 | 425,396 | ||||||||||
4.500%, 07/01/2032 (Pre-refunded to 07/01/2022) | 360,000 | 388,645 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 400,000 | 432,224 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 01/16/2020) | 790,000 | 798,524 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2048 (Callable 01/01/2027) | 230,000 | 247,650 | ||||||||||
Williston Public School District No. 1, | ||||||||||||
3.000%, 08/01/2026 (Callable 08/01/2024)(Insured by SD CRED PROG) | 1,015,000 | 1,069,912 | ||||||||||
Total North Dakota (Cost $15,323,984) | 15,610,071 | 1.5 | % |
Ohio | ||||||||||||
Adams County/Ohio Valley Local School District, | ||||||||||||
4.000%, 12/01/2020 | 1,000,000 | 1,020,600 | ||||||||||
Alliance City School District, | ||||||||||||
2.500%, 12/01/2022 (Insured by SD CRED PROG) | 200,000 | 207,698 | ||||||||||
American Municipal Power, Inc.: | ||||||||||||
2.000%, 04/23/2020 | 680,000 | 681,197 | ||||||||||
2.250%, 12/03/2020 | 665,000 | 669,715 | ||||||||||
2.250%, 12/10/2020 | 220,000 | 221,573 | ||||||||||
2.300%, 02/15/2038 (Callable 08/15/2021)(Mandatory Tender Date 02/15/2022) (1) | 200,000 | 202,990 | ||||||||||
2.250%, 02/15/2048 (Callable 02/15/2021)(Mandatory Tender Date 08/15/2021) (1) | 250,000 | 251,955 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.000%, 06/01/2020 (ETM) | 100,000 | 101,607 | ||||||||||
City of Huron OH, | ||||||||||||
3.125%, 12/01/2024 | 325,000 | 335,761 | ||||||||||
City of Lorain OH: | ||||||||||||
3.000%, 12/01/2021 (Insured by BAM) | 110,000 | 112,928 | ||||||||||
3.000%, 12/01/2022 (Insured by BAM) | 185,000 | 192,006 | ||||||||||
3.000%, 12/01/2023 (Insured by BAM) | 185,000 | 193,580 | ||||||||||
3.000%, 12/01/2024 (Insured by BAM) | 130,000 | 136,724 | ||||||||||
3.000%, 12/01/2025 (Insured by BAM) | 135,000 | 142,116 | ||||||||||
3.000%, 12/01/2026 (Insured by BAM) | 135,000 | 141,553 | ||||||||||
City of St. Clairsville OH, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 340,000 | 374,656 | ||||||||||
City of Tiffin OH, | ||||||||||||
2.500%, 12/01/2024 (Callable 12/01/2023) | 250,000 | 258,188 | ||||||||||
County of Franklin OH: | ||||||||||||
5.000%, 05/15/2027 (Callable 05/15/2023) | 1,000,000 | 1,118,590 | ||||||||||
5.000%, 05/15/2030 (Callable 05/15/2023) | 270,000 | 300,793 | ||||||||||
1.750%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 500,000 | 500,920 | ||||||||||
County of Holmes OH, | ||||||||||||
3.000%, 12/01/2022 (Callable 01/31/2020)(Insured by AGM) | 190,000 | 191,497 | ||||||||||
County of Lorain OH: | ||||||||||||
3.000%, 02/07/2020 | 750,000 | 751,335 | ||||||||||
4.000%, 12/01/2020 | 140,000 | 143,696 | ||||||||||
County of Montgomery OH: | ||||||||||||
5.000%, 11/15/2024 | 1,460,000 | 1,701,849 | ||||||||||
5.000%, 11/15/2025 | 2,500,000 | 2,979,375 | ||||||||||
County of Trumbull OH, | ||||||||||||
2.000%, 07/23/2020 | 500,000 | 501,830 | ||||||||||
Cuyahoga Metropolitan Housing Authority: | ||||||||||||
2.200%, 06/01/2021 (Mandatory Tender Date 06/01/2020) (1) | 540,000 | 541,939 | ||||||||||
2.000%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 300,000 | 301,689 | ||||||||||
Euclid City School District: | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 130,000 | 141,951 | ||||||||||
4.000%, 12/01/2025 (Insured by BAM) | 65,000 | 73,301 | ||||||||||
Field Local School District, | ||||||||||||
3.000%, 12/01/2023 (Callable 12/01/2020)(Insured by BAM) | 235,000 | 238,010 | ||||||||||
Great Oaks Career Campuses Board of Education: | ||||||||||||
4.000%, 12/01/2020 | 700,000 | 717,766 | ||||||||||
4.000%, 12/01/2021 | 700,000 | 738,829 | ||||||||||
4.000%, 12/01/2022 | 400,000 | 431,684 | ||||||||||
Greater Cleveland Regional Transit Authority, | ||||||||||||
5.000%, 12/01/2023 | 145,000 | 166,364 | ||||||||||
Groveport-Madison Local School District, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022)(Insured by BAM) | 50,000 | 53,573 | ||||||||||
Madison Local School District, | ||||||||||||
2.250%, 10/01/2020 | 565,000 | 569,396 | ||||||||||
Miami University, | ||||||||||||
4.000%, 09/01/2027 (Callable 09/01/2022) | 160,000 | 170,446 | ||||||||||
Norton City School District/Summit Country OH, | ||||||||||||
4.000%, 11/01/2026 (Callable 11/01/2023)(Insured by SD CRED PROG) | 430,000 | 469,302 | ||||||||||
Ohio Higher Educational Facility Commission: | ||||||||||||
5.000%, 12/01/2020 | 35,000 | 36,201 | ||||||||||
5.000%, 11/01/2023 | 580,000 | 650,510 | ||||||||||
5.000%, 03/01/2025 | 685,000 | 773,290 | ||||||||||
5.750%, 11/15/2040 (Pre-refunded to 05/15/2020) | 1,530,000 | 1,555,536 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 135,000 | 143,258 | ||||||||||
Ohio Turnpike & Infrastructure Commission, | ||||||||||||
5.500%, 02/15/2024 | 1,185,000 | 1,342,451 | ||||||||||
Oregon City School District, | ||||||||||||
0.000%, 12/01/2021 | 245,000 | 239,181 | ||||||||||
Port of Greater Cincinnati Development Authority, | ||||||||||||
3.125%, 11/15/2023 | 360,000 | 370,246 | ||||||||||
State of Ohio, | ||||||||||||
5.000%, 04/01/2029 (Callable 04/01/2023) | 25,000 | 28,032 | ||||||||||
Toledo OH, | ||||||||||||
5.000%, 12/01/2022 | 150,000 | 165,524 | ||||||||||
Troy City School District, | ||||||||||||
2.050%, 12/01/2023 (Callable 12/01/2022) | 170,000 | 172,895 | ||||||||||
Village of Bratenahl OH, | ||||||||||||
2.500%, 08/13/2020 | 1,650,000 | 1,657,111 | ||||||||||
Village of Cuyahoga Heights OH: | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 95,000 | 103,018 | ||||||||||
4.000%, 12/01/2024 (Insured by AGM) | 100,000 | 110,285 | ||||||||||
Wauseon Exempted Village School District, | ||||||||||||
0.000%, 12/01/2021 (Insured by SD CRED PROG) | 400,000 | 390,204 | ||||||||||
Total Ohio (Cost $25,629,879) | 25,786,724 | 2.5 | % |
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 290,000 | 301,638 | ||||||||||
City of Midwest City OK: | ||||||||||||
3.000%, 06/01/2021 | 370,000 | 379,498 | ||||||||||
3.000%, 06/01/2023 | 485,000 | 510,535 | ||||||||||
Custer County Economic Development Authority: | ||||||||||||
4.000%, 12/01/2021 | 415,000 | 436,161 | ||||||||||
4.000%, 12/01/2023 | 450,000 | 492,804 | ||||||||||
Elk City Industrial Authority, | ||||||||||||
3.000%, 05/01/2022 | 105,000 | 108,535 | ||||||||||
Kingfisher County Educational Facilities Authority, | ||||||||||||
3.000%, 03/01/2023 | 385,000 | 402,560 | ||||||||||
Logan County Independent School District No. 1, | ||||||||||||
4.000%, 08/01/2020 | 25,000 | 25,400 | ||||||||||
Norman Regional Hospital Authority, | ||||||||||||
5.000%, 09/01/2020 | 50,000 | 51,162 | ||||||||||
Oklahoma County Finance Authority, | ||||||||||||
5.000%, 09/01/2024 | 350,000 | 407,932 | ||||||||||
Oklahoma Development Finance Authority: | ||||||||||||
4.000%, 08/01/2021 | 425,000 | 439,811 | ||||||||||
4.000%, 08/01/2022 | 535,000 | 564,350 | ||||||||||
5.000%, 08/01/2023 | 485,000 | 537,327 | ||||||||||
2.600%, 03/01/2024 | 1,000,000 | 1,004,850 | ||||||||||
5.000%, 08/01/2024 | 585,000 | 662,665 | ||||||||||
Oklahoma Housing Finance Agency: | ||||||||||||
1.900%, 03/01/2021 (Mandatory Tender Date 03/01/2020) (1) | 100,000 | 100,089 | ||||||||||
2.050%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 725,000 | 726,385 | ||||||||||
1.600%, 07/01/2022 (Mandatory Tender Date 01/01/2022) (1) | 850,000 | 851,173 | ||||||||||
Oklahoma Municipal Power Authority, | ||||||||||||
1.710%, 01/01/2023 (SIFMA Municipal Swap Index + 0.390%) (2) | 265,000 | 264,512 | ||||||||||
Oklahoma School Districts & County Revenue Anticipation Program, | ||||||||||||
1.850%, 06/28/2020 (Insured by ST AID) | 435,000 | 435,461 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 04/01/2023 | 750,000 | 841,718 | ||||||||||
Texas County Development Authority, | ||||||||||||
4.000%, 12/01/2023 | 675,000 | 738,396 | ||||||||||
Tulsa County Industrial Authority: | ||||||||||||
5.000%, 09/01/2024 | 400,000 | 464,440 | ||||||||||
7.125%, 11/01/2030 (Pre-refunded to 05/01/2020) | 1,000,000 | 1,019,200 | ||||||||||
Total Oklahoma (Cost $11,650,231) | 11,766,602 | 1.2 | % |
Oregon | ||||||||||||
Oregon State Business Development Commission, | ||||||||||||
2.400%, 12/01/2040 (Mandatory Tender Date 08/14/2023) (1) | 100,000 | 103,515 | ||||||||||
Oregon State Facilities Authority: | ||||||||||||
4.750%, 03/15/2024 (Callable 03/15/2020) | 15,000 | 15,098 | ||||||||||
6.375%, 09/01/2040 (Pre-refunded to 09/01/2020) | 1,000,000 | 1,034,020 | ||||||||||
Port of Morrow OR, | ||||||||||||
4.000%, 06/01/2026 (Callable 01/31/2020) | 220,000 | 220,215 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 05/01/2023 | 500,000 | 547,575 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 915,000 | 983,360 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 2,450,000 | 2,465,900 | ||||||||||
3.500%, 07/01/2032 (Callable 07/01/2026) | 3,375,000 | 3,559,916 | ||||||||||
3.875%, 01/01/2033 (Callable 07/01/2024) | 335,000 | 352,842 | ||||||||||
3.500%, 07/01/2036 (Callable 01/01/2025) | 115,000 | 120,288 | ||||||||||
4.500%, 01/01/2049 (Callable 07/01/2027) | 1,435,000 | 1,571,641 | ||||||||||
4.500%, 07/01/2049 (Callable 07/01/2027) | 445,000 | 490,208 | ||||||||||
Total Oregon (Cost $11,339,663) | 11,464,578 | 1.1 | % | |||||||||
Pennsylvania | ||||||||||||
Abington Heights School District Lackawanna County, | ||||||||||||
2.000%, 03/15/2023 (Callable 03/15/2020)(Insured by ST AID) | 195,000 | 195,179 | ||||||||||
Aliquippa Municipal Water Authority, | ||||||||||||
2.000%, 11/15/2023 (Callable 11/15/2022)(Insured by BAM) | 250,000 | 252,817 | ||||||||||
Allegheny County Hospital Development Authority, | ||||||||||||
4.125%, 10/15/2026 (Callable 10/15/2021) | 55,000 | 57,601 | ||||||||||
Blacklick Valley School District: | ||||||||||||
5.000%, 11/15/2020 (Insured by MAC) | 130,000 | 134,130 | ||||||||||
5.000%, 11/15/2021 (Insured by MAC) | 170,000 | 181,234 | ||||||||||
5.000%, 11/15/2022 (Insured by MAC) | 175,000 | 192,630 | ||||||||||
5.000%, 11/15/2023 (Insured by MAC) | 190,000 | 215,300 | ||||||||||
5.000%, 11/15/2024 (Insured by MAC) | 200,000 | 232,620 | ||||||||||
Borough of Lewistown PA: | ||||||||||||
4.000%, 09/01/2022 (Insured by AGM) | 265,000 | 282,419 | ||||||||||
4.000%, 09/01/2023 (Insured by AGM) | 315,000 | 342,827 | ||||||||||
4.000%, 09/01/2024 (Insured by AGM) | 100,000 | 110,946 | ||||||||||
Bristol Township School District, | ||||||||||||
5.000%, 06/01/2020 | 780,000 | 791,879 | ||||||||||
Caernarvon Township Authority: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) | 100,000 | 108,834 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) | 140,000 | 155,391 | ||||||||||
4.000%, 09/01/2025 (Callable 09/01/2024)(Insured by MAC) | 100,000 | 110,340 | ||||||||||
4.000%, 09/01/2026 (Callable 09/01/2024)(Insured by MAC) | 150,000 | 165,180 | ||||||||||
4.000%, 09/01/2027 (Callable 09/01/2024)(Insured by MAC) | 130,000 | 142,741 | ||||||||||
4.000%, 09/01/2028 (Callable 09/01/2024)(Insured by MAC) | 165,000 | 180,639 | ||||||||||
4.000%, 09/01/2029 (Callable 09/01/2024)(Insured by MAC) | 170,000 | 185,623 | ||||||||||
4.000%, 09/01/2030 (Callable 09/01/2024)(Insured by MAC) | 175,000 | 190,647 | ||||||||||
4.000%, 09/01/2032 (Callable 09/01/2024)(Insured by MAC) | 375,000 | 406,714 | ||||||||||
Carmichaels Area School District: | ||||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 100,000 | 106,411 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 155,000 | 168,288 | ||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 220,000 | 242,933 | ||||||||||
Catholic Health Initiatives, | ||||||||||||
4.000%, 05/15/2022 (Pre-refunded to 05/15/2021)(Insured by ST AID) | 50,000 | 51,891 | ||||||||||
Centennial School District Bucks County, | ||||||||||||
5.000%, 12/15/2022 (Insured by ST AID) | 50,000 | 55,549 | ||||||||||
Central Bradford Progress Authority, | ||||||||||||
5.000%, 12/01/2026 (Pre-refunded to 12/01/2021) | 415,000 | 444,702 | ||||||||||
Chester County Health & Education Facilities Authority: | ||||||||||||
5.000%, 05/15/2031 (Pre-refunded to 05/15/2020) | 65,000 | 65,919 | ||||||||||
5.000%, 05/15/2040 (Pre-refunded to 05/15/2020) | 70,000 | 70,990 | ||||||||||
Coatesville School District, | ||||||||||||
5.000%, 08/01/2023 (Insured by AGM) | 150,000 | 167,619 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 265,000 | 287,130 | ||||||||||
5.000%, 06/01/2023 | 225,000 | 250,189 | ||||||||||
Commonwealth of Pennsylvania, | ||||||||||||
3.750%, 10/01/2021 (Callable 01/31/2020) | 175,000 | 175,306 | ||||||||||
County of Allegheny PA, | ||||||||||||
1.829%, 11/01/2026 (3 Month LIBOR USD + 0.550%) (Callable 01/31/2020)(Insured by AGM) (2) | 745,000 | 743,085 | ||||||||||
County of McKean PA: | ||||||||||||
4.000%, 11/01/2022 (Insured by BAM) | 120,000 | 128,371 | ||||||||||
4.000%, 11/01/2023 (Insured by BAM) | 395,000 | 431,518 | ||||||||||
Crawford Central School District: | ||||||||||||
2.000%, 02/15/2020 (Insured by BAM) | 525,000 | 525,472 | ||||||||||
4.000%, 02/15/2022 (Insured by BAM) | 275,000 | 289,790 | ||||||||||
4.000%, 02/15/2024 (Insured by BAM) | 1,505,000 | 1,651,316 | ||||||||||
4.000%, 02/15/2025 (Insured by BAM) | 2,455,000 | 2,740,541 | ||||||||||
Delaware County Authority, | ||||||||||||
4.000%, 06/01/2020 | 390,000 | 392,285 | ||||||||||
East Allegheny School District, | ||||||||||||
0.000%, 11/15/2021 (Insured by AGM) | 480,000 | 467,213 | ||||||||||
Eastern York School District, | ||||||||||||
2.250%, 09/01/2025 (Callable 01/31/2020)(Insured by BAM) | 685,000 | 685,219 | ||||||||||
Easton Area School District, | ||||||||||||
4.000%, 04/01/2030 (Callable 10/01/2024)(Insured by ST AID) | 1,150,000 | 1,262,826 | ||||||||||
Elizabeth Forward School District, | ||||||||||||
0.000%, 09/01/2022 (ETM)(Insured by NATL) | 250,000 | 241,080 | ||||||||||
Erie City Water Authority, | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2022)(Insured by AGM) | 385,000 | 412,901 | ||||||||||
Hamburg Area School District, | ||||||||||||
4.000%, 04/01/2024 (Insured by ST AID) (6) | 845,000 | 932,094 | ||||||||||
Hazleton Area School District, | ||||||||||||
4.000%, 03/01/2025 (Insured by BAM) | 430,000 | 477,674 | ||||||||||
Lancaster Higher Education Authority, | ||||||||||||
5.000%, 10/01/2022 (Insured by BAM) | 35,000 | 38,448 | ||||||||||
Lancaster Industrial Development Authority, | ||||||||||||
5.000%, 05/01/2022 (ETM) | 45,000 | 48,913 | ||||||||||
Lycoming County Authority: | ||||||||||||
2.000%, 11/01/2035 (Mandatory Tender Date 11/01/2022) (1) | 1,000,000 | 1,000,000 | ||||||||||
4.000%, 11/01/2043 (Mandatory Tender Date 05/01/2024) (1) | 1,260,000 | 1,364,492 | ||||||||||
Meyersdale Area School District: | ||||||||||||
3.000%, 05/01/2020 (Insured by BAM) | 440,000 | 442,372 | ||||||||||
3.000%, 05/01/2021 (Insured by BAM) | 545,000 | 556,859 | ||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 1,690,000 | 1,712,223 | ||||||||||
Montgomery County Industrial Development Authority: | ||||||||||||
4.000%, 12/01/2021 | 100,000 | 104,689 | ||||||||||
4.000%, 12/01/2022 | 90,000 | 96,300 | ||||||||||
4.000%, 12/01/2023 | 125,000 | 136,441 | ||||||||||
4.000%, 12/01/2024 | 100,000 | 110,981 | ||||||||||
4.000%, 12/01/2025 | 140,000 | 157,544 | ||||||||||
2.600%, 03/01/2034 (Mandatory Tender Date 09/01/2020) (1) | 260,000 | 262,301 | ||||||||||
North East School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 445,000 | 446,896 | ||||||||||
North Penn Water Authority: | ||||||||||||
1.480%, 11/01/2020 (SIFMA Municipal Swap Index + 0.160%) (2) | 640,000 | 639,974 | ||||||||||
1.880%, 11/01/2024 (SIFMA Municipal Swap Index + 0.560%) (Callable 11/01/2023) (2) | 845,000 | 844,713 | ||||||||||
North Pocono School District, | ||||||||||||
4.000%, 03/15/2024 (Insured by BAM) | 230,000 | 253,764 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.287%, 08/15/2048 (1 Month LIBOR USD + 1.040%) (Callable 02/15/2023)(Mandatory Tender Date 08/15/2024) (2) | 75,000 | 75,662 | ||||||||||
Octorara Area School District, | ||||||||||||
4.000%, 04/01/2025 (Insured by AGM) (6) | 355,000 | 399,173 | ||||||||||
Palmyra Area School District, | ||||||||||||
5.000%, 06/01/2030 (Callable 06/01/2025)(Insured by ST AID) | 400,000 | 467,884 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
2.800%, 12/01/2033 (Mandatory Tender Date 12/01/2021) (1) | 205,000 | 210,941 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 (ETM) | 355,000 | 363,300 | ||||||||||
5.000%, 08/15/2024 (Pre-refunded to 08/15/2021) | 185,000 | 196,527 | ||||||||||
2.850%, 05/01/2034 (Mandatory Tender Date 05/01/2021) (1) | 510,000 | 517,864 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 2,500,000 | 2,540,900 | ||||||||||
3.700%, 10/01/2042 (Callable 10/01/2021) | 155,000 | 156,879 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2026) | 165,000 | 176,015 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 6,000,000 | 6,491,580 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
2.200%, 12/01/2020 (SIFMA Municipal Swap Index + 0.880%) (Callable 06/01/2020) (2) | 420,000 | 421,260 | ||||||||||
2.300%, 12/01/2021 (SIFMA Municipal Swap Index + 0.980%) (Callable 06/01/2021) (2) | 865,000 | 873,589 | ||||||||||
5.000%, 12/01/2022 | 50,000 | 55,175 | ||||||||||
0.000%, 12/01/2023 | 50,000 | 46,820 | ||||||||||
5.450%, 12/01/2035 (Pre-refunded to 12/01/2020)(Insured by AGM) (5) | 40,000 | 41,591 | ||||||||||
Perkasie Regional Authority, | ||||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 460,000 | 495,553 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
1.890%, 09/01/2040 (1 Month LIBOR USD + 0.640%) (Callable 06/01/2020)(Mandatory Tender Date 12/01/2020)(Insured by AGM) (2) | 750,000 | 750,233 | ||||||||||
Punxsutawney Area School District, | ||||||||||||
2.125%, 10/15/2021 (Callable 01/31/2020)(Insured by AGM) | 150,000 | 150,074 | ||||||||||
Quakertown Community School District, | ||||||||||||
2.150%, 08/01/2025 (Callable 02/01/2021)(Insured by ST AID) | 1,090,000 | 1,095,341 | ||||||||||
Reading School District: | ||||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 160,000 | 172,942 | ||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 565,000 | 610,703 | ||||||||||
5.000%, 04/01/2023 (Insured by BAM) | 750,000 | 834,352 | ||||||||||
4.000%, 04/01/2024 (Insured by BAM) | 615,000 | 677,564 | ||||||||||
5.000%, 04/01/2024 (Insured by BAM) | 2,250,000 | 2,571,053 | ||||||||||
Sayre Area School District: | ||||||||||||
3.000%, 05/15/2022 (Insured by BAM) | 25,000 | 25,891 | ||||||||||
3.000%, 05/15/2024 (Insured by BAM) | 25,000 | 26,581 | ||||||||||
Sayre Health Care Facilities Authority, | ||||||||||||
2.058%, 12/01/2024 (3 Month LIBOR USD + 0.780%) (Callable 01/31/2020) (2) | 55,000 | 55,329 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 06/01/2024 | 320,000 | 360,522 | ||||||||||
School District of Reading, | ||||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 100,000 | 114,006 | ||||||||||
School District of the City of Erie: | ||||||||||||
5.000%, 04/01/2023 | 265,000 | 294,359 | ||||||||||
5.000%, 04/01/2024 | 230,000 | 262,819 | ||||||||||
5.000%, 04/01/2024 (Insured by AGM) | 250,000 | 285,673 | ||||||||||
Schuylkill Haven Area School District, | ||||||||||||
2.625%, 09/01/2026 (Callable 09/01/2020)(Insured by MAC) | 1,115,000 | 1,121,367 | ||||||||||
Scranton School District, | ||||||||||||
2.061%, 04/01/2031 (1 Month LIBOR USD + 0.850%) (Callable 10/01/2020)(Mandatory Tender Date 04/01/2021)(Insured by ST AID) (2) | 275,000 | 275,215 | ||||||||||
Sharpsville Area School District, | ||||||||||||
2.000%, 09/15/2020 (Callable 01/31/2020)(Insured by ST AID) | 1,020,000 | 1,020,530 | ||||||||||
Steel Valley School District: | ||||||||||||
3.000%, 11/01/2021 (Insured by BAM) | 100,000 | 101,897 | ||||||||||
4.000%, 11/01/2022 (Insured by BAM) | 190,000 | 202,764 | ||||||||||
4.000%, 11/01/2024 (Insured by BAM) | 260,000 | 287,474 | ||||||||||
4.000%, 11/01/2024 (Insured by BAM) | 50,000 | 55,284 | ||||||||||
4.000%, 11/01/2025 (Insured by BAM) | 270,000 | 302,503 | ||||||||||
4.000%, 11/01/2025 (Insured by BAM) | 50,000 | 56,019 | ||||||||||
4.000%, 11/01/2026 (Insured by BAM) | 280,000 | 316,484 | ||||||||||
Susquenita School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by MAC) | 300,000 | 301,158 | ||||||||||
Township of Hampton PA, | ||||||||||||
5.900%, 02/01/2023 | 125,000 | 140,820 | ||||||||||
Township of North Fayette PA, | ||||||||||||
4.000%, 04/15/2025 (Callable 04/15/2024) | 210,000 | 230,859 | ||||||||||
University of Pittsburgh-of the Commonwealth System of Higher Education: | ||||||||||||
1.560%, 09/15/2021 (SIFMA Municipal Swap Index + 0.240%) (Callable 03/15/2021) (2) | 100,000 | 100,172 | ||||||||||
1.680%, 02/15/2024 (SIFMA Municipal Swap Index + 0.360%) (Callable 08/15/2023) (2) | 2,500,000 | 2,504,950 | ||||||||||
Urban Redevelopment Authority of Pittsburgh, | ||||||||||||
2.250%, 12/01/2020 (Callable 01/21/2020)(Mandatory Tender Date 06/01/2020) (1) | 605,000 | 605,242 | ||||||||||
Washington County Industrial Development Authority, | ||||||||||||
4.000%, 11/01/2020 (Pre-refunded to 05/01/2020) | 80,000 | 80,764 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 200,000 | 203,096 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
0.000%, 08/15/2023 (ETM) | 200,000 | 188,934 | ||||||||||
Wilkinsburg School District, | ||||||||||||
3.000%, 05/15/2020 (Insured by AGM) | 110,000 | 110,518 | ||||||||||
Wyalusing Area School District, | ||||||||||||
2.000%, 04/01/2020 (Callable 01/31/2020)(Insured by AGM) | 280,000 | 280,120 | ||||||||||
York City School District, | ||||||||||||
4.000%, 05/01/2025 (Insured by BAM) (6) | 3,070,000 | 3,455,070 | ||||||||||
Total Pennslyvania (Cost $59,786,044) | 60,080,308 | 5.9 | % |
Puerto Rico | ||||||||||||
Puerto Rico Highway & Transportation Authority, | ||||||||||||
4.600%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 27,083 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 325,000 | 354,409 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 375,000 | 477,893 | ||||||||||
Puerto Rico Sales Tax Financing Corp., | ||||||||||||
0.000%, 07/01/2024 | 1,376,000 | 1,207,715 | ||||||||||
Total Puerto Rico (Cost $1,977,299) | 2,067,100 | 0.2 | % | |||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 270,000 | 279,593 | ||||||||||
Providence Redevelopment Agency, | ||||||||||||
5.000%, 04/01/2020 | 1,255,000 | 1,264,890 | ||||||||||
Rhode Island Health & Educational Building Corp., | ||||||||||||
5.000%, 03/01/2022 (Pre-refunded to 03/01/2020) | 1,045,000 | 1,051,406 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp.: | ||||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 40,000 | 41,241 | ||||||||||
3.750%, 10/01/2049 (Callable 04/01/2029) | 2,250,000 | 2,459,362 | ||||||||||
Total Rhode Island (Cost $5,080,785) | 5,096,492 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Barnwell Facilities Corp.: | ||||||||||||
5.000%, 09/01/2023 (Insured by BAM) | 285,000 | 321,047 | ||||||||||
5.000%, 09/01/2024 (Insured by BAM) | 280,000 | 323,736 | ||||||||||
City of Myrtle Beach SC, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 102,798 | ||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2023 (Insured by BAM) | 320,000 | 358,426 | ||||||||||
Greenville Health System, | ||||||||||||
5.000%, 05/01/2026 (Callable 05/01/2022) | 1,020,000 | 1,103,507 | ||||||||||
Greenwood Fifty School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2027 (Callable 06/01/2026)(Insured by BAM) | 1,095,000 | 1,320,625 | ||||||||||
Patriots Energy Group Financing Agency, | ||||||||||||
4.000%, 10/01/2048 (Callable 11/01/2023)(Mandatory Tender Date 02/01/2024) (1) | 1,005,000 | 1,095,591 | ||||||||||
Piedmont Municipal Power Agency, | ||||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 190,000 | 224,977 | ||||||||||
Scago Educational Facilities Corp. for Marro School District, | ||||||||||||
4.250%, 12/01/2029 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 101,920 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.250%, 08/01/2030 (Pre-refunded to 08/01/2023) | 110,000 | 125,513 | ||||||||||
6.000%, 08/01/2031 (Pre-refunded to 08/01/2021)(Insured by AGM) | 125,000 | 134,430 | ||||||||||
6.500%, 08/01/2039 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,570,000 | 1,700,420 | ||||||||||
South Carolina State Housing Finance & Development Authority: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025)(Insured by GNMA) | 205,000 | 218,464 | ||||||||||
4.500%, 07/01/2048 (Callable 07/01/2027) | 525,000 | 576,786 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 2,415,000 | 2,675,530 | ||||||||||
Total South Carolina (Cost $10,169,257) | 10,383,770 | 1.0 | % | |||||||||
South Dakota | ||||||||||||
Aberdeen School District No. 6-1, | ||||||||||||
2.200%, 01/01/2023 (Callable 01/31/2020) | 255,000 | 255,178 | ||||||||||
City of Rapid City SD, | ||||||||||||
5.000%, 12/01/2025 | 310,000 | 365,794 | ||||||||||
Total South Dakota (Cost $619,661) | 620,972 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson Tennessee: | ||||||||||||
5.000%, 04/01/2024 | 250,000 | 286,560 | ||||||||||
5.000%, 04/01/2027 (Callable 04/01/2025) | 665,000 | 775,363 | ||||||||||
Clarksville Natural Gas Acquisition Corp., | ||||||||||||
5.000%, 12/15/2021 | 185,000 | 197,389 | ||||||||||
County of Hardin TN: | ||||||||||||
5.000%, 06/01/2020 (Insured by AGM) | 1,080,000 | 1,096,945 | ||||||||||
5.000%, 06/01/2021 (Insured by AGM) | 1,420,000 | 1,496,084 | ||||||||||
5.000%, 06/01/2022 (Insured by AGM) | 1,465,000 | 1,598,300 | ||||||||||
County of Loudon TN, | ||||||||||||
2.250%, 06/01/2026 (Callable 06/01/2021) | 230,000 | 232,036 | ||||||||||
County of Shelby TN, | ||||||||||||
5.000%, 04/01/2020 (Callable 01/31/2020) | 200,000 | 204,286 | ||||||||||
Franklin County Health & Educational Facilities Board, | ||||||||||||
2.400%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 200,000 | 201,640 | ||||||||||
Greeneville Health & Educational Facilities Board, | ||||||||||||
1.450%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 1,920,000 | 1,919,578 | ||||||||||
Hollow Rock-Bruceton Special School District, | ||||||||||||
3.000%, 04/01/2023 | 346,000 | 364,072 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
1.500%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 650,000 | 651,430 | ||||||||||
5.000%, 11/15/2022 | 250,000 | 276,152 | ||||||||||
Memphis Health Educational & Housing Facility Board, | ||||||||||||
6.750%, 12/01/2046 (Pre-refunded to 06/01/2021) | 875,000 | 942,086 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
1.300%, 12/01/2020 | 5,000,000 | 4,998,200 | ||||||||||
2.050%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 150,000 | 150,345 | ||||||||||
2.100%, 04/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 250,000 | 251,437 | ||||||||||
0.000%, 06/01/2021 (ETM) | 145,000 | 142,293 | ||||||||||
1.550%, 11/15/2030 (Mandatory Tender Date 11/03/2020) (1) | 860,000 | 861,918 | ||||||||||
Tennessee Energy Acquisition Corp., | ||||||||||||
4.000%, 11/01/2049 (Callable 08/01/2025)(Mandatory Tender Date 11/01/2025) (1) | 330,000 | 366,802 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.000%, 07/01/2025 (Callable 01/01/2021) | 160,000 | 163,592 | ||||||||||
3.050%, 07/01/2029 (Callable 07/01/2024) | 140,000 | 145,760 | ||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,680,000 | 1,744,999 | ||||||||||
3.850%, 07/01/2032 (Callable 01/01/2025) | 1,810,000 | 1,934,745 | ||||||||||
4.200%, 07/01/2042 (Callable 01/01/2022) | 365,000 | 374,348 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 835,000 | 901,541 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 205,000 | 210,254 | ||||||||||
4.000%, 01/01/2046 (Callable 01/01/2025) | 35,000 | 36,998 | ||||||||||
3.750%, 01/01/2050 (Callable 01/01/2029) | 1,000,000 | 1,099,840 | ||||||||||
Wilson County Water & Wastewater Authority, | ||||||||||||
0.000%, 03/01/2022 | 300,000 | 287,238 | ||||||||||
Total Tennessee (Cost $23,739,303) | 23,912,231 | 2.3 | % |
Texas | ||||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 1,290,000 | 1,368,238 | ||||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 375,000 | 397,744 | ||||||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 350,000 | 383,758 | ||||||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 325,000 | 367,478 | ||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 535,000 | 622,242 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 30,000 | 35,865 | ||||||||||
4.000%, 08/15/2026 (PSF Guaranteed) | 200,000 | 229,516 | ||||||||||
Bandera Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 460,000 | 530,145 | ||||||||||
Bay Colony West Municipal Utility District, | ||||||||||||
2.000%, 10/01/2020 (Insured by NATL) | 175,000 | 175,735 | ||||||||||
Beaumont Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 100,000 | 118,629 | ||||||||||
Bexar County Health Facilities Development Corp., | ||||||||||||
6.200%, 07/01/2045 (Pre-refunded to 07/01/2020) | 225,000 | 230,553 | ||||||||||
Boerne Public Facilities Corp., | ||||||||||||
2.750%, 11/01/2022 (Mandatory Tender Date 11/01/2021) (1) | 265,000 | 271,667 | ||||||||||
Brazoria County Municipal Utility District No. 17, | ||||||||||||
4.000%, 09/01/2024 (Callable 09/01/2023)(Insured by MAC) | 175,000 | 190,031 | ||||||||||
Brazoria-Fort Bend County Municipal Utility District No. 1, | ||||||||||||
2.000%, 09/01/2020 (Insured by BAM) | 955,000 | 958,180 | ||||||||||
Brazosport Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 5,525,000 | 6,360,325 | ||||||||||
Capital Area Housing Finance Corp., | ||||||||||||
2.100%, 09/01/2037 (Callable 08/01/2021)(Mandatory Tender Date 09/01/2022) (1) | 1,215,000 | 1,228,572 | ||||||||||
Carrollton-Farmers Branch Independent School District: | ||||||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 90,000 | 90,409 | ||||||||||
5.000%, 02/15/2020 (ETM)(PSF Guaranteed) | 35,000 | 35,157 | ||||||||||
Central Texas Regional Mobility Authority: | ||||||||||||
5.000%, 01/01/2022 | 405,000 | 434,160 | ||||||||||
5.000%, 01/01/2045 (Callable 07/01/2020)(Mandatory Tender Date 01/07/2021) (1) | 215,000 | 218,715 | ||||||||||
Central Texas Turnpike System: | ||||||||||||
5.000%, 08/15/2023 | 130,000 | 146,746 | ||||||||||
0.000%, 08/15/2024 (ETM)(Insured by AMBAC) | 700,000 | 656,635 | ||||||||||
5.000%, 08/15/2042 (Mandatory Tender Date 04/01/2020) (1) | 965,000 | 973,569 | ||||||||||
Cibolo Canyons Special Improvement District: | ||||||||||||
5.000%, 08/15/2021 (Insured by AGM) | 65,000 | 68,523 | ||||||||||
5.000%, 08/15/2022 (Insured by AGM) | 365,000 | 396,262 | ||||||||||
Cimarron Municipal Utility District, | ||||||||||||
4.000%, 03/01/2025 (Insured by AGM) | 70,000 | 77,797 | ||||||||||
Cinco Municipal Utility District, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 690,000 | 752,880 | ||||||||||
City of Austin TX, | ||||||||||||
5.000%, 11/15/2020 (ETM) | 455,000 | 470,056 | ||||||||||
City of Bullard TX, | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 135,000 | 136,656 | ||||||||||
City of Dallas Housing Finance Corp., | ||||||||||||
1.500%, 04/01/2023 (Mandatory Tender Date 04/01/2022) (1) | 1,825,000 | 1,827,737 | ||||||||||
City of Dallas TX, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2024) | 500,000 | 571,060 | ||||||||||
City of Elgin TX: | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 155,000 | 167,580 | ||||||||||
4.000%, 07/15/2023 (Insured by BAM) | 50,000 | 54,058 | ||||||||||
City of Hearne TX: | ||||||||||||
3.000%, 08/01/2022 (Insured by BAM) | 225,000 | 233,896 | ||||||||||
3.000%, 08/01/2023 (Insured by BAM) | 230,000 | 241,742 | ||||||||||
3.000%, 08/01/2024 (Insured by BAM) | 240,000 | 254,950 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2024 (ETM)(Insured by AGM) | 90,000 | 84,040 | ||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 925,000 | 1,068,690 | ||||||||||
0.000%, 12/01/2025 (ETM)(Insured by AGM) | 375,000 | 343,901 | ||||||||||
1.607%, 05/15/2034 (1 Month LIBOR USD + 0.360%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 975,000 | 975,985 | ||||||||||
City of Madisonville TX, | ||||||||||||
4.000%, 08/15/2026 (Callable 08/15/2020)(Insured by AGM) | 295,000 | 299,384 | ||||||||||
City of Mission TX, | ||||||||||||
3.500%, 02/15/2027 (Callable 02/15/2021)(Insured by AGM) | 110,000 | 112,115 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2023 | 30,000 | 32,794 | ||||||||||
4.000%, 12/01/2024 | 250,000 | 278,830 | ||||||||||
City of Royse City TX, | ||||||||||||
4.000%, 08/15/2020 (Insured by AGM) | 150,000 | 152,459 | ||||||||||
City of San Antonio TX: | ||||||||||||
2.000%, 02/01/2033 (Callable 06/01/2021)(Mandatory Tender Date 12/01/2021) (1) | 100,000 | 100,905 | ||||||||||
3.000%, 12/01/2045 (Mandatory Tender Date 12/01/2020) (1) | 960,000 | 975,168 | ||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,055,000 | 1,098,192 | ||||||||||
City of Victoria TX, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020) | 410,000 | 416,802 | ||||||||||
Clear Creek Independent School District: | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 115,000 | 132,737 | ||||||||||
1.350%, 02/15/2032 (Mandatory Tender Date 08/15/2022)(PSF Guaranteed) (1) | 2,450,000 | 2,452,401 | ||||||||||
1.450%, 02/15/2035 (Mandatory Tender Date 08/14/2020)(PSF Guaranteed) (1) | 315,000 | 315,287 | ||||||||||
2.150%, 02/15/2038 (Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (1) | 225,000 | 228,125 | ||||||||||
Clyde Education Facilities Corp., | ||||||||||||
4.000%, 08/15/2021 (PSF Guaranteed) | 140,000 | 145,981 | ||||||||||
Collin County Water Control & Improvement District No. 3: | ||||||||||||
2.000%, 09/15/2022 (Insured by BAM) | 315,000 | 319,218 | ||||||||||
2.000%, 09/15/2023 (Insured by BAM) | 335,000 | 340,259 | ||||||||||
2.000%, 09/15/2024 (Insured by BAM) | 350,000 | 355,884 | ||||||||||
Cotulla Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 111,702 | ||||||||||
County of Archer TX, | ||||||||||||
4.000%, 02/15/2024 | 350,000 | 384,321 | ||||||||||
County of Bexar TX, | ||||||||||||
5.000%, 06/15/2029 (Callable 06/15/2026) | 840,000 | 1,018,181 | ||||||||||
County of Harris TX: | ||||||||||||
5.000%, 10/01/2028 (Pre-refunded to 10/01/2021) | 135,000 | 143,949 | ||||||||||
5.000%, 08/15/2030 (Callable 08/15/2022) | 1,430,000 | 1,573,386 | ||||||||||
County of McLennan TX, | ||||||||||||
5.000%, 06/01/2025 (Insured by AGM) | 240,000 | 280,385 | ||||||||||
County of Nueces TX, | ||||||||||||
1.950%, 02/15/2026 (Callable 01/07/2020) | 1,525,000 | 1,525,137 | ||||||||||
County of Randall TX, | ||||||||||||
4.200%, 08/01/2029 (Callable 08/01/2020) | 885,000 | 899,036 | ||||||||||
Cypress-Fairbanks Independent School District, | ||||||||||||
2.125%, 02/15/2040 (Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (1) | 100,000 | 101,349 | ||||||||||
Dallas Convention Center Hotel Development Corp., | ||||||||||||
0.000%, 01/01/2025 | 4,450,000 | 4,066,187 | ||||||||||
Dallas County Utility & Reclamation District, | ||||||||||||
5.000%, 02/15/2026 | 190,000 | 229,064 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2020)(PSF Guaranteed) (1) | 200,000 | 200,856 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 45,000 | 48,661 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) | 305,000 | 329,483 | ||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 1,255,000 | 1,351,572 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 1,500,000 | 1,847,010 | ||||||||||
Deer Park Independent School District, | ||||||||||||
1.550%, 10/01/2042 (Mandatory Tender Date 10/01/2020)(PSF Guaranteed) (1) | 3,000,000 | 3,005,520 | ||||||||||
Denton County Fresh Water Supply District No. 6: | ||||||||||||
4.000%, 02/15/2020 (Insured by BAM) | 175,000 | 175,534 | ||||||||||
4.000%, 02/15/2023 (Insured by BAM) | 275,000 | 294,676 | ||||||||||
Denton Independent School District, | ||||||||||||
2.000%, 08/01/2044 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,300,000 | 1,334,242 | ||||||||||
Duncanville Independent School District, | ||||||||||||
0.000%, 02/15/2020 (PSF Guaranteed) | 170,000 | 169,770 | ||||||||||
Everman Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 125,000 | 148,355 | ||||||||||
Fort Bend County Municipal Utility District No. 134B, | ||||||||||||
4.625%, 09/01/2024 (Insured by AGM) | 320,000 | 364,758 | ||||||||||
Fort Bend County Municipal Utility District No. 139: | ||||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 180,000 | 191,540 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 190,000 | 205,935 | ||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 200,000 | 220,376 | ||||||||||
Fort Bend County Municipal Utility District No. 23: | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 300,000 | 303,522 | ||||||||||
3.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 340,000 | 343,563 | ||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by BAM) | 345,000 | 348,498 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 500,000 | 549,525 | ||||||||||
Fort Bend County Municipal Utility District No. 48, | ||||||||||||
2.000%, 10/01/2020 (Insured by BAM) | 125,000 | 125,525 | ||||||||||
Fort Bend County Municipal Utility District No. 58, | ||||||||||||
3.500%, 04/01/2024 (Insured by AGM) | 125,000 | 134,144 | ||||||||||
Fort Bend County Municipal Utility District No. 81, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2020)(Insured by AGM) | 440,000 | 443,736 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
1.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 1,125,000 | 1,128,319 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 150,000 | 152,265 | ||||||||||
Friendswood Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 130,000 | 153,864 | ||||||||||
Garland Independent School District, | ||||||||||||
5.000%, 02/15/2022 (Callable 02/15/2020)(PSF Guaranteed) | 245,000 | 246,132 | ||||||||||
Goose Creek Consolidated Independent School District, | ||||||||||||
3.000%, 10/01/2049 (Mandatory Tender Date 10/01/2020)(PSF Guaranteed) (1) | 3,500,000 | 3,544,170 | ||||||||||
Grand Parkway Transportation Corp., | ||||||||||||
5.000%, 02/01/2023 | 565,000 | 626,523 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
2.049%, 10/01/2045 (1 Month LIBOR USD + 0.850%) (Callable 01/21/2020)(Mandatory Tender Date 06/01/2020) (2) | 300,000 | 300,105 | ||||||||||
Harris County Health Facilities Development Corp., | ||||||||||||
5.750%, 07/01/2027 (ETM) | 1,010,000 | 1,237,038 | ||||||||||
Harris County Municipal Utility District No. 109, | ||||||||||||
4.000%, 10/01/2027 (Callable 10/01/2021)(Insured by BAM) | 460,000 | 478,474 | ||||||||||
Harris County Municipal Utility District No. 120, | ||||||||||||
3.250%, 08/01/2025 (Callable 08/01/2020)(Insured by AGM) | 350,000 | 353,307 | ||||||||||
Harris County Municipal Utility District No. 153, | ||||||||||||
4.000%, 09/01/2023 (Callable 09/01/2022)(Insured by BAM) | 100,000 | 107,037 | ||||||||||
Harris County Municipal Utility District No. 276, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 445,000 | 472,955 | ||||||||||
Harris County Municipal Utility District No. 284: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) | 370,000 | 400,484 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) | 135,000 | 148,691 | ||||||||||
Harris County Municipal Utility District No. 285, | ||||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by AGM) | 185,000 | 186,826 | ||||||||||
Harris County Municipal Utility District No. 374, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 225,000 | 238,302 | ||||||||||
Harris County Municipal Utility District No. 5, | ||||||||||||
4.000%, 09/01/2024 (Callable 01/31/2020)(Insured by AGM) | 200,000 | 200,392 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 85,000 | 90,783 | ||||||||||
Harris County Municipal Utility District No. 63, | ||||||||||||
3.000%, 09/01/2025 (Callable 09/01/2024)(Insured by AGM) | 100,000 | 105,645 | ||||||||||
Hitchcock Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 111,344 | ||||||||||
Houston Independent School District, | ||||||||||||
1.450%, 06/01/2035 (Mandatory Tender Date 06/01/2020)(PSF Guaranteed) (1) | 750,000 | 750,457 | ||||||||||
Ingleside Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 120,000 | 140,567 | ||||||||||
La Vernia Independent School District, | ||||||||||||
4.000%, 08/15/2025 (PSF Guaranteed) | 260,000 | 297,885 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.625%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 95,000 | 97,902 | ||||||||||
2.625%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 875,000 | 896,866 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
1.950%, 08/15/2047 (Mandatory Tender Date 08/17/2020)(PSF Guaranteed) (1) | 850,000 | 853,408 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2023 (Pre-refunded to 08/15/2020)(PSF Guaranteed) | 40,000 | 34,340 | ||||||||||
0.000%, 08/15/2033 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 50,000 | 30,551 | ||||||||||
0.000%, 08/15/2034 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 57,583 | ||||||||||
0.000%, 08/15/2036 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 50,960 | ||||||||||
0.000%, 08/15/2039 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 50,000 | 21,432 | ||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,400,000 | 606,312 | ||||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 130,000 | 54,964 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,325,000 | 548,524 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,075,000 | 3,327,627 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 435,000 | 166,583 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 30,000 | 11,761 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 210,000 | 82,517 | ||||||||||
0.000%, 08/15/2043 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 40,000 | 14,916 | ||||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,010,000 | 306,929 | ||||||||||
0.000%, 08/15/2046 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 815,000 | 232,723 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 525,000 | 140,758 | ||||||||||
Lewisville Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 420,000 | 492,811 | ||||||||||
Lone Oak Independent School District, | ||||||||||||
4.500%, 08/15/2020 (PSF Guaranteed) | 150,000 | 153,096 | ||||||||||
Longview Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 125,000 | 144,116 | ||||||||||
Lower Colorado River Authority: | ||||||||||||
5.000%, 05/15/2024 (Callable 05/15/2022) | 125,000 | 135,830 | ||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 440,000 | 502,326 | ||||||||||
5.000%, 05/15/2028 (Callable 05/15/2022) | 495,000 | 535,828 | ||||||||||
Manor Independent School District, | ||||||||||||
5.000%, 08/01/2026 (PSF Guaranteed) | 100,000 | 122,797 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 3,765,000 | 3,833,523 | ||||||||||
Midlothian Independent School District, | ||||||||||||
2.000%, 08/01/2051 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,000,000 | 1,026,340 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023 (ETM) | 145,000 | 137,880 | ||||||||||
Montgomery County Municipal Utility District No. 112: | ||||||||||||
3.000%, 10/01/2022 (Insured by BAM) | 200,000 | 208,574 | ||||||||||
3.000%, 10/01/2024 (Insured by BAM) | 215,000 | 229,633 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2020 (Insured by BAM) | 350,000 | 352,212 | ||||||||||
4.000%, 04/01/2021 (Insured by BAM) | 175,000 | 180,612 | ||||||||||
Montgomery County Municipal Utility District No. 95, | ||||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 115,000 | 120,574 | ||||||||||
Montgomery Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 150,000 | 172,809 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 100,000 | 118,629 | ||||||||||
3.000%, 02/15/2050 (Mandatory Tender Date 08/15/2021)(PSF Guaranteed) (1) | 215,000 | 220,897 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
4.000%, 04/01/2020 | 50,000 | 50,123 | ||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) | 95,000 | 96,078 | ||||||||||
4.000%, 06/15/2024 | 50,000 | 55,246 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 260,000 | 292,705 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 705,000 | 812,139 | ||||||||||
North Central Texas Health Facility Development Corp., | ||||||||||||
5.750%, 06/01/2026 (ETM)(Insured by NATL) | 550,000 | 636,212 | ||||||||||
North East Independent School District: | ||||||||||||
1.420%, 08/01/2040 (Callable 02/01/2020)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 2,262,000 | 2,262,068 | ||||||||||
2.200%, 08/01/2049 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,225,000 | 1,267,544 | ||||||||||
North Texas Education Finance Corp., | ||||||||||||
5.250%, 12/01/2047 (Pre-refunded to 06/01/2022) | 1,600,000 | 1,753,536 | ||||||||||
North Texas Higher Education Authority, Inc., | ||||||||||||
2.809%, 07/01/2030 (3 Month LIBOR USD + 0.900%) (2) | 745,000 | 748,569 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2022 | 25,000 | 26,897 | ||||||||||
5.250%, 09/01/2026 (Pre-refunded to 09/01/2021) | 3,055,000 | 3,260,449 | ||||||||||
Northeast Travis County Utility District, | ||||||||||||
0.000%, 09/01/2024 (Insured by BAM) | 470,000 | 428,250 | ||||||||||
Northgate Crossing Road Utility District, | ||||||||||||
0.000%, 12/01/2022 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 91,446 | ||||||||||
Northside Independent School District: | ||||||||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 100,000 | 109,999 | ||||||||||
1.750%, 06/01/2032 (Callable 01/21/2020)(Mandatory Tender Date 06/01/2022)(PSF Guaranteed) (1) | 1,220,000 | 1,221,415 | ||||||||||
2.000%, 06/01/2046 (Mandatory Tender Date 06/01/2021)(PSF Guaranteed) (1) | 900,000 | 907,389 | ||||||||||
1.450%, 06/01/2047 (Mandatory Tender Date 06/01/2020)(PSF Guaranteed) (1) | 2,185,000 | 2,185,962 | ||||||||||
1.600%, 08/01/2049 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 3,075,000 | 3,088,007 | ||||||||||
Northwest Harris County Municipal Utility District No. 16, | ||||||||||||
5.500%, 10/01/2021 (Insured by BAM) | 25,000 | 26,733 | ||||||||||
Northwest Harris County Municipal Utility District No. 19: | ||||||||||||
2.000%, 10/01/2021 (Insured by AGM) | 95,000 | 95,995 | ||||||||||
2.000%, 10/01/2022 (Insured by AGM) | 105,000 | 106,033 | ||||||||||
2.000%, 10/01/2023 (Insured by AGM) | 105,000 | 106,241 | ||||||||||
3.000%, 10/01/2024 (Insured by AGM) | 110,000 | 116,449 | ||||||||||
Odessa Junior College District, | ||||||||||||
4.000%, 07/01/2029 (Callable 07/01/2022)(Insured by AGM) | 190,000 | 200,838 | ||||||||||
Olmos Park Higher Education Facilities Corp., | ||||||||||||
5.000%, 12/01/2021 | 210,000 | 224,866 | ||||||||||
Palestine Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 135,000 | 155,058 | ||||||||||
Paloma Lake Municipal Utility District No. 1, | ||||||||||||
2.000%, 09/01/2022 (Insured by NATL) | 150,000 | 151,706 | ||||||||||
Panhandle Regional Housing Finance Agency, | ||||||||||||
2.000%, 05/01/2021 (Mandatory Tender Date 05/01/2020) (1) | 2,600,000 | 2,604,628 | ||||||||||
Paseo del Este Municipal Utility District No. 10: | ||||||||||||
4.000%, 08/15/2022 (Insured by MAC) | 160,000 | 169,877 | ||||||||||
4.000%, 08/15/2023 (Insured by MAC) | 130,000 | 140,543 | ||||||||||
4.000%, 08/15/2024 (Insured by MAC) | 180,000 | 197,424 | ||||||||||
Pearland Independent School District, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2021)(PSF Guaranteed) | 150,000 | 156,456 | ||||||||||
Plains Independent School District, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020)(PSF Guaranteed) | 340,000 | 345,256 | ||||||||||
Poteet Independent School District, | ||||||||||||
3.000%, 08/15/2021 (PSF Guaranteed) | 235,000 | 242,019 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 100,000 | 115,249 | ||||||||||
Red River Authority, | ||||||||||||
4.450%, 06/01/2020 (Insured by NATL) | 250,000 | 252,975 | ||||||||||
Red River Education Finance Corp.: | ||||||||||||
3.000%, 06/01/2022 | 655,000 | 672,338 | ||||||||||
5.000%, 06/01/2022 | 880,000 | 944,592 | ||||||||||
Remington Municipal Utility District No. 1: | ||||||||||||
3.000%, 09/01/2021 (Insured by AGM) | 415,000 | 426,139 | ||||||||||
3.000%, 09/01/2022 (Insured by AGM) | 100,000 | 103,680 | ||||||||||
Rockwall Independent School District: | ||||||||||||
0.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 960,260 | ||||||||||
0.000%, 02/15/2024 (PSF Guaranteed) | 1,270,000 | 1,200,455 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 02/01/2020)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 1,345,000 | 1,345,188 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2021 | 25,000 | 26,529 | ||||||||||
San Antonio Housing Trust Finance Corp., | ||||||||||||
1.375%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 1,500,000 | 1,501,320 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2043 (Mandatory Tender Date 11/01/2021) (1) | 645,000 | 652,540 | ||||||||||
San Benito Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 100,000 | 114,945 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 105,000 | 107,444 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 105,000 | 111,159 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,000,000 | 1,147,720 | ||||||||||
South Shore Harbor Municipal Utility District No. 7, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 370,000 | 400,207 | ||||||||||
Southwest Texas Junior College District, | ||||||||||||
4.000%, 10/01/2023 (Insured by BAM) | 100,000 | 107,618 | ||||||||||
Spring Creek Utility District of Montgomery County: | ||||||||||||
2.500%, 10/01/2023 (Insured by AGM) | 150,000 | 155,592 | ||||||||||
3.000%, 10/01/2023 (Insured by AGM) | 145,000 | 153,310 | ||||||||||
State of Texas: | ||||||||||||
5.000%, 08/01/2020 | 400,000 | 409,120 | ||||||||||
1.850%, 08/01/2029 (Callable 08/01/2020)(Optional Put Date 08/01/2022) (1) | 600,000 | 601,650 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 11/15/2024 | 175,000 | 199,829 | ||||||||||
5.000%, 10/01/2025 (Callable 10/01/2023) | 2,110,000 | 2,386,727 | ||||||||||
Taylor Independent School District, | ||||||||||||
3.000%, 02/15/2023 (PSF Guaranteed) | 815,000 | 857,551 | ||||||||||
Texas City Industrial Development Corp., | ||||||||||||
7.375%, 10/01/2020 | 200,000 | 208,614 | ||||||||||
Texas Department of Housing & Community Affairs: | ||||||||||||
2.230%, 05/01/2021 (Mandatory Tender Date 05/01/2020) (1) | 2,400,000 | 2,406,840 | ||||||||||
4.050%, 07/01/2026 (Callable 01/01/2021)(Insured by GNMA) | 435,000 | 444,392 | ||||||||||
4.750%, 03/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 690,000 | 767,218 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2021 | 120,000 | 128,635 | ||||||||||
6.250%, 12/15/2026 | 2,825,000 | 3,324,771 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2021 | 140,000 | 149,572 | ||||||||||
5.000%, 12/15/2022 | 150,000 | 165,405 | ||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 225,000 | 248,407 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,425,000 | 1,557,610 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 1,000,000 | 1,104,450 | ||||||||||
Texas State Public Finance Authority Charter School Finance Corp.: | ||||||||||||
6.000%, 08/15/2026 (Pre-refunded to 02/15/2020) | 250,000 | 251,395 | ||||||||||
6.200%, 02/15/2040 (Pre-refunded to 02/15/2020) | 3,000,000 | 3,017,100 | ||||||||||
7.250%, 08/15/2041 (Pre-refunded to 08/15/2021) (1) | 450,000 | 492,611 | ||||||||||
Texas Transportation Commission State Highway Fund: | ||||||||||||
5.000%, 10/01/2022 | 2,000,000 | 2,209,600 | ||||||||||
4.000%, 04/01/2026 (Mandatory Tender Date 10/01/2021) (1) | 910,000 | 954,654 | ||||||||||
Tioga Independent School District Public Facility Corp.: | ||||||||||||
4.000%, 08/15/2021 | 185,000 | 189,960 | ||||||||||
4.000%, 08/15/2022 | 450,000 | 467,563 | ||||||||||
4.000%, 08/15/2023 | 470,000 | 492,565 | ||||||||||
4.000%, 08/15/2024 | 185,000 | 195,369 | ||||||||||
3.250%, 08/15/2026 (Callable 08/15/2024) | 195,000 | 197,672 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 275,000 | 301,535 | ||||||||||
Travis County Health Facilities Development Corp.: | ||||||||||||
7.000%, 01/01/2032 (Pre-refunded to 01/01/2021) | 150,000 | 158,635 | ||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 485,000 | 513,523 | ||||||||||
Travis County Housing Finance Corp., | ||||||||||||
2.000%, 04/01/2021 (Mandatory Tender Date 04/01/2020) (1) | 1,605,000 | 1,607,632 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 55,000 | 58,408 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022)(Insured by AGM) | 195,000 | 212,805 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
6.000%, 12/01/2023 (Insured by BAM) | 50,000 | 58,396 | ||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 425,000 | 471,882 | ||||||||||
4.000%, 12/01/2025 (Callable 12/01/2024)(Insured by BAM) | 440,000 | 487,080 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2023)(Insured by AGM) | 340,000 | 369,495 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2024)(Insured by BAM) | 460,000 | 509,694 | ||||||||||
4.000%, 12/01/2027 (Callable 12/01/2024)(Insured by BAM) | 475,000 | 524,732 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2024)(Insured by BAM) | 495,000 | 544,381 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2024)(Insured by BAM) | 455,000 | 500,391 | ||||||||||
4.000%, 12/01/2029 (Callable 12/01/2024)(Insured by BAM) | 685,000 | 751,246 | ||||||||||
West Harris County Municipal Utility District No. 17: | ||||||||||||
0.000%, 09/01/2021 (Insured by AGM) | 60,000 | 58,364 | ||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 360,000 | 376,797 | ||||||||||
Willow Creek Farms Municipal Utility District: | ||||||||||||
2.400%, 09/01/2023 (Insured by AGM) | 45,000 | 46,388 | ||||||||||
3.500%, 09/01/2023 (Insured by AGM) | 125,000 | 133,732 | ||||||||||
Wink-Loving Independent School District: | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2023)(PSF Guaranteed) | 1,995,000 | 2,222,610 | ||||||||||
5.000%, 02/15/2027 (Callable 02/15/2023)(PSF Guaranteed) | 2,350,000 | 2,615,832 | ||||||||||
Total Texas (Cost $150,929,906) | 152,458,883 | 15.0 | % |
Utah | ||||||||||||
County of Utah UT, | ||||||||||||
5.000%, 05/15/2057 (Callable 02/01/2024)(Mandatory Tender Date 08/01/2024) (1) | 250,000 | 286,235 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2020 (Insured by UT CSCE) | 140,000 | 141,453 | ||||||||||
5.000%, 04/15/2021 (Insured by UT CSCE) | 110,000 | 115,074 | ||||||||||
4.000%, 04/15/2022 (Insured by UT CSCE) | 250,000 | 263,618 | ||||||||||
5.000%, 04/15/2022 (Insured by UT CSCE) | 110,000 | 118,449 | ||||||||||
5.000%, 04/15/2023 (Insured by UT CSCE) | 160,000 | 177,493 | ||||||||||
5.000%, 04/15/2024 (Insured by UT CSCE) | 170,000 | 193,630 | ||||||||||
5.000%, 10/15/2024 (Insured by UT CSCE) | 355,000 | 409,670 | ||||||||||
5.000%, 04/15/2025 (Insured by UT CSCE) | 135,000 | 157,480 | ||||||||||
5.000%, 04/15/2026 (Insured by UT CSCE) | 125,000 | 148,546 | ||||||||||
3.625%, 06/15/2029 (Callable 06/15/2027) | 485,000 | 496,456 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021 (Mandatory Tender Date 01/01/2021)(Insured by GNMA) (1) | 250,000 | 251,450 | ||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 70,000 | 74,729 | ||||||||||
Utah Infrastructure Agency: | ||||||||||||
4.000%, 10/15/2023 | 180,000 | 195,561 | ||||||||||
4.000%, 10/15/2024 | 190,000 | 210,001 | ||||||||||
4.000%, 10/15/2025 | 100,000 | 111,966 | ||||||||||
Total Utah (Cost $3,318,479) | 3,351,811 | 0.3 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2023 (Pre-refunded to 07/01/2021) | 25,000 | 26,384 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020 (Callable 01/31/2020) | 350,000 | 349,772 | ||||||||||
Vermont Housing Finance Agency: | ||||||||||||
4.000%, 11/01/2044 (Callable 11/01/2023) | 75,000 | 80,087 | ||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 1,380,000 | 1,487,861 | ||||||||||
4.000%, 11/01/2049 (Callable 05/01/2028)(Insured by GNMA) | 2,515,000 | 2,804,854 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
5.000%, 07/01/2022 | 380,000 | 409,902 | ||||||||||
Total Vermont (Cost $5,068,582) | 5,158,860 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 101,792 | ||||||||||
Total Virgin Islands (Cost $101,928) | 101,792 | 0.0 | % | |||||||||
Virginia | ||||||||||||
Chesapeake Bay Bridge & Tunnel District, | ||||||||||||
5.000%, 11/01/2023 | 2,000,000 | 2,267,000 | ||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST AID) | 235,000 | 251,516 | ||||||||||
Fairfax County Redevelopment & Housing Authority, | ||||||||||||
2.210%, 02/01/2021 (Mandatory Tender Date 08/01/2020) (1) | 1,650,000 | 1,658,415 | ||||||||||
Henry County Industrial Development Authority, | ||||||||||||
2.000%, 11/01/2023 (Callable 11/01/2021) | 3,250,000 | 3,277,690 | ||||||||||
Stafford County & Staunton Industrial Development Authority, | ||||||||||||
5.500%, 02/01/2041 (Pre-refunded to 02/01/2021)(Insured by ST AID) | 30,000 | 31,377 | ||||||||||
Virginia Commonwealth University Health System Authority, | ||||||||||||
4.750%, 07/01/2041 (Pre-refunded to 07/01/2021) | 95,000 | 100,125 | ||||||||||
Virginia Resources Authority, | ||||||||||||
4.250%, 11/01/2040 (Pre-refunded to 11/01/2020) | 45,000 | 46,126 | ||||||||||
Wise County Industrial Development Authority, | ||||||||||||
2.150%, 10/01/2040 (Mandatory Tender Date 09/01/2020) (1) | 125,000 | 125,688 | ||||||||||
Total Virginia (Cost $7,749,537) | 7,757,937 | 0.8 | % | |||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
1.770%, 11/01/2045 (SIFMA Municipal Swap Index + 0.450%) (Callable 11/01/2022)(Mandatory Tender Date 11/01/2023) (2) | 100,000 | 100,014 | ||||||||||
Central Washington University: | ||||||||||||
4.000%, 05/01/2024 (Callable 05/01/2023) | 260,000 | 281,744 | ||||||||||
4.000%, 05/01/2026 (Callable 05/01/2023) | 400,000 | 431,160 | ||||||||||
5.000%, 05/01/2026 (Insured by BAM) | 410,000 | 498,609 | ||||||||||
City of Port Angeles WA, | ||||||||||||
4.000%, 11/01/2024 (Callable 01/31/2020)(Insured by AGC) | 105,000 | 105,233 | ||||||||||
City of Richland WA, | ||||||||||||
4.000%, 11/01/2026 (Insured by BAM) | 210,000 | 243,917 | ||||||||||
City of Yakima WA, | ||||||||||||
3.000%, 06/01/2021 | 560,000 | 574,538 | ||||||||||
King County Housing Authority: | ||||||||||||
2.200%, 05/01/2021 | 1,000,000 | 1,010,740 | ||||||||||
3.500%, 05/01/2021 | 300,000 | 308,334 | ||||||||||
4.000%, 01/01/2022 (6) | 100,000 | 105,078 | ||||||||||
3.500%, 05/01/2022 | 345,000 | 360,221 | ||||||||||
Pend Oreille County Public Utility District No. 1: | ||||||||||||
5.000%, 01/01/2020 | 150,000 | 150,000 | ||||||||||
5.000%, 01/01/2021 | 605,000 | 624,850 | ||||||||||
5.000%, 01/01/2022 | 635,000 | 676,161 | ||||||||||
5.000%, 01/01/2023 | 665,000 | 728,767 | ||||||||||
5.000%, 01/01/2024 | 700,000 | 787,416 | ||||||||||
5.000%, 01/01/2025 | 735,000 | 846,705 | ||||||||||
San Juan County School District No. 137, | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2022)(Insured by SCH BD GTY) | 675,000 | 721,204 | ||||||||||
Spokane Public Facilities District, | ||||||||||||
5.000%, 12/01/2028 (Callable 06/01/2023) | 450,000 | 501,966 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 01/01/2020 | 250,000 | 250,000 | ||||||||||
5.000%, 07/01/2024 (Callable 07/01/2022) | 250,000 | 273,785 | ||||||||||
Vancouver Housing Authority, | ||||||||||||
1.530%, 12/01/2022 (Callable 12/01/2021) | 1,780,000 | 1,779,911 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
2.320%, 01/01/2035 (SIFMA Municipal Swap Index + 1.000%) (Callable 07/05/2020)(Mandatory Tender Date 01/01/2021) (2) | 50,000 | 50,088 | ||||||||||
2.293%, 01/01/2042 (1 Month LIBOR USD + 1.100%) (Callable 01/01/2022)(Mandatory Tender Date 07/01/2022) (2) | 500,000 | 505,800 | ||||||||||
5.000%, 10/01/2042 (Mandatory Tender Date 10/01/2021) (1) | 120,000 | 127,652 | ||||||||||
Total Washington (Cost $11,982,682) | 12,043,893 | 1.2 | % |
West Virginia | ||||||||||||
City of Fairmont WV Water Revenue, | ||||||||||||
5.250%, 07/01/2022 (Insured by AMBAC) | 100,000 | 105,299 | ||||||||||
Roane County Building Commission, | ||||||||||||
2.550%, 11/01/2021 (Callable 11/01/2020) | 2,000,000 | 2,010,740 | ||||||||||
West Virginia Economic Development Authority, | ||||||||||||
2.625%, 12/01/2042 (Mandatory Tender Date 06/01/2022) (1) | 175,000 | 179,291 | ||||||||||
Total West Virginia (Cost $2,282,759) | 2,295,330 | 0.2 | % | |||||||||
Wisconsin | ||||||||||||
Baldwin-Woodville Area School District, | ||||||||||||
2.000%, 04/01/2023 (Callable 04/01/2020) | 110,000 | 110,159 | ||||||||||
Bloomer School District, | �� | |||||||||||
2.750%, 10/01/2021 (Callable 04/01/2020)(Insured by AGM) | 500,000 | 501,880 | ||||||||||
Boyceville Community School District, | ||||||||||||
2.000%, 03/01/2020 | 115,000 | 115,148 | ||||||||||
Campbellsport School District, | ||||||||||||
5.000%, 03/01/2022 | 540,000 | 583,740 | ||||||||||
City of Antigo WI: | ||||||||||||
2.000%, 06/01/2021 | 100,000 | 101,102 | ||||||||||
2.000%, 06/01/2022 | 75,000 | 76,006 | ||||||||||
2.000%, 06/01/2023 | 100,000 | 101,846 | ||||||||||
City of Eagle River WI, | ||||||||||||
3.000%, 05/01/2024 (Callable 05/01/2022) | 1,000,000 | 1,028,430 | ||||||||||
City of Hartford WI, | ||||||||||||
2.250%, 05/01/2020 | 150,000 | 150,522 | ||||||||||
City of Kaukauna WI Sanitary Sewer System Revenue, | ||||||||||||
2.625%, 09/01/2024 (Callable 09/01/2022) | 270,000 | 277,349 | ||||||||||
City of Kenosha WI, | ||||||||||||
5.000%, 06/01/2021 | 200,000 | 210,862 | ||||||||||
City of Ladysmith WI, | ||||||||||||
4.000%, 06/01/2022 (Callable 01/31/2020) | 150,000 | 150,328 | ||||||||||
City of Menomonie WI, | ||||||||||||
3.000%, 12/01/2024 | 415,000 | 440,473 | ||||||||||
City of Oshkosh WI, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2023) | 125,000 | 133,614 | ||||||||||
City of Plymouth WI, | ||||||||||||
2.000%, 05/01/2023 (Callable 05/01/2021) | 825,000 | 831,039 | ||||||||||
City of West Allis WI, | ||||||||||||
2.375%, 04/01/2023 (Callable 01/31/2020) | 100,000 | 100,077 | ||||||||||
Coleman School District, | ||||||||||||
4.000%, 03/01/2025 (Callable 03/01/2024) | 200,000 | 219,804 | ||||||||||
County of Manitowoc WI, | ||||||||||||
4.000%, 11/01/2021 | 90,000 | 94,374 | ||||||||||
County of Milwaukee WI, | ||||||||||||
1.000%, 08/01/2020 | 825,000 | 824,291 | ||||||||||
County of Racine WI, | ||||||||||||
2.100%, 06/01/2021 (Callable 01/31/2020) | 200,000 | 200,130 | ||||||||||
County of Winnebago WI, | ||||||||||||
2.000%, 04/01/2022 (Callable 01/31/2020) | 885,000 | 885,416 | ||||||||||
Greendale School District, | ||||||||||||
2.700%, 03/01/2026 (Callable 03/01/2022) | 500,000 | 511,790 | ||||||||||
Hilbert School District, | ||||||||||||
4.000%, 04/01/2027 (Callable 04/01/2025) | 250,000 | 281,535 | ||||||||||
Ladysmith School District: | ||||||||||||
2.000%, 04/01/2021 | 150,000 | 151,644 | ||||||||||
2.000%, 04/01/2022 | 500,000 | 502,605 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 01/01/2020 | 415,000 | 415,000 | ||||||||||
4.000%, 10/01/2020 | 200,000 | 203,086 | ||||||||||
4.000%, 12/01/2020 | 350,000 | 354,315 | ||||||||||
5.000%, 06/15/2021 | 140,000 | 145,930 | ||||||||||
4.000%, 10/01/2021 | 200,000 | 206,924 | ||||||||||
5.000%, 10/01/2022 | 2,000,000 | 2,128,360 | ||||||||||
5.000%, 06/15/2023 | 395,000 | 434,247 | ||||||||||
5.000%, 10/01/2023 | 2,000,000 | 2,171,420 | ||||||||||
5.000%, 10/01/2024 | 1,605,000 | 1,771,455 | ||||||||||
8.375%, 06/01/2037 (Pre-refunded to 06/01/2022) | 1,050,000 | 1,219,890 | ||||||||||
8.625%, 06/01/2047 (Pre-refunded to 06/01/2022) | 1,265,000 | 1,481,252 | ||||||||||
Pulaski Community School District, | ||||||||||||
2.500%, 03/01/2023 (Callable 03/01/2020) | 40,000 | 40,068 | ||||||||||
Randolph School District, | ||||||||||||
2.000%, 03/01/2020 (Insured by AGM) | 150,000 | 150,194 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
0.000%, 12/15/2021 (ETM)(Insured by NATL) | 30,000 | 29,257 | ||||||||||
0.000%, 12/15/2024 (ETM)(Insured by NATL) | 95,000 | 88,443 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2025 (Pre-refunded to 05/01/2021) | 5,000,000 | 5,256,250 | ||||||||||
5.000%, 05/01/2026 (Callable 05/01/2023) | 60,000 | 67,499 | ||||||||||
5.000%, 05/01/2029 (Pre-refunded to 05/01/2022) | 145,000 | 157,783 | ||||||||||
Town of Delavan WI, | ||||||||||||
4.500%, 03/01/2024 | 130,000 | 146,268 | ||||||||||
Town of Grand Chute WI, | ||||||||||||
3.000%, 11/01/2020 (Callable 01/31/2020) | 235,000 | 235,343 | ||||||||||
Town of St. Joseph WI: | ||||||||||||
3.000%, 12/01/2023 (Insured by MAC) | 450,000 | 476,473 | ||||||||||
3.000%, 12/01/2024 (Insured by MAC) | 370,000 | 396,326 | ||||||||||
Village of DeForest WI, | ||||||||||||
3.375%, 05/01/2023 (Callable 05/01/2021) | 100,000 | 102,600 | ||||||||||
Village of Hales Corners WI, | ||||||||||||
3.000%, 11/01/2022 | 345,000 | 360,622 | ||||||||||
Village of Holmen WI, | ||||||||||||
4.000%, 10/01/2025 | 260,000 | 293,675 | ||||||||||
Village of Kronenwetter WI, | ||||||||||||
2.500%, 04/01/2021 (Callable 10/01/2020) | 1,120,000 | 1,127,582 | ||||||||||
Village of Sussex WI, | ||||||||||||
3.000%, 06/01/2023 (Callable 06/01/2022) | 1,155,000 | 1,196,049 | ||||||||||
Village of Waunakee WI, | ||||||||||||
3.200%, 10/01/2026 (Callable 01/31/2020) | 225,000 | 225,329 | ||||||||||
Village of Whiting WI, | ||||||||||||
2.125%, 03/01/2020 | 250,000 | 250,325 | ||||||||||
West Bend Joint School District No. 1, | ||||||||||||
2.000%, 04/01/2024 (Callable 04/01/2021) | 535,000 | 539,301 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.000%, 12/15/2020 | 100,000 | 103,636 | ||||||||||
5.000%, 12/15/2022 | 715,000 | 792,599 | ||||||||||
5.000%, 12/15/2025 | 75,000 | 90,692 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 95,000 | 113,978 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 56,321 | ||||||||||
2.650%, 11/01/2020 (Callable 01/21/2020) | 1,655,000 | 1,655,629 | ||||||||||
5.000%, 11/01/2020 | 100,000 | 101,817 | ||||||||||
5.000%, 11/01/2021 | 110,000 | 114,219 | ||||||||||
4.500%, 12/15/2021 (Callable 06/15/2020) | 200,000 | 202,806 | ||||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 120,000 | 127,261 | ||||||||||
5.000%, 03/01/2022 | 230,000 | 239,685 | ||||||||||
5.000%, 07/01/2022 | 185,000 | 201,691 | ||||||||||
4.000%, 09/15/2022 | 200,000 | 208,792 | ||||||||||
5.000%, 03/01/2023 | 300,000 | 317,895 | ||||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 350,000 | 377,843 | ||||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 430,467 | ||||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 156,354 | ||||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 379,091 | ||||||||||
4.500%, 06/01/2025 (Pre-refunded to 06/01/2020) | 500,000 | 506,905 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 763,963 | ||||||||||
2.750%, 08/15/2025 | 1,440,000 | 1,504,166 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 300,000 | 315,258 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2022) | 200,000 | 207,514 | ||||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 1,250,000 | 1,259,150 | ||||||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 135,000 | 146,703 | ||||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 560,000 | 634,536 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 375,000 | 428,355 | ||||||||||
5.000%, 11/15/2043 (Mandatory Tender Date 06/01/2020) (1) | 365,000 | 370,606 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 345,000 | 363,147 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 460,000 | 490,788 | ||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021)(Mandatory Tender Date 11/01/2022) (1) | 430,000 | 430,602 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 985,000 | 1,086,376 | ||||||||||
Total Wisconsin (Cost $43,981,207) | 44,434,275 | 4.4 | % |
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 1,380,000 | 1,463,311 | ||||||||||
3.750%, 12/01/2049 (Callable 12/01/2028) | 2,025,000 | 2,174,789 | ||||||||||
Total Wyoming (Cost $3,621,322) | 3,638,100 | 0.4 | % | |||||||||
Total Municipal Bonds (Cost $985,356,006) | 995,032,239 | 98.0 | % | |||||||||
Total Long-Term Investments (Cost $985,356,006) | 995,032,239 | 98.0 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 1.47% (4) | 183,299 | 183,299 | ||||||||||
Total Short-Term Investment (Cost $183,299) | 183,299 | 0.0 | % | |||||||||
Total Investments (Cost $985,539,305) | 995,215,538 | 98.0 | % | |||||||||
Other Assets in Excess of Liabilities | 20,491,977 | 2.0 | % | |||||||||
TOTAL NET ASSETS | $ | 1,015,707,515 | 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 | Federal National Mortgage Association | |||||||
GNMA | Government National Mortgage Association | |||||||
MAC | Municipal Assurance Corp. | |||||||
NATL | National Public Finance Guarantee Corp. | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
SCH BD GTY | School Board Guaranty | |||||||
SD CRED PROG | State Credit Enhancement Program | |||||||
ST AID | State Aid Intercept/Withholding | |||||||
UT CSCE | Utah Charter School Finance Authority | |||||||
ETM | Escrowed to Maturity | |||||||
LIBOR | London Inter-bank Offered Rate | |||||||
PSF | Permanent School Fund | |||||||
SIFMA | Securities Industry and Financial Markets Association |
(1) | Variable rate security. The rate reported is the rate in effect as of December 31, 2019. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 2019, the value of these securities total $198,774, which represents 0.02% of total net assets. | |||||||
(4) | 7-Day Yield. | |||||||
(5) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. | |||||||
(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, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 995,032,239 | $ | – | $ | 995,032,239 | ||||||||
Total Long-Term Investments | – | 995,032,239 | – | 995,032,239 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 183,299 | – | – | 183,299 | �� | |||||||||||
Total Short-Term Investment | 183,299 | – | – | 183,299 | ||||||||||||
Total Investments | $ | 183,299 | $ | 995,032,239 | $ | – | $ | 995,215,538 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Montgomery Water Works & Sanitary Sewer Board: | ||||||||||||
4.000%, 09/01/2033 (Callable 09/01/2029) | $ | 410,000 | $ | 478,515 | ||||||||
4.000%, 09/01/2034 (Callable 09/01/2029) | 190,000 | 221,153 | ||||||||||
4.000%, 09/01/2035 (Callable 09/01/2029) | 500,000 | 580,150 | ||||||||||
Total Alabama (Cost $1,290,715) | 1,279,818 | 0.1 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
4.000%, 06/01/2031 (Callable 06/01/2027) | 1,700,000 | 1,925,233 | ||||||||||
4.000%, 12/01/2031 (Callable 06/01/2027) | 2,980,000 | 3,370,559 | ||||||||||
4.000%, 12/01/2032 (Callable 06/01/2027) | 865,000 | 976,135 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,165,000 | 1,271,796 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 06/30/2029 (Callable 06/30/2022) | 1,225,000 | 1,339,243 | ||||||||||
Total Alaska (Cost $8,933,818) | 8,882,966 | 0.7 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
2.500%, 05/01/2022 (Insured by AGM) | 14,865,532 | 14,956,509 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 715,000 | 782,496 | ||||||||||
City of Tempe AZ: | ||||||||||||
5.000%, 07/01/2033 (Pre-refunded to 07/01/2028) | 40,000 | 51,643 | ||||||||||
5.000%, 07/01/2034 (Pre-refunded to 07/01/2027) | 165,000 | 207,121 | ||||||||||
5.000%, 07/01/2034 (Pre-refunded to 07/01/2028) | 325,000 | 419,598 | ||||||||||
5.000%, 07/01/2035 (Pre-refunded to 07/01/2027) | 185,000 | 232,227 | ||||||||||
5.000%, 07/01/2037 (Pre-refunded to 07/01/2028) | 215,000 | 277,580 | ||||||||||
5.000%, 07/01/2038 (Pre-refunded to 07/01/2028) | 350,000 | 451,874 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2025) | 750,000 | 892,515 | ||||||||||
Maricopa County Unified School District No. 48: | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2028) | 500,000 | 578,765 | ||||||||||
3.000%, 07/01/2034 (Callable 07/01/2028) | 1,350,000 | 1,426,950 | ||||||||||
Salt River Project Agricultural Improvement & Power District, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2027) | 3,555,000 | 4,327,822 | ||||||||||
Total Arizona (Cost $24,420,672) | 24,605,100 | 1.8 | % | |||||||||
Arkansas | ||||||||||||
City of Little Rock AR: | ||||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 330,000 | 336,141 | ||||||||||
5.000%, 10/01/2034 (Callable 04/01/2025) | 5,000,000 | 5,781,600 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 2,160,000 | 2,261,283 | ||||||||||
City of Rogers AR: | ||||||||||||
4.000%, 11/01/2025 (Callable 05/01/2024) | 570,000 | 630,659 | ||||||||||
4.000%, 11/01/2027 (Callable 05/01/2024) | 460,000 | 506,603 | ||||||||||
University of Arkansas: | ||||||||||||
5.000%, 11/01/2035 (Callable 11/01/2024) | 665,000 | 759,324 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2029) | 160,000 | 182,557 | ||||||||||
4.000%, 04/01/2039 (Callable 04/01/2029) | 245,000 | 277,244 | ||||||||||
Total Arkansas (Cost $10,302,637) | 10,735,411 | 0.8 | % |
California | ||||||||||||
Aromas-San Juan Unified School District, | ||||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 925,000 | 81,224 | ||||||||||
Brea Redevelopment Agency: | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2027) (4) | 1,500,000 | 1,552,890 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2027) (4) | 1,750,000 | 1,807,435 | ||||||||||
Citrus Community College District, | ||||||||||||
0.000%, 08/01/2034 (Callable 02/01/2024) (4) | 885,000 | 856,282 | ||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | 12,385,000 | 12,199,349 | ||||||||||
City of Pasadena CA, | ||||||||||||
4.250%, 06/01/2034 (Callable 06/01/2023) | 500,000 | 537,495 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 190,000 | 179,561 | ||||||||||
Contra Costa Transportation Authority, | ||||||||||||
5.000%, 03/01/2028 (Callable 03/01/2025) | 1,570,000 | 1,882,132 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 1,745,000 | 1,911,595 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2023)(Insured by BAM) | 300,000 | 139,461 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2051 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,285,000 | 124,915 | ||||||||||
Moorpark Unified School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2032)(Insured by AGM) (4) | 110,000 | 107,322 | ||||||||||
Mount San Antonio Community College District, | ||||||||||||
0.000%, 08/01/2028 (Callable 02/01/2028) (4) | 550,000 | 600,435 | ||||||||||
Northern California Power Agency, | ||||||||||||
7.500%, 07/01/2023 (Pre-refunded to 07/01/2021)(Insured by AMBAC) | 355,000 | 382,275 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2030 (Callable 01/21/2020)(Insured by BAM) | 235,000 | 235,416 | ||||||||||
5.000%, 08/01/2031 (Callable 01/21/2020)(Insured by BAM) | 275,000 | 275,487 | ||||||||||
Paramount Unified School District, | ||||||||||||
0.000%, 08/01/2045 (Callable 02/01/2033)(Insured by AGM) (4) | 225,000 | 272,403 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2040 (Pre-refunded to 09/01/2021)(Insured by AGM) | 815,000 | 190,205 | ||||||||||
Pleasanton Unified School District, | ||||||||||||
3.000%, 08/01/2033 (Callable 08/01/2025) | 2,000,000 | 2,086,860 | ||||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (4) | 6,660,000 | 8,203,788 | ||||||||||
San Diego Unified School District: | ||||||||||||
6.000%, 07/01/2033 (Pre-refunded to 07/01/2024) (4) | 350,000 | 427,759 | ||||||||||
4.000%, 07/01/2034 (Callable 07/01/2027) | 1,000,000 | 1,153,690 | ||||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,865,000 | ||||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,528,270 | ||||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,250,832 | ||||||||||
0.000%, 01/01/2028 (ETM) | 770,000 | 683,837 | ||||||||||
San Mateo Foster City School District, | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2028) (4) | 280,000 | 310,652 | ||||||||||
San Mateo Union High School District: | ||||||||||||
5.000%, 09/01/2041 (Callable 09/01/2023) | 2,105,000 | 2,415,929 | ||||||||||
5.000%, 12/15/2043 (Pre-refunded to 12/15/2024)(Insured by AMBAC) (4) | 1,635,000 | 1,955,313 | ||||||||||
San Ysidro School District: | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 375,000 | 77,291 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2021)(Insured by AGM) | 290,000 | 55,320 | ||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 525,000 | 57,950 | ||||||||||
St. Helena Unified School District, | ||||||||||||
0.000%, 08/01/2028 (4) | 130,000 | 135,123 | ||||||||||
State of California, | ||||||||||||
5.000%, 08/01/2031 (Callable 02/01/2025) | 1,000,000 | 1,178,590 | ||||||||||
Sutter Union High School District: | ||||||||||||
0.000%, 08/01/2030 (Pre-refunded to 08/01/2025) | 185,000 | 122,350 | ||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2025) | 50,000 | 21,382 | ||||||||||
0.000%, 08/01/2037 (Pre-refunded to 08/01/2025) | 50,000 | 19,909 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2025) | 50,000 | 14,910 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2025) | 200,000 | 51,404 | ||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2025) | 420,000 | 100,157 | ||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 700,000 | 106,687 | ||||||||||
Tustin Unified School District, | ||||||||||||
6.000%, 08/01/2028 (Callable 08/01/2021) (4) | 1,295,000 | 1,398,224 | ||||||||||
Victor Valley Union High School District: | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2023)(Insured by AGM) | 510,000 | 241,755 | ||||||||||
0.000%, 08/01/2038 (Pre-refunded to 08/01/2023)(Insured by AGM) | 460,000 | 192,345 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2023) | 545,000 | 190,794 | ||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2023) | 2,000,000 | 658,500 | ||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2023) | 200,000 | 51,564 | ||||||||||
0.000%, 08/01/2052 (Pre-refunded to 08/01/2023) | 790,000 | 139,885 | ||||||||||
Westminster School District, | ||||||||||||
0.000%, 08/01/2048 (Callable 08/01/2023)(Insured by BAM) | 5,045,000 | 862,392 | ||||||||||
Total California (Cost $63,807,437) | 67,894,344 | 5.0 | % |
Colorado | ||||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST AID) | 1,225,000 | 1,436,447 | ||||||||||
Brush School District No. RE-2J: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 380,000 | 467,328 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2027)(Insured by BAM) | 395,000 | 484,298 | ||||||||||
5.000%, 12/01/2035 (Callable 12/01/2027)(Insured by BAM) | 460,000 | 560,008 | ||||||||||
City of Fort Lupton CO, | ||||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027)(Insured by AGM) | 850,000 | 936,224 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | 6,815,000 | 6,593,240 | ||||||||||
0.000%, 07/15/2024 (ETM) | 505,000 | 473,195 | ||||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 335,000 | 374,788 | ||||||||||
5.000%, 06/01/2047 (Pre-refunded to 06/01/2027) | 5,750,000 | 7,229,935 | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | 38,470,000 | 37,105,854 | ||||||||||
0.000%, 10/01/2022 (ETM) | 23,700,000 | 22,859,598 | ||||||||||
Mesa County Valley School District No. 51, | ||||||||||||
5.500%, 12/01/2037 (Callable 12/01/2027)(Insured by ST AID) | 1,000,000 | 1,263,640 | ||||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,152,772 | ||||||||||
Total Colorado (Cost $82,576,802) | 85,937,327 | 6.4 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 6,985,000 | 7,635,583 | ||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 1,465,000 | 1,566,041 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 2,500,000 | 2,781,275 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 10/15/2032 (Callable 10/15/2022) | 1,000,000 | 1,086,420 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,250,000 | 1,501,425 | ||||||||||
Total Connecticut (Cost $14,120,852) | 14,570,744 | 1.1 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia: | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 915,000 | 1,052,460 | ||||||||||
5.000%, 03/01/2036 (Callable 09/01/2029) | 1,500,000 | 1,902,120 | ||||||||||
District of Columbia Housing Finance Agency, | ||||||||||||
1.450%, 02/01/2039 (Mandatory Tender Date 08/01/2022) (1) | 1,915,000 | 1,918,294 | ||||||||||
Total District of Columbia (Cost $4,782,360) | 4,872,874 | 0.4 | % | |||||||||
Florida | ||||||||||||
City of Fort Myers FL, | ||||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 480,000 | 521,933 | ||||||||||
City of Miami Beach FL, | ||||||||||||
6.250%, 10/01/2022 (ETM)(Insured by AMBAC) | 800,000 | 865,768 | ||||||||||
City of Miramar FL: | ||||||||||||
5.000%, 10/01/2029 (Callable 10/01/2027) | 1,025,000 | 1,285,985 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2027) | 1,000,000 | 1,247,690 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2027) | 1,000,000 | 1,232,980 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2027) | 1,030,000 | 1,265,036 | ||||||||||
City of Orlando FL, | ||||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 1,000,000 | 1,211,490 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 10/01/2033 (Callable 10/01/2024) | 255,000 | 295,038 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 1,010,000 | 1,167,398 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 825,000 | 952,380 | ||||||||||
City of Tampa FL, | ||||||||||||
4.125%, 10/01/2031 (Callable 10/01/2021) | 1,930,000 | 2,024,531 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.250%, 10/01/2022 (Insured by AGM) | 1,175,000 | 1,307,740 | ||||||||||
0.000%, 10/01/2027 (ETM)(Insured by NATL) | 120,000 | 105,175 | ||||||||||
5.250%, 10/01/2030 (ETM)(Insured by NATL) | 2,060,000 | 2,710,177 | ||||||||||
Escambia County Housing Finance Authority, | ||||||||||||
2.050%, 05/01/2021 (Mandatory Tender Date 05/01/2020) (1) | 1,500,000 | 1,503,600 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 7,425,000 | 8,013,283 | ||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 720,000 | 759,665 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2028)(Insured by GNMA) | 4,195,000 | 4,615,758 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2037 (Callable 01/01/2020)(Optional Put Date 01/07/2020) (1) | 2,000,000 | 2,000,000 | ||||||||||
JEA Electric System Revenue, | ||||||||||||
5.000%, 10/01/2023 (Pre-refunded to 04/01/2023) | 690,000 | 774,118 | ||||||||||
JEA Water & Sewer System Revenue, | ||||||||||||
5.000%, 10/01/2028 (Pre-refunded to 04/01/2024) | 705,000 | 815,523 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2026) | 1,650,000 | 1,973,614 | ||||||||||
Miami-Dade County Health Facilities Authority, | ||||||||||||
5.750%, 05/01/2021 (ETM)(Insured by NATL) | 595,000 | 617,461 | ||||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022 (ETM) | 3,040,000 | 3,328,496 | ||||||||||
6.875%, 10/01/2022 (ETM)(Insured by AMBAC) | 2,085,000 | 2,290,206 | ||||||||||
Osceola County Expressway Authority, | ||||||||||||
0.000%, 10/01/2028 (ETM) (4) | 75,000 | 77,184 | ||||||||||
Pinellas County Housing Finance Authority, | ||||||||||||
4.250%, 03/01/2027 (Callable 01/31/2020)(Insured by GNMA) | 120,000 | 120,227 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
5.000%, 10/01/2031 (Callable 10/01/2028) | 310,000 | 387,767 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 03/15/2039 (Callable 03/15/2024) | 2,000,000 | 2,270,580 | ||||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,460,000 | 8,985,450 | ||||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,915,000 | 5,220,271 | ||||||||||
Seminole County School Board, | ||||||||||||
5.000%, 07/01/2035 (Callable 07/01/2026) | 145,000 | 171,793 | ||||||||||
Total Florida (Cost $58,260,495) | 60,118,317 | 4.5 | % |
Georgia | ||||||||||||
Atlanta Development Authority: | ||||||||||||
5.000%, 09/01/2023 (ETM) | 2,450,000 | 2,786,238 | ||||||||||
5.000%, 09/01/2024 (Pre-refunded to 09/01/2023) | 910,000 | 1,033,132 | ||||||||||
5.000%, 09/01/2032 (Pre-refunded to 09/01/2023) | 1,315,000 | 1,492,933 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,020,000 | 9,978,564 | ||||||||||
Georgia Housing & Finance Authority, | ||||||||||||
3.500%, 12/01/2046 (Callable 12/01/2025) | 835,000 | 874,420 | ||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
2.023%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 1,000,000 | 1,004,960 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 1,855,000 | 1,808,588 | ||||||||||
0.000%, 12/01/2021 (ETM) | 4,025,000 | 3,924,295 | ||||||||||
Total Georgia (Cost $22,026,912) | 22,903,130 | 1.7 | % | |||||||||
Idaho | ||||||||||||
Ada & Boise Counties Independent School District, | ||||||||||||
5.000%, 08/01/2032 (Callable 02/01/2027) | 500,000 | 610,625 | ||||||||||
Total Idaho (Cost $608,934) | 610,625 | 0.0 | % | |||||||||
Illinois | ||||||||||||
Boone & Winnebago Counties Community Unit School District No. 200, | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 720,000 | 679,356 | ||||||||||
City of Chicago IL, | ||||||||||||
5.000%, 01/01/2034 (Pre-refunded to 01/01/2025) | 2,170,000 | 2,565,114 | ||||||||||
Cook County Community High School District No. 233, | ||||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 2,695,000 | 2,854,733 | ||||||||||
Cook County Illinois School District No. 159: | ||||||||||||
0.000%, 12/01/2022 (ETM) | 2,000,000 | 1,922,060 | ||||||||||
0.000%, 12/01/2025 (ETM) | 400,000 | 364,680 | ||||||||||
0.000%, 12/01/2028 (ETM) | 195,000 | 166,220 | ||||||||||
Cook County Illinois School District No. 163: | ||||||||||||
6.000%, 12/15/2026 (Insured by BAM) | 1,165,000 | 1,465,896 | ||||||||||
5.000%, 12/15/2028 (Insured by BAM) | 1,305,000 | 1,598,312 | ||||||||||
Cook County School District No. 130, | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2025)(Insured by AGM) | 1,140,000 | 1,337,539 | ||||||||||
County of Cook IL: | ||||||||||||
5.000%, 11/15/2033 (Callable 11/15/2027) | 3,000,000 | 3,582,720 | ||||||||||
5.000%, 11/15/2034 (Callable 11/15/2027) | 4,325,000 | 5,153,367 | ||||||||||
County of Du Page IL, | ||||||||||||
5.600%, 01/01/2021 | 355,000 | 362,984 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 27,080,000 | 25,750,372 | ||||||||||
0.000%, 07/15/2025 (ETM) | 50,155,000 | 46,047,807 | ||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 1,230,000 | 1,271,660 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | 1,095,000 | 1,182,129 | ||||||||||
6.250%, 05/01/2022 (Pre-refunded to 05/01/2020) | 2,550,000 | 2,592,534 | ||||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,825,000 | 7,313,465 | ||||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,426,584 | ||||||||||
4.000%, 01/15/2033 (Callable 01/15/2028) | 2,170,000 | 2,474,603 | ||||||||||
5.000%, 08/01/2033 (Pre-refunded to 08/01/2024) | 700,000 | 819,840 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,143,279 | ||||||||||
4.000%, 07/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,106,710 | ||||||||||
5.000%, 02/15/2036 (Callable 02/15/2027) | 215,000 | 254,898 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,715,000 | 2,794,006 | ||||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 660,000 | 696,379 | ||||||||||
4.000%, 08/01/2048 (Callable 08/01/2027)(Insured by GNMA) | 785,000 | 851,168 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,780,000 | 11,889,478 | ||||||||||
Kane County Community Unit School District No. 304: | ||||||||||||
9.000%, 01/01/2023 (ETM)(Insured by AGM) | 805,000 | 987,002 | ||||||||||
9.000%, 01/01/2023 (Insured by AGM) | 2,720,000 | 3,322,181 | ||||||||||
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 2,060,000 | 2,428,307 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 13,395,827 | ||||||||||
Lake County Community Consolidated School District No. 50: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 910,000 | 944,543 | ||||||||||
5.000%, 01/01/2021 | 465,000 | 482,275 | ||||||||||
Lake County Township High School District No. 113, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2023) | 3,675,000 | 4,041,030 | ||||||||||
McHenry County Community Consolidated School District No. 47, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2028) | 850,000 | 954,669 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
5.500%, 12/15/2023 (ETM) | 1,905,000 | 2,068,563 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 4,800,000 | 5,109,456 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 295,000 | 347,000 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
7.000%, 01/01/2020 (ETM)(Insured by NATL) | 800,000 | 800,000 | ||||||||||
Regional Transportation Authority: | ||||||||||||
7.750%, 06/01/2020 (Insured by NATL) | 200,000 | 205,326 | ||||||||||
6.700%, 11/01/2021 (Insured by NATL) | 405,000 | 433,309 | ||||||||||
6.000%, 07/01/2022 (Insured by NATL) | 3,705,000 | 4,127,963 | ||||||||||
6.000%, 07/01/2027 (Insured by AGM) | 1,000,000 | 1,299,990 | ||||||||||
Sales Tax Securitization Corp., | ||||||||||||
5.000%, 01/01/2029 | 1,000,000 | 1,215,870 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,661,978 | ||||||||||
State of Illinois: | ||||||||||||
6.500%, 06/15/2022 | 115,000 | 118,329 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 1,850,000 | 1,992,876 | ||||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,198,558 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 1,355,000 | 1,273,456 | ||||||||||
0.000%, 01/01/2025 (ETM)(Insured by AGM) | 60,000 | 55,355 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2024 (ETM)(Insured by NATL) | 705,000 | 652,795 | ||||||||||
Will County Elementary School District No. 122, | ||||||||||||
0.000%, 10/01/2027 (ETM)(Insured by AGM) | 470,000 | 408,783 | ||||||||||
Total Illinois (Cost $181,737,589) | 190,193,334 | 14.2 | % |
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 1,000,000 | 1,052,860 | ||||||||||
Columbus Multi-High School Building Corp.: | ||||||||||||
5.000%, 01/15/2026 (Insured by ST AID) | 1,125,000 | 1,355,186 | ||||||||||
5.000%, 01/15/2027 (Insured by ST AID) | 1,265,000 | 1,554,141 | ||||||||||
5.000%, 07/15/2028 (Insured by ST AID) | 1,000,000 | 1,262,170 | ||||||||||
Fishers Redevelopment Authority: | ||||||||||||
4.000%, 07/15/2027 | 200,000 | 231,942 | ||||||||||
4.000%, 01/15/2028 | 330,000 | 384,526 | ||||||||||
4.000%, 07/15/2028 | 335,000 | 392,533 | ||||||||||
4.000%, 07/15/2029 (Callable 01/15/2029) | 540,000 | 633,755 | ||||||||||
4.000%, 07/15/2030 (Callable 01/15/2029) | 725,000 | 845,422 | ||||||||||
Fort Wayne Redevelopment Authority, | ||||||||||||
5.000%, 02/01/2025 (Callable 02/01/2024)(Insured by ST AID) | 335,000 | 383,796 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 1,780,000 | 2,073,932 | ||||||||||
Kankakee Valley Middle School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Insured by ST AID) | 475,000 | 606,969 | ||||||||||
5.000%, 07/15/2029 (Insured by ST AID) | 1,180,000 | 1,520,253 | ||||||||||
Kokomo-Center School Building Corp., | ||||||||||||
5.000%, 01/15/2037 (Callable 07/15/2027)(Insured by ST AID) | 500,000 | 598,365 | ||||||||||
Northern Wells Multi-School Building Corp., | ||||||||||||
4.000%, 07/15/2035 (Callable 07/15/2027)(Insured by ST AID) | 160,000 | 178,738 | ||||||||||
Total Indiana (Cost $12,516,799) | 13,074,588 | 1.0 | % | |||||||||
Iowa | ||||||||||||
County of Washington IA, | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2026) | 1,015,000 | 1,143,509 | ||||||||||
Iowa Finance Authority: | ||||||||||||
5.000%, 08/01/2028 (Pre-refunded to 08/01/2026) | 3,625,000 | 4,485,974 | ||||||||||
5.000%, 08/01/2035 (Callable 08/01/2025) | 950,000 | 1,120,591 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 795,000 | 857,861 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,300,000 | 1,447,901 | ||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
4.500%, 10/01/2033 (Pre-refunded to 10/01/2021) | 2,100,000 | 2,221,128 | ||||||||||
5.000%, 10/01/2038 (Pre-refunded to 10/01/2021) | 2,090,000 | 2,228,546 | ||||||||||
Total Iowa (Cost $13,312,301) | 13,505,510 | 1.0 | % | |||||||||
Kansas | ||||||||||||
City of Wichita KS, | ||||||||||||
5.000%, 11/15/2020 (ETM) | 1,120,000 | 1,157,061 | ||||||||||
Crawford County Unified School District No. 250, | ||||||||||||
5.000%, 09/01/2035 (Callable 09/01/2027)(Insured by BAM) | 445,000 | 535,766 | ||||||||||
Total Kansas (Cost $1,683,628) | 1,692,827 | 0.1 | % | |||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 12/01/2035 (Callable 06/01/2022) | 1,320,000 | 1,440,490 | ||||||||||
Total Kentucky (Cost $1,439,047) | 1,440,490 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Jefferson Parish Hospital Service District No. 1, | ||||||||||||
6.000%, 01/01/2039 (Pre-refunded to 01/01/2021) | 1,080,000 | 1,130,436 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 26,700,000 | 32,477,880 | ||||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 27,746,293 | ||||||||||
State of Louisiana, | ||||||||||||
5.000%, 05/01/2027 (Pre-refunded to 05/01/2022) | 1,420,000 | 1,546,905 | ||||||||||
Webster Parish School District No. 6: | ||||||||||||
5.000%, 03/01/2025 (Insured by AGM) | 425,000 | 498,279 | ||||||||||
5.000%, 03/01/2026 (Insured by AGM) | 635,000 | 760,139 | ||||||||||
5.000%, 03/01/2027 (Insured by AGM) | 620,000 | 756,233 | ||||||||||
5.000%, 03/01/2028 (Insured by AGM) | 755,000 | 936,177 | ||||||||||
4.000%, 03/01/2030 (Callable 03/01/2029)(Insured by AGM) | 665,000 | 771,899 | ||||||||||
4.000%, 03/01/2031 (Callable 03/01/2029)(Insured by AGM) | 840,000 | 966,092 | ||||||||||
Total Louisiana (Cost $62,909,580) | 67,590,333 | 5.0 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD: | ||||||||||||
5.000%, 07/01/2024 (ETM) | 1,220,000 | 1,363,155 | ||||||||||
5.000%, 07/01/2028 (ETM) | 275,000 | 321,117 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 1,880,000 | 2,175,404 | ||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,402,061 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,477,616 | ||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,487,795 | ||||||||||
Total Maryland (Cost $23,926,123) | 25,227,148 | 1.9 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
4.500%, 12/01/2043 (Pre-refunded to 12/01/2021) | 1,235,000 | 1,315,398 | ||||||||||
Massachusetts Department of Transportation, | ||||||||||||
5.000%, 01/01/2020 (ETM) | 415,000 | 415,000 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026) | 625,000 | 761,194 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 1,150,000 | 1,214,320 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 1,545,000 | 1,668,291 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 665,000 | 729,199 | ||||||||||
Massachusetts State College Building Authority, | ||||||||||||
0.000%, 05/01/2027 (ETM)(Insured by NATL) | 335,000 | 297,212 | ||||||||||
Total Massachusetts (Cost $6,283,615) | 6,400,614 | 0.5 | % |
Michigan | ||||||||||||
Algonac Community Schools: | ||||||||||||
4.000%, 05/01/2028 (Callable 05/01/2027)(Insured by Q-SBLF) | 175,000 | 199,593 | ||||||||||
4.000%, 05/01/2029 (Callable 05/01/2027)(Insured by Q-SBLF) | 370,000 | 418,733 | ||||||||||
4.000%, 05/01/2030 (Callable 05/01/2027)(Insured by Q-SBLF) | 470,000 | 527,725 | ||||||||||
Brighton Area School District, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 500,000 | 524,875 | ||||||||||
Chippewa Hills School District, | ||||||||||||
4.000%, 05/01/2033 (Callable 05/01/2025)(Insured by Q-SBLF) | 300,000 | 328,245 | ||||||||||
Ecorse Public School District, | ||||||||||||
5.000%, 05/01/2027 (Insured by Q-SBLF) | 515,000 | 636,174 | ||||||||||
Fraser Public School District, | ||||||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 1,000,000 | 1,153,480 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 06/01/2027 (Pre-refunded to 06/01/2022) | 1,315,000 | 1,435,033 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 4,460,000 | 4,923,929 | ||||||||||
Pinckney Community Schools: | ||||||||||||
5.000%, 05/01/2022 (Insured by Q-SBLF) | 1,935,000 | 2,100,385 | ||||||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 2,200,000 | 2,463,384 | ||||||||||
State of Michigan, | ||||||||||||
0.000%, 06/01/2022 (ETM)(Insured by AMBAC) | 2,000,000 | 1,935,700 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 1,000,000 | 1,229,090 | ||||||||||
Utica Community Schools, | ||||||||||||
5.000%, 05/01/2034 (Callable 05/01/2029)(Insured by Q-SBLF) | 305,000 | 380,356 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 2,595,000 | 3,041,807 | ||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 4,660,000 | 5,462,359 | ||||||||||
5.000%, 05/01/2035 (Callable 05/01/2026)(Insured by Q-SBLF) | 925,000 | 1,077,810 | ||||||||||
Total Michigan (Cost $26,477,583) | 27,838,678 | 2.1 | % | |||||||||
Minnesota | ||||||||||||
County of Hennepin MN, | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2022) | 3,000,000 | 3,242,400 | ||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 505,000 | 614,631 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.250%, 07/01/2028 (Callable 01/01/2020)(Insured by GNMA) | 5,000 | 5,000 | ||||||||||
4.500%, 07/01/2034 (Callable 07/01/2021)(Insured by GNMA) | 190,000 | 194,872 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 415,000 | 443,456 | ||||||||||
4.250%, 07/01/2049 (Callable 07/01/2028)(Insured by GNMA) | 1,365,000 | 1,508,830 | ||||||||||
Pipestone-Jasper Independent School District No. 2689, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2029)(Insured by SD CRED PROG) | 580,000 | 676,413 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 7,925,000 | 8,251,114 | ||||||||||
Total Minnesota (Cost $14,795,440) | 14,936,716 | 1.1 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Development Bank: | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2027) | 825,000 | 1,000,849 | ||||||||||
5.250%, 03/01/2035 (Callable 03/01/2028) | 495,000 | 607,503 | ||||||||||
Mississippi Home Corp., | ||||||||||||
2.400%, 02/01/2022 (Pre-refunded to 08/01/2021) (1) | 2,000,000 | 2,037,080 | ||||||||||
Oxford School District, | ||||||||||||
4.000%, 05/01/2027 | 500,000 | 580,935 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 1,130,000 | 1,423,518 | ||||||||||
West Rankin Utility Authority, | ||||||||||||
5.000%, 01/01/2038 (Callable 01/01/2025)(Insured by AGM) | 500,000 | 569,430 | ||||||||||
Total Mississippi (Cost $5,905,116) | 6,219,315 | 0.4 | % | |||||||||
Missouri | ||||||||||||
Independence School District, | ||||||||||||
5.500%, 03/01/2035 (Callable 03/01/2027)(Insured by ST AID) | 955,000 | 1,192,642 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
5.500%, 03/01/2037 (Callable 03/01/2029)(Insured by ST AID) | 1,000,000 | 1,313,790 | ||||||||||
Metropolitan St. Louis Sewer District, | ||||||||||||
5.000%, 05/01/2036 (Callable 05/01/2025) | 1,275,000 | 1,495,575 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
1.950%, 05/01/2025 (Insured by GNMA) | 115,000 | 117,142 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 1,880,000 | 1,940,630 | ||||||||||
St. Louis County School District, | ||||||||||||
4.000%, 03/01/2031 (Callable 03/01/2025) | 1,480,000 | 1,644,162 | ||||||||||
Troy Reorganized School District No. 3, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2024)(Insured by ST AID) | 1,635,000 | 1,865,519 | ||||||||||
Webster Groves School District: | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2026) | 910,000 | 1,039,821 | ||||||||||
4.000%, 03/01/2029 (Callable 03/01/2026) | 1,370,000 | 1,555,073 | ||||||||||
Total Missouri (Cost $11,781,126) | 12,164,354 | 0.9 | % | |||||||||
Montana | ||||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2028) | 210,000 | 238,524 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 430,000 | 535,780 | ||||||||||
5.000%, 07/01/2029 (Callable 07/01/2027) | 535,000 | 664,850 | ||||||||||
Total Montana (Cost $1,357,530) | 1,439,154 | 0.1 | % |
Nebraska | ||||||||||||
City of Lincoln NE, | ||||||||||||
5.000%, 04/01/2023 | 290,000 | 326,256 | ||||||||||
Nebraska Educational Health Cultural & Social Services Finance Authority: | ||||||||||||
4.000%, 01/01/2033 (Callable 01/01/2026) | 400,000 | 443,388 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,000,000 | 1,106,680 | ||||||||||
4.000%, 01/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,104,030 | ||||||||||
Omaha School District, | ||||||||||||
4.000%, 12/15/2033 (Callable 12/15/2028) | 1,125,000 | 1,305,529 | ||||||||||
University of Nebraska: | ||||||||||||
3.000%, 07/01/2028 (Pre-refunded to 07/01/2026) | 30,000 | 33,068 | ||||||||||
3.000%, 05/15/2035 (Pre-refunded to 05/15/2026) | 20,000 | 22,019 | ||||||||||
3.000%, 07/01/2039 (Pre-refunded to 07/01/2026) | 15,000 | 16,534 | ||||||||||
Village of Boys Town NE, | �� | |||||||||||
3.000%, 09/01/2028 | 150,000 | 162,406 | ||||||||||
Total Nebraska (Cost $4,523,027) | 4,519,910 | 0.3 | % | |||||||||
Nevada | ||||||||||||
County of Clark NV, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2024) | 1,925,000 | 2,200,872 | ||||||||||
Total Nevada (Cost $2,099,478) | 2,200,872 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 355,000 | 363,066 | ||||||||||
Total New Hampshire (Cost $358,019) | 363,066 | 0.0 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Building Authority, | ||||||||||||
5.000%, 06/15/2024 (ETM) | 1,410,000 | 1,641,494 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.250%, 07/01/2025 | 1,285,000 | 1,531,219 | ||||||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||||||
3.750%, 07/01/2027 (ETM) | 205,000 | 230,022 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
6.000%, 11/01/2023 (Pre-refunded to 01/31/2020) | 110,000 | 117,687 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,485,000 | 1,643,835 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,181,500 | ||||||||||
0.000%, 12/15/2026 (Insured by BHAC) | 1,000,000 | 873,790 | ||||||||||
0.000%, 12/15/2030 | 605,000 | 461,228 | ||||||||||
Total New Jersey (Cost $11,416,094) | 11,680,775 | 0.9 | % | |||||||||
New Mexico | ||||||||||||
Jal Public School District No. 19, | ||||||||||||
2.750%, 10/01/2027 (Pre-refunded to 10/01/2023)(Insured by ST AID) | 600,000 | 634,626 | ||||||||||
New Mexico Finance Authority, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026) | 2,615,000 | 2,985,598 | ||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
3.950%, 09/01/2040 (Callable 09/01/2024)(Insured by GNMA) | 1,105,000 | 1,169,422 | ||||||||||
New Mexico Mortgage Financial Authority: | ||||||||||||
4.625%, 09/01/2025 (Callable 03/01/2020)(Insured by GNMA) | 435,000 | 436,801 | ||||||||||
4.500%, 09/01/2028 (Callable 03/01/2020)(Insured by GNMA) | 35,000 | 35,150 | ||||||||||
3.500%, 07/01/2033 (Callable 01/01/2028)(Insured by GNMA) | 1,170,000 | 1,254,626 | ||||||||||
3.550%, 09/01/2037 (Callable 03/01/2027)(Insured by GNMA) | 1,160,000 | 1,224,449 | ||||||||||
Total New Mexico (Cost $7,516,308) | 7,740,672 | 0.6 | % |
New York | ||||||||||||
City of New York NY, | ||||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,495,350 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
6.000%, 04/01/2020 (ETM)(Insured by NATL) | 3,715,000 | 3,761,103 | ||||||||||
5.000%, 11/15/2028 (Pre-refunded to 11/15/2023) | 210,000 | 242,558 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 1,525,000 | 1,857,862 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 2,835,000 | 3,413,141 | ||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | 6,500,000 | 7,799,935 | ||||||||||
4.000%, 06/15/2040 (Callable 12/15/2029) | 500,000 | 571,600 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,303,841 | ||||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,000,000 | 5,831,950 | ||||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 181,424 | ||||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,634,916 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,580,000 | 5,582,065 | ||||||||||
New York State Urban Development Corp.: | ||||||||||||
5.000%, 03/15/2022 | 2,015,000 | 2,187,081 | ||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,871,320 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 04/01/2028) | 4,495,000 | 4,926,655 | ||||||||||
Total New York (Cost $55,234,342) | 57,660,801 | 4.3 | % | |||||||||
North Carolina | ||||||||||||
City of Charlotte NC: | ||||||||||||
5.000%, 06/01/2023 | 3,250,000 | 3,676,270 | ||||||||||
5.000%, 07/01/2031 (Callable 07/01/2028) | 2,580,000 | 3,289,165 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 10,435,000 | 10,652,465 | ||||||||||
6.400%, 01/01/2021 (ETM) | 1,817,000 | 1,862,262 | ||||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 12,245,000 | 12,739,453 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 3,000,000 | 3,311,310 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 525,000 | 548,541 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,000,000 | 1,125,760 | ||||||||||
Total North Carolina (Cost $37,214,197) | 37,205,226 | 2.8 | % | |||||||||
North Dakota | ||||||||||||
County of Burleigh ND: | ||||||||||||
5.000%, 07/01/2025 (Pre-refunded to 07/01/2021) | 1,500,000 | 1,584,180 | ||||||||||
5.000%, 07/01/2029 (Pre-refunded to 07/01/2021) | 470,000 | 496,377 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 425,000 | 451,983 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.450%, 07/01/2037 (Callable 07/01/2026)(Insured by FHA) | 2,955,000 | 3,075,091 | ||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 1,110,000 | 1,175,224 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,250,000 | 1,392,625 | ||||||||||
North Dakota Public Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2028) | 2,590,000 | 3,269,719 | ||||||||||
Total North Dakota (Cost $11,268,447) | 11,445,199 | 0.8 | % | |||||||||
Ohio | ||||||||||||
Akron Bath Copley Joint Township Hospital District, | ||||||||||||
3.800%, 01/01/2027 (Pre-refunded to 01/01/2022) | 815,000 | 844,006 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.750%, 06/01/2031 (Pre-refunded to 06/01/2020) | 750,000 | 764,347 | ||||||||||
City of Cleveland OH, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2022) | 860,000 | 949,517 | ||||||||||
City of Delaware OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2024) | 200,000 | 220,898 | ||||||||||
City of Oxford OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 40,000 | 45,586 | ||||||||||
Cleveland Municipal School District, | ||||||||||||
5.000%, 12/01/2020 (Insured by SD CRED PROG) | 2,015,000 | 2,085,283 | ||||||||||
County of Lucas OH, | ||||||||||||
5.750%, 11/15/2031 (Pre-refunded to 11/15/2021) | 1,110,000 | 1,204,006 | ||||||||||
County of Montgomery OH, | ||||||||||||
5.250%, 05/01/2029 (Pre-refunded to 11/12/2023) | 1,050,000 | 1,192,747 | ||||||||||
Lucas-Plaza Housing Development Corp., | ||||||||||||
0.000%, 06/01/2024 (ETM)(Insured by FHA) | 1,200,000 | 1,121,484 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
5.000%, 11/01/2028 (Callable 05/01/2020)(Insured by GNMA) | 10,000 | 10,102 | ||||||||||
3.950%, 09/01/2043 (Callable 09/01/2027)(Insured by GNMA) | 495,000 | 528,868 | ||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 1,130,000 | 1,191,619 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,120,069 | ||||||||||
1.520%, 01/15/2045 (Callable 03/02/2020)(Optional Put Date 02/24/2020) (1) | 3,000,000 | 3,000,000 | ||||||||||
University of Akron, | ||||||||||||
5.000%, 01/01/2033 (Callable 07/01/2026) | 335,000 | 396,566 | ||||||||||
Total Ohio (Cost $20,402,738) | 20,675,098 | 1.5 | % |
Oklahoma | ||||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
2.375%, 10/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 1,290,000 | 1,300,127 | ||||||||||
Total Oklahoma (Cost $1,299,806) | 1,300,127 | 0.1 | % | |||||||||
Oregon | ||||||||||||
Clackamas County School District No. 12, | ||||||||||||
5.000%, 06/15/2037 (Callable 06/15/2027)(Insured by SCH BD GTY) | 825,000 | 1,001,888 | ||||||||||
County of Multnomah OR, | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2022) | 1,565,000 | 1,648,837 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 12/01/2045 (Callable 06/01/2025) | 2,815,000 | 2,996,145 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 2,945,000 | 3,165,021 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 400,000 | 402,596 | ||||||||||
4.000%, 01/01/2047 (Callable 07/01/2025) | 1,305,000 | 1,387,437 | ||||||||||
3.750%, 07/01/2048 (Callable 01/01/2027) | 1,665,000 | 1,734,431 | ||||||||||
Washington County School District No. 1, | ||||||||||||
5.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) | 600,000 | 732,612 | ||||||||||
Total Oregon (Cost $12,873,211) | 13,068,967 | 1.0 | % |
Pennsylvania | ||||||||||||
Centennial School District Bucks County, | ||||||||||||
4.000%, 12/15/2029 (Callable 12/15/2024)(Insured by ST AID) | 265,000 | 293,826 | ||||||||||
Commonwealth Financing Authority, | ||||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,500,000 | 1,656,615 | ||||||||||
Erie Sewer Authority, | ||||||||||||
5.125%, 06/01/2020 (ETM)(Insured by AMBAC) | 470,000 | 477,694 | ||||||||||
Mckeesport Area School District, | ||||||||||||
0.000%, 10/01/2025 (ETM) | 110,000 | 100,663 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.750%, 08/15/2041 (Pre-refunded to 08/15/2021) | 500,000 | 537,145 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 5,325,000 | 5,412,117 | ||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 1,100,000 | 1,149,214 | ||||||||||
Philadelphia Gas Works Co., | ||||||||||||
7.000%, 05/15/2020 (ETM)(Insured by NATL) | 380,000 | 388,060 | ||||||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||||||
5.000%, 05/15/2020 (ETM) | 1,575,000 | 1,597,270 | ||||||||||
5.250%, 05/15/2023 (Pre-refunded to 05/15/2020) | 2,790,000 | 2,831,990 | ||||||||||
Pittsburgh Water & Sewer Authority: | ||||||||||||
0.000%, 09/01/2026 (ETM) | 620,000 | 556,822 | ||||||||||
0.000%, 09/01/2027 (ETM) | 925,000 | 811,873 | ||||||||||
0.000%, 09/01/2028 (ETM) | 140,000 | 119,977 | ||||||||||
South Fork Municipal Authority: | ||||||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2020) | 2,450,000 | 2,502,136 | ||||||||||
5.375%, 07/01/2035 (Pre-refunded to 07/01/2020)(Insured by AGC) | 1,290,000 | 1,316,342 | ||||||||||
Total Pennslyvania (Cost $19,435,537) | 19,751,744 | 1.5 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highways & Transportation Authority, | ||||||||||||
5.250%, 07/01/2022 (ETM)(Insured by AGM) | 1,150,000 | 1,264,114 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,490,000 | 5,986,790 | ||||||||||
6.000%, 08/01/2026 (ETM) | 4,290,000 | 5,467,090 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,025,000 | 1,306,240 | �� | |||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,155,000 | 1,471,909 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,585,000 | 2,019,892 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,020,000 | 1,299,868 | ||||||||||
5.500%, 08/01/2027 (ETM)(Insured by AMBAC) | 6,500,000 | 8,275,605 | ||||||||||
Total Puerto Rico (Cost $26,098,246) | 27,091,508 | 2.0 | % | |||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,847,750 | ||||||||||
Total Rhode Island (Cost $5,529,138) | 5,847,750 | 0.4 | % | |||||||||
South Carolina | ||||||||||||
Charleston Educational Excellence Finance Corp., | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2023) | 4,625,000 | 5,279,669 | ||||||||||
Piedmont Municipal Power Agency: | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 6,450,000 | ||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 5,590,000 | 6,619,063 | ||||||||||
Total South Carolina (Cost $17,862,339) | 18,348,732 | 1.4 | % | |||||||||
South Dakota | ||||||||||||
Harrisburg School District No. 41-2, | ||||||||||||
2.375%, 08/01/2026 (Insured by ST AID) | 415,000 | 430,936 | ||||||||||
Sioux Falls School District No. 49-5, | ||||||||||||
1.375%, 08/01/2021 (Insured by ST AID) | 100,000 | 100,209 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 340,000 | 347,133 | ||||||||||
Total South Dakota (Cost $856,605) | 878,278 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
City of Murfreesboro TN: | ||||||||||||
3.000%, 06/01/2030 (Callable 06/01/2023) | 3,400,000 | 3,530,560 | ||||||||||
3.000%, 06/01/2031 (Callable 06/01/2023) | 3,005,000 | 3,109,334 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
0.000%, 06/01/2021 (ETM) | 2,395,000 | 2,350,285 | ||||||||||
4.875%, 11/01/2028 (ETM)(Insured by NATL) | 1,855,000 | 2,166,826 | ||||||||||
Rutherford County Health & Educational Facilities Board, | ||||||||||||
2.500%, 11/01/2021 (Mandatory Tender Date 11/01/2020) (1) | 1,850,000 | 1,866,964 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 40,000 | 40,000 | ||||||||||
3.850%, 01/01/2035 (Callable 01/01/2025) | 440,000 | 465,291 | ||||||||||
3.900%, 07/01/2042 (Callable 07/01/2027) | 790,000 | 842,148 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 1,195,000 | 1,290,229 | ||||||||||
3.650%, 07/01/2047 (Callable 01/01/2027) | 1,155,000 | 1,212,219 | ||||||||||
4.050%, 01/01/2049 (Callable 01/01/2028) | 8,055,000 | 8,569,876 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 1,685,000 | 1,858,740 | ||||||||||
Total Tennessee (Cost $26,945,627) | 27,302,472 | 2.0 | % |
Texas | ||||||||||||
Amarillo Independent School District, | ||||||||||||
5.000%, 02/01/2026 (Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,576,007 | ||||||||||
Anna Independent School District, | ||||||||||||
5.000%, 08/15/2035 (Callable 08/15/2026)(PSF Guaranteed) | 910,000 | 1,086,394 | ||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2024 (PSF Guaranteed) | 1,025,000 | 1,139,123 | ||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,010,000 | 1,174,701 | ||||||||||
5.000%, 08/15/2026 (PSF Guaranteed) | 500,000 | 611,340 | ||||||||||
4.000%, 08/15/2027 (Callable 08/15/2026)(PSF Guaranteed) | 875,000 | 1,013,171 | ||||||||||
5.000%, 02/15/2028 (Callable 02/15/2025)(PSF Guaranteed) | 1,905,000 | 2,218,982 | ||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 850,000 | 977,355 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 555,000 | 635,081 | ||||||||||
4.000%, 08/15/2033 (Callable 08/15/2026)(PSF Guaranteed) | 450,000 | 504,621 | ||||||||||
5.000%, 08/15/2033 (Callable 08/15/2024)(PSF Guaranteed) | 1,460,000 | 1,656,341 | ||||||||||
4.000%, 12/01/2035 (Callable 06/01/2027)(PSF Guaranteed) | 450,000 | 504,023 | ||||||||||
Austin Community College District Public Facility Corp., | ||||||||||||
5.000%, 08/01/2033 (Callable 08/01/2025) | 750,000 | 876,427 | ||||||||||
Barbers Hill Independent School District, | ||||||||||||
4.000%, 02/15/2037 (Callable 08/15/2026)(PSF Guaranteed) | 860,000 | 956,982 | ||||||||||
Blum Independent School District: | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 400,000 | 457,232 | ||||||||||
4.000%, 08/15/2029 (Callable 08/15/2026)(PSF Guaranteed) | 420,000 | 477,519 | ||||||||||
4.000%, 08/15/2032 (Callable 08/15/2026)(PSF Guaranteed) | 165,000 | 186,511 | ||||||||||
4.000%, 08/15/2033 (Callable 08/15/2026)(PSF Guaranteed) | 210,000 | 236,876 | ||||||||||
Burleson Independent School District, | ||||||||||||
5.000%, 08/01/2025 (PSF Guaranteed) | 1,260,000 | 1,510,135 | ||||||||||
Cibolo Canyons Special Improvement District, | ||||||||||||
2.500%, 08/15/2030 (Callable 08/15/2026)(Insured by AGM) | 1,190,000 | 1,175,875 | ||||||||||
City of Austin TX, | ||||||||||||
5.000%, 11/15/2024 (Callable 11/15/2022) | 3,000,000 | 3,327,300 | ||||||||||
City of El Paso TX, | ||||||||||||
5.000%, 08/15/2022 | 170,000 | 185,936 | ||||||||||
City of Fort Worth TX, | ||||||||||||
4.000%, 02/15/2035 (Callable 02/15/2028) | 2,530,000 | 2,894,826 | ||||||||||
City of Houston TX: | ||||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 1,835,000 | 2,120,049 | ||||||||||
0.000%, 12/01/2026 (ETM)(Insured by AGM) | 455,000 | 409,227 | ||||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 16,050,000 | 20,730,982 | ||||||||||
5.750%, 12/01/2032 (ETM)(Insured by AGM) | 20,965,000 | 30,678,923 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2024)(PSF Guaranteed) | 215,000 | 246,523 | ||||||||||
4.000%, 08/15/2031 (Callable 08/15/2026)(PSF Guaranteed) | 120,000 | 136,150 | ||||||||||
Conroe Independent School District, | ||||||||||||
5.000%, 02/15/2023 (Pre-refunded to 02/15/2021)(PSF Guaranteed) | 1,745,000 | 1,820,297 | ||||||||||
County of Bexar TX: | ||||||||||||
4.000%, 06/15/2030 (Callable 06/15/2026) | 150,000 | 170,732 | ||||||||||
4.000%, 06/15/2033 (Callable 06/15/2025) | 3,795,000 | 4,204,670 | ||||||||||
5.000%, 06/15/2036 (Callable 06/15/2026) | 2,120,000 | 2,533,654 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 10/01/2026 (Callable 10/01/2025) | 4,170,000 | 5,006,919 | ||||||||||
County of Montgomery TX, | ||||||||||||
5.000%, 03/01/2027 (Pre-refunded to 03/01/2022) | 665,000 | 718,739 | ||||||||||
Crowley Independent School District, | ||||||||||||
5.000%, 08/01/2036 (Callable 08/01/2025)(PSF Guaranteed) | 2,000,000 | 2,344,140 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) | 365,000 | 394,298 | ||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 1,405,000 | 1,513,115 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 495,000 | 609,513 | ||||||||||
DeSoto Independent School District: | ||||||||||||
5.000%, 08/15/2032 (Callable 08/15/2025)(Insured by BAM) | 1,080,000 | 1,263,557 | ||||||||||
5.000%, 08/15/2032 (Callable 08/15/2024)(PSF Guaranteed) | 1,825,000 | 2,096,177 | ||||||||||
Dimmitt Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 565,000 | 618,347 | ||||||||||
Ennis Independent School District, | ||||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,145,000 | 1,375,729 | ||||||||||
Forney Independent School District, | ||||||||||||
5.000%, 08/15/2034 (Callable 08/15/2025)(PSF Guaranteed) | 525,000 | 618,565 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,655,000 | 1,940,272 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 1,000,000 | 1,015,100 | ||||||||||
Godley Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,445,000 | 1,614,094 | ||||||||||
Harlingen Consolidated Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 2,810,000 | 3,290,229 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,445,000 | 1,734,433 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
7.000%, 01/01/2048 (Pre-refunded to 01/01/2023) | 3,800,000 | 4,439,008 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.750%, 07/01/2027 (ETM) | 4,700,000 | 5,756,513 | ||||||||||
6.250%, 07/01/2027 (ETM) | 7,540,000 | 9,450,938 | ||||||||||
Harris County Toll Road Authority, | ||||||||||||
5.000%, 08/15/2028 (Callable 02/15/2028) | 680,000 | 859,214 | ||||||||||
Hays Consolidated Independent School District, | ||||||||||||
4.000%, 02/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 880,000 | 990,898 | ||||||||||
Honda Auto Receivables Owner Trust, | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,168,854 | �� | |||||||||
Houston Higher Education Finance Corp., | ||||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024)(PSF Guaranteed) | 1,795,000 | 2,006,307 | ||||||||||
Humble Independent School District: | ||||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,565,070 | ||||||||||
5.000%, 02/15/2036 (Callable 02/15/2027)(PSF Guaranteed) | 1,000,000 | 1,213,480 | ||||||||||
Iraan Sheffield Independent School District, | ||||||||||||
4.000%, 02/15/2027 (Callable 02/15/2026)(PSF Guaranteed) | 410,000 | 469,630 | ||||||||||
Irving Independent School District, | ||||||||||||
5.000%, 02/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,460,750 | ||||||||||
Kenedy Independent School District: | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2023)(PSF Guaranteed) | 100,000 | 107,556 | ||||||||||
4.000%, 08/15/2035 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 102,839 | ||||||||||
4.000%, 08/15/2036 (Callable 08/15/2021)(PSF Guaranteed) | 150,000 | 154,165 | ||||||||||
4.000%, 08/15/2037 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 102,698 | ||||||||||
4.000%, 08/15/2038 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 102,630 | ||||||||||
Killeen Independent School District, | ||||||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,182,350 | ||||||||||
Kirbyville Consolidated Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 160,000 | 177,059 | ||||||||||
Klein Independent School District, | ||||||||||||
4.000%, 08/01/2031 (Callable 08/01/2025)(PSF Guaranteed) | 1,000,000 | 1,116,290 | ||||||||||
La Porte Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 1,080,000 | 1,280,016 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2035 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 250,000 | 135,345 | ||||||||||
0.000%, 08/15/2037 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 700,000 | 353,255 | ||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 635,000 | 275,006 | ||||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 20,000 | 8,456 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,915,000 | 3,413,999 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 115,000 | 47,391 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,500,000 | 543,030 | ||||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 2,000,000 | 607,780 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 500,000 | 134,055 | ||||||||||
0.000%, 08/15/2048 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 625,000 | 157,581 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 1,930,000 | 2,203,384 | ||||||||||
Lubbock Housing Finance Corp., | ||||||||||||
8.000%, 10/01/2021 (ETM) | 1,980,000 | 2,212,670 | ||||||||||
Luling Independent School District: | ||||||||||||
4.000%, 02/15/2028 (PSF Guaranteed) | 190,000 | 221,914 | ||||||||||
4.000%, 02/15/2029 (Callable 02/15/2028)(PSF Guaranteed) | 90,000 | 104,229 | ||||||||||
McKinney Independent School District, | ||||||||||||
4.000%, 02/15/2034 (Callable 02/15/2026)(PSF Guaranteed) | 1,325,000 | 1,479,601 | ||||||||||
Melissa Independent School District, | ||||||||||||
5.000%, 08/01/2036 (Callable 08/01/2026)(PSF Guaranteed) | 1,020,000 | 1,217,523 | ||||||||||
Mesquite Independent School District: | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,425,000 | 1,665,740 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 2,615,000 | 3,137,215 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,500,000 | 1,799,550 | ||||||||||
Millsap Independent School District, | ||||||||||||
4.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 335,000 | 369,967 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023 (ETM) | 200,000 | 190,180 | ||||||||||
Moulton Independent School District: | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2027)(PSF Guaranteed) | 235,000 | 269,465 | ||||||||||
4.000%, 08/15/2032 (Callable 08/15/2027)(PSF Guaranteed) | 200,000 | 228,672 | ||||||||||
4.000%, 08/15/2034 (Callable 08/15/2027)(PSF Guaranteed) | 225,000 | 256,079 | ||||||||||
4.000%, 08/15/2035 (Callable 08/15/2027)(PSF Guaranteed) | 545,000 | 618,700 | ||||||||||
4.000%, 08/15/2036 (Callable 08/15/2027)(PSF Guaranteed) | 285,000 | 322,498 | ||||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025)(PSF Guaranteed) | 6,785,000 | 7,788,841 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 1,117,350 | ||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,030,000 | 1,187,065 | ||||||||||
5.000%, 02/15/2039 (Callable 08/15/2027)(PSF Guaranteed) | 500,000 | 603,935 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2020 (PSF Guaranteed) | 355,000 | 361,241 | ||||||||||
4.000%, 08/15/2022 (PSF Guaranteed) | 215,000 | 229,416 | ||||||||||
North East Independent School District, | ||||||||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 2,930,000 | 3,375,360 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
0.000%, 09/01/2037 (Pre-refunded to 09/01/2031) | 2,835,000 | 1,424,446 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 6,945,000 | 2,223,997 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) (4) | 2,735,000 | 3,443,475 | ||||||||||
0.000%, 09/01/2045 (Pre-refunded to 09/01/2031) (4) | 1,020,000 | 1,396,492 | ||||||||||
Northside Independent School District, | ||||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,000,000 | 1,199,700 | ||||||||||
Pasadena Independent School District, | ||||||||||||
1.500%, 02/15/2044 (Mandatory Tender Date 08/15/2024)(PSF Guaranteed) (1) | 1,360,000 | 1,366,977 | ||||||||||
Pflugerville Independent School District, | ||||||||||||
5.000%, 02/15/2025 (Callable 02/15/2024)(PSF Guaranteed) | 1,020,000 | 1,176,478 | ||||||||||
Port Arthur Independent School District, | ||||||||||||
4.000%, 02/15/2036 (Callable 08/15/2026)(PSF Guaranteed) | 480,000 | 535,387 | ||||||||||
Princeton Independent School District, | ||||||||||||
5.000%, 02/15/2032 (Callable 02/15/2025)(PSF Guaranteed) | 560,000 | 651,342 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2031 (Callable 02/15/2028)(PSF Guaranteed) | 1,020,000 | 1,275,796 | ||||||||||
Rockwall Independent School District, | ||||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 745,000 | 761,442 | ||||||||||
San Angelo Independent School District, | ||||||||||||
5.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 1,500,000 | 1,710,765 | ||||||||||
San Antonio Housing Trust Finance Corp., | ||||||||||||
1.375%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 1,690,000 | 1,691,487 | ||||||||||
San Antonio Public Facilities Corp., | ||||||||||||
4.000%, 09/15/2034 (Callable 09/15/2022) | 1,750,000 | 1,847,388 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2026 (Pre-refunded to 02/15/2021) | 700,000 | 729,407 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,037,203 | ||||||||||
Smithville Independent School District: | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2028)(PSF Guaranteed) | 185,000 | 215,410 | ||||||||||
4.000%, 08/15/2032 (Callable 08/15/2028)(PSF Guaranteed) | 100,000 | 115,979 | ||||||||||
4.000%, 08/15/2033 (Callable 08/15/2028)(PSF Guaranteed) | 110,000 | 127,144 | ||||||||||
Socorro Independent School District, | ||||||||||||
4.000%, 08/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 900,000 | 1,018,197 | ||||||||||
Tarrant County Health Facilities Development Corp., | ||||||||||||
6.000%, 09/01/2024 (ETM) | 4,575,000 | 5,158,313 | ||||||||||
Taylor Independent School District, | ||||||||||||
4.000%, 02/15/2033 (Callable 02/15/2026)(PSF Guaranteed) | 680,000 | 761,036 | ||||||||||
Terrell Independent School District, | ||||||||||||
4.000%, 08/01/2037 (Callable 08/01/2026)(PSF Guaranteed) | 510,000 | 563,071 | ||||||||||
Texas Department of Housing & Community Affairs: | ||||||||||||
3.350%, 09/01/2033 (Callable 09/01/2027)(Insured by GNMA) | 1,415,000 | 1,483,288 | ||||||||||
4.000%, 03/01/2050 (Callable 09/01/2028)(Insured by GNMA) | 1,065,000 | 1,188,316 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 540,000 | 596,403 | ||||||||||
Texas State Public Finance Authority Charter School Finance Corp., | ||||||||||||
6.200%, 02/15/2040 (Pre-refunded to 02/15/2020) | 2,895,000 | 2,911,502 | ||||||||||
Texas Water Development Board: | ||||||||||||
4.000%, 10/15/2033 (Callable 10/15/2027) | 600,000 | 687,708 | ||||||||||
5.000%, 10/15/2033 (Callable 10/15/2025) | 1,250,000 | 1,477,388 | ||||||||||
4.000%, 10/15/2034 (Callable 04/15/2028) | 2,000,000 | 2,300,800 | ||||||||||
4.000%, 10/15/2034 (Callable 10/15/2028) | 975,000 | 1,129,742 | ||||||||||
Town of Flower Mound TX, | ||||||||||||
5.000%, 03/01/2033 (Callable 03/01/2024) | 250,000 | 286,867 | ||||||||||
Travis County Health Facilities Development Corp., | ||||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 15,000 | 15,882 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 600,000 | 637,176 | ||||||||||
United Independent School District: | ||||||||||||
5.000%, 08/15/2033 (Callable 08/15/2028)(PSF Guaranteed) | 835,000 | 1,046,614 | ||||||||||
5.000%, 08/15/2038 (Callable 08/15/2027)(PSF Guaranteed) | 225,000 | 274,208 | ||||||||||
Wylie Independent School District, | ||||||||||||
6.750%, 08/15/2023 (PSF Guaranteed) | 1,010,000 | 1,208,627 | ||||||||||
Ysleta Independent School District: | ||||||||||||
5.000%, 08/15/2023 (Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,083,709 | ||||||||||
5.000%, 08/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,804,019 | ||||||||||
Total Texas (Cost $225,047,794) | 234,493,131 | 17.5 | % |
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 | 4,115,163 | ||||||||||
5.000%, 06/01/2023 (Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 1,750,000 | 1,846,547 | ||||||||||
Timpanogos Special Service District, | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2024) | 425,000 | 468,473 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2024 (Insured by UT CSCE) | 235,000 | 267,665 | ||||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 500,000 | 576,315 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 1,560,000 | 1,665,394 | ||||||||||
Total Utah (Cost $8,677,885) | 8,939,557 | 0.7 | % | |||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency: | ||||||||||||
3.600%, 11/01/2036 (Callable 11/01/2025) | 1,560,000 | 1,635,379 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 1,035,000 | 1,104,749 | ||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 635,000 | 684,631 | ||||||||||
Total Vermont (Cost $3,355,924) | 3,424,759 | 0.2 | % | |||||||||
Virginia | ||||||||||||
Danville Industrial Development Authority, | ||||||||||||
5.250%, 10/01/2028 (ETM)(Insured by AMBAC) | 1,305,000 | 1,468,099 | ||||||||||
Hampton Redevelopment & Housing Authority, | ||||||||||||
1.460%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 2,950,000 | 2,950,442 | ||||||||||
Virginia Housing Development Authority: | ||||||||||||
3.700%, 03/01/2023 (Callable 03/01/2021) | 75,000 | 77,052 | ||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 7,000,000 | 7,214,900 | ||||||||||
Total Virginia (Cost $11,678,993) | 11,710,493 | 0.9 | % | |||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
5.000%, 11/01/2032 (Callable 11/01/2025) | 2,725,000 | 3,246,265 | ||||||||||
County of King WA, | ||||||||||||
5.000%, 07/01/2034 (Callable 01/01/2025) | 705,000 | 817,462 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2034 (Callable 07/01/2027) | 1,090,000 | 1,336,198 | ||||||||||
King County Housing Authority: | ||||||||||||
4.000%, 11/01/2034 (Callable 11/01/2029) | 1,520,000 | 1,757,637 | ||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 2,740,000 | 3,145,520 | ||||||||||
Pierce County School District No. 3, | ||||||||||||
5.000%, 12/01/2033 (Callable 06/01/2027)(Insured by SCH BD GTY) | 2,600,000 | 3,181,074 | ||||||||||
Snohomish County Public Utility District No. 1, | ||||||||||||
6.800%, 01/01/2020 (ETM)(Insured by NATL) | 1,060,000 | 1,060,000 | ||||||||||
Snohomish County School District No. 201, | ||||||||||||
4.000%, 12/01/2021 (Callable 12/01/2020)(Insured by SCH BD GTY) | 4,500,000 | 4,619,205 | ||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,075,000 | 5,627,312 | ||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 1,005,000 | 1,166,383 | ||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 6,005,000 | 6,969,283 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2023) | 2,755,000 | 3,102,158 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2026) | 975,000 | 1,159,031 | ||||||||||
Thurston & Pierce Counties Community Schools, | ||||||||||||
4.250%, 12/01/2021 (Callable 12/01/2020)(Insured by SCH BD GTY) | 2,755,000 | 2,834,702 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
6.125%, 11/15/2031 (Pre-refunded to 05/15/2021) | 620,000 | 662,049 | ||||||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 4,875,000 | 5,213,861 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
2.550%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 6,250,000 | 6,325,187 | ||||||||||
5.000%, 01/01/2023 (ETM) | 500,000 | 527,250 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 625,000 | 683,819 | ||||||||||
Total Washington (Cost $52,022,425) | 53,434,396 | 4.0 | % |
Wisconsin | ||||||||||||
Baraboo School District, | ||||||||||||
4.000%, 04/01/2028 (Callable 04/01/2026)(Insured by BAM) | 550,000 | 626,461 | ||||||||||
City of Milwaukee WI, | ||||||||||||
3.000%, 06/01/2033 (Callable 06/01/2026) | 2,500,000 | 2,568,525 | ||||||||||
City of Oshkosh WI, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2023) | 1,280,000 | 1,368,205 | ||||||||||
Mill City Mortgage Trust, | ||||||||||||
3.000%, 09/01/2023 (Pre-refunded to 09/01/2021) | 310,000 | 319,148 | ||||||||||
Public Finance Authority, | ||||||||||||
5.000%, 03/01/2025 | 535,000 | 632,787 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
5.500%, 12/15/2026 (Insured by NATL) | 815,000 | 1,006,403 | ||||||||||
0.000%, 12/15/2027 (ETM)(Insured by NATL) | 215,000 | 187,632 | ||||||||||
0.000%, 12/15/2028 (ETM)(Insured by NATL) | 40,000 | 34,073 | ||||||||||
0.000%, 12/15/2029 (ETM)(Insured by NATL) | 235,000 | 195,271 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 2,150,000 | 2,418,707 | ||||||||||
4.000%, 05/01/2031 (Callable 05/01/2022) | 245,000 | 258,786 | ||||||||||
5.000%, 05/01/2032 (Pre-refunded to 05/01/2023) | 5,000,000 | 5,633,650 | ||||||||||
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | 5,305,000 | 6,168,548 | ||||||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,500,000 | 12,209,190 | ||||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,273,170 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 2,295,000 | 2,513,300 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 275,000 | 331,931 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 2,400,000 | 2,693,592 | ||||||||||
Wisconsin Center District: | ||||||||||||
4.000%, 12/15/2029 (Callable 06/15/2026) | 1,480,000 | 1,674,605 | ||||||||||
5.000%, 12/15/2030 (Callable 06/15/2026) | 775,000 | 926,769 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 02/15/2028 (Pre-refunded to 08/15/2025) | 20,000 | 23,924 | ||||||||||
4.000%, 02/15/2033 (Pre-refunded to 08/15/2025) | 100,000 | 114,228 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 250,000 | 285,570 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2027) | 2,000,000 | 2,323,000 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 1,350,000 | 1,421,010 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 1,575,000 | 1,680,415 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 2,205,000 | 2,431,938 | ||||||||||
Total Wisconsin (Cost $57,405,194) | 59,320,838 | 4.4 | % |
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 645,000 | 683,939 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 3,105,000 | 3,386,468 | ||||||||||
Total Wyoming (Cost $3,973,989) | 4,070,407 | 0.3 | % | |||||||||
Total Municipal Bonds (Cost $1,278,352,474) | 1,326,608,495 | 98.8 | % | |||||||||
Total Long-Term Investments (Cost $1,278,352,474) | 1,326,608,495 | 98.8 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 1.47% (3) | 101,460 | 101,460 | ||||||||||
Total Short-Term Investment (Cost $101,460) | 101,460 | 0.0 | % | |||||||||
Total Investments (Cost $1,278,453,934) | 1,326,709,955 | 98.8 | % | |||||||||
Other Assets in Excess of Liabilities | 15,707,626 | 1.2 | % | |||||||||
TOTAL NET ASSETS | $ | 1,342,417,581 | 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 | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
HUD | US Department of Housing and Development | |
NATL | National Public Finance Guarantee Corp. | |
Q-SBLF | Qualified School Building Loan Fund | |
SCH BD GTY | School Board Guaranty | |
SD CRED PROG | State Credit Enhancement Program | |
ST AID | State Aid Intercept/Withholding | |
UT CSCE | Utah Charter School Finance Authority | |
ETM | Escrowed to Maturity | |
LIBOR | London Inter-bank Offered Rate | |
PSF | Permanent School Fund | |
SIFMA | Securities Industry and Financial Markets Association | |
(1) | Variable rate security. The rate reported is the rate in effect as of December 31, 2019. | |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. | |
(3) | 7-Day Yield. | |
(4) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 1,326,608,495 | $ | – | $ | 1,326,608,495 | ||||||||
Total Long-Term Investments | – | 1,326,608,495 | – | 1,326,608,495 | ||||||||||||
Short-Term Investment | ||||||||||||||||
101,460 | – | – | 101,460 | |||||||||||||
Total Short-Term Investment | 101,460 | – | – | 101,460 | ||||||||||||
Total Investments | $ | 101,460 | $ | 1,326,608,495 | $ | – | $ | 1,326,709,955 |
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, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Community College System, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2026)(Insured by AGM) | $ | 310,000 | $ | 375,519 | ||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 130,000 | 134,616 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 1,005,000 | 1,065,853 | ||||||||||
Chilton County Health Care Authority, | ||||||||||||
4.000%, 11/01/2020 | 780,000 | 793,892 | ||||||||||
City of Birmingham AL: | ||||||||||||
5.000%, 03/01/2037 (Callable 03/01/2023) (5) | 30,000 | 33,057 | ||||||||||
5.000%, 03/01/2040 (Callable 09/01/2025) (5) | 185,000 | 214,844 | ||||||||||
5.000%, 03/01/2043 (Callable 03/01/2023) (5) | 1,935,000 | 2,125,868 | ||||||||||
5.000%, 03/01/2045 (Callable 09/01/2025) (5) | 1,175,000 | 1,357,736 | ||||||||||
City of Pell City AL Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,000,000 | 1,063,100 | ||||||||||
City of Troy AL, | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2025)(Insured by BAM) | 555,000 | 638,233 | ||||||||||
County of Jefferson AL: | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 1,000,000 | 871,850 | ||||||||||
5.000%, 09/15/2029 (Callable 03/15/2027) | 570,000 | 691,296 | ||||||||||
0.000%, 10/01/2033 (Callable 10/01/2023)(Insured by AGM) | 110,000 | 55,464 | ||||||||||
0.000%, 10/01/2034 (Callable 10/01/2023)(Insured by AGM) | 480,000 | 223,863 | ||||||||||
Homewood Educational Building Authority: | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2029) | 785,000 | 881,273 | ||||||||||
4.000%, 12/01/2034 (Callable 12/01/2029) | 255,000 | 285,462 | ||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 265,000 | 295,676 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 200,000 | 209,646 | ||||||||||
Lauderdale County Agriculture Center Authority, | ||||||||||||
4.000%, 07/01/2034 (Callable 07/01/2024) | 1,235,000 | 1,335,208 | ||||||||||
UAB Medicine Finance Authority, | ||||||||||||
4.000%, 09/01/2038 (Callable 09/01/2029) | 500,000 | 564,315 | ||||||||||
Total Alabama (Cost $12,841,790) | 13,216,771 | 2.4 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
5.000%, 12/01/2029 (Callable 06/01/2024) | 225,000 | 256,255 | ||||||||||
Alaska Industrial Development & Export Authority: | ||||||||||||
3.500%, 12/01/2020 (Callable 01/31/2020) | 1,250,000 | 1,251,500 | ||||||||||
4.000%, 10/01/2034 (Callable 10/01/2029) | 1,585,000 | 1,765,151 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | 500,000 | 560,215 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 450,499 | ||||||||||
Total Alaska (Cost $4,204,751) | 4,283,620 | 0.8 | % |
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
5.250%, 03/01/2039 (Callable 03/01/2021) | 170,000 | 177,126 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.375%, 07/01/2021 | 365,000 | 370,894 | ||||||||||
2.500%, 05/01/2022 (Insured by AGM) | 6,937,254 | 6,979,710 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 115,000 | 122,743 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 100,000 | 106,733 | ||||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 200,000 | 216,378 | ||||||||||
4.000%, 07/01/2025 (Insured by SD CRED PROG) | 100,000 | 109,627 | ||||||||||
4.000%, 07/01/2026 (Insured by SD CRED PROG) | 100,000 | 110,719 | ||||||||||
5.000%, 05/01/2028 | 270,000 | 319,483 | ||||||||||
4.625%, 08/01/2028 | 1,160,000 | 1,242,627 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2029 (Callable 07/01/2024) | 150,000 | 173,115 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 400,000 | 407,252 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2032 (Callable 07/01/2025) | 500,000 | 587,970 | ||||||||||
Kyrene Elementary School District No. 28, | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2025) | 1,500,000 | 1,661,430 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 115,000 | 114,775 | ||||||||||
Town of Marana AZ: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2027) | 350,000 | 392,399 | ||||||||||
4.000%, 07/01/2037 (Callable 07/01/2027) | 500,000 | 558,860 | ||||||||||
Total Arizona (Cost $13,371,998) | 13,651,841 | 2.5 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2023) | 1,025,000 | 1,107,061 | ||||||||||
City of Conway AR, | ||||||||||||
5.000%, 10/01/2035 (Callable 04/01/2024) | 185,000 | 210,981 | ||||||||||
City of Fayetteville AR: | ||||||||||||
1.750%, 11/01/2032 (Callable 11/01/2026) | 1,500,000 | 1,504,455 | ||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 985,000 | 1,011,989 | ||||||||||
City of Heber Springs AR, | ||||||||||||
3.000%, 11/01/2034 (Callable 11/01/2024)(Insured by BAM) | 685,000 | 697,330 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2030 (Callable 12/01/2023)(Insured by BAM) | 540,000 | 587,218 | ||||||||||
City of Little Rock AR: | ||||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 1,320,000 | 1,344,565 | ||||||||||
4.000%, 10/01/2031 (Callable 10/01/2025) | 105,000 | 116,607 | ||||||||||
4.000%, 10/01/2033 (Callable 10/01/2025) | 210,000 | 232,033 | ||||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 55,000 | 55,207 | ||||||||||
City of Lonoke AR: | ||||||||||||
5.000%, 06/01/2025 | 210,000 | 247,955 | ||||||||||
4.000%, 06/01/2028 (Callable 06/01/2025) | 50,000 | 55,730 | ||||||||||
City of Magnolia AR, | ||||||||||||
3.200%, 08/01/2033 (Callable 08/01/2024)(Insured by BAM) | 1,085,000 | 1,123,062 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 305,000 | 310,386 | ||||||||||
City of Maumelle AR: | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2025) | 25,000 | 28,240 | ||||||||||
4.000%, 08/01/2028 (Callable 08/01/2025) | 290,000 | 325,000 | ||||||||||
4.000%, 08/01/2029 (Callable 08/01/2025) | 700,000 | 783,251 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2025) | 325,000 | 361,943 | ||||||||||
City of North Little Rock AR: | ||||||||||||
4.000%, 11/01/2028 (Callable 05/01/2027) | 645,000 | 737,300 | ||||||||||
4.000%, 11/01/2030 (Callable 05/01/2027) | 650,000 | 735,618 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 880,000 | 921,263 | ||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,785,000 | 1,870,823 | ||||||||||
City of Russellville AR, | ||||||||||||
4.000%, 07/01/2028 (Callable 07/01/2025)(Insured by AGM) | 325,000 | 363,051 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 595,000 | 619,246 | ||||||||||
City of Springdale AR, | ||||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 1,200,000 | 1,224,912 | ||||||||||
Conway Health Facilities Board, | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 360,000 | 418,957 | ||||||||||
National Park College District, | ||||||||||||
3.000%, 05/01/2025 (Callable 11/01/2024) | 235,000 | 247,157 | ||||||||||
Southern Arkansas University: | ||||||||||||
4.000%, 03/01/2025 (Insured by AGM) | 415,000 | 462,750 | ||||||||||
4.000%, 03/01/2026 (Callable 03/01/2025)(Insured by AGM) | 520,000 | 578,437 | ||||||||||
4.000%, 03/01/2026 (Callable 03/01/2025)(Insured by AGM) | 270,000 | 300,343 | ||||||||||
4.000%, 03/01/2027 (Callable 03/01/2025)(Insured by AGM) | 545,000 | 604,547 | ||||||||||
4.000%, 03/01/2027 (Callable 03/01/2025)(Insured by AGM) | 275,000 | 305,046 | ||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 165,000 | 182,195 | ||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 100,000 | 110,421 | ||||||||||
University of Central Arkansas: | ||||||||||||
4.000%, 11/01/2027 (Callable 11/01/2025)(Insured by BAM) | 340,000 | 382,017 | ||||||||||
4.000%, 11/01/2028 (Callable 11/01/2025)(Insured by BAM) | 250,000 | 279,288 | ||||||||||
4.000%, 11/01/2031 (Callable 11/01/2025)(Insured by BAM) | 885,000 | 974,261 | ||||||||||
Total Arkansas (Cost $20,809,658) | 21,420,645 | 4.0 | % |
California | ||||||||||||
Acalanes Union High School District: | ||||||||||||
0.000%, 08/01/2028 (5) | 50,000 | 50,882 | ||||||||||
0.000%, 08/01/2032 (5) | 340,000 | 385,240 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2029) (5) | 150,000 | 162,029 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2029) (5) | 125,000 | 133,221 | ||||||||||
Bay Area Toll Authority: | ||||||||||||
2.420%, 04/01/2045 (SIFMA Municipal Swap Index + 1.100%) (Callable 10/01/2023)(Mandatory Tender Date 04/01/2024) (2) | 650,000 | 666,978 | ||||||||||
5.000%, 04/01/2054 (Pre-refunded to 04/01/2024) | 640,000 | 748,147 | ||||||||||
5.000%, 10/01/2054 (Pre-refunded to 10/01/2024) | 470,000 | 558,576 | ||||||||||
Beaumont Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2026)(Insured by AGM) (5) | 90,000 | 112,283 | ||||||||||
Burbank Unified School District, | ||||||||||||
0.000%, 02/01/2038 (Callable 08/01/2028) (5) | 200,000 | 201,916 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 300,000 | 302,589 | ||||||||||
5.250%, 03/01/2041 (Callable 03/01/2021) | 135,000 | 140,547 | ||||||||||
California Infrastructure & Economic Development Bank: | ||||||||||||
5.000%, 10/01/2031 (Pre-refunded to 10/01/2021) | 935,000 | 999,674 | ||||||||||
5.250%, 10/01/2034 (Pre-refunded to 10/01/2021) | 110,000 | 118,083 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
5.000%, 08/01/2023 | 400,000 | 436,020 | ||||||||||
5.000%, 08/01/2024 | 400,000 | 444,276 | ||||||||||
5.000%, 10/01/2026 | 300,000 | 362,694 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2029) | 825,000 | 957,726 | ||||||||||
California Public Finance Authority: | ||||||||||||
5.000%, 10/15/2020 | 180,000 | 184,171 | ||||||||||
5.000%, 10/15/2021 | 200,000 | 210,450 | ||||||||||
California Statewide Communities Development Authority, | ||||||||||||
4.250%, 04/01/2028 (Insured by NATL) (1) | 700,000 | 700,000 | ||||||||||
Calipatria California Unified School District, | ||||||||||||
0.000%, 08/01/2026 | 100,000 | 85,675 | ||||||||||
Campbell Union School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026) (5) | 370,000 | 422,588 | ||||||||||
Carlsbad Unified School District, | ||||||||||||
0.000%, 08/01/2031 (5) | 105,000 | 133,068 | ||||||||||
Chawanakee Unified School District: | ||||||||||||
4.000%, 08/01/2026 (Insured by BAM) (5) | 110,000 | 124,259 | ||||||||||
4.000%, 08/01/2027 (Callable 08/01/2026)(Insured by BAM) (5) | 100,000 | 112,778 | ||||||||||
4.000%, 08/01/2028 (Callable 08/01/2026)(Insured by BAM) (5) | 75,000 | 84,048 | ||||||||||
4.000%, 08/01/2029 (Callable 08/01/2026)(Insured by BAM) (5) | 80,000 | 89,332 | ||||||||||
City of Redding CA, | ||||||||||||
2.502%, 07/01/2022 (ETM)(Insured by NATL) (1) | 85,000 | 85,000 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026)(Insured by AGM) (5) | 300,000 | 345,111 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
6.800%, 08/01/2039 (Pre-refunded to 08/01/2027)(Insured by AGM) (5) | 940,000 | 1,318,538 | ||||||||||
Denair Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Insured by AGM) (5) | 130,000 | 161,971 | ||||||||||
Desert Hot Springs Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2027)(Insured by BAM) | 300,000 | 371,352 | ||||||||||
East Bay Municipal Utility District, | ||||||||||||
5.000%, 06/01/2033 (Callable 06/01/2024) | 475,000 | 553,883 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Callable 08/01/2028)(Insured by AGM) (5) | 475,000 | 537,814 | ||||||||||
Emery Unified School District, | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2023) | 880,000 | 305,677 | ||||||||||
Encinitas Union School District, | ||||||||||||
0.000%, 08/01/2031 (5) | 105,000 | 128,465 | ||||||||||
Enterprise Elementary School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2031) (5) | 155,000 | 197,574 | ||||||||||
Escondido Union High School District, | ||||||||||||
0.000%, 08/01/2034 (Insured by AGC) (5) | 165,000 | 256,148 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
5.000%, 04/01/2027 (Insured by AGM) | 305,000 | 376,827 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 365,000 | 394,912 | ||||||||||
Imperial Community College District, | ||||||||||||
0.000%, 08/01/2040 (Pre-refunded to 08/01/2030)(Insured by AGM) (5) | 140,000 | 201,846 | ||||||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2025)(Insured by BAM) | 275,000 | 328,894 | ||||||||||
Lemoore Union High School District, | ||||||||||||
0.000%, 01/01/2021 (Insured by AMBAC) | 100,000 | 98,505 | ||||||||||
Long Beach Bond Finance Authority: | ||||||||||||
5.250%, 11/15/2023 | 90,000 | 102,500 | ||||||||||
5.000%, 11/15/2029 | 50,000 | 62,742 | ||||||||||
Los Alamitos Unified School District: | ||||||||||||
0.000%, 08/01/2041 (Callable 08/01/2031) (5) | 500,000 | 495,265 | ||||||||||
0.000%, 08/01/2043 (Callable 08/01/2031) (5) | 630,000 | 623,990 | ||||||||||
Mount Diablo Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2025)(Insured by AGM) (5) | 175,000 | 184,711 | ||||||||||
Norwalk-La Mirada Unified School District, | ||||||||||||
0.000%, 08/01/2029 (Insured by AGC) (5) | 210,000 | 247,122 | ||||||||||
Oak Park Unified School District: | ||||||||||||
0.000%, 08/01/2031 (5) | 110,000 | 141,985 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2031)(Insured by AGM) (5) | 110,000 | 148,444 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2032 (Callable 01/21/2020)(Insured by BAM) | 300,000 | 300,528 | ||||||||||
5.000%, 08/01/2033 (Callable 01/21/2020)(Insured by BAM) | 300,000 | 300,522 | ||||||||||
5.000%, 08/01/2034 (Callable 01/21/2020)(Insured by BAM) | 640,000 | 641,107 | ||||||||||
Palomar Community College District, | ||||||||||||
0.000%, 08/01/2039 (Callable 08/01/2035) (5) | 125,000 | 147,872 | ||||||||||
Redondo Beach Unified School District, | ||||||||||||
6.375%, 08/01/2034 (Callable 08/01/2026) (5) | 590,000 | 770,304 | ||||||||||
Reef-Sunset Unified School District, | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2026)(Insured by BAM) (5) | 200,000 | 211,454 | ||||||||||
Richmond Joint Powers Financing Authority, | ||||||||||||
5.500%, 11/01/2029 (Callable 11/01/2025) | 300,000 | 362,058 | ||||||||||
Rio Hondo Community College District: | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (5) | 145,000 | 176,052 | ||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (5) | 285,000 | 351,063 | ||||||||||
Sacramento City Unified School District: | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 505,000 | 575,316 | ||||||||||
5.000%, 07/01/2031 (Callable 07/01/2022)(Insured by AGM) | 500,000 | 542,355 | ||||||||||
San Diego Unified School District, | ||||||||||||
4.000%, 07/01/2032 (Callable 07/01/2026) | 300,000 | 343,878 | ||||||||||
San Leandro Unified School District, | ||||||||||||
0.000%, 08/01/2039 (Callable 08/01/2028)(Insured by AGC) (5) | 1,565,000 | 1,466,374 | ||||||||||
San Mateo Foster City School District, | ||||||||||||
0.000%, 08/01/2026 (5) | 75,000 | 79,141 | ||||||||||
Santa Barbara Unified School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2033) (5) | 375,000 | 488,861 | ||||||||||
Santa Paula Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2027) (5) | 80,000 | 84,054 | ||||||||||
Savanna School District, | ||||||||||||
0.000%, 08/01/2047 (Callable 08/01/2029)(Insured by AGM) (5) | 680,000 | 685,678 | ||||||||||
School District of Belmont-Redwood Shores CA, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) (5) | 100,000 | 115,432 | ||||||||||
Silicon Valley Clean Water, | ||||||||||||
5.000%, 02/01/2039 (Callable 02/01/2024) | 640,000 | 725,894 | ||||||||||
Solano County Community College District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2025) (5) | 215,000 | 218,855 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2025) (5) | 80,000 | 81,041 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2025) (5) | 100,000 | 100,229 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2028) (5) | 325,000 | 340,977 | ||||||||||
State of California, | ||||||||||||
5.000%, 08/01/2031 (Callable 02/01/2025) | 450,000 | 530,365 | ||||||||||
Summerville Union High School District, | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2025)(Insured by BAM) (5) | 25,000 | 25,235 | ||||||||||
Temecula Valley Unified School District, | ||||||||||||
4.500%, 08/01/2035 (Callable 08/01/2024)(Insured by BAM) (5) | 200,000 | 221,122 | ||||||||||
West Hills Community College District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2027)(Insured by AGM) (5) | 50,000 | 53,414 | ||||||||||
Westside Union School District, | ||||||||||||
0.000%, 08/01/2028 | 160,000 | 135,453 | ||||||||||
Wiseburn School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2031)(Insured by AGM) (5) | 50,000 | 52,106 | ||||||||||
Total California (Cost $25,190,914) | 26,723,266 | 4.9 | % |
Colorado | ||||||||||||
Board of Governors of Colorado State University System, | ||||||||||||
5.000%, 03/01/2032 (Callable 03/01/2027) | 125,000 | 151,170 | ||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST AID) | 2,000,000 | 2,345,220 | ||||||||||
Bromley Park Metropolitan District No. 2, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 225,000 | 254,644 | ||||||||||
Canterberry Crossing Metropolitan District II: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 235,000 | 294,011 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 250,000 | 311,807 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2028)(Insured by AGM) | 530,000 | 658,817 | ||||||||||
City & County of Denver CO: | ||||||||||||
0.000%, 08/01/2030 (Callable 08/01/2026) | 500,000 | 379,490 | ||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) | 150,000 | 108,417 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2026) | 335,000 | 231,381 | ||||||||||
City of Commerce City CO: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by AGM) | 100,000 | 124,212 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2027)(Insured by AGM) | 310,000 | 383,191 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2027)(Insured by AGM) | 500,000 | 614,970 | ||||||||||
City of Fort Lupton CO: | ||||||||||||
5.000%, 12/01/2027 (Insured by AGM) | 75,000 | 94,164 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2027)(Insured by AGM) | 210,000 | 262,422 | ||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by AGM) | 250,000 | 310,898 | ||||||||||
5.000%, 12/01/2030 (Callable 12/01/2027)(Insured by AGM) | 350,000 | 433,097 | ||||||||||
City of Sheridan CO, | ||||||||||||
5.000%, 12/01/2042 (Callable 12/01/2025) | 1,130,000 | 1,321,919 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 409,712 | ||||||||||
4.000%, 11/15/2021 | 475,000 | 493,112 | ||||||||||
4.000%, 11/15/2022 | 445,000 | 470,797 | ||||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,426,939 | ||||||||||
4.000%, 04/01/2028 | 540,000 | 604,217 | ||||||||||
5.000%, 06/01/2029 (Callable 06/01/2024) | 120,000 | 134,691 | ||||||||||
5.000%, 08/15/2030 (Callable 08/15/2024) | 500,000 | 566,090 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 40,000 | 44,732 | ||||||||||
5.000%, 08/15/2034 (Callable 08/15/2024) | 1,000,000 | 1,123,520 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 12/01/2023 | 70,000 | 79,052 | ||||||||||
5.000%, 02/01/2025 (Pre-refunded to 02/01/2021) | 100,000 | 104,111 | ||||||||||
5.000%, 06/01/2027 (ETM) | 750,000 | 943,035 | ||||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 20,000 | 21,564 | ||||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 200,000 | 223,754 | ||||||||||
5.000%, 08/01/2049 (Callable 02/01/2026)(Mandatory Tender Date 08/01/2026) (1) | 3,130,000 | 3,692,899 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 395,000 | 423,977 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028)(Insured by GNMA) | 2,480,000 | 2,747,791 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by ST AID) | 125,000 | 154,927 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 50,000 | 50,238 | ||||||||||
Denver City & County School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 03/01/2021) | 395,000 | 411,827 | ||||||||||
5.000%, 12/01/2031 (Callable 03/01/2021) | 595,000 | 620,204 | ||||||||||
Denver Health & Hospital Authority: | ||||||||||||
5.000%, 12/01/2025 | 400,000 | 472,240 | ||||||||||
5.000%, 12/01/2027 | 340,000 | 416,942 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
2.243%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 500,000 | 504,185 | ||||||||||
El Paso County School District No. 3, | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2022)(Insured by ST AID) | 250,000 | 276,172 | ||||||||||
Glen Metropolitan District No. 1, | ||||||||||||
2.500%, 12/01/2025 (Insured by BAM) | 110,000 | 113,252 | ||||||||||
Grand River Hospital District: | ||||||||||||
5.250%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 350,000 | 441,753 | ||||||||||
5.250%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 1,190,000 | 1,497,329 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027) | 500,000 | 618,115 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 183,000 | 185,399 | ||||||||||
State of Colorado, | ||||||||||||
4.000%, 03/15/2030 (Pre-refunded to 03/15/2022) | 190,000 | 201,941 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2027 | 230,000 | 274,227 | ||||||||||
Vauxmont Metropolitan District: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 144,114 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 143,654 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 143,182 | ||||||||||
5.000%, 12/15/2031 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 154,360 | ||||||||||
Vista Ridge Metropolitan District: | ||||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 600,000 | 704,310 | ||||||||||
5.000%, 12/01/2026 (Insured by BAM) | 460,000 | 551,025 | ||||||||||
Total Colorado (Cost $28,536,321) | 29,869,219 | 5.5 | % |
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2023)(Insured by BAM) | 550,000 | 607,035 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 185,000 | 197,759 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,500,000 | 1,668,765 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 135,000 | 148,696 | ||||||||||
5.000%, 07/01/2030 (Callable 07/01/2020) | 50,000 | 50,827 | ||||||||||
5.000%, 07/01/2034 (Callable 07/01/2022) | 40,000 | 42,843 | ||||||||||
State of Connecticut: | ||||||||||||
5.000%, 04/15/2024 | 175,000 | 201,677 | ||||||||||
5.000%, 09/01/2027 (Callable 09/01/2026) | 1,000,000 | 1,214,130 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 685,000 | 773,742 | ||||||||||
5.000%, 07/15/2030 (Callable 07/15/2023) | 225,000 | 250,173 | ||||||||||
5.000%, 10/15/2032 (Callable 10/15/2022) | 960,000 | 1,042,963 | ||||||||||
5.000%, 09/01/2033 (Callable 09/01/2026) | 300,000 | 356,451 | ||||||||||
University of Connecticut: | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,000,000 | 1,201,140 | ||||||||||
5.000%, 02/15/2031 (Callable 02/15/2021) | 100,000 | 103,486 | ||||||||||
Total Connecticut (Cost $7,493,879) | 7,859,687 | 1.5 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2024) | 2,000,000 | 2,300,460 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 825,000 | 828,399 | ||||||||||
3.500%, 06/15/2023 | 300,000 | 310,275 | ||||||||||
District of Columbia Water & Sewer Authority, | ||||||||||||
5.000%, 10/01/2037 (Callable 04/01/2026) | 275,000 | 325,924 | ||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
0.000%, 10/01/2029 (Insured by AGC) | 110,000 | 86,062 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 250,000 | 295,205 | ||||||||||
6.500%, 10/01/2041 (Callable 10/01/2026)(Insured by AGC) (5) | 305,000 | 392,718 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028) (5) | 665,000 | 886,332 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028)(Insured by AGM) (5) | 875,000 | 1,162,954 | ||||||||||
Total District of Columbia (Cost $6,208,153) | 6,588,329 | 1.2 | % | |||||||||
Florida | ||||||||||||
Capital Trust Agency, Inc., | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2026) | 400,000 | 447,604 | ||||||||||
City of Fort Myers FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 475,000 | 565,549 | ||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 1,000,000 | 1,087,360 | ||||||||||
4.000%, 12/01/2038 (Callable 12/01/2025) | 500,000 | 542,630 | ||||||||||
City of Jacksonville FL: | ||||||||||||
1.300%, 08/01/2036 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 1,750,000 | 1,750,000 | ||||||||||
1.300%, 08/01/2036 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 975,000 | 975,000 | ||||||||||
City of Orlando FL: | ||||||||||||
5.000%, 10/01/2027 (Pre-refunded to 10/01/2020) | 100,000 | 102,889 | ||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 775,000 | 938,905 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 560,000 | 655,038 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 1,250,000 | 1,473,775 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 500,000 | 577,920 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2026) | 120,000 | 145,420 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 35,000 | 42,058 | ||||||||||
6.875%, 10/01/2034 (Callable 10/01/2029)(Insured by AGC) (5) | 215,000 | 306,962 | ||||||||||
7.000%, 10/01/2039 (Callable 10/01/2029)(Insured by AGC) (5) | 270,000 | 383,367 | ||||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,624,500 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 10/01/2023 | 500,000 | 558,005 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 2,000,000 | 2,158,460 | ||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 435,000 | 454,579 | ||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 1,760,000 | 1,856,959 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 260,000 | 275,301 | ||||||||||
4.000%, 07/01/2049 (Callable 07/01/2027)(Insured by GNMA) | 200,000 | 216,028 | ||||||||||
Florida Municipal Loan Council, | ||||||||||||
5.000%, 10/01/2026 | 90,000 | 110,092 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
4.000%, 10/01/2030 (Callable 10/01/2027) | 500,000 | 576,515 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2037 (Callable 01/01/2020)(Optional Put Date 01/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
Hillsborough County Aviation Authority, | ||||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 500,000 | 574,945 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 700,000 | 864,493 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 680,000 | 827,852 | ||||||||||
Manatee County School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 102,897 | ||||||||||
Martin County Health Facilities Authority: | ||||||||||||
3.370%, 11/15/2021 (ETM) | 295,000 | 306,499 | ||||||||||
5.000%, 11/15/2023 (ETM) | 260,000 | 297,113 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 165,000 | 167,226 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2020 | 350,000 | 350,304 | ||||||||||
5.000%, 01/15/2021 | 365,000 | 374,399 | ||||||||||
Monroe County School District, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 239,620 | ||||||||||
Orange County Convention Center, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 1,000,000 | 1,203,770 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,500,000 | 2,838,075 | ||||||||||
Orange County School Board: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2025) | 990,000 | 1,163,181 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 150,000 | 179,454 | ||||||||||
Palm Beach County Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2023 | 1,160,000 | 1,265,908 | ||||||||||
4.750%, 07/01/2025 (Pre-refunded to 07/01/2020)(Insured by AGM) | 130,000 | 132,353 | ||||||||||
Pinellas County Health Facilities Authority, | ||||||||||||
2.445%, 11/15/2023 (Insured by NATL) (1) | 175,000 | 175,000 | ||||||||||
Pinellas County School Board, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2027) | 515,000 | 622,182 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
4.000%, 06/01/2035 (Callable 06/01/2027) | 1,000,000 | 1,123,700 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 11/01/2030 (Callable 11/01/2024) | 185,000 | 213,416 | ||||||||||
University Park Recreation District: | ||||||||||||
2.750%, 05/01/2021 (Insured by BAM) | 260,000 | 263,807 | ||||||||||
2.750%, 05/01/2022 (Insured by BAM) | 265,000 | 270,944 | ||||||||||
2.750%, 05/01/2023 (Insured by BAM) | 270,000 | 277,530 | ||||||||||
Village Community Development District No. 13, | ||||||||||||
2.625%, 05/01/2024 | 500,000 | 502,810 | ||||||||||
Village Community Development District No. 7, | ||||||||||||
4.000%, 05/01/2021 | 220,000 | 225,790 | ||||||||||
Total Florida (Cost $33,047,507) | 34,388,184 | 6.4 | % |
Georgia | ||||||||||||
Appling County Development Authority, | ||||||||||||
0.270%, 09/01/2041 (Optional Put Date 01/01/2020) (1) | 1,600,000 | 1,600,000 | ||||||||||
Barnesville-Lamar County Industrial Development Authority, | ||||||||||||
5.000%, 06/01/2028 | 175,000 | 220,244 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 500,000 | 508,980 | ||||||||||
2.350%, 10/01/2032 (Mandatory Tender Date 12/11/2020) (1) | 100,000 | 100,752 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2025 (Callable 01/31/2020) | 225,000 | 225,684 | ||||||||||
5.500%, 11/01/2027 (Insured by AGM) | 145,000 | 178,681 | ||||||||||
5.000%, 01/01/2028 (Callable 01/31/2020) | 1,000,000 | 1,003,040 | ||||||||||
City of Dahlonega GA, | ||||||||||||
4.000%, 09/01/2021 (Insured by AGM) | 150,000 | 156,328 | ||||||||||
City of Fort Oglethorpe GA: | ||||||||||||
3.000%, 10/01/2031 (Callable 04/01/2024) | 165,000 | 172,874 | ||||||||||
2.700%, 10/01/2038 (Callable 04/01/2024) | 1,000,000 | 997,620 | ||||||||||
Cobb-Marietta Coliseum & Exhibit Hall Authority, | ||||||||||||
4.000%, 07/01/2020 (Callable 01/31/2020) | 100,000 | 100,227 | ||||||||||
Development Authority Of Coweta County: | ||||||||||||
4.500%, 06/15/2040 (Callable 06/15/2020) | 210,000 | 213,186 | ||||||||||
5.000%, 06/15/2040 (Callable 06/15/2020) | 200,000 | 203,482 | ||||||||||
Gainesville & Hall County Hospital Authority, | ||||||||||||
5.000%, 02/15/2029 (Callable 02/15/2027) | 475,000 | 570,489 | ||||||||||
Georgia Housing & Finance Authority: | ||||||||||||
3.600%, 12/01/2033 (Callable 06/01/2027) | 450,000 | 485,222 | ||||||||||
4.000%, 12/01/2039 (Callable 06/01/2026) | 675,000 | 725,233 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
2.023%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 2,000,000 | 2,009,920 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 565,000 | 630,156 | ||||||||||
Monroe County Development Authority: | ||||||||||||
2.350%, 10/01/2048 (Mandatory Tender Date 12/11/2020) (1) | 190,000 | 191,854 | ||||||||||
2.050%, 07/01/2049 (Mandatory Tender Date 11/19/2021) (1) | 750,000 | 755,753 | ||||||||||
Total Georgia (Cost $10,877,831) | 11,049,725 | 2.0 | % |
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2025)(Insured by BAM) | 290,000 | 321,416 | ||||||||||
4.000%, 12/01/2029 (Callable 12/01/2025)(Insured by BAM) | 310,000 | 340,470 | ||||||||||
4.000%, 12/01/2030 (Callable 12/01/2025)(Insured by BAM) | 325,000 | 355,547 | ||||||||||
4.000%, 12/01/2032 (Callable 12/01/2025)(Insured by BAM) | 350,000 | 381,139 | ||||||||||
Bourbonnais Township Park District: | ||||||||||||
4.000%, 12/15/2023 (Insured by BAM) | 100,000 | 107,329 | ||||||||||
4.000%, 12/15/2024 (Insured by BAM) | 125,000 | 136,214 | ||||||||||
4.000%, 12/15/2025 (Insured by BAM) | 130,000 | 143,433 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 1,330,000 | 1,496,543 | ||||||||||
Chicago Board of Education, | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 1,000,000 | 1,111,620 | ||||||||||
Chicago Park District, | ||||||||||||
5.000%, 01/01/2024 | 580,000 | 649,652 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2020 | 100,000 | 101,759 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2021 (Callable 01/01/2020) | 115,000 | 115,000 | ||||||||||
5.000%, 01/01/2023 (Callable 01/01/2020) | 125,000 | 125,000 | ||||||||||
5.000%, 01/01/2024 | 250,000 | 274,577 | ||||||||||
5.000%, 01/01/2025 (Callable 01/01/2024)(Insured by AGM) | 110,000 | 124,579 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2024) | 250,000 | 268,275 | ||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 330,000 | 279,985 | ||||||||||
5.000%, 11/01/2028 (Callable 11/01/2027)(Insured by AGM) | 625,000 | 760,288 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2024)(Insured by AGM) | 445,000 | 497,777 | ||||||||||
5.625%, 01/01/2031 (Callable 01/01/2027) | 250,000 | 297,153 | ||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027)(Insured by AGM) | 375,000 | 445,478 | ||||||||||
City of Decatur IL, | ||||||||||||
4.250%, 03/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 270,112 | ||||||||||
City of Kankakee IL, | ||||||||||||
4.500%, 05/01/2031 (Callable 05/01/2025)(Insured by AGM) | 135,000 | 149,099 | ||||||||||
City of Rockford IL, | ||||||||||||
3.000%, 12/15/2022 (Insured by AGM) | 150,000 | 155,316 | ||||||||||
Cook & Will Counties Community College District No. 515, | ||||||||||||
4.000%, 12/01/2021 (Callable 06/01/2020)(Insured by AGM) | 690,000 | 696,231 | ||||||||||
Cook & Will Counties School District No. 194: | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2024)(Insured by BAM) | 160,000 | 174,672 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2024)(Insured by BAM) | 130,000 | 141,480 | ||||||||||
Cook County Community Consolidated School District No. 65, | ||||||||||||
0.000%, 12/01/2023 | 200,000 | 185,474 | ||||||||||
Cook County School District No. 130: | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2025)(Insured by AGM) | 1,195,000 | 1,400,110 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2025)(Insured by AGM) | 1,000,000 | 1,169,830 | ||||||||||
Cook County School District No. 144, | ||||||||||||
0.000%, 12/01/2021 (Insured by AGM) | 65,000 | 62,869 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2025 (Insured by BAM) | 430,000 | 527,898 | ||||||||||
6.000%, 12/15/2027 (Insured by BAM) | 1,150,000 | 1,477,049 | ||||||||||
Cook County School District No. 83, | ||||||||||||
5.625%, 06/01/2033 | 775,000 | 993,054 | ||||||||||
Darien Park District, | ||||||||||||
4.150%, 12/15/2026 (Callable 01/31/2020) | 200,000 | 200,394 | ||||||||||
DeKalb County Community Unit School District No. 428, | ||||||||||||
0.000%, 01/01/2030 (Callable 07/01/2020) | 300,000 | 169,494 | ||||||||||
DuPage County High School District No. 87, | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025) | 315,000 | 362,937 | ||||||||||
Ford, Champaign Counties Community Unit School District No. 10, | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2026)(Insured by AGM) | 600,000 | 724,902 | ||||||||||
Governors State University, | ||||||||||||
5.000%, 07/01/2020 (Insured by BAM) | 190,000 | 193,065 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2027 (Insured by BAM) | 130,000 | 134,194 | ||||||||||
3.000%, 03/01/2028 (Callable 03/01/2027)(Insured by BAM) | 140,000 | 143,341 | ||||||||||
3.000%, 03/01/2029 (Callable 03/01/2027)(Insured by BAM) | 100,000 | 101,402 | ||||||||||
3.250%, 03/01/2032 (Callable 03/01/2027)(Insured by BAM) | 165,000 | 167,709 | ||||||||||
3.300%, 03/01/2033 (Callable 03/01/2027)(Insured by BAM) | 175,000 | 177,833 | ||||||||||
3.350%, 03/01/2034 (Callable 03/01/2027)(Insured by BAM) | 185,000 | 188,097 | ||||||||||
3.400%, 03/01/2035 (Callable 03/01/2027)(Insured by BAM) | 195,000 | 198,440 | ||||||||||
3.450%, 03/01/2036 (Callable 03/01/2027)(Insured by BAM) | 205,000 | 208,739 | ||||||||||
3.500%, 03/01/2037 (Callable 03/01/2027)(Insured by BAM) | 215,000 | 219,044 | ||||||||||
Henry & Whiteside Counties Community Unit School District No. 228, | ||||||||||||
5.000%, 08/15/2031 (Callable 08/15/2025)(Insured by AGM) | 270,000 | 311,107 | ||||||||||
Huntley Area Public Library District, | ||||||||||||
5.000%, 02/01/2037 (Callable 02/01/2029) | 500,000 | 611,910 | ||||||||||
Illinois Development Finance Authority, | ||||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 1,000,000 | 1,033,870 | ||||||||||
Illinois Educational Facilities Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2022) | 500,000 | 526,865 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 104,213 | ||||||||||
5.000%, 10/01/2021 | 170,000 | 176,494 | ||||||||||
5.000%, 10/01/2023 | 105,000 | 112,640 | ||||||||||
4.375%, 12/01/2028 (Callable 12/01/2023) (7) | 300,000 | 90,000 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2027) | 475,000 | 565,521 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2027) | 90,000 | 106,687 | ||||||||||
5.250%, 02/15/2030 (Pre-refunded to 02/15/2020) | 245,000 | 246,173 | ||||||||||
5.000%, 08/01/2030 (Pre-refunded to 08/01/2024) | 1,065,000 | 1,247,328 | ||||||||||
4.000%, 05/15/2034 (Callable 05/15/2026) | 200,000 | 215,786 | ||||||||||
2.597%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 300,000 | 300,537 | ||||||||||
4.000%, 12/01/2040 (Callable 12/01/2027) | 270,000 | 293,816 | ||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027) | 275,000 | 297,773 | ||||||||||
5.100%, 12/01/2043 (Callable 12/01/2023) (7) | 1,000,000 | 300,000 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.500%, 08/01/2031 (Callable 08/01/2027)(Insured by GNMA) | 700,000 | 748,580 | ||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 1,030,000 | 1,059,973 | ||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 599,856 | 606,238 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,965,000 | 2,167,238 | ||||||||||
Illinois State University: | ||||||||||||
3.500%, 04/01/2020 | 320,000 | 320,886 | ||||||||||
5.000%, 04/01/2031 (Callable 04/01/2028)(Insured by AGM) | 500,000 | 596,030 | ||||||||||
Kankakee County School District No. 111, | ||||||||||||
4.000%, 01/01/2025 (Insured by BAM) | 480,000 | 527,232 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,090,000 | 1,051,904 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308: | ||||||||||||
4.000%, 02/01/2030 (Callable 02/01/2025) | 2,000,000 | 2,155,200 | ||||||||||
4.750%, 10/01/2031 (Callable 10/01/2023) | �� | 1,000,000 | 1,082,050 | |||||||||
Knox & Warren Counties Community Unit School District No. 205: | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 285,000 | 296,939 | ||||||||||
6.125%, 01/01/2036 (Callable 01/01/2021) | 1,400,000 | 1,460,592 | ||||||||||
Macoupin, Sangaman & Montgomery Government Bonds, | ||||||||||||
4.250%, 12/01/2032 (Callable 12/01/2023)(Insured by AGM) | 685,000 | 741,417 | ||||||||||
Medinah Park District, | ||||||||||||
4.250%, 01/01/2028 (Callable 01/01/2024) | 190,000 | 205,723 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2020 (Insured by NATL) | 140,000 | 139,024 | ||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 130,000 | 140,068 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) (5) | 15,000 | 16,790 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) (5) | 50,000 | 54,889 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,010,000 | 1,075,115 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 1,500,000 | 1,764,405 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2021 (Insured by BAM) | 100,000 | 104,744 | ||||||||||
Ogle & Winnebago Counties Community Unit School District No. 223: | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 415,000 | 467,825 | ||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 100,000 | 115,168 | ||||||||||
Peoria City School District No. 150, | ||||||||||||
5.000%, 01/01/2026 (Insured by BAM) | 330,000 | 387,017 | ||||||||||
Peoria County Community Unit School District No. 323, | ||||||||||||
4.250%, 04/01/2032 (Callable 04/01/2022) | 415,000 | 435,132 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.250%, 06/01/2020 | 135,000 | 137,149 | ||||||||||
Richland County Community Unit School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2024)(Insured by AGM) | 155,000 | 177,032 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2024)(Insured by AGM) | 1,750,000 | 1,869,000 | ||||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2028 | 1,500,000 | 1,804,500 | ||||||||||
5.000%, 01/01/2029 | 2,500,000 | 3,039,675 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 (ETM) | 80,000 | 82,996 | ||||||||||
Shelby Christian Macon Counties Community School District No. 21, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 155,000 | 167,123 | ||||||||||
St. Clair County Community Consolidated School District, | ||||||||||||
0.000%, 12/01/2021 | 200,000 | 193,480 | ||||||||||
St. Clair County School District No. 118: | ||||||||||||
0.000%, 12/01/2020 (ETM)(Insured by NATL) | 115,000 | 113,640 | ||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 170,000 | 167,458 | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 08/01/2020 | 2,000,000 | 2,038,820 | ||||||||||
5.000%, 01/01/2022 (Callable 01/31/2020) | 220,000 | 220,515 | ||||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 116,842 | ||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022) | 665,000 | 711,337 | ||||||||||
5.000%, 10/01/2026 | 1,000,000 | 1,151,150 | ||||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 715,800 | ||||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,563,900 | ||||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 191,651 | ||||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 449,237 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 2,500,000 | 2,693,075 | ||||||||||
Tazewell County School District No. 51, | ||||||||||||
9.000%, 12/01/2026 (Insured by NATL) | 1,060,000 | 1,547,144 | ||||||||||
University of Illinois, | ||||||||||||
5.000%, 10/01/2021 | 700,000 | 744,639 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2023 | 600,000 | 666,252 | ||||||||||
5.000%, 12/01/2024 | 485,000 | 549,524 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 261,817 | ||||||||||
4.500%, 12/15/2026 (Callable 12/15/2022)(Insured by BAM) | 200,000 | 217,064 | ||||||||||
Village of Franklin Park IL: | ||||||||||||
5.000%, 04/01/2023 (Insured by BAM) | 460,000 | 505,890 | ||||||||||
4.000%, 07/01/2029 (Callable 07/01/2025)(Insured by AGM) | 450,000 | 491,791 | ||||||||||
Village of Lansing IL, | ||||||||||||
5.000%, 03/01/2020 (Insured by AGM) | 455,000 | 457,666 | ||||||||||
Village of River Grove IL: | ||||||||||||
4.000%, 12/15/2027 (Callable 12/15/2026)(Insured by BAM) | 135,000 | 148,682 | ||||||||||
4.000%, 12/15/2028 (Callable 12/15/2026)(Insured by BAM) | 205,000 | 224,816 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.750%, 02/01/2029 (Callable 02/01/2023)(Insured by BAM) | 230,000 | 249,171 | ||||||||||
4.750%, 02/01/2031 (Callable 02/01/2023)(Insured by BAM) | 310,000 | 331,675 | ||||||||||
4.750%, 02/01/2032 (Callable 02/01/2023)(Insured by BAM) | 275,000 | 293,895 | ||||||||||
4.750%, 02/01/2033 (Callable 02/01/2023)(Insured by BAM) | 190,000 | 201,924 | ||||||||||
5.000%, 02/01/2035 (Callable 02/01/2029)(Insured by BAM) | 300,000 | 350,235 | ||||||||||
5.000%, 02/01/2036 (Callable 02/01/2029)(Insured by BAM) | 225,000 | 261,695 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2029)(Insured by BAM) | 185,000 | 198,553 | ||||||||||
4.000%, 02/01/2038 (Callable 02/01/2029)(Insured by BAM) | 150,000 | 160,328 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
4.000%, 01/01/2022 (Callable 01/31/2020) | 85,000 | 85,110 | ||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 140,000 | 131,894 | ||||||||||
0.000%, 01/01/2026 (Insured by AGM) | 265,000 | 230,868 | ||||||||||
0.000%, 01/01/2027 | 1,120,000 | 932,691 | ||||||||||
0.000%, 01/01/2027 (Insured by AGM) | 115,000 | 97,100 | ||||||||||
0.000%, 01/01/2028 | 1,130,000 | 908,328 | ||||||||||
0.000%, 01/01/2028 (Insured by AGM) | 180,000 | 147,571 | ||||||||||
0.000%, 01/01/2029 | 40,000 | 30,955 | ||||||||||
0.000%, 01/01/2033 | 175,000 | 115,383 | ||||||||||
3.375%, 01/01/2033 (Callable 01/01/2023) | 80,000 | 79,698 | ||||||||||
Will County Community Unit School District No. 365, | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 505,000 | 490,759 | ||||||||||
Will County Township High School District No. 204: | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 145,426 | ||||||||||
6.250%, 01/01/2031 (Callable 01/01/2021) | 300,000 | 314,055 | ||||||||||
Total Illinois (Cost $70,183,494) | 72,363,897 | 13.4 | % |
Indiana | ||||||||||||
Bloomington Redevelopment District: | ||||||||||||
5.000%, 02/01/2025 | 325,000 | 374,582 | ||||||||||
5.000%, 08/01/2025 | 335,000 | 388,389 | ||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 250,000 | 263,215 | ||||||||||
City of Jeffersonville IN, | ||||||||||||
5.000%, 01/01/2030 (Callable 01/01/2028)(Insured by BAM) | 325,000 | 400,959 | ||||||||||
City of Lawrence IN, | ||||||||||||
5.000%, 01/01/2027 (Insured by BAM) | 385,000 | 467,783 | ||||||||||
East Allen Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2023)(Insured by ST AID) | 165,000 | 182,876 | ||||||||||
Evansville Park District: | ||||||||||||
5.000%, 08/15/2035 (Callable 02/15/2028)(Insured by BAM) | 150,000 | 181,912 | ||||||||||
5.000%, 08/15/2036 (Callable 02/15/2028)(Insured by BAM) | 1,335,000 | 1,614,736 | ||||||||||
Franklin Township Community School Corp., | ||||||||||||
5.000%, 01/15/2035 (Callable 01/15/2023)(Insured by ST AID) | 775,000 | 850,353 | ||||||||||
Hammond Local Public Improvement Bond Bank, | ||||||||||||
2.375%, 12/31/2020 | 1,000,000 | 1,004,170 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
4.500%, 07/15/2026 (Callable 01/15/2024)(Insured by ST AID) | 625,000 | 689,813 | ||||||||||
Hammond Sanitary District: | ||||||||||||
5.000%, 01/15/2022 (Insured by BAM) | 285,000 | 307,287 | ||||||||||
5.000%, 07/15/2026 (Insured by BAM) | 610,000 | 738,533 | ||||||||||
5.000%, 01/15/2028 (Callable 07/15/2027)(Insured by BAM) | 295,000 | 359,992 | ||||||||||
Indiana Bond Bank: | ||||||||||||
1.980%, 10/15/2022 (SIFMA Municipal Swap Index + 0.660%) (2) | 125,000 | 124,699 | ||||||||||
2.311%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 510,000 | 510,102 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 10/01/2023 | 180,000 | 202,273 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 2,770,000 | 2,965,728 | ||||||||||
3.750%, 10/01/2037 (Callable 10/01/2023) | 10,000 | 10,035 | ||||||||||
3.750%, 10/01/2042 (Callable 10/01/2023) | 100,000 | 99,239 | ||||||||||
5.500%, 08/15/2045 (Callable 08/15/2020) | 225,000 | 229,898 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 775,000 | 781,564 | ||||||||||
Indiana Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2025) | 1,000,000 | 1,160,210 | ||||||||||
Indiana University, | ||||||||||||
4.000%, 08/01/2035 (Callable 08/01/2027) | 80,000 | 90,478 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 500,000 | 582,565 | ||||||||||
IPS Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2025)(Insured by ST AID) | 925,000 | 1,083,277 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Insured by ST AID) | 1,000,000 | 1,277,830 | ||||||||||
Loogootee School Building Corp., | ||||||||||||
4.000%, 07/15/2026 (Insured by ST AID) | 135,000 | 154,379 | ||||||||||
Munster School Building Corp.: | ||||||||||||
5.000%, 07/15/2021 (Insured by ST AID) | 130,000 | 136,566 | ||||||||||
4.000%, 07/15/2024 (Insured by ST AID) | 170,000 | 186,344 | ||||||||||
North Montgomery High School Building Corp., | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026)(Insured by ST AID) | 165,000 | 195,868 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Callable 07/15/2026)(Insured by ST AID) | 220,000 | 264,966 | ||||||||||
Taylor Community School Building Corp., | ||||||||||||
0.000%, 07/15/2029 (Callable 07/15/2025)(Insured by ST AID) | 360,000 | 279,918 | ||||||||||
Tipton County Jail Building Corp., | ||||||||||||
5.000%, 01/15/2027 (Insured by ST AID) | 245,000 | 297,905 | ||||||||||
Tri-Creek 2002 High School Building Corp., | ||||||||||||
4.000%, 07/15/2039 (Callable 07/15/2028)(Insured by ST AID) | 345,000 | 385,006 | ||||||||||
Westfield High School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Callable 01/15/2026)(Insured by ST AID) | 250,000 | 293,462 | ||||||||||
5.000%, 01/15/2030 (Callable 01/15/2026)(Insured by ST AID) | 300,000 | 350,253 | ||||||||||
5.000%, 07/15/2031 (Callable 01/15/2026)(Insured by ST AID) | 150,000 | 174,182 | ||||||||||
Total Indiana (Cost $18,997,583) | 19,661,347 | 3.6 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 05/01/2022 | 100,000 | 101,324 | ||||||||||
City of Greenfield IA: | ||||||||||||
4.000%, 09/01/2029 (Callable 09/01/2026)(Insured by AGM) | 140,000 | 156,190 | ||||||||||
4.000%, 09/01/2030 (Callable 09/01/2026)(Insured by AGM) | 220,000 | 244,235 | ||||||||||
4.000%, 09/01/2031 (Callable 09/01/2026)(Insured by AGM) | 230,000 | 254,276 | ||||||||||
4.000%, 09/01/2036 (Callable 09/01/2026)(Insured by AGM) | 200,000 | 218,020 | ||||||||||
4.000%, 09/01/2037 (Callable 09/01/2026)(Insured by AGM) | 580,000 | 630,408 | ||||||||||
4.000%, 09/01/2039 (Callable 09/01/2026)(Insured by AGM) | 630,000 | 680,488 | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 1,700,000 | 1,710,591 | ||||||||||
County of Carroll IA, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2027) | 645,000 | 778,496 | ||||||||||
Iowa Finance Authority: | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 2,000,000 | 2,227,540 | ||||||||||
2.875%, 05/15/2049 (Callable 11/15/2020) | 450,000 | 452,668 | ||||||||||
Total Iowa (Cost $7,296,144) | 7,454,236 | 1.4 | % | |||||||||
Kansas | ||||||||||||
City of Hutchinson KS: | ||||||||||||
4.000%, 12/01/2020 | 330,000 | 334,993 | ||||||||||
4.000%, 12/01/2021 | 360,000 | 371,293 | ||||||||||
5.000%, 12/01/2022 | 140,000 | 150,986 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 715,000 | 726,540 | ||||||||||
Total Kansas (Cost $1,553,607) | 1,583,812 | 0.3 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 10/01/2025 (Insured by NATL) | 420,000 | 368,743 | ||||||||||
0.000%, 10/01/2026 (Insured by NATL) | 475,000 | 405,318 | ||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 350,000 | 289,765 | ||||||||||
0.000%, 10/01/2028 (Insured by NATL) | 90,000 | 72,095 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
2.000%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 250,000 | 251,655 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 04/01/2048 (Callable 01/02/2024)(Mandatory Tender Date 04/01/2024) (1) | 2,090,000 | 2,274,756 | ||||||||||
Paducah Electric Plant Board, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026)(Insured by AGM) | 1,000,000 | 1,178,020 | ||||||||||
Total Kentucky (Cost $4,734,932) | 4,840,352 | 0.9 | % |
Louisiana | ||||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 350,000 | 394,758 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
4.500%, 12/01/2047 (Callable 12/01/2027) | 200,000 | 220,786 | ||||||||||
St. Tammany Parish Wide School District No. 12: | ||||||||||||
4.000%, 03/01/2035 (Callable 03/01/2027) | 100,000 | 112,691 | ||||||||||
4.000%, 03/01/2036 (Callable 03/01/2027) | 115,000 | 129,268 | ||||||||||
Terrebonne Parish Consolidated Government, | ||||||||||||
0.000%, 04/01/2034 (Insured by AGM) | 715,000 | 485,914 | ||||||||||
Total Louisiana (Cost $1,226,308) | 1,343,417 | 0.3 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
4.250%, 11/15/2040 (Callable 11/15/2024) | 500,000 | 530,420 | ||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 160,000 | 166,934 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 365,000 | 384,856 | ||||||||||
3.500%, 11/15/2046 (Callable 11/15/2025) | 40,000 | 41,556 | ||||||||||
3.500%, 11/15/2047 (Callable 11/15/2026) | 840,000 | 887,754 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 500,000 | 546,230 | ||||||||||
Total Maine (Cost $2,531,829) | 2,557,750 | 0.5 | % | |||||||||
Maryland | ||||||||||||
County of Baltimore MD: | ||||||||||||
3.000%, 09/01/2027 (Callable 09/01/2022) | 1,000,000 | 1,032,660 | ||||||||||
3.000%, 09/01/2029 (Callable 09/01/2022) | 1,150,000 | 1,180,590 | ||||||||||
Maryland Community Development Administration, | ||||||||||||
3.500%, 03/01/2050 (Callable 03/01/2029) | 500,000 | 539,780 | ||||||||||
Total Maryland (Cost $2,746,776) | 2,753,030 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2028 (Callable 06/01/2023) | 1,000,000 | 1,065,120 | ||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | 1,990,000 | 2,198,472 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 1,000,000 | 1,096,540 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 01/31/2020)(Insured by AGC) | 700,000 | 701,561 | ||||||||||
University of Massachusetts Building Authority, | ||||||||||||
5.000%, 11/01/2039 (Callable 11/01/2024) | 325,000 | 374,605 | ||||||||||
Total Massachusetts (Cost $5,293,366) | 5,436,298 | 1.0 | % | |||||||||
Michigan | ||||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2039 (Callable 07/01/2022)(Insured by AGM) | 185,000 | 199,132 | ||||||||||
5.250%, 07/01/2041 (Callable 07/01/2021) | 50,000 | 52,546 | ||||||||||
City of Monroe MI, | ||||||||||||
4.000%, 05/01/2031 (Callable 05/01/2024) | 150,000 | 162,378 | ||||||||||
City of Wyandotte MI, | ||||||||||||
5.000%, 10/01/2023 (Insured by BAM) | 25,000 | 28,045 | ||||||||||
Detroit Michigan School District, | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2022)(Insured by Q-SBLF) | 1,000,000 | 1,074,710 | ||||||||||
Flushing Community Schools, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 220,000 | 257,191 | ||||||||||
Michigan Finance Authority: | ||||||||||||
5.000%, 07/01/2034 (Callable 07/01/2025) | 250,000 | 290,130 | ||||||||||
4.000%, 11/15/2044 (Mandatory Tender Date 08/15/2024) (1) | 1,000,000 | 1,117,500 | ||||||||||
Michigan State Hospital Finance Authority, | ||||||||||||
5.000%, 12/01/2028 (Pre-refunded to 06/01/2022) | 2,685,000 | 2,933,470 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 1,970,000 | 2,174,919 | ||||||||||
Romeo Community School District, | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2026)(Insured by Q-SBLF) | 1,000,000 | 1,198,200 | ||||||||||
Roseville Community Schools, | ||||||||||||
5.000%, 05/01/2026 (Insured by Q-SBLF) | 400,000 | 486,448 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2039 (Callable 05/01/2029)(Insured by Q-SBLF) | 815,000 | 996,745 | ||||||||||
Trenton Public Schools School District: | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 135,000 | 169,880 | ||||||||||
5.000%, 05/01/2030 (Callable 05/01/2028)(Insured by Q-SBLF) | 300,000 | 375,054 | ||||||||||
Warren Consolidated Schools, | ||||||||||||
5.000%, 05/01/2025 (Insured by BAM) | 300,000 | 355,359 | ||||||||||
Wayne County Airport Authority, | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027) | 375,000 | 458,707 | ||||||||||
Wayne-Westland Community Schools, | ||||||||||||
4.000%, 11/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 500,000 | 556,800 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2029 (Callable 05/15/2025) | 250,000 | 291,673 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 50,456 | ||||||||||
Total Michigan (Cost $12,750,285) | 13,229,343 | 2.4 | % |
Minnesota | ||||||||||||
City of Maple Grove MN: | ||||||||||||
5.000%, 05/01/2027 | 200,000 | 244,888 | ||||||||||
5.000%, 05/01/2031 (Callable 05/01/2027) | 520,000 | 621,930 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2021 | 280,000 | 288,170 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.375%, 07/01/2026 (Callable 07/01/2021)(Insured by GNMA) | 125,000 | 128,401 | ||||||||||
3.300%, 07/01/2029 (Callable 07/01/2025) | 535,000 | 566,544 | ||||||||||
3.600%, 07/01/2033 (Callable 01/01/2023)(Insured by GNMA) | 675,000 | 698,740 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 730,000 | 769,938 | ||||||||||
3.800%, 07/01/2038 (Callable 01/01/2023)(Insured by GNMA) | 210,000 | 216,741 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 690,000 | 731,876 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 02/01/2027 | 200,000 | 231,864 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2027) | 350,000 | 401,552 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2027) | 250,000 | 276,595 | ||||||||||
Western Minnesota Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2046 (Pre-refunded to 01/01/2024) | 480,000 | 553,570 | ||||||||||
Total Minnesota (Cost $5,556,125) | 5,730,809 | 1.1 | % | |||||||||
Mississippi | ||||||||||||
Biloxi Public School District, | ||||||||||||
5.000%, 04/01/2026 (Insured by BAM) | 500,000 | 597,640 | ||||||||||
City of Gulfport MS, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2026) | 500,000 | 585,055 | ||||||||||
Copiah-Lincoln Community College District, | ||||||||||||
2.500%, 09/01/2021 (Insured by MAC) | 175,000 | 178,003 | ||||||||||
Medical Center Educational Building Corp., | ||||||||||||
5.000%, 06/01/2042 (Callable 06/01/2027) | 500,000 | 595,965 | ||||||||||
Mississippi Development Bank, | ||||||||||||
5.250%, 03/01/2034 (Callable 03/01/2028) | 490,000 | 602,837 | ||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 4,000,000 | 4,000,040 | ||||||||||
State of Mississippi: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 215,000 | 266,807 | ||||||||||
5.000%, 10/15/2034 (Callable 10/15/2025) | 1,000,000 | 1,168,470 | ||||||||||
West Rankin Utility Authority: | ||||||||||||
5.000%, 01/01/2028 (Callable 01/01/2025)(Insured by AGM) | 110,000 | 128,111 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025)(Insured by AGM) | 275,000 | 319,275 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2025)(Insured by AGM) | 590,000 | 682,778 | ||||||||||
Total Mississippi (Cost $8,780,238) | 9,124,981 | 1.7 | % |
Missouri | ||||||||||||
Center School District No. 58: | ||||||||||||
4.000%, 04/15/2030 (Callable 04/15/2027) | 210,000 | 234,494 | ||||||||||
4.000%, 04/15/2031 (Callable 04/15/2027) | 220,000 | 244,352 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||||||
5.000%, 09/01/2025 | 365,000 | 421,133 | ||||||||||
5.000%, 09/01/2026 | 410,000 | 481,028 | ||||||||||
5.000%, 09/01/2027 | 280,000 | 333,074 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 50,000 | 56,681 | ||||||||||
5.250%, 10/01/2041 (Pre-refunded to 10/01/2021) | 100,000 | 107,059 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
4.750%, 11/15/2047 (Callable 11/15/2026) | 500,000 | 543,880 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
6.000%, 03/01/2038 (Callable 03/01/2029)(Insured by ST AID) | 1,005,000 | 1,352,358 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.700%, 11/01/2035 (Callable 05/01/2025)(Insured by GNMA) | 125,000 | 131,861 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 720,000 | 743,220 | ||||||||||
Missouri Southern State University: | ||||||||||||
5.000%, 10/01/2028 (Insured by AGM) | 100,000 | 120,984 | ||||||||||
5.000%, 10/01/2029 (Insured by AGM) | 105,000 | 128,649 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2029)(Insured by AGM) | 135,000 | 164,309 | ||||||||||
5.000%, 10/01/2031 (Callable 10/01/2029)(Insured by AGM) | 145,000 | 175,673 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2029)(Insured by AGM) | 155,000 | 187,133 | ||||||||||
4.000%, 10/01/2033 (Callable 10/01/2029)(Insured by AGM) | 110,000 | 120,754 | ||||||||||
4.000%, 10/01/2034 (Callable 10/01/2029)(Insured by AGM) | 115,000 | 125,694 | ||||||||||
4.000%, 10/01/2035 (Callable 10/01/2029)(Insured by AGM) | 125,000 | 136,191 | ||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029)(Insured by AGM) | 150,000 | 162,921 | ||||||||||
4.000%, 10/01/2038 (Callable 10/01/2029)(Insured by AGM) | 140,000 | 151,059 | ||||||||||
4.000%, 10/01/2039 (Callable 10/01/2029)(Insured by AGM) | 110,000 | 118,548 | ||||||||||
Missouri State Board of Public Buildings, | ||||||||||||
3.000%, 10/01/2026 (Callable 10/01/2020) | 300,000 | 303,660 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 330,000 | 349,860 | ||||||||||
Public Water Supply District No. 1, | ||||||||||||
4.000%, 07/01/2029 (Callable 07/01/2026) | 145,000 | 162,896 | ||||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
3.000%, 06/01/2020 (Insured by AGM) | 130,000 | 130,907 | ||||||||||
Total Missouri (Cost $7,017,141) | 7,188,378 | 1.3 | % | |||||||||
Montana | ||||||||||||
Montana Board of Housing: | ||||||||||||
3.600%, 12/01/2030 (Callable 06/01/2022) | 375,000 | 384,412 | ||||||||||
3.750%, 12/01/2038 (Callable 12/01/2027)(Insured by FHA) | 480,000 | 512,784 | ||||||||||
Yellowstone County School District No. 8, | ||||||||||||
5.000%, 07/01/2027 | 225,000 | 279,239 | ||||||||||
Total Montana (Cost $1,118,099) | 1,176,435 | 0.2 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2022) | 340,000 | 367,955 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 575,000 | 621,805 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 550,000 | 614,740 | ||||||||||
City of La Vista NE, | ||||||||||||
3.000%, 12/15/2028 (Callable 12/30/2024) | 135,000 | 143,184 | ||||||||||
Colfax County School District No. 123, | ||||||||||||
4.000%, 12/15/2030 (Callable 05/22/2024) | 225,000 | 245,749 | ||||||||||
Nebraska Investment Finance Authority: | ||||||||||||
3.500%, 09/01/2036 (Callable 03/01/2025) | 395,000 | 411,246 | ||||||||||
3.500%, 09/01/2046 (Callable 03/01/2025) | 140,000 | 146,976 | ||||||||||
Papio-Missouri River Natural Resource District: | ||||||||||||
4.000%, 12/15/2027 (Pre-refunded to 06/15/2022) | 150,000 | 160,487 | ||||||||||
4.000%, 12/15/2028 (Pre-refunded to 06/15/2022) | 210,000 | 224,681 | ||||||||||
Scotts Bluff County School District No. 16: | ||||||||||||
5.000%, 12/01/2031 (Pre-refunded to 05/30/2022) | 25,000 | 27,311 | ||||||||||
5.000%, 12/01/2033 (Pre-refunded to 05/30/2022) | 430,000 | 469,745 | ||||||||||
5.000%, 12/01/2034 (Pre-refunded to 05/30/2022) | 300,000 | 327,729 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 1,675,000 | 1,813,539 | ||||||||||
Total Nebraska (Cost $5,335,230) | 5,575,147 | 1.0 | % |
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2033 (Callable 09/01/2027) | 250,000 | 295,975 | ||||||||||
Clark County School District, | ||||||||||||
5.000%, 06/15/2032 (Callable 06/15/2027)(Insured by BAM) | 450,000 | 540,711 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 470,000 | 478,639 | ||||||||||
4.000%, 04/01/2049 (Callable 10/01/2028)(Insured by GNMA) | 2,000,000 | 2,198,400 | ||||||||||
State of Nevada, | ||||||||||||
5.000%, 06/01/2033 (Callable 12/01/2023) | 300,000 | 337,335 | ||||||||||
Washoe County School District, | ||||||||||||
5.000%, 05/01/2030 (Callable 05/01/2027) | 525,000 | 642,778 | ||||||||||
Total Nevada (Cost $4,367,046) | 4,493,838 | 0.8 | % | |||||||||
New Jersey | ||||||||||||
City of Atlantic City NJ: | ||||||||||||
5.000%, 03/01/2020 (Insured by AGM) | 200,000 | 201,100 | ||||||||||
5.000%, 03/01/2021 (Insured by BAM) | 100,000 | 103,941 | ||||||||||
City of Trenton NJ, | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 400,000 | 435,776 | ||||||||||
City of Union City NJ, | ||||||||||||
5.000%, 11/01/2023 (Insured by ST AID) | 440,000 | 496,456 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2020 | 100,000 | 101,744 | ||||||||||
5.000%, 06/15/2023 (Insured by BAM) | 295,000 | 330,385 | ||||||||||
5.000%, 03/01/2024 (Callable 03/01/2023) | 150,000 | 164,957 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 145,000 | 147,143 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 150,000 | 176,344 | ||||||||||
4.500%, 11/15/2025 (Pre-refunded to 11/15/2020) | 150,000 | 154,385 | ||||||||||
4.000%, 07/01/2026 (Callable 07/01/2022) | 1,000,000 | 1,062,030 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2025)(Insured by AGM) | 175,000 | 205,086 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 1,525,000 | 1,542,004 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
1.500%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 300,000 | 300,582 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,490,000 | 1,649,370 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 485,000 | 544,490 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
0.000%, 12/15/2024 (Insured by BHAC) | 605,000 | 558,203 | ||||||||||
0.000%, 12/15/2026 (Insured by BHAC) | 750,000 | 655,343 | ||||||||||
5.000%, 06/15/2029 (Callable 06/15/2026) | 775,000 | 906,680 | ||||||||||
4.000%, 12/15/2037 (Callable 12/15/2028)(Insured by BAM) | 500,000 | 551,050 | ||||||||||
New Jersey Turnpike Authority: | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2028) | 50,000 | 62,879 | ||||||||||
1.997%, 01/01/2030 (1 Month LIBOR USD + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 01/01/2023) (2) | 690,000 | 696,162 | ||||||||||
Newark Housing Authority, | ||||||||||||
5.000%, 01/01/2032 (Insured by NATL) | 200,000 | 251,410 | ||||||||||
Passaic Valley Sewerage Commission, | ||||||||||||
5.750%, 12/01/2022 | 550,000 | 617,309 | ||||||||||
Total New Jersey (Cost $11,563,950) | 11,914,829 | 2.2 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 400,000 | 415,172 | ||||||||||
Total New Mexico (Cost $410,372) | 415,172 | 0.1 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 755,000 | 774,358 | ||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 385,385 | 397,548 | ||||||||||
City of New York NY, | ||||||||||||
5.250%, 07/01/2029 (Callable 07/01/2023) | 250,000 | 280,200 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 11/15/2038 (Callable 11/15/2023) | 500,000 | 558,490 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046 (Callable 01/21/2020)(Partially Pre-refunded) | 635,000 | 636,111 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 50,000 | 62,894 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2026) | 650,000 | 780,637 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2028) | 1,295,000 | 1,584,912 | ||||||||||
5.000%, 08/01/2039 (Callable 08/01/2024) | 105,000 | 120,022 | ||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,147,610 | ||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,147,610 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 2,000,000 | 2,000,740 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
5.000%, 09/01/2031 (Callable 09/01/2024) | 270,000 | 312,746 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 240,000 | 249,982 | ||||||||||
Total New York (Cost $9,623,943) | 10,053,860 | 1.9 | % |
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 150,000 | 162,714 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027) | 615,000 | 659,028 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.000%, 06/01/2025 (Pre-refunded to 06/01/2022) | 385,000 | 420,143 | ||||||||||
North Carolina Turnpike Authority, | ||||||||||||
4.000%, 01/01/2041 (Callable 01/01/2029)(Insured by AGM) | 1,000,000 | 1,114,670 | ||||||||||
Total North Carolina (Cost $2,201,759) | 2,356,555 | 0.4 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,010,880 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 01/31/2020) | 875,000 | 890,479 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 1,750,000 | 1,858,115 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2023) | 480,000 | 527,246 | ||||||||||
County of Burleigh ND: | ||||||||||||
4.000%, 11/01/2021 | 525,000 | 545,764 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 850,000 | 903,966 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2026 (Callable 04/01/2023)(Insured by AGM) | 1,030,000 | 1,106,447 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 01/16/2020) | 1,240,000 | 1,253,380 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 325,000 | 344,097 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,000,000 | 1,114,100 | ||||||||||
Total North Dakota (Cost $10,258,248) | 10,554,474 | 2.0 | % | |||||||||
Ohio | ||||||||||||
American Municipal Power, Inc., | ||||||||||||
2.250%, 08/13/2020 | 500,000 | 502,400 | ||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 125,000 | 139,700 | ||||||||||
Clermont County Port Authority, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 310,000 | 353,124 | ||||||||||
Columbus-Franklin County Finance Authority: | ||||||||||||
3.820%, 11/15/2036 (Callable 11/15/2021) | 480,000 | 489,365 | ||||||||||
4.000%, 11/15/2038 (Callable 05/15/2022) | 340,000 | 350,764 | ||||||||||
County of Franklin OH, | ||||||||||||
1.750%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 1,000,000 | 1,001,840 | ||||||||||
County of Hamilton OH, | ||||||||||||
0.000%, 12/01/2027 (Insured by AMBAC) | 75,000 | 64,656 | ||||||||||
County of Licking OH, | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2021) | 250,000 | 262,338 | ||||||||||
County of Lorain OH: | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023) | 180,000 | 196,139 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2023) | 480,000 | 544,805 | ||||||||||
County of Trumbull OH, | ||||||||||||
2.000%, 07/23/2020 | 500,000 | 501,830 | ||||||||||
Euclid City School District, | ||||||||||||
4.000%, 12/01/2037 (Callable 06/01/2027)(Insured by BAM) | 160,000 | 174,384 | ||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 (Callable 11/01/2025)(Insured by SD CRED PROG) | 1,845,000 | 2,162,635 | ||||||||||
New Riegel Local School District, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2020)(Insured by BAM) | 215,000 | 219,747 | ||||||||||
Ohio Air Quality Development Authority, | ||||||||||||
2.400%, 12/01/2038 (Callable 10/01/2024)(Mandatory Tender Date 10/01/2029) (1) | 500,000 | 503,530 | ||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
5.000%, 03/01/2025 | 690,000 | 778,934 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.200%, 09/01/2036 (Callable 09/01/2025)(Insured by GNMA) | 950,000 | 980,229 | ||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 265,000 | 281,210 | ||||||||||
Ohio Turnpike & Infrastructure Commission: | ||||||||||||
0.000%, 02/15/2034 (Callable 02/15/2031) (5) | 1,550,000 | 1,766,194 | ||||||||||
0.000%, 02/15/2036 (Callable 02/15/2031) (5) | 335,000 | 381,166 | ||||||||||
Spencerville Local School District, | ||||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 270,000 | 265,650 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 11/15/2028 (Callable 05/15/2023) | 225,000 | 252,554 | ||||||||||
1.520%, 01/15/2045 (Callable 03/02/2020)(Optional Put Date 02/24/2020) (1) | 5,000,000 | 5,000,000 | ||||||||||
Village of Bratenahl OH, | ||||||||||||
2.500%, 08/13/2020 | 750,000 | 753,233 | ||||||||||
Warren City School District: | ||||||||||||
4.000%, 12/01/2030 (Callable 12/01/2026)(Insured by SD CRED PROG) (6) | 1,215,000 | 1,380,398 | ||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026)(Insured by SD CRED PROG) (6) | 695,000 | 789,047 | ||||||||||
4.000%, 12/01/2036 (Callable 12/01/2026)(Insured by SD CRED PROG) (6) | 460,000 | 506,980 | ||||||||||
Warrensville Heights City School District: | ||||||||||||
4.000%, 11/01/2035 (Callable 11/01/2024)(Insured by BAM) | 200,000 | 212,998 | ||||||||||
4.000%, 11/01/2037 (Callable 11/01/2024)(Insured by BAM) | 500,000 | 529,205 | ||||||||||
Total Ohio (Cost $20,788,390) | 21,345,055 | 3.9 | % | |||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 305,000 | 317,240 | ||||||||||
Kingfisher County Educational Facilities Authority, | ||||||||||||
3.000%, 03/01/2022 | 165,000 | 170,306 | ||||||||||
Oklahoma Development Finance Authority: | ||||||||||||
3.000%, 08/01/2020 | 490,000 | 493,641 | ||||||||||
2.600%, 03/01/2024 | 425,000 | 427,061 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
3.300%, 03/01/2031 (Callable 03/01/2022)(Insured by GNMA) | 315,000 | 316,131 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2024) | 180,000 | 210,519 | ||||||||||
Total Oklahoma (Cost $1,911,611) | 1,934,898 | 0.4 | % |
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2040 (Callable 06/15/2027) (5) | 475,000 | 555,517 | ||||||||||
Clatsop County School District No. 30: | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2029)(Insured by SCH BD GTY) | 425,000 | 225,684 | ||||||||||
0.000%, 06/15/2039 (Callable 06/15/2029)(Insured by SCH BD GTY) | 560,000 | 282,542 | ||||||||||
Multnomah & Clackamas Counties School District No. 10JT: | ||||||||||||
0.000%, 06/15/2031 (Callable 06/15/2029)(Insured by SCH BD GTY) | 100,000 | 76,611 | ||||||||||
0.000%, 06/15/2033 (Callable 06/15/2029)(Insured by SCH BD GTY) | 700,000 | 494,151 | ||||||||||
Salem Hospital Facility Authority: | ||||||||||||
5.000%, 05/15/2033 (Callable 05/15/2026) | 105,000 | 122,745 | ||||||||||
5.000%, 05/15/2035 (Callable 05/15/2026) | 500,000 | 588,545 | ||||||||||
State of Oregon Department of Transportation, | ||||||||||||
5.000%, 11/15/2038 (Pre-refunded to 11/15/2023) | 300,000 | 344,661 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
2.200%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 2,000,000 | 2,012,980 | ||||||||||
Umatilla County School District No. 6R: | ||||||||||||
0.000%, 06/15/2028 (Callable 06/15/2027)(Insured by SCH BD GTY) (5) | 100,000 | 105,697 | ||||||||||
0.000%, 06/15/2030 (Callable 06/15/2027)(Insured by SCH BD GTY) (5) | 100,000 | 104,624 | ||||||||||
0.000%, 06/15/2033 (Callable 06/15/2027)(Insured by SCH BD GTY) (5) | 200,000 | 207,206 | ||||||||||
0.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) (5) | 540,000 | 552,398 | ||||||||||
Total Oregon (Cost $5,329,410) | 5,673,361 | 1.0 | % | |||||||||
Pennsylvania | ||||||||||||
Bloomsburg PA Area School District, | ||||||||||||
4.000%, 09/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 271,197 | ||||||||||
Central Bradford Progress Authority, | ||||||||||||
5.500%, 12/01/2031 (Pre-refunded to 12/01/2021) | 800,000 | 864,792 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 750,000 | 812,633 | ||||||||||
5.000%, 06/01/2036 (Callable 06/01/2022) | 1,500,000 | 1,610,070 | ||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,525,000 | 1,684,225 | ||||||||||
Deer Lakes School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 102,791 | ||||||||||
Lycoming County Authority, | ||||||||||||
4.000%, 11/01/2043 (Mandatory Tender Date 05/01/2024) (1) | 500,000 | 541,465 | ||||||||||
Montgomery County Higher Education & Health Authority: | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 250,000 | 253,288 | ||||||||||
4.000%, 05/01/2036 (Mandatory Tender Date 05/01/2022) (1) | 625,000 | 653,000 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.720%, 08/15/2043 (SIFMA Municipal Swap Index + 1.400%) (Callable 02/15/2020)(Mandatory Tender Date 08/15/2020) (2) | 225,000 | 225,232 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
4.000%, 11/15/2034 (Callable 11/15/2027) | 1,000,000 | 1,118,490 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 310,000 | 323,870 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 1,925,000 | 2,082,715 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2020 | 50,000 | 50,789 | ||||||||||
5.000%, 06/01/2030 (Callable 12/01/2025) | 280,000 | 329,280 | ||||||||||
6.000%, 12/01/2030 (Callable 12/01/2027)(Insured by BAM) (5) | 205,000 | 261,953 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026)(Insured by AGM) (5) | 135,000 | 141,234 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026) (5) | 385,000 | 404,061 | ||||||||||
5.000%, 12/01/2038 (Callable 12/01/2028) (5) | 665,000 | 804,624 | ||||||||||
6.375%, 12/01/2038 (Callable 12/01/2027) (5) | 745,000 | 967,062 | ||||||||||
Reading School District, | ||||||||||||
5.000%, 02/01/2023 (Insured by AGM) | 230,000 | 254,605 | ||||||||||
Ridley School District, | ||||||||||||
4.000%, 09/15/2031 (Callable 03/15/2025)(Insured by ST AID) | 830,000 | 910,543 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 55,000 | 61,956 | ||||||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by BAM) | 500,000 | 615,635 | ||||||||||
5.000%, 02/01/2031 (Callable 08/01/2020)(Insured by AGM) | 500,000 | 509,760 | ||||||||||
Upper Moreland Township School District, | ||||||||||||
5.000%, 10/01/2030 (Callable 04/01/2025)(Insured by ST AID) | 250,000 | 292,343 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 125,000 | 126,935 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028 (Callable 08/15/2027)(Insured by BAM) | 1,540,000 | 1,909,800 | ||||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 (Callable 05/01/2024)(Insured by BAM) | 1,780,000 | 1,943,297 | ||||||||||
Total Pennslyvania (Cost $19,333,124) | 20,127,645 | 3.7 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Sales Tax Financing Corp.: | ||||||||||||
0.000%, 07/01/2024 | 841,000 | 738,146 | ||||||||||
0.000%, 07/01/2027 | 1,112,000 | 887,921 | ||||||||||
0.000%, 07/01/2029 (Callable 07/01/2028) | 1,429,000 | 1,060,375 | ||||||||||
Total Puerto Rico (Cost $2,479,399) | 2,686,442 | 0.5 | % |
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 40,000 | 41,421 | ||||||||||
Providence Redevelopment Agency, | ||||||||||||
5.000%, 04/01/2020 | 1,000,000 | 1,007,880 | ||||||||||
Rhode Island Commerce Corp., | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2028)(Insured by BAM) | 950,000 | 1,167,769 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp.: | ||||||||||||
3.950%, 10/01/2043 (Callable 04/01/2028)(Insured by GNMA) | 650,000 | 697,352 | ||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 85,000 | 87,637 | ||||||||||
Total Rhode Island (Cost $2,862,105) | 3,002,059 | 0.6 | % | |||||||||
South Carolina | ||||||||||||
City of Charleston SC, | ||||||||||||
5.000%, 01/01/2045 (Callable 01/01/2025) | 1,000,000 | 1,159,240 | ||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2025 (Insured by BAM) | 185,000 | 219,070 | ||||||||||
County of Florence SC, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2024) | 250,000 | 284,637 | ||||||||||
Scago Educational Facilities Corp. for Union School District, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 500,000 | 565,470 | ||||||||||
South Carolina Jobs-Economic Development Authority, | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028) | 955,000 | 1,182,481 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
3.800%, 01/01/2049 (Callable 07/01/2027) | 500,000 | 525,310 | ||||||||||
Sumter Two School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 200,000 | 225,052 | ||||||||||
Total South Carolina (Cost $3,944,989) | 4,161,260 | 0.8 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 3,260,000 | 3,610,385 | ||||||||||
South Dakota Housing Development Authority: | ||||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 350,000 | 357,343 | ||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,495,000 | 2,727,384 | ||||||||||
Total South Dakota (Cost $6,520,307) | 6,695,112 | 1.2 | % | |||||||||
Tennessee | ||||||||||||
Chattanooga Health Educational & Housing Facility Board, | ||||||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 385,000 | 430,727 | ||||||||||
City of Jackson Tennessee, | ||||||||||||
5.000%, 04/01/2029 (Callable 04/01/2025) | 555,000 | 642,934 | ||||||||||
City of Memphis TN: | ||||||||||||
5.000%, 12/01/2032 (Callable 12/01/2024) | 530,000 | 615,542 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2027) | 480,000 | 547,320 | ||||||||||
County of Warren TN, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026)(Insured by AGM) | 150,000 | 169,601 | ||||||||||
Greeneville Health & Educational Facilities Board, | ||||||||||||
1.450%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 1,000,000 | 999,780 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
5.000%, 04/01/2022 | 200,000 | 214,186 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 145,000 | 160,067 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
3.000%, 10/01/2024 | 340,000 | 348,972 | ||||||||||
1.550%, 11/15/2030 (Mandatory Tender Date 11/03/2020) (1) | 255,000 | 255,569 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.625%, 09/01/2026 | 75,000 | 91,455 | ||||||||||
5.000%, 02/01/2027 | 85,000 | 101,075 | ||||||||||
4.000%, 11/01/2049 (Callable 08/01/2025)(Mandatory Tender Date 11/01/2025) (1) | 610,000 | 678,027 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,835,000 | 1,905,996 | ||||||||||
3.550%, 07/01/2039 (Callable 07/01/2024) | 270,000 | 278,472 | ||||||||||
4.000%, 01/01/2042 (Callable 07/01/2026) | 235,000 | 252,174 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 230,000 | 235,895 | ||||||||||
4.000%, 07/01/2043 (Callable 01/01/2023) | 185,000 | 190,911 | ||||||||||
4.000%, 07/01/2045 (Callable 01/01/2025) | 140,000 | 147,339 | ||||||||||
3.500%, 01/01/2047 (Callable 01/01/2026) | 90,000 | 94,954 | ||||||||||
4.500%, 07/01/2049 (Callable 01/01/2028) | 950,000 | 1,049,645 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 990,000 | 1,092,079 | ||||||||||
Total Tennessee (Cost $10,271,454) | 10,502,720 | 1.9 | % |
Texas | ||||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 250,000 | 284,930 | ||||||||||
4.000%, 08/01/2033 (Callable 08/01/2028)(PSF Guaranteed) | 180,000 | 204,764 | ||||||||||
5.000%, 02/15/2038 (Callable 02/15/2025)(PSF Guaranteed) | 295,000 | 334,843 | ||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
5.000%, 07/15/2021 | 145,000 | 151,690 | ||||||||||
5.000%, 07/15/2021 | 250,000 | 262,273 | ||||||||||
5.000%, 07/15/2022 | 235,000 | 253,591 | ||||||||||
Bullard Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 350,000 | 384,660 | ||||||||||
Burleson Independent School District, | ||||||||||||
2.500%, 02/01/2047 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 675,000 | 692,665 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
5.000%, 08/15/2042 (Mandatory Tender Date 04/01/2020) (1) | 200,000 | 201,776 | ||||||||||
Cibolo Canyons Special Improvement District: | ||||||||||||
2.000%, 08/15/2027 (Callable 08/15/2026)(Insured by AGM) | 1,000,000 | 976,040 | ||||||||||
2.250%, 08/15/2028 (Callable 08/15/2026)(Insured by AGM) | 1,425,000 | 1,405,805 | ||||||||||
Cinco Municipal Utility District, | ||||||||||||
4.000%, 12/01/2021 (Insured by AGM) | 375,000 | 393,975 | ||||||||||
City of Brownsville TX, | ||||||||||||
4.000%, 09/01/2029 (Callable 09/01/2026)(Insured by AGM) | 170,000 | 191,799 | ||||||||||
City of Greenville TX: | ||||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024) | 200,000 | 225,062 | ||||||||||
5.000%, 02/15/2035 (Callable 02/15/2024) | 175,000 | 196,667 | ||||||||||
City of Houston TX, | ||||||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 500,000 | 645,825 | ||||||||||
City of Round Rock TX, | ||||||||||||
4.000%, 12/01/2024 | 205,000 | 228,641 | ||||||||||
City of San Antonio TX, | ||||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,500,000 | 1,561,410 | ||||||||||
City of Tyler TX, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2025) | 150,000 | 178,494 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026)(PSF Guaranteed) | 700,000 | 799,463 | ||||||||||
5.000%, 08/15/2034 (Callable 08/15/2026)(PSF Guaranteed) | 1,000,000 | 1,190,980 | ||||||||||
Comal Independent School District, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2024)(PSF Guaranteed) | 610,000 | 665,059 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2022) | 150,000 | 164,509 | ||||||||||
County of Williamson TX, | ||||||||||||
5.000%, 02/15/2028 (Callable 02/15/2025) | 90,000 | 106,289 | ||||||||||
Crane County Water District, | ||||||||||||
5.000%, 02/15/2023 | 250,000 | 277,710 | ||||||||||
Danbury Higher Education Authority, Inc.: | ||||||||||||
4.000%, 02/15/2027 (PSF Guaranteed) | 200,000 | 228,658 | ||||||||||
4.000%, 02/15/2028 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 228,272 | ||||||||||
4.000%, 02/15/2030 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 225,814 | ||||||||||
4.000%, 02/15/2031 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 224,270 | ||||||||||
5.000%, 02/15/2047 (Callable 02/15/2022)(PSF Guaranteed) | 500,000 | 532,735 | ||||||||||
DeSoto Independent School District, | ||||||||||||
0.000%, 08/15/2029 (Callable 08/15/2020)(PSF Guaranteed) | 75,000 | 48,309 | ||||||||||
Ferris Independent School District, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2026)(PSF Guaranteed) | 560,000 | 678,877 | ||||||||||
Fort Bend County Municipal Utility District No. 155, | ||||||||||||
4.000%, 09/01/2033 (Callable 09/01/2023)(Insured by AGM) | 230,000 | 243,055 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 295,000 | 319,960 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
5.000%, 08/15/2030 (Callable 08/15/2026)(PSF Guaranteed) | 100,000 | 121,344 | ||||||||||
1.350%, 08/01/2042 (Mandatory Tender Date 08/01/2020)(PSF Guaranteed) (1) | 950,000 | 950,266 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 500,000 | 507,550 | ||||||||||
Grand Parkway Transportation Corp.: | ||||||||||||
0.000%, 10/01/2034 (Callable 10/01/2028) (5) | 40,000 | 43,664 | ||||||||||
0.000%, 10/01/2046 (Callable 10/01/2028) (5) | 640,000 | 686,023 | ||||||||||
0.000%, 10/01/2047 (Callable 10/01/2028) (5) | 1,240,000 | 1,330,805 | ||||||||||
0.000%, 10/01/2048 (Callable 10/01/2028) (5) | 370,000 | 396,721 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2024) | 100,000 | 116,161 | ||||||||||
5.000%, 12/01/2035 (Pre-refunded to 12/01/2022) | 495,000 | 549,400 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
3.000%, 12/01/2022 (Insured by AGM) | 175,000 | 182,847 | ||||||||||
Harris County Municipal Utility District No. 71, | ||||||||||||
4.000%, 09/01/2028 (Callable 09/01/2023)(Insured by BAM) | 250,000 | 266,767 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2024)(Insured by AGM) | 135,000 | 156,716 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.625%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 25,000 | 25,763 | ||||||||||
2.625%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 200,000 | 204,998 | ||||||||||
Laredo Community College District, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2027)(Insured by BAM) | 250,000 | 307,600 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 180,000 | 77,954 | ||||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 20,000 | 8,456 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,010,000 | 270,791 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 750,000 | 763,650 | ||||||||||
Matagorda County Navigation District No. 1, | ||||||||||||
4.400%, 05/01/2030 (Insured by AMBAC) | 355,000 | 420,409 | ||||||||||
Mesquite Independent School District, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2025)(PSF Guaranteed) | 500,000 | 594,655 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 200,000 | 215,648 | ||||||||||
4.000%, 04/01/2024 (Insured by BAM) | 200,000 | 219,396 | ||||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025)(PSF Guaranteed) | 3,000,000 | 3,443,850 | ||||||||||
New Caney Independent School District, | ||||||||||||
4.000%, 02/15/2029 (Callable 02/15/2025)(PSF Guaranteed) | 1,450,000 | 1,624,116 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
4.000%, 04/01/2020 | 175,000 | 175,429 | ||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) | 215,000 | 217,440 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2024 | 100,000 | 114,779 | ||||||||||
5.000%, 01/01/2033 (Callable 01/01/2026) | 675,000 | 796,325 | ||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 95,000 | 109,501 | ||||||||||
5.500%, 09/01/2041 (Pre-refunded to 09/01/2021) | 280,000 | 299,978 | ||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) (5) | 485,000 | 610,634 | ||||||||||
0.000%, 09/01/2045 (Pre-refunded to 09/01/2031) (5) | 40,000 | 54,764 | ||||||||||
Northeast Travis County Utility District: | ||||||||||||
0.000%, 09/01/2023 (Insured by BAM) | 275,000 | 256,602 | ||||||||||
3.000%, 09/01/2027 (Insured by BAM) | 170,000 | 183,296 | ||||||||||
Rio Vista Independent School District, | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2025)(Insured by BAM) | 125,000 | 138,330 | ||||||||||
Rosebud-Lott Independent School District: | ||||||||||||
5.500%, 02/15/2030 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 119,346 | ||||||||||
5.500%, 02/15/2031 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 119,185 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 02/01/2020)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 400,000 | 400,056 | ||||||||||
Royse City Independent School District, | ||||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 200,000 | 204,302 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2022 | 160,000 | 175,474 | ||||||||||
San Antonio Public Facilities Corp., | ||||||||||||
4.000%, 09/15/2034 (Callable 09/15/2022) | 1,370,000 | 1,446,240 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 190,000 | 194,423 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
4.000%, 09/01/2026 (Callable 09/01/2025)(Insured by BAM) | 85,000 | 94,922 | ||||||||||
Sterling Independent School District, | ||||||||||||
3.000%, 02/15/2028 (Callable 02/15/2024)(PSF Guaranteed) | 190,000 | 200,095 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | 4,270,000 | 4,795,680 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 1,505,000 | 1,771,250 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2026 (Callable 12/15/2022) | 190,000 | 208,882 | ||||||||||
5.000%, 12/15/2028 (Callable 12/15/2022) | 575,000 | 629,763 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,000,000 | 1,093,060 | ||||||||||
Texas Municipal Power Agency, | ||||||||||||
5.000%, 09/01/2047 (Callable 09/01/2020) | 500,000 | 510,745 | ||||||||||
Tioga Independent School District Public Facility Corp.: | ||||||||||||
3.250%, 08/15/2027 (Callable 08/15/2024) | 200,000 | 202,136 | ||||||||||
4.000%, 08/15/2041 (Callable 08/15/2024) | 825,000 | 836,789 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2025 (Insured by BAM) | 105,000 | 117,026 | ||||||||||
Travis County Municipal Utility District No. 4, | ||||||||||||
4.000%, 09/01/2035 (Callable 09/01/2022)(Insured by AGM) | 615,000 | 646,820 | ||||||||||
United Independent School District, | ||||||||||||
5.000%, 08/15/2036 (Callable 08/15/2028)(PSF Guaranteed) | 255,000 | 317,322 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2028)(Insured by BAM) | 240,000 | 295,594 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 315,000 | 341,495 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023)(Insured by AGM) | 470,000 | 507,684 | ||||||||||
6.000%, 12/01/2035 (Callable 12/01/2024)(Insured by BAM) | 90,000 | 109,143 | ||||||||||
Washington County Junior College District, | ||||||||||||
5.000%, 10/01/2028 (Callable 04/01/2026)(Insured by BAM) | 500,000 | 596,605 | ||||||||||
Wimberley Independent School District, | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2027)(PSF Guaranteed) | 330,000 | 376,639 | ||||||||||
Total Texas (Cost $45,937,633) | 47,462,174 | 8.8 | % |
Utah | ||||||||||||
Jordan Valley Water Conservancy District: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 250,000 | 301,825 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2026) | 350,000 | 421,715 | ||||||||||
Midvale Utah Redevelopment Agency, | ||||||||||||
5.000%, 05/01/2027 | 290,000 | 355,088 | ||||||||||
Salt Lake City Corp., | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2027) | 155,000 | 189,512 | ||||||||||
South Ogden Conservation District, | ||||||||||||
4.000%, 02/01/2031 (Callable 02/01/2022)(Insured by MAC) | 295,000 | 307,623 | ||||||||||
Timpanogos Special Service District, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2024) | 50,000 | 54,843 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2027 (Callable 04/15/2026)(Insured by UT CSCE) | 365,000 | 432,583 | ||||||||||
5.000%, 04/15/2028 (Callable 04/15/2026)(Insured by UT CSCE) | 720,000 | 850,154 | ||||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 520,000 | 599,368 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021 (Mandatory Tender Date 01/01/2021)(Insured by GNMA) (1) | 400,000 | 402,320 | ||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 305,000 | 325,606 | ||||||||||
Utah Infrastructure Agency: | ||||||||||||
5.000%, 10/15/2026 | 140,000 | 168,692 | ||||||||||
5.000%, 10/15/2027 | 125,000 | 153,455 | ||||||||||
Utah Transit Authority, | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2028) | 75,000 | 93,739 | ||||||||||
Total Utah (Cost $4,437,215) | 4,656,523 | 0.9 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 275,000 | 334,818 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020 (Callable 01/31/2020) | 650,000 | 649,578 | ||||||||||
Vermont Educational & Health Buildings Financing Agency, | ||||||||||||
5.000%, 12/01/2035 (Callable 06/01/2026) | 710,000 | 834,605 | ||||||||||
Vermont Housing Finance Agency, | ||||||||||||
3.650%, 11/01/2032 (Callable 11/01/2024) | 120,000 | 125,936 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
4.000%, 07/01/2020 | 335,000 | 339,010 | ||||||||||
Total Vermont (Cost $2,243,320) | 2,283,947 | 0.4 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 400,000 | 407,168 | ||||||||||
Total Virgin Islands (Cost $407,713) | 407,168 | 0.1 | % | |||||||||
Virginia | ||||||||||||
City of Norfolk VA, | ||||||||||||
2.500%, 10/01/2046 (Pre-refunded to 10/01/2022) (1) | 25,000 | 25,937 | ||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST AID) | 340,000 | 363,895 | ||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 3,000,000 | 3,092,100 | ||||||||||
Total Virginia (Cost $3,434,885) | 3,481,932 | 0.6 | % |
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 | 188,160 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2028) | 600,000 | 759,816 | ||||||||||
King County Public Hospital District No. 1, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2028) | 680,000 | 849,109 | ||||||||||
Lewis County School District No. 302, | ||||||||||||
5.000%, 12/01/2031 (Callable 06/01/2025)(Insured by SCH BD GTY) | 235,000 | 276,226 | ||||||||||
Pacific County School District No. 118, | ||||||||||||
4.000%, 12/01/2025 (Insured by SCH BD GTY) | 215,000 | 244,790 | ||||||||||
Pend Oreille County Public Utility District No. 1, | ||||||||||||
5.000%, 01/01/2022 | 500,000 | 532,410 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2022) | 160,000 | 172,192 | ||||||||||
5.000%, 02/01/2038 (Callable 02/01/2024) | 645,000 | 730,876 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2028) | 1,330,000 | 1,612,146 | ||||||||||
Washington Biomedical Research Properties 3.2, | ||||||||||||
5.000%, 01/01/2037 (Callable 07/01/2025) | 100,000 | 116,247 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
3.700%, 12/01/2033 (Callable 06/01/2024) | 85,000 | 85,286 | ||||||||||
3.700%, 12/01/2034 (Callable 06/01/2025) | 45,000 | 47,662 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 500,000 | 547,055 | ||||||||||
Total Washington (Cost $5,824,113) | 6,161,975 | 1.1 | % | |||||||||
Wisconsin | ||||||||||||
City of Port Washington WI: | ||||||||||||
4.000%, 12/01/2027 | 195,000 | 226,894 | ||||||||||
4.000%, 12/01/2028 | 355,000 | 415,702 | ||||||||||
Milwaukee Redevelopment Authority: | ||||||||||||
5.000%, 11/15/2030 (Callable 11/15/2026) | 225,000 | 269,262 | ||||||||||
5.000%, 11/15/2032 (Callable 11/15/2026) | 225,000 | 267,219 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 650,000 | 658,015 | ||||||||||
4.000%, 01/01/2021 | 435,000 | 442,747 | ||||||||||
5.000%, 10/01/2024 | 3,000,000 | 3,311,130 | ||||||||||
5.000%, 06/15/2025 | 220,000 | 252,553 | ||||||||||
0.000%, 09/01/2028 (Pre-refunded to 09/01/2026) | 75,000 | 61,462 | ||||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 1,805,000 | 2,026,329 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2023 (ETM)(Insured by NATL) | 25,000 | 23,678 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 830,000 | 908,950 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 1,000,000 | 1,207,020 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 1,000,000 | 1,122,330 | ||||||||||
Village of Sussex WI, | ||||||||||||
3.000%, 06/01/2023 (Callable 06/01/2022) | 590,000 | 610,969 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.250%, 12/15/2023 (Insured by AGM) | 245,000 | 268,447 | ||||||||||
0.000%, 12/15/2027 (Insured by NATL) | 220,000 | 188,883 | ||||||||||
5.000%, 12/15/2027 (Callable 06/15/2026) | 500,000 | 605,235 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 255,000 | 305,942 | ||||||||||
5.000%, 12/15/2028 (Callable 06/15/2026) | 185,000 | 223,056 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 395,000 | 432,667 | ||||||||||
5.000%, 12/15/2031 (Callable 06/15/2026) | 300,000 | 357,531 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
2.650%, 11/01/2020 (Callable 01/21/2020) | 1,625,000 | 1,625,617 | ||||||||||
5.000%, 03/01/2021 | 150,000 | 153,357 | ||||||||||
5.000%, 03/01/2022 | 125,000 | 130,264 | ||||||||||
5.000%, 11/01/2022 | 120,000 | 126,857 | ||||||||||
5.000%, 07/01/2023 | 165,000 | 185,635 | ||||||||||
5.000%, 11/01/2023 | 125,000 | 134,300 | ||||||||||
5.000%, 07/01/2024 | 250,000 | 289,640 | ||||||||||
5.000%, 11/01/2024 | 155,000 | 168,758 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 200,000 | 210,172 | ||||||||||
5.000%, 11/01/2025 | 245,000 | 269,772 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 57,723 | ||||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 750,000 | 755,490 | ||||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 119,618 | ||||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 193,134 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,118,660 | ||||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 54,326 | ||||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 209,571 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 550,627 | ||||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 670,000 | 715,017 | ||||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 314,070 | ||||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 485,539 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 1,660,000 | 1,771,104 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 1,980,000 | 2,183,781 | ||||||||||
Total Wisconsin (Cost $25,341,967) | 26,009,053 | 4.8 | % |
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
3.000%, 12/01/2044 (Callable 06/01/2024) | 100,000 | 102,832 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 1,965,000 | 2,143,127 | ||||||||||
Total Wyoming (Cost $2,191,136) | 2,245,959 | 0.4 | % | |||||||||
Total Municipal Bonds (Cost $519,388,048) | 537,696,530 | 99.3 | % | |||||||||
Total Long-Term Investments (Cost $519,388,048) | 537,696,530 | 99.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 1.47% (4) | 693,086 | 693,086 | ||||||||||
Total Short-Term Investment (Cost $693,086) | 693,086 | 0.1 | % | |||||||||
Total Investments (Cost $520,081,134) | 538,389,616 | 99.4 | % | |||||||||
Other Assets in Excess of Liabilities | 3,003,376 | 0.6 | % | |||||||||
TOTAL NET ASSETS | $ | 541,392,992 | 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 | Federal National Mortgage Association | |||||||
GNMA | Government National Mortgage Association | |||||||
MAC | Municipal Assurance Corp. | |||||||
NATL | National Public Finance Guarantee Corp. | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
SCH BD GTY | School Board Guaranty | |||||||
SD CRED PROG | State Credit Enhancement Program | |||||||
ST | State Aid Intercept/Withholding | |||||||
UT CSCE | Utah Charter School Finance Authority | |||||||
ETM | Escrowed to Maturity | |||||||
LIBOR | London Inter-bank Offered Rate | |||||||
PSF | Permanent School Fund | |||||||
SIFMA | Securities Industry and Financial Markets Association | |||||||
(1) | Variable rate security. The rate reported is the rate in effect as of December 31, 2019. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 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 December 31, 2019, the value of these securities total $397,548, which represents 0.07% of total net assets. | |||||||
(4) | 7-Day Yield. | |||||||
(5) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. | |||||||
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. | |||||||
(7) | Security in default. |
Baird Core Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 537,696,530 | $ | – | $ | 537,696,530 | ||||||||
Total Long-Term Investments | – | 537,696,530 | – | 537,696,530 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 693,086 | – | – | 693,086 | ||||||||||||
Total Short-Term Investment | 693,086 | – | – | 693,086 | ||||||||||||
Total Investments | $ | 693,086 | $ | 537,696,530 | $ | – | $ | 538,389,616 |
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 Strategic Municipal Bond Fund | ||||||||||||
Schedule of Investments, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Columbia Industrial Development Board, | ||||||||||||
0.700%, 12/01/2037 (Optional Put Date 01/01/2020) (1) | $ | 200,000 | $ | 200,000 | ||||||||
Total Alabama (Cost $200,000) | 200,000 | 1.7 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.750%, 10/01/2025 | 165,000 | 164,660 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) | 105,000 | 104,646 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
4.500%, 07/01/2025 | 125,000 | 124,341 | ||||||||||
Total Arizona (Cost $393,282) | 393,647 | 3.3 | % | |||||||||
Arkansas | ||||||||||||
Henderson State University, | ||||||||||||
2.625%, 07/01/2022 (Callable 07/01/2020) | 100,000 | 100,173 | ||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 205,000 | 226,363 | ||||||||||
Total Arkansas (Cost $325,930) | 326,536 | 2.7 | % | |||||||||
California | ||||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 08/01/2034 (Callable 08/01/2029) | 100,000 | 116,088 | ||||||||||
Total California (Cost $116,002) | 116,088 | 1.0 | % | |||||||||
Colorado | ||||||||||||
Vauxmont Metropolitan District, | ||||||||||||
5.000%, 12/15/2032 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 154,049 | ||||||||||
Total Colorado (Cost $152,426) | 154,049 | 1.3 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 200,000 | 215,846 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2035 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 400,000 | 400,000 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 50,000 | 50,675 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 300,000 | 340,569 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 300,000 | 327,390 | ||||||||||
Total Florida (Cost $1,331,196) | 1,334,480 | 11.1 | % | |||||||||
Georgia | ||||||||||||
Development Authority of Burke County, | ||||||||||||
0.620%, 11/01/2052 (Optional Put Date 01/01/2020) (1) | 200,000 | 200,000 | ||||||||||
Total Georgia (Cost $200,000) | 200,000 | 1.7 | % | |||||||||
Illinois | ||||||||||||
Cook County School District No. 111, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026)(Insured by AGM) | 300,000 | 332,367 | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 01/01/2020 | 75,000 | 75,000 | ||||||||||
5.000%, 04/01/2020 | 25,000 | 25,209 | ||||||||||
5.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 200,000 | 220,704 | ||||||||||
Total Illinois (Cost $649,356) | 653,280 | 5.4 | % | |||||||||
Indiana | ||||||||||||
City of Muncie IN, | ||||||||||||
4.000%, 01/15/2022 (Insured by AGM) | 160,000 | 166,376 | ||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 250,000 | 267,665 | ||||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 250,000 | 256,098 | ||||||||||
Munster School Building Corp., | ||||||||||||
5.000%, 07/15/2025 (Insured by ST AID) | 150,000 | 174,774 | ||||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2027 | 560,000 | 463,971 | ||||||||||
Total Indiana (Cost $1,325,729) | 1,328,884 | 11.0 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2024 | 200,000 | 201,042 | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 250,000 | 251,558 | ||||||||||
Total Iowa (Cost $449,550) | 452,600 | 3.8 | % |
Kansas | ||||||||||||
City of Goddard KS, | ||||||||||||
3.000%, 12/01/2022 (Callable 12/01/2021) | 150,000 | 154,418 | ||||||||||
Total Kansas (Cost $154,286) | 154,418 | 1.3 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority, | ||||||||||||
0.000%, 10/01/2025 (Insured by NATL) | 35,000 | 30,729 | ||||||||||
Kentucky Higher Education Student Loan Corp., | ||||||||||||
5.000%, 06/01/2024 | 115,000 | 130,120 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 145,000 | 160,719 | ||||||||||
Total Kentucky (Cost $319,306) | 321,568 | 2.7 | % | |||||||||
Louisiana | ||||||||||||
Parish of St. Charles LA, | ||||||||||||
0.680%, 10/01/2022 (Optional Put Date 01/01/2020) (1) | 400,000 | 400,000 | ||||||||||
Total Louisiana (Cost $400,000) | 400,000 | 3.3 | % | |||||||||
Maryland | ||||||||||||
County of Baltimore MD, | ||||||||||||
3.000%, 09/01/2029 (Callable 09/01/2022) | 200,000 | 205,320 | ||||||||||
Total Maryland (Cost $205,054) | 205,320 | 1.7 | % | |||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 225,000 | 225,002 | ||||||||||
Total Mississippi (Cost $224,535) | 225,002 | 1.9 | % | |||||||||
Missouri | ||||||||||||
Health & Educational Facilities Authority of the State of Missouri, | ||||||||||||
5.000%, 09/01/2027 | 150,000 | 178,432 | ||||||||||
Howard Bend Levee District, | ||||||||||||
3.000%, 03/01/2020 | 140,000 | 139,987 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
3.100%, 01/01/2023 | 100,000 | 100,598 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
0.000%, 10/01/2035 (Callable 10/01/2029) (3) | 325,000 | 322,342 | ||||||||||
Total Missouri (Cost $742,027) | 741,359 | 6.2 | % | |||||||||
Nebraska | ||||||||||||
City of La Vista NE, | ||||||||||||
3.000%, 12/15/2032 (Callable 12/30/2024) | 110,000 | 115,045 | ||||||||||
Total Nebraska (Cost $115,150) | 115,045 | 0.9 | % | |||||||||
Nevada | ||||||||||||
City of Las Vegas NV Special Improvement District No. 814, | ||||||||||||
3.000%, 06/01/2021 | 100,000 | 101,021 | ||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 | 100,000 | 101,207 | ||||||||||
Total Nevada (Cost $200,968) | 202,228 | 1.7 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 200,000 | 218,786 | ||||||||||
New Jersey Transportation Trust Fund Authority, | ||||||||||||
0.000%, 12/15/2027 | 50,000 | 42,291 | ||||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 250,000 | 284,535 | ||||||||||
Total New Jersey (Cost $542,979) | 545,612 | 4.5 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 200,000 | 205,128 | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
0.590%, 11/01/2022 (Callable 01/09/2020)(Optional Put Date 01/01/2020) (1) | 300,000 | 300,000 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 04/01/2049 (Callable 10/01/2028) | 300,000 | 318,654 | ||||||||||
Total New York (Cost $817,891) | 823,782 | 6.8 | % | |||||||||
Ohio | ||||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 200,000 | 223,520 | ||||||||||
Total Ohio (Cost $222,974) | 223,520 | 1.8 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2027) (3) | 125,000 | 146,846 | ||||||||||
Total Oregon (Cost $145,965) | 146,846 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 175,000 | 177,301 | ||||||||||
Montgomery County Industrial Development Authority, | ||||||||||||
4.000%, 12/01/2020 | 150,000 | 152,325 | ||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
1.650%, 04/01/2021 | 300,000 | 300,033 | ||||||||||
Total Pennslyvania (Cost $629,441) | 629,659 | 5.2 | % |
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 275,000 | 304,557 | ||||||||||
Total South Dakota (Cost $296,230) | 304,557 | 2.5 | % | |||||||||
Tennessee | ||||||||||||
Greeneville Health & Educational Facilities Board, | ||||||||||||
1.450%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 150,000 | 149,967 | ||||||||||
Total Tennessee (Cost $150,000) | 149,967 | 1.2 | % | |||||||||
Texas | ||||||||||||
Seminole Hospital District, | ||||||||||||
4.000%, 02/15/2031 (Callable 02/15/2026) | 25,000 | 26,789 | ||||||||||
Total Texas (Cost $26,677) | 26,789 | 0.2 | % | |||||||||
Washington | ||||||||||||
Pend Oreille County Public Utility District No. 1, | ||||||||||||
5.000%, 01/01/2022 | 250,000 | 266,205 | ||||||||||
Vancouver Housing Authority, | ||||||||||||
1.700%, 12/01/2024 | 140,000 | 140,052 | ||||||||||
Total Washington (Cost $406,103) | 406,257 | 3.4 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 10/01/2024 | 100,000 | 110,371 | ||||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 100,000 | 112,262 | ||||||||||
Wisconsin Health & Educational Facilities Authority, | ||||||||||||
2.700%, 05/01/2021 | 100,000 | 99,998 | ||||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021)(Mandatory Tender Date 11/01/2022) (1) | 300,000 | 300,420 | ||||||||||
Total Wisconsin (Cost $622,352) | 623,051 | 5.2 | % | |||||||||
Total Municipal Bonds (Cost $11,365,409) | 11,404,544 | 94.7 | % | |||||||||
Total Long-Term Investments (Cost $11,365,409) | 11,404,544 | 94.7 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 1.47% (2) | 59,689 | 59,689 | ||||||||||
Total Short-Term Investment (Cost $59,689) | 59,689 | 0.5 | % | |||||||||
Total Investments (Cost $11,425,098) | 11,464,233 | 95.2 | % | |||||||||
Other Assets in Excess of Liabilities | 576,501 | 4.8 | % | |||||||||
TOTAL NET ASSETS | $ | 12,040,734 | 100.0 | % |
Notes to Schedule of Investments | ||
AGM | Assured Guaranty Municipal | |
GNMA | Government National Mortgage Association | |
NATL | National Public Finance Guarantee Corp. | |
ST AID | State Aid Intercept/Withholding | |
(1) | Variable rate security. The rate reported is the rate in effect as of December 31, 2019. | |
(2) | 7-Day Yield. | |
(3) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
Baird Strategic Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | - | $ | 11,404,544 | $ | - | $ | 11,404,544 | ||||||||
Total Long-Term Investments | – | 11,404,544 | – | 11,404,544 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 59,689 | – | – | 59,689 | ||||||||||||
Total Short-Term Investment | 59,689 | – | – | 59,689 | ||||||||||||
Total Investments | $ | 59,689 | $ | 11,404,544 | $ | – | $ | 11,464,233 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. See the Fund’s Valuation Policy in Note 2a to the financial statements. |
Baird Municipal Bond Fund | ||||||||||||
Schedule of Investments, December 31, 2019 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Columbia Industrial Development Board, | ||||||||||||
0.700%, 12/01/2037 (Optional Put Date 01/01/2020) (1) | $ | 100,000 | $ | 100,000 | ||||||||
Homewood Educational Building Authority, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 100,000 | 111,576 | ||||||||||
Total Alabama (Cost $210,599) | 211,576 | 2.9 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) | 100,000 | 99,663 | ||||||||||
City of Phoenix Civic Improvement Corp., | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2029) | 200,000 | 248,400 | ||||||||||
Total Arizona (Cost $343,664) | 348,063 | 4.7 | % | |||||||||
Arkansas | ||||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 130,000 | 143,547 | ||||||||||
Total Arkansas (Cost $143,030) | 143,547 | 1.9 | % | |||||||||
California | ||||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 08/01/2034 (Callable 08/01/2029) | 75,000 | 87,066 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2028)(Insured by AGM) (3) | 115,000 | 130,816 | ||||||||||
Total California (Cost $216,012) | 217,882 | 2.9 | % | |||||||||
Colorado | ||||||||||||
Colorado Educational & Cultural Facilities Authority, | ||||||||||||
5.000%, 04/01/2020 | 70,000 | 70,590 | ||||||||||
South Sloan's Lake Metropolitan District No. 2, | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 25,000 | 26,627 | ||||||||||
Vauxmont Metropolitan District, | ||||||||||||
5.000%, 12/15/2032 (Callable 12/15/2024)(Insured by AGM) | 25,000 | 28,528 | ||||||||||
Total Colorado (Cost $125,374) | 125,745 | 1.7 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 150,000 | 161,885 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.250%, 11/15/2035 (Callable 01/02/2020)(Optional Put Date 01/07/2020) (1) | 200,000 | 200,000 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 25,000 | 25,337 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 200,000 | 227,046 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 200,000 | 218,260 | ||||||||||
Total Florida (Cost $830,462) | 832,528 | 11.2 | % | |||||||||
Illinois | ||||||||||||
Cook County School District No. 111, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026)(Insured by AGM) | 200,000 | 221,578 | ||||||||||
Lake County Community Consolidated School District No. 24, | ||||||||||||
0.000%, 01/01/2023 (Insured by NATL) | 40,000 | 37,740 | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 01/01/2020 | 25,000 | 25,000 | ||||||||||
5.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 100,000 | 110,352 | ||||||||||
Total Illinois (Cost $391,992) | 394,670 | 5.3 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 150,000 | 160,599 | ||||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 180,000 | 184,390 | ||||||||||
Munster School Building Corp., | ||||||||||||
5.000%, 07/15/2025 (Insured by ST AID) | 95,000 | 110,690 | ||||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2028 | 155,000 | 124,211 | ||||||||||
Tri-Creek 2002 High School Building Corp., | ||||||||||||
4.000%, 07/15/2039 (Callable 07/15/2028)(Insured by ST AID) | 200,000 | 223,192 | ||||||||||
Total Indiana (Cost $800,155) | 803,082 | 10.8 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2025 (Callable 06/01/2024) | 100,000 | 100,363 | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 150,000 | 150,935 | ||||||||||
Total Iowa (Cost $249,555) | 251,298 | 3.4 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority, | ||||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 90,000 | 74,511 | ||||||||||
Total Kentucky (Cost $73,928) | 74,511 | 1.0 | % |
Louisiana | ||||||||||||
Parish of St. Charles LA, | ||||||||||||
0.680%, 10/01/2022 (Optional Put Date 01/01/2020) (1) | 100,000 | 100,000 | ||||||||||
Total Louisiana (Cost $100,000) | 100,000 | 1.4 | % | |||||||||
Mississippi | ||||||||||||
South Central Regional Medical Center, Inc., | ||||||||||||
1.700%, 03/01/2020 (Callable 01/31/2020) | 150,000 | 150,002 | ||||||||||
Total Mississippi (Cost $149,690) | 150,002 | 2.0 | % | |||||||||
Missouri | ||||||||||||
Health & Educational Facilities Authority of the State of Missouri, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 102,125 | ||||||||||
Howard Bend Levee District, | ||||||||||||
3.000%, 03/01/2020 | 100,000 | 99,991 | ||||||||||
Missouri Southern State University, | ||||||||||||
4.000%, 10/01/2037 (Callable 10/01/2029)(Insured by AGM) | 65,000 | 70,420 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
2.950%, 01/01/2022 | 100,000 | 100,405 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
0.000%, 10/01/2035 (Callable 10/01/2029) (3) | 175,000 | 173,568 | ||||||||||
Total Missouri (Cost $547,062) | 546,509 | 7.4 | % | |||||||||
Nebraska | ||||||||||||
City of La Vista NE, | ||||||||||||
3.000%, 12/15/2032 (Callable 12/30/2024) | 85,000 | 88,898 | ||||||||||
Total Nebraska (Cost $88,980) | 88,898 | 1.2 | % | |||||||||
Nevada | ||||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 | 75,000 | 75,905 | ||||||||||
Total Nevada (Cost $75,000) | 75,905 | 1.0 | % | |||||||||
New Jersey | ||||||||||||
Borough of Woodbury Heights NJ, | ||||||||||||
4.000%, 12/01/2024 (Callable 01/31/2020)(Insured by AGC) | 20,000 | 20,043 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 300,000 | 328,179 | ||||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 150,000 | 170,721 | ||||||||||
Total New Jersey (Cost $516,583) | 518,943 | 7.0 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 100,000 | 102,564 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
4.000%, 11/01/2041 (Callable 11/01/2029) | 200,000 | 223,700 | ||||||||||
Total New York (Cost $321,765) | 326,264 | 4.4 | % | |||||||||
Ohio | ||||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 100,000 | 111,760 | ||||||||||
Euclid City School District, | ||||||||||||
4.000%, 12/01/2037 (Callable 06/01/2027)(Insured by BAM) | 200,000 | 217,980 | ||||||||||
Total Ohio (Cost $328,430) | 329,740 | 4.5 | % | |||||||||
Oklahoma | ||||||||||||
Norman Regional Hospital Authority, | ||||||||||||
5.000%, 09/01/2037 (Callable 09/01/2027) | 25,000 | 29,368 | ||||||||||
Total Oklahoma (Cost $28,621) | 29,368 | 0.4 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2027) (3) | 100,000 | 117,477 | ||||||||||
Total Oregon (Cost $116,772) | 117,477 | 1.6 | % | |||||||||
Pennsylvania | ||||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 100,000 | 101,315 | ||||||||||
Total Pennslyvania (Cost $101,276) | 101,315 | 1.4 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Turnpike & Bridge Authority, | ||||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029) | 125,000 | 141,530 | ||||||||||
Total Rhode Island (Cost $140,551) | 141,530 | 1.9 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 150,000 | 166,122 | ||||||||||
Total South Dakota (Cost $161,580) | 166,122 | 2.2 | % |
Tennessee | ||||||||||||
South Blount County Utility District, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 150,000 | 173,012 | ||||||||||
Total Tennessee (Cost $171,348) | 173,012 | 2.3 | % | |||||||||
Texas | ||||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2028)(PSF Guaranteed) | 125,000 | 142,197 | ||||||||||
Cibolo Canyons Special Improvement District, | ||||||||||||
2.500%, 08/15/2030 (Callable 08/15/2026)(Insured by AGM) | 150,000 | 148,219 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
4.000%, 07/01/2046 (Callable 07/01/2026) | 25,000 | 26,834 | ||||||||||
Travis County Municipal Utility District No. 16, | ||||||||||||
4.000%, 09/01/2030 (Callable 09/01/2029)(Insured by AGM) | 120,000 | 137,447 | ||||||||||
Total Texas (Cost $450,553) | 454,697 | 6.1 | % | |||||||||
Washington | ||||||||||||
King County Housing Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 200,000 | 229,600 | ||||||||||
Total Washington (Cost $228,062) | 229,600 | 3.1 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 10/01/2024 | 75,000 | 82,778 | ||||||||||
4.000%, 07/01/2031 (Callable 07/01/2028) | 50,000 | 56,131 | ||||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021)(Mandatory Tender Date 11/01/2022) (1) | 200,000 | 200,280 | ||||||||||
Total Wisconsin (Cost $338,627) | 339,189 | 4.6 | % | |||||||||
Total Municipal Bonds (Cost $7,249,671) | 7,291,473 | 98.3 | % | |||||||||
Total Long-Term Investments (Cost $7,249,671) | 7,291,473 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 1.47% (2) | 87,132 | 87,132 | ||||||||||
Total Short-Term Investment (Cost $87,132) | 87,132 | 1.2 | % | |||||||||
Total Investments (Cost $7,336,803) | 7,378,605 | 99.5 | % | |||||||||
Other Assets in Excess of Liabilities | 38,347 | 0.5 | % | |||||||||
TOTAL NET ASSETS | $ | 7,416,952 | 100.0 | % |
Notes to Schedule of Investments |
AGC | Assured Guaranty Corp. | |
AGM | Assured Guaranty Municipal | |
BAM | Build America Mutual Assurance Co. | |
GNMA | Government National Mortgage Association | |
NATL | National Public Finance Guarantee Corp. | |
ST AID | State Aid Intercept/Withholding | |
PSF | Permanent School Fund | |
(1) | Variable rate security. The rate reported is the rate in effect as of December 31, 2019. | |
(2) | 7-Day Yield. | |
(3) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2019. |
Baird Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2019 | ||||||||
Summary of Fair Value Exposure at December 31, 2019 | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - Unadjusted quoted prices in active markets for identical unrestricted securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). Level 3 - Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2019: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | - | $ | 7,291,473 | $ | - | $ | 7,291,473 | ||||||||
Total Long-Term Investments | – | 7,291,473 | – | 7,291,473 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 87,132 | – | – | 87,132 | ||||||||||||
Total Short-Term Investment | 87,132 | – | – | 87,132 | ||||||||||||
Total Investments | $ | 87,132 | $ | 7,291,473 | $ | – | $ | 7,378,605 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. See the Fund’s Valuation Policy in Note 2a to the financial statements. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of
Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, Baird Strategic Municipal Bond Fund, and Baird Municipal Bond Fund (the “Funds”), each a series of Baird Funds, Inc., as of December 31, 2019, the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period November 15, 2019 (commencement of operations) through December 31, 2019, for Baird Strategic Municipal Bond Fund and Baird Municipal Bond Fund, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the three years in the period then ended for the remainder of the Funds (included in Item 1 of this Form N-CSR) and the schedules of investments as of December 31, 2019 (included in Item 6 of this Form N-CSR), (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
February 28, 2020
(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 |
Incorporated by reference to the Registrant’s Form N-CSR filed on March 9, 2018.
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. Not applicable because the Registrant is not a closed-end management investment company.
(4) Changes in the Registrant’s independent public accountant.
There was no change in the Registrant’s independent public accountant for the period covered by the report.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) BAIRD FUNDS, INC.
By (Signature and Title) /s/ Mary Ellen Stanek
Mary Ellen Stanek, President
Date March 2, 2020
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 March 2, 2020
By (Signature and Title) /s/ Heidi Schneider
Heidi Schneider, Treasurer
Date March 2, 2020