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: June 30, 2020
Item 1. Reports to Stockholders.
Semi-Annual Report –
Baird Funds
June 30, 2020
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 Strategic Municipal Bond Fund
Baird Quality Intermediate Municipal Bond Fund
Baird Core Intermediate 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.
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Baird Ultra Short Bond Fund | 1 | |
Baird Short-Term Bond Fund | 9 | |
Baird Intermediate Bond Fund | 17 | |
Baird Aggregate Bond Fund | 25 | |
Baird Core Plus Bond Fund | 37 | |
Baird Short-Term Municipal Bond Fund | 49 | |
Baird Strategic Municipal Bond Fund | 63 | |
Baird Quality Intermediate Municipal Bond Fund | 74 | |
Baird Core Intermediate Municipal Bond Fund | 86 | |
Baird Municipal Bond Fund | 99 | |
Additional Information on Fund Expenses | 109 | |
Statements of Assets and Liabilities | 111 | |
Statements of Operations | 115 | |
Statements of Changes in Net Assets | 119 | |
Financial Highlights | 129 | |
Notes to the Financial Statements | 149 | |
Statement Regarding Liquidity Risk Management Program | 168 | |
Additional Information | 169 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Baird Ultra Short Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $2,576,001,495 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | ||||
(Subsidized) | 1.14% | |||
Institutional Class | ||||
(Unsubsidized) | 0.99% | |||
Investor Class | ||||
(Subsidized) | 0.89% | |||
Investor Class | ||||
(Unsubsidized) | 0.74% | |||
Average | ||||
Effective | ||||
Duration | 0.51 years | |||
Sector Weightings(1) | Average | |||
Effective | ||||
Maturity | 0.65 years | |||
Annualized | ||||
Expense Ratio(4) | ||||
Gross | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Net | ||||
Institutional Class | 0.15% | |||
Investor Class | 0.40% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 54% | |||
Number of | ||||
Holdings | 358 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(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. |
(6) | Not annualized. |
Page 1
Baird Ultra Short Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Three | Five | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 1.18% | 2.51% | 2.31% | 1.79% | 1.63% |
Investor Class Shares | 1.41% | 2.51% | 2.13% | 1.59% | 1.43% |
Bloomberg Barclays U.S. Short-Term | |||||
Government/Corporate Index(2) | 1.16% | 2.32% | 2.14% | 1.54% | 1.24% |
(1) | For the period from December 31, 2013 (inception date) through June 30, 2020. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 2
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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: | ||||||||||||
1.375%, 09/15/2020 | $ | 16,000,000 | $ | 16,039,448 | 0.6 | % | ||||||
1.625%, 10/15/2020 | 40,000,000 | 40,166,074 | 1.6 | % | ||||||||
2.625%, 11/15/2020 | 20,000,000 | 20,179,688 | 0.8 | % | ||||||||
1.875%, 12/15/2020 | 132,000,000 | 133,020,938 | 5.2 | % | ||||||||
2.000%, 01/15/2021 | 75,000,000 | 75,732,422 | 2.9 | % | ||||||||
2.250%, 02/15/2021 | 15,000,000 | 15,193,359 | 0.6 | % | ||||||||
2.375%, 03/15/2021 | 45,000,000 | 45,694,336 | 1.8 | % | ||||||||
2.625%, 05/15/2021 | 190,000,000 | 194,037,500 | 7.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $537,860,002) | 540,063,765 | 21.0 | % | |||||||||
Other Government Related Security | ||||||||||||
Other Government Related Security(1)(2)(3)(8) | 3,994,800 | 0.1 | % | |||||||||
Total Other Government Related Security | ||||||||||||
(Cost $4,000,000) | 3,994,800 | 0.1 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 14,000,000 | 14,236,053 | 0.6 | % | ||||||||
BAE Systems Holdings, Inc., | ||||||||||||
2.850%, 12/15/2020(2) | 12,660,000 | 12,742,742 | 0.5 | % | ||||||||
Broadcom, Inc., | ||||||||||||
3.125%, 04/15/2021(2) | 16,222,000 | 16,489,277 | 0.6 | % | ||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 13,473,000 | 13,600,338 | 0.5 | % | ||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.375%, 11/06/2020 | 11,550,000 | 11,652,313 | 0.5 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 16,300,000 | 16,755,575 | 0.7 | % | ||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 19,400,000 | 19,644,600 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Global Payments, Inc., | ||||||||||||
3.800%, 04/01/2021 | $ | 12,116,000 | $ | 12,335,489 | 0.5 | % | ||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 18,618,000 | 18,980,846 | 0.7 | % | ||||||||
MPLX LP, | ||||||||||||
1.213%, 09/09/2021 | ||||||||||||
(3 Month LIBOR USD + 0.900%)(3) | 11,800,000 | 11,706,458 | 0.5 | % | ||||||||
Mylan NV, | ||||||||||||
3.150%, 06/15/2021(1) | 16,675,000 | 17,023,628 | 0.7 | % | ||||||||
NXP Semiconductors NV, | ||||||||||||
4.125%, 06/01/2021(1)(2) | 11,133,000 | 11,465,150 | 0.4 | % | ||||||||
Southern Natural Gas Co. LLC, | ||||||||||||
4.400%, 06/15/2021 | 17,228,000 | 17,634,014 | 0.7 | % | ||||||||
Sunoco Logistics Partners Operations LP, | ||||||||||||
4.400%, 04/01/2021 | 15,000,000 | 15,293,441 | 0.6 | % | ||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020(1)(2) | 13,450,000 | 13,506,713 | 0.5 | % | ||||||||
Wabtec Corp., | ||||||||||||
1.613%, 09/15/2021 | ||||||||||||
(3 Month LIBOR USD + 1.300%)(3) | 11,587,000 | 11,587,000 | 0.4 | % | ||||||||
Xylem, Inc., | ||||||||||||
4.875%, 10/01/2021 | 17,675,000 | 18,603,198 | 0.7 | % | ||||||||
Other Industrials(1)(2)(3)(8) | 426,167,968 | 16.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $678,285,844) | 679,424,803 | 26.4 | % | |||||||||
Utilities | ||||||||||||
Emera US Finance LP, | ||||||||||||
2.700%, 06/15/2021 | 16,003,000 | 16,295,554 | 0.6 | % | ||||||||
PNM Resources, Inc., | ||||||||||||
3.250%, 03/09/2021 | 15,929,000 | 16,165,824 | 0.6 | % | ||||||||
Other Utilities(1)(2)(3)(8) | 27,904,348 | 1.1 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $59,927,882) | 60,365,726 | 2.3 | % | |||||||||
Financials | ||||||||||||
Capital One NA, | ||||||||||||
2.950%, 07/23/2021 | 14,214,000 | 14,505,852 | 0.6 | % | ||||||||
Credit Suisse, | ||||||||||||
3.450%, 04/16/2021(1) | 11,509,000 | 11,781,890 | 0.4 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 18,219,000 | 18,361,179 | 0.7 | % | ||||||||
Morgan Stanley, | ||||||||||||
2.315%, 01/20/2022 | ||||||||||||
(3 Month LIBOR USD + 1.180%)(3) | 17,400,000 | 17,471,514 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nordea Bank AB, | ||||||||||||
4.875%, 05/13/2021(1)(2) | $ | 16,765,000 | $ | 17,329,844 | 0.7 | % | ||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 13,312,000 | 13,377,840 | 0.5 | % | ||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.442%, 10/19/2021(1) | 15,000,000 | 15,362,250 | 0.6 | % | ||||||||
Synchrony Bank, | ||||||||||||
3.650%, 05/24/2021 | 11,730,000 | 11,920,294 | 0.5 | % | ||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 10,851,000 | 11,197,599 | 0.4 | % | ||||||||
Other Financials(1)(2)(3)(4)(8) | 293,562,458 | 11.4 | % | |||||||||
Total Financials | ||||||||||||
(Cost $423,088,120) | 424,870,720 | 16.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,161,301,846) | 1,164,661,249 | 45.2 | % | |||||||||
Municipal Bonds | ||||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 09/01/2021 | 13,490,000 | 13,865,831 | 0.5 | % | ||||||||
Mission Economic Development Corp., | ||||||||||||
2.050%, 01/01/2026(4) | 15,000,000 | 15,006,150 | 0.6 | % | ||||||||
Mizuho Floater/Residual Trust, | ||||||||||||
0.660%, 11/15/2036(2)(4) | 15,200,000 | 15,200,000 | 0.6 | % | ||||||||
Public Finance Authority, | ||||||||||||
1.900%, 09/01/2027(4) | 12,000,000 | 12,005,160 | 0.5 | % | ||||||||
Other Municipal Bonds(2)(4)(6)(8) | 162,507,267 | 6.3 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $218,141,992) | 218,584,408 | 8.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(8) | 15,132,566 | 0.6 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $15,147,785) | 15,132,566 | 0.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(8) | 20,680,420 | 0.8 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $20,658,210) | 20,680,420 | 0.8 | % | |||||||||
Asset Backed Securities | ||||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-A1, Class A1, 2.700%, 07/17/2023 | 12,090,000 | 12,274,536 | 0.5 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A1, 2.490%, 01/20/2023 | 20,628,000 | 20,874,350 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2020-1, Class A2, 2.260%, 06/22/2022(2) | $ | 11,025,000 | $ | 11,213,634 | 0.4 | % | ||||||
Discover Card Execution Note Trust: | ||||||||||||
Series 2017-A6, Class A6, 1.880%, 02/15/2023 | 21,290,000 | 21,332,001 | 0.8 | % | ||||||||
Series 2015-A4, Class A4, 2.190%, 04/17/2023 | 12,619,000 | 12,685,619 | 0.5 | % | ||||||||
Series 2016-A3, Class A3, 1.850%, 10/16/2023 | 2,000,000 | 2,023,553 | 0.1 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2015-2, Class A, 2.440%, 01/15/2027(2) | 17,043,000 | 17,054,354 | 0.7 | % | ||||||||
GM Financial Consumer Automobile Receivables Trust, | ||||||||||||
Series 2018-1, Class A3, 2.320%, 07/18/2022 | 12,618,171 | 12,724,646 | 0.5 | % | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2018-B, Class A3, 3.040%, 10/15/2021(2) | 11,912,153 | 11,976,422 | 0.5 | % | ||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2019-A, Class A2A, 2.820%, 01/18/2022 | 3,159,757 | 3,175,611 | 0.1 | % | ||||||||
Series 2019-A, Class A3, 2.900%, 10/16/2023 | 26,635,000 | 27,433,024 | 1.0 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022(2) | 30,349,696 | 30,608,834 | 1.2 | % | ||||||||
Other Asset Backed Securities(2)(4)(8) | 278,433,374 | 10.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $460,107,048) | 461,809,958 | 17.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $2,417,216,883) | 2,424,927,166 | 94.1 | % | |||||||||
Short-Term Investments | ||||||||||||
U.S. Treasury Security | ||||||||||||
United States Treasury Bill, 0.15%(7), 10/08/2020 | 25,000,000 | 24,989,344 | 1.0 | % | ||||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $24,989,687) | 24,989,344 | 1.0 | % | |||||||||
Commercial Paper | ||||||||||||
Other Commercial Paper(8) | 47,905,284 | 1.8 | % | |||||||||
Total Commercial Paper | ||||||||||||
(Cost $47,723,154) | 47,905,284 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 6
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investments (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 0.11%(5) | 97,291,971 | $ | 97,291,971 | 3.8 | % | |||||||
Total Money Market Mutual Fund | ||||||||||||
(Cost $97,291,971) | 97,291,971 | 3.8 | % | |||||||||
Total Short-Term Investments | ||||||||||||
(Cost $170,004,812) | 170,186,599 | 6.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $2,587,221,695) | 2,595,113,765 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (19,112,270 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 2,576,001,495 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $495,818,336, which represents 19.25% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security, or group of securities contain a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(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) | Effective yield as of June 30, 2020. |
(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 7
Baird Ultra Short Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 540,063,765 | $ | — | $ | 540,063,765 | ||||||||
Other Government Related Security | — | 3,994,800 | — | 3,994,800 | ||||||||||||
Corporate Bonds | — | 1,164,661,249 | — | 1,164,661,249 | ||||||||||||
Municipal Bonds | — | 218,584,408 | — | 218,584,408 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 15,132,566 | — | 15,132,566 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 20,680,420 | — | 20,680,420 | ||||||||||||
Asset Backed Securities | — | 461,809,958 | — | 461,809,958 | ||||||||||||
Total Long-Term Investments | — | 2,424,927,166 | — | 2,424,927,166 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Security | — | 24,989,344 | — | 24,989,344 | ||||||||||||
Commercial Paper | — | 47,905,284 | — | 47,905,284 | ||||||||||||
Money Market Mutual Fund | 97,291,971 | — | — | 97,291,971 | ||||||||||||
Total Short-Term Investments | 97,291,971 | 72,894,628 | — | 170,186,599 | ||||||||||||
Total Investments | $ | 97,291,971 | $ | 2,497,821,794 | $ | — | $ | 2,595,113,765 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications from the prior year’s annual report. See the Fund’s Valuation Policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 8
Baird Short-Term Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $7,525,022,121 | ||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.11% | |||
Investor Class | 0.86% | |||
Average | ||||
Effective | ||||
Duration | 1.91 years | |||
Average | ||||
Effective | ||||
Maturity | 2.00 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55%(5) | |||
Portfolio | ||||
Turnover Rate(6) | 42% | |||
Number of | ||||
Holdings | 554 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 9
Baird Short-Term Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||||
Since | Since | |||||
Six | One | Five | Ten | Inception | Inception | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 2.93% | 4.47% | 2.57% | 2.45% | 2.90% | N/A |
Investor Class Shares | 2.80% | 4.20% | 2.32% | N/A | N/A | 1.98% |
Bloomberg Barclays 1-3 Year U.S. | ||||||
Government/Credit Bond Index(1) | 2.88% | 4.20% | 2.11% | 1.63% | 2.52% | 1.66% |
(1) | The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and three years. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and could have an adverse effect on the value of the Fund’s investments.
Past performance does not guarantee future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 10
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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: | ||||||||||||
1.125%, 09/30/2021 | $ | 250,600,000 | $ | 253,575,875 | 3.3 | % | ||||||
1.625%, 08/31/2022 | 224,325,000 | 231,370,207 | 3.1 | % | ||||||||
2.125%, 12/31/2022 | 892,025,000 | 935,476,376 | 12.4 | % | ||||||||
1.750%, 05/15/2023 | 408,700,000 | 427,091,500 | 5.7 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,828,138,157) | 1,847,513,958 | 24.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(3)(8) | 33,139,889 | 0.4 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $32,242,523) | 33,139,889 | 0.4 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022(1)(2) | 33,135,000 | 33,919,071 | 0.5 | % | ||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 27,850,000 | 28,319,577 | 0.4 | % | ||||||||
Bayer US Finance II LLC, | ||||||||||||
3.500%, 06/25/2021(2) | 26,245,000 | 26,904,729 | 0.4 | % | ||||||||
BP Capital Markets America, Inc., | ||||||||||||
2.937%, 04/06/2023 | 24,550,000 | 25,960,700 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 34,423,000 | 35,956,783 | 0.5 | % | ||||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021 | 32,689,000 | 33,342,780 | 0.4 | % | ||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 | 32,690,000 | 32,609,107 | 0.4 | % | ||||||||
Exxon Mobil Corp., | ||||||||||||
1.571%, 04/15/2023 | 35,000,000 | 35,921,054 | 0.5 | % | ||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 26,363,927 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Global Payments, Inc., | ||||||||||||
3.800%, 04/01/2021 | $ | 30,693,000 | $ | 31,249,024 | 0.4 | % | ||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023(1)(2) | 33,725,000 | 35,250,678 | 0.5 | % | ||||||||
Leidos, Inc., | ||||||||||||
2.950%, 05/15/2023(2) | 27,875,000 | 29,037,388 | 0.4 | % | ||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,298,668 | 0.5 | % | ||||||||
Micron Technology, Inc., | ||||||||||||
2.497%, 04/24/2023 | 36,364,000 | 37,791,767 | 0.5 | % | ||||||||
Mylan, Inc., | ||||||||||||
3.125%, 01/15/2023(2) | 32,660,000 | 34,325,125 | 0.4 | % | ||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 33,713,000 | 34,717,647 | 0.5 | % | ||||||||
POSCO, | ||||||||||||
2.375%, 01/17/2023(1)(2) | 35,000,000 | 35,582,050 | 0.5 | % | ||||||||
Reckitt Benckiser Treasury Services PLC, | ||||||||||||
2.375%, 06/24/2022(1)(2) | 30,000,000 | 30,908,700 | 0.4 | % | ||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022(1)(2) | 25,600,000 | 26,325,396 | 0.3 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 31,030,000 | 32,363,230 | 0.4 | % | ||||||||
VF Corp., | ||||||||||||
2.050%, 04/23/2022 | 32,900,000 | 33,692,736 | 0.4 | % | ||||||||
Volkswagen Group of America Finance LLC, | ||||||||||||
4.000%, 11/12/2021(2) | 24,700,000 | 25,712,769 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(8) | 1,742,607,571 | 23.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $2,390,957,452) | 2,443,160,477 | 32.5 | % | |||||||||
Utilities | ||||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023(2) | 30,000,000 | 30,957,925 | 0.4 | % | ||||||||
Enel Finance International NV, | ||||||||||||
2.875%, 05/25/2022(1)(2) | 28,583,000 | 29,564,760 | 0.4 | % | ||||||||
Other Utilities(1)(2)(3)(8) | 38,440,823 | 0.5 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $96,547,571) | 98,963,508 | 1.3 | % | |||||||||
Financials | ||||||||||||
Bank of Nova Scotia, | ||||||||||||
1.625%, 05/01/2023(1) | 30,000,000 | 30,708,282 | 0.4 | % | ||||||||
BPCE SA, | ||||||||||||
3.000%, 05/22/2022(1)(2) | 32,127,000 | 33,218,508 | 0.4 | % | ||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
2.606%, 07/22/2023 | ||||||||||||
(3 Month LIBOR USD + 0.785%)(1)(3) | 36,050,000 | 37,262,476 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | $ | 34,182,000 | $ | 35,984,756 | 0.5 | % | ||||||
Citigroup, Inc., | ||||||||||||
1.678%, 05/15/2024 (SOFR + 1.667%)(3) | 25,000,000 | 25,498,055 | 0.3 | % | ||||||||
Cooperatieve Rabobank UA, | ||||||||||||
3.950%, 11/09/2022(1) | 37,273,000 | 39,435,591 | 0.5 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.550%, 05/26/2023 | 30,000,000 | 30,898,094 | 0.4 | % | ||||||||
HSBC Holdings PLC, | ||||||||||||
3.262%, 03/13/2023 | ||||||||||||
(3 Month LIBOR USD + 1.055%)(1)(3) | 28,200,000 | 29,214,025 | 0.4 | % | ||||||||
KeyBank NA, | ||||||||||||
3.180%, 05/22/2022 | 25,343,000 | 26,274,120 | 0.4 | % | ||||||||
Morgan Stanley, | ||||||||||||
3.737%, 04/24/2024 | ||||||||||||
(3 Month LIBOR USD + 0.847%)(3) | 34,242,000 | 36,865,471 | 0.5 | % | ||||||||
National Bank of Canada, | ||||||||||||
2.100%, 02/01/2023(1) | 36,075,000 | 37,081,476 | 0.5 | % | ||||||||
National Securities Clearing Corp., | ||||||||||||
1.200%, 04/23/2023(2) | 27,000,000 | 27,390,627 | 0.4 | % | ||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,498,000 | 27,634,003 | 0.4 | % | ||||||||
Synchrony Financial, | ||||||||||||
2.850%, 07/25/2022 | 25,219,000 | 25,649,848 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(8) | 1,353,529,454 | 18.0 | % | |||||||||
Total Financials | ||||||||||||
(Cost $1,752,426,539) | 1,796,644,786 | 23.9 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $4,239,931,562) | 4,338,768,771 | 57.7 | % | |||||||||
Municipal Bonds | ||||||||||||
County of Sacramento CA: | ||||||||||||
7.680%, 08/15/2021(7) | 33,785,000 | 34,397,522 | 0.5 | % | ||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
5.000%, 01/01/2024 | 26,990,000 | 29,880,089 | 0.4 | % | ||||||||
Other Municipal Bonds(3)(7)(8) | 160,167,581 | 2.1 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $223,368,924) | 224,445,192 | 3.0 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
CSMC Trust, | ||||||||||||
Series 2019-RPL1, Class A1A, | ||||||||||||
3.650%, 07/25/2058(2)(4) | 41,882,126 | 44,595,593 | 0.6 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(8) | 184,977,827 | 2.4 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $226,949,763) | 229,573,420 | 3.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issue | ||||||||||||
Other U.S. Government Agency Issue(8) | $ | 10,064,821 | 0.1 | % | ||||||||
Total U.S. Government Agency Issue | ||||||||||||
(Cost $9,921,193) | 10,064,821 | 0.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(4)(8) | 261,016,865 | 3.5 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $259,283,731) | 261,016,865 | 3.5 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $269,204,924) | 271,081,686 | 3.6 | % | |||||||||
Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2019-3, Class A, 2.000%, 04/15/2025 | $ | 35,602,000 | 36,857,256 | 0.5 | % | |||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024(2) | 27,550,000 | 28,075,486 | 0.4 | % | ||||||||
Fifth Third Auto Trust, | ||||||||||||
Series 2019-1, Class A3, 2.640%, 12/15/2023 | 39,895,000 | 40,922,935 | 0.5 | % | ||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,918,653 | 0.4 | % | ||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,976,980 | 0.5 | % | ||||||||
Other Asset Backed Securities(1)(2)(4)(8) | 287,839,439 | 3.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $446,143,715) | 456,590,749 | 6.1 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $7,265,979,568) | 7,401,113,665 | 98.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 0.11%(5) | 127,341,325 | $ | 127,341,325 | 1.7 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $127,341,325) | 127,341,325 | 1.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $7,393,320,893) | 7,528,454,990 | 100.0 | % | |||||||||
Liabilities in Excess of Other Assets | (3,432,869 | ) | (0.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 7,525,022,121 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
SOFR – Secured Overnight Financing Rate
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $2,019,496,482, which represents 26.84% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security, or group of securities contain a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(8) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 15
Baird Short-Term Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,847,513,958 | $ | — | $ | 1,847,513,958 | ||||||||
Other Government Related Securities | — | 33,139,889 | — | 33,139,889 | ||||||||||||
Corporate Bonds | — | 4,338,768,771 | — | 4,338,768,771 | ||||||||||||
Municipal Bonds | — | 224,445,192 | — | 224,445,192 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 229,573,420 | — | 229,573,420 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issue | — | 10,064,821 | — | 10,064,821 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 261,016,865 | — | 261,016,865 | ||||||||||||
Asset Backed Securities | — | 456,590,749 | — | 456,590,749 | ||||||||||||
Total Long-Term Investments | — | 7,401,113,665 | — | 7,401,113,665 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 127,341,325 | — | — | 127,341,325 | ||||||||||||
Total Short-Term Investment | 127,341,325 | — | — | 127,341,325 | ||||||||||||
Total Investments | $ | 127,341,325 | $ | 7,401,113,665 | $ | — | $ | 7,528,454,990 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications from the prior year’s annual report. See the Fund’s Valuation Policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 16
Baird Intermediate Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $4,793,586,358 | ||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.10% | |||
Investor Class | 0.85% | |||
Average | ||||
Effective | ||||
Duration | 4.09 years | |||
Average | ||||
Effective | ||||
Maturity | 4.46 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 27% | |||
Number of | ||||
Holdings | 537 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 17
Baird Intermediate Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 5.56% | 7.41% | 3.73% | 3.77% | 4.92% |
Investor Class Shares | 5.43% | 7.16% | 3.49% | 3.52% | 4.66% |
Bloomberg Barclays Intermediate U.S. | |||||
Government/Credit Bond Index(2) | 5.28% | 7.12% | 3.46% | 3.13% | 4.49% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2020. |
(2) | The Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and ten years. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 18
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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 | $ | 184,950,000 | $ | 190,036,125 | 4.0 | % | ||||||
1.875%, 03/31/2022 | 356,525,000 | 367,095,410 | 7.7 | % | ||||||||
0.500%, 03/15/2023 | 12,100,000 | 12,205,402 | 0.2 | % | ||||||||
2.500%, 05/15/2024 | 376,775,000 | 409,934,143 | 8.5 | % | ||||||||
2.250%, 11/15/2025 | 311,925,000 | 343,641,437 | 7.2 | % | ||||||||
2.000%, 11/15/2026 | 19,425,000 | 21,329,561 | 0.4 | % | ||||||||
2.250%, 11/15/2027 | 190,800,000 | 214,888,500 | 4.5 | % | ||||||||
3.125%, 11/15/2028 | 90,500,000 | 109,416,621 | 2.3 | % | ||||||||
1.625%, 08/15/2029 | 87,025,000 | 94,955,833 | 2.0 | % | ||||||||
1.500%, 02/15/2030 | 3,975,000 | 4,297,037 | 0.1 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,682,402,731) | 1,767,800,069 | 36.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 13,120,198 | 0.3 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $12,361,545) | 13,120,198 | 0.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Carrier Global Corp., | ||||||||||||
2.242%, 02/15/2025(2) | 13,275,000 | 13,572,606 | 0.3 | % | ||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 14,012,478 | 0.3 | % | ||||||||
CVS Health Corp., | ||||||||||||
4.300%, 03/25/2028 | 15,125,000 | 17,689,725 | 0.4 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,623,797 | 0.3 | % | ||||||||
Energy Transfer Operating LP, | ||||||||||||
5.500%, 06/01/2027 | 17,931,000 | 19,985,919 | 0.4 | % | ||||||||
Exxon Mobil Corp., | ||||||||||||
2.992%, 03/19/2025 | 13,550,000 | 14,712,384 | 0.3 | % | ||||||||
Fiserv, Inc., | ||||||||||||
2.250%, 06/01/2027 | 16,000,000 | 16,731,111 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
HP, Inc., | ||||||||||||
2.200%, 06/17/2025 | $ | 18,325,000 | $ | 18,914,382 | 0.4 | % | ||||||
Kinder Morgan, Inc., | ||||||||||||
7.800%, 08/01/2031 | 12,425,000 | 16,863,275 | 0.4 | % | ||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023(1) | 18,275,000 | 19,098,597 | 0.4 | % | ||||||||
Roper Technologies, Inc., | ||||||||||||
2.000%, 06/30/2030 | 14,675,000 | 14,685,950 | 0.3 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
3.000%, 03/22/2027 | 13,000,000 | 14,421,407 | 0.3 | % | ||||||||
Williams Companies, Inc., | ||||||||||||
4.300%, 03/04/2024 | 14,329,000 | 15,578,169 | 0.3 | % | ||||||||
Other Industrials(1)(2)(3)(9)(10) | 933,894,855 | 19.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,082,101,596) | 1,144,784,655 | 23.9 | % | |||||||||
Utilities | ||||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
4.050%, 04/15/2025(2) | 14,925,000 | 17,064,336 | 0.4 | % | ||||||||
Edison International, | ||||||||||||
4.125%, 03/15/2028 | 13,600,000 | 14,384,334 | 0.3 | % | ||||||||
Enel Finance International NV, | ||||||||||||
3.500%, 04/06/2028(1)(2) | 13,550,000 | 14,575,342 | 0.3 | % | ||||||||
ITC Holdings Corp., | ||||||||||||
2.950%, 05/14/2030(2) | 15,717,000 | 16,739,756 | 0.3 | % | ||||||||
Other Utilities(1)(2)(10) | 56,857,432 | 1.2 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $110,072,345) | 119,621,200 | 2.5 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
4.750%, 07/28/2025(1)(2) | 14,323,000 | 15,785,063 | 0.3 | % | ||||||||
Citizens Bank NA, | ||||||||||||
2.250%, 04/28/2025 | 19,000,000 | 20,162,683 | 0.4 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,298,980 | 0.3 | % | ||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 2,500,000 | 2,505,225 | 0.0 | % | ||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,183,847 | 0.1 | % | ||||||||
2.250%, 10/24/2023 | ||||||||||||
(3 Month LIBOR USD + 1.230%)(3) | 5,035,000 | 5,091,342 | 0.1 | % | ||||||||
4.023%, 12/05/2024 | ||||||||||||
(3 Month LIBOR USD + 1.000%)(3) | 20,000,000 | 22,037,865 | 0.5 | % | ||||||||
2.301%, 10/15/2025 (SOFR + 1.160%)(3) | 13,000,000 | 13,617,228 | 0.3 | % | ||||||||
2.005%, 03/13/2026 (SOFR + 1.585%)(3) | 7,625,000 | 7,891,462 | 0.2 | % | ||||||||
2.083%, 04/22/2026 (SOFR + 1.850%)(3) | 3,000,000 | 3,115,856 | 0.1 | % | ||||||||
2.522%, 04/22/2031 (SOFR + 2.040%)(3) | 1,500,000 | 1,584,158 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023(2) | $ | 12,053,000 | $ | 13,794,676 | 0.3 | % | ||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 12,850,000 | 13,639,265 | 0.3 | % | ||||||||
Wells Fargo & Co., | ||||||||||||
2.188%, 04/30/2026 (SOFR + 2.000%)(3) | 16,000,000 | 16,543,477 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(9)(10) | 882,328,303 | 18.4 | % | |||||||||
Total Financials | ||||||||||||
(Cost $976,418,826) | 1,034,579,430 | 21.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $2,168,592,767) | 2,298,985,285 | 48.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(8)(10) | 83,671,648 | 1.7 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $81,242,667) | 83,671,648 | 1.7 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(10) | 19,241 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $18,397) | 19,241 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 13,019,874 | 13,695,577 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(10) | 51,581,888 | 1.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $63,459,060) | 65,277,465 | 1.4 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $63,477,457) | 65,296,706 | 1.4 | % | |||||||||
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 | 17,703,954 | 0.4 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,644,008 | 0.3 | % | ||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 15,212,411 | 0.3 | % | ||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 1,650,000 | 1,803,697 | 0.0 | % | ||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,802,430 | 0.1 | % | ||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,386,223 | 0.1 | % | ||||||||
Series K043, Class A2, 3.062%, 12/25/2024 | 4,250,000 | 4,670,867 | 0.1 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 8,725,000 | 9,721,003 | 0.2 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,375,000 | 13,853,323 | 0.3 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 10,479,629 | 0.2 | % | ||||||||
Series K062, Class A2, 3.413%, 12/25/2026 | 21,599,000 | 24,769,614 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: (cont.) | ||||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | $ | 9,354,000 | $ | 10,730,789 | 0.2 | % | ||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 8,156,069 | 0.2 | % | ||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 10,533,795 | 0.2 | % | ||||||||
Series K083, Class A2, 4.050%, 09/25/2028(4) | 9,525,000 | 11,574,852 | 0.3 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $155,056,505) | 165,042,664 | 3.4 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 13,635,576 | 14,478,913 | 0.3 | % | ||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 13,025,000 | 14,148,203 | 0.3 | % | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | 12,980,000 | 13,345,561 | 0.3 | % | ||||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,978,154 | 0.3 | % | ||||||||
Series 2015-C27, Class A4, 3.753%, 12/17/2047 | 28,920,000 | 31,968,683 | 0.6 | % | ||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 14,787,961 | 15,341,390 | 0.3 | % | ||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 20,769,144 | 23,144,038 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues(10) | 80,012,445 | 1.7 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $199,989,956) | 206,417,387 | 4.3 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $355,046,461) | 371,460,051 | 7.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2020-A, Class A3, 1.950%, 07/15/2023(2) | 15,050,000 | 15,376,648 | 0.3 | % | ||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 14,555,000 | 14,613,666 | 0.3 | % | ||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2020-MH1, Class A1, 2.250%, 02/25/2060(2)(4) | 13,929,244 | 14,127,332 | 0.3 | % | ||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031(2) | 19,075,000 | 20,302,095 | 0.4 | % | ||||||||
Other Asset Backed Securities(2)(10) | 68,873,215 | 1.5 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $129,186,127) | 133,292,956 | 2.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $4,492,309,755) | 4,733,626,913 | 98.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 0.11%(5) | 136,113,797 | $ | 136,113,797 | 2.8 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $136,113,797) | 136,113,797 | 2.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $4,628,423,552) | 4,869,740,710 | 101.6 | % | |||||||||
Liabilities in Excess of Other Assets | (76,154,352 | ) | (1.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,793,586,358 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
SOFR – Secured Overnight Financing Rate
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $891,416,602, which represents 18.60% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security, or group of securities contain a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(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 June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Intermediate Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,767,800,069 | $ | — | $ | 1,767,800,069 | ||||||||
Other Government Related Securities | — | 13,120,198 | — | 13,120,198 | ||||||||||||
Corporate Bonds | — | 2,298,985,285 | — | 2,298,985,285 | ||||||||||||
Municipal Bonds | — | 83,671,648 | — | 83,671,648 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 19,241 | — | 19,241 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 65,277,465 | — | 65,277,465 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 165,042,664 | — | 165,042,664 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 206,417,387 | — | 206,417,387 | ||||||||||||
Asset Backed Securities | — | 133,292,956 | — | 133,292,956 | ||||||||||||
Total Long-Term Investments | — | 4,733,626,913 | — | 4,733,626,913 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 136,113,797 | — | — | 136,113,797 | ||||||||||||
Total Short-Term Investment | 136,113,797 | — | — | 136,113,797 | ||||||||||||
Total Investments | $ | 136,113,797 | $ | 4,733,626,913 | $ | — | $ | 4,869,740,710 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers into or out of Level 3 during the reporting period, as compared to the security classifications from the prior year’s annual report. See the Fund’s Valuation Policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Aggregate Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $26,991,077,120 | ||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.71% | |||
Investor Class | 1.47% | |||
Average | ||||
Effective | ||||
Duration | 6.04 years | |||
Average | ||||
Effective | ||||
Maturity | 7.81 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 24% | |||
Number of | ||||
Holdings | 1,392 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 25
Baird Aggregate Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 6.36% | 9.25% | 4.69% | 4.68% | 5.33% |
Investor Class Shares | 6.27% | 8.92% | 4.44% | 4.42% | 5.28% |
Bloomberg Barclays U.S. | |||||
Aggregate Bond Index(2) | 6.14% | 8.74% | 4.30% | 3.82% | 5.05% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2020. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 26
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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: | ||||||||||||
1.875%, 03/31/2022 | $ | 1,140,350,000 | $ | 1,174,159,599 | 4.3 | % | ||||||
2.125%, 12/31/2022 | 554,875,000 | 581,903,483 | 2.2 | % | ||||||||
2.500%, 05/15/2024 | 36,610,000 | 39,831,966 | 0.1 | % | ||||||||
2.250%, 11/15/2025 | 46,300,000 | 51,007,770 | 0.2 | % | ||||||||
2.000%, 11/15/2026 | 239,975,000 | 263,503,800 | 1.0 | % | ||||||||
2.250%, 11/15/2027 | 9,300,000 | 10,474,125 | 0.0 | % | ||||||||
1.625%, 08/15/2029 | 63,825,000 | 69,641,552 | 0.3 | % | ||||||||
2.875%, 05/15/2043 | 791,550,000 | 1,034,054,949 | 3.8 | % | ||||||||
2.500%, 02/15/2045 | 823,000,000 | 1,015,183,355 | 3.8 | % | ||||||||
2.875%, 05/15/2049 | 304,750,000 | 412,293,416 | 1.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $4,231,579,727) | 4,652,054,015 | 17.2 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 83,146,870 | 0.3 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $81,623,810) | 83,146,870 | 0.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 54,750,000 | 62,748,054 | 0.2 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 60,000,000 | 70,500,000 | 0.3 | % | ||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025(2) | 61,307,000 | 69,252,940 | 0.3 | % | ||||||||
Other Industrials(1)(2)(7)(8)(9)(10) | 6,024,982,415 | 22.3 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $5,796,993,133) | 6,227,483,409 | 23.1 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | 455,553,154 | 1.7 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $417,080,797) | 455,553,154 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
4.750%, 07/28/2025(1)(2) | $ | 59,016,000 | $ | 65,040,235 | 0.2 | % | ||||||
Bank of America Corp., | ||||||||||||
2.592%, 04/29/2031 (SOFR + 2.150%)(3) | 60,000,000 | 63,488,735 | 0.2 | % | ||||||||
JPMorgan Chase & Co., | ||||||||||||
2.083%, 04/22/2026 (SOFR + 1.850%)(3) | 76,000,000 | 78,935,011 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(8)(9)(10) | 4,903,138,723 | 18.2 | % | |||||||||
Total Financials | ||||||||||||
(Cost $4,799,499,584) | 5,110,602,704 | 18.9 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $11,013,573,514) | 11,793,639,267 | 43.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(3)(8)(10) | 317,835,617 | 1.2 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $309,530,797) | 317,835,617 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
2.500%, 04/01/2028 | 1,993,129 | 2,092,331 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 84,689 | 94,998 | 0.0 | % | ||||||||
3.000%, 04/01/2031 | 6,185,457 | 6,571,865 | 0.0 | % | ||||||||
3.000%, 02/01/2032 | 56,260,576 | 59,992,644 | 0.2 | % | ||||||||
3.000%, 03/01/2032 | 2,222,053 | 2,366,122 | 0.0 | % | ||||||||
3.500%, 05/01/2032 | 15,771,787 | 16,877,193 | 0.1 | % | ||||||||
3.000%, 07/01/2032 | 13,997,441 | 14,924,779 | 0.1 | % | ||||||||
3.500%, 07/01/2032 | 19,939,829 | 21,343,415 | 0.1 | % | ||||||||
3.000%, 04/01/2033 | 1,940,989 | 2,069,531 | 0.0 | % | ||||||||
5.000%, 08/01/2033 | 3,914,915 | 4,460,553 | 0.0 | % | ||||||||
3.500%, 01/01/2034 | 15,662,445 | 16,753,164 | 0.1 | % | ||||||||
5.000%, 09/01/2035 | 7,997,522 | 9,179,656 | 0.0 | % | ||||||||
5.500%, 01/01/2036 | 132,798 | 152,219 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 3,479,217 | 3,993,155 | 0.0 | % | ||||||||
6.000%, 12/01/2036 | 122,650 | 143,152 | 0.0 | % | ||||||||
4.000%, 03/01/2037 | 3,600,928 | 3,874,234 | 0.0 | % | ||||||||
5.000%, 02/01/2038 | 1,895,968 | 2,175,343 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 416,089 | 476,596 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 8,476,821 | 9,714,315 | 0.0 | % | ||||||||
4.500%, 11/01/2039 | 6,460,088 | 7,182,121 | 0.0 | % | ||||||||
4.500%, 12/01/2039 | 18,089,161 | 20,114,658 | 0.1 | % | ||||||||
5.000%, 03/01/2040 | 725,547 | 834,172 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 614,144 | 682,787 | 0.0 | % | ||||||||
4.500%, 09/01/2040 | 2,453,207 | 2,728,316 | 0.0 | % | ||||||||
4.000%, 01/01/2041 | 36,972,594 | 40,539,557 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
4.500%, 03/01/2041 | $ | 1,828,187 | $ | 2,032,496 | 0.0 | % | ||||||
3.500%, 10/01/2041 | 7,751,089 | 8,381,032 | 0.0 | % | ||||||||
4.000%, 03/01/2042 | 5,762,450 | 6,324,724 | 0.0 | % | ||||||||
3.500%, 06/01/2042 | 4,050,255 | 4,384,289 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 10,663,814 | 11,552,256 | 0.1 | % | ||||||||
3.000%, 08/01/2042 | 14,452,025 | 15,485,169 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 5,616,551 | 6,018,822 | 0.0 | % | ||||||||
3.000%, 11/01/2042 | 31,262,289 | 33,812,539 | 0.1 | % | ||||||||
3.500%, 12/01/2042 | 11,243,642 | 12,168,866 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 33,664,769 | 36,083,263 | 0.1 | % | ||||||||
3.500%, 01/01/2043 | 17,965,185 | 19,453,019 | 0.1 | % | ||||||||
3.000%, 02/01/2043 | 3,102,450 | 3,325,327 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 26,543,873 | 28,494,957 | 0.1 | % | ||||||||
3.500%, 04/01/2043 | 51,800,849 | 56,071,007 | 0.2 | % | ||||||||
4.000%, 04/01/2043 | 16,996,091 | 19,231,927 | 0.1 | % | ||||||||
3.500%, 05/01/2043 | 10,558,017 | 11,425,712 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 15,957,949 | 17,104,750 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 4,964,025 | 5,318,575 | 0.0 | % | ||||||||
3.500%, 11/01/2043 | 8,170,804 | 8,836,758 | 0.0 | % | ||||||||
3.500%, 01/01/2044 | 9,597,851 | 10,389,081 | 0.0 | % | ||||||||
3.500%, 02/01/2044 | 33,095,974 | 35,809,530 | 0.1 | % | ||||||||
4.000%, 03/01/2044 | 4,734,332 | 5,177,571 | 0.0 | % | ||||||||
3.500%, 05/01/2044 | 35,449,950 | 38,761,832 | 0.2 | % | ||||||||
4.000%, 05/01/2044 | 18,017,948 | 19,771,816 | 0.1 | % | ||||||||
4.000%, 07/01/2044 | 3,943,089 | 4,317,751 | 0.0 | % | ||||||||
3.500%, 10/01/2044 | 70,730,053 | 75,790,626 | 0.3 | % | ||||||||
4.000%, 10/01/2044 | 9,550,668 | 10,473,353 | 0.0 | % | ||||||||
3.000%, 01/01/2045 | 22,670,706 | 24,122,293 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 24,248,300 | 26,353,843 | 0.1 | % | ||||||||
4.500%, 01/01/2045 | 27,627,727 | 30,981,423 | 0.1 | % | ||||||||
3.500%, 06/01/2045 | 17,471,151 | 19,103,396 | 0.1 | % | ||||||||
3.500%, 07/01/2045 | 68,080,395 | 73,620,113 | 0.3 | % | ||||||||
3.000%, 10/01/2045 | 34,877,138 | 37,360,273 | 0.1 | % | ||||||||
4.000%, 10/01/2045 | 6,086,100 | 6,558,960 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 12,654,821 | 13,667,272 | 0.1 | % | ||||||||
3.000%, 01/01/2046(8) | 94,533,758 | 102,717,262 | 0.4 | % | ||||||||
3.000%, 01/01/2046 | 74,146,832 | 80,588,895 | 0.3 | % | ||||||||
3.500%, 01/01/2046 | 32,023,045 | 34,822,619 | 0.1 | % | ||||||||
4.000%, 02/01/2046 | 17,200,253 | 18,544,357 | 0.1 | % | ||||||||
4.000%, 02/01/2046 | 67,605,285 | 74,151,595 | 0.3 | % | ||||||||
4.000%, 04/01/2046 | 9,399,786 | 10,271,639 | 0.0 | % | ||||||||
3.500%, 05/01/2046 | 8,335,969 | 8,889,038 | 0.0 | % | ||||||||
3.000%, 08/01/2046 | 31,158,257 | 32,978,838 | 0.1 | % | ||||||||
3.500%, 08/01/2046 | 29,370,703 | 32,082,472 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
3.000%, 10/01/2046 | $ | 120,923,576 | $ | 130,161,722 | 0.5 | % | ||||||
3.000%, 12/01/2046(8) | 76,557,502 | 80,899,492 | 0.3 | % | ||||||||
4.000%, 01/01/2047 | 53,130,262 | 58,754,774 | 0.2 | % | ||||||||
3.000%, 02/01/2047 | 45,117,139 | 47,630,479 | 0.2 | % | ||||||||
4.500%, 04/01/2047 | 43,191,656 | 46,703,187 | 0.2 | % | ||||||||
3.000%, 05/01/2047 | 58,449,279 | 62,490,736 | 0.2 | % | ||||||||
4.000%, 09/01/2047 | 23,442,725 | 24,929,505 | 0.1 | % | ||||||||
3.000%, 02/01/2048 | 1,070,396 | 1,128,346 | 0.0 | % | ||||||||
4.000%, 08/01/2048 | 37,285,298 | 40,237,661 | 0.2 | % | ||||||||
3.000%, 11/01/2049 | 85,301,234 | 91,492,484 | 0.3 | % | ||||||||
4.000%, 05/01/2050(8) | 119,823,447 | 131,217,097 | 0.5 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 794 | 835 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 6,552,043 | 6,875,356 | 0.0 | % | ||||||||
2.500%, 05/01/2028 | 9,280,911 | 9,866,757 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 132,487 | 144,432 | 0.0 | % | ||||||||
4.500%, 08/01/2029 | 1,032,477 | 1,111,560 | 0.0 | % | ||||||||
4.500%, 09/01/2029 | 1,197,660 | 1,292,404 | 0.0 | % | ||||||||
2.500%, 04/01/2030 | 3,430,881 | 3,640,893 | 0.0 | % | ||||||||
2.500%, 05/01/2030 | 10,854,713 | 11,525,329 | 0.1 | % | ||||||||
3.500%, 11/01/2030 | 28,484,641 | 30,435,077 | 0.1 | % | ||||||||
3.000%, 12/01/2030 | 29,837,438 | 31,715,352 | 0.1 | % | ||||||||
2.500%, 09/01/2031 | 39,103,158 | 41,566,592 | 0.2 | % | ||||||||
3.500%, 01/01/2032 | 38,308,400 | 40,978,342 | 0.2 | % | ||||||||
2.500%, 02/01/2032 | 6,393,644 | 6,769,686 | 0.0 | % | ||||||||
3.000%, 09/01/2032 | 2,538,543 | 2,693,039 | 0.0 | % | ||||||||
3.000%, 10/01/2032 | 1,948,773 | 2,059,365 | 0.0 | % | ||||||||
3.000%, 11/01/2032(8) | 4,969,651 | 5,286,837 | 0.0 | % | ||||||||
2.500%, 12/01/2032 | 45,328,607 | 47,567,379 | 0.2 | % | ||||||||
3.000%, 12/01/2032 | 3,804,692 | 4,044,244 | 0.0 | % | ||||||||
6.000%, 03/01/2033 | 34,902 | 40,534 | 0.0 | % | ||||||||
3.500%, 10/01/2033 | 18,493,984 | 19,790,873 | 0.1 | % | ||||||||
4.500%, 10/01/2033 | 13,065,596 | 14,286,547 | 0.1 | % | ||||||||
5.000%, 10/01/2033 | 13,981,252 | 16,036,366 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 80,045,891 | 85,988,037 | 0.3 | % | ||||||||
5.000%, 11/01/2033 | 39,578 | 45,400 | 0.0 | % | ||||||||
4.000%, 01/01/2034 | 5,835,642 | 6,283,259 | 0.0 | % | ||||||||
5.500%, 04/01/2034 | 4,778,719 | 5,479,100 | 0.0 | % | ||||||||
4.000%, 06/01/2034 | 7,623,649 | 8,207,006 | 0.0 | % | ||||||||
4.000%, 09/01/2034 | 9,116,827 | 9,814,511 | 0.0 | % | ||||||||
5.500%, 09/01/2034 | 125,150 | 143,513 | 0.0 | % | ||||||||
6.000%, 11/01/2034 | 34,346 | 40,063 | 0.0 | % | ||||||||
3.500%, 01/01/2035 | 52,136,183 | 55,683,799 | 0.2 | % | ||||||||
5.500%, 02/01/2035 | 424,712 | 487,286 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 06/01/2035 | $ | 12,792,419 | $ | 13,630,090 | 0.1 | % | ||||||
5.000%, 07/01/2035 | 3,636,429 | 4,171,942 | 0.0 | % | ||||||||
5.000%, 10/01/2035 | 1,768,143 | 2,029,449 | 0.0 | % | ||||||||
5.000%, 02/01/2036 | 2,589,994 | 2,973,137 | 0.0 | % | ||||||||
3.000%, 11/01/2036 | 36,315,324 | 38,459,316 | 0.2 | % | ||||||||
5.500%, 11/01/2036 | 166,886 | 191,726 | 0.0 | % | ||||||||
2.500%, 12/01/2036 | 25,645,391 | 26,877,030 | 0.1 | % | ||||||||
5.500%, 04/01/2037 | 1,066,195 | 1,216,341 | 0.0 | % | ||||||||
4.000%, 05/01/2037 | 39,275,087 | 42,240,493 | 0.2 | % | ||||||||
4.000%, 02/01/2038 | 36,018,559 | 38,723,254 | 0.2 | % | ||||||||
2.500%, 04/01/2038 | 58,109,301 | 61,147,757 | 0.2 | % | ||||||||
3.000%, 05/01/2038 | 31,299,189 | 32,986,947 | 0.1 | % | ||||||||
4.000%, 04/01/2039 | 9,952,360 | 10,685,080 | 0.0 | % | ||||||||
4.500%, 04/01/2039 | 13,251,997 | 14,736,111 | 0.1 | % | ||||||||
5.000%, 06/01/2039 | 21,113,537 | 24,156,998 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 166,756 | 185,417 | 0.0 | % | ||||||||
4.000%, 08/01/2040 | 1,250,649 | 1,372,679 | 0.0 | % | ||||||||
4.000%, 10/01/2040 | 26,723,157 | 29,482,383 | 0.1 | % | ||||||||
3.500%, 12/01/2040 | 8,041,685 | 8,699,306 | 0.0 | % | ||||||||
4.000%, 12/01/2040 | 7,640,783 | 8,388,507 | 0.0 | % | ||||||||
3.500%, 02/01/2041 | 12,347,549 | 13,359,562 | 0.1 | % | ||||||||
4.000%, 02/01/2041 | 18,183,611 | 19,955,991 | 0.1 | % | ||||||||
4.500%, 02/01/2041 | 46,528,083 | 51,573,914 | 0.2 | % | ||||||||
3.500%, 03/01/2041 | 17,752,678 | 19,207,250 | 0.1 | % | ||||||||
4.500%, 05/01/2041 | 6,473,006 | 7,201,309 | 0.0 | % | ||||||||
4.000%, 06/01/2041 | 14,091,863 | 15,465,253 | 0.1 | % | ||||||||
4.500%, 07/01/2041 | 6,646,864 | 7,393,987 | 0.0 | % | ||||||||
5.000%, 07/01/2041 | 9,625,670 | 11,038,408 | 0.1 | % | ||||||||
3.500%, 09/01/2041 | 17,979,911 | 19,453,783 | 0.1 | % | ||||||||
4.000%, 09/01/2041 | 1,908,036 | 2,092,730 | 0.0 | % | ||||||||
4.000%, 10/01/2041 | 5,345,582 | 5,866,167 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 6,999,032 | 7,572,478 | 0.0 | % | ||||||||
3.500%, 12/01/2041 | 31,485,785 | 34,049,971 | 0.1 | % | ||||||||
4.000%, 12/01/2041 | 7,789,193 | 8,548,820 | 0.0 | % | ||||||||
4.000%, 01/01/2042 | 9,487,531 | 10,403,343 | 0.0 | % | ||||||||
4.500%, 01/01/2042 | 9,623,478 | 10,709,877 | 0.0 | % | ||||||||
4.000%, 02/01/2042 | 36,291,282 | 39,842,765 | 0.2 | % | ||||||||
3.000%, 04/01/2042 | 51,555,922 | 55,014,787 | 0.2 | % | ||||||||
3.000%, 05/01/2042 | 7,279,194 | 7,799,870 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 83,808,229 | 91,645,540 | 0.3 | % | ||||||||
3.500%, 08/01/2042 | 7,465,863 | 8,081,942 | 0.0 | % | ||||||||
4.000%, 08/01/2042 | 12,549,179 | 13,777,027 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 17,199,685 | 18,757,978 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 35,754,108 | 38,369,319 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 05/01/2043 | $ | 47,893,236 | $ | 51,351,442 | 0.2 | % | ||||||
3.500%, 05/01/2043 | 31,746,261 | 34,605,379 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 7,539,471 | 8,078,814 | 0.0 | % | ||||||||
3.000%, 07/01/2043 | 2,884,539 | 3,091,269 | 0.0 | % | ||||||||
4.000%, 07/01/2043 | 26,091,151 | 28,646,831 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 4,839,433 | 5,183,263 | 0.0 | % | ||||||||
3.500%, 09/01/2043 | 45,571,612 | 49,269,811 | 0.2 | % | ||||||||
4.500%, 09/01/2043 | 10,301,604 | 11,460,728 | 0.0 | % | ||||||||
3.000%, 10/01/2043 | 89,212,529 | 95,224,400 | 0.4 | % | ||||||||
3.500%, 10/01/2043 | 48,803,033 | 52,814,438 | 0.2 | % | ||||||||
3.000%, 11/01/2043 | 23,827,450 | 25,526,717 | 0.1 | % | ||||||||
4.000%, 11/01/2043 | 7,449,767 | 8,181,918 | 0.0 | % | ||||||||
4.000%, 01/01/2045 | 6,365,223 | 6,937,241 | 0.0 | % | ||||||||
3.500%, 02/01/2045 | 34,922,240 | 37,792,193 | 0.1 | % | ||||||||
4.000%, 02/01/2045 | 17,128,815 | 18,777,784 | 0.1 | % | ||||||||
3.500%, 04/01/2045 | 25,541,403 | 27,763,342 | 0.1 | % | ||||||||
4.000%, 09/01/2045 | 5,333,261 | 5,794,249 | 0.0 | % | ||||||||
4.000%, 10/01/2045 | 7,144,196 | 7,761,704 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 26,848,189 | 29,043,663 | 0.1 | % | ||||||||
3.500%, 12/01/2045 | 27,872,722 | 29,737,307 | 0.1 | % | ||||||||
4.500%, 02/01/2046 | 27,784,911 | 30,888,935 | 0.1 | % | ||||||||
3.000%, 05/01/2046 | 13,590,823 | 14,691,261 | 0.1 | % | ||||||||
3.500%, 05/01/2046 | 46,125,471 | 49,206,187 | 0.2 | % | ||||||||
3.000%, 07/01/2046 | 8,909,402 | 9,645,778 | 0.0 | % | ||||||||
4.500%, 08/01/2046 | 23,511,847 | 26,146,314 | 0.1 | % | ||||||||
3.500%, 09/01/2046 | 5,080,617 | 5,554,152 | 0.0 | % | ||||||||
2.500%, 10/01/2046 | 26,058,547 | 27,600,129 | 0.1 | % | ||||||||
3.000%, 11/01/2046 | 69,339,893 | 74,062,982 | 0.3 | % | ||||||||
3.500%, 11/01/2046 | 45,972,120 | 49,223,510 | 0.2 | % | ||||||||
3.000%, 12/01/2046 | 23,895,823 | 25,830,815 | 0.1 | % | ||||||||
3.500%, 05/01/2047 | 3,156,126 | 3,361,564 | 0.0 | % | ||||||||
4.000%, 08/01/2047 | 60,577,553 | 65,189,835 | 0.2 | % | ||||||||
3.500%, 10/01/2047 | 16,709,891 | 17,665,025 | 0.1 | % | ||||||||
4.000%, 10/01/2047 | 44,024,650 | 46,973,414 | 0.2 | % | ||||||||
4.000%, 11/01/2047 | 36,242,381 | 38,663,531 | 0.2 | % | ||||||||
4.500%, 11/01/2047 | 14,255,198 | 15,373,242 | 0.1 | % | ||||||||
3.500%, 12/01/2047 | 47,553,602 | 50,214,981 | 0.2 | % | ||||||||
4.000%, 12/01/2047 | 57,271,033 | 60,954,600 | 0.2 | % | ||||||||
3.500%, 01/01/2048 | 12,471,200 | 13,154,316 | 0.1 | % | ||||||||
4.000%, 04/01/2048 | 17,948,926 | 19,048,646 | 0.1 | % | ||||||||
4.000%, 07/01/2048 | 28,346,226 | 31,316,608 | 0.1 | % | ||||||||
4.000%, 09/01/2048 | 15,314,206 | 16,238,468 | 0.1 | % | ||||||||
3.000%, 11/01/2048 | 135,400,659 | 142,701,922 | 0.5 | % | ||||||||
4.500%, 11/01/2048 | 47,929,295 | 51,603,846 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
5.000%, 11/01/2048 | $ | 44,877,946 | $ | 50,894,283 | 0.2 | % | ||||||
4.500%, 01/01/2049 | 25,111,172 | 27,706,128 | 0.1 | % | ||||||||
3.500%, 06/01/2049 | 84,732,362 | 89,086,913 | 0.3 | % | ||||||||
3.500%, 01/01/2050 | 52,789,149 | 57,343,900 | 0.2 | % | ||||||||
3.000%, 05/01/2050 | 60,820,705 | 65,622,597 | 0.2 | % | ||||||||
3.500%, 05/01/2052 | 77,937,724 | 84,333,622 | 0.3 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 33,420 | 38,399 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 1,458,780 | 1,646,135 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 6,801,779 | 7,395,054 | 0.0 | % | ||||||||
4.000%, 06/20/2042 | 7,599,293 | 8,369,876 | 0.0 | % | ||||||||
3.500%, 09/20/2042 | 2,991,276 | 3,252,217 | 0.0 | % | ||||||||
3.500%, 01/20/2043 | 60,265,715 | 65,523,116 | 0.2 | % | ||||||||
4.000%, 10/20/2043 | 11,516,692 | 12,626,290 | 0.1 | % | ||||||||
4.000%, 09/20/2044 | 42,414,803 | 46,216,865 | 0.2 | % | ||||||||
4.000%, 01/20/2045 | 9,070,616 | 9,876,885 | 0.0 | % | ||||||||
3.500%, 03/20/2045 | 13,908,283 | 14,979,349 | 0.1 | % | ||||||||
3.000%, 04/20/2045 | 22,047,135 | 23,466,665 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 26,093,344 | 27,932,348 | 0.1 | % | ||||||||
4.000%, 08/20/2045 | 8,886,374 | 9,631,235 | 0.0 | % | ||||||||
4.500%, 01/20/2046 | 12,548,782 | 13,754,101 | 0.1 | % | ||||||||
4.000%, 04/20/2046 | 9,585,826 | 10,361,188 | 0.0 | % | ||||||||
4.000%, 05/20/2046 | 23,249,091 | 25,129,934 | 0.1 | % | ||||||||
3.000%, 11/20/2046 | 35,250,808 | 37,888,383 | 0.1 | % | ||||||||
5.000%, 04/20/2047 | 2,151,672 | 2,379,748 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 39,870,718 | 43,561,487 | 0.2 | % | ||||||||
4.500%, 07/20/2047 | 9,858,872 | 10,745,518 | 0.0 | % | ||||||||
4.500%, 09/20/2047 | 13,146,990 | 14,344,990 | 0.1 | % | ||||||||
3.500%, 02/20/2050 | 154,990,825 | 166,663,913 | 0.6 | % | ||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 61,602,094 | 65,553,160 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues(10) | 12,822,128 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $5,616,525,187) | 5,878,728,483 | 21.8 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 67,694,321 | 71,207,508 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(10) | 534,670,687 | 2.0 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $593,957,201) | 605,878,195 | 2.3 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $6,210,482,388) | 6,484,606,678 | 24.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | $ | 17,950,000 | $ | 18,556,845 | 0.1 | % | ||||||
Series K721, Class A2, 3.090%, 08/25/2022(4) | 25,545,000 | 26,592,927 | 0.1 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 49,705,041 | 0.2 | % | ||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 29,136,693 | 0.1 | % | ||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 28,425,000 | 29,821,571 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 69,525,000 | 75,873,321 | 0.3 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 60,430,000 | 67,328,393 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,739,000 | 92,623,034 | 0.3 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 24,033,283 | 0.1 | % | ||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 23,324,673 | 0.1 | % | ||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 21,753,037 | 0.1 | % | ||||||||
Series K063, Class A2, 3.430%, 01/25/2027(4) | 63,971,857 | 73,452,870 | 0.3 | % | ||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 59,128,295 | 0.2 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 31,065,000 | 35,486,106 | 0.1 | % | ||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 12,600,481 | 0.0 | % | ||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | 59,034,045 | 67,504,899 | 0.3 | % | ||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 10,324,685 | 0.0 | % | ||||||||
Series K069, Class A2, 3.187%, 09/25/2027(4) | 25,488,779 | 29,150,319 | 0.1 | % | ||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 25,529,000 | 29,429,864 | 0.1 | % | ||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 6,050,000 | 7,041,943 | 0.0 | % | ||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 1,350,000 | 1,562,706 | 0.0 | % | ||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 21,722,000 | 25,454,326 | 0.1 | % | ||||||||
Series K076, Class A2, 3.900%, 04/25/2028 | 18,299,000 | 21,914,193 | 0.1 | % | ||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 68,650,000 | 81,855,514 | 0.3 | % | ||||||||
Series K078, Class A2, 3.854%, 06/25/2028 | 59,788,633 | 71,295,876 | 0.3 | % | ||||||||
Series K080, Class A2, 3.926%, 07/25/2028(4) | 31,225,000 | 37,467,677 | 0.1 | % | ||||||||
Series K082, Class A2, 3.920%, 09/25/2028(4) | 56,545,000 | 67,940,706 | 0.3 | % | ||||||||
Series K083, Class A2, 4.050%, 09/25/2028(4) | 1,000,000 | 1,215,208 | 0.0 | % | ||||||||
Series K084, Class A2, 3.780%, 10/25/2028(4) | 2,700,000 | 3,212,826 | 0.0 | % | ||||||||
Series K085, Class A2, 4.060%, 10/25/2028(4) | 9,304,000 | 11,288,520 | 0.0 | % | ||||||||
Series K156, Class A3, 3.700%, 06/25/2033(4) | 11,088,000 | 13,589,869 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 9,284,592 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,045,900,250) | 1,128,950,293 | 4.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 84,873,000 | 95,501,137 | 0.4 | % | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 59,202,541 | 62,864,117 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 1,060,373,226 | 3.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,174,676,006) | 1,218,738,480 | 4.5 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $2,220,576,256) | 2,347,688,773 | 8.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 34
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
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) | $ | 68,654,950 | $ | 73,071,523 | 0.3 | % | ||||||
Other Asset Backed Securities(2)(4)(10) | 492,700,059 | 1.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $546,595,718) | 565,771,582 | 2.1 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $24,613,962,210) | 26,244,742,802 | 97.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 0.11%(5) | 1,252,507,500 | 1,252,507,500 | 4.6 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,252,507,500) | 1,252,507,500 | 4.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $25,866,469,710) | 27,497,250,302 | 101.9 | % | |||||||||
Liabilities in Excess of Other Assets | (506,173,182 | ) | (1.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 26,991,077,120 | 100.0 | % |
Notes to Summary Schedule of Investments
SOFR – Secured Overnight Financing Rate
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $4,603,139,170, which represents 17.05% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security, or group of securities contain a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(8) | Security or a portion of the security, or group of securities contain 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 35
Baird Aggregate Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 4,652,054,015 | $ | — | $ | 4,652,054,015 | ||||||||
Other Government Related Securities | — | 83,146,870 | — | 83,146,870 | ||||||||||||
Corporate Bonds | — | 11,793,639,267 | — | 11,793,639,267 | ||||||||||||
Municipal Bonds | — | 317,835,617 | — | 317,835,617 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 5,878,728,483 | — | 5,878,728,483 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 605,878,195 | — | 605,878,195 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,128,950,293 | — | 1,128,950,293 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,218,738,480 | — | 1,218,738,480 | ||||||||||||
Asset Backed Securities | — | 565,771,582 | — | 565,771,582 | ||||||||||||
Total Long-Term Investments | — | 26,244,742,802 | — | 26,244,742,802 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,252,507,500 | — | — | 1,252,507,500 | ||||||||||||
Total Short-Term Investment | 1,252,507,500 | — | — | 1,252,507,500 | ||||||||||||
Total Investments | $ | 1,252,507,500 | $ | 26,244,742,802 | $ | — | $ | 27,497,250,302 |
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 Core Plus Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $26,585,560,339 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.89% | |||
Investor Class | 1.65% | |||
Average | ||||
Effective | ||||
Duration | 5.89 years | |||
Average | ||||
Effective | ||||
Maturity | 7.65 years | |||
Annualized | ||||
Expense | ||||
Ratio(4) | ||||
Institutional Class | 0.30% | |||
Sector Weightings(1) | Investor Class | 0.55% | (5) | |
Portfolio | ||||
Turnover Rate(6) | 24% | |||
Number of | ||||
Holdings | 1,574 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 37
Baird Core Plus Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 5.80% | 8.83% | 4.88% | 4.86% | 5.96% |
Investor Class Shares | 5.68% | 8.53% | 4.60% | 4.60% | 5.69% |
Bloomberg Barclays U.S. | |||||
Universal Bond Index(2) | 5.17% | 7.88% | 4.42% | 4.12% | 5.26% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2020. |
(2) | The Bloomberg Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 38
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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: | ||||||||||||
1.875%, 03/31/2022 | $ | 220,850,000 | $ | 227,397,858 | 0.9 | % | ||||||
1.625%, 08/31/2022 | 3,950,000 | 4,074,055 | 0.0 | % | ||||||||
2.125%, 12/31/2022 | 372,290,000 | 390,424,596 | 1.5 | % | ||||||||
3.125%, 11/15/2028 | 25,000,000 | 30,225,586 | 0.1 | % | ||||||||
2.875%, 05/15/2043 | 799,450,000 | 1,044,375,250 | 3.9 | % | ||||||||
2.500%, 02/15/2045 | 631,275,000 | 778,687,573 | 2.9 | % | ||||||||
2.875%, 05/15/2049 | 156,350,000 | 211,524,448 | 0.8 | % | ||||||||
2.000%, 02/15/2050 | 4,500,000 | 5,153,555 | 0.0 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,370,772,503) | 2,691,862,921 | 10.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(1)(2)(10) | 187,131,670 | 0.7 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $179,061,715) | 187,131,670 | 0.7 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.908%, 07/23/2025 | 63,550,000 | 72,833,585 | 0.3 | % | ||||||||
Keysight Technologies, Inc., | ||||||||||||
4.600%, 04/06/2027 | 50,189,000 | 59,072,255 | 0.2 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 55,015,000 | 64,642,625 | 0.2 | % | ||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,946,000 | 58,233,006 | 0.2 | % | ||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 58,984,159 | 0.2 | % | ||||||||
Other Industrials(1)(2)(8)(9)(10) | 7,645,523,722 | 28.8 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $7,446,360,245) | 7,959,289,352 | 29.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 39
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Other Utilities(1)(2)(10) | $ | 453,258,312 | 1.7 | % | ||||||||
Total Utilities | ||||||||||||
(Cost $413,450,880) | 453,258,312 | 1.7 | % | |||||||||
Financials | ||||||||||||
JPMorgan Chase & Co., | ||||||||||||
2.083%, 04/22/2026 (SOFR + 1.850%)(3) | $ | 71,000,000 | 73,741,919 | 0.3 | % | |||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024(1)(2) | 73,328,000 | 74,978,965 | 0.3 | % | ||||||||
Nationwide Building Society, | ||||||||||||
4.000%, 09/14/2026 (1)(2) | 58,541,000 | 63,282,509 | 0.2 | % | ||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 | ||||||||||||
(3 Month LIBOR USD + 1.480%)(1)(3) | 62,335,000 | 64,716,444 | 0.3 | % | ||||||||
Other Financials(1)(2)(3)(8)(10) | 5,367,644,150 | 20.2 | % | |||||||||
Total Financials | ||||||||||||
(Cost $5,310,124,000) | 5,644,363,987 | 21.3 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $13,169,935,125) | 14,056,911,651 | 52.9 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(2)(4)(8)(10) | 312,497,176 | 1.2 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $301,990,176) | 312,497,176 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 781 | 821 | 0.0 | % | ||||||||
5.000%, 05/01/2021 | 799 | 839 | 0.0 | % | ||||||||
6.000%, 06/01/2021 | 1,155 | 1,174 | 0.0 | % | ||||||||
6.500%, 12/01/2028 | 10,445 | 11,768 | 0.0 | % | ||||||||
6.500%, 06/01/2029 | 4,188 | 4,698 | 0.0 | % | ||||||||
3.000%, 10/01/2030 | 27,134,681 | 28,848,702 | 0.1 | % | ||||||||
3.000%, 02/01/2032 | 41,367,341 | 44,111,461 | 0.2 | % | ||||||||
3.500%, 05/01/2032 | 20,305,864 | 21,729,052 | 0.1 | % | ||||||||
3.000%, 07/01/2032 | 9,316,531 | 9,932,323 | 0.0 | % | ||||||||
3.000%, 10/01/2032 | 6,817,795 | 7,268,623 | 0.0 | % | ||||||||
3.000%, 11/01/2032 | 10,856,014 | 11,574,380 | 0.1 | % | ||||||||
3.000%, 12/01/2032 | 11,365,920 | 12,114,494 | 0.1 | % | ||||||||
3.000%, 01/01/2033 | 5,091,671 | 5,428,388 | 0.0 | % | ||||||||
3.000%, 04/01/2033 | 5,396,025 | 5,753,403 | 0.0 | % | ||||||||
3.500%, 01/01/2034 | 19,930,276 | 21,318,203 | 0.1 | % | ||||||||
3.000%, 05/01/2035 | 7,419,530 | 7,886,235 | 0.0 | % | ||||||||
3.000%, 09/01/2035 | 10,671,107 | 11,296,362 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 40
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
3.000%, 10/01/2035 | $ | 14,733,951 | $ | 15,597,728 | 0.1 | % | ||||||
5.000%, 03/01/2036 | 3,842,223 | 4,409,784 | 0.0 | % | ||||||||
5.500%, 04/01/2037 | 82,564 | 94,878 | 0.0 | % | ||||||||
5.500%, 04/01/2038 | 51,761 | 59,424 | 0.0 | % | ||||||||
5.500%, 05/01/2038 | 86,507 | 99,086 | 0.0 | % | ||||||||
5.500%, 01/01/2039 | 13,629,537 | 15,619,254 | 0.1 | % | ||||||||
4.500%, 11/01/2039 | 2,230,564 | 2,479,685 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 4,150,628 | 4,613,725 | 0.0 | % | ||||||||
4.000%, 10/01/2040 | 17,893,734 | 19,628,456 | 0.1 | % | ||||||||
4.000%, 01/01/2041 | 12,424,776 | 13,623,458 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 8,706,478 | 9,423,257 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 49,586,215 | 53,682,312 | 0.2 | % | ||||||||
3.000%, 08/01/2042 | 17,236,441 | 18,468,637 | 0.1 | % | ||||||||
3.500%, 09/01/2042 | 11,170,704 | 12,093,422 | 0.0 | % | ||||||||
3.000%, 11/01/2042 | 41,906,810 | 45,325,398 | 0.2 | % | ||||||||
3.500%, 12/01/2042 | 17,787,369 | 19,251,067 | 0.1 | % | ||||||||
3.000%, 01/01/2043 | 29,869,944 | 32,020,112 | 0.1 | % | ||||||||
3.000%, 02/01/2043 | 5,793,174 | 6,209,351 | 0.0 | % | ||||||||
3.500%, 02/01/2043 | 13,232,202 | 14,467,684 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 14,065,184 | 15,077,613 | 0.1 | % | ||||||||
3.000%, 04/01/2043 | 22,452,163 | 24,167,408 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 9,636,379 | 10,328,887 | 0.0 | % | ||||||||
3.000%, 08/01/2043 | 21,992,077 | 23,562,837 | 0.1 | % | ||||||||
4.500%, 12/01/2043 | 9,594,822 | 10,726,604 | 0.0 | % | ||||||||
3.500%, 05/01/2044 | 33,201,777 | 36,303,625 | 0.1 | % | ||||||||
3.500%, 08/01/2044 | 45,662,372 | 49,215,678 | 0.2 | % | ||||||||
4.000%, 09/01/2044 | 10,259,853 | 11,166,895 | 0.0 | % | ||||||||
4.000%, 10/01/2044 | 15,833,928 | 17,363,637 | 0.1 | % | ||||||||
3.500%, 01/01/2045 | 19,360,461 | 21,041,581 | 0.1 | % | ||||||||
4.000%, 02/01/2045 | 10,997,175 | 11,923,541 | 0.0 | % | ||||||||
3.500%, 06/01/2045 | 21,847,250 | 23,888,333 | 0.1 | % | ||||||||
3.500%, 07/01/2045 | 19,471,107 | 21,055,475 | 0.1 | % | ||||||||
3.000%, 10/01/2045 | 29,000,308 | 31,065,032 | 0.1 | % | ||||||||
4.000%, 10/01/2045 | 16,101,210 | 17,392,536 | 0.1 | % | ||||||||
3.500%, 12/01/2045 | 20,539,271 | 21,906,814 | 0.1 | % | ||||||||
4.000%, 12/01/2045 | 6,695,823 | 7,244,519 | 0.0 | % | ||||||||
3.000%, 01/01/2046 | 77,205,858 | 83,913,696 | 0.3 | % | ||||||||
3.500%, 01/01/2046 | 44,094,232 | 47,949,114 | 0.2 | % | ||||||||
4.000%, 02/01/2046 | 8,855,478 | 9,547,484 | 0.0 | % | ||||||||
4.000%, 02/01/2046 | 20,247,965 | 22,208,603 | 0.1 | % | ||||||||
3.500%, 03/01/2046 | 5,730,257 | 6,266,276 | 0.0 | % | ||||||||
4.000%, 05/01/2046 | 787,190 | 849,801 | 0.0 | % | ||||||||
3.500%, 08/01/2046 | 67,811,319 | 74,072,274 | 0.3 | % | ||||||||
4.000%, 08/01/2046 | 10,780,204 | 11,780,095 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): (cont.) | ||||||||||||
3.000%, 10/01/2046 | $ | 142,725,413 | $ | 153,861,398 | 0.6 | % | ||||||
4.500%, 11/01/2046 | 62,745,004 | 69,761,774 | 0.3 | % | ||||||||
4.000%, 01/01/2047 | 38,372,977 | 42,435,244 | 0.2 | % | ||||||||
3.000%, 02/01/2047 | 33,559,897 | 35,880,462 | 0.1 | % | ||||||||
3.000%, 05/01/2047 | 67,648,166 | 72,325,678 | 0.3 | % | ||||||||
3.500%, 08/01/2047 | 21,250,330 | 23,091,038 | 0.1 | % | ||||||||
4.000%, 06/01/2048 | 58,916,896 | 65,252,563 | 0.2 | % | ||||||||
4.000%, 08/01/2048 | 30,506,153 | 32,921,723 | 0.1 | % | ||||||||
3.000%, 12/01/2049 | 170,875,962 | 180,799,083 | 0.7 | % | ||||||||
4.000%, 05/01/2050(8) | 59,923,737 | 65,621,704 | 0.3 | % | ||||||||
3.000%, 06/01/2050 | 45,705,687 | 48,846,503 | 0.2 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 129 | 135 | 0.0 | % | ||||||||
2.500%, 12/01/2027 | 9,913,433 | 10,402,614 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 26,815 | 29,233 | 0.0 | % | ||||||||
6.500%, 09/01/2028 | 7,642 | 8,559 | 0.0 | % | ||||||||
6.500%, 02/01/2029 | 17,460 | 19,689 | 0.0 | % | ||||||||
3.000%, 07/01/2029 | 14,822,291 | 15,602,300 | 0.1 | % | ||||||||
4.500%, 07/01/2030 | 3,062,633 | 3,330,601 | 0.0 | % | ||||||||
3.000%, 08/01/2030 | 21,185,720 | 22,518,214 | 0.1 | % | ||||||||
3.000%, 01/01/2031 | 58,003,085 | 61,645,406 | 0.2 | % | ||||||||
4.000%, 11/01/2031 | 14,193,864 | 15,283,570 | 0.1 | % | ||||||||
3.500%, 01/01/2032 | 34,902,547 | 37,335,114 | 0.1 | % | ||||||||
5.500%, 01/01/2032 | 6,804 | 7,596 | 0.0 | % | ||||||||
2.500%, 07/01/2032 | 22,265,803 | 23,669,973 | 0.1 | % | ||||||||
3.000%, 11/01/2032 | 6,888,716 | 7,292,135 | 0.0 | % | ||||||||
2.500%, 12/01/2032 | 82,813,145 | 86,903,273 | 0.3 | % | ||||||||
3.000%, 04/01/2033 | 11,635,655 | 12,363,202 | 0.0 | % | ||||||||
3.000%, 05/01/2033 | 11,646,803 | 12,380,757 | 0.0 | % | ||||||||
3.500%, 09/01/2033 | 55,081,452 | 59,436,903 | 0.2 | % | ||||||||
5.000%, 09/01/2033 | 9,567,157 | 10,973,691 | 0.0 | % | ||||||||
4.500%, 10/01/2033 | 18,163,890 | 19,861,266 | 0.1 | % | ||||||||
3.000%, 11/01/2033 | 87,788,626 | 94,305,548 | 0.4 | % | ||||||||
4.000%, 01/01/2034 | 10,127,443 | 10,904,257 | 0.0 | % | ||||||||
5.500%, 04/01/2034 | 552,709 | 633,705 | 0.0 | % | ||||||||
4.000%, 09/01/2034 | 14,736,536 | 15,864,278 | 0.1 | % | ||||||||
5.500%, 09/01/2034 | 24,925 | 28,582 | 0.0 | % | ||||||||
5.000%, 02/01/2035 | 23,969,297 | 27,497,391 | 0.1 | % | ||||||||
5.500%, 02/01/2035 | 21,919 | 25,148 | 0.0 | % | ||||||||
5.000%, 04/01/2035 | 988,483 | 1,134,511 | 0.0 | % | ||||||||
5.000%, 07/01/2035 | 2,843,687 | 3,262,459 | 0.0 | % | ||||||||
5.000%, 02/01/2036 | 1,757,174 | 2,017,117 | 0.0 | % | ||||||||
5.000%, 03/01/2036 | 810,414 | 930,655 | 0.0 | % | ||||||||
5.500%, 04/01/2036 | 2,597,969 | 2,984,933 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
4.000%, 05/01/2037 | $ | 51,910,504 | $ | 55,829,927 | 0.2 | % | ||||||
3.500%, 08/01/2037 | 32,245,534 | 34,082,169 | 0.1 | % | ||||||||
2.500%, 04/01/2038 | 58,493,368 | 61,551,906 | 0.2 | % | ||||||||
6.000%, 05/01/2038 | 4,143,515 | 4,836,934 | 0.0 | % | ||||||||
4.500%, 04/01/2039 | 13,845,925 | 15,396,553 | 0.1 | % | ||||||||
4.000%, 06/01/2039 | 9,481,652 | 10,186,282 | 0.0 | % | ||||||||
5.000%, 06/01/2039 | 12,384,160 | 14,145,513 | 0.1 | % | ||||||||
4.500%, 01/01/2040 | 9,253,456 | 10,236,336 | 0.0 | % | ||||||||
5.000%, 06/01/2040 | 10,371,037 | 11,833,299 | 0.0 | % | ||||||||
4.000%, 08/01/2040 | 828,686 | 909,544 | 0.0 | % | ||||||||
4.500%, 08/01/2040 | 13,453,185 | 14,972,425 | 0.1 | % | ||||||||
4.000%, 10/01/2040 | 1,471,819 | 1,614,918 | 0.0 | % | ||||||||
4.000%, 11/01/2040 | 15,612,167 | 17,139,350 | 0.1 | % | ||||||||
4.000%, 12/01/2040 | 3,389,396 | 3,789,864 | 0.0 | % | ||||||||
3.500%, 01/01/2041 | 1,689,352 | 1,827,984 | 0.0 | % | ||||||||
4.000%, 01/01/2041 | 3,270,662 | 3,589,841 | 0.0 | % | ||||||||
3.500%, 02/01/2041 | 1,912,564 | 2,069,319 | 0.0 | % | ||||||||
4.000%, 02/01/2041 | 321,572 | 352,916 | 0.0 | % | ||||||||
4.500%, 02/01/2041 | 42,478,812 | 47,085,511 | 0.2 | % | ||||||||
3.500%, 03/01/2041 | 12,952,910 | 14,014,212 | 0.1 | % | ||||||||
4.000%, 03/01/2041 | 5,890,189 | 6,468,432 | 0.0 | % | ||||||||
4.500%, 07/01/2041 | 4,238,514 | 4,714,933 | 0.0 | % | ||||||||
3.500%, 09/01/2041 | 26,800,428 | 28,997,345 | 0.1 | % | ||||||||
4.000%, 09/01/2041 | 2,493,622 | 2,735,000 | 0.0 | % | ||||||||
3.500%, 11/01/2041 | 13,992,910 | 15,139,381 | 0.1 | % | ||||||||
3.500%, 12/01/2041 | 2,564,373 | 2,773,197 | 0.0 | % | ||||||||
4.000%, 12/01/2041 | 11,678,903 | 12,817,866 | 0.1 | % | ||||||||
4.000%, 01/01/2042 | 21,417,366 | 23,484,742 | 0.1 | % | ||||||||
4.500%, 01/01/2042 | 8,785,328 | 9,777,109 | 0.0 | % | ||||||||
4.000%, 02/01/2042 | 19,316,464 | 21,206,782 | 0.1 | % | ||||||||
3.000%, 04/01/2042 | 52,497,798 | 56,019,853 | 0.2 | % | ||||||||
3.000%, 05/01/2042 | 3,108,483 | 3,330,831 | 0.0 | % | ||||||||
3.500%, 05/01/2042 | 14,666,526 | 15,853,263 | 0.1 | % | ||||||||
3.500%, 06/01/2042 | 5,572,359 | 6,029,345 | 0.0 | % | ||||||||
3.500%, 07/01/2042 | 97,813,369 | 106,960,368 | 0.4 | % | ||||||||
3.500%, 08/01/2042 | 9,407,200 | 10,183,477 | 0.0 | % | ||||||||
3.500%, 09/01/2042 | 15,020,926 | 16,248,382 | 0.1 | % | ||||||||
3.000%, 10/01/2042 | 15,910,741 | 17,352,256 | 0.1 | % | ||||||||
3.000%, 03/01/2043 | 5,963,136 | 6,389,328 | 0.0 | % | ||||||||
3.000%, 04/01/2043 | 1,970,208 | 2,111,404 | 0.0 | % | ||||||||
3.000%, 05/01/2043 | 29,830,798 | 32,032,211 | 0.1 | % | ||||||||
3.500%, 05/01/2043 | 15,118,362 | 16,532,920 | 0.1 | % | ||||||||
3.000%, 06/01/2043 | 25,108,072 | 26,904,201 | 0.1 | % | ||||||||
3.500%, 06/01/2043 | 7,954,608 | 8,835,125 | 0.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 07/01/2043 | $ | 19,745,602 | $ | 21,221,186 | 0.1 | % | ||||||
4.000%, 07/01/2043 | 26,339,443 | 28,919,444 | 0.1 | % | ||||||||
3.000%, 08/01/2043 | 7,259,150 | 7,774,895 | 0.0 | % | ||||||||
3.500%, 09/01/2043 | 32,445,895 | 35,078,924 | 0.1 | % | ||||||||
4.500%, 09/01/2043 | 13,487,752 | 15,005,377 | 0.1 | % | ||||||||
4.000%, 01/01/2045 | 10,860,235 | 11,836,203 | 0.0 | % | ||||||||
3.500%, 02/01/2045 | 43,340,676 | 46,902,466 | 0.2 | % | ||||||||
4.000%, 02/01/2045 | 39,888,088 | 43,648,438 | 0.2 | % | ||||||||
4.000%, 03/01/2045 | 9,124,092 | 9,901,570 | 0.0 | % | ||||||||
4.000%, 11/01/2045 | 37,012,741 | 40,039,407 | 0.2 | % | ||||||||
3.500%, 12/01/2045 | 31,858,126 | 33,989,321 | 0.1 | % | ||||||||
4.000%, 12/01/2045 | 67,260,784 | 73,426,817 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 25,536,201 | 28,389,007 | 0.1 | % | ||||||||
4.500%, 08/01/2046 | 25,836,164 | 28,731,067 | 0.1 | % | ||||||||
3.000%, 10/01/2046 | 25,565,689 | 27,343,121 | 0.1 | % | ||||||||
3.500%, 11/01/2046 | 28,217,177 | 30,212,844 | 0.1 | % | ||||||||
4.000%, 02/01/2047 | 17,596,860 | 18,870,538 | 0.1 | % | ||||||||
4.000%, 03/01/2047 | 59,190,531 | 64,541,832 | 0.2 | % | ||||||||
4.000%, 10/01/2047 | 22,694,511 | 24,214,586 | 0.1 | % | ||||||||
4.000%, 11/01/2047 | 13,497,201 | 14,398,873 | 0.1 | % | ||||||||
3.500%, 12/01/2047 | 43,773,014 | 46,222,809 | 0.2 | % | ||||||||
4.000%, 12/01/2047 | 68,458,994 | 72,862,151 | 0.3 | % | ||||||||
3.000%, 01/01/2048 | 27,003,426 | 28,858,931 | 0.1 | % | ||||||||
3.500%, 05/01/2048 | 84,935,396 | 91,254,993 | 0.3 | % | ||||||||
5.000%, 11/01/2048 | 33,427,649 | 37,908,959 | 0.1 | % | ||||||||
3.500%, 06/01/2049 | 94,334,568 | 99,182,593 | 0.4 | % | ||||||||
4.000%, 09/01/2049 | 9,903,212 | 10,489,013 | 0.0 | % | ||||||||
3.500%, 01/01/2050 | 51,473,560 | 55,914,800 | 0.2 | % | ||||||||
3.000%, 05/01/2050 | 140,309,152 | 151,386,786 | 0.6 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 13,177 | 14,820 | 0.0 | % | ||||||||
6.500%, 01/20/2029 | 7,190 | 8,329 | 0.0 | % | ||||||||
6.000%, 11/20/2033 | 9,985 | 11,472 | 0.0 | % | ||||||||
5.000%, 07/20/2040 | 501,611 | 566,034 | 0.0 | % | ||||||||
4.000%, 01/20/2041 | 7,965,907 | 8,781,978 | 0.0 | % | ||||||||
4.000%, 08/20/2041 | 4,602,270 | 5,072,993 | 0.0 | % | ||||||||
3.500%, 10/20/2041 | 8,461,976 | 9,200,060 | 0.0 | % | ||||||||
4.000%, 12/20/2041 | 6,098,771 | 6,724,045 | 0.0 | % | ||||||||
4.000%, 02/20/2042 | 11,809,377 | 13,016,433 | 0.1 | % | ||||||||
4.000%, 06/20/2042 | 9,908,597 | 10,913,347 | 0.0 | % | ||||||||
3.500%, 09/20/2042 | 6,698,297 | 7,282,616 | 0.0 | % | ||||||||
4.000%, 09/20/2044 | 33,782,974 | 36,811,279 | 0.1 | % | ||||||||
3.000%, 04/20/2045 | 12,895,064 | 13,725,327 | 0.1 | % | ||||||||
3.500%, 04/20/2045 | 17,300,381 | 18,519,675 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 44
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Government National Mortgage | ||||||||||||
Association (GNMA): (cont.) | ||||||||||||
4.000%, 05/20/2045 | $ | 14,014,178 | $ | 15,196,814 | 0.1 | % | ||||||
3.500%, 06/20/2045 | 16,822,514 | 18,012,573 | 0.1 | % | ||||||||
3.500%, 10/20/2045 | 56,756,454 | 60,903,943 | 0.2 | % | ||||||||
4.500%, 01/20/2046 | 13,257,187 | 14,530,549 | 0.1 | % | ||||||||
4.000%, 04/20/2046 | 19,431,271 | 21,002,995 | 0.1 | % | ||||||||
4.000%, 05/20/2046 | 7,134,879 | 7,712,089 | 0.0 | % | ||||||||
4.500%, 06/20/2047 | 22,511,906 | 24,595,797 | 0.1 | % | ||||||||
4.500%, 07/20/2047 | 15,519,995 | 16,915,767 | 0.1 | % | ||||||||
4.500%, 09/20/2047 | 79,500,170 | 86,744,508 | 0.3 | % | ||||||||
3.500%, 02/20/2048 | 39,825,162 | 42,585,145 | 0.2 | % | ||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 58,851,381 | 62,626,020 | 0.2 | % | ||||||||
Other U.S. Government Agency Issues(10) | 42,659 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $4,672,794,102) | 4,912,322,759 | 18.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057(2) | 56,147,073 | 59,126,035 | 0.2 | % | ||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059(2)(4) | 87,456,550 | 91,995,353 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(2)(3)(4)(6)(7)(10) | 787,183,186 | 3.0 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $927,600,278) | 938,304,574 | 3.5 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $5,600,394,380) | 5,850,627,333 | 22.0 | % | |||||||||
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 | 68,494,307 | 0.3 | % | ||||||||
Series K725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 16,105,662 | 0.1 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 73,063,198 | 0.3 | % | ||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 48,968,000 | 53,529,345 | 0.2 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 59,391,000 | 66,170,785 | 0.2 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,951,000 | 92,860,360 | 0.3 | % | ||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 50,441,948 | 0.2 | % | ||||||||
Series K061, Class A2, 3.347%, 11/25/2026(4) | 57,140,000 | 65,187,186 | 0.2 | % | ||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 1,000,000 | 1,137,172 | 0.0 | % | ||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 19,028,732 | 0.1 | % | ||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 12,000,000 | 13,967,491 | 0.0 | % | ||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 36,495,000 | 42,765,658 | 0.2 | % | ||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 46,199,000 | 55,085,840 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 45
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: (cont.) | ||||||||||||
Series K079, Class A2, 3.926%, 06/25/2028 | $ | 63,251,000 | $ | 76,005,526 | 0.3 | % | ||||||
Series K080, Class A2, 3.926%, 07/25/2028(4) | 56,820,000 | 68,179,773 | 0.3 | % | ||||||||
Series K158, Class A3, 3.900%, 10/25/2033(4) | 18,777,000 | 23,706,736 | 0.1 | % | ||||||||
Other U.S. Government Agency Issues(4)(10) | 33,348,746 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $749,495,459) | 819,078,465 | 3.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 63,906,751 | 71,814,662 | 0.3 | % | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2017-C42, Class A4, 3.589%, 12/16/2050 | 52,370,521 | 58,901,727 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(4)(10) | 1,184,351,670 | 4.5 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,265,741,893) | 1,315,068,059 | 5.0 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $2,015,237,352) | 2,134,146,524 | 8.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2020-MH1, Class A1A, 2.184%, 02/25/2060(2)(4) | 59,454,657 | 60,208,798 | 0.2 | % | ||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031(2) | 62,085,050 | 66,078,981 | 0.2 | % | ||||||||
Other Asset Backed Securities(2)(4)(10) | 255,561,112 | 1.0 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $368,465,746) | 381,848,891 | 1.4 | % | |||||||||
Common Stock | ||||||||||||
Other Common Stock(1)(10) | 90,626 | 0.0 | % | |||||||||
Total Common Stock | ||||||||||||
(Cost $3,790,590) | 90,626 | 0.0 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $24,009,647,587) | 25,615,116,792 | 96.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 46
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations | ||||||||||||
Fund, Class U, 0.11%(5) | 1,145,553,605 | $ | 1,145,553,605 | 4.3 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,145,553,605) | 1,145,553,605 | 4.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $25,155,201,192) | 26,760,670,397 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (175,110,058 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 26,585,560,339 | 100.0 | % |
Notes to Summary Schedule of Investments
LIBOR – London Inter-bank Offered Rate
SOFR – Secured Overnight Financing Rate
(1) | Foreign security, or group of securities contain a foreign security. |
(2) | Security, or group of securities contain a security, issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $5,310,230,525, which represents 19.97% of total net assets. |
(3) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security, or group of securities contain a variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security, or group of securities contain a security, that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(8) | Security or a portion of the security, or group of securities contain 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 June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 47
Baird Core Plus Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,691,862,921 | $ | — | $ | 2,691,862,921 | ||||||||
Other Government Related Securities | — | 187,131,670 | — | 187,131,670 | ||||||||||||
Corporate Bonds | — | 14,056,911,651 | — | 14,056,911,651 | ||||||||||||
Municipal Bonds | — | 312,497,176 | — | 312,497,176 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 4,912,322,759 | — | 4,912,322,759 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 938,304,574 | — | 938,304,574 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 819,078,465 | — | 819,078,465 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,315,068,059 | — | 1,315,068,059 | ||||||||||||
Asset Backed Securities | — | 381,848,891 | — | 381,848,891 | ||||||||||||
Common Stock | 90,626 | — | — | 90,626 | ||||||||||||
Total Long-Term Investments | 90,626 | 25,615,026,166 | — | 25,615,116,792 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,145,553,605 | — | — | 1,145,553,605 | ||||||||||||
Total Short-Term Investment | 1,145,553,605 | — | — | 1,145,553,605 | ||||||||||||
Total Investments | $ | 1,145,644,231 | $ | 25,615,026,166 | $ | — | $ | 26,760,670,397 |
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 48
Baird Short-Term Municipal Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $1,165,259,376 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.14% | |||
Investor Class | 0.90% | |||
Average | ||||
Effective | ||||
Duration | 2.32 years | |||
Average | ||||
Effective | ||||
Maturity | 2.66 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(5) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 19% | |||
Number of | ||||
Holdings | 1,787 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 49
Baird Short-Term Municipal Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Three | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Inception(1) |
Institutional Class Shares | 1.61% | 2.94% | 2.69% | 2.44% |
Investor Class Shares | 1.49% | 2.69% | 2.44% | 2.18% |
Bloomberg Barclays Short | ||||
(1-5 Year) Municipal Bond Index(2) | 1.77% | 2.96% | 2.34% | 1.91% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2020. |
(2) | The Bloomberg Barclays Short (1-5 Year) Municipal Bond Index is an unmanaged, market value weighted index that measures the performance of investment-grade, tax-exempt, and fixed-rated municipal securities with time to maturity of more than one year and less than five years. Securities must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 50
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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)(6)(8) | $ | 27,771,936 | 2.4 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $27,460,290) | 27,771,936 | 2.4 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
3.750%, 12/01/2042 (Callable 06/01/2028) | $ | 9,220,000 | 10,178,235 | 0.9 | % | |||||||
Borough of Matanuska-Susitna AK, | ||||||||||||
5.250%, 09/01/2027 (Callable 09/01/2025) | 5,590,000 | 6,617,386 | 0.5 | % | ||||||||
Other Alaska(8) | 6,848,002 | 0.6 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $23,312,592) | 23,643,623 | 2.0 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2020 (Insured by SD CRED PROG) | 160,000 | 160,000 | 0.0 | % | ||||||||
5.000%, 11/01/2020 | 165,000 | 167,493 | 0.0 | % | ||||||||
3.375%, 07/01/2021(3) | 185,000 | 186,003 | 0.0 | % | ||||||||
4.000%, 07/01/2021 (Insured by SD CRED PROG) | 165,000 | 169,650 | 0.0 | % | ||||||||
5.000%, 11/01/2021 | 225,000 | 237,602 | 0.0 | % | ||||||||
2.500%, 05/01/2022 (Insured by AGM)(3) | 8,655,778 | 8,736,883 | 0.7 | % | ||||||||
4.000%, 05/01/2022 | 300,000 | 302,202 | 0.0 | % | ||||||||
3.000%, 07/01/2022(3) | 100,000 | 100,059 | 0.0 | % | ||||||||
5.000%, 11/01/2022 | 400,000 | 436,600 | 0.1 | % | ||||||||
5.000%, 02/01/2023 | 1,000,000 | 1,107,790 | 0.1 | % | ||||||||
4.000%, 08/01/2023(3) | 705,000 | 713,544 | 0.1 | % | ||||||||
5.000%, 11/01/2023 | 250,000 | 281,607 | 0.0 | % | ||||||||
5.000%, 11/01/2024 | 660,000 | 763,726 | 0.1 | % | ||||||||
5.000%, 05/01/2025 | 405,000 | 426,299 | 0.1 | % | ||||||||
4.625%, 08/01/2028(3) | 375,000 | 390,510 | 0.0 | % | ||||||||
Other Arizona(1)(2)(3)(8) | 10,020,720 | 0.9 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $23,992,184) | 24,200,688 | 2.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 51
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Arkansas | ||||||||||||
Other Arkansas(6)(8) | $ | 19,800,528 | 1.7 | % | ||||||||
Total Arkansas | ||||||||||||
(Cost $19,172,936) | 19,800,528 | 1.7 | % | |||||||||
California | ||||||||||||
Western Placer Unified School District: | ||||||||||||
2.000%, 06/01/2025 (Callable 06/01/2023) | $ | 4,925,000 | 5,032,424 | 0.5 | % | |||||||
Other California(1)(2)(5)(7)(8) | 31,714,336 | 2.7 | % | |||||||||
Total California | ||||||||||||
(Cost $36,213,863) | 36,746,760 | 3.2 | % | |||||||||
Colorado | ||||||||||||
City & County of Denver CO, | ||||||||||||
5.000%, 11/15/2031 | ||||||||||||
(Mandatory Tender Date 11/15/2022)(1) | 3,275,000 | 3,592,446 | 0.3 | % | ||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | 3,000,000 | 2,967,840 | 0.3 | % | ||||||||
5.000%, 12/01/2023 (Callable 12/01/2022) | 1,000,000 | 1,054,820 | 0.1 | % | ||||||||
5.000%, 05/15/2025 (Callable 05/15/2023) | 320,000 | 324,246 | 0.0 | % | ||||||||
5.000%, 12/01/2025 (Callable 12/01/2022) | 1,600,000 | 1,683,104 | 0.1 | % | ||||||||
4.000%, 12/01/2026 (Pre-refunded to 06/01/2022) | 1,535,000 | 1,642,389 | 0.1 | % | ||||||||
5.000%, 12/01/2027 (Callable 12/01/2022) | 300,000 | 314,436 | 0.0 | % | ||||||||
5.000%, 11/15/2036 | ||||||||||||
(Mandatory Tender Date 11/15/2023)(1) | 145,000 | 166,222 | 0.0 | % | ||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 1,755,000 | 1,898,489 | 0.2 | % | ||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 180,000 | 201,145 | 0.0 | % | ||||||||
2.800%, 05/15/2042 (Callable 11/15/2022) | ||||||||||||
(Mandatory Tender Date 05/15/2023)(1) | 1,750,000 | 1,830,780 | 0.2 | % | ||||||||
5.625%, 06/01/2043 (Pre-refunded to 06/01/2023) | 1,080,000 | 1,246,039 | 0.1 | % | ||||||||
5.000%, 11/15/2048 | ||||||||||||
(Mandatory Tender Date 11/20/2025)(1) | 185,000 | 224,747 | 0.0 | % | ||||||||
5.000%, 08/01/2049 (Callable 02/01/2025) | ||||||||||||
(Mandatory Tender Date 08/01/2025)(1) | 5,500,000 | 6,339,355 | 0.6 | % | ||||||||
Other Colorado(1)(2)(8) | 15,438,576 | 1.3 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $38,006,739) | 38,924,634 | 3.3 | % | |||||||||
Connecticut | ||||||||||||
Other Connecticut(1)(6)(8) | 22,281,181 | 1.9 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $21,823,819) | 22,281,181 | 1.9 | % | |||||||||
Delaware | ||||||||||||
Other Delaware(8) | 611,661 | 0.1 | % | |||||||||
Total Delaware | ||||||||||||
(Cost $584,923) | 611,661 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 52
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
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 | $ | 3,876,410 | 0.3 | % | ||||||
Other District of Columbia(1)(8) | 4,098,831 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $7,784,800) | 7,975,241 | 0.7 | % | |||||||||
Florida | ||||||||||||
Other Florida(1)(3)(8) | 27,467,841 | 2.4 | % | |||||||||
Total Florida | ||||||||||||
(Cost $27,004,929) | 27,467,841 | 2.4 | % | |||||||||
Georgia | ||||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2022 | 195,000 | 206,770 | 0.0 | % | ||||||||
5.000%, 09/01/2026 (Callable 06/01/2026) | 500,000 | 606,485 | 0.0 | % | ||||||||
0.865%, 04/01/2048 (1 Month LIBOR | ||||||||||||
USD + 0.750%) (Callable 06/01/2023) | ||||||||||||
(Mandatory Tender Date 09/01/2023)(2) | 5,140,000 | 5,096,105 | 0.4 | % | ||||||||
0.945%, 08/01/2048 (1 Month LIBOR | ||||||||||||
USD + 0.830%) (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(2) | 6,600,000 | 6,552,744 | 0.6 | % | ||||||||
4.000%, 08/01/2048 (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(1) | 995,000 | 1,088,868 | 0.1 | % | ||||||||
4.000%, 08/01/2049 (Callable 09/01/2024) | ||||||||||||
(Mandatory Tender Date 12/02/2024)(1) | 3,735,000 | 4,214,910 | 0.4 | % | ||||||||
Other Georgia(1)(2)(8) | 19,938,374 | 1.7 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $37,303,455) | 37,704,256 | 3.2 | % | |||||||||
Idaho | ||||||||||||
Other Idaho(1)(8) | 2,593,091 | 0.2 | % | |||||||||
Total Idaho | ||||||||||||
(Cost $2,573,490) | 2,593,091 | 0.2 | % | |||||||||
Illinois | ||||||||||||
Illinois Finance Authority, | ||||||||||||
4.000%, 11/01/2030 | 2,995,000 | 3,421,758 | 0.3 | % | ||||||||
Other Illinois(2)(7)(8) | 68,121,077 | 5.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $69,987,541) | 71,542,835 | 6.1 | % | |||||||||
Indiana | ||||||||||||
Other Indiana(1)(2)(8) | 29,730,964 | 2.6 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $29,295,326) | 29,730,964 | 2.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Iowa | ||||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | $ | 4,000,000 | $ | 4,046,120 | 0.3 | % | ||||||
Other Iowa(1)(5)(8) | 12,394,355 | 1.1 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $16,237,894) | 16,440,475 | 1.4 | % | |||||||||
Kansas | ||||||||||||
Kansas Independent College Finance Authority, | ||||||||||||
5.000%, 05/01/2021 | 3,900,000 | 3,971,331 | 0.3 | % | ||||||||
Other Kansas(8) | 7,023,341 | 0.6 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $10,876,104) | 10,994,672 | 0.9 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024) | ||||||||||||
(Mandatory Tender Date 01/01/2025)(1) | 2,825,000 | 3,111,568 | 0.3 | % | ||||||||
1.235%, 12/01/2049 (1 Month LIBOR | ||||||||||||
USD + 1.120%) (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(2) | 3,850,000 | 3,777,312 | 0.3 | % | ||||||||
4.000%, 12/01/2049 (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(1) | 6,180,000 | 6,940,140 | 0.6 | % | ||||||||
4.000%, 12/01/2050 (Callable 03/01/2026) | ||||||||||||
(Mandatory Tender Date 06/01/2026)(1) | 1,620,000 | 1,829,142 | 0.2 | % | ||||||||
Other Kentucky(1)(8) | 9,588,370 | 0.8 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $24,029,063) | 25,246,532 | 2.2 | % | |||||||||
Louisiana | ||||||||||||
Other Louisiana(1)(8) | 18,316,192 | 1.6 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $17,841,299) | 18,316,192 | 1.6 | % | |||||||||
Maine | ||||||||||||
Other Maine(8) | 7,485,359 | 0.6 | % | |||||||||
Total Maine | ||||||||||||
(Cost $7,273,636) | 7,485,359 | 0.6 | % | |||||||||
Maryland | ||||||||||||
Other Maryland(8) | 4,904,417 | 0.4 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $4,752,264) | 4,904,417 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Transportation Trust, | ||||||||||||
5.000%, 01/01/2039 | ||||||||||||
(Mandatory Tender Date 01/01/2023)(1) | 3,035,000 | 3,362,052 | 0.3 | % | ||||||||
Other Massachusetts(1)(2)(3)(8) | 7,109,842 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $10,231,403) | 10,471,894 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 54
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority, | ||||||||||||
3.500%, 06/01/2047 (Callable 06/01/2026) | $ | 4,080,000 | $ | 4,337,325 | 0.4 | % | ||||||
Other Michigan(1)(2)(8) | 27,753,919 | 2.4 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $31,428,700) | 32,091,244 | 2.8 | % | |||||||||
Minnesota | ||||||||||||
Minnesota Housing Finance Agency, | ||||||||||||
3.500%, 07/01/2046 | ||||||||||||
(Callable 07/01/2025)(Insured by GNMA) | 3,835,000 | 4,069,510 | 0.3 | % | ||||||||
Other Minnesota(1)(2)(5)(8) | 17,438,057 | 1.5 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $21,201,200) | 21,507,567 | 1.8 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(1)(2)(8) | 5,838,256 | 0.5 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $5,768,936) | 5,838,256 | 0.5 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(1)(8) | 13,541,661 | 1.2 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $13,564,836) | 13,541,661 | 1.2 | % | |||||||||
Montana | ||||||||||||
Other Montana(8) | 3,205,478 | 0.3 | % | |||||||||
Total Montana | ||||||||||||
(Cost $3,099,675) | 3,205,478 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska(1)(8) | 5,174,802 | 0.4 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $5,007,172) | 5,174,802 | 0.4 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(8) | 5,400,023 | 0.5 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $5,270,347) | 5,400,023 | 0.5 | % | |||||||||
New Jersey | ||||||||||||
County of Hudson NJ, | ||||||||||||
7.000%, 12/01/2021 (Insured by NATL) | 5,280,000 | 5,690,890 | 0.5 | % | ||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
1.500%, 09/01/2022 | ||||||||||||
(Mandatory Tender Date 09/01/2021)(1) | 4,000,000 | 4,037,400 | 0.3 | % | ||||||||
Other New Jersey(1)(3)(8) | 30,916,350 | 2.7 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $40,375,019) | 40,644,640 | 3.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 55
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New Mexico | ||||||||||||
Other New Mexico(1)(8) | $ | 6,431,526 | 0.6 | % | ||||||||
Total New Mexico | ||||||||||||
(Cost $6,246,098) | 6,431,526 | 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 | 5,627,150 | 0.5 | % | |||||||
Long Island Power Authority, | ||||||||||||
0.870%, 05/01/2033 (1 Month LIBOR | ||||||||||||
USD + 0.750%) (Callable 10/01/2022) | ||||||||||||
(Mandatory Tender Date 10/01/2023)(2) | 5,360,000 | 5,335,076 | 0.5 | % | ||||||||
Metropolitan Transportation Authority: | ||||||||||||
4.000%, 07/01/2020 | 400,000 | 400,000 | 0.0 | % | ||||||||
5.000%, 09/01/2021 | 4,515,000 | 4,640,788 | 0.4 | % | ||||||||
5.000%, 11/15/2021 | 1,075,000 | 1,114,571 | 0.1 | % | ||||||||
4.000%, 02/01/2022 | 1,565,000 | 1,603,937 | 0.1 | % | ||||||||
5.000%, 03/01/2022 | 445,000 | 469,056 | 0.0 | % | ||||||||
5.000%, 05/15/2022 | 525,000 | 548,210 | 0.1 | % | ||||||||
5.000%, 09/01/2022 | 3,250,000 | 3,415,100 | 0.3 | % | ||||||||
0.798%, 11/01/2032 (1 Month LIBOR | ||||||||||||
USD + 0.680%) (Mandatory Tender | ||||||||||||
Date 04/06/2021)(Insured by AGM)(2) | 145,000 | 143,414 | 0.0 | % | ||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,750,000 | 5,793,528 | 0.5 | % | ||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 02/01/2022 | 3,260,000 | 3,322,331 | 0.3 | % | ||||||||
Triborough Bridge & Tunnel Authority, | ||||||||||||
0.815%, 01/01/2032 (1 Month LIBOR | ||||||||||||
USD + 0.700%) (Mandatory Tender | �� | |||||||||||
Date 02/01/2021)(2) | 7,985,000 | 7,955,775 | 0.7 | % | ||||||||
Other New York(1)(2)(3)(8) | 19,195,792 | 1.6 | % | |||||||||
Total New York | ||||||||||||
(Cost $59,008,866) | 59,564,728 | 5.1 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 3,200,000 | 3,584,576 | 0.3 | % | ||||||||
Other North Carolina(1)(8) | 8,487,018 | 0.7 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $11,829,742) | 12,071,594 | 1.0 | % | |||||||||
North Dakota | ||||||||||||
City of Watford City ND, | ||||||||||||
3.000%, 12/01/2020 (Insured by AGM) | 3,380,000 | 3,410,352 | 0.3 | % | ||||||||
Other North Dakota(8) | 24,424,906 | 2.1 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $27,358,408) | 27,835,258 | 2.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 56
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Ohio | ||||||||||||
Port of Greater Cincinnati Development Authority, | ||||||||||||
3.000%, 05/01/2023 (Callable 05/01/2022) | $ | 5,805,000 | $ | 5,794,435 | 0.5 | % | ||||||
State of Ohio, | ||||||||||||
5.000%, 01/15/2050 | ||||||||||||
(Mandatory Tender Date 01/15/2025)(1) | 4,485,000 | 5,250,590 | 0.5 | % | ||||||||
Other Ohio(1)(2)(6)(7)(8) | 30,786,198 | 2.6 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $41,610,421) | 41,831,223 | 3.6 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(1)(2)(8) | 11,558,119 | 1.0 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $11,438,426) | 11,558,119 | 1.0 | % | |||||||||
Oregon | ||||||||||||
State of Oregon Housing & Community | ||||||||||||
Services Department, | ||||||||||||
3.500%, 07/01/2032 (Callable 07/01/2026) | 3,325,000 | 3,604,633 | 0.3 | % | ||||||||
Other Oregon(1)(3)(8) | 5,362,732 | 0.5 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $8,708,441) | 8,967,365 | 0.8 | % | |||||||||
Pennsylvania | ||||||||||||
Lehigh County Industrial Development Authority, | ||||||||||||
1.800%, 09/01/2029 | ||||||||||||
(Mandatory Tender Date 09/01/2022)(1) | 5,030,000 | 5,084,877 | 0.4 | % | ||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 5,905,000 | 6,409,346 | 0.5 | % | ||||||||
York City School District, | ||||||||||||
4.000%, 05/01/2025 (Insured by BAM) | 3,070,000 | 3,542,903 | 0.3 | % | ||||||||
Other Pennsylvania(1)(2)(7)(8) | 65,900,615 | 5.7 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $79,810,726) | 80,937,741 | 6.9 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(8) | 2,085,558 | 0.2 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $1,970,758) | 2,085,558 | 0.2 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(8) | 2,658,871 | 0.2 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $2,616,819) | 2,658,871 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 57
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Carolina | ||||||||||||
South Carolina Transportation Infrastructure Bank, | ||||||||||||
0.565%, 10/01/2031 (1 Month LIBOR | ||||||||||||
USD + 0.450%) (Callable 10/01/2021) | ||||||||||||
(Mandatory Tender Date 10/01/2022)(2) | $ | 6,980,000 | $ | 6,890,586 | 0.6 | % | ||||||
Other South Carolina(6)(8) | 12,477,411 | 1.1 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $18,989,155) | 19,367,997 | 1.7 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota(8) | 617,592 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $615,291) | 617,592 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Nashville & Davidson County Metropolitan Government, | ||||||||||||
1.300%, 12/01/2020 | 5,000,000 | 5,011,550 | 0.4 | % | ||||||||
Tennessee Energy Acquisition Corp., | ||||||||||||
5.625%, 09/01/2026 | 2,755,000 | 3,311,455 | 0.3 | % | ||||||||
Other Tennessee(1)(8) | 15,604,385 | 1.4 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $23,303,902) | 23,927,390 | 2.1 | % | |||||||||
Texas | ||||||||||||
Dallas Convention Center Hotel Development Corp., | ||||||||||||
0.000%, 01/01/2025 | 4,450,000 | 3,831,539 | 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 | 3,521,315 | 0.3 | % | ||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.750%, 07/01/2027 (ETM) | 5,360,000 | 6,551,719 | 0.6 | % | ||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2041 (Pre-refunded to | ||||||||||||
08/15/2024)(PSF Guaranteed) | 8,605,000 | 3,675,368 | 0.3 | % | ||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender | ||||||||||||
Date 08/01/2021)(PSF Guaranteed)(1) | 3,790,000 | 3,870,348 | 0.3 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
1.660%, 12/15/2026 (3 Month LIBOR | ||||||||||||
USD + 1.450%) (Callable 07/01/2020)(2) | 7,800,000 | 7,441,200 | 0.7 | % | ||||||||
6.250%, 12/15/2026 | 3,075,000 | 3,573,888 | 0.3 | % | ||||||||
Other Texas(1)(2)(3)(6)(7)(8) | 113,432,430 | 9.7 | % | |||||||||
Total Texas | ||||||||||||
(Cost $143,363,208) | 145,897,807 | 12.5 | % | |||||||||
Utah | ||||||||||||
Other Utah(1)(3)(8) | 2,964,180 | 0.2 | % | |||||||||
Total Utah | ||||||||||||
(Cost $2,894,131) | 2,964,180 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 58
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Vermont | ||||||||||||
Other Vermont(8) | $ | 6,432,514 | 0.5 | % | ||||||||
Total Vermont | ||||||||||||
(Cost $6,303,085) | 6,432,514 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(3)(8) | 100,176 | 0.0 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $100,490) | 100,176 | 0.0 | % | |||||||||
Virginia | ||||||||||||
Henry County Industrial Development Authority, | ||||||||||||
2.000%, 11/01/2023 (Callable 11/01/2021) | $ | 3,250,000 | 3,312,758 | 0.3 | % | |||||||
Other Virginia(1)(8) | 6,496,803 | 0.5 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $9,785,528) | 9,809,561 | 0.8 | % | |||||||||
Washington | ||||||||||||
Other Washington(1)(2)(8) | 15,385,510 | 1.3 | % | |||||||||
Total Washington | ||||||||||||
(Cost $15,241,833) | 15,385,510 | 1.3 | % | |||||||||
West Virginia | ||||||||||||
Other West Virginia(1)(8) | 2,409,316 | 0.2 | % | |||||||||
Total West Virginia | ||||||||||||
(Cost $2,397,730) | 2,409,316 | 0.2 | % | |||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 55,312 | 0.0 | % | ||||||||
5.000%, 11/01/2020 | 100,000 | 100,385 | 0.0 | % | ||||||||
5.000%, 11/01/2021 | 110,000 | 111,633 | 0.0 | % | ||||||||
4.500%, 12/15/2021 (Callable 07/31/2020) | 200,000 | 200,566 | 0.0 | % | ||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 90,000 | 94,949 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 230,000 | 241,390 | 0.0 | % | ||||||||
5.000%, 07/01/2022 | 185,000 | 199,585 | 0.0 | % | ||||||||
4.000%, 09/15/2022 | 200,000 | 201,714 | 0.0 | % | ||||||||
5.000%, 03/01/2023 | 300,000 | 323,064 | 0.0 | % | ||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 350,000 | 375,637 | 0.0 | % | ||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 422,453 | 0.1 | % | ||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 151,095 | 0.0 | % | ||||||||
5.000%, 12/01/2023 | 150,000 | 169,932 | 0.0 | % | ||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 363,326 | 0.0 | % | ||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 754,182 | 0.1 | % | ||||||||
2.750%, 08/15/2025 (Callable 08/15/2024) | 1,440,000 | 1,528,920 | 0.1 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 575,000 | 578,515 | 0.1 | % | ||||||||
5.000%, 11/01/2025 | 245,000 | 255,329 | 0.0 | % | ||||||||
5.000%, 02/15/2026 (Insured by AGM) | 1,500,000 | 1,786,515 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 59
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin Health & Educational Facilities Authority: (cont.) | ||||||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | $ | 1,250,000 | $ | 1,168,038 | 0.1 | % | ||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 185,000 | 207,450 | 0.0 | % | ||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 560,000 | 633,170 | 0.1 | % | ||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 425,000 | 498,678 | 0.1 | % | ||||||||
5.000%, 02/15/2051 (Callable 08/15/2026) | ||||||||||||
(Mandatory Tender Date 02/15/2027)(1) | 3,100,000 | 3,688,349 | 0.3 | % | ||||||||
5.000%, 02/15/2052 (Callable 08/15/2024) | ||||||||||||
(Mandatory Tender Date 02/15/2025)(1) | 5,300,000 | 6,052,123 | 0.5 | % | ||||||||
Other Wisconsin(1)(3)(8) | 21,747,840 | 1.9 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $41,493,719) | 41,910,150 | 3.6 | % | |||||||||
Wyoming | ||||||||||||
Other Wyoming(8) | 3,499,660 | 0.3 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $3,463,445) | 3,499,660 | 0.3 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $1,100,024,657) | 1,118,522,287 | 96.0 | % | |||||||||
Shares | ||||||||||||
Closed-End Investment Companies | ||||||||||||
Nuveen AMT-Free Municipal Credit Income Fund | 10,000,000 | 10,000,000 | 0.9 | % | ||||||||
Nuveen AMT-Free Quality Municipal Income Fund | 4,000,000 | 4,000,000 | 0.3 | % | ||||||||
Total Closed-End Investment Companies | ||||||||||||
(Cost $14,000,000) | 14,000,000 | 1.2 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,114,024,657) | 1,132,522,287 | 97.2 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, | ||||||||||||
Premier Shares, 0.03%(4) | 745 | 745 | 0.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $745) | 745 | 0.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,114,025,402) | 1,132,523,032 | 97.2 | % | |||||||||
Other Assets in Excess of Liabilities | 32,736,344 | 2.8 | % | |||||||||
TOTAL NET ASSETS | $ | 1,165,259,376 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
BHAC – Berkshire Hathaway Assurance Corp.
FHA – Federal Housing Administration
The accompanying notes are an integral part of these financial statements.
Page 60
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Notes to Summary Schedule of Investments (cont.)
GNMA – Government National Mortgage Association
HUD – US Department of Housing and Development
NATL – National Public Finance Guarantee Corp.
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 contain a variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(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 June 30, 2020, the value of these securities total $27,602,046, which represents 2.37% of total net assets. |
(4) | Seven-day yield. |
(5) | Auction rate security, or group of securities contains an auction rate security. An auction rate security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
(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) | Step-up bond, or group of securities contains a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(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 61
Baird Short-Term Municipal Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,118,522,287 | $ | — | $ | 1,118,522,287 | ||||||||
Closed-End Investment Companies | 14,000,000 | — | — | 14,000,000 | ||||||||||||
Total Long-Term Investments | 14,000,000 | 1,118,522,287 | — | 1,132,522,287 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 745 | — | — | 745 | ||||||||||||
Total Short-Term Investment | 745 | — | — | 745 | ||||||||||||
Total Investments | $ | 14,000,745 | $ | 1,118,522,287 | $ | — | $ | 1,132,523,032 |
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 62
Baird Strategic Municipal Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $42,477,684 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.93% | |||
Investor Class | 1.70% | |||
Average | ||||
Effective | ||||
Duration | 3.02 years | |||
Average | ||||
Effective | ||||
Maturity | 3.20 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(5) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 119% | |||
Number of | ||||
Holdings | 237 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 63
Baird Strategic Municipal Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Cumulative | ||
Six | Since | |
For the Periods Ended June 30, 2020 | Months | Inception(1) |
Institutional Class Shares | 4.81% | 5.73% |
Investor Class Shares | 4.61% | 5.51% |
Bloomberg Barclays 1-10 Year Municipal Blend Index(2) | 2.12% | 2.79% |
(1) | For the period from November 15, 2019 (inception date) through June 30, 2020. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 64
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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 | ||||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
3.750%, 12/01/2046 (Callable 12/01/2028) | $ | 250,000 | $ | 266,422 | 0.6 | % | ||||||
Other Alaska(8) | 433,550 | 1.0 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $674,389) | 699,972 | 1.6 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
2.470%, 07/01/2025 (Insured by SD CRED PROG) | 200,000 | 202,144 | 0.5 | % | ||||||||
3.169%, 10/01/2025 | 150,000 | 149,371 | 0.4 | % | ||||||||
4.750%, 10/01/2025(3) | 165,000 | 164,685 | 0.4 | % | ||||||||
5.000%, 10/01/2030 (Callable 10/01/2026)(3) | 105,000 | 104,742 | 0.2 | % | ||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2027) | 250,000 | 297,233 | 0.7 | % | ||||||||
Other Arizona(3)(8) | 464,568 | 1.1 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $1,363,837) | 1,382,743 | 3.3 | % | |||||||||
Arkansas | ||||||||||||
Other Arkansas(8) | 331,638 | 0.8 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $323,659) | 331,638 | 0.8 | % | |||||||||
California | ||||||||||||
Los Angeles Regional Airports Improvement Corp., | ||||||||||||
4.500%, 01/01/2027 (Callable 01/01/2022) | 500,000 | 512,850 | 1.2 | % | ||||||||
Other California(1)(2)(7)(8) | 1,800,794 | 4.2 | % | |||||||||
Total California | ||||||||||||
(Cost $2,291,777) | 2,313,644 | 5.4 | % | |||||||||
Colorado | ||||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
1.350%, 02/01/2022 (Callable 08/01/2021) | 345,000 | 346,673 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 65
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Glen Metropolitan District No. 2, | ||||||||||||
2.000%, 12/01/2030 (Insured by BAM) | $ | 300,000 | $ | 294,480 | 0.7 | % | ||||||
Other Colorado(8) | 864,722 | 2.0 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $1,456,735) | 1,505,875 | 3.5 | % | |||||||||
Connecticut | ||||||||||||
Connecticut State Health & Educational Facilities Authority, | ||||||||||||
4.500%, 07/01/2024 (Callable 07/01/2021) | 300,000 | 306,447 | 0.7 | % | ||||||||
Connecticut State Higher Education | ||||||||||||
Supplement Loan Authority, | ||||||||||||
5.000%, 11/15/2026(6) | 350,000 | 407,533 | 1.0 | % | ||||||||
State of Connecticut, | ||||||||||||
5.000%, 05/01/2025 | 300,000 | 358,686 | 0.8 | % | ||||||||
Total Connecticut | ||||||||||||
(Cost $1,057,195) | 1,072,666 | 2.5 | % | |||||||||
District of Columbia | ||||||||||||
Other District of Columbia(8) | 151,692 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $150,000) | 151,692 | 0.4 | % | |||||||||
Florida | ||||||||||||
County of Jackson FL, | ||||||||||||
0.180%, 07/01/2022 (Optional Put Date 07/01/2020)(1) | 600,000 | 600,000 | 1.4 | % | ||||||||
Orange County Convention Center, | ||||||||||||
4.000%, 10/01/2034 (Callable 10/01/2026) | 300,000 | 325,356 | 0.8 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 300,000 | 322,398 | 0.8 | % | ||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 300,000 | 311,340 | 0.7 | % | ||||||||
Other Florida(8) | 883,726 | 2.1 | % | |||||||||
Total Florida | ||||||||||||
(Cost $2,439,686) | 2,442,820 | 5.8 | % | |||||||||
Georgia | ||||||||||||
Burke County Development Authority, | ||||||||||||
0.320%, 11/01/2052 (Optional Put Date 07/01/2020)(1) | 300,000 | 300,000 | 0.7 | % | ||||||||
Development Authority of Bulloch County, | ||||||||||||
5.000%, 07/01/2029 | 385,000 | 483,514 | 1.1 | % | ||||||||
Private Colleges & Universities Authority, | ||||||||||||
0.530%, 10/01/2039 (SIFMA Municipal | ||||||||||||
Swap Index + 0.420%) (Callable 02/16/2022) | ||||||||||||
(Mandatory Tender Date 08/16/2022)(2) | 300,000 | 297,579 | 0.7 | % | ||||||||
Other Georgia(8) | 456,141 | 1.1 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $1,519,049) | 1,537,234 | 3.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 66
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois | ||||||||||||
Chicago Park District: | ||||||||||||
5.000%, 01/01/2022 | $ | 140,000 | $ | 147,143 | 0.3 | % | ||||||
5.000%, 01/01/2024 | 225,000 | 249,577 | 0.6 | % | ||||||||
5.000%, 01/01/2030 (Callable 01/01/2024) | 50,000 | 54,136 | 0.1 | % | ||||||||
City of Chicago IL: | ||||||||||||
0.000%, 01/01/2023 | 325,000 | 295,022 | 0.7 | % | ||||||||
0.000%, 01/01/2031 (Insured by NATL) | 300,000 | 191,049 | 0.5 | % | ||||||||
Cook County Community College District No. 508, | ||||||||||||
5.250%, 12/01/2028 (Callable 12/01/2023) | 325,000 | 333,798 | 0.8 | % | ||||||||
Other Illinois(3)(8) | 2,372,973 | 5.6 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $3,551,886) | 3,643,698 | 8.6 | % | |||||||||
Indiana | ||||||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2027 | 410,000 | 369,053 | 0.9 | % | ||||||||
Other Indiana(8) | 1,002,862 | 2.3 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $1,321,004) | 1,371,915 | 3.2 | % | |||||||||
Iowa | ||||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028) | ||||||||||||
(Insured by GNMA) | 245,000 | 275,061 | 0.6 | % | ||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | 300,000 | 303,459 | 0.7 | % | ||||||||
Other Iowa(8) | 200,856 | 0.5 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $772,961) | 779,376 | 1.8 | % | |||||||||
Kansas | ||||||||||||
Wyandotte County-Kansas City Unified Government, | ||||||||||||
0.000%, 12/01/2027 (Insured by NATL) | 370,000 | 270,555 | 0.7 | % | ||||||||
Other Kansas(3)(8) | 521,077 | 1.2 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $762,991) | 791,632 | 1.9 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(1) | 240,000 | 269,729 | 0.6 | % | ||||||||
Other Kentucky(1)(2)(8) | 364,468 | 0.9 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $611,964) | 634,197 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 67
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
0.000%, 10/01/2024(7) | $ | 300,000 | $ | 275,703 | 0.7 | % | ||||||
Other Louisiana(8) | 314,691 | 0.7 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $588,980) | 590,394 | 1.4 | % | |||||||||
Maine | ||||||||||||
Other Maine(8) | 120,774 | 0.3 | % | |||||||||
Total Maine | ||||||||||||
(Cost $111,780) | 120,774 | 0.3 | % | |||||||||
Massachusetts | ||||||||||||
Other Massachusetts(8) | 136,116 | 0.3 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $135,475) | 136,116 | 0.3 | % | |||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority, | ||||||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 300,000 | 329,421 | 0.8 | % | ||||||||
Michigan Strategic Fund, | ||||||||||||
2.090%, 06/01/2039 (Optional Put Date 07/01/2020)(1) | 630,000 | 630,000 | 1.5 | % | ||||||||
Other Michigan(8) | 326,445 | 0.7 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $1,283,584) | 1,285,866 | 3.0 | % | |||||||||
Minnesota | ||||||||||||
Other Minnesota(8) | 53,014 | 0.1 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $51,426) | 53,014 | 0.1 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(1)(2)(8) | 320,293 | 0.8 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $311,426) | 320,293 | 0.8 | % | |||||||||
Missouri | ||||||||||||
City of Dardenne Prairie MO, | ||||||||||||
4.000%, 08/01/2028 | 300,000 | 332,259 | 0.8 | % | ||||||||
St. Louis Land Clearance for Redevelopment Authority: | ||||||||||||
4.250%, 06/01/2026 | 250,000 | 267,950 | 0.6 | % | ||||||||
5.000%, 10/01/2035 (Callable 10/01/2029)(7) | 325,000 | 285,773 | 0.7 | % | ||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
5.000%, 02/15/2025 | 300,000 | 344,700 | 0.8 | % | ||||||||
Other Missouri(8) | 710,323 | 1.7 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $1,948,331) | 1,941,005 | 4.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 68
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nebraska | ||||||||||||
Other Nebraska(8) | $ | 190,186 | 0.4 | % | ||||||||
Total Nebraska | ||||||||||||
(Cost $172,603) | 190,186 | 0.4 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(3)(8) | 384,210 | 0.9 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $365,375) | 384,210 | 0.9 | % | |||||||||
New Jersey | ||||||||||||
Essex County Improvement Authority, | ||||||||||||
5.000%, 11/01/2027 | $ | 350,000 | 431,291 | 1.0 | % | |||||||
New Jersey Transportation Trust Fund Authority, | ||||||||||||
5.000%, 12/15/2028 | 250,000 | 290,843 | 0.7 | % | ||||||||
Other New Jersey(3)(8) | 805,008 | 1.9 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $1,483,425) | 1,527,142 | 3.6 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(1)(8) | 49,878 | 0.1 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $50,243) | 49,878 | 0.1 | % | |||||||||
New York | ||||||||||||
Metropolitan Transportation Authority: | ||||||||||||
4.000%, 07/01/2020 | 100,000 | 100,000 | 0.2 | % | ||||||||
5.000%, 11/15/2021 | 100,000 | 103,681 | 0.2 | % | ||||||||
5.000%, 05/15/2022 | 375,000 | 391,579 | 0.9 | % | ||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 04/01/2049 (Callable 10/01/2028) | 300,000 | 319,257 | 0.8 | % | ||||||||
Other New York(1)(2)(8) | 2,163,077 | 5.1 | % | |||||||||
Total New York | ||||||||||||
(Cost $3,087,913) | 3,077,594 | 7.2 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Central University, | ||||||||||||
5.000%, 04/01/2027 | 410,000 | 490,988 | 1.1 | % | ||||||||
Other North Carolina(8) | 76,361 | 0.2 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $564,600) | 567,349 | 1.3 | % | |||||||||
North Dakota | ||||||||||||
Other North Dakota(8) | 1,027,203 | 2.4 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $1,008,684) | 1,027,203 | 2.4 | % | |||||||||
Ohio | ||||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
2.659%, 12/01/2023 (Insured by AMBAC)(1) | 500,000 | 494,595 | 1.2 | % | ||||||||
Other Ohio(8) | 420,235 | 1.0 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $918,747) | 914,830 | 2.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 69
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Oklahoma | ||||||||||||
Other Oklahoma(8) | $ | 370,547 | 0.9 | % | ||||||||
Total Oklahoma | ||||||||||||
(Cost $374,376) | 370,547 | 0.9 | % | |||||||||
Oregon | ||||||||||||
Oregon State Facilities Authority: | ||||||||||||
5.000%, 10/01/2025(6) | $ | 225,000 | 263,196 | 0.6 | % | |||||||
5.000%, 10/01/2028(6) | 150,000 | 184,714 | 0.5 | % | ||||||||
Other Oregon(7)(8) | 469,681 | 1.1 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $895,235) | 917,591 | 2.2 | % | |||||||||
Pennsylvania | ||||||||||||
City of Philadelphia PA, | ||||||||||||
5.250%, 06/15/2030 (Callable 07/31/2020) | 300,000 | 302,253 | 0.7 | % | ||||||||
Crestwood School District, | ||||||||||||
2.350%, 09/01/2025 | 400,000 | 399,992 | 1.0 | % | ||||||||
Other Pennsylvania(1)(8) | 1,361,147 | 3.2 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $2,033,596) | 2,063,392 | 4.9 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Health and Educational Building Corp., | ||||||||||||
0.250%, 06/01/2035 (Optional Put Date 07/01/2020)(1) | 400,000 | 400,000 | 0.9 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $400,000) | 400,000 | 0.9 | % | |||||||||
South Carolina | ||||||||||||
South Carolina Educational Facilities Authority, | ||||||||||||
0.080%, 10/01/2039 (Optional Put Date 07/01/2020)(1) | 400,000 | 400,000 | 0.9 | % | ||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 130,000 | 136,661 | 0.3 | % | ||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 350,000 | 386,890 | 0.9 | % | ||||||||
South Carolina Transportation Infrastructure Bank, | ||||||||||||
0.565%, 10/01/2031 (1 Month LIBOR | ||||||||||||
USD + 0.450%) (Callable 10/01/2021) | ||||||||||||
(Mandatory Tender Date 10/01/2022)(2) | 300,000 | 296,157 | 0.7 | % | ||||||||
Other South Carolina(8) | 414,771 | 1.0 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $1,638,650) | 1,634,479 | 3.8 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 250,000 | 272,598 | 0.6 | % | ||||||||
Other South Dakota(8) | 232,748 | 0.6 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $493,459) | 505,346 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 70
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Tennessee | ||||||||||||
Other Tennessee(1)(8) | $ | 777,010 | 1.8 | % | ||||||||
Total Tennessee | ||||||||||||
(Cost $756,193) | 777,010 | 1.8 | % | |||||||||
Texas | ||||||||||||
Clifton Higher Education Finance Corp., | ||||||||||||
3.950%, 12/01/2032 (Callable 12/01/2022) | $ | 265,000 | 267,984 | 0.6 | % | |||||||
Port of Port Arthur Navigation District, | ||||||||||||
1.500%, 11/01/2040 (Callable 07/01/2020) | ||||||||||||
(Optional Put Date 07/07/2020)(1) | 300,000 | 300,000 | 0.7 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
1.660%, 12/15/2026 (3 Month LIBOR | ||||||||||||
USD + 1.450%) (Callable 07/01/2020)(2) | 500,000 | 477,000 | 1.1 | % | ||||||||
Other Texas(2)(8) | 916,992 | 2.2 | % | |||||||||
Total Texas | ||||||||||||
(Cost $1,940,978) | 1,961,976 | 4.6 | % | |||||||||
Utah | ||||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 | ||||||||||||
(Callable 01/01/2026)(Insured by FHA) | 350,000 | 375,651 | 0.9 | % | ||||||||
Other Utah(8) | 176,482 | 0.4 | % | |||||||||
Total Utah | ||||||||||||
(Cost $544,488) | 552,133 | 1.3 | % | |||||||||
Washington | ||||||||||||
King County Housing Authority, | ||||||||||||
5.000%, 12/01/2030 | 400,000 | 469,036 | 1.1 | % | ||||||||
Washington State Housing Finance Commission, | ||||||||||||
4.000%, 06/01/2050 | ||||||||||||
(Callable 06/01/2029)(Insured by GNMA) | 300,000 | 336,183 | 0.8 | % | ||||||||
Other Washington(2)(8) | 814,183 | 1.9 | % | |||||||||
Total Washington | ||||||||||||
(Cost $1,595,071) | 1,619,402 | 3.8 | % | |||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
2.700%, 05/01/2021 | 100,000 | 98,465 | 0.2 | % | ||||||||
5.000%, 09/15/2028 (Callable 09/15/2023) | 20,000 | 20,613 | 0.1 | % | ||||||||
5.000%, 02/15/2051 (Callable 08/15/2026) | ||||||||||||
(Mandatory Tender Date 02/15/2027)(1) | 300,000 | 356,937 | 0.8 | % | ||||||||
0.850%, 02/15/2053(1) | 300,000 | 300,000 | 0.7 | % | ||||||||
Other Wisconsin(3)(6)(8) | 1,039,700 | 2.5 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $1,806,497) | 1,815,715 | 4.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $42,858,268) | 43,462,547 | 102.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 71
Baird Strategic Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Security | ||||||||||||
United States Treasury Bill, 0.17%(5) 03/25/2021 | $ | 25,000 | $ | 24,969 | 0.1 | % | ||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $24,969) | 24,969 | 0.1 | % | |||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, | ||||||||||||
Premier Shares, 0.03%(4) | 30,013 | 30,013 | 0.1 | % | ||||||||
Total Money Market Mutual Fund | ||||||||||||
(Cost $30,013) | 30,013 | 0.1 | % | |||||||||
Total Short-Term Investments | ||||||||||||
(Cost $54,982) | 54,982 | 0.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $42,913,250) | 43,517,529 | 102.4 | % | |||||||||
Liabilities in Excess of Other Assets | (1,039,845 | ) | (2.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 42,477,684 | 100.0 | % |
Notes to Summary Schedule of Investments
AMBAC – Ambac Assurance Corp.
BAM – Build America Mutual Assurance Co.
FHA – Federal Housing Administration
GNMA – Government National Mortgage Association
NATL – National Public Finance Guarantee Corp.
SD CRED PROG – State Credit Enhancement Program
LIBOR – London Inter-bank Offered Rate
SIFMA – Securities Industry and Financial Markets Association
(1) | Variable rate security, or group of securities contain a variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(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 June 30, 2020, the value of these securities total $1,133,096, which represents 2.67% of total net assets. |
(4) | Seven-day yield. |
(5) | Effective yield as of June 30, 2020. |
(6) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(7) | Step-up bond or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(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 72
Baird Strategic Municipal Bond Fund
Schedule of Open Futures Contracts at June 30, 2020 (Unaudited)
Value | ||||||||||||||||||||
Number of | ||||||||||||||||||||
Contracts | Settlement | Current | ||||||||||||||||||
Purchased | Month- | Notional | Value at | Unrealized | Unrealized | |||||||||||||||
Description | (Sold) | Year | Amount | Trade Date | Appreciation | (Depreciation) | ||||||||||||||
Sales Contracts: | ||||||||||||||||||||
U.S. 10 Yr Note | (20) | Sep-20 | $ | 2,783,438 | $ | 2,770,555 | $ | — | $ | (12,883 | ) | |||||||||
Total Futures Contracts | $ | — | $ | (12,883 | ) | |||||||||||||||
Net Unrealized Depreciation | $ | (12,883 | ) |
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
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 and futures contracts as of June 30, 2020:
Long-Term Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Municipal Bonds | $ | — | $ | 43,462,547 | $ | — | $ | 43,462,547 | ||||||||
Total Long-Term Investments | — | 43,462,547 | — | 43,462,547 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Security | — | 24,969 | — | 24,969 | ||||||||||||
Money Market Mutual Fund | 30,013 | — | — | 30,013 | ||||||||||||
Total Short-Term Investments | 30,013 | 24,969 | — | 54,982 | ||||||||||||
Total Investments | $ | 30,013 | $ | 43,487,516 | $ | — | $ | 43,517,529 | ||||||||
Futures Contracts* | ||||||||||||||||
Short | $ | (12,883 | ) | $ | — | $ | — | $ | (12,883 | ) | ||||||
Total Futures Contracts | $ | (12,883 | ) | $ | — | $ | — | $ | (12,883 | ) |
* | The fair value of the Fund’s futures contracts represent the net unrealized depreciation at June 30, 2020. |
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 73
Baird Quality Intermediate Municipal Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,394,709,999 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 0.95% | |||
Investor Class | 0.71% | |||
Average | ||||
Effective | ||||
Duration | 4.25 years | |||
Average | ||||
Effective | ||||
Maturity | 4.64 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(5) | |||
Institutional Class | 0.30% | |||
| Investor Class | 0.55% | (6) | |
Portfolio | ||||
Turnover Rate(7) | 12% | |||
Number of | ||||
Holdings | 662 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 74
Baird Quality Intermediate Municipal Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 2.75% | 4.39% | 2.87% | 2.92% | 4.00% |
Investor Class Shares | 2.65% | 4.19% | 2.62% | 2.65% | 3.74% |
Bloomberg Barclays Quality Intermediate | |||||
Municipal Bond Index(2) | 2.52% | 4.29% | 3.15% | 3.34% | 4.05% |
(1) | For the period from March 30, 2001 (inception date) through June 30, 2020. |
(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, have a dated-date after December 31, 1990. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 75
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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(7) | $ | 1,321,612 | 0.1 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $1,281,793) | 1,321,612 | 0.1 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(7) | 10,676,213 | 0.8 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $10,547,307) | 10,676,213 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
2.500%, 05/01/2022 (Insured by AGM)(3) | $ | 10,353,059 | 10,450,067 | 0.7 | % | |||||||
Other Arizona(7) | 9,850,953 | 0.7 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $19,776,689) | 20,301,020 | 1.4 | % | |||||||||
Arkansas | ||||||||||||
City of Little Rock AR, | ||||||||||||
5.000%, 10/01/2034 (Callable 04/01/2025) | 5,000,000 | 5,874,550 | 0.4 | % | ||||||||
Other Arkansas(6)(7) | 6,772,036 | 0.5 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $12,018,328) | 12,646,586 | 0.9 | % | |||||||||
California | ||||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | 12,385,000 | 12,349,084 | 0.9 | % | ||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034)(5) | 6,760,000 | 8,788,338 | 0.6 | % | ||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,824,616 | 1.0 | % | ||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,301,795 | 0.1 | % | ||||||||
0.000%, 01/01/2028 (ETM) | 810,000 | 753,883 | 0.0 | % | ||||||||
Other California(5)(7) | 29,144,131 | 2.1 | % | |||||||||
Total California | ||||||||||||
(Cost $61,270,770) | 66,161,847 | 4.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 76
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado | ||||||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | $ | 14,125,000 | $ | 13,973,580 | 1.0 | % | ||||||
0.000%, 07/15/2024 (ETM) | 650,000 | 632,944 | 0.1 | % | ||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 100,000 | 108,176 | 0.0 | % | ||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 3,545,000 | 3,961,431 | 0.3 | % | ||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 335,000 | 374,353 | 0.0 | % | ||||||||
5.000%, 06/01/2047 (Pre-refunded to 06/01/2027) | 5,800,000 | 7,462,280 | 0.5 | % | ||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | 37,585,000 | 37,173,820 | 2.7 | % | ||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,149,165 | 0.4 | % | ||||||||
Other Colorado(7) | 8,440,204 | 0.6 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $74,778,704) | 78,275,953 | 5.6 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 6,795,000 | 7,460,842 | 0.6 | % | ||||||||
Other Connecticut(7) | 8,878,134 | 0.6 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $15,692,440) | 16,338,976 | 1.2 | % | |||||||||
District of Columbia | ||||||||||||
Other District of Columbia(1)(7) | 6,222,030 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $6,084,397) | 6,222,030 | 0.4 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028) | ||||||||||||
(Insured by GNMA) | 7,355,000 | 8,265,696 | 0.6 | % | ||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,460,000 | 8,880,124 | 0.6 | % | ||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,840,000 | 5,080,354 | 0.4 | % | ||||||||
5.000%, 07/01/2024 (Pre-refunded to 07/01/2022) | 940,000 | 1,025,145 | 0.1 | % | ||||||||
Other Florida(1)(5)(6)(7) | 40,818,211 | 2.9 | % | |||||||||
Total Florida | ||||||||||||
(Cost $61,565,047) | 64,069,530 | 4.6 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,020,000 | 9,921,542 | 0.7 | % | ||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 5,980,000 | 5,938,738 | 0.4 | % | ||||||||
Other Georgia(2)(7) | 7,835,431 | 0.6 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $22,662,291) | 23,695,711 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 77
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Idaho | ||||||||||||
Other Idaho(7) | $ | 619,460 | 0.0 | % | ||||||||
Total Idaho | ||||||||||||
(Cost $601,684) | 619,460 | 0.0 | % | |||||||||
Illinois | ||||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | $ | 27,625,000 | 27,127,197 | 1.9 | % | |||||||
0.000%, 07/15/2025 (ETM) | 51,620,000 | 49,536,101 | 3.6 | % | ||||||||
2.450%, 11/15/2039 | ||||||||||||
(Mandatory Tender Date 03/03/2026)(1) | 2,230,000 | 2,366,186 | 0.2 | % | ||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | 1,095,000 | 1,170,314 | 0.1 | % | ||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,875,000 | 7,319,400 | 0.5 | % | ||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,445,712 | 0.1 | % | ||||||||
4.000%, 01/15/2033 (Callable 01/15/2028) | 2,170,000 | 2,543,565 | 0.2 | % | ||||||||
5.000%, 08/01/2033 (Pre-refunded to 08/01/2024) | 700,000 | 827,078 | 0.1 | % | ||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,175,024 | 0.1 | % | ||||||||
4.000%, 07/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,136,410 | 0.1 | % | ||||||||
5.000%, 02/15/2036 (Callable 02/15/2027) | 215,000 | 257,338 | 0.0 | % | ||||||||
4.000%, 05/01/2044 (Callable 05/01/2025) | 135,000 | 157,101 | 0.0 | % | ||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,500,000 | 2,636,675 | 0.2 | % | ||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 595,000 | 632,693 | 0.0 | % | ||||||||
4.000%, 08/01/2048 (Callable 08/01/2027) | ||||||||||||
(Insured by GNMA) | 730,000 | 797,949 | 0.1 | % | ||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,445,000 | 11,587,265 | 0.8 | % | ||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,631,733 | 0.5 | % | ||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,228,343 | 0.4 | % | ||||||||
Other Illinois(7) | 53,951,343 | 3.9 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $167,309,863) | 178,527,427 | 12.8 | % | |||||||||
Indiana | ||||||||||||
Other Indiana(7) | 13,379,779 | 0.9 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $12,412,613) | 13,379,779 | 0.9 | % | |||||||||
Iowa | ||||||||||||
Other Iowa(7) | 14,337,698 | 1.0 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $13,858,886) | 14,337,698 | 1.0 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(7) | 3,862,850 | 0.3 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $3,825,694) | 3,862,850 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 78
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kentucky | ||||||||||||
Other Kentucky(7) | $ | 1,432,200 | 0.1 | % | ||||||||
Total Kentucky | ||||||||||||
(Cost $1,414,816) | 1,432,200 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | $ | 26,700,000 | 32,389,770 | 2.3 | % | |||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 28,409,031 | 2.1 | % | ||||||||
Other Louisiana(7) | 9,634,501 | 0.7 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $64,497,581) | 70,433,302 | 5.1 | % | |||||||||
Maryland | ||||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,457,935 | 0.5 | % | ||||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,565,521 | 0.2 | % | ||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,877,457 | 0.9 | % | ||||||||
Other Maryland(6)(7) | 4,768,790 | 0.3 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $24,647,255) | 26,669,703 | 1.9 | % | |||||||||
Massachusetts | ||||||||||||
Other Massachusetts(7) | 7,815,813 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $7,632,787) | 7,815,813 | 0.6 | % | |||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority: | ||||||||||||
2.700%, 12/01/2034 (Callable 12/01/2028) | 4,700,000 | 4,935,658 | 0.4 | % | ||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 4,330,000 | 4,811,626 | 0.4 | % | ||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 6,975,000 | 7,659,038 | 0.5 | % | ||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 | ||||||||||||
(Callable 05/01/2026)(Insured by Q-SBLF) | 7,255,000 | 8,460,926 | 0.6 | % | ||||||||
Other Michigan(7) | 14,638,364 | 1.0 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $38,813,835) | 40,505,612 | 2.9 | % | |||||||||
Minnesota | ||||||||||||
Other Minnesota(7) | 9,040,411 | 0.6 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $8,735,611) | 9,040,411 | 0.6 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(7) | 4,323,805 | 0.3 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $3,934,147) | 4,323,805 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 79
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Missouri | ||||||||||||
Other Missouri(7) | $ | 7,901,564 | 0.6 | % | ||||||||
Total Missouri | ||||||||||||
(Cost $7,468,791) | 7,901,564 | 0.6 | % | |||||||||
Montana | ||||||||||||
Other Montana(7) | 1,455,299 | 0.1 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,346,494) | 1,455,299 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska(7) | 6,789,167 | 0.5 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $6,644,485) | 6,789,167 | 0.5 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(7) | 2,670,335 | 0.2 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $2,580,475) | 2,670,335 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Other New Hampshire(7) | 173,386 | 0.0 | % | |||||||||
Total New Hampshire | ||||||||||||
(Cost $170,731) | 173,386 | 0.0 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
0.750%, 05/01/2023 | ||||||||||||
(Mandatory Tender Date 06/01/2022)(1) | $ | 5,800,000 | 5,820,764 | 0.4 | % | |||||||
Other New Jersey(7) | 11,497,050 | 0.8 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $17,057,615) | 17,317,814 | 1.2 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(7) | 7,869,652 | 0.6 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $7,453,159) | 7,869,652 | 0.6 | % | |||||||||
New York | ||||||||||||
City of New York NY: | ||||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,466,600 | 0.4 | % | ||||||||
5.000%, 12/01/2041 (Callable 12/01/2028) | 1,125,000 | 1,381,770 | 0.1 | % | ||||||||
0.200%, 12/01/2047 (Optional Put Date 07/01/2020)(1) | 15,000,000 | 15,000,000 | 1.1 | % | ||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | 6,500,000 | 7,868,445 | 0.6 | % | ||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,276,276 | 0.3 | % | ||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,050,000 | 5,905,925 | 0.4 | % | ||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 181,463 | 0.0 | % | ||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,683,016 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 80
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | $ | 5,895,000 | $ | 5,939,625 | 0.4 | % | ||||||
New York State Urban Development Corp., | ||||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,857,760 | 0.5 | % | ||||||||
Other New York(2)(7) | 20,086,466 | 1.5 | % | |||||||||
Total New York | ||||||||||||
(Cost $74,739,709) | 77,647,346 | 5.6 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency, | ||||||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,245,000 | 7,463,074 | 0.5 | % | ||||||||
Other North Carolina(7) | 16,643,345 | 1.2 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $23,745,049) | 24,106,419 | 1.7 | % | |||||||||
North Dakota | ||||||||||||
Other North Dakota(7) | 14,871,716 | 1.1 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $14,461,398) | 14,871,716 | 1.1 | % | |||||||||
Ohio | ||||||||||||
State of Ohio, | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,045,794 | 0.5 | % | ||||||||
Other Ohio(1)(7) | 21,889,184 | 1.6 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $28,445,517) | 28,934,978 | 2.1 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(1)(7) | 1,295,573 | 0.1 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $1,293,300) | 1,295,573 | 0.1 | % | |||||||||
Oregon | ||||||||||||
Other Oregon(7) | 16,787,165 | 1.2 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $16,392,508) | 16,787,165 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Other Pennsylvania(1)(7) | 19,612,496 | 1.4 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $19,154,101) | 19,612,496 | 1.4 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,175,000 | 5,594,796 | 0.4 | % | ||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 9,545,000 | 12,445,344 | 0.9 | % | ||||||||
5.500%, 08/01/2027 (ETM)(Insured by AMBAC) | 6,500,000 | 8,551,725 | 0.6 | % | ||||||||
Other Puerto Rico(7) | 1,259,871 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $26,070,891) | 27,851,736 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 81
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | $ | 5,000,000 | $ | 5,897,600 | 0.4 | % | ||||||
Other Rhode Island(7) | 1,525,928 | 0.1 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $6,992,983) | 7,423,528 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency, | ||||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 5,530,000 | 6,568,313 | 0.5 | % | ||||||||
Other South Carolina(1)(7) | 6,904,928 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $12,853,022) | 13,473,241 | 1.0 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota(7) | 1,393,075 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $1,330,024) | 1,393,075 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Other Tennessee(1)(7) | 26,710,231 | 1.9 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $26,161,703) | 26,710,231 | 1.9 | % | |||||||||
Texas | ||||||||||||
City of Houston TX: | ||||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 1,835,000 | 2,144,252 | 0.1 | % | ||||||||
0.000%, 12/01/2026 (ETM)(Insured by AGM) | 455,000 | 433,670 | 0.0 | % | ||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 16,050,000 | 20,821,344 | 1.5 | % | ||||||||
5.750%, 12/01/2032 (ETM)(Insured by AGM) | 29,965,000 | 45,469,191 | 3.3 | % | ||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.750%, 07/01/2027 (ETM) | 4,700,000 | 5,732,543 | 0.4 | % | ||||||||
6.250%, 07/01/2027 (ETM) | 7,540,000 | 9,395,745 | 0.7 | % | ||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 | ||||||||||||
(Callable 02/15/2025)(PSF Guaranteed) | 6,785,000 | 7,934,379 | 0.6 | % | ||||||||
North Texas Tollway Authority: | ||||||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 10,265,000 | 6,433,390 | 0.5 | % | ||||||||
Other Texas(1)(5)(6)(7) | 169,124,616 | 12.1 | % | |||||||||
Total Texas | ||||||||||||
(Cost $252,224,057) | 267,489,130 | 19.2 | % | |||||||||
Utah | ||||||||||||
Other Utah(7) | 12,038,765 | 0.9 | % | |||||||||
Total Utah | ||||||||||||
(Cost $11,735,228) | 12,038,765 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 82
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Vermont | ||||||||||||
Other Vermont(7) | $ | 4,429,602 | 0.3 | % | ||||||||
Total Vermont | ||||||||||||
(Cost $4,313,028) | 4,429,602 | 0.3 | % | |||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | $ | 7,350,000 | 7,564,620 | 0.5 | % | |||||||
Other Virginia(1)(7) | 5,236,727 | 0.4 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $12,694,849) | 12,801,347 | 0.9 | % | |||||||||
Washington | ||||||||||||
State of Washington: | ||||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 7,010,000 | 8,218,104 | 0.6 | % | ||||||||
Washington State Housing Finance Commission, | ||||||||||||
2.550%, 07/01/2022 | ||||||||||||
(Mandatory Tender Date 07/01/2021)(1) | 6,250,000 | 6,343,375 | 0.5 | % | ||||||||
Other Washington(2)(6)(7) | 35,627,731 | 2.5 | % | |||||||||
Total Washington | ||||||||||||
(Cost $48,267,440) | 50,189,210 | 3.6 | % | |||||||||
West Virginia | ||||||||||||
Other West Virginia(7) | 1,087,783 | 0.1 | % | |||||||||
Total West Virginia | ||||||||||||
(Cost $1,060,299) | 1,087,783 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin Clean Water Fund | ||||||||||||
Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | 5,430,000 | 6,387,417 | 0.4 | % | ||||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,515,000 | 12,369,005 | 0.9 | % | ||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,381,152 | 0.7 | % | ||||||||
Other Wisconsin(7) | 29,177,608 | 2.1 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $54,678,609) | 57,315,182 | 4.1 | % | |||||||||
Wyoming | ||||||||||||
Other Wyoming(7) | 3,909,121 | 0.3 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $3,788,232) | 3,909,121 | 0.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,316,486,235) | 1,384,202,399 | 99.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 83
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 0.03%(4) | 1,122,719 | $ | 1,122,719 | 0.1 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,122,719) | 1,122,719 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,317,608,954) | 1,385,325,118 | 99.3 | % | |||||||||
Other Assets in Excess of Liabilities | 9,384,881 | 0.7 | % | |||||||||
TOTAL NET ASSETS | $ | 1,394,709,999 | 100.0 | % |
Notes to Summary Schedule of Investments
AGC – Assured Guaranty Corp.
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
BAM – Build America Mutual Assurance Co.
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 contain a variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(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 June 30, 2020, the value of these securities total $10,450,067, which represents 0.75% of total net assets. |
(4) | Seven-day yield. |
(5) | Step-up bond or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(6) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(7) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 84
Baird Quality Intermediate Municipal Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,384,202,399 | $ | — | $ | 1,384,202,399 | ||||||||
Total Long-Term Investments | — | 1,384,202,399 | — | 1,384,202,399 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,122,719 | — | — | 1,122,719 | ||||||||||||
Total Short-Term Investment | 1,122,719 | — | — | 1,122,719 | ||||||||||||
Total Investments | $ | 1,122,719 | $ | 1,384,202,399 | $ | — | $ | 1,385,325,118 |
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 85
Baird Core Intermediate Municipal Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $603,778,538 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.58% | |||
Investor Class | 1.32% | |||
Average | ||||
Effective | ||||
Duration | 4.46 years | |||
Average | ||||
Effective | ||||
Maturity | 4.80 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 21% | |||
Number of | ||||
Holdings | 1,058 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 86
Baird Core Intermediate Municipal Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Three | Since | |
For the Periods Ended June 30, 2020 | Months | Year | Years | Inception(1) |
Institutional Class Shares | 2.33% | 4.63% | 4.08% | 3.87% |
Investor Class Shares | 2.31% | 4.39% | 3.84% | 3.62% |
Bloomberg Barclays (1-15 Year) | ||||
Municipal Bond Index(2) | 2.18% | 4.18% | 3.75% | 3.37% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2020. |
(2) | The Bloomberg Barclays (1-15 Year) Municipal Bond Index is an unmanaged, market value weighted index of investment-grade, tax-exempt, and fixed-rate securities with maturities between 1 and 17 years. Securities must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 87
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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)(7) | $ | 1,935,000 | $ | 2,121,283 | 0.3 | % | ||||||
Other Alabama(1)(6)(7)(8) | 16,242,259 | 2.7 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $17,814,556) | 18,363,542 | 3.0 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(8) | 6,138,502 | 1.0 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $5,972,256) | 6,138,502 | 1.0 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.375%, 07/01/2021(3) | 365,000 | 366,978 | 0.1 | % | ||||||||
2.500%, 05/01/2022 (Insured by AGM)(3) | 4,835,280 | 4,880,586 | 0.8 | % | ||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 215,000 | 231,156 | 0.0 | % | ||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 200,000 | 218,944 | 0.0 | % | ||||||||
4.000%, 07/01/2025 (Insured by SD CRED PROG) | 100,000 | 111,314 | 0.0 | % | ||||||||
4.000%, 07/01/2026 (Insured by SD CRED PROG) | 100,000 | 112,400 | 0.0 | % | ||||||||
5.000%, 05/01/2028 | 270,000 | 286,127 | 0.1 | % | ||||||||
4.625%, 08/01/2028(3) | 1,160,000 | 1,207,978 | 0.2 | % | ||||||||
Other Arizona(8) | 5,159,984 | 0.9 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $12,270,024) | 12,575,467 | 2.1 | % | |||||||||
Arkansas | ||||||||||||
Other Arkansas(1)(8) | 20,792,041 | 3.4 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $19,897,583) | 20,792,041 | 3.4 | % | |||||||||
California | ||||||||||||
Other California(1)(2)(5)(7)(8) | 21,626,435 | 3.6 | % | |||||||||
Total California | ||||||||||||
(Cost $19,965,260) | 21,626,435 | 3.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 88
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
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 | $ | 2,369,460 | 0.4 | % | ||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 402,908 | 0.1 | % | ||||||||
4.000%, 11/15/2021 | 225,000 | 235,449 | 0.0 | % | ||||||||
5.000%, 10/01/2022 | 1,300,000 | 1,372,787 | 0.2 | % | ||||||||
4.000%, 11/15/2022 | 445,000 | 472,635 | 0.1 | % | ||||||||
5.000%, 10/01/2023 | 700,000 | 755,034 | 0.1 | % | ||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,400,099 | 0.2 | % | ||||||||
4.000%, 04/01/2028 | 540,000 | 605,194 | 0.1 | % | ||||||||
5.000%, 06/01/2029 (Callable 06/01/2024) | 120,000 | 134,555 | 0.0 | % | ||||||||
5.000%, 08/15/2030 (Callable 08/15/2024) | 500,000 | 565,485 | 0.1 | % | ||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 40,000 | 44,576 | 0.0 | % | ||||||||
5.000%, 08/15/2034 (Callable 08/15/2024) | 1,000,000 | 1,117,160 | 0.2 | % | ||||||||
Colorado Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2049 (Callable 02/01/2026) | ||||||||||||
(Mandatory Tender Date 08/01/2026)(1) | 3,130,000 | 3,681,913 | 0.6 | % | ||||||||
Colorado Housing & Finance Authority, | ||||||||||||
4.250%, 11/01/2049 | ||||||||||||
(Callable 11/01/2028)(Insured by GNMA) | 2,415,000 | 2,691,469 | 0.5 | % | ||||||||
E-470 Public Highway Authority, | ||||||||||||
0.000%, 09/01/2029 (Insured by NATL) | 2,550,000 | 2,204,118 | 0.4 | % | ||||||||
Other Colorado(1)(2)(8) | 17,518,101 | 2.9 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $33,653,915) | 35,570,943 | 5.9 | % | |||||||||
Connecticut | ||||||||||||
State of Connecticut, | ||||||||||||
5.000%, 05/01/2034 (Callable 05/01/2030) | 1,500,000 | 1,924,845 | 0.3 | % | ||||||||
Other Connecticut(6)(8) | 10,130,952 | 1.7 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $11,574,805) | 12,055,797 | 2.0 | % | |||||||||
District of Columbia | ||||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028)(7) | 1,625,000 | 2,092,960 | 0.3 | % | ||||||||
Other District of Columbia(1)(7)(8) | 2,253,142 | 0.4 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $4,150,433) | 4,346,102 | 0.7 | % | |||||||||
Florida | ||||||||||||
City of Jacksonville FL, | ||||||||||||
4.000%, 10/01/2033 (Callable 10/01/2026) | 1,895,000 | 2,120,524 | 0.4 | % | ||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,670,920 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 89
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 | ||||||||||||
(Callable 01/01/2028)(Insured by GNMA) | $ | 2,000,000 | $ | 2,247,640 | 0.4 | % | ||||||
Highlands County Health Facilities Authority, | ||||||||||||
0.110%, 11/15/2037 (Callable 07/01/2020) | ||||||||||||
(Optional Put Date 07/07/2020)(1) | 4,000,000 | 4,000,000 | 0.7 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,500,000 | 2,686,650 | 0.4 | % | ||||||||
Other Florida(1)(7)(8) | 27,801,261 | 4.6 | % | |||||||||
Total Florida | ||||||||||||
(Cost $39,886,342) | 41,526,995 | 6.9 | % | |||||||||
Georgia | ||||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
0.945%, 08/01/2048 (1 Month LIBOR | ||||||||||||
USD + 0.830%) (Callable 09/01/2023) | ||||||||||||
(Mandatory Tender Date 12/01/2023)(2) | 2,000,000 | 1,985,680 | 0.3 | % | ||||||||
Other Georgia(1)(8) | 9,197,024 | 1.5 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $10,971,258) | 11,182,704 | 1.8 | % | |||||||||
Illinois | ||||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 102,652 | 0.0 | % | ||||||||
5.000%, 10/01/2021 | 170,000 | 174,631 | 0.0 | % | ||||||||
5.000%, 10/01/2023 | 105,000 | 110,400 | 0.0 | % | ||||||||
5.000%, 11/01/2024 | 1,100,000 | 1,213,135 | 0.2 | % | ||||||||
5.000%, 01/01/2029 (Callable 01/01/2027) | 475,000 | 568,437 | 0.1 | % | ||||||||
5.000%, 02/15/2029 (Callable 02/15/2027) | 3,275,000 | 4,034,374 | 0.7 | % | ||||||||
5.000%, 01/01/2030 (Callable 01/01/2027) | 90,000 | 107,014 | 0.0 | % | ||||||||
5.000%, 08/01/2030 (Pre-refunded to 08/01/2024) | 1,065,000 | 1,258,340 | 0.2 | % | ||||||||
4.000%, 05/15/2034 (Callable 05/15/2026) | 200,000 | 216,632 | 0.0 | % | ||||||||
1.470%, 05/01/2036 (1 Month LIBOR | ||||||||||||
USD + 1.350%) (Callable 11/01/2020) | ||||||||||||
(Mandatory Tender Date 05/01/2021)(2) | 300,000 | 300,135 | 0.0 | % | ||||||||
4.000%, 12/01/2040 (Callable 12/01/2027) | 270,000 | 301,144 | 0.0 | % | ||||||||
4.000%, 12/01/2042 (Callable 12/01/2027) | 275,000 | 305,256 | 0.1 | % | ||||||||
Illinois Housing Development Authority, | ||||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,905,000 | 2,113,331 | 0.4 | % | ||||||||
Illinois Sports Facilities Authority, | ||||||||||||
5.000%, 06/15/2029 (Insured by BAM) | 2,500,000 | 2,985,125 | 0.5 | % | ||||||||
Kendall Kane & Will Counties Community | ||||||||||||
Unit School District No. 308, | ||||||||||||
4.000%, 02/01/2030 (Callable 02/01/2025) | 2,050,000 | 2,173,984 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 90
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 08/01/2020 | $ | 1,650,000 | $ | 1,653,118 | 0.3 | % | ||||||
4.875%, 05/01/2021 | 1,000,000 | 1,018,460 | 0.2 | % | ||||||||
5.000%, 01/01/2022 (Callable 07/31/2020) | 220,000 | 220,370 | 0.0 | % | ||||||||
5.000%, 02/01/2024 | 460,000 | 489,192 | 0.1 | % | ||||||||
5.000%, 04/01/2024 | 450,000 | 479,569 | 0.1 | % | ||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 112,483 | 0.0 | % | ||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 685,679 | 0.1 | % | ||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,528,620 | 0.3 | % | ||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 183,300 | 0.0 | % | ||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 429,926 | 0.1 | % | ||||||||
4.000%, 06/15/2038 | ||||||||||||
(Callable 06/15/2028)(Insured by BAM) | 2,500,000 | 2,561,600 | 0.4 | % | ||||||||
Other Illinois(1)(3)(7)(8) | 55,441,665 | 9.2 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $76,868,918) | 80,768,572 | 13.4 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 3,520,000 | 3,566,605 | 0.6 | % | ||||||||
Other Indiana(1)(2)(8) | 18,532,918 | 3.1 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $21,214,921) | 22,099,523 | 3.7 | % | |||||||||
Iowa | ||||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 | ||||||||||||
(Callable 07/01/2028)(Insured by GNMA) | 1,965,000 | 2,206,106 | 0.4 | % | ||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | 2,000,000 | 2,023,060 | 0.3 | % | ||||||||
Other Iowa(8) | 1,558,833 | 0.2 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $5,667,013) | 5,787,999 | 0.9 | % | |||||||||
Kansas | ||||||||||||
Other Kansas(8) | 3,397,694 | 0.6 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $3,372,029) | 3,397,694 | 0.6 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority: | ||||||||||||
1.415%, 12/01/2049 (1 Month LIBOR | ||||||||||||
USD + 1.300%) (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(2) | 2,000,000 | 1,979,200 | 0.3 | % | ||||||||
4.000%, 12/01/2049 (Callable 03/01/2025) | ||||||||||||
(Mandatory Tender Date 06/01/2025)(1) | 2,865,000 | 3,217,195 | 0.6 | % | ||||||||
Other Kentucky(1)(8) | 3,030,360 | 0.5 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $7,579,346) | 8,226,755 | 1.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 91
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Louisiana | ||||||||||||
Other Louisiana(8) | $ | 2,785,146 | 0.5 | % | ||||||||
Total Louisiana | ||||||||||||
(Cost $2,615,607) | 2,785,146 | 0.5 | % | |||||||||
Maine | ||||||||||||
Other Maine(8) | 3,784,081 | 0.6 | % | |||||||||
Total Maine | ||||||||||||
(Cost $3,692,024) | 3,784,081 | 0.6 | % | |||||||||
Maryland | ||||||||||||
Other Maryland(8) | 2,885,838 | 0.5 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $2,845,007) | 2,885,838 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency, | ||||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | $ | 1,895,000 | 2,103,602 | 0.3 | % | |||||||
Other Massachusetts(8) | 3,530,176 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $5,452,440) | 5,633,778 | 0.9 | % | |||||||||
Michigan | ||||||||||||
Michigan State Housing Development Authority: | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 1,910,000 | 2,122,449 | 0.3 | % | ||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 2,000,000 | 2,196,140 | 0.4 | % | ||||||||
Other Michigan(8) | 14,200,089 | 2.4 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $17,772,674) | 18,518,678 | 3.1 | % | |||||||||
Minnesota | ||||||||||||
Other Minnesota(8) | 7,140,837 | 1.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $6,861,204) | 7,140,837 | 1.2 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi(8) | 6,445,876 | 1.1 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $6,047,877) | 6,445,876 | 1.1 | % | |||||||||
Missouri | ||||||||||||
Other Missouri(7)(8) | 8,504,486 | 1.4 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $8,313,423) | 8,504,486 | 1.4 | % | |||||||||
Montana | ||||||||||||
Other Montana(8) | 1,200,000 | 0.2 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,115,040) | 1,200,000 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 92
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nebraska | ||||||||||||
Other Nebraska(1)(8) | $ | 5,641,735 | 0.9 | % | ||||||||
Total Nebraska | ||||||||||||
(Cost $5,282,632) | 5,641,735 | 0.9 | % | |||||||||
Nevada | ||||||||||||
Nevada Housing Division, | ||||||||||||
4.000%, 04/01/2049 | ||||||||||||
(Callable 10/01/2028)(Insured by GNMA) | $ | 1,960,000 | 2,163,350 | 0.4 | % | |||||||
Other Nevada(6)(8) | 2,554,512 | 0.4 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $4,543,222) | 4,717,862 | 0.8 | % | |||||||||
New Jersey | ||||||||||||
Atlantic City Board of Education, | ||||||||||||
3.400%, 08/15/2027(3) | 3,293,000 | 3,629,084 | 0.6 | % | ||||||||
Other New Jersey(1)(2)(8) | 14,552,703 | 2.4 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $17,767,779) | 18,181,787 | 3.0 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico(8) | 2,087,905 | 0.3 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $2,077,462) | 2,087,905 | 0.3 | % | |||||||||
New York | ||||||||||||
City of New York NY, | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,153,640 | 0.2 | % | ||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,153,640 | 0.2 | % | ||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 2,000,000 | 2,015,140 | 0.3 | % | ||||||||
Other New York(3)(8) | 13,219,115 | 2.2 | % | |||||||||
Total New York | ||||||||||||
(Cost $16,851,162) | 17,541,535 | 2.9 | % | |||||||||
North Carolina | ||||||||||||
Other North Carolina(8) | 2,345,534 | 0.4 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $2,198,839) | 2,345,534 | 0.4 | % | |||||||||
North Dakota | ||||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,002,820 | 0.3 | % | ||||||||
Other North Dakota(8) | 9,856,337 | 1.7 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $11,516,439) | 11,859,157 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 93
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Ohio | ||||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 | ||||||||||||
(Callable 11/01/2025)(Insured by SD CRED PROG) | $ | 1,845,000 | $ | 2,213,852 | 0.4 | % | ||||||
Ohio Turnpike & Infrastructure Commission, | ||||||||||||
0.000%, 02/15/2034 (Callable 02/15/2031)(7) | 1,750,000 | 2,111,480 | 0.3 | % | ||||||||
Other Ohio(1)(2)(6)(7)(8) | 16,890,764 | 2.8 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $20,286,015) | 21,216,096 | 3.5 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(8) | 1,843,493 | 0.3 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $1,843,915) | 1,843,493 | 0.3 | % | |||||||||
Oregon | ||||||||||||
Other Oregon(6)(7)(8) | 3,698,030 | 0.6 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $3,378,556) | 3,698,030 | 0.6 | % | |||||||||
Pennsylvania | ||||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 1,895,000 | 2,056,852 | 0.4 | % | ||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 | ||||||||||||
(Callable 05/01/2024)(Insured by BAM) | 1,780,000 | 1,968,075 | 0.3 | % | ||||||||
Other Pennsylvania(1)(7)(8) | 15,132,142 | 2.5 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $18,360,722) | 19,157,069 | 3.2 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico(8) | 757,758 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $729,832) | 757,758 | 0.1 | % | |||||||||
Rhode Island | ||||||||||||
Other Rhode Island(8) | 1,654,249 | 0.3 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $1,542,246) | 1,654,249 | 0.3 | % | |||||||||
South Carolina | ||||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028) | 1,055,000 | 1,269,545 | 0.2 | % | ||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 270,000 | 283,835 | 0.0 | % | ||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 2,500,000 | 2,763,500 | 0.5 | % | ||||||||
0.770%, 05/01/2048 (Callable 07/01/2020) | ||||||||||||
(Optional Put Date 07/07/2020)(1) | 5,075,000 | 5,075,000 | 0.8 | % | ||||||||
South Carolina State Housing | ||||||||||||
Finance & Development Authority, | ||||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 3,000,000 | 3,371,310 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 94
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other South Carolina(6)(8) | $ | 4,920,547 | 0.8 | % | ||||||||
Total South Carolina | ||||||||||||
(Cost $17,334,234) | 17,683,737 | 2.9 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | $ | 3,260,000 | 3,554,671 | 0.6 | % | |||||||
South Dakota Housing Development Authority, | ||||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,430,000 | 2,667,824 | 0.4 | % | ||||||||
Other South Dakota(8) | 636,046 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $6,704,827) | 6,858,541 | 1.1 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN, | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 3,920,000 | 4,426,268 | 0.7 | % | ||||||||
Other Tennessee(1)(8) | 9,722,454 | 1.6 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $13,894,233) | 14,148,722 | 2.3 | % | |||||||||
Texas | ||||||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 | ||||||||||||
(Callable 02/15/2025)(PSF Guaranteed) | 2,100,000 | 2,455,740 | 0.4 | % | ||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | 4,225,000 | 4,755,069 | 0.8 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
1.660%, 12/15/2026 (3 Month LIBOR | ||||||||||||
USD + 1.450%) (Callable 07/01/2020)(2) | 3,000,000 | 2,862,000 | 0.5 | % | ||||||||
Other Texas(1)(3)(6)(7)(8) | 34,002,528 | 5.6 | % | |||||||||
Total Texas | ||||||||||||
(Cost $42,357,314) | 44,075,337 | 7.3 | % | |||||||||
Utah | ||||||||||||
Salt Lake City Corp., | ||||||||||||
5.000%, 07/01/2042 (Callable 07/01/2027) | 2,725,000 | 3,240,379 | 0.6 | % | ||||||||
Other Utah(8) | 6,221,296 | 1.0 | % | |||||||||
Total Utah | ||||||||||||
(Cost $9,047,673) | 9,461,675 | 1.6 | % | |||||||||
Vermont | ||||||||||||
Other Vermont(8) | 1,617,943 | 0.3 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $1,579,354) | 1,617,943 | 0.3 | % | |||||||||
Virgin Islands | ||||||||||||
Other Virgin Islands(3)(8) | 400,704 | 0.1 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $401,959) | 400,704 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 95
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Virginia | ||||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | $ | 3,000,000 | $ | 3,087,600 | 0.5 | % | ||||||
Other Virginia(1)(8) | 635,776 | 0.1 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $3,676,142) | 3,723,376 | 0.6 | % | |||||||||
Washington | ||||||||||||
Other Washington(8) | 7,505,034 | 1.2 | % | |||||||||
Total Washington | ||||||||||||
(Cost $7,084,705) | 7,505,034 | 1.2 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority, | ||||||||||||
5.000%, 10/01/2023(3) | 2,125,000 | 2,231,165 | 0.4 | % | ||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 03/01/2021 | 150,000 | 152,930 | 0.0 | % | ||||||||
5.000%, 03/01/2022 | 125,000 | 131,190 | 0.0 | % | ||||||||
5.000%, 11/01/2022 | 120,000 | 122,880 | 0.0 | % | ||||||||
5.000%, 07/01/2023 | 165,000 | 183,954 | 0.0 | % | ||||||||
5.000%, 11/01/2023 | 125,000 | 128,934 | 0.0 | % | ||||||||
5.000%, 07/01/2024 | 250,000 | 286,892 | 0.1 | % | ||||||||
5.000%, 11/01/2024 | 155,000 | 160,850 | 0.0 | % | ||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 225,000 | 226,537 | 0.0 | % | ||||||||
5.000%, 11/01/2025 | 245,000 | 255,329 | 0.1 | % | ||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 56,872 | 0.0 | % | ||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 750,000 | 700,822 | 0.1 | % | ||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 122,376 | 0.0 | % | ||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 192,056 | 0.0 | % | ||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,109,950 | 0.2 | % | ||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 55,409 | 0.0 | % | ||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 212,199 | 0.0 | % | ||||||||
5.000%, 10/01/2029 | 505,000 | 632,613 | 0.1 | % | ||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 550,718 | 0.1 | % | ||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 670,000 | 701,115 | 0.1 | % | ||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 311,138 | 0.1 | % | ||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 478,469 | 0.1 | % | ||||||||
5.000%, 11/15/2044 (Callable 11/15/2022) | 330,000 | 350,948 | 0.1 | % | ||||||||
5.000%, 02/15/2051 (Callable 08/15/2026) | ||||||||||||
(Mandatory Tender Date 02/15/2027)(1) | 700,000 | 832,853 | 0.1 | % | ||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 1,920,000 | 2,132,026 | 0.4 | % | ||||||||
Other Wisconsin(3)(8) | 12,339,267 | 2.1 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $23,926,780) | 24,659,492 | 4.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 96
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | $ | 1,890,000 | $ | 2,071,629 | 0.3 | % | ||||||
Other Wyoming(8) | 82,731 | 0.0 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $2,084,729) | 2,154,360 | 0.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $580,044,726) | 604,348,922 | 100.0 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, | ||||||||||||
Premier Shares, 0.03%(4) | 327,759 | 327,759 | 0.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $327,759) | 327,759 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $580,372,485) | 604,676,681 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (898,143 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 603,778,538 | 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 contain a variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(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 June 30, 2020, the value of these securities total $15,967,446, which represents 2.64% of total net assets. |
(4) | Seven-day yield. |
(5) | Auction rate security, or group of securities contains an auction rate security. An auction rate security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
The accompanying notes are an integral part of these financial statements.
Page 97
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
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) | Step-up bond or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(8) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 604,348,922 | $ | — | $ | 604,348,922 | ||||||||
Total Long-Term Investments | — | 604,348,922 | — | 604,348,922 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 327,759 | — | — | 327,759 | ||||||||||||
Total Short-Term Investment | 327,759 | — | — | 327,759 | ||||||||||||
Total Investments | $ | 327,759 | $ | 604,348,922 | $ | — | $ | 604,676,681 |
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 98
Baird Municipal Bond Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
| Net Assets | $12,998,621 | ||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.26% | |||
Investor Class | 1.81% | |||
Average | ||||
Effective | ||||
Duration | 5.21 years | |||
Average | ||||
Effective | ||||
Maturity | 5.56 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 108% | |||
Number of | ||||
Holdings | 128 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2020. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 99
Baird Municipal Bond Fund
June 30, 2020 (Unaudited)
Total Returns
Cumulative | ||
Six | Since | |
For the Periods Ended June 30, 2020 | Months | Inception(1) |
Institutional Class Shares | 4.99% | 6.24% |
Investor Class Shares | 4.87% | 6.09% |
Bloomberg Barclays Municipal Bond Index(2) | 2.08% | 2.93% |
(1) | For the period from November 15, 2019 (inception date) through June 30, 2020. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 100
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, 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 | ||||||||||||
Alabama Community College System, | ||||||||||||
3.500%, 11/01/2025 (Insured by BAM) | $ | 100,000 | $ | 112,695 | 0.9 | % | ||||||
Alabama Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 06/01/2026 (Callable 06/01/2025) | 110,000 | 128,920 | 1.0 | % | ||||||||
University of West Alabama: | ||||||||||||
4.000%, 01/01/2040 | ||||||||||||
(Callable 01/01/2030)(Insured by AGM) | 50,000 | 55,569 | 0.4 | % | ||||||||
4.000%, 01/01/2041 | ||||||||||||
(Callable 01/01/2030)(Insured by AGM) | 100,000 | 110,808 | 0.9 | % | ||||||||
Other Alabama(1)(7) | 106,044 | 0.8 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $500,907) | 514,036 | 4.0 | % | |||||||||
Alaska | ||||||||||||
Other Alaska(7) | 100,193 | 0.8 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $99,553) | 100,193 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Other Arizona(3)(7) | 127,454 | 1.0 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $127,023) | 127,454 | 1.0 | % | |||||||||
Arkansas | ||||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 | ||||||||||||
(Callable 03/01/2025)(Insured by AGM) | 130,000 | 146,828 | 1.1 | % | ||||||||
Total Arkansas | ||||||||||||
(Cost $141,833) | 146,828 | 1.1 | % | |||||||||
California | ||||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2031 | ||||||||||||
(Callable 08/01/2028)(Insured by AGM)(5) | 115,000 | 138,040 | 1.1 | % | ||||||||
Los Alamitos Unified School District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2029)(5) | 105,000 | 114,856 | 0.9 | % | ||||||||
Los Angeles Regional Airports Improvement Corp., | ||||||||||||
4.500%, 01/01/2027 (Callable 01/01/2022) | 125,000 | 128,212 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 101
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Oxnard School District, | ||||||||||||
2.000%, 08/01/2045 | ||||||||||||
(Callable 08/01/2026)(Insured by BAM)(5) | $ | 150,000 | $ | 163,577 | 1.2 | % | ||||||
Other California(2)(5)(7) | 370,591 | 2.8 | % | |||||||||
Total California | ||||||||||||
(Cost $881,816) | 915,276 | 7.0 | % | |||||||||
Colorado | ||||||||||||
City & County of Denver CO, | ||||||||||||
5.000%, 08/01/2041 (Callable 08/01/2026) | 115,000 | 136,573 | 1.1 | % | ||||||||
E-470 Public Highway Authority, | ||||||||||||
0.000%, 09/01/2029 (Insured by NATL) | 125,000 | 108,045 | 0.8 | % | ||||||||
Other Colorado(7) | 126,025 | 1.0 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $345,223) | 370,643 | 2.9 | % | |||||||||
Connecticut | ||||||||||||
Connecticut State Higher Education | ||||||||||||
Supplement Loan Authority, | ||||||||||||
3.000%, 11/15/2035 (Callable 11/15/2026)(6) | 150,000 | 147,942 | 1.1 | % | ||||||||
Total Connecticut | ||||||||||||
(Cost $146,754) | 147,942 | 1.1 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 | ||||||||||||
(Callable 01/01/2028)(Insured by GNMA) | 150,000 | 168,573 | 1.3 | % | ||||||||
Orange County Convention Center, | ||||||||||||
4.000%, 10/01/2034 (Callable 10/01/2026) | 150,000 | 162,678 | 1.2 | % | ||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 200,000 | 214,932 | 1.7 | % | ||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 200,000 | 207,560 | 1.6 | % | ||||||||
Other Florida(7) | 79,395 | 0.6 | % | |||||||||
Total Florida | ||||||||||||
(Cost $837,062) | 833,138 | 6.4 | % | |||||||||
Georgia | ||||||||||||
Burke County Development Authority, | ||||||||||||
0.320%, 11/01/2052 (Optional Put Date 07/01/2020)(1) | 200,000 | 200,000 | 1.5 | % | ||||||||
Total Georgia | ||||||||||||
(Cost $200,000) | 200,000 | 1.5 | % | |||||||||
Illinois | ||||||||||||
City of Chicago IL: | ||||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 100,000 | 77,413 | 0.6 | % | ||||||||
0.000%, 01/01/2031 (Insured by NATL) | 200,000 | 127,366 | 1.0 | % | ||||||||
State of Illinois, | ||||||||||||
5.500%, 05/01/2030 | 100,000 | 114,008 | 0.9 | % | ||||||||
Village of Crestwood IL, | ||||||||||||
4.000%, 12/15/2027 | ||||||||||||
(Callable 12/15/2025)(Insured by BAM) | 100,000 | 111,919 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 102
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Will County Community High School District No. 210, | ||||||||||||
4.000%, 01/01/2034 | ||||||||||||
(Callable 01/01/2029)(Insured by AGM) | $ | 100,000 | $ | 109,851 | 0.8 | % | ||||||
Other Illinois(3)(7) | 749,700 | 5.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $1,260,330) | 1,290,257 | 9.9 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 150,000 | 151,986 | 1.2 | % | ||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2026) | 100,000 | 117,429 | 0.9 | % | ||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2028 | 155,000 | 136,811 | 1.0 | % | ||||||||
Total Indiana | ||||||||||||
(Cost $384,398) | 406,226 | 3.1 | % | |||||||||
Iowa | ||||||||||||
Other Iowa(7) | 100,195 | 0.8 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $99,375) | 100,195 | 0.8 | % | |||||||||
Kansas | ||||||||||||
City of Coffeyville KS, | ||||||||||||
5.000%, 06/01/2025 (Insured by NATL)(3) | 100,000 | 107,910 | 0.8 | % | ||||||||
Other Kansas(7) | 23,752 | 0.2 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $129,401) | 131,662 | 1.0 | % | |||||||||
Kentucky | ||||||||||||
Other Kentucky(2)(7) | 124,486 | 1.0 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $122,249) | 124,486 | 1.0 | % | |||||||||
Louisiana | ||||||||||||
Other Louisiana(7) | 50,664 | 0.4 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $50,000) | 50,664 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Other Massachusetts(3)(7) | 60,127 | 0.5 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $57,848) | 60,127 | 0.5 | % | |||||||||
Minnesota | ||||||||||||
Other Minnesota(7) | 53,241 | 0.4 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $54,783) | 53,241 | 0.4 | % | |||||||||
Missouri | ||||||||||||
St. Louis Land Clearance for Redevelopment Authority: | ||||||||||||
4.250%, 06/01/2026 | 125,000 | 133,975 | 1.0 | % | ||||||||
5.000%, 10/01/2035 (Callable 10/01/2029)(5) | 175,000 | 153,878 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 103
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Missouri(7) | $ | 360,137 | 2.8 | % | ||||||||
Total Missouri | ||||||||||||
(Cost $667,545) | 647,990 | 5.0 | % | |||||||||
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | $ | 100,000 | 113,636 | 0.9 | % | |||||||
Total Nebraska | ||||||||||||
(Cost $100,000) | 113,636 | 0.9 | % | |||||||||
Nevada | ||||||||||||
Other Nevada(3)(7) | 49,075 | 0.4 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $45,047) | 49,075 | 0.4 | % | |||||||||
New Jersey | ||||||||||||
Essex County Improvement Authority, | ||||||||||||
5.000%, 11/01/2027 | 100,000 | 123,226 | 1.0 | % | ||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 300,000 | 316,593 | 2.4 | % | ||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
0.000%, 12/15/2026 (Insured by AMBAC) | 35,000 | 28,362 | 0.2 | % | ||||||||
5.000%, 12/15/2028 | 200,000 | 232,674 | 1.8 | % | ||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 100,000 | 108,505 | 0.8 | % | ||||||||
Other New Jersey(3)(7) | 111,488 | 0.9 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $894,658) | 920,848 | 7.1 | % | |||||||||
New York | ||||||||||||
Middletown City School District, | ||||||||||||
3.000%, 06/15/2034 | ||||||||||||
(Callable 06/15/2024)(Insured by ST AID) | 110,000 | 115,564 | 0.9 | % | ||||||||
New York City Transitional Finance Authority, | ||||||||||||
4.000%, 07/15/2040 | ||||||||||||
(Callable 07/15/2029)(Insured by ST AID) | 150,000 | 172,237 | 1.3 | % | ||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2026) | 55,000 | 65,148 | 0.5 | % | ||||||||
5.000%, 03/15/2048 (Callable 09/15/2028) | 250,000 | 306,632 | 2.3 | % | ||||||||
New York Transportation Development Corp.: | ||||||||||||
5.000%, 01/01/2021 | 75,000 | 75,590 | 0.6 | % | ||||||||
5.000%, 01/01/2024 | 75,000 | 79,088 | 0.6 | % | ||||||||
Town of Ramapo NY: | ||||||||||||
3.250%, 05/15/2023 | 100,000 | 96,749 | 0.7 | % | ||||||||
3.750%, 03/01/2030 (Callable 03/01/2023) | 50,000 | 46,462 | 0.4 | % | ||||||||
Other New York(7) | 218,201 | 1.7 | % | |||||||||
Total New York | ||||||||||||
(Cost $1,130,285) | 1,175,671 | 9.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 104
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Carolina | ||||||||||||
Other North Carolina(7) | $ | 76,361 | 0.6 | % | ||||||||
Total North Carolina | ||||||||||||
(Cost $81,920) | 76,361 | 0.6 | % | |||||||||
North Dakota | ||||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
3.350%, 07/01/2031 (Callable 01/01/2027) | $ | 150,000 | 164,617 | 1.3 | % | |||||||
Other North Dakota(7) | 200,020 | 1.5 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $362,055) | 364,637 | 2.8 | % | |||||||||
Ohio | ||||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
2.659%, 12/01/2023(1) | 170,000 | 168,163 | 1.3 | % | ||||||||
Port of Greater Cincinnati Development Authority: | ||||||||||||
3.000%, 05/01/2023 (Callable 05/01/2022) | 100,000 | 99,818 | 0.7 | % | ||||||||
5.000%, 04/01/2030(6) | 125,000 | 152,391 | 1.2 | % | ||||||||
Other Ohio(5)(7) | 156,740 | 1.2 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $575,819) | 577,112 | 4.4 | % | |||||||||
Oklahoma | ||||||||||||
Other Oklahoma(7) | 160,142 | 1.2 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $162,272) | 160,142 | 1.2 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
5.000%, 06/15/2038 (Callable 06/15/2027)(5) | 100,000 | 121,772 | 0.9 | % | ||||||||
Other Oregon(7) | 62,139 | 0.5 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $169,994) | 183,911 | 1.4 | % | |||||||||
Pennsylvania | ||||||||||||
East Hempfield Township Industrial Development Authority, | ||||||||||||
5.000%, 07/01/2025 | 150,000 | 150,775 | 1.2 | % | ||||||||
Other Pennsylvania(1)(5)(7) | 355,539 | 2.7 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $503,181) | 506,314 | 3.9 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Turnpike & Bridge Authority, | ||||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029) | 125,000 | 140,395 | 1.1 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $139,845) | 140,395 | 1.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 105
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Carolina | ||||||||||||
Florence-Darlington Commission for Technical Education, | ||||||||||||
5.000%, 03/01/2024 (Callable 09/01/2023) | $ | 100,000 | $ | 106,147 | 0.8 | % | ||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 100,000 | 105,124 | 0.8 | % | ||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 150,000 | 165,810 | 1.3 | % | ||||||||
Other South Carolina(1)(7) | 172,657 | 1.3 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $548,185) | 549,738 | 4.2 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 125,000 | 136,299 | 1.0 | % | ||||||||
Total South Dakota | ||||||||||||
(Cost $134,232) | 136,299 | 1.0 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN, | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 125,000 | 141,144 | 1.1 | % | ||||||||
Total Tennessee | ||||||||||||
(Cost $143,504) | 141,144 | 1.1 | % | |||||||||
Texas | ||||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/01/2033 | ||||||||||||
(Callable 08/01/2028)(PSF Guaranteed) | 125,000 | 147,346 | 1.2 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 100,000 | 116,224 | 0.9 | % | ||||||||
Other Texas(2)(5)(7) | 277,056 | 2.1 | % | |||||||||
Total Texas | ||||||||||||
(Cost $526,573) | 540,626 | 4.2 | % | |||||||||
Utah | ||||||||||||
Weber Basin Water Conservancy District, | ||||||||||||
5.000%, 10/01/2050 (Callable 10/01/2029) | 205,000 | 258,761 | 2.0 | % | ||||||||
Total Utah | ||||||||||||
(Cost $255,328) | 258,761 | 2.0 | % | |||||||||
Washington | ||||||||||||
King County Housing Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 200,000 | 237,572 | 1.8 | % | ||||||||
Other Washington(2)(7) | 88,105 | 0.7 | % | |||||||||
Total Washington | ||||||||||||
(Cost $310,565) | 325,677 | 2.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 106
Baird Municipal Bond Fund
Summary Schedule of Investments, June 30, 2020 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin | ||||||||||||
Green Bay Housing Authority, | ||||||||||||
2.000%, 04/01/2030 (Callable 04/01/2025) | $ | 140,000 | $ | 142,393 | 1.1 | % | ||||||
Public Finance Authority: | ||||||||||||
5.000%, 07/01/2022 | 100,000 | 101,913 | 0.8 | % | ||||||||
5.000%, 10/01/2023(3) | 75,000 | 78,747 | 0.6 | % | ||||||||
Other Wisconsin(6)(7) | 251,895 | 1.9 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $564,281) | 574,948 | 4.4 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $12,753,844) | 13,015,653 | 100.1 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free | ||||||||||||
Cash Trust, Premier Shares, 0.03%(4) | 62,793 | 62,793 | 0.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $62,793) | 62,793 | 0.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $12,816,637) | 13,078,446 | 100.6 | % | |||||||||
Liabilities in Excess of Other Assets | (79,825 | ) | (0.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 12,998,621 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
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 contain a variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security, or group of securities contain a variable rate security, based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(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 June 30, 2020, the value of these securities total $587,318, which represents 4.52% of total net assets. |
(4) | Seven-day yield. |
(5) | Step-up bond or group of securities contain a step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(6) | Security or a portion of the security, or group of securities contain a security, purchased on a when-issued or delayed delivery basis. |
(7) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 107
Baird Municipal Bond Fund
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 13,015,653 | $ | — | $ | 13,015,653 | ||||||||
Total Long-Term Investments | — | 13,015,653 | — | 13,015,653 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 62,793 | — | — | 62,793 | ||||||||||||
Total Short-Term Investment | 62,793 | — | — | 62,793 | ||||||||||||
Total Investments | $ | 62,793 | $ | 13,015,653 | $ | — | $ | 13,078,446 |
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 108
Additional Information on Fund Expenses
June 30, 2020 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/20 – 6/30/20).
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.
Page 109
Additional Information on Fund Expenses
June 30, 2020 (Unaudited)
Actual vs. Hypothetical Returns
Hypothetical | |||||||
(5% return | |||||||
Actual | before expenses) | ||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||
Annualized | Account | Account | Paid | Account | Paid | ||
Expense | Value | Value | During | Value | During | ||
Ratio(1) | 1/1/20 | 6/30/20 | Period(1) | 6/30/20 | Period(1) | ||
Baird Ultra Short Bond Fund | |||||||
Institutional Class | 0.15% | $1,000.00 | $1,011.80 | $0.75 | $1,024.12 | $0.75 | |
Investor Class | 0.40% | $1,000.00 | $1,014.10 | $2.00 | $1,022.87 | $2.01 | |
Baird Short-Term | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,029.30 | $1.51 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,028.00 | $2.77 | $1,022.13 | $2.77 | |
Baird Intermediate | |||||||
Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,055.60 | $1.53 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,054.30 | $2.81 | $1,022.13 | $2.77 | |
Baird Aggregate Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,063.60 | $1.54 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,062.70 | $2.82 | $1,022.13 | $2.77 | |
Baird Core Plus Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,058.00 | $1.54 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,056.80 | $2.81 | $1,022.13 | $2.77 | |
Baird Short-Term | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,016.10 | $1.50 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,014.90 | $2.76 | $1,022.13 | $2.77 | |
Baird Strategic | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,048.10 | $1.53 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,046.10 | $2.80 | $1,022.13 | $2.77 | |
Baird Quality Intermediate | |||||||
Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,027.50 | $1.51 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,026.50 | $2.77 | $1,022.13 | $2.77 | |
Baird Core Intermediate | |||||||
Municipal Bond Fund | �� | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,023.30 | $1.51 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,023.10 | $2.77 | $1,022.13 | $2.77 | |
Baird Municipal Bond Fund | |||||||
Institutional Class | 0.30% | $1,000.00 | $1,049.90 | $1.53 | $1,023.37 | $1.51 | |
Investor Class | 0.55% | $1,000.00 | $1,048.70 | $2.80 | $1,022.13 | $2.77 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, 182 days and divided by 366 to reflect the one-half year period. |
Page 110
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $2,587,221,695, $7,393,320,893 | ||||||||||||
and $4,628,423,552, respectively) | $ | 2,595,113,765 | $ | 7,528,454,990 | $ | 4,869,740,710 | ||||||
Interest receivable | 12,492,481 | 41,013,682 | 27,998,996 | |||||||||
Receivable for investments sold | — | 160,410,029 | — | |||||||||
Receivable for Fund shares sold | 30,169,791 | 41,117,861 | 9,915,708 | |||||||||
Uninvested cash | — | — | 264,597 | |||||||||
Prepaid expenses and other assets | — | — | 133,729 | |||||||||
Total assets | 2,637,776,037 | 7,770,996,562 | 4,908,053,740 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 58,497,288 | 231,056,467 | 111,713,159 | |||||||||
Payable for Fund shares redeemed | 2,639,776 | 7,545,683 | 1,572,555 | |||||||||
Payable to Advisor, net (Note 5) | 207,257 | 1,535,969 | 966,934 | |||||||||
Due to custodian | 309,348 | 5,474,538 | — | |||||||||
Accrued administration fees (Note 5) | 103,628 | 307,194 | 193,387 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 17,245 | 54,568 | 20,486 | |||||||||
Accrued expenses and other liabilities | — | 22 | 861 | |||||||||
Total liabilities | 61,774,542 | 245,974,441 | 114,467,382 | |||||||||
NET ASSETS | $ | 2,576,001,495 | $ | 7,525,022,121 | $ | 4,793,586,358 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 2,565,455,962 | $ | 7,332,820,096 | $ | 4,497,572,762 | ||||||
Total distributable earnings | 10,545,533 | 192,202,025 | 296,013,596 | |||||||||
NET ASSETS | $ | 2,576,001,495 | $ | 7,525,022,121 | $ | 4,793,586,358 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 2,519,824,225 | $ | 7,340,220,828 | $ | 4,742,074,887 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 249,684,742 | 737,834,164 | 403,201,049 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.09 | $ | 9.95 | $ | 11.76 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 56,177,270 | $ | 184,801,293 | $ | 51,511,471 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 5,551,609 | 18,581,804 | 4,182,324 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.12 | $ | 9.95 | $ | 12.32 |
The accompanying notes are an integral part of these financial statements.
Page 111
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $25,866,469,710 | ||||||||
and $25,155,201,192, respectively) | $ | 27,497,250,302 | $ | 26,760,670,397 | ||||
Interest receivable | 148,972,154 | 167,475,871 | ||||||
Receivable for investments sold | 26,440,307 | 30,873,719 | ||||||
Receivable for Fund shares sold | 82,297,439 | 47,520,642 | ||||||
Uninvested cash | 36,231,281 | 1,373,945 | ||||||
Prepaid expenses and other assets | 143,633 | 6,981 | ||||||
Total assets | 27,791,335,116 | 27,007,921,555 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 781,333,673 | 348,468,655 | ||||||
Payable for Fund shares redeemed | 12,082,411 | 66,726,650 | ||||||
Payable to Advisor, net (Note 5) | 5,422,553 | 5,408,480 | ||||||
Accrued administration fees (Note 5) | 1,084,511 | 1,081,696 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 334,848 | 675,714 | ||||||
Accrued expenses and other liabilities | — | 21 | ||||||
Total liabilities | 800,257,996 | 422,361,216 | ||||||
NET ASSETS | $ | 26,991,077,120 | $ | 26,585,560,339 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 25,006,659,484 | $ | 24,684,891,735 | ||||
Total distributable earnings | 1,984,417,636 | 1,900,668,604 | ||||||
NET ASSETS | $ | 26,991,077,120 | $ | 26,585,560,339 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 26,141,693,986 | $ | 24,085,539,696 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 2,219,322,963 | 1,996,126,462 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 11.78 | $ | 12.07 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 849,383,134 | $ | 2,500,020,643 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 69,631,849 | 198,542,697 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 12.20 | $ | 12.59 |
The accompanying notes are an integral part of these financial statements.
Page 112
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird | ||||||||||||
Baird | Baird | Quality | ||||||||||
Short-Term | Strategic | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $1,114,025,402, $42,913,250 | ||||||||||||
and $1,317,608,954, respectively) | $ | 1,132,523,032 | $ | 43,517,529 | $ | 1,385,325,118 | ||||||
Interest receivable | 9,635,791 | 369,941 | 12,020,457 | |||||||||
Receivable for investments sold | 15,201,833 | 1,690,130 | — | |||||||||
Receivable for Fund shares sold | 29,204,787 | 334,585 | 4,542,023 | |||||||||
Receivable for variation | ||||||||||||
margin on futures contracts | — | 3,125 | — | |||||||||
Deposits with broker for future contracts | — | 19,039 | — | |||||||||
Uninvested cash | 24,253 | — | — | |||||||||
Total assets | 1,186,589,696 | 45,934,349 | 1,401,887,598 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 13,223,577 | 3,443,075 | 5,917,382 | |||||||||
Payable for Fund shares redeemed | 2,816,831 | 1,698 | 830,156 | |||||||||
Payable to Advisor, net (Note 5) | 232,626 | 7,684 | 282,007 | |||||||||
Due to custodian | — | — | 10,644 | |||||||||
Accrued administration fees (Note 5) | 46,525 | 1,537 | 56,402 | |||||||||
Accrued interest expense (Note 6) | 172 | — | — | |||||||||
Line of credit payable (Note 6) | 4,961,000 | — | — | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 49,589 | 2,671 | 81,008 | |||||||||
Total liabilities | 21,330,320 | 3,456,665 | 7,177,599 | |||||||||
NET ASSETS | $ | 1,165,259,376 | $ | 42,477,684 | $ | 1,394,709,999 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 1,147,982,443 | $ | 41,311,122 | $ | 1,335,821,828 | ||||||
Total distributable earnings | 17,276,933 | 1,166,562 | 58,888,171 | |||||||||
NET ASSETS | $ | 1,165,259,376 | $ | 42,477,684 | $ | 1,394,709,999 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,095,799,055 | $ | 36,076,761 | $ | 1,306,919,313 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 105,943,320 | 3,449,644 | 109,355,001 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.34 | $ | 10.46 | $ | 11.95 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 69,460,321 | $ | 6,400,923 | $ | 87,790,686 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 6,725,525 | 612,409 | 7,165,863 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.33 | $ | 10.45 | $ | 12.25 |
The accompanying notes are an integral part of these financial statements.
Page 113
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird Core | ||||||||
Intermediate | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $580,372,485 | ||||||||
and $12,816,637, respectively) | $ | 604,676,681 | $ | 13,078,446 | ||||
Interest receivable | 5,368,239 | 119,315 | ||||||
Receivable for investments sold | 2,325,812 | 653,376 | ||||||
Receivable for Fund shares sold | 4,193,180 | — | ||||||
Uninvested cash | 11,141 | — | ||||||
Total assets | 616,575,053 | 13,851,137 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 12,073,257 | 849,196 | ||||||
Payable for Fund shares redeemed | 573,753 | — | ||||||
Payable to Advisor, net (Note 5) | 119,706 | 2,745 | ||||||
Accrued administration fees (Note 5) | 23,941 | 549 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 5,858 | 26 | ||||||
Total liabilities | 12,796,515 | 852,516 | ||||||
NET ASSETS | $ | 603,778,538 | $ | 12,998,621 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 578,398,870 | $ | 12,434,825 | ||||
Total distributable earnings | 25,379,668 | 563,796 | ||||||
NET ASSETS | $ | 603,778,538 | $ | 12,998,621 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 579,991,373 | $ | 12,887,682 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 53,779,038 | 1,227,271 | ||||||
Net asset value, offering and redemption price per share | $ | 10.78 | $ | 10.50 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 23,787,165 | $ | 110,939 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 2,206,821 | 10,566 | ||||||
Net asset value, offering and redemption price per share | $ | 10.78 | $ | 10.50 |
The accompanying notes are an integral part of these financial statements.
Page 114
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 19,094,120 | $ | 86,744,920 | $ | 60,013,961 | ||||||
Total investment income | 19,094,120 | 86,744,920 | 60,013,961 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 2,443,959 | 8,753,270 | 5,620,353 | |||||||||
Administration fees (Note 5) | 488,792 | 1,750,654 | 1,124,071 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 94,548 | 216,432 | 63,560 | |||||||||
Total expenses | 3,027,299 | 10,720,356 | 6,807,984 | |||||||||
Fee waiver by Advisor (Note 5) | (1,466,375 | ) | — | — | ||||||||
Net expenses | 1,560,924 | 10,720,356 | 6,807,984 | |||||||||
NET INVESTMENT INCOME | 17,533,196 | 76,024,564 | 53,205,977 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN ON INVESTMENTS: | ||||||||||||
Net realized gain on investments | 1,874,656 | 63,491,937 | 70,716,947 | |||||||||
Net change in unrealized | ||||||||||||
appreciation on investments | 5,298,987 | 60,968,079 | 118,660,992 | |||||||||
Net realized and unrealized gain on investments | 7,173,643 | 124,460,016 | 189,377,939 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 24,706,839 | $ | 200,484,580 | $ | 242,583,916 |
The accompanying notes are an integral part of these financial statements.
Page 115
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 328,510,721 | $ | 367,054,971 | ||||
Other income | — | 55,000 | ||||||
Total investment income | 328,510,721 | 367,109,971 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 30,594,402 | 31,542,190 | ||||||
Administration fees (Note 5) | 6,118,880 | 6,308,438 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 1,038,537 | 3,101,253 | ||||||
Total expenses | 37,751,819 | 40,951,881 | ||||||
NET INVESTMENT INCOME | 290,758,902 | 326,158,090 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 380,498,542 | 348,490,322 | ||||||
Net change in unrealized appreciation on investments | 822,806,725 | 729,600,668 | ||||||
Net realized and unrealized gain on investments | 1,203,305,267 | 1,078,090,990 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 1,494,064,169 | $ | 1,404,249,080 |
The accompanying notes are an integral part of these financial statements.
Page 116
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird | ||||||||||||
Baird | Baird | Quality | ||||||||||
Short-Term | Strategic | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 10,639,626 | $ | 272,022 | $ | 16,117,223 | ||||||
Other income | — | 132 | — | |||||||||
Total investment income | 10,639,626 | 272,154 | 16,117,223 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 1,312,058 | 27,271 | 1,662,366 | |||||||||
Administration fees (Note 5) | 262,412 | 5,454 | 332,473 | |||||||||
Interest expense (Note 7) | 243 | — | 4,976 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 110,054 | 2,715 | 103,704 | |||||||||
Total expenses | 1,684,767 | 35,440 | 2,103,519 | |||||||||
NET INVESTMENT INCOME | 8,954,859 | 236,714 | 14,013,704 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON | ||||||||||||
INVESTMENTS AND FUTURES CONTRACTS: | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (1,053,907 | ) | 518,474 | 796,934 | ||||||||
Futures contracts | — | 4,023 | — | |||||||||
Net change in unrealized | ||||||||||||
appreciation (depreciation) on: | ||||||||||||
Investments | 8,821,397 | 565,144 | 19,460,143 | |||||||||
Futures contracts | — | (12,883 | ) | — | ||||||||
Net realized and unrealized gain | ||||||||||||
on investments and futures contracts | 7,767,490 | 1,074,758 | 20,257,077 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 16,722,349 | $ | 1,311,472 | $ | 34,270,781 |
The accompanying notes are an integral part of these financial statements.
Page 117
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird Core | ||||||||
Intermediate | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 7,069,758 | $ | 133,611 | ||||
Other income | — | 59 | ||||||
Total investment income | 7,069,758 | 133,670 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 687,307 | 13,356 | ||||||
Administration fees (Note 5) | 137,461 | 2,671 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 14,735 | 45 | ||||||
Total expenses | 839,503 | 16,072 | ||||||
NET INVESTMENT INCOME | 6,230,255 | 117,598 | ||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS: | ||||||||
Net realized gain on investments | 749,830 | 266,475 | ||||||
Net change in unrealized appreciation on investments | 5,995,714 | 220,007 | ||||||
Net realized and unrealized gain on investments | 6,745,544 | 486,482 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 12,975,799 | $ | 604,080 |
The accompanying notes are an integral part of these financial statements.
Page 118
Statements of Changes in Net Assets
Baird Ultra Short Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,533,196 | $ | 37,739,622 | ||||
Net realized gain on investments | 1,874,656 | 1,283,731 | ||||||
Net change in unrealized appreciation on investments | 5,298,987 | 4,766,335 | ||||||
Net increase in net assets resulting from operations | 24,706,839 | 43,789,688 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,097,082,565 | 1,576,519,226 | ||||||
Shares issued to holders in reinvestment of distributions | 16,665,568 | 36,713,747 | ||||||
Cost of shares redeemed | (1,278,844,709 | ) | (932,349,988 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 834,903,424 | 680,882,985 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (16,477,304 | ) | (37,557,823 | ) | ||||
Investor Class | (665,975 | ) | (624,557 | ) | ||||
Total net distributions to shareholders | (17,143,279 | ) | (38,182,380 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 842,466,984 | 686,490,293 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,733,534,511 | 1,047,044,218 | ||||||
End of period | $ | 2,576,001,495 | $ | 1,733,534,511 |
The accompanying notes are an integral part of these financial statements.
Page 119
Statements of Changes in Net Assets
Baird Short-Term Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 76,024,564 | $ | 161,129,708 | ||||
Net realized gain on investments | 63,491,937 | 24,666,686 | ||||||
Net change in unrealized appreciation on investments | 60,968,079 | 107,756,900 | ||||||
Net increase in net assets resulting from operations | 200,484,580 | 293,553,294 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,336,732,100 | 2,907,577,528 | ||||||
Shares issued to holders in reinvestment of distributions | 68,695,511 | 149,691,548 | ||||||
Cost of shares redeemed | (1,657,723,610 | ) | (2,278,660,216 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 747,704,001 | 778,608,860 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (72,978,120 | ) | (158,021,583 | ) | ||||
Investor Class | (1,625,732 | ) | (3,939,938 | ) | ||||
Total net distributions to shareholders | (74,603,852 | ) | (161,961,521 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 873,584,729 | 910,200,633 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 6,651,437,392 | 5,741,236,759 | ||||||
End of period | $ | 7,525,022,121 | $ | 6,651,437,392 |
The accompanying notes are an integral part of these financial statements.
Page 120
Statements of Changes in Net Assets
Baird Intermediate Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 53,205,977 | $ | 103,522,908 | ||||
Net realized gain on investments | 70,716,947 | 8,857,119 | ||||||
Net change in unrealized appreciation on investments | 118,660,992 | 157,961,371 | ||||||
Net increase in net assets resulting from operations | 242,583,916 | 270,341,398 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 734,344,686 | 1,396,378,184 | ||||||
Shares issued to holders in reinvestment of distributions | 44,653,214 | 87,687,553 | ||||||
Cost of shares redeemed | (570,110,241 | ) | (568,729,114 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 208,887,659 | 915,336,623 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (51,622,069 | ) | (102,554,663 | ) | ||||
Investor Class | (498,945 | ) | (1,094,238 | ) | ||||
Total net distributions to shareholders | (52,121,014 | ) | (103,648,901 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 399,350,561 | 1,082,029,120 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 4,394,235,797 | 3,312,206,677 | ||||||
End of period | $ | 4,793,586,358 | $ | 4,394,235,797 |
The accompanying notes are an integral part of these financial statements.
Page 121
Statements of Changes in Net Assets
Baird Aggregate Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 290,758,902 | $ | 547,157,275 | ||||
Net realized gain on investments | 380,498,542 | 117,338,627 | ||||||
Net change in unrealized appreciation on investments | 822,806,725 | 1,082,352,966 | ||||||
Net increase in net assets resulting from operations | 1,494,064,169 | 1,746,848,868 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,781,878,492 | 10,015,319,367 | ||||||
Shares issued to holders in reinvestment of distributions | 269,385,353 | 512,385,172 | ||||||
Cost of shares redeemed | (3,900,163,999 | ) | (4,678,796,166 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 3,151,099,846 | 5,848,908,373 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (289,209,258 | ) | (549,645,021 | ) | ||||
Investor Class | (8,676,496 | ) | (17,995,718 | ) | ||||
Total net distributions to shareholders | (297,885,754 | ) | (567,640,739 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 4,347,278,261 | 7,028,116,502 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 22,643,798,859 | 15,615,682,357 | ||||||
End of period | $ | 26,991,077,120 | $ | 22,643,798,859 |
The accompanying notes are an integral part of these financial statements.
Page 122
Statements of Changes in Net Assets
Baird Core Plus Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 326,158,090 | $ | 609,321,044 | ||||
Net realized gain on investments | 348,490,322 | 87,582,941 | ||||||
Net change in unrealized appreciation on investments | 729,600,668 | 1,227,759,163 | ||||||
Net increase in net assets resulting from operations | 1,404,249,080 | 1,924,663,148 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,131,465,765 | 8,006,235,991 | ||||||
Shares issued to holders in reinvestment of distributions | 309,110,570 | 584,928,310 | ||||||
Cost of shares redeemed | (3,852,617,177 | ) | (3,769,814,425 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,587,959,158 | 4,821,349,876 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (303,116,555 | ) | (567,068,342 | ) | ||||
Investor Class | (28,341,169 | ) | (60,455,523 | ) | ||||
Total net distributions to shareholders | (331,457,724 | ) | (627,523,865 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 2,660,750,514 | 6,118,489,159 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 23,924,809,825 | 17,806,320,666 | ||||||
End of period | $ | 26,585,560,339 | $ | 23,924,809,825 |
The accompanying notes are an integral part of these financial statements.
Page 123
Statements of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 8,954,859 | $ | 11,618,292 | ||||
Net realized loss on investments | (1,053,907 | ) | (32,969 | ) | ||||
Net change in unrealized appreciation on investments | 8,821,397 | 9,376,603 | ||||||
Net increase in net assets resulting from operations | 16,722,349 | 20,961,926 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 480,627,966 | 896,607,390 | ||||||
Shares issued to holders in reinvestment of distributions | 7,429,422 | 9,383,424 | ||||||
Cost of shares redeemed | (346,542,977 | ) | (244,784,136 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 141,514,411 | 661,206,678 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (8,056,581 | ) | (10,340,865 | ) | ||||
Investor Class | (628,318 | ) | (1,298,626 | ) | ||||
Total net distributions to shareholders | (8,684,899 | ) | (11,639,491 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 149,551,861 | 670,529,113 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,015,707,515 | 345,178,402 | ||||||
End of period | $ | 1,165,259,376 | $ | 1,015,707,515 |
The accompanying notes are an integral part of these financial statements.
Page 124
Statements of Changes in Net Assets
Baird Strategic Municipal Bond Fund
Six Months Ended | November 15, 2019^ | |||||||
June 30, 2020 | through | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 236,714 | $ | 22,291 | ||||
Net realized gain on investments | 522,497 | 40,936 | ||||||
Net change in unrealized appreciation on investments | 552,261 | 39,135 | ||||||
Net increase in net assets resulting from operations | 1,311,472 | 102,362 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 31,749,311 | 11,940,204 | ||||||
Shares issued to holders in reinvestment of distributions | 201,968 | 19,842 | ||||||
Cost of shares redeemed | (2,600,203 | ) | — | |||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 29,351,076 | 11,960,046 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (198,645 | ) | (21,632 | ) | ||||
Investor Class | (26,953 | ) | (42 | ) | ||||
Total net distributions to shareholders | (225,598 | ) | (21,674 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 30,436,950 | 12,040,734 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 12,040,734 | — | ||||||
End of period | $ | 42,477,684 | $ | 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 125
Statements of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 14,013,704 | $ | 27,923,026 | ||||
Net realized gain (loss) on investments | 796,934 | (296,303 | ) | |||||
Net change in unrealized appreciation on investments | 19,460,143 | 36,837,003 | ||||||
Net increase in net assets resulting from operations | 34,270,781 | 64,463,726 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 273,525,326 | 456,956,508 | ||||||
Shares issued to holders in reinvestment of distributions | 11,934,308 | 24,635,306 | ||||||
Cost of shares redeemed | (253,806,652 | ) | (295,612,497 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 31,652,982 | 185,979,317 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (12,895,673 | ) | (26,299,068 | ) | ||||
Investor Class | (735,672 | ) | (1,731,578 | ) | ||||
Total net distributions to shareholders | (13,631,345 | ) | (28,030,646 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 52,292,418 | 222,412,397 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,342,417,581 | 1,120,005,184 | ||||||
End of period | $ | 1,394,709,999 | $ | 1,342,417,581 |
The accompanying notes are an integral part of these financial statements.
Page 126
Statements of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 6,230,255 | $ | 10,624,164 | ||||
Net realized gain on investments | 749,830 | 1,173,329 | ||||||
Net change in unrealized appreciation on investments | 5,995,714 | 16,527,720 | ||||||
Net increase in net assets resulting from operations | 12,975,799 | 28,325,213 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 166,273,141 | 206,715,430 | ||||||
Shares issued to holders in reinvestment of distributions | 4,522,497 | 7,931,294 | ||||||
Cost of shares redeemed | (115,336,356 | ) | (70,580,422 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 55,459,282 | 144,066,302 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (5,919,844 | ) | (10,964,930 | ) | ||||
Investor Class | (129,691 | ) | (90,108 | ) | ||||
Total net distributions to shareholders | (6,049,535 | ) | (11,055,038 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 62,385,546 | 161,336,477 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 541,392,992 | 380,056,515 | ||||||
End of period | $ | 603,778,538 | $ | 541,392,992 |
The accompanying notes are an integral part of these financial statements.
Page 127
Statements of Changes in Net Assets
Baird Municipal Bond Fund
Six Months Ended | November 15, 2019^ | |||||||
June 30, 2020 | through | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 117,598 | $ | 14,645 | ||||
Net realized gain on investments | 266,475 | 31,173 | ||||||
Net change in unrealized appreciation on investments | 220,007 | 41,802 | ||||||
Net increase in net assets resulting from operations | 604,080 | 87,620 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,101,220 | 7,329,812 | ||||||
Shares issued to holders in reinvestment of distributions | 96,420 | 13,576 | ||||||
Cost of shares redeemed | (106,203 | ) | — | |||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 5,091,437 | 7,343,388 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | (113,438 | ) | (14,009 | ) | ||||
Investor Class | (410 | ) | (47 | ) | ||||
Total net distributions to shareholders | (113,848 | ) | (14,056 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 5,581,669 | 7,416,952 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,416,952 | — | ||||||
End of period | $ | 12,998,621 | $ | 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 128
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.06 | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.09 | 0.26 | 0.23 | 0.13 | 0.11 | 0.08 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.03 | 0.05 | (0.04 | ) | 0.00 | (2)(3) | 0.04 | (0.05 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.12 | 0.31 | 0.19 | 0.13 | 0.15 | 0.03 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.09 | ) | (0.26 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.00 | )(2) | — | — | — | — | |||||||||||||||||
Total distributions | (0.09 | ) | (0.26 | ) | (0.21 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | ||||||||||||
Net asset value, end of period | $ | 10.09 | $ | 10.06 | $ | 10.01 | $ | 10.03 | $ | 10.03 | $ | 9.98 | ||||||||||||
Total return | 1.18 | %(4) | 3.11 | % | 1.95 | % | 1.30 | % | 1.56 | % | 0.30 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2,519.8 | $ | 1,701.0 | $ | 1,031.5 | $ | 532.0 | $ | 387.3 | $ | 189.3 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.15 | %(5) | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.80 | %(5) | 2.61 | % | 2.24 | % | 1.31 | % | 1.05 | % | 0.78 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.65 | %(5) | 2.46 | % | 2.09 | % | 1.16 | % | 0.90 | % | 0.63 | % | ||||||||||||
Portfolio turnover rate(6) | 54 | %(4) | 70 | % | 66 | % | 83 | % | 97 | % | 66 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the Statement of Operations. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 129
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.05 | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.08 | 0.24 | 0.20 | 0.11 | 0.08 | 0.05 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.06 | 0.04 | (0.04 | ) | (0.01 | ) | 0.05 | (0.03 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.14 | 0.28 | 0.16 | 0.10 | 0.13 | 0.02 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.07 | ) | (0.23 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.00 | )(2) | — | — | — | — | |||||||||||||||||
Total distributions | (0.07 | ) | (0.23 | ) | (0.19 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of period | $ | 10.12 | $ | 10.05 | $ | 10.00 | $ | 10.03 | $ | 10.03 | $ | 9.98 | ||||||||||||
Total return | 1.41 | %(3) | 2.87 | % | 1.60 | % | 1.05 | % | 1.32 | % | 0.16 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 56.2 | $ | 32.5 | $ | 15.6 | $ | 7.6 | $ | 5.2 | $ | 1.2 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.40 | %(4) | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.55 | %(4) | 2.36 | % | 1.99 | % | 1.06 | % | 0.80 | % | 0.53 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.40 | %(4) | 2.21 | % | 1.84 | % | 0.91 | % | 0.65 | % | 0.38 | % | ||||||||||||
Portfolio turnover rate(5) | 54 | %(3) | 70 | % | 66 | % | 83 | % | 97 | % | 66 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 130
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.11 | 0.24 | 0.21 | 0.17 | 0.15 | 0.13 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.17 | 0.20 | (0.07 | ) | (0.02 | ) | 0.06 | (0.05 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.28 | 0.44 | 0.14 | 0.15 | 0.21 | 0.08 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.10 | ) | (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 | (0.10 | ) | (0.24 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of period | $ | 9.95 | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | ||||||||||||
Total return | 2.93 | %(3) | 4.68 | % | 1.49 | % | 1.53 | % | 2.25 | % | 0.89 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 7,340.2 | $ | 6,469.1 | $ | 5,596.2 | $ | 5,399.7 | $ | 3,769.3 | $ | 2,976.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.18 | %(4) | 2.50 | % | 2.21 | % | 1.73 | % | 1.57 | % | 1.30 | % | ||||||||||||
Portfolio turnover rate(5) | 42 | %(3) | 64 | % | 58 | % | 55 | % | 44 | % | 38 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 131
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.09 | 0.22 | 0.19 | 0.14 | 0.13 | 0.10 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.18 | 0.20 | (0.07 | ) | (0.02 | ) | 0.06 | (0.04 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.27 | 0.42 | 0.12 | 0.12 | 0.19 | 0.06 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.09 | ) | (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 | (0.09 | ) | (0.22 | ) | (0.19 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of period | $ | 9.95 | $ | 9.77 | $ | 9.57 | $ | 9.64 | $ | 9.66 | $ | 9.60 | ||||||||||||
Total return | 2.80 | %(3) | 4.42 | % | 1.24 | % | 1.28 | % | 2.00 | % | 0.64 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 184.8 | $ | 182.4 | $ | 145.0 | $ | 134.9 | $ | 104.9 | $ | 40.6 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.93 | %(4) | 2.25 | % | 1.96 | % | 1.48 | % | 1.32 | % | 1.05 | % | ||||||||||||
Portfolio turnover rate(5) | 42 | %(3) | 64 | % | 58 | % | 55 | % | 44 | % | 38 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 132
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.27 | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.14 | 0.29 | 0.27 | 0.26 | 0.25 | 0.24 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.48 | 0.46 | (0.21 | ) | 0.04 | 0.06 | (0.13 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.62 | 0.75 | 0.06 | 0.30 | 0.31 | 0.11 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.13 | ) | (0.28 | ) | (0.27 | ) | (0.26 | ) | (0.25 | ) | (0.25 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | |||||||||||||||
Total distributions | (0.13 | ) | (0.28 | ) | (0.27 | ) | (0.26 | ) | (0.27 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of period | $ | 11.76 | $ | 11.27 | $ | 10.80 | $ | 11.01 | $ | 10.97 | $ | 10.93 | ||||||||||||
Total return | 5.56 | %(3) | 7.05 | % | 0.58 | % | 2.74 | % | 2.83 | % | 0.99 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 4,742.1 | $ | 4,342.1 | $ | 3,264.9 | $ | 2,902.0 | $ | 2,209.1 | $ | 1,787.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.37 | %(4) | 2.57 | % | 2.51 | % | 2.32 | % | 2.21 | % | 2.14 | % | ||||||||||||
Portfolio turnover rate(5) | 27 | %(3) | 26 | % | 32 | % | 31 | % | 30 | % | 39 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 133
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.80 | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.13 | 0.27 | 0.25 | 0.24 | 0.23 | 0.22 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.51 | 0.50 | (0.22 | ) | 0.04 | 0.06 | (0.14 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.64 | 0.77 | 0.03 | 0.28 | 0.29 | 0.08 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.12 | ) | (0.26 | ) | (0.24 | ) | (0.22 | ) | (0.22 | ) | (0.22 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | |||||||||||||||
Total distributions | (0.12 | ) | (0.26 | ) | (0.24 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of period | $ | 12.32 | $ | 11.80 | $ | 11.29 | $ | 11.50 | $ | 11.44 | $ | 11.39 | ||||||||||||
Total return | 5.43 | %(3) | 6.83 | % | 0.30 | % | 2.53 | % | 2.55 | % | 0.79 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 51.5 | $ | 52.2 | $ | 47.3 | $ | 53.9 | $ | 98.1 | $ | 103.4 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.12 | %(4) | 2.32 | % | 2.26 | % | 2.07 | % | 1.96 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate(5) | 27 | %(3) | 26 | % | 32 | % | 31 | % | 30 | % | 39 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 134
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.21 | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.14 | 0.30 | 0.29 | 0.26 | 0.25 | 0.24 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.57 | 0.69 | (0.33 | ) | 0.19 | 0.12 | (0.18 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.71 | 0.99 | (0.04 | ) | 0.45 | 0.37 | 0.06 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.14 | ) | (0.31 | ) | (0.30 | ) | (0.28 | ) | (0.26 | ) | (0.26 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Total distributions | (0.14 | ) | (0.31 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 11.21 | $ | 10.53 | $ | 10.87 | $ | 10.70 | $ | 10.61 | ||||||||||||
Total return | 6.36 | %(2) | 9.48 | % | (0.30 | )% | 4.20 | % | 3.52 | % | 0.55 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 26,141.7 | $ | 21,857.4 | $ | 14,897.5 | $ | 13,582.8 | $ | 9,769.9 | $ | 6,318.4 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.38 | %(3) | 2.74 | % | 2.77 | % | 2.40 | % | 2.25 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 31 | % | 24 | % | 28 | % | 36 | % | 40 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 135
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.60 | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.13 | 0.28 | 0.27 | 0.24 | 0.23 | 0.22 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.59 | 0.71 | (0.33 | ) | 0.19 | 0.14 | (0.20 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.72 | 0.99 | (0.06 | ) | 0.43 | 0.37 | 0.02 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.12 | ) | (0.28 | ) | (0.28 | ) | (0.25 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Total distributions | (0.12 | ) | (0.28 | ) | (0.28 | ) | (0.25 | ) | (0.26 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 12.20 | $ | 11.60 | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | ||||||||||||
Total return | 6.27 | %(2) | 9.17 | % | (0.54 | )% | 3.90 | % | 3.34 | % | 0.21 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 849.4 | $ | 786.4 | $ | 718.2 | $ | 825.4 | $ | 809.1 | $ | 429.6 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.13 | %(3) | 2.49 | % | 2.52 | % | 2.15 | % | 2.00 | % | 1.99 | % | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 31 | % | 24 | % | 28 | % | 36 | % | 40 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 136
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.56 | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.15 | 0.33 | 0.33 | 0.30 | 0.29 | 0.28 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.52 | 0.75 | (0.39 | ) | 0.21 | 0.22 | (0.26 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.67 | 1.08 | (0.06 | ) | 0.51 | 0.51 | 0.02 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.16 | ) | (0.34 | ) | (0.34 | ) | (0.32 | ) | (0.31 | ) | (0.31 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Total distributions | (0.16 | ) | (0.34 | ) | (0.34 | ) | (0.32 | ) | (0.33 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period | $ | 12.07 | $ | 11.56 | $ | 10.82 | $ | 11.22 | $ | 11.03 | $ | 10.85 | ||||||||||||
Total return | 5.80 | %(2) | 10.11 | % | (0.51 | )% | 4.65 | % | 4.73 | % | 0.14 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 24,085.5 | $ | 21,424.9 | $ | 15,635.3 | $ | 13,920.2 | $ | 10,023.6 | $ | 7,199.8 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.61 | %(3) | 2.95 | % | 3.01 | % | 2.68 | % | 2.61 | % | 2.50 | % | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 26 | % | 26 | % | 30 | % | 33 | % | 34 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 137
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.05 | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.14 | 0.32 | 0.31 | 0.28 | 0.27 | 0.26 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.54 | 0.76 | (0.40 | ) | 0.23 | 0.23 | (0.27 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.68 | 1.08 | (0.09 | ) | 0.51 | 0.50 | (0.01 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.14 | ) | (0.31 | ) | (0.31 | ) | (0.29 | ) | (0.28 | ) | (0.28 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Total distributions | (0.14 | ) | (0.31 | ) | (0.31 | ) | (0.29 | ) | (0.30 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of period | $ | 12.59 | $ | 12.05 | $ | 11.28 | $ | 11.68 | $ | 11.46 | $ | 11.26 | ||||||||||||
Total return | 5.68 | %(2) | 9.69 | % | (0.74 | )% | 4.47 | % | 4.47 | % | (0.11 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2,500.0 | $ | 2,500.0 | $ | 2,171.0 | $ | 2,431.0 | $ | 2,881.8 | $ | 2,183.5 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.36 | %(3) | 2.70 | % | 2.76 | % | 2.43 | % | 2.36 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 26 | % | 26 | % | 30 | % | 33 | % | 34 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 138
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.26 | $ | 10.06 | $ | 10.08 | $ | 9.97 | $ | 10.04 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.09 | 0.20 | 0.20 | 0.18 | 0.15 | 0.05 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.07 | 0.20 | (0.03 | ) | 0.10 | (0.08 | ) | 0.04 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.16 | 0.40 | 0.17 | 0.28 | 0.07 | 0.09 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.08 | ) | (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 | (0.08 | ) | (0.20 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.34 | $ | 10.26 | $ | 10.06 | $ | 10.08 | $ | 9.97 | $ | 10.04 | ||||||||||||
Total return | 1.61 | %(4) | 3.96 | % | 1.75 | % | 2.84 | % | 0.71 | % | 0.94 | %(4) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,095.8 | $ | 926.1 | $ | 281.2 | $ | 120.9 | $ | 52.4 | $ | 12.3 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.73 | %(5) | 1.96 | % | 2.03 | % | 1.74 | % | 1.44 | % | 1.42 | %(5) | ||||||||||||
Portfolio turnover rate(6) | 19 | %(4) | 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 139
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.25 | $ | 10.04 | $ | 10.06 | $ | 9.96 | $ | 10.04 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.08 | 0.17 | 0.18 | 0.15 | 0.12 | 0.04 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.07 | 0.21 | (0.03 | ) | 0.09 | (0.08 | ) | 0.05 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.15 | 0.38 | 0.15 | 0.24 | 0.04 | 0.09 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.07 | ) | (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 | (0.07 | ) | (0.17 | ) | (0.17 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.33 | $ | 10.25 | $ | 10.04 | $ | 10.06 | $ | 9.96 | $ | 10.04 | ||||||||||||
Total return | 1.49 | %(4) | 3.81 | % | 1.52 | % | 2.45 | % | 0.40 | % | 0.86 | %(4) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 69.5 | $ | 89.6 | $ | 64.0 | $ | 4.9 | $ | 6.3 | $ | 0.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.48 | %(5) | 1.71 | % | 1.78 | % | 1.49 | % | 1.19 | % | 1.17 | %(5) | ||||||||||||
Portfolio turnover rate(6) | 19 | %(4) | 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 140
Financial Highlights
Baird Strategic Municipal Bond Fund – Institutional Class
Six Months Ended | ||||||||
June 30, 2020 | Period Ended | |||||||
(Unaudited) | December 31, 2019(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.07 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income(2) | 0.11 | 0.02 | ||||||
Net realized and unrealized gain | 0.37 | 0.07 | ||||||
Total from investment operations | 0.48 | 0.09 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.09 | ) | (0.02 | ) | ||||
Total distributions | (0.09 | ) | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.46 | $ | 10.07 | ||||
Total return | 4.81 | %(3) | 0.88 | %(3) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 36.1 | $ | 12.0 | ||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | %(4) | ||||
Ratio of net investment income to average net assets | 2.19 | %(4) | 1.60 | %(4) | ||||
Portfolio turnover rate(5) | 119 | %(3) | 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 141
Financial Highlights
Baird Strategic Municipal Bond Fund – Investor Class
Six Months Ended | ||||||||
June 30, 2020 | Period Ended | |||||||
(Unaudited) | December 31, 2019(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.07 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income(2) | 0.10 | 0.02 | ||||||
Net realized and unrealized gain | 0.36 | 0.06 | ||||||
Total from investment operations | 0.46 | 0.08 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.08 | ) | (0.01 | ) | ||||
Total distributions | (0.08 | ) | (0.01 | ) | ||||
Net asset value, end of period | $ | 10.45 | $ | 10.07 | ||||
Total return | 4.61 | %(3) | 0.85 | %(3) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (thousands) | $ | 6,400.9 | $ | 27.4 | ||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | %(4) | ||||
Ratio of net investment income to average net assets | 1.94 | %(4) | 1.35 | %(4) | ||||
Portfolio turnover rate(5) | 119 | %(3) | 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 142
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.75 | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.12 | 0.27 | 0.27 | 0.27 | 0.26 | 0.28 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.20 | 0.37 | (0.14 | ) | 0.09 | (0.31 | ) | (0.03 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.32 | 0.64 | 0.13 | 0.36 | (0.05 | ) | 0.25 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.12 | ) | (0.27 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
return of capital | — | — | — | (0.00 | )(2) | — | — | |||||||||||||||||
Total distributions | (0.12 | ) | (0.27 | ) | (0.27 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of period | $ | 11.95 | $ | 11.75 | $ | 11.38 | $ | 11.52 | $ | 11.43 | $ | 11.74 | ||||||||||||
Total return | 2.75 | %(3) | 5.65 | % | 1.19 | % | 3.12 | % | (0.46 | )% | 2.19 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,306.9 | $ | 1,257.4 | $ | 1,009.2 | $ | 1,044.1 | $ | 936.2 | $ | 988.4 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.12 | %(4) | 2.30 | % | 2.39 | % | 2.29 | % | 2.19 | % | 2.42 | % | ||||||||||||
Portfolio turnover rate(5) | 12 | %(3) | 20 | % | 40 | % | 31 | % | 22 | % | 9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 143
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.04 | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.11 | 0.24 | 0.25 | 0.24 | 0.23 | 0.26 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.21 | 0.38 | (0.15 | ) | 0.11 | (0.31 | ) | (0.04 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.32 | 0.62 | 0.10 | 0.35 | (0.08 | ) | 0.22 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.11 | ) | (0.24 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
return of capital | — | — | — | (0.00 | )(2) | — | — | |||||||||||||||||
Total distributions | (0.11 | ) | (0.24 | ) | (0.24 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of period | $ | 12.25 | $ | 12.04 | $ | 11.66 | $ | 11.80 | $ | 11.69 | $ | 12.00 | ||||||||||||
Total return | 2.65 | %(3) | 5.33 | % | 0.90 | % | 2.97 | % | (0.70 | )% | 1.89 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 87.8 | $ | 85.1 | $ | 110.8 | $ | 107.3 | $ | 136.1 | $ | 160.3 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.87 | %(4) | 2.05 | % | 2.14 | % | 2.00 | % | 1.94 | % | 2.17 | % | ||||||||||||
Portfolio turnover rate(5) | 12 | %(3) | 20 | % | 40 | % | 31 | % | 22 | % | 9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 144
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.65 | $ | 10.22 | $ | 10.32 | $ | 10.01 | $ | 10.13 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.12 | 0.25 | 0.23 | 0.21 | 0.18 | 0.06 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.13 | 0.43 | (0.10 | ) | 0.30 | (0.05 | ) | 0.14 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.25 | 0.68 | 0.13 | 0.51 | 0.13 | 0.20 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.12 | ) | (0.24 | ) | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.06 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.01 | ) | — | — | (0.07 | ) | (0.01 | ) | |||||||||||||||
Total distributions | (0.12 | ) | (0.25 | ) | (0.23 | ) | (0.20 | ) | (0.25 | ) | (0.07 | ) | ||||||||||||
Net asset value, end of period | $ | 10.78 | $ | 10.65 | $ | 10.22 | $ | 10.32 | $ | 10.01 | $ | 10.13 | ||||||||||||
Total return | 2.33 | %(3) | 6.75 | % | 1.30 | % | 5.15 | % | 1.14 | % | 1.98 | %(3) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 580.0 | $ | 535.5 | $ | 378.1 | $ | 234.8 | $ | 96.3 | $ | 50.8 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(4) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.27 | %(4) | 2.36 | % | 2.30 | % | 2.04 | % | 1.79 | % | 1.75 | %(4) | ||||||||||||
Portfolio turnover rate(5) | 21 | %(3) | 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 145
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.64 | $ | 10.22 | $ | 10.32 | $ | 10.00 | $ | 10.13 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.11 | 0.22 | 0.21 | 0.18 | 0.16 | 0.05 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) | 0.13 | 0.43 | (0.11 | ) | 0.32 | (0.06 | ) | 0.14 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.24 | 0.65 | 0.10 | 0.50 | 0.10 | 0.19 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.10 | ) | (0.22 | ) | (0.20 | ) | (0.18 | ) | (0.16 | ) | (0.05 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.01 | ) | — | — | (0.07 | ) | (0.01 | ) | |||||||||||||||
Total distributions | (0.10 | ) | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.23 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of period | $ | 10.78 | $ | 10.64 | $ | 10.22 | $ | 10.32 | $ | 10.00 | $ | 10.13 | ||||||||||||
Total return | 2.31 | %(3) | 6.40 | % | 1.05 | % | 5.00 | % | 0.91 | % | 1.91 | %(3) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 23.8 | $ | 5.9 | $ | 2.0 | $ | 1.7 | $ | 1.4 | $ | 0.2 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.02 | %(4) | 2.11 | % | 2.05 | % | 1.79 | % | 1.54 | % | 1.50 | %(4) | ||||||||||||
Portfolio turnover rate(5) | 21 | %(3) | 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 146
Financial Highlights
Baird Municipal Bond Fund – Institutional Class
Six Months Ended | ||||||||
June 30, 2020 | Period Ended | |||||||
(Unaudited) | December 31, 2019(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.10 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income(2) | 0.11 | 0.02 | ||||||
Net realized and unrealized gain | 0.39 | 0.10 | ||||||
Total from investment operations | 0.50 | 0.12 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.10 | ) | (0.02 | ) | ||||
Total distributions | (0.10 | ) | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.50 | $ | 10.10 | ||||
Total return | 4.99 | %(3) | 1.19 | %(3) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 12.9 | $ | 7.4 | ||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | %(4) | ||||
Ratio of net investment income to average net assets | 2.20 | %(4) | 1.69 | %(4) | ||||
Portfolio turnover rate(5) | 108 | %(3) | 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 147
Financial Highlights
Baird Municipal Bond Fund – Investor Class
Six Months Ended | ||||||||
June 30, 2020 | Period Ended | |||||||
(Unaudited) | December 31, 2019(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.10 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income(2) | 0.10 | 0.02 | ||||||
Net realized and unrealized gain | 0.39 | 0.10 | ||||||
Total from investment operations | 0.49 | 0.12 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.09 | ) | (0.02 | ) | ||||
Total distributions | (0.09 | ) | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.50 | $ | 10.10 | ||||
Total return | 4.87 | %(3) | 1.16 | %(3) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (thousands) | $ | 110.9 | $ | 29.1 | ||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | %(4) | ||||
Ratio of net investment income to average net assets | 1.95 | %(4) | 1.44 | %(4) | ||||
Portfolio turnover rate(5) | 108 | %(3) | 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 148
Notes to the Financial Statements
June 30, 2020 (Unaudited)
1. | Organization |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000, as a Wisconsin corporation and is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Strategic Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate 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 Strategic Municipal Bond Fund | November 15, 2019 | November 15, 2019 | |
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 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 149
Notes to the Financial Statements
June 30, 2020 (Unaudited)
1. | Organization (cont.) |
The investment objective of the Baird Core Plus Bond Fund is to seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Universal Bond Index. The Bloomberg Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
The investment objective of the Baird Short-Term Municipal Bond Fund is to seek current income that is exempt from federal income tax and is consistent with the preservation of capital.
The 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 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 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 June 30, 2020, entities affiliated with the Advisor held 41% of the Baird 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. ET). | |
Consistent with Section 2(a)(41) of the 1940 Act, the Funds price their securities as follows: debt securities are valued at their evaluated bid prices as provided by an independent pricing service using valuation methods that are designed to represent fair value, such as matrix pricing and other analytical pricing models, market transactions and dealer quotations. Debt securities purchased with maturities of 60 days or less are valued as described above unless an evaluated price is not available, in which case such security is valued at acquisition cost, plus or minus any amortized discount or premium (“amortized cost”), or, if the Advisor does not believe amortized cost is reflective of the fair value of the security, the security is priced at fair value as described below. Investments in mutual funds, including money market funds, are valued at their stated net asset value (“NAV”). Common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sales price. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken |
Page 150
Notes to the Financial Statements
June 30, 2020 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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 – The Funds own certain investment securities which are unregistered. All of the unregistered securities held by the Funds as of June 30, 2020 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 | Value | % of Net Assets | |||||||
Baird Ultra Short Bond Fund | $ | 495,818,336 | 19.25 | % | |||||
Baird Short-Term Bond Fund | 2,019,496,482 | 26.84 | % | ||||||
Baird Intermediate Bond Fund | 891,416,602 | 18.60 | % | ||||||
Baird Aggregate Bond Fund | 4,603,139,170 | 17.05 | % | ||||||
Baird Core Plus Bond Fund | 5,310,230,525 | 19.97 | % | ||||||
Baird Short-Term Municipal Bond Fund | 27,602,046 | 2.37 | % | ||||||
Baird Strategic Municipal Bond Fund | 1,133,096 | 2.67 | % | ||||||
Baird Quality Intermediate Municipal Bond Fund | 10,450,067 | 0.75 | % | ||||||
Baird Core Intermediate Municipal Bond Fund | 15,967,446 | 2.64 | % | ||||||
Baird Municipal Bond Fund | 587,318 | 4.52 | % |
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 151
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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) | Financial Derivative Instruments – Financial derivative instruments, such as futures contracts, derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker- dealer quotations or a pricing service at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price and are generally categorized in Level 1. |
f) | Deposits with Broker – When trading derivative instruments, such as futures contracts, a Fund is only required to post initial or variation margin with the exchange or clearing broker. The use of margin in trading these instruments has the effect of creating leverage, which can expose the Fund to substantial gains or losses occurring from relatively small price changes in the value of the underlying instrument and can increase the volatility of the Fund’s returns. Volatility is a statistical measure of the dispersion of returns of an investment, where higher volatility generally indicates greater risk. |
Upon entering into a futures contract, and to maintain the Fund’s open positions in futures contracts, the Fund is required to deposit with its custodian or futures broker in a segregated account in the name of the futures broker an amount of cash, U.S. government securities, suitable money market instruments, or other liquid securities, known as “initial margin.” The margin required for a particular futures contract is set by the exchange on which the contract is traded and may be significantly modified from time to time by the exchange during the term of the contract. Futures contracts are customarily purchased and sold on margins that may range upward from less than 5% of the value of the contract being traded. | |
At June 30, 2020, the Baird Strategic Municipal Bond Fund had $19,039 in cash and cash equivalents on deposit with the broker for futures contracts which is presented on the Fund’s Statement of Assets and Liabilities. | |
If the price of an open futures contract changes (by increase in underlying instrument or index in the case of a sale or by decrease in the case of a purchase) so that the loss on the futures contract reaches a point at which the margin on deposit does not satisfy margin requirements, the broker will require an increase in the margin. However, if the value of a position increases because of favorable price changes in the futures contract so that the margin deposit exceeds the required margin, the broker will pay the excess to the Fund. | |
These subsequent payments, called “variation margin,” to and from the futures broker are made on a daily basis as the price of the underlying assets fluctuate making the long and short positions in the futures contract more or less valuable, a process known as “marking to the market.” At period end, the variation margin is shown as either a receivable or payable on the Fund’s Statement of Assets and Liabilities. The Fund expects to earn interest income on any margin deposits. | |
g) | 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 |
Page 152
Notes to the Financial Statements
June 30, 2020 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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. | |
h) | 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. |
i) | 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. |
j) | 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. |
k) | 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. |
l) | 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. |
m) | New Accounting Pronouncements – In March 2020, FASB issued Accounting Standards Update 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The main objective of ASU 2020-04 is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Inter-bank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. ASU 2020-04 allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the adoption of ASU 2020-04 to the Funds’ financial statements and various filings. |
n) | Other Matters – The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. |
Page 153
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird Ultra Short Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 171,458,841 | $ | 1,724,663,954 | 152,736,068 | $ | 1,536,105,216 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 1,597,942 | 16,045,940 | 3,599,353 | 36,181,617 | ||||||||||||
Shares redeemed | (92,519,423 | ) | (928,790,971 | ) | (90,279,310 | ) | (908,254,883 | ) | ||||||||
Net increase | 80,537,360 | $ | 811,918,923 | 66,056,111 | $ | 664,031,950 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 169,147,382 | 103,091,271 | ||||||||||||||
End of period | 249,684,742 | 169,147,382 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 37,124,091 | $ | 372,418,611 | 4,021,429 | $ | 40,414,010 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 61,806 | 619,628 | 52,962 | 532,130 | ||||||||||||
Shares redeemed | (34,868,530 | ) | (350,053,738 | ) | (2,397,279 | ) | (24,095,105 | ) | ||||||||
Net increase | 2,317,367 | $ | 22,984,501 | 1,677,112 | $ | 16,851,035 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,234,242 | 1,557,130 | ||||||||||||||
End of period | 5,551,609 | 3,234,242 | ||||||||||||||
Total net increase | $ | 834,903,424 | $ | 680,882,985 | ||||||||||||
Baird Short-Term Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 232,541,690 | $ | 2,279,221,357 | 289,867,873 | (1) | $ | 2,810,969,343 | (1) | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 6,849,798 | 67,136,038 | 15,016,743 | 145,886,802 | ||||||||||||
Shares redeemed | (163,633,251 | ) | (1,598,299,199 | ) | (227,421,040 | ) | (2,212,086,535 | ) | ||||||||
Net increase | 75,758,237 | $ | 748,058,196 | 77,463,576 | $ | 744,769,610 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 662,075,927 | 584,612,351 | ||||||||||||||
End of period | 737,834,164 | 662,075,927 |
(1) Includes purchase in-kind transactions. See additional information contained in this Note.
Page 154
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Short-Term Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,856,511 | $ | 57,510,743 | 9,981,756 | $ | 96,608,185 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 159,173 | 1,559,473 | 391,693 | 3,804,746 | ||||||||||||
Shares redeemed | (6,103,174 | ) | (59,424,411 | ) | (6,853,659 | ) | (66,573,681 | ) | ||||||||
Net increase (decrease) | (87,490 | ) | $ | (354,195 | ) | 3,519,790 | $ | 33,839,250 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 18,669,294 | 15,149,504 | ||||||||||||||
End of period | 18,581,804 | 18,669,294 | ||||||||||||||
Total net increase | $ | 747,704,001 | $ | 778,608,860 | ||||||||||||
Baird Intermediate Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 62,795,923 | $ | 724,991,532 | 124,549,008 | (1) | $ | 1,378,094,146 | (1) | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 3,842,883 | 44,162,326 | 7,767,687 | 86,611,493 | ||||||||||||
Shares redeemed | (48,640,742 | ) | (557,446,804 | ) | (49,521,814 | ) | (552,159,328 | ) | ||||||||
Net increase | 17,998,064 | $ | 211,707,054 | 82,794,881 | $ | 912,546,311 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 385,202,985 | 302,408,104 | ||||||||||||||
End of period | 403,201,049 | 385,202,985 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 780,001 | $ | 9,353,154 | 1,564,836 | $ | 18,284,038 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 40,803 | 490,888 | 92,309 | 1,076,060 | ||||||||||||
Shares redeemed | (1,059,080 | ) | (12,663,437 | ) | (1,425,125 | ) | (16,569,786 | ) | ||||||||
Net increase (decrease) | (238,276 | ) | $ | (2,819,395 | ) | 232,020 | $ | 2,790,312 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 4,420,600 | 4,188,580 | ||||||||||||||
End of period | 4,182,324 | 4,420,600 | ||||||||||||||
Total net increase | $ | 208,887,659 | $ | 915,336,623 |
(1) | Includes purchase in-kind transactions. See additional information contained in this Note. |
Page 155
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Aggregate Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 563,587,851 | $ | 6,487,188,630 | 890,354,110 | (1) | $ | 9,744,801,391 | (1) | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 22,687,579 | 261,045,995 | 44,958,567 | 495,565,654 | ||||||||||||
Shares redeemed | (317,223,028 | ) | (3,618,608,989 | ) | (400,015,560 | ) | (4,414,787,850 | ) | ||||||||
Net increase | 269,052,402 | $ | 3,129,625,636 | 535,297,117 | $ | 5,825,579,195 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,950,270,561 | 1,414,973,444 | ||||||||||||||
End of period | 2,219,322,963 | 1,950,270,561 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 24,766,807 | $ | 294,689,862 | 23,678,620 | $ | 270,517,976 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 700,109 | 8,339,358 | 1,477,136 | 16,819,518 | ||||||||||||
Shares redeemed | (23,615,932 | ) | (281,555,010 | ) | (23,327,468 | ) | (264,008,316 | ) | ||||||||
Net increase | 1,850,984 | $ | 21,474,210 | 1,828,288 | $ | 23,329,178 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 67,780,865 | 65,952,577 | ||||||||||||||
End of period | 69,631,849 | 67,780,865 | ||||||||||||||
Total net increase | $ | 3,151,099,846 | $ | 5,848,908,373 |
(1) | Includes purchase in-kind transactions. See additional information contained in this Note. |
Baird Core Plus Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 395,147,356 | $ | 4,644,892,977 | 631,387,566 | $ | 7,152,999,146 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 23,875,358 | 280,987,637 | 46,248,366 | 524,909,170 | ||||||||||||
Shares redeemed | (276,632,883 | ) | (3,232,467,958 | ) | (268,458,877 | ) | (3,037,655,467 | ) | ||||||||
Net increase | 142,389,831 | $ | 1,693,412,656 | 409,177,055 | $ | 4,640,252,849 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,853,736,631 | 1,444,559,576 | ||||||||||||||
End of period | 1,996,126,462 | 1,853,736,631 |
Page 156
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Core Plus Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 39,671,899 | $ | 486,572,788 | 71,909,873 | $ | 853,236,845 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 2,290,513 | 28,122,933 | 5,080,103 | 60,019,140 | ||||||||||||
Shares redeemed | (50,801,524 | ) | (620,149,219 | ) | (62,144,601 | ) | (732,158,958 | ) | ||||||||
Net increase (decrease) | (8,839,112 | ) | $ | (105,453,498 | ) | 14,845,375 | $ | 181,097,027 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 207,381,809 | 192,536,434 | ||||||||||||||
End of period | 198,542,697 | 207,381,809 | ||||||||||||||
Total net increase | $ | 1,587,959,158 | $ | 4,821,349,876 | ||||||||||||
Baird Short-Term Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 44,251,540 | $ | 453,976,558 | 83,569,164 | $ | 854,504,880 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 662,350 | 6,806,167 | 791,896 | 8,094,781 | ||||||||||||
Shares redeemed | (29,199,176 | ) | (298,420,234 | ) | (22,094,002 | ) | (225,537,364 | ) | ||||||||
Net increase | 15,714,714 | $ | 162,362,491 | 62,267,058 | $ | 637,062,297 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 90,228,606 | 27,961,548 | ||||||||||||||
End of period | 105,943,320 | 90,228,606 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,595,210 | $ | 26,651,408 | 4,140,204 | $ | 42,102,510 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 60,730 | 623,255 | 126,459 | 1,288,643 | ||||||||||||
Shares redeemed | (4,674,970 | ) | (48,122,743 | ) | (1,894,173 | ) | (19,246,772 | ) | ||||||||
Net increase (decrease) | (2,019,030 | ) | $ | (20,848,080 | ) | 2,372,490 | $ | 24,144,381 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 8,744,555 | 6,372,065 | ||||||||||||||
End of period | 6,725,525 | 8,744,555 | ||||||||||||||
Total net increase | $ | 141,514,411 | $ | 661,206,678 |
Page 157
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Strategic Municipal Bond Fund
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2020 | December 31, 2019^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,460,831 | $ | 25,247,254 | 1,191,211 | $ | 11,913,000 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 17,035 | 175,084 | 1,971 | 19,800 | ||||||||||||
Shares redeemed | (221,404 | ) | (2,267,804 | ) | — | — | ||||||||||
Net increase | 2,256,462 | $ | 23,154,534 | 1,193,182 | $ | 11,932,800 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,193,182 | — | ||||||||||||||
End of period | 3,449,644 | 1,193,182 | ||||||||||||||
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2020 | December 31, 2019^ | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 639,168 | $ | 6,502,057 | 2,721 | $ | 27,204 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 2,613 | 26,884 | 4 | 42 | ||||||||||||
Shares redeemed | (32,097 | ) | (332,399 | ) | — | — | ||||||||||
Net increase | 609,684 | $ | 6,196,542 | 2,725 | $ | 27,246 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 2,725 | — | ||||||||||||||
End of period | 612,409 | 2,725 | ||||||||||||||
Total net increase | $ | 29,351,076 | $ | 11,960,046 |
^ Inception was on close of business November 15, 2019.
Baird Quality Intermediate Municipal Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 21,617,327 | $ | 255,750,798 | 37,429,313 | $ | 436,057,112 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 947,307 | 11,241,190 | 1,967,518 | 22,948,488 | ||||||||||||
Shares redeemed | (20,252,366 | ) | (236,502,351 | ) | (21,039,444 | ) | (244,334,905 | ) | ||||||||
Net increase | 2,312,268 | $ | 30,489,637 | 18,357,387 | $ | 214,670,695 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 107,042,733 | 88,685,346 | ||||||||||||||
End of period | 109,355,001 | 107,042,733 |
Page 158
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Quality Intermediate Municipal Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,474,901 | $ | 17,774,528 | 1,754,039 | $ | 20,899,396 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 57,007 | 693,118 | 141,316 | 1,686,818 | ||||||||||||
Shares redeemed | (1,430,711 | ) | (17,304,301 | ) | (4,334,171 | ) | (51,277,592 | ) | ||||||||
Net increase (decrease) | 101,197 | $ | 1,163,345 | (2,438,816 | ) | $ | (28,691,378 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 7,064,666 | 9,503,482 | ||||||||||||||
End of period | 7,165,863 | 7,064,666 | ||||||||||||||
Total net increase | $ | 31,652,982 | $ | 185,979,317 | ||||||||||||
Baird Core Intermediate Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,707,236 | $ | 145,998,174 | 19,236,314 | $ | 202,455,794 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 411,107 | 4,399,441 | 744,428 | 7,848,852 | ||||||||||||
Shares redeemed | (10,622,784 | ) | (112,124,013 | ) | (6,689,681 | ) | (70,036,885 | ) | ||||||||
Net increase | 3,495,559 | $ | 38,273,602 | 13,291,061 | $ | 140,267,761 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 50,283,479 | 36,992,418 | ||||||||||||||
End of period | 53,779,038 | 50,283,479 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,943,899 | $ | 20,274,967 | 405,371 | $ | 4,259,636 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 11,516 | 123,056 | 7,809 | 82,442 | ||||||||||||
Shares redeemed | (304,060 | ) | (3,212,343 | ) | (51,823 | ) | (543,537 | ) | ||||||||
Net increase | 1,651,355 | $ | 17,185,680 | 361,357 | $ | 3,798,541 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 555,466 | 194,109 | ||||||||||||||
End of period | 2,206,821 | 555,466 | ||||||||||||||
Total net increase | $ | 55,459,282 | $ | 144,066,302 |
Page 159
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Municipal Bond Fund
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2020 | December 31, 2019^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 496,655 | $ | 5,021,220 | 730,100 | $ | 7,301,000 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 9,305 | 96,009 | 1,342 | 13,530 | ||||||||||||
Shares redeemed | (10,131 | ) | (106,203 | ) | — | — | ||||||||||
Net increase | 495,829 | $ | 5,011,026 | 731,442 | $ | 7,314,530 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 731,442 | — | ||||||||||||||
End of period | 1,227,271 | 731,442 | ||||||||||||||
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2020 | December 31, 2019^ | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 7,640 | $ | 80,000 | 2,881 | $ | 28,812 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | 40 | 411 | 5 | 46 | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase | 7,680 | $ | 80,411 | 2,886 | $ | 28,858 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 2,886 | — | ||||||||||||||
End of period | 10,566 | 2,886 | ||||||||||||||
Total net increase | $ | 5,091,437 | $ | 7,343,388 |
^ Inception was on close of business November 15, 2019.
Page 160
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
During the year ended December 31, 2019, the Funds satisfied purchase in-kind requests made by large institutional shareholders by transferring cash and securities into the Funds. The transfers were effected in accordance with policies and procedures approved by the Board. Consideration received and shares 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 |
4. | Investment Transactions and Income Tax Information |
During the six months ended June 30, 2020, 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 | $ | 127,711,719 | $ | 242,377,156 | $ | 1,076,228,901 | $ | 580,677,765 | ||||||||
Baird Short-Term Bond Fund | 1,802,483,328 | 2,257,869,158 | 1,852,664,225 | 644,633,493 | ||||||||||||
Baird Intermediate Bond Fund | 647,321,054 | 1,028,978,329 | 779,859,965 | 191,636,933 | ||||||||||||
Baird Aggregate Bond Fund | 3,175,087,191 | 4,616,534,280 | 5,606,041,166 | 1,289,409,754 | ||||||||||||
Baird Core Plus Bond Fund | 2,678,112,721 | 4,737,747,324 | 4,671,718,627 | 1,298,880,675 | ||||||||||||
Baird Short-Term | ||||||||||||||||
Municipal Bond Fund | — | — | 355,786,086 | 190,916,128 | ||||||||||||
Baird Strategic Municipal Bond Fund | — | — | 54,469,119 | 26,945,189 | ||||||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 181,845,715 | 161,373,010 | ||||||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 169,290,662 | 112,626,358 | ||||||||||||
Baird Municipal Bond Fund | — | — | 16,746,215 | 11,188,371 |
Page 161
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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 | Baird Quality | ||||||||||
Short-Term | Strategic | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of investments | $ | 985,584,899 | $ | 11,425,098 | $ | 1,278,520,304 | ||||||
Gross unrealized appreciation | 10,197,719 | 42,475 | 48,962,105 | |||||||||
Gross unrealized depreciation | (567,080 | ) | (3,340 | ) | (772,454 | ) | ||||||
Net unrealized appreciation | 9,630,639 | 39,135 | 48,189,651 | |||||||||
Undistributed ordinary income | — | 40,936 | — | |||||||||
Undistributed tax-exempt income | 436 | 617 | — | |||||||||
Distributable earnings | 436 | 41,553 | — | |||||||||
Other accumulated losses | (391,592 | ) | — | (9,940,916 | ) | |||||||
Total distributable earnings | $ | 9,239,483 | $ | 80,688 | $ | 38,248,735 |
Page 162
Notes to the Financial Statements
June 30, 2020 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Baird Core | ||||||||
Intermediate | Baird | |||||||
Municipal | Municipal | |||||||
Bond Fund | Bond Fund | |||||||
Cost of investments | $ | 520,085,365 | $ | 7,336,803 | ||||
Gross unrealized appreciation | 19,326,906 | 43,127 | ||||||
Gross unrealized depreciation | (1,022,655 | ) | (1,325 | ) | ||||
Net unrealized appreciation | 18,304,251 | 41,802 | ||||||
Undistributed ordinary income | 76,106 | 31,173 | ||||||
Undistributed long-term capital gains | 73,047 | — | ||||||
Undistributed tax-exempt income | — | 589 | ||||||
Distributable earnings | 149,153 | 31,762 | ||||||
Total distributable earnings | $ | 18,453,404 | $ | 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.
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.
The tax components of distributions paid during the periods shown below were as follows:
Six Months Ended June 30, 2020 | ||||||||||||
Ordinary | Tax-Exempt | |||||||||||
Fund | Income | Income | Total | |||||||||
Baird Ultra Short Bond Fund | $ | 17,143,279 | $ | — | $ | 17,143,279 | ||||||
Baird Short-Term Bond Fund | 74,603,852 | — | 74,603,852 | |||||||||
Baird Intermediate Bond Fund | 52,121,014 | — | 52,121,014 | |||||||||
Baird Aggregate Bond Fund | 297,885,754 | — | 297,885,754 | |||||||||
Baird Core Plus Bond Fund | 331,457,724 | — | 331,457,724 | |||||||||
Baird Short-Term Municipal Bond Fund | — | 8,684,899 | 8,684,899 | |||||||||
Baird Strategic Municipal Bond Fund | — | 225,598 | 225,598 | |||||||||
Baird Quality Intermediate Municipal Bond Fund | — | 13,631,345 | 13,631,345 | |||||||||
Baird Core Intermediate Municipal Bond Fund | — | 6,049,535 | 6,049,535 | |||||||||
Baird Municipal Bond Fund | — | 113,848 | 113,848 |
Page 163
Notes to the Financial Statements
June 30, 2020 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
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. |
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.
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.
Page 164
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. | Investment Advisory and Other Agreements (cont.) |
For the six months ended June 30, 2020, the Advisor waived the following amount pursuant to the fee waiver agreement between the Advisor and the Corporation on behalf of the Baird Ultra Short Bond Fund:
Fund | Waived Amount |
Baird Ultra Short Bond Fund | $1,466,375 |
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 six months ended June 30, 2020 for the Funds.
The Funds may use related party broker-dealers. For the six months ended June 30, 2020, 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.
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 June 30, 2020, the Prime Rate was 3.25%. The LOC matures on May 24, 2021, 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 six months ended June 30, 2020, the Funds borrowed from the LOC as follows:
Amount | Interest Charges | Borrowing | ||||||||
Fund | Borrowed | Accrued | Rate | |||||||
Baird Quality Intermediate Municipal Bond Fund | $ | 26,539,000 | $ | 4,976 | 2.25% | |||||
Baird Short-Term Municipal Bond Fund | 2,043,000 | 71 | 1.25% | |||||||
Baird Short-Term Municipal Bond Fund | 4,961,000 | 172 | 1.25% |
The Baird Short-Term Municipal Bond Fund’s borrowing in the amount of $4,961,000 was borrowed on and outstanding on June 30, 2020 and subsequently repaid in full on July 1, 2020. No other borrowings occurred during the six months ended June 30, 2020 nor were any other borrowings outstanding under the LOC as of June 30, 2020.
Page 165
Notes to the Financial Statements
June 30, 2020 (Unaudited)
7. | Distribution and Shareholder Service Plan |
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate of 0.25% of the average daily net assets of the Funds’ Investor Class Shares.
For the six months ended June 30, 2020, the Funds incurred fees pursuant to the Plan as follows:
Baird Ultra Short Bond Fund | $ | 94,548 | ||
Baird Short-Term Bond Fund | 216,432 | |||
Baird Intermediate Bond Fund | 63,560 | |||
Baird Aggregate Bond Fund | 1,038,537 | |||
Baird Core Plus Bond Fund | 3,101,253 | |||
Baird Short-Term Municipal Bond Fund | 110,054 | |||
Baird Strategic Municipal Bond Fund | 2,715 | |||
Baird Quality Intermediate Municipal Bond Fund | 103,704 | |||
Baird Core Intermediate Municipal Bond Fund | 14,735 | |||
Baird Municipal Bond Fund | 45 |
8. | Other Derivative Information |
Derivative and Other Financial Instruments
As a principal investment strategy, the Baird Strategic Municipal Bond Fund may invest in U.S. Treasury futures contracts for duration and yield curve management or to manage market and interest rate risk. The Fund’s market risk related to its derivatives trading is influenced by a wide variety of factors, including the level and volatility of interest rates, the market value of futures contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.
At June 30, 2020, the Baird Strategic Municipal Bond Fund held U.S. Treasury futures contracts. As the tables below illustrate, no positions are netted in these financial statements.
Baird Strategic Municipal Bond Fund – June 30, 2020
Assets:
Gross | Net | Gross Amounts not offset in the Statement of Assets & Liabilities | |||||||||
Amounts | Amounts | ||||||||||
Gross | Offset | Presented | |||||||||
Amounts | in the | in the | |||||||||
of | Statement | Statement | Collateral | ||||||||
Recognized | of Assets & | of Assets & | Financial | Pledged | Net | ||||||
Assets | Liabilities | Liabilities | Instruments | (Received) | Amount | ||||||
Description | |||||||||||
U.S. Treasury | |||||||||||
futures contracts(a) | $3,125 | $ — | $3,125 | $ — | $ — | $3,125 | |||||
Total | $3,125 | $ — | $3,125 | $ — | $ — | $3,125 |
(a) | Reflects the current day variation margin and/or unsettled open futures contracts, as reported on the Fund’s Statement of Assets and Liabilities. |
Page 166
Notes to the Financial Statements
June 30, 2020 (Unaudited)
8. | Other Derivative Information (cont.) |
Management has adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect a Fund’s Statement of Assets and Liabilities and Statement of Operations. Since the derivatives held long or short are for speculative trading purposes, the derivative instruments are not designated as hedging instruments. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open contracts from the preceding period, are recognized as part of realized and unrealized gain (loss) in the Statement of Operations.
The following table presents the fair value of derivative instruments for the Baird Strategic Municipal Bond Fund as of June 30, 2020 as presented on the Fund’s Statement of Assets and Liabilities:
Net Unrealized | ||||||||||||
Fair Value | Loss on Open | |||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | Positions | |||||||||
Baird Strategic Municipal Bond Fund | ||||||||||||
U.S. Treasury futures contracts(a) | ||||||||||||
Short contracts | ||||||||||||
Interest rate | $ | — | $ | 12,883 | $ | (12,883 | ) | |||||
Total U.S. Treasury futures contracts | $ | — | $ | 12,883 | $ | (12,883 | ) |
(a) | Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s schedule of open futures contracts. Only the current day variation margin for futures contracts is separately reported within the Fund’s Statement of Assets and Liabilities. |
The following table presents the results of the derivative trading and information related to volume for the six months ended June 30, 2020 for the Baird Strategic Municipal Bond Fund. The below captions of “Net Realized” and “Net Change in Unrealized” correspond to the captions in the Fund’s Statement of Operations.
Gain (Loss) from Trading | ||||||||
Net Change | ||||||||
Fund and Type of Derivative Instrument | Net Realized | in Unrealized | ||||||
Baird Strategic Municipal Bond Fund | ||||||||
U.S. Treasury futures contracts | ||||||||
Interest rate | $ | 4,023 | $ | (12,883 | ) | |||
Total U.S. Treasury futures contracts | $ | 4,023 | $ | (12,883 | ) |
The average monthly notional amount is shown as an indicator of volume. The average monthly notional amounts during the six months ended June 30, 2020 were:
Average Notional Amount | ||||||||
Long | Short | |||||||
Contracts | Contracts | |||||||
Baird Strategic Municipal Bond Fund | ||||||||
U.S. Treasury futures contracts | $ | — | $ | 636,027 |
Please refer to the Fund’s prospectus for a full listing of risks associated with these investments.
9. | Subsequent Events |
In preparing these financial statements, management has evaluated events after June 30, 2020. There were no subsequent events since June 30, 2020, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 167
Statement Regarding Liquidity Risk
Management Program (Unaudited)
In accordance with Rule 22e-4 under the Investment Company Act of 1940 (the “Rule”), Baird Funds, Inc. (the “Company”) has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for each series of the Company (each a “Fund” and collectively, the “Funds”) and to protect Fund shareholders from dilution of their interests. The Board of Directors (the “Board”) of the Company has appointed Robert W. Baird & Co. Incorporated (“Baird”), the Funds’ investment adviser, as the administrator of the Program. Baird has further delegated administration of the Program to its Liquidity Risk Management Committee (the “Committee”), consisting of officers of the Funds and senior portfolio managers and the chief risk officer of Baird. The Program requires the Committee to provide an annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of each Fund’s highly liquid investment minimum (“HLIM”), if applicable, and any material changes to the Program.
On February 19, 2020, the Board reviewed the Committee’s annual written report (the “Report”) for the period June 1, 2019 to December 31, 2019 (the “review period”). The Report provided a summary of the Committee’s assessment of each Fund’s liquidity risk, which is the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Committee’s assessment considered each Fund’s liquidity risk under both normal and reasonably foreseeable stressed market conditions using certain factors required by the Rule and the Program, to the extent deemed appropriate by the Committee. The Report stated that the Funds have retained ICE Data Services (“ICE”), a third party vendor, to provide a liquidity risk classification specified by the Rule (highly liquid, moderately liquid, less liquid or illiquid) for each portfolio investment held by the Funds, except with respect to any investments that are unclassified by ICE or that are classified by ICE but challenged by Baird, for which classifications are provided by the Committee. The Report also noted that each Fund primarily held investments that were classified as highly liquid during the review period and that each Fund’s portfolio is expected to continue to primarily hold highly liquid investments. Thus, the Committee concluded in the Report that each Fund is considered a “primarily highly liquid fund” (as defined in the Rule and Program) and each Fund can therefore rely on the exclusion in the Rule from the requirements to establish an HLIM and to adopt policies and procedures for responding to a HLIM shortfall. The Report further noted that none of the Funds exceeded the 15% limitation on illiquid investments during the review period and the Company has established procedures to file the Funds’ Forms N-PORT on a timely basis. The Report stated that, while certain clarifying changes had been made to the Program document, no material changes had been made to the Program since the Board’s last approval of the Program.
The Report noted no significant liquidity events or risks impacting any of the Funds. The Committee concluded in the Report that the Program is adequately designed, has been effectively implemented and is operating effectively to manage the liquidity risk of each Fund.
Page 168
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.
Page 169
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
John W. Feldt
Darren R. Jackson
Cory L. Nettles
Marlyn J. Spear (Chair)
Frederick P. Stratton, Jr.
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
833 East Michigan Street, Suite 1800
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Semi-Annual Report –
Baird Funds
June 30, 2020
Baird MidCap Fund
Baird Small/Mid Cap Growth Fund
Baird Small/Mid Cap Value Fund
Baird SmallCap Value Fund
Chautauqua International Growth Fund
Chautauqua Global Growth Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature) and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary or, if you are a direct investor, by calling 1-866-442-2473, or sending an e-mail request to prospectus@bairdfunds.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 1-866-442-2473 or send an e-mail request to prospectus@bairdfunds.com to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held in your account if you invest through your financial intermediary or all Funds held with the fund complex if you invest directly with the Funds.
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Baird MidCap Fund | 1 | |
Baird Small/Mid Cap Growth Fund | 7 | |
Baird Small/Mid Cap Value Fund | 13 | |
Baird SmallCap Value Fund | 19 | |
Chautauqua International Growth Fund | 24 | |
Chautauqua Global Growth Fund | 29 | |
Additional Information on Fund Expenses | 35 | |
Statements of Assets and Liabilities | 37 | |
Statements of Operations | 40 | |
Statements of Changes in Net Assets | 43 | |
Financial Highlights | 49 | |
Notes to the Financial Statements | 61 | |
Statement Regarding Liquidity Risk Management Program | 72 | |
Additional Information | 73 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Baird MidCap Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 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) | ||
Synopsys, Inc. | 3.0% | ||
Chipotle Mexican Grill, Inc. | 2.8% | ||
Pool Corp. | 2.5% | ||
Monolithic Power Systems, Inc. | 2.5% | ||
EPAM Systems, Inc. | 2.5% | ||
O’Reilly Automotive, Inc. | 2.3% | ||
IDEXX Laboratories, Inc. | 2.2% | ||
Microchip Technology, Inc. | 2.2% | ||
ResMed, Inc. | 2.2% | ||
Generac Holdings, Inc. | 2.2% | ||
Net Assets: | $1,873,369,812 | ||
Portfolio Turnover Rate: | 33% | (5) | |
Number of Equity Holdings: | 57 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 0.82% | ||
Investor Class: | 1.07% | (4) | |
Net | |||
Institutional Class: | 0.82% | ||
Investor Class: | 1.07% | (4) | |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 1
Baird MidCap Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2020 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 4.45% | 12.48% | 11.66% | 14.44% | 8.24% |
Investor Class Shares | 4.27% | 12.17% | 11.36% | 14.16% | 7.98% |
Russell Midcap® Growth Index(2) | 4.16% | 11.91% | 11.60% | 15.09% | 7.69% |
(1) | For the period from December 29, 2000 (inception date) through June 30, 2020. |
(2) | The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 2
Baird MidCap Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
HEICO Corp. | 241,078 | $ | 24,023,423 | 1.3 | % | |||||||
Mercury Systems, Inc.(1) | 286,701 | 22,551,900 | 1.2 | % | ||||||||
46,575,323 | 2.5 | % | ||||||||||
Banks | ||||||||||||
Pinnacle Financial Partners, Inc. | 463,521 | 19,463,247 | 1.0 | % | ||||||||
Building Products | ||||||||||||
Trex Co, Inc.(1) | 262,886 | 34,193,582 | 1.8 | % | ||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 71,571 | 35,851,345 | 1.9 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Copart, Inc.(1) | 408,789 | 34,039,860 | 1.8 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 147,352 | 16,500,477 | 0.9 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 175,235 | 47,641,139 | 2.5 | % | ||||||||
Electrical Equipment | ||||||||||||
Generac Holdings, Inc.(1) | 333,482 | 40,661,460 | 2.2 | % | ||||||||
Rockwell Automation, Inc. | 141,002 | 30,033,426 | 1.6 | % | ||||||||
70,694,886 | 3.8 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 348,814 | 40,525,210 | 2.2 | % | ||||||||
Dolby Laboratories, Inc. – Class A | 380,288 | 25,049,571 | 1.3 | % | ||||||||
Keysight Technologies, Inc.(1) | 339,151 | 34,179,638 | 1.8 | % | ||||||||
99,754,419 | 5.3 | % | ||||||||||
Entertainment | ||||||||||||
Take-Two Interactive Software, Inc.(1) | 215,127 | 30,025,275 | 1.6 | % | ||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 511,762 | 32,716,945 | 1.7 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Align Technology, Inc.(1) | 131,134 | 35,988,415 | 1.9 | % | ||||||||
Cooper Cos., Inc. | 114,845 | 32,574,636 | 1.7 | % | ||||||||
DexCom, Inc.(1) | 92,151 | 37,358,015 | 2.0 | % | ||||||||
IDEXX Laboratories, Inc.(1) | 126,632 | 41,808,821 | 2.2 | % | ||||||||
Insulet Corp.(1) | 187,853 | 36,492,324 | 2.0 | % | ||||||||
ResMed, Inc. | 215,134 | 41,305,728 | 2.2 | % | ||||||||
225,527,939 | 12.0 | % | ||||||||||
Health Care Technology | ||||||||||||
Veeva Systems, Inc.(1) | 157,686 | 36,964,752 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird MidCap Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Chipotle Mexican Grill, Inc.(1) | 50,175 | $ | 52,802,163 | 2.8 | % | |||||||
Household Durables | ||||||||||||
DR Horton, Inc. | 455,722 | 25,269,785 | 1.4 | % | ||||||||
Insurance | ||||||||||||
Arthur J Gallagher & Co. | 326,381 | 31,818,884 | 1.7 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 157,497 | 19,874,546 | 1.1 | % | ||||||||
EPAM Systems, Inc.(1) | 183,448 | 46,230,730 | 2.5 | % | ||||||||
Euronet Worldwide, Inc.(1) | 253,915 | 24,330,135 | 1.3 | % | ||||||||
Jack Henry & Associates, Inc. | 113,050 | 20,804,592 | 1.1 | % | ||||||||
VeriSign, Inc.(1) | 136,525 | 28,237,466 | 1.5 | % | ||||||||
139,477,469 | 7.5 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 230,173 | 38,774,943 | 2.1 | % | ||||||||
Repligen Corp.(1) | 201,895 | 24,956,241 | 1.3 | % | ||||||||
63,731,184 | 3.4 | % | ||||||||||
Machinery | ||||||||||||
Graco, Inc. | 539,372 | 25,884,462 | 1.4 | % | ||||||||
IDEX Corp. | 187,037 | 29,559,328 | 1.6 | % | ||||||||
55,443,790 | 3.0 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 21,175 | 37,582,449 | 2.0 | % | ||||||||
Multiline Retail | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 271,531 | 26,515,002 | 1.4 | % | ||||||||
Pharmaceuticals | ||||||||||||
Catalent, Inc.(1) | 517,318 | 37,919,409 | 2.0 | % | ||||||||
Jazz Pharmaceuticals PLC(1)(2) | 146,869 | 16,205,526 | 0.9 | % | ||||||||
54,124,935 | 2.9 | % | ||||||||||
Professional Services | ||||||||||||
CoStar Group, Inc.(1) | 26,926 | 19,135,500 | 1.0 | % | ||||||||
TransUnion | 463,588 | 40,350,700 | 2.2 | % | ||||||||
Verisk Analytics, Inc. | 201,600 | 34,312,320 | 1.8 | % | ||||||||
93,798,520 | 5.0 | % | ||||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 154,461 | 18,587,837 | 1.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Microchip Technology, Inc. | 393,402 | 41,429,164 | 2.2 | % | ||||||||
Monolithic Power Systems, Inc. | 197,183 | 46,732,371 | 2.5 | % | ||||||||
88,161,535 | 4.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird MidCap Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Software | ||||||||||||
Alteryx, Inc.(1) | 247,338 | $ | 40,632,687 | 2.2 | % | |||||||
Aspen Technology, Inc.(1) | 270,329 | 28,008,788 | 1.5 | % | ||||||||
Paycom Software, Inc.(1) | 101,540 | 31,449,984 | 1.7 | % | ||||||||
PTC, Inc.(1) | 286,850 | 22,314,061 | 1.2 | % | ||||||||
RealPage, Inc.(1) | 467,386 | 30,384,764 | 1.6 | % | ||||||||
Synopsys, Inc.(1) | 288,561 | 56,269,395 | 3.0 | % | ||||||||
Tyler Technologies, Inc.(1) | 96,693 | 33,540,868 | 1.8 | % | ||||||||
242,600,547 | 13.0 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 181,999 | 35,841,063 | 1.9 | % | ||||||||
Five Below, Inc.(1) | 254,346 | 27,192,131 | 1.5 | % | ||||||||
O’Reilly Automotive, Inc.(1) | 103,595 | 43,682,904 | 2.3 | % | ||||||||
Tractor Supply Co. | 214,233 | 28,233,767 | 1.5 | % | ||||||||
134,949,865 | 7.2 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Co. | 576,433 | 24,694,390 | 1.3 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $1,223,467,238) | 1,819,507,544 | 97.1 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 40,636,814 | 40,636,814 | 2.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $40,636,814) | 40,636,814 | 2.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,264,104,052) | 1,860,144,358 | 99.3 | % | |||||||||
Other Assets in Excess of Liabilities | 13,225,454 | 0.7 | % | |||||||||
TOTAL NET ASSETS | $ | 1,873,369,812 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | Seven-Day Yield. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 5
Baird MidCap Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,819,507,544 | $ | — | $ | — | $ | 1,819,507,544 | ||||||||
Total Equity | 1,819,507,544 | — | — | 1,819,507,544 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 40,636,814 | — | — | 40,636,814 | ||||||||||||
Total Short-Term Investment | 40,636,814 | — | — | 40,636,814 | ||||||||||||
Total Investments* | $ | 1,860,144,358 | $ | — | $ | — | $ | 1,860,144,358 |
* | 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 6
Baird Small/Mid Cap Growth Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 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) | ||
EPAM Systems, Inc. | 3.1% | ||
SiteOne Landscape Supply, Inc. | 2.5% | ||
Pool Corp. | 2.5% | ||
LHC Group, Inc. | 2.4% | ||
Avalara, Inc. | 2.3% | ||
Insulet Corp. | 2.3% | ||
IDEX Corp. | 2.3% | ||
Cable One, Inc. | 2.2% | ||
QUIDEL Corp. | 2.1% | ||
Tyler Technologies, Inc. | 2.1% | ||
Net Assets: | $27,552,313 | ||
Portfolio Turnover Rate: | 34% | (5) | |
Number of Equity Holdings: | 65 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 2.10% | ||
Investor Class: | 2.35% | (4) | |
Net | |||
Institutional Class: | 0.85% | ||
Investor Class: | 1.10% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 7
Baird Small/Mid Cap Growth Fund
June 30, 2020 (Unaudited)
Total Returns
Average | |||
Annual | |||
One | Since | ||
For the Periods Ended June 30, 2020 | Six Months | Year | Inception(1) |
Institutional Class Shares | 8.73% | 18.07% | 18.87% |
Investor Class Shares | 8.59% | 17.75% | 18.55% |
Russell 2500® Growth Index(2) | 2.02% | 9.21% | 13.21% |
(1) | For the period from October 31, 2018 (inception date) through June 30, 2020. |
(2) | The Russell 2500® Growth Index measures the performance of the Small-to-Mid Cap Growth segment of the U.S. equity universe. It includes those Russell 2500® Index companies with higher price-to-book ratios and higher forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 8
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
HEICO Corp. | 2,424 | $ | 241,552 | 0.9 | % | |||||||
Biotechnology | ||||||||||||
Exact Sciences Corp.(1) | 2,555 | 222,132 | 0.8 | % | ||||||||
Pfenex, Inc.(1) | 20,580 | 171,843 | 0.6 | % | ||||||||
393,975 | 1.4 | % | ||||||||||
Building Products | ||||||||||||
Trex Co, Inc.(1) | 3,813 | 495,957 | 1.8 | % | ||||||||
Capital Markets | ||||||||||||
MarketAxess Holdings, Inc. | 666 | 333,613 | 1.2 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
IAA, Inc.(1) | 11,389 | 439,273 | 1.6 | % | ||||||||
Mobile Mini, Inc. | 6,595 | 194,553 | 0.7 | % | ||||||||
633,826 | 2.3 | % | ||||||||||
Construction & Engineering | ||||||||||||
MasTec, Inc.(1) | 8,312 | 372,959 | 1.4 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 4,875 | 545,903 | 2.0 | % | ||||||||
Distributors | ||||||||||||
Pool Corp. | 2,619 | 712,028 | 2.6 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
Bandwidth, Inc.(1) | 2,216 | 281,432 | 1.0 | % | ||||||||
Electrical Equipment | ||||||||||||
Generac Holdings, Inc.(1) | 3,650 | 445,045 | 1.6 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Littelfuse, Inc. | 1,536 | 262,088 | 1.0 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
National Storage Affiliates Trust | 11,084 | 317,667 | 1.2 | % | ||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 6,148 | 393,042 | 1.4 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Insulet Corp.(1) | 3,287 | 638,533 | 2.3 | % | ||||||||
Novocure Ltd.(1)(2) | 4,026 | 238,742 | 0.9 | % | ||||||||
OrthoPediatrics Corp.(1) | 6,518 | 285,228 | 1.0 | % | ||||||||
QUIDEL Corp.(1) | 2,679 | 599,399 | 2.2 | % | ||||||||
Shockwave Medical, Inc.(1) | 7,360 | 348,643 | 1.3 | % | ||||||||
Silk Road Medical, Inc.(1) | 6,335 | 265,373 | 0.9 | % | ||||||||
STAAR Surgical Co.(1) | 5,860 | 360,624 | 1.3 | % | ||||||||
Tandem Diabetes Care, Inc.(1) | 4,690 | 463,935 | 1.7 | % | ||||||||
3,200,477 | 11.6 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
LHC Group, Inc.(1) | 3,973 | 692,573 | 2.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 9
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Technology | ||||||||||||
Inspire Medical Systems, Inc.(1) | 3,580 | $ | 311,532 | 1.1 | % | |||||||
Phreesia, Inc.(1) | 9,636 | 272,506 | 1.0 | % | ||||||||
584,038 | 2.1 | % | ||||||||||
Household Durables | ||||||||||||
LGI Homes, Inc.(1) | 4,001 | 352,208 | 1.3 | % | ||||||||
Insurance | ||||||||||||
Kinsale Capital Group, Inc. | 2,116 | 328,424 | 1.2 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc.(1) | 5,351 | 568,437 | 2.1 | % | ||||||||
IT Services | ||||||||||||
EPAM Systems, Inc.(1) | 3,456 | 870,946 | 3.2 | % | ||||||||
Euronet Worldwide, Inc.(1) | 2,333 | 223,548 | 0.8 | % | ||||||||
Jack Henry & Associates, Inc. | 2,663 | 490,072 | 1.8 | % | ||||||||
LiveRamp Holdings, Inc.(1) | 4,248 | 180,413 | 0.6 | % | ||||||||
WNS Holdings Ltd. – ADR(1)(2) | 6,944 | 381,781 | 1.4 | % | ||||||||
2,146,760 | 7.8 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 2,869 | 483,312 | 1.7 | % | ||||||||
Repligen Corp.(1) | 3,510 | 433,871 | 1.6 | % | ||||||||
917,183 | 3.3 | % | ||||||||||
Machinery | ||||||||||||
IDEX Corp. | 4,029 | 636,743 | 2.3 | % | ||||||||
Toro Co. | 5,987 | 397,178 | 1.4 | % | ||||||||
1,033,921 | 3.7 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 354 | 628,297 | 2.3 | % | ||||||||
Multiline Retail | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 3,418 | 333,768 | 1.2 | % | ||||||||
Pharmaceuticals | ||||||||||||
Catalent, Inc.(1) | 6,748 | 494,628 | 1.8 | % | ||||||||
Jazz Pharmaceuticals PLC(1)(2) | 2,970 | 327,710 | 1.2 | % | ||||||||
Revance Therapeutics, Inc.(1) | 14,545 | 355,189 | 1.3 | % | ||||||||
1,177,527 | 4.3 | % | ||||||||||
Professional Services | ||||||||||||
TransUnion | 3,840 | 334,234 | 1.2 | % | ||||||||
Road & Rail | ||||||||||||
Schneider National, Inc. | 13,703 | 338,053 | 1.2 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Monolithic Power Systems, Inc. | 2,494 | 591,078 | 2.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 10
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Software | ||||||||||||
Alteryx, Inc.(1) | 3,366 | $ | 552,966 | 2.0 | % | |||||||
Avalara, Inc.(1) | 4,870 | 648,149 | 2.4 | % | ||||||||
Descartes Systems Group, Inc.(1)(2) | 7,480 | 395,692 | 1.4 | % | ||||||||
Fair Isaac Corp.(1) | 1,171 | 489,525 | 1.8 | % | ||||||||
Paycom Software, Inc.(1) | 1,002 | 310,349 | 1.1 | % | ||||||||
Paylocity Holding Corp.(1) | 3,800 | 554,382 | 2.0 | % | ||||||||
Ping Identity Holding Corp.(1) | 8,700 | 279,183 | 1.0 | % | ||||||||
Q2 Holdings, Inc.(1) | 4,793 | 411,191 | 1.5 | % | ||||||||
Rapid7, Inc.(1) | 4,884 | 249,182 | 0.9 | % | ||||||||
Smartsheet, Inc.(1) | 5,445 | 277,259 | 1.0 | % | ||||||||
Sprout Social, Inc.(1) | 10,200 | 275,400 | 1.0 | % | ||||||||
Tyler Technologies, Inc.(1) | 1,713 | 594,205 | 2.2 | % | ||||||||
Upland Software, Inc.(1) | 11,433 | 397,411 | 1.4 | % | ||||||||
5,434,894 | 19.7 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 2,798 | 551,009 | 2.0 | % | ||||||||
Five Below, Inc.(1) | 3,982 | 425,716 | 1.5 | % | ||||||||
976,725 | 3.5 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Crocs, Inc.(1) | 12,417 | 457,194 | 1.7 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
SiteOne Landscape Supply, Inc.(1) | 6,264 | 713,907 | 2.6 | % | ||||||||
Watsco, Inc. | 2,421 | 430,212 | 1.6 | % | ||||||||
1,144,119 | 4.2 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $21,955,192) | 26,668,997 | 96.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 1,513,163 | 1,513,163 | 5.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,513,163) | 1,513,163 | 5.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $23,468,355) | 28,182,160 | 102.3 | % | |||||||||
Liabilities in Excess of Other Assets | (629,847 | ) | (2.3 | )% | ||||||||
TOTAL NET ASSETS | $ | 27,552,313 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Small/Mid Cap Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Notes to Schedule of Investments (cont.)
(3) | Seven-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.
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 26,668,997 | $ | — | $ | — | $ | 26,668,997 | ||||||||
Total Equity | 26,668,997 | — | — | 26,668,997 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,513,163 | — | — | 1,513,163 | ||||||||||||
Total Short-Term Investment | 1,513,163 | — | — | 1,513,163 | ||||||||||||
Total Investments* | $ | 28,182,160 | $ | — | $ | — | $ | 28,182,160 |
* | 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 12
Baird Small/Mid Cap Value Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 2500® Value Index is shown below.
Top 10 Holdings(1) | Equity Sector Analysis(2) | ||
Boingo Wireless, Inc. | 4.2% | ||
Atlantica Yield PLC | 3.5% | ||
Atmos Energy Corp. | 3.1% | ||
Laboratory Corp. of America Holdings | 3.1% | ||
Old Republic International Corp. | 2.7% | ||
Agree Realty Corp. | 2.7% | ||
Tractor Supply Co. | 2.6% | ||
Air Transport Services Group, Inc. | 2.6% | ||
Science Applications International Corp. | 2.5% | ||
Blackstone Mortgage Trust, Inc. | 2.4% | ||
Net Assets: | $20,214,232 | ||
Portfolio Turnover Rate: | 42% | (5) | |
Number of Equity Holdings: | 46 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.59% | ||
Investor Class: | 1.84% | (4) | |
Net | |||
Institutional Class: | 0.85% | ||
Investor Class: | 1.10% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 13
Baird Small/Mid Cap Value Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2020 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | -18.43% | -14.96% | -2.08% | 0.71% |
Investor Class Shares | -18.50% | -15.20% | -2.35% | 0.45% |
Russell 2500® Value Index(2) | -21.18% | -15.50% | -2.60% | 2.61% |
(1) | For the period from November 30, 2015 (inception date) through June 30, 2020. |
(2) | The Russell 2500® Value Index measures the performance of the small cap value segment of the U.S. equity universe. It includes those Russell 2500® Index companies with lower price-to-book ratios and lower forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and 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 14
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 23,534 | $ | 524,102 | 2.6 | % | |||||||
Chemicals | ||||||||||||
PolyOne Corp. | 16,432 | 431,011 | 2.1 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
ACCO Brands Corp. | 31,642 | 224,658 | 1.1 | % | ||||||||
Communications Equipment | ||||||||||||
Ciena Corp.(1) | 5,838 | 316,186 | 1.6 | % | ||||||||
Construction & Engineering | ||||||||||||
Construction Partners, Inc.(1) | 11,017 | 195,662 | 1.0 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 16,666 | 312,154 | 1.5 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 2,952 | 194,448 | 1.0 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Solaris Oilfield Infrastructure, Inc. – Class A | 34,342 | 254,818 | 1.3 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 8,181 | 537,573 | 2.7 | % | ||||||||
EastGroup Properties, Inc. | 2,571 | 304,946 | 1.5 | % | ||||||||
Healthpeak Properties, Inc. | 14,242 | 392,510 | 1.9 | % | ||||||||
Physicians Realty Trust | 25,453 | 445,937 | 2.2 | % | ||||||||
VICI Properties, Inc. | 11,781 | 237,858 | 1.2 | % | ||||||||
1,918,824 | 9.5 | % | ||||||||||
Food Products | ||||||||||||
Nomad Foods Ltd.(1)(2) | 9,400 | 201,630 | 1.0 | % | ||||||||
Simply Good Foods Co.(1) | 21,413 | 397,853 | 2.0 | % | ||||||||
599,483 | 3.0 | % | ||||||||||
Gas Utilities | ||||||||||||
Atmos Energy Corp. | 6,355 | 632,831 | 3.1 | % | ||||||||
Southwest Gas Holdings, Inc. | 5,656 | 390,547 | 1.9 | % | ||||||||
1,023,378 | 5.0 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Hill-Rom Holdings, Inc. | 3,679 | 403,881 | 2.0 | % | ||||||||
ICU Medical, Inc.(1) | 2,251 | 414,881 | 2.1 | % | ||||||||
818,762 | 4.1 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
DaVita, Inc.(1) | 6,060 | 479,588 | 2.3 | % | ||||||||
Laboratory Corp. of America Holdings(1) | 3,737 | 620,754 | 3.1 | % | ||||||||
1,100,342 | 5.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 15
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 55,356 | $ | 173,818 | 0.9 | % | |||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Atlantica Yield PLC(2) | 24,481 | 712,397 | 3.5 | % | ||||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 7,272 | 461,481 | 2.3 | % | ||||||||
Fidelity National Financial, Inc. | 13,030 | 399,500 | 2.0 | % | ||||||||
Old Republic International Corp. | 33,735 | 550,218 | 2.7 | % | ||||||||
1,411,199 | 7.0 | % | ||||||||||
IT Services | ||||||||||||
CACI International, Inc.(1) | 1,817 | 394,071 | 1.9 | % | ||||||||
Leidos Holdings, Inc. | 4,181 | 391,634 | 1.9 | % | ||||||||
Perspecta, Inc. | 17,930 | 416,514 | 2.1 | % | ||||||||
Science Applications International Corp. | 6,519 | 506,397 | 2.5 | % | ||||||||
VeriSign, Inc.(1) | 1,937 | 400,630 | 2.0 | % | ||||||||
WEX Inc.(1) | 2,323 | 383,318 | 1.9 | % | ||||||||
2,492,564 | 12.3 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 20,332 | 489,798 | 2.4 | % | ||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 22,278 | 288,277 | 1.4 | % | ||||||||
Personal Products | ||||||||||||
BellRing Brands, Inc.(1) | 21,572 | 430,146 | 2.1 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Silicon Motion Technology Corp. – ADR(2) | 8,650 | 421,861 | 2.1 | % | ||||||||
Skyworks Solutions, Inc. | 2,828 | 361,588 | 1.8 | % | ||||||||
783,449 | 3.9 | % | ||||||||||
Software | ||||||||||||
Cerence, Inc.(1) | 11,672 | 476,685 | 2.4 | % | ||||||||
j2 Global, Inc.(1) | 7,373 | 466,047 | 2.3 | % | ||||||||
942,732 | 4.7 | % | ||||||||||
Specialty Retail | ||||||||||||
Tractor Supply Co. | 4,040 | 532,431 | 2.6 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 21,615 | 477,259 | 2.4 | % | ||||||||
Essent Group Ltd.(2) | 13,500 | 489,645 | 2.4 | % | ||||||||
Merchants Bancorp | 20,706 | 382,854 | 1.9 | % | ||||||||
NMI Holdings, Inc.(1) | 15,075 | 242,406 | 1.2 | % | ||||||||
1,592,164 | 7.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 16
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 63,532 | $ | 846,246 | 4.2 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $18,180,730) | 18,609,049 | 92.1 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 1,595,289 | 1,595,289 | 7.9 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,595,289) | 1,595,289 | 7.9 | % | |||||||||
Total Investments | ||||||||||||
(Cost $19,776,019) | 20,204,338 | 100.0 | % | |||||||||
Other Assets in Excess of Liabilities | 9,894 | 0.0 | % | |||||||||
TOTAL NET ASSETS | $ | 20,214,232 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | Seven-Day Yield. |
ADR – American Depository Receipt
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS® was developed by and/or is the exclusive property of MSCI, Inc (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 17
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 18,609,049 | $ | — | $ | — | $ | 18,609,049 | ||||||||
Total Equity | 18,609,049 | — | — | 18,609,049 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,595,289 | — | — | 1,595,289 | ||||||||||||
Total Short-Term Investment | 1,595,289 | — | — | 1,595,289 | ||||||||||||
Total Investments* | $ | 20,204,338 | $ | — | $ | — | $ | 20,204,338 |
* | 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 18
Baird SmallCap Value Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 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) | ||
Atlantica Yield PLC | 5.2% | ||
Boingo Wireless, Inc. | 5.0% | ||
CACI International, Inc. | 4.5% | ||
Agree Realty Corp. | 4.4% | ||
CyrusOne, Inc. | 4.4% | ||
ICU Medical, Inc. | 4.3% | ||
Southwest Gas Holdings, Inc. | 4.3% | ||
j2 Global, Inc. | 3.7% | ||
Air Transport Services Group, Inc. | 3.5% | ||
Cerence, Inc. | 3.3% | ||
Net Assets: | $23,947,691 | ||
Portfolio Turnover Rate: | 24% | (5) | |
Number of Equity Holdings: | 37 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.44% | ||
Investor Class: | 1.69% | (4) | |
Net | |||
Institutional Class: | 0.95% | ||
Investor Class: | 1.20% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 19
Baird SmallCap Value Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2020 | Six Months | One Year | Three Years | Five Years | Inception(1) |
Institutional Class Shares | -17.97% | -14.08% | -2.49% | 0.42% | 5.27% |
Investor Class Shares | -18.09% | -14.29% | -2.72% | 0.17% | 5.01% |
Russell 2000® Value Index(2) | -23.50% | -17.48% | -4.35% | 1.26% | 6.04% |
(1) | For the period from May 1, 2012 (inception date) through June 30, 2020. |
(2) | The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. These and other geopolitical events may cause market disruptions and could have an adverse effect on the value of the Fund’s investments.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 20
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 37,638 | $ | 838,198 | 3.5 | % | |||||||
Biotechnology | ||||||||||||
Eagle Pharmaceuticals, Inc.(1) | 9,055 | 434,459 | 1.8 | % | ||||||||
Chemicals | ||||||||||||
PolyOne Corp. | 14,860 | 389,778 | 1.6 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
ACCO Brands Corp. | 35,506 | 252,093 | 1.1 | % | ||||||||
Construction & Engineering | ||||||||||||
Construction Partners, Inc.(1) | 39,966 | 709,796 | 3.0 | % | ||||||||
Electrical Equipment | ||||||||||||
nVent Electric PLC(2) | 30,710 | 575,198 | 2.4 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Dolby Laboratories, Inc. – Class A | 7,072 | 465,832 | 2.0 | % | ||||||||
Knowles Corp.(1) | 16,380 | 249,959 | 1.0 | % | ||||||||
715,791 | 3.0 | % | ||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 16,213 | 1,065,356 | 4.5 | % | ||||||||
CyrusOne, Inc. | 14,609 | 1,062,805 | 4.4 | % | ||||||||
Healthcare Realty Trust, Inc. | 11,280 | 330,391 | 1.4 | % | ||||||||
Physicians Realty Trust | 27,872 | 488,317 | 2.0 | % | ||||||||
QTS Realty Trust, Inc. | 7,487 | 479,842 | 2.0 | % | ||||||||
3,426,711 | 14.3 | % | ||||||||||
Food Products | ||||||||||||
Nomad Foods Ltd.(1)(2) | 13,184 | 282,797 | 1.2 | % | ||||||||
Simply Good Foods Co.(1) | 26,977 | 501,233 | 2.1 | % | ||||||||
784,030 | 3.3 | % | ||||||||||
Gas Utilities | ||||||||||||
Southwest Gas Holdings, Inc. | 14,898 | 1,028,707 | 4.3 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Hill-Rom Holdings, Inc. | 3,452 | 378,960 | 1.6 | % | ||||||||
ICU Medical, Inc.(1) | 5,628 | 1,037,297 | 4.3 | % | ||||||||
1,416,257 | 5.9 | % | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 91,981 | 288,820 | 1.2 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Atlantica Yield PLC(2) | 42,949 | 1,249,816 | 5.2 | % | ||||||||
Insurance | ||||||||||||
Everest Re Group Ltd.(2) | 1,723 | 355,282 | 1.5 | % | ||||||||
First American Financial Corp. | 8,237 | 395,541 | 1.6 | % | ||||||||
750,823 | 3.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
IT Services | ||||||||||||
CACI International, Inc.(1) | 5,019 | $ | 1,088,521 | 4.6 | % | |||||||
Perspecta, Inc. | 33,494 | 778,065 | 3.2 | % | ||||||||
Science Applications International Corp. | 5,909 | 459,011 | 1.9 | % | ||||||||
Verra Mobility Corp.(1) | 42,953 | 441,557 | 1.9 | % | ||||||||
2,767,154 | 11.6 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 17,560 | 423,020 | 1.8 | % | ||||||||
Multi-Utilities | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 57,940 | 749,744 | 3.1 | % | ||||||||
Personal Products | ||||||||||||
BellRing Brands, Inc.(1) | 15,474 | 308,552 | 1.3 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Silicon Motion Technology Corp. – ADR(2) | 10,361 | 505,306 | 2.1 | % | ||||||||
Software | ||||||||||||
Cerence, Inc.(1) | 19,359 | 790,622 | 3.3 | % | ||||||||
j2 Global, Inc.(1) | 14,152 | 894,548 | 3.7 | % | ||||||||
1,685,170 | 7.0 | % | ||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Axos Financial, Inc.(1) | 33,913 | 748,799 | 3.1 | % | ||||||||
Essent Group Ltd.(2) | 13,787 | 500,054 | 2.1 | % | ||||||||
Merchants Bancorp | 34,061 | 629,788 | 2.6 | % | ||||||||
1,878,641 | 7.8 | % | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 90,240 | 1,201,997 | 5.0 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $19,503,537) | 22,380,061 | 93.4 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 1,550,007 | 1,550,007 | 6.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,550,007) | 1,550,007 | 6.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $21,053,544) | 23,930,068 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 17,623 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 23,947,691 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Foreign Security. |
(3) | Seven-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.
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 22,380,061 | $ | — | $ | — | $ | 22,380,061 | ||||||||
Total Equity | 22,380,061 | — | — | 22,380,061 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,550,007 | — | — | 1,550,007 | ||||||||||||
Total Short-Term Investment | 1,550,007 | — | — | 1,550,007 | ||||||||||||
Total Investments* | $ | 23,930,068 | $ | — | $ | — | $ | 23,930,068 |
* | 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 23
Chautauqua International Growth Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 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) | |||||
Genmab A/S | 7.0% | Net Assets: | $206,036,372 | ||
TAL Education Group – ADR | 6.1% | Portfolio Turnover Rate: | 18% | (5) | |
ASML Holding NV | 5.6% | Number of Equity Holdings: | 27 | ||
Adyen NV | 5.2% | ||||
Prosus NV | 5.0% | Annualized Portfolio Expense Ratio(3): | |||
Bank Rakyat Indonesia Persero Tbk PT | 4.8% | Gross | |||
Temenos Group AG | 4.7% | Institutional Class: | 0.96% | ||
DBS Group Holdings Ltd. | 4.6% | Investor Class: | 1.21% | (4) | |
Wuxi Biologics Cayman, Inc. | 4.5% | ||||
Alibaba Group Holding Ltd. – ADR | 4.4% | Net | |||
Institutional Class: | 0.80% | ||||
Investor Class: | 1.05% | (4) | |||
Equity Sector Analysis(2) | Country Allocation(2) | ||||
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 24
Chautauqua International Growth Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2020 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | 4.68% | 10.21% | 8.68% | 8.96% |
Investor Class Shares | 4.52% | 9.94% | 8.35% | 8.71% |
MSCI ACWI ex USA Index(2) | -11.00% | -4.80% | 1.13% | 4.75% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2020. |
(2) | The MSCI ACWI ex USA Index is a market-capitalization-weighted index maintained by MSCI, Inc. and designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI ACWI ex USA Index includes both developed and emerging markets. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. In addition, upon the United Kingdom’s (UK) departure from the European Union on January 31, 2020 following a June 2016 referendum referred to as “Brexit,” the UK entered a transition period until December 31, 2020 during which time a trade deal and other key agreements will be negotiated. There is significant market uncertainty regarding Brexit’s ramifications, and the range of possible political, regulatory, economic, and market outcomes are difficult to predict. These and other geopolitical events may cause market disruptions and could have an adverse effect on the value of the Fund’s investments.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 25
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 30,765 | $ | 5,546,007 | 2.7 | % | |||||||
Temenos Group AG (Switzerland)(2) | 62,879 | 9,772,901 | 4.7 | % | ||||||||
15,318,908 | 7.4 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 100,873 | 4,236,424 | 2.1 | % | ||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 354,021 | 2,760,054 | 1.3 | % | ||||||||
Biotechnology | ||||||||||||
BeiGene Ltd. – ADR (China)(1) | 31,361 | 5,908,412 | 2.9 | % | ||||||||
Genmab A/S (Denmark)(1)(2) | 42,758 | 14,417,704 | 7.0 | % | ||||||||
20,326,116 | 9.9 | % | ||||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 45,884,156 | 9,793,658 | 4.8 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 626,845 | 9,432,032 | 4.6 | % | ||||||||
19,225,690 | 9.4 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 134,028 | 4,609,250 | 2.2 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 183,691 | 12,560,790 | 6.1 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Keyence Corp. (Japan)(2) | 13,910 | 5,829,146 | 2.8 | % | ||||||||
Environmental & Facilities Services | ||||||||||||
Waste Connections, Inc. (Canada) | 84,483 | 7,923,661 | 3.8 | % | ||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 2,071,964 | 5,326,933 | 2.6 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 34,883 | 6,253,475 | 3.0 | % | ||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada) | 5,626 | 6,352,415 | 3.1 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Prosus NV (Netherlands)(2) | 109,878 | 10,244,704 | 5.0 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 42,352 | 9,135,326 | 4.4 | % | ||||||||
IT Services | ||||||||||||
Adyen NV (Netherlands)(1) | 7,382 | 10,744,406 | 5.2 | % | ||||||||
Tata Consultancy Services Ltd. (India)(2) | 223,056 | 6,140,180 | 3.0 | % | ||||||||
16,884,586 | 8.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 26
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Life Sciences Tools & Services | ||||||||||||
Wuxi Biologics Cayman, Inc. (China)(1)(2) | 500,086 | $ | 9,179,387 | 4.5 | % | |||||||
Pharmaceuticals | ||||||||||||
Novo Nordisk A/S – ADR (Denmark) | 139,174 | 9,113,114 | 4.4 | % | ||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 157,731 | 7,170,451 | 3.5 | % | ||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 31,388 | 11,551,725 | 5.6 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 139,946 | 2,086,393 | 1.0 | % | ||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Co. Ltd. – ADR (Taiwan) | 97,529 | 5,536,721 | 2.7 | % | ||||||||
7,623,114 | 3.7 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
SolarEdge Technologies, Inc. (Israel)(1) | 38,533 | 5,347,610 | 2.6 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $153,870,091) | 196,972,879 | 95.6 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 7,841,834 | 7,841,834 | 3.8 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $7,841,834) | 7,841,834 | 3.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $161,711,925) | 204,814,713 | 99.4 | % | |||||||||
Other Assets in Excess of Liabilities | 1,221,659 | 0.6 | % | |||||||||
TOTAL NET ASSETS | $ | 206,036,372 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Level 2 security – See Note 2a to the financial statements. |
(3) | Seven-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.
The accompanying notes are an integral part of these financial statements.
Page 27
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 96,890,638 | $ | 100,082,241 | $ | — | $ | 196,972,879 | ||||||||
Total Equity | 96,890,638 | 100,082,241 | — | 196,972,879 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 7,841,834 | — | — | 7,841,834 | ||||||||||||
Total Short-Term Investment | 7,841,834 | — | — | 7,841,834 | ||||||||||||
Total Investments* | $ | 104,732,472 | $ | 100,082,241 | $ | — | $ | 204,814,713 |
* | 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 28
Chautauqua Global Growth Fund
June 30, 2020 (Unaudited)
Portfolio Characteristics
A June 30, 2020 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) | |||||
Genmab A/S | 5.1% | Net Assets: | $83,040,915 | ||
TAL Education Group – ADR | 5.0% | Portfolio Turnover Rate: | 16% | (5) | |
Incyte Corp. | 4.6% | Number of Equity Holdings: | 42 | ||
Prosus NV | 4.4% | ||||
Novo Nordisk A/S – ADR | 3.8% | Annualized Portfolio Expense Ratio(3): | |||
Amazon.com, Inc. | 3.7% | Gross | |||
Wuxi Biologics Cayman, Inc. | 3.4% | Institutional Class: | 1.23% | ||
TJX Cos, Inc. | 3.3% | Investor Class: | 1.48% | (4) | |
Temenos Group AG | 3.2% | ||||
Regeneron Pharmaceuticals, Inc. | 3.0% | Net | |||
Institutional Class: | 0.80% | ||||
Investor Class: | 1.05% | (4) | |||
Equity Sector Analysis(2) | Country Allocation(2) | ||||
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2020. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2020, 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. |
(5) | Not annualized. |
Page 29
Chautauqua Global Growth Fund
June 30, 2020 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2020 | Six Months | One Year | Three Years | Inception(1) |
Institutional Class Shares | 6.36% | 13.16% | 10.81% | 12.49% |
Investor Class Shares | 6.55% | 13.20% | 10.65% | 12.29% |
MSCI ACWI Index(2) | -6.25% | 2.11% | 6.14% | 8.58% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2020. |
(2) | The MSCI ACWI Index is a market-capitalization-weighted index maintained by MSCI, Inc. and designed to provide a broad measure of stock performance throughout the world. The MSCI ACWI Index includes both developed and emerging markets. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns in the 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. U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including the impact of the coronavirus (COVID-19) as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. In addition, upon the United Kingdom’s (UK) departure from the European Union on January 31, 2020 following a June 2016 referendum referred to as “Brexit,” the UK entered a transition period until December 31, 2020 during which time a trade deal and other key agreements will be negotiated. There is significant market uncertainty regarding Brexit’s ramifications, and the range of possible political, regulatory, economic, and market outcomes are difficult to predict. These and other geopolitical events may cause market disruptions and 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 30
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel Retail | ||||||||||||
TJX Cos, Inc. (United States) | 54,756 | $ | 2,768,463 | 3.3 | % | |||||||
Application Software | ||||||||||||
Atlassian Corp. PLC (Australia)(1) | 7,660 | 1,380,868 | 1.7 | % | ||||||||
Temenos Group AG (Switzerland)(2) | 17,363 | 2,698,626 | 3.2 | % | ||||||||
4,079,494 | 4.9 | % | ||||||||||
Asset Management & Custody Banks | ||||||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 17,873 | 750,623 | 0.9 | % | ||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 140,246 | 1,093,400 | 1.3 | % | ||||||||
Biotechnology | ||||||||||||
BeiGene Ltd. – ADR (China)(1) | 7,185 | 1,353,654 | 1.6 | % | ||||||||
Genmab A/S (Denmark)(1)(2) | 12,634 | 4,260,097 | 5.1 | % | ||||||||
Incyte Corp. (United States)(1) | 37,139 | 3,861,342 | 4.7 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (United States)(1) | 4,025 | 2,510,191 | 3.0 | % | ||||||||
11,985,284 | 14.4 | % | ||||||||||
Data Processing & Outsourced Services | ||||||||||||
MasterCard, Inc. – Class A (United States) | 7,944 | 2,349,041 | 2.8 | % | ||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 11,438,106 | 2,441,385 | 3.0 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 142,376 | 2,142,308 | 2.6 | % | ||||||||
4,583,693 | 5.6 | % | ||||||||||
Diversified Support Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 51,611 | 1,774,913 | 2.1 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group – ADR (China)(1) | 60,417 | 4,131,315 | 5.0 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Coherent, Inc. (United States)(1) | 4,785 | 626,739 | 0.8 | % | ||||||||
Keyence Corp. (Japan)(2) | 3,940 | 1,651,103 | 2.0 | % | ||||||||
Universal Display Corp. (United States) | 8,747 | 1,308,726 | 1.6 | % | ||||||||
3,586,568 | 4.4 | % | ||||||||||
Environmental & Facilities Services | ||||||||||||
Waste Connections, Inc. (Canada) | 25,838 | 2,423,345 | 2.9 | % | ||||||||
Healthcare Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 577,681 | 1,485,194 | 1.8 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 9,288 | 1,665,060 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Information Technology | ||||||||||||
Constellation Software, Inc. (Canada) | 2,006 | $ | 2,265,010 | 2.7 | % | |||||||
Interactive Media & Services | ||||||||||||
Alphabet, Inc. – Class A (United States)(1) | 1,219 | 1,728,603 | 2.1 | % | ||||||||
Internet & Direct Marketing Retail | ||||||||||||
Prosus NV (Netherlands)(2) | 39,385 | 3,672,142 | 4.4 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 6,332 | 1,365,812 | 1.7 | % | ||||||||
Amazon.com, Inc. (United States)(1) | 1,102 | 3,040,220 | 3.7 | % | ||||||||
4,406,032 | 5.4 | % | ||||||||||
IT Services | ||||||||||||
Adyen NV (Netherlands)(1) | 1,722 | 2,506,349 | 3.0 | % | ||||||||
EPAM Systems, Inc. (United States)(1) | 3,487 | 878,759 | 1.1 | % | ||||||||
Tata Consultancy Services Ltd. (India)(2) | 57,397 | 1,579,997 | 1.9 | % | ||||||||
4,965,105 | 6.0 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc. (United States)(1) | 4,494 | 1,664,353 | 2.0 | % | ||||||||
Wuxi Biologics Cayman, Inc. (China)(1)(2) | 152,771 | 2,804,206 | 3.4 | % | ||||||||
4,468,559 | 5.4 | % | ||||||||||
Other Diversified Financial Services | ||||||||||||
Charles Schwab Corp. (United States) | 39,901 | 1,346,260 | 1.6 | % | ||||||||
Pharmaceuticals | ||||||||||||
Bristol-Myers Squibb Company (United States) | 12,664 | 744,643 | 0.9 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 47,834 | 3,132,171 | 3.8 | % | ||||||||
3,876,814 | 4.7 | % | ||||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 49,832 | 2,265,363 | 2.7 | % | ||||||||
SVB Financial Group (United States)(1) | 6,468 | 1,394,048 | 1.7 | % | ||||||||
3,659,411 | 4.4 | % | ||||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 4,763 | 1,752,927 | 2.1 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(1)(2) | 39,772 | 592,943 | 0.7 | % | ||||||||
Nvidia Corp. (United States) | 3,990 | 1,515,841 | 1.8 | % | ||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Co. Ltd. – ADR (Taiwan) | 27,808 | 1,578,660 | 1.9 | % | ||||||||
3,687,444 | 4.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
SolarEdge Technologies, Inc. (Israel)(1) | 7,298 | $ | 1,012,816 | 1.2 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $63,493,684) | 79,517,516 | 95.8 | % | |||||||||
Rights | ||||||||||||
Pharmaceuticals | ||||||||||||
Bristol-Myers Squibb Company (United States)(1) | 9,805 | 35,102 | 0.0 | % | ||||||||
Total Rights | ||||||||||||
(Cost $26,316) | 35,102 | 0.0 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government | ||||||||||||
Obligations Fund, Class U, 0.11%(3) | 3,476,917 | 3,476,917 | 4.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,476,917) | 3,476,917 | 4.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $66,996,917) | 83,029,535 | 100.0 | % | |||||||||
Other Assets in Excess of Liabilities | 11,380 | 0.0 | % | |||||||||
TOTAL NET ASSETS | $ | 83,040,915 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Level 2 security – See Note 2a to the financial statements. |
(3) | Seven-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.
The accompanying notes are an integral part of these financial statements.
Page 33
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2020 (Unaudited)
Summary of Fair Value Exposure at June 30, 2020 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 – | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 – | Unobservable inputs for the asset or liability. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 50,905,519 | $ | 28,611,997 | $ | — | $ | 79,517,516 | ||||||||
Total Equity | 50,905,519 | 28,611,997 | — | 79,517,516 | ||||||||||||
Rights | ||||||||||||||||
Rights | 35,102 | — | — | 35,102 | ||||||||||||
Total Rights | 35,102 | — | — | 35,102 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,476,917 | — | — | 3,476,917 | ||||||||||||
Total Short-Term Investment | 3,476,917 | — | — | 3,476,917 | ||||||||||||
Total Investments* | $ | 54,417,538 | $ | 28,611,997 | $ | — | $ | 83,029,535 |
* | 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 34
Additional Information on Fund Expenses
June 30, 2020 (Unaudited)
Example
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. With the exception of the Chautauqua International Growth and Chautauqua Global Growth Funds, which charge redemption fees, the Funds do not charge any sales loads, redemption fees or other transaction fees; however, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/20 – 6/30/20).
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 35
Additional Information on Fund Expenses
June 30, 2020 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2020
Hypothetical | |||||||
(5% return | |||||||
Actual | before expenses) | ||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||
Annualized | Account | Account | Paid | Account | Paid | ||
Expense | Value | Value | During | Value | During | ||
Ratio(1) | 1/1/20 | 6/30/20 | Period(1) | 6/30/20 | Period(1) | ||
Baird MidCap Fund | |||||||
Institutional Class | 0.81% | $1,000.00 | $1,044.50 | $4.12 | $1,020.84 | $4.07 | |
Investor Class | 1.06% | $1,000.00 | $1,042.70 | $5.38 | $1,019.59 | $5.32 | |
Baird Small/Mid Cap | |||||||
Growth Fund | |||||||
Institutional Class | 0.85% | $1,000.00 | $1,087.30 | $4.41 | $1,020.64 | $4.27 | |
Investor Class | 1.10% | $1,000.00 | $1,085.90 | $5.70 | $1,019.39 | $5.52 | |
Baird Small/Mid Cap | |||||||
Value Fund | |||||||
Institutional Class | 0.85% | $1,000.00 | $ 815.70 | $3.84 | $1,020.64 | $4.27 | |
Investor Class | 1.10% | $1,000.00 | $ 815.00 | $4.96 | $1,019.39 | $5.52 | |
Baird SmallCap | |||||||
Value Fund | |||||||
Institutional Class | 0.95% | $1,000.00 | $ 820.30 | $4.30 | $1,020.14 | $4.77 | |
Investor Class | 1.20% | $1,000.00 | $ 819.10 | $5.43 | $1,018.90 | $6.02 | |
Chautauqua International | |||||||
Growth Fund | |||||||
Institutional Class | 0.80% | $1,000.00 | $1,046.80 | $4.07 | $1,020.89 | $4.02 | |
Investor Class | 1.05% | $1,000.00 | $1,045.20 | $5.34 | $1,019.64 | $5.27 | |
Chautauqua Global | |||||||
Growth Fund | |||||||
Institutional Class | 0.80% | $1,000.00 | $1,063.60 | $4.10 | $1,020.89 | $4.02 | |
Investor Class | 1.05% | $1,000.00 | $1,065.50 | $5.39 | $1,019.64 | $5.27 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, 182 days and divided by 366 to reflect the one-half year period. |
Page 36
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird | ||||||||
Baird | Small/Mid | |||||||
MidCap | Cap Growth | |||||||
Fund | Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $1,264,104,052 | ||||||||
and $23,468,355, respectively) | $ | 1,860,144,358 | $ | 28,182,160 | ||||
Dividends receivable | 209,174 | 3,719 | ||||||
Interest receivable | 4,309 | 80 | ||||||
Receivable for investments sold | 14,782,213 | 160,045 | ||||||
Receivable for Fund shares sold | 1,552,522 | 43,183 | ||||||
Prepaid expenses and other assets | 30,849 | 15,803 | ||||||
Total assets | 1,876,723,425 | 28,404,990 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | — | 809,814 | ||||||
Payable for Fund shares redeemed | 1,962,703 | 131 | ||||||
Payable to Advisor, net (Note 5) | 1,154,329 | 1,228 | ||||||
Payable to directors | 13,886 | 13,784 | ||||||
Accrued fund accounting and administration fees | 65,863 | 11,114 | ||||||
Accrued shareholder servicing fees | 35,544 | 2,362 | ||||||
Accrued professional fees | 9,629 | 7,707 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 61,973 | 232 | ||||||
Accrued expenses and other liabilities | 49,686 | 6,305 | ||||||
Total liabilities | 3,353,613 | 852,677 | ||||||
NET ASSETS | $ | 1,873,369,812 | $ | 27,552,313 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 1,102,684,856 | $ | 22,558,667 | ||||
Total distributable earnings | 770,684,956 | 4,993,646 | ||||||
NET ASSETS | $ | 1,873,369,812 | $ | 27,552,313 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 1,707,605,526 | $ | 27,135,422 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 71,375,077 | 2,035,594 | ||||||
Net asset value, offering and redemption price per share | $ | 23.92 | $ | 13.33 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 165,764,286 | $ | 416,891 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 7,385,076 | 31,421 | ||||||
Net asset value, offering and redemption price per share | $ | 22.45 | $ | 13.27 |
The accompanying notes are an integral part of these financial statements.
Page 37
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Baird | ||||||||
Small/Mid | Baird | |||||||
Cap Value | SmallCap | |||||||
Fund | Value Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $19,776,019 | ||||||||
and $21,053,544, respectively) | $ | 20,204,338 | $ | 23,930,068 | ||||
Dividends receivable | 35,415 | 47,787 | ||||||
Interest receivable | 87 | 142 | ||||||
Receivable from Advisor, net (Note 5) | 415 | — | ||||||
Prepaid expenses and other assets | 23,073 | 14,471 | ||||||
Total assets | 20,263,328 | 23,992,468 | ||||||
LIABILITIES: | ||||||||
Payable for Fund shares redeemed | 6,365 | 6 | ||||||
Payable to Advisor, net (Note 5) | — | 3,570 | ||||||
Payable to directors | 13,886 | 13,886 | ||||||
Accrued fund accounting and administration fees | 11,460 | 10,760 | ||||||
Accrued shareholder servicing fees | 6,086 | 5,197 | ||||||
Accrued professional fees | 9,618 | 9,742 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 259 | 689 | ||||||
Accrued expenses and other liabilities | 1,422 | 927 | ||||||
Total liabilities | 49,096 | 44,777 | ||||||
NET ASSETS | $ | 20,214,232 | $ | 23,947,691 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 21,507,873 | $ | 21,760,401 | ||||
Total distributable earnings (loss) | (1,293,641 | ) | 2,187,290 | |||||
NET ASSETS | $ | 20,214,232 | $ | 23,947,691 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 19,718,339 | $ | 23,365,262 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,961,261 | 1,783,077 | ||||||
Net asset value, offering and redemption price per share | $ | 10.05 | $ | 13.10 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 495,893 | $ | 582,429 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 49,566 | 44,489 | ||||||
Net asset value, offering and redemption price per share | $ | 10.00 | $ | 13.09 |
The accompanying notes are an integral part of these financial statements.
Page 38
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $161,711,925 | ||||||||
and $66,996,917, respectively) | $ | 204,814,713 | $ | 83,029,535 | ||||
Foreign currency, at value (cost $970,535 | ||||||||
and $105,534, respectively) | 963,748 | 105,303 | ||||||
Dividends receivable | 288,011 | 72,910 | ||||||
Interest receivable | 840 | 501 | ||||||
Receivable for Fund shares sold | 252,312 | 45,599 | ||||||
Total assets | 206,319,624 | 83,253,848 | ||||||
LIABILITIES: | ||||||||
Payable for Fund shares redeemed | 104,657 | 124,245 | ||||||
Payable to Advisor, net (Note 5) | 109,182 | 33,150 | ||||||
Payable to directors | 13,886 | 13,886 | ||||||
Accrued fund accounting and administration fees | 21,206 | 19,674 | ||||||
Accrued shareholder servicing fees | 14,918 | 7,072 | ||||||
Accrued professional fees | 9,545 | 9,566 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 842 | 1,142 | ||||||
Accrued expenses and other liabilities | 9,016 | 4,198 | ||||||
Total liabilities | 283,252 | 212,933 | ||||||
NET ASSETS | $ | 206,036,372 | $ | 83,040,915 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 177,398,439 | $ | 70,460,306 | ||||
Total distributable earnings | 28,637,933 | 12,580,609 | ||||||
NET ASSETS | $ | 206,036,372 | $ | 83,040,915 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 204,472,266 | $ | 80,527,829 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 15,484,040 | 5,232,063 | ||||||
Net asset value, offering and redemption price per share | $ | 13.21 | $ | 15.39 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 1,564,106 | $ | 2,513,086 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 118,778 | 164,255 | ||||||
Net asset value, offering and redemption price per share | $ | 13.17 | $ | 15.30 |
The accompanying notes are an integral part of these financial statements.
Page 39
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird | ||||||||
Baird | Small/Mid | |||||||
MidCap | Cap Growth | |||||||
Fund | Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 4,804,485 | $ | 48,341 | ||||
Interest | 199,371 | 3,277 | ||||||
Other income | — | 73 | ||||||
Total investment income | 5,003,856 | 51,691 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 6,881,494 | 80,707 | ||||||
Shareholder servicing fees | 332,298 | 4,181 | ||||||
Fund accounting and administration fees | 81,641 | 13,929 | ||||||
Federal and state registration | 56,466 | 31,586 | ||||||
Reports to shareholders | 34,820 | 859 | ||||||
Interest expense (Note 6) | 30,545 | 2 | ||||||
Directors fees | 28,897 | 28,795 | ||||||
Professional fees | 14,671 | 14,444 | ||||||
Custody fees | 13,237 | 8,235 | ||||||
Miscellaneous expenses | 1,180 | 49 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 185,629 | 436 | ||||||
Total expenses | 7,660,878 | 183,223 | ||||||
Fee waiver by Advisor (Note 5) | — | (91,319 | ) | |||||
Net expenses | 7,660,878 | 91,904 | ||||||
NET INVESTMENT LOSS | (2,657,022 | ) | (40,213 | ) | ||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||
Net realized gain on investments | 178,482,736 | 383,517 | ||||||
Net change in unrealized | ||||||||
appreciation (depreciation) on investments | (96,788,807 | ) | 1,892,405 | |||||
Net realized and unrealized gain on investments | 81,693,929 | 2,275,922 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 79,036,907 | $ | 2,235,709 |
The accompanying notes are an integral part of these financial statements.
Page 40
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Baird | ||||||||
Small/Mid | Baird | |||||||
Cap Value | SmallCap | |||||||
Fund | Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $1,261 and $2,586, respectively) | $ | 201,327 | $ | 179,913 | ||||
Interest | 4,139 | 5,599 | ||||||
Other income | 701 | 1,347 | ||||||
Total investment income | 206,167 | 186,859 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 78,375 | 113,588 | ||||||
Directors fees | 28,897 | 28,897 | ||||||
Federal and state registration | 23,094 | 22,326 | ||||||
Professional fees | 14,677 | 14,957 | ||||||
Fund accounting and administration fees | 13,987 | 13,337 | ||||||
Shareholder servicing fees | 7,621 | 10,895 | ||||||
Reports to shareholders | 1,015 | 1,198 | ||||||
Custody fees | 1,011 | 847 | ||||||
Miscellaneous expenses | 50 | 204 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 608 | 904 | ||||||
Total expenses | 169,335 | 207,153 | ||||||
Fee waiver by Advisor (Note 5) | (79,901 | ) | (79,297 | ) | ||||
Net expenses | 89,434 | 127,856 | ||||||
NET INVESTMENT INCOME | 116,733 | 59,003 | ||||||
REALIZED AND UNREALIZED | ||||||||
LOSS ON INVESTMENTS: | ||||||||
Net realized loss on investments | (1,400,987 | ) | (2,331,275 | ) | ||||
Net change in unrealized depreciation on investments | (3,205,000 | ) | (3,674,578 | ) | ||||
Net realized and unrealized loss on investments | (4,605,987 | ) | (6,005,853 | ) | ||||
NET DECREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | (4,489,254 | ) | $ | (5,946,850 | ) |
The accompanying notes are an integral part of these financial statements.
Page 41
Statements of Operations
Six Months Ended June 30, 2020 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $159,054 and $32,447, respectively) | $ | 1,168,639 | $ | 288,122 | ||||
Interest | 42,804 | 13,610 | ||||||
Other income | 4,363 | 1,018 | ||||||
Total investment income | 1,215,806 | 302,750 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 664,754 | 242,961 | ||||||
Federal and state registration | 29,235 | 27,204 | ||||||
Directors fees | 28,897 | 28,897 | ||||||
Fund accounting and administration fees | 25,363 | 23,096 | ||||||
Shareholder servicing fees | 21,592 | 9,069 | ||||||
Custody fees | 17,932 | 9,359 | ||||||
Professional fees | 15,790 | 15,691 | ||||||
Reports to shareholders | 2,609 | 1,424 | ||||||
Miscellaneous expenses | 79 | 61 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 1,797 | 2,384 | ||||||
Total expenses | 808,048 | 360,146 | ||||||
Fee waiver by Advisor (Note 5) | (97,180 | ) | (98,603 | ) | ||||
Net expenses | 710,868 | 261,543 | ||||||
NET INVESTMENT INCOME | 504,938 | 41,207 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS AND | ||||||||
FOREIGN CURRENCY TRANSLATION: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (7,679,254 | ) | (3,359,988 | ) | ||||
Foreign currency translation | 47,424 | 26,396 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 18,023,437 | 8,705,079 | ||||||
Foreign currency translation | (5,450 | ) | (5,993 | ) | ||||
Net realized and unrealized gain on investments | ||||||||
and foreign currency translation | 10,386,157 | 5,365,494 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 10,891,095 | $ | 5,406,701 |
The accompanying notes are an integral part of these financial statements.
Page 42
Statements of Changes in Net Assets
Baird MidCap Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (2,657,022 | ) | $ | (1,758,440 | ) | ||
Net realized gain on investments | 178,482,736 | 113,591,259 | ||||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | (96,788,807 | ) | 445,197,148 | |||||
Net increase in net assets resulting from operations | 79,036,907 | 557,029,967 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 261,726,133 | 658,933,497 | ||||||
Shares issued to holders in reinvestment of distributions | — | 92,604,419 | ||||||
Cost of shares redeemed | (441,555,641 | ) | (650,544,300 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | (179,829,508 | ) | 100,993,616 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | — | (109,134,740 | ) | |||||
Investor Class | — | (7,559,012 | ) | |||||
Total net distributions to shareholders | — | (116,693,752 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (100,792,601 | ) | 541,329,831 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,974,162,413 | 1,432,832,582 | ||||||
End of period | $ | 1,873,369,812 | $ | 1,974,162,413 |
The accompanying notes are an integral part of these financial statements.
Page 43
Statements of Changes in Net Assets
Baird Small/Mid Cap Growth Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (40,213 | ) | $ | (32,973 | ) | ||
Net realized gain (loss) on investments | 383,517 | (32,734 | ) | |||||
Net change in unrealized appreciation on investments | 1,892,405 | 3,511,422 | ||||||
Net increase in net assets resulting from operations | 2,235,709 | 3,445,715 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 8,486,370 | 9,941,887 | ||||||
Cost of shares redeemed | (1,742,618 | ) | (2,104,855 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 6,743,752 | 7,837,032 | ||||||
TOTAL INCREASE IN NET ASSETS | 8,979,461 | 11,282,747 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 18,572,852 | 7,290,105 | ||||||
End of period | $ | 27,552,313 | $ | 18,572,852 |
The accompanying notes are an integral part of these financial statements.
Page 44
Statements of Changes in Net Assets
Baird Small/Mid Cap Value Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 116,733 | $ | 228,828 | ||||
Net realized gain (loss) on investments | (1,400,987 | ) | 346,989 | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | (3,205,000 | ) | 2,878,359 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (4,489,254 | ) | 3,454,176 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,185,685 | 6,171,911 | ||||||
Shares issued to holders in reinvestment of distributions | — | 167,707 | ||||||
Cost of shares redeemed | (3,369,076 | ) | (2,097,080 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | (183,391 | ) | 4,242,538 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | — | (208,297 | ) | |||||
Investor Class | — | (3,681 | ) | |||||
Total net distributions to shareholders | — | (211,978 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (4,672,645 | ) | 7,484,736 | |||||
NET ASSETS: | ||||||||
Beginning of period | 24,886,877 | 17,402,141 | ||||||
End of period | $ | 20,214,232 | $ | 24,886,877 |
The accompanying notes are an integral part of these financial statements.
Page 45
Statements of Changes in Net Assets
Baird SmallCap Value Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 59,003 | $ | 284,077 | ||||
Net realized gain (loss) on investments | (2,331,275 | ) | 2,315,161 | |||||
Net change in unrealized appreciation | ||||||||
(depreciation) on investments | (3,674,578 | ) | 2,792,139 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (5,946,850 | ) | 5,391,377 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,848,492 | 4,097,702 | ||||||
Shares issued to holders in reinvestment of distributions | — | 184,267 | ||||||
Cost of shares redeemed | (5,787,815 | ) | (5,124,745 | ) | ||||
Net decrease in net assets resulting | ||||||||
from capital share transactions | (3,939,323 | ) | (842,776 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | — | (223,517 | ) | |||||
Investor Class | — | (3,885 | ) | |||||
Total net distributions to shareholders | — | (227,402 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (9,886,173 | ) | 4,321,199 | |||||
NET ASSETS: | ||||||||
Beginning of period | 33,833,864 | 29,512,665 | ||||||
End of period | $ | 23,947,691 | $ | 33,833,864 |
The accompanying notes are an integral part of these financial statements.
Page 46
Statements of Changes in Net Assets
Chautauqua International Growth Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 504,938 | $ | 3,654,520 | ||||
Net realized loss on investments | ||||||||
and foreign currency translation | (7,631,830 | ) | (6,741,312 | ) | ||||
Net change in unrealized appreciation | ||||||||
on investments and foreign currency translation | 18,017,987 | 32,743,535 | ||||||
Net increase in net assets resulting from operations | 10,891,095 | 29,656,743 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 35,207,555 | 77,073,338 | ||||||
Shares issued to holders in reinvestment of distributions | — | 2,901,751 | ||||||
Cost of shares redeemed | (14,243,377 | ) | (19,364,200 | ) | ||||
Redemption fees | 11,933 | 32,973 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 20,976,111 | 60,643,862 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | — | (3,632,612 | ) | |||||
Investor Class | — | (26,317 | ) | |||||
Total net distributions to shareholders | — | (3,658,929 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 31,867,206 | 86,641,676 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 174,169,166 | 87,527,490 | ||||||
End of period | $ | 206,036,372 | $ | 174,169,166 |
The accompanying notes are an integral part of these financial statements.
Page 47
Statements of Changes in Net Assets
Chautauqua Global Growth Fund
Six Months Ended | ||||||||
June 30, 2020 | Year Ended | |||||||
(Unaudited) | December 31, 2019 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 41,207 | $ | 792,759 | ||||
Net realized loss on investments | ||||||||
and foreign currency translation | (3,333,592 | ) | (157,584 | ) | ||||
Net change in unrealized appreciation | ||||||||
on investments and foreign currency translation | 8,699,086 | 11,322,762 | ||||||
Net increase in net assets resulting from operations | 5,406,701 | 11,957,937 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 27,057,443 | 15,333,359 | ||||||
Shares issued to holders in reinvestment of distributions | — | 688,936 | ||||||
Cost of shares redeemed | (6,887,672 | ) | (7,222,512 | ) | ||||
Redemption fees | 26,242 | 3,722 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 20,196,013 | 8,803,505 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net distributions to shareholders: | ||||||||
Institutional Class | — | (847,342 | ) | |||||
Investor Class | — | (21,289 | ) | |||||
Total net distributions to shareholders | — | (868,631 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 25,602,714 | 19,892,811 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 57,438,201 | 37,545,390 | ||||||
End of period | $ | 83,040,915 | $ | 57,438,201 |
The accompanying notes are an integral part of these financial statements.
Page 48
Financial Highlights
Baird MidCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 22.90 | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment loss(1) | (0.03 | ) | (0.02 | ) | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 1.05 | 6.44 | (0.30 | ) | 4.28 | 0.83 | (0.53 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 1.02 | 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 period | $ | 23.92 | $ | 22.90 | $ | 17.72 | $ | 19.16 | $ | 15.80 | $ | 14.99 | ||||||||||||
Total return | 4.45 | %(2) | 36.31 | % | (1.61 | )% | 26.88 | % | 5.40 | % | (3.59 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,707.6 | $ | 1,825.8 | $ | 1,337.4 | $ | 1,279.6 | $ | 1,105.1 | $ | 1,035.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.81 | %(3) | 0.82 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | ||||||||||||||||||||||||
(before waivers) | 0.81 | %(3) | 0.82 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.80 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | (0.27 | )%(3) | (0.07 | )% | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | ||||||||||||
Ratio of net investment loss | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.27 | )%(3) | (0.07 | )% | (0.15 | )% | (0.17 | )% | (0.14 | )% | (0.18 | )% | ||||||||||||
Portfolio turnover rate(4) | 33 | %(2) | 43 | % | 38 | % | 45 | % | 57 | % | 53 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 49
Financial Highlights
Baird MidCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 21.53 | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment loss(1) | (0.05 | ) | (0.07 | ) | (0.08 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 0.97 | 6.08 | (0.28 | ) | 4.09 | 0.80 | (0.52 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.92 | 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 period | $ | 22.45 | $ | 21.53 | $ | 16.76 | $ | 18.23 | $ | 15.10 | $ | 14.36 | ||||||||||||
Total return | 4.27 | %(2) | 35.94 | % | (1.86 | )% | 26.61 | % | 5.08 | % | (3.80 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 165.8 | $ | 148.3 | $ | 95.5 | $ | 111.4 | $ | 137.2 | $ | 184.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 1.06 | %(3) | 1.07 | % | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | ||||||||||||||||||||||||
(before waivers) | 1.06 | %(3) | 1.07 | % | 1.06 | % | 1.08 | % | 1.07 | % | 1.05 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | (0.52 | )%(3) | (0.32 | )% | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | ||||||||||||
Ratio of net investment loss | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.52 | )%(3) | (0.32 | )% | (0.40 | )% | (0.42 | )% | (0.39 | )% | (0.43 | )% | ||||||||||||
Portfolio turnover rate(4) | 33 | %(2) | 43 | % | 38 | % | 45 | % | 57 | % | 53 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 50
Financial Highlights
Baird Small/Mid Cap Growth Fund – Institutional Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2020 | December 31, | December 31, | ||||||||||
(Unaudited) | 2019 | 2018(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 12.26 | $ | 8.95 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment loss(2) | (0.02 | ) | (0.03 | ) | (0.00 | )(3) | ||||||
Net realized and unrealized | ||||||||||||
gains (losses) on investments | 1.09 | 3.34 | (1.05 | ) | ||||||||
Total from investment operations | 1.07 | 3.31 | (1.05 | ) | ||||||||
Net asset value, end of period | $ | 13.33 | $ | 12.26 | $ | 8.95 | ||||||
Total return | 8.73 | %(4) | 36.98 | % | (10.50 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 27.1 | $ | 18.3 | $ | 7.3 | ||||||
Ratio of expenses to average net assets | 0.85 | %(5) | 0.85 | % | 0.85 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.70 | %(5) | 2.10 | % | 3.88 | %(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets | (0.37 | )%(5) | (0.25 | )% | (0.03 | )%(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (1.22 | )%(5) | (1.50 | )% | (3.06 | )%(5) | ||||||
Portfolio turnover rate(6) | 34 | %(4) | 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 51
Financial Highlights
Baird Small/Mid Cap Growth Fund – Investor Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2020 | December 31, | December 31, | ||||||||||
(Unaudited) | 2019 | 2018(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 12.21 | $ | 8.94 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment loss(2) | (0.04 | ) | (0.06 | ) | (0.00 | )(3) | ||||||
Net realized and unrealized | ||||||||||||
gains (losses) on investments | 1.10 | 3.33 | (1.06 | ) | ||||||||
Total from investment operations | 1.06 | 3.27 | (1.06 | ) | ||||||||
Net asset value, end of period | $ | 13.27 | $ | 12.21 | $ | 8.94 | ||||||
Total return | 8.59 | %(4) | 36.69 | % | (10.60 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (thousands) | $ | 416.9 | $ | 287.3 | $ | 8.9 | ||||||
Ratio of expenses to average net assets | 1.10 | %(5) | 1.10 | % | 1.10 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.95 | %(5) | 2.35 | % | 4.13 | %(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets | (0.62 | )%(5) | (0.50 | )% | (0.28 | )%(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (1.47 | )%(5) | (1.75 | )% | (3.31 | )%(5) | ||||||
Portfolio turnover rate(6) | 34 | %(4) | 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 52
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.32 | $ | 10.51 | $ | 12.43 | $ | 10.29 | $ | 9.52 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.06 | 0.12 | 0.04 | 0.07 | 0.13 | 0.02 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (2.33 | ) | 1.80 | (1.92 | ) | 2.14 | 0.72 | (0.49 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (2.27 | ) | 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 | $ | 10.05 | $ | 12.32 | $ | 10.51 | $ | 12.43 | $ | 10.29 | $ | 9.52 | ||||||||||||
Total return | (18.43 | )%(4) | 18.23 | % | (15.11 | )% | 21.48 | % | 8.91 | % | (4.66 | )%(4) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 19.7 | $ | 24.3 | $ | 17.1 | $ | 16.9 | $ | 11.9 | $ | 4.7 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.85 | %(5) | 0.85 | % | 0.94 | %(6) | 0.95 | % | 0.95 | % | 0.95 | %(5) | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.61 | %(5) | 1.59 | % | 1.75 | % | 1.91 | % | 2.86 | % | 6.88 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.12 | %(5) | 1.04 | % | 0.34 | % | 0.62 | % | 1.35 | % | 1.96 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | 0.36 | %(5) | 0.30 | % | (0.47 | )% | (0.34 | )% | (0.56 | )% | (3.97 | )%(5) | ||||||||||||
Portfolio turnover rate(7) | 42 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.85%. Prior to December 1, 2018, the expense cap was 0.95% |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 53
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015(1) | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.27 | $ | 10.48 | $ | 12.40 | $ | 10.28 | $ | 9.52 | $ | 10.00 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(2) | 0.05 | 0.09 | 0.01 | 0.04 | 0.11 | 0.01 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (2.32 | ) | 1.78 | (1.90 | ) | 2.13 | 0.71 | (0.48 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (2.27 | ) | 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 | $ | 10.00 | $ | 12.27 | $ | 10.48 | $ | 12.40 | $ | 10.28 | $ | 9.52 | ||||||||||||
Total return | (18.50 | )%(4) | 17.86 | % | (15.25 | )% | 21.08 | % | 8.64 | % | (4.67 | )%(4) | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (thousands) | $ | 495.9 | $ | 560.4 | $ | 341.5 | $ | 86.1 | $ | 53.2 | $ | 19.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 1.10 | %(5) | 1.10 | % | 1.19 | %(6) | 1.20 | % | 1.20 | % | 1.20 | %(5) | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.86 | %(5) | 1.84 | % | 2.00 | % | 2.16 | % | 3.11 | % | 7.13 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 0.87 | %(5) | 0.79 | % | 0.09 | % | 0.37 | % | 1.10 | % | 1.71 | %(5) | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | 0.11 | %(5) | 0.05 | % | (0.72 | )% | (0.59 | )% | (0.81 | )% | (4.22 | )%(5) | ||||||||||||
Portfolio turnover rate(7) | 42 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.10%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 54
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 15.96 | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.03 | 0.13 | 0.05 | 0.09 | 0.21 | 0.11 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (2.89 | ) | 2.36 | (2.85 | ) | 2.59 | 1.76 | (0.82 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (2.86 | ) | 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 period | $ | 13.10 | $ | 15.96 | $ | 13.58 | $ | 16.99 | $ | 14.83 | $ | 13.03 | ||||||||||||
Total return | (17.97 | )%(2) | 18.40 | % | (16.45 | )% | 18.05 | % | 15.11 | % | (5.11 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 23.4 | $ | 33.0 | $ | 28.8 | $ | 33.6 | $ | 28.2 | $ | 23.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.95 | %(3) | 0.95 | % | 1.00 | %(4) | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.55 | %(3) | 1.44 | % | 1.38 | % | 1.35 | % | 1.43 | % | 1.51 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 0.45 | %(3) | 0.87 | % | 0.29 | % | 0.61 | % | 1.58 | % | 0.79 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | (0.15 | )%(3) | 0.38 | % | (0.09 | )% | 0.26 | % | 1.15 | % | 0.28 | % | ||||||||||||
Portfolio turnover rate(5) | 24 | %(2) | 55 | % | 36 | % | 30 | % | 49 | % | 42 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.95%. Prior to December 1, 2018, the expense cap was 1.00%. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 55
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 15.97 | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.01 | 0.09 | 0.01 | 0.06 | 0.18 | 0.07 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (2.89 | ) | 2.37 | (2.85 | ) | 2.58 | 1.75 | (0.81 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (2.88 | ) | 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 period | $ | 13.09 | $ | 15.97 | $ | 13.58 | $ | 16.97 | $ | 14.81 | $ | 12.99 | ||||||||||||
Total return | (18.09 | )%(2) | 18.19 | % | (16.71 | )% | 17.78 | % | 14.84 | % | (5.37 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 0.6 | $ | 0.9 | $ | 0.8 | $ | 2.6 | $ | 2.6 | $ | 2.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 1.20 | %(3) | 1.20 | % | 1.25 | %(4) | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.80 | %(3) | 1.69 | % | 1.63 | % | 1.60 | % | 1.68 | % | 1.76 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 0.20 | %(3) | 0.62 | % | 0.04 | % | 0.36 | % | 1.33 | % | 0.54 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | (0.40 | )%(3) | 0.13 | % | (0.34 | )% | 0.01 | % | 0.90 | % | 0.03 | % | ||||||||||||
Portfolio turnover rate(5) | 24 | %(2) | 55 | % | 36 | % | 30 | % | 49 | % | 42 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.20%. Prior to December 1, 2018, the expense cap was 1.25%. |
(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 56
Financial Highlights
Chautauqua International Growth Fund – Institutional Class
Six Months | ||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016(1) | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.62 | $ | 10.17 | $ | 12.59 | $ | 9.57 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(2) | 0.03 | 0.30 | 0.06 | 0.04 | 0.00 | (3) | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | ||||||||||||||||||||
and foreign currency translation | 0.56 | 2.42 | (2.19 | ) | 3.41 | (0.43 | ) | |||||||||||||
Total from investment operations | 0.59 | 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) | 0.00 | (3) | — | |||||||||||
Net asset value, end of period | $ | 13.21 | $ | 12.62 | $ | 10.17 | $ | 12.59 | $ | 9.57 | ||||||||||
Total return | 4.68 | %(4) | 26.72 | % | (16.94 | )% | 36.11 | % | (4.30 | )%(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 204.5 | $ | 172.7 | $ | 85.4 | $ | 74.2 | $ | 14.8 | ||||||||||
Ratio of expenses to average net assets | 0.80 | %(5) | 0.80 | % | 0.94 | %(6) | 0.95 | % | 0.95 | %(5) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.91 | %(5) | 0.96 | % | 1.07 | % | 1.20 | % | 2.32 | %(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income to average net assets | 0.57 | %(5) | 2.56 | % | 0.51 | % | 0.30 | % | 0.06 | %(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||
net assets (before waivers) | 0.46 | %(5) | 2.40 | % | 0.38 | % | 0.05 | % | (1.31 | )%(5) | ||||||||||
Portfolio turnover rate(7) | 18 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.80%. Prior to December 1, 2018, the expense cap was 0.95%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 57
Financial Highlights
Chautauqua International Growth Fund – Investor Class
Six Months | ||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016(1) | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.60 | $ | 10.15 | $ | 12.57 | $ | 9.56 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)(2) | 0.02 | 0.27 | 0.03 | 0.01 | (0.01 | ) | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | ||||||||||||||||||||
and foreign currency translation | 0.55 | 2.41 | (2.19 | ) | 3.41 | (0.44 | ) | |||||||||||||
Total from investment operations | 0.57 | 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) | 0.00 | (3) | 0.01 | |||||||||||
Net asset value, end of period | $ | 13.17 | $ | 12.60 | $ | 10.15 | $ | 12.57 | $ | 9.56 | ||||||||||
Total return | 4.52 | %(4) | 26.42 | % | (17.21 | )% | 35.86 | % | (4.40 | )%(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 1.6 | $ | 1.5 | $ | 2.1 | $ | 1.6 | $ | 0.3 | ||||||||||
Ratio of expenses to average net assets | 1.05 | %(5) | 1.05 | % | 1.19 | %(6) | 1.20 | % | 1.20 | %(5) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.16 | %(5) | 1.21 | % | 1.32 | % | 1.45 | % | 2.58 | %(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average net assets | 0.32 | %(5) | 2.31 | % | 0.26 | % | 0.05 | % | (0.19 | )%(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||
net assets (before waivers) | 0.21 | %(5) | 2.15 | % | 0.13 | % | (0.20 | )% | (1.57 | )%(5) | ||||||||||
Portfolio turnover rate(7) | 18 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.05%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 58
Financial Highlights
Chautauqua Global Growth Fund – Institutional Class
Six Months | ||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016(1) | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.47 | $ | 11.29 | $ | 13.43 | $ | 10.09 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)(2) | 0.01 | 0.22 | 0.00 | (3) | (0.04 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | ||||||||||||||||||||
and foreign currency translation | 0.91 | 3.18 | (1.98 | ) | 3.85 | 0.10 | ||||||||||||||
Total from investment operations | 0.92 | 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) | 0.00 | (3) | — | |||||||||||
Net asset value, end of period | $ | 15.39 | $ | 14.47 | $ | 11.29 | $ | 13.43 | $ | 10.09 | ||||||||||
Total return | 6.36 | %(4) | 30.14 | % | (14.70 | )% | 37.75 | % | 0.90 | %(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 80.5 | $ | 55.8 | $ | 36.8 | $ | 23.2 | $ | 7.6 | ||||||||||
Ratio of expenses to average net assets | 0.80 | %(5) | 0.80 | % | 0.94 | %(6) | 0.95 | % | 0.95 | %(5) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.10 | %(5) | 1.23 | % | 1.34 | % | 2.26 | % | 3.65 | %(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average net assets | 0.13 | %(5) | 1.64 | % | 0.01 | % | (0.30 | )% | (0.16 | )%(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||
net assets (before waivers) | (0.17 | )%(5) | 1.21 | % | (0.39 | )% | (1.61 | )% | (2.86 | )%(5) | ||||||||||
Portfolio turnover rate(7) | 16 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 0.80%. Prior to December 1, 2018, the expense cap was 0.95%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 59
Financial Highlights
Chautauqua Global Growth Fund – Investor Class
Six Months | ||||||||||||||||||||
Ended | Period Ended | |||||||||||||||||||
June 30, 2020 | Year Ended December 31, | December 31, | ||||||||||||||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016(1) | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.36 | $ | 11.22 | $ | 13.37 | $ | 10.08 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)(2) | (0.01 | ) | 0.19 | (0.03 | ) | (0.07 | ) | (0.03 | ) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | ||||||||||||||||||||
and foreign currency translation | 0.91 | 3.15 | (1.96 | ) | 3.83 | 0.11 | ||||||||||||||
Total from investment operations | 0.90 | 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 | 0.04 | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | |||||||||||
Net asset value, end of period | $ | 15.30 | $ | 14.36 | $ | 11.22 | $ | 13.37 | $ | 10.08 | ||||||||||
Total return | 6.55 | %(4) | 29.73 | % | (14.86 | )% | 37.29 | % | 0.80 | %(4) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 2.5 | $ | 1.6 | $ | 0.7 | $ | 0.7 | $ | 0.2 | ||||||||||
Ratio of expenses to average net assets | 1.05 | %(5) | 1.05 | % | 1.19 | %(6) | 1.20 | % | 1.20 | %(5) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.35 | %(5) | 1.48 | % | 1.59 | % | 2.51 | % | 3.90 | %(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average net assets | (0.12 | )%(5) | 1.39 | % | (0.24 | )% | (0.55 | )% | (0.41 | )%(5) | ||||||||||
Ratio of net investment | ||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||
net assets (before waivers) | (0.42 | )%(5) | 0.96 | % | (0.64 | )% | (1.86 | )% | (3.11 | )%(5) | ||||||||||
Portfolio turnover rate(7) | 16 | %(4) | 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) | Annualized. |
(6) | Blended rate. Pursuant to the Expense Cap/Reimbursement Agreement effective December 1, 2018, the expense cap decreased to 1.05%. Prior to December 1, 2018, the expense cap was 1.20%. |
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued and excludes in-kind transactions, where applicable. |
The accompanying notes are an integral part of these financial statements.
Page 60
Notes to the Financial Statements
June 30, 2020 (Unaudited)
1. | Organization |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000, as a Wisconsin corporation and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird MidCap Fund, the Baird Small/Mid Cap Growth Fund, the Baird Small/Mid Cap Value Fund, the Baird SmallCap Value Fund, the Chautauqua International Growth Fund and the Chautauqua Global Growth Fund (each a “Fund” and collectively the “Funds”), six of the 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 capitalizations.
The Baird SmallCap Value Fund seeks long-term capital appreciation through investments in a diversified portfolio of common stocks of companies with small market capitalizations.
The Chautauqua International Growth Fund seeks to provide long-term capital appreciation. The Fund invests primarily in equity securities of non-U.S. companies with medium to large market capitalizations.
The Chautauqua Global Growth Fund seeks to provide long-term capital appreciation. The Fund invests primarily 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 June 30, 2020, entities affiliated with the Advisor held 62% of the Baird Small/Mid Cap Growth Fund, 56% of the Baird Small/Mid Cap Value Fund, 57% of the Baird SmallCap Value Fund, and 38% 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 61
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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. ET). | |
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 62
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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 six months ended June 30, 2020, or for any other tax years which are open for exam. As of June 30, 2020, 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 63
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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) | Other Matters – The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird MidCap Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 10,706,107 | $ | 226,798,937 | 28,582,666 | $ | 617,683,654 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 3,751,830 | 85,204,069 | ||||||||||||
Shares redeemed | (19,068,677 | ) | (417,265,571 | ) | (28,056,428 | ) | (626,508,980 | ) | ||||||||
Net increase (decrease) | (8,362,570 | ) | $ | (190,466,634 | ) | 4,278,068 | $ | 76,378,743 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 79,737,647 | 75,459,579 | ||||||||||||||
End of period | 71,375,077 | 79,737,647 |
Page 64
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird MidCap Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,778,343 | $ | 34,927,196 | 2,001,794 | $ | 41,249,843 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 346,621 | 7,400,350 | ||||||||||||
Shares redeemed | (1,282,836 | ) | (24,290,070 | ) | (1,156,037 | ) | (24,035,320 | ) | ||||||||
Net increase | 495,507 | $ | 10,637,126 | 1,192,378 | $ | 24,614,873 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 6,889,569 | 5,697,191 | ||||||||||||||
End of period | 7,385,076 | 6,889,569 | ||||||||||||||
Total net increase (decrease) | $ | (179,829,508 | ) | $ | 100,993,616 | |||||||||||
Baird Small/Mid Cap Growth Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 692,693 | $ | 8,355,620 | 857,808 | $ | 9,686,310 | ||||||||||
Shares redeemed | (149,055 | ) | (1,704,136 | ) | (179,809 | ) | (2,102,209 | ) | ||||||||
Net increase | 543,638 | $ | 6,651,484 | 677,999 | $ | 7,584,101 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,491,956 | 813,957 | ||||||||||||||
End of period | 2,035,594 | 1,491,956 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,146 | $ | 130,750 | 22,746 | $ | 255,577 | ||||||||||
Shares redeemed | (3,246 | ) | (38,482 | ) | (225 | ) | (2,646 | ) | ||||||||
Net increase | 7,900 | $ | 92,268 | 22,521 | $ | 252,931 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 23,521 | 1,000 | ||||||||||||||
End of period | 31,421 | 23,521 | ||||||||||||||
Total net increase | $ | 6,743,752 | $ | 7,837,032 | ||||||||||||
Baird Small/Mid Cap Value Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 298,693 | $ | 3,132,331 | 513,710 | $ | 6,004,940 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 13,395 | 164,491 | ||||||||||||
Shares redeemed | (312,213 | ) | (3,355,569 | ) | (175,075 | ) | (2,077,538 | ) | ||||||||
Net increase (decrease) | (13,520 | ) | $ | (223,238 | ) | 352,030 | $ | 4,091,893 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,974,781 | 1,622,751 | ||||||||||||||
End of period | 1,961,261 | 1,974,781 |
Page 65
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Small/Mid Cap Value Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,111 | $ | 53,354 | 14,425 | $ | 166,971 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 263 | 3,216 | ||||||||||||
Shares redeemed | (1,202 | ) | (13,507 | ) | (1,618 | ) | (19,542 | ) | ||||||||
Net increase | 3,909 | $ | 39,847 | 13,070 | $ | 150,645 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 45,657 | 32,587 | ||||||||||||||
End of period | 49,566 | 45,657 | ||||||||||||||
Total net increase (decrease) | $ | (183,391 | ) | $ | 4,242,538 | |||||||||||
Baird SmallCap Value Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 123,364 | $ | 1,733,473 | 265,753 | $ | 4,013,663 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 11,374 | 181,421 | ||||||||||||
Shares redeemed | (404,691 | ) | (5,545,965 | ) | (330,733 | ) | (5,030,908 | ) | ||||||||
Net decrease | (281,327 | ) | $ | (3,812,492 | ) | (53,606 | ) | $ | (835,824 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 2,064,404 | 2,118,010 | ||||||||||||||
End of period | 1,783,077 | 2,064,404 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 7,312 | $ | 115,019 | 5,551 | $ | 84,039 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 178 | 2,846 | ||||||||||||
Shares redeemed | (18,178 | ) | (241,850 | ) | (6,225 | ) | (93,837 | ) | ||||||||
Net decrease | (10,866 | ) | $ | (126,831 | ) | (496 | ) | $ | (6,952 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 55,355 | 55,851 | ||||||||||||||
End of period | 44,489 | 55,355 | ||||||||||||||
Total net decrease | $ | (3,939,323 | ) | $ | (842,776 | ) |
Page 66
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Chautauqua International Growth Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,037,706 | $ | 35,086,801 | 6,564,998 | (1) | $ | 76,704,816 | (1) | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 227,632 | 2,881,816 | ||||||||||||
Shares redeemed | (1,237,680 | ) | (14,136,385 | ) | (1,503,822 | ) | (17,898,951 | ) | ||||||||
Redemption fees | — | 11,658 | — | 32,968 | ||||||||||||
Net increase | 1,800,026 | $ | 20,962,074 | 5,288,808 | $ | 61,720,649 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 13,684,014 | 8,395,206 | ||||||||||||||
End of period | 15,484,040 | 13,684,014 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,766 | $ | 120,754 | 30,595 | $ | 368,522 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 1,577 | 19,935 | ||||||||||||
Shares redeemed | (9,642 | ) | (106,992 | ) | (124,988 | ) | (1,465,249 | ) | ||||||||
Redemption fees | — | 275 | — | 5 | ||||||||||||
Net increase (decrease) | 124 | $ | 14,037 | (92,816 | ) | $ | (1,076,787 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 118,654 | 211,470 | ||||||||||||||
End of period | 118,778 | 118,654 | ||||||||||||||
Total net increase | $ | 20,976,111 | $ | 60,643,862 |
(1) | Includes purchase in-kind transactions. See additional information contained in this Note. |
Chautauqua Global Growth Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,843,428 | $ | 25,804,684 | 1,067,813 | $ | 14,402,805 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 45,894 | 667,696 | ||||||||||||
Shares redeemed | (469,896 | ) | (6,443,443 | ) | (516,819 | ) | (6,920,288 | ) | ||||||||
Redemption fees | — | 21,293 | — | 3,644 | ||||||||||||
Net increase | 1,373,532 | $ | 19,382,534 | 596,888 | $ | 8,153,857 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,858,531 | 3,261,643 | ||||||||||||||
End of period | 5,232,063 | 3,858,531 |
Page 67
Notes to the Financial Statements
June 30, 2020 (Unaudited)
3. | Capital Share Transactions (cont.) |
Chautauqua Global Growth Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 86,400 | $ | 1,252,759 | 68,911 | $ | 930,554 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of distributions | — | — | 1,472 | 21,240 | ||||||||||||
Shares redeemed | (34,023 | ) | (444,229 | ) | (22,141 | ) | (302,224 | ) | ||||||||
Redemption fees | — | 4,949 | — | 78 | ||||||||||||
Net increase | 52,377 | $ | 813,479 | 48,242 | $ | 649,648 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 111,878 | 63,636 | ||||||||||||||
End of period | 164,255 | 111,878 | ||||||||||||||
Total net increase | $ | 20,196,013 | $ | 8,803,505 |
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 six months ended June 30, 2020, 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: | $590,305,292 | $13,859,718 | $8,292,663 | $ 6,178,945 | $59,435,058 | $30,875,414 |
Sales: | $895,111,731 | $ 7,117,179 | $8,857,662 | $10,352,747 | $31,212,914 | $10,073,516 |
The Funds did not purchase or sell U.S. Government securities during the six months ended June 30, 2020.
As of December 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
MidCap | Small/Mid Cap | Small/Mid Cap | ||||||||||
Fund | Growth Fund | Value Fund | ||||||||||
Cost of investments | $ | 1,422,125,460 | $ | 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 earnings | 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 68
Notes to the Financial Statements
June 30, 2020 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | Chautauqua | Chautauqua | ||||||||||
SmallCap | 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.
Distributions to Shareholders
Each Fund generally pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
During the six months ended June 30, 2020, the Funds did not pay any distributions. During the year ended December 31, 2019, the Funds paid the following distributions:
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 |
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 |
Page 69
Notes to the Financial Statements
June 30, 2020 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
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, to the extent necessary to ensure that total 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:
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.
Six Months | ||||||||||||||||
Ended | Fiscal Year Ended December 31, | |||||||||||||||
Subject to Recovery on or before: | June 30, 2020 | 2019 | 2018 | 2017 | ||||||||||||
Fund | 2023 | 2022 | 2021 | 2020 | ||||||||||||
Baird Small/Mid Cap Growth Fund | $ | 91,319 | $ | 160,643 | $ | 32,277 | (a) | N/A | ||||||||
Baird Small/Mid Cap Value Fund | 79,901 | 164,099 | 151,826 | $ | 66,138 | |||||||||||
Baird SmallCap Value Fund | 79,297 | 160,963 | 135,562 | 58,731 | ||||||||||||
Chautauqua International Growth Fund | 97,180 | 230,596 | 116,439 | 74,853 | ||||||||||||
Chautauqua Global Growth Fund | 98,603 | 206,779 | 155,834 | 85,936 |
(a) | For the period from close of business on October 31, 2018 (inception date) through December 31, 2018. |
Page 70
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. | Investment Advisory and Other Agreements (cont.) |
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. (“U.S. Bank”) serves as custodian for the Funds.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registered broker-dealer in securities transactions for the six months ended June 30, 2020 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. Prime Rate less 2%, but in no event less than a net rate of 1% per annum. As of June 30, 2020, the Prime Rate was 3.25%. The LOC matures on May 24, 2021, 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 six months ended June 30, 2020, the Funds borrowed from the LOC as follows:
Amount | Interest Charges | Borrowing | |||||||||
Fund | Borrowed | Accrued | Rate | ||||||||
Baird MidCap Fund | $ | 196,669,000 | $ | 30,545 | 2.75% | ||||||
Baird Small/Mid Cap Growth Fund | 23,000 | 2 | 2.75% |
No other borrowings occurred during the six months ended June 30, 2020 nor were any other borrowings outstanding under the LOC as of June 30, 2020.
7. | Distribution and Shareholder Service Plan |
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate of 0.25% of the average daily net assets of the Funds’ Investor Class Shares.
For the six months ended June 30, 2020, the Funds incurred fees pursuant to the Plan as follows:
Baird MidCap Fund | $185,629 | |
Baird Small/Mid Cap Growth Fund | 436 | |
Baird Small/Mid Cap Value Fund | 608 | |
Baird SmallCap Value Fund | 904 | |
Chautauqua International Growth Fund | 1,797 | |
Chautauqua Global Growth Fund | 2,384 |
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.
Page 71
Notes to the Financial Statements
June 30, 2020 (Unaudited)
8. | Redemption Fees (cont.) |
For the six months ended June 30, 2020, the Funds charged redemption fees as follows:
Chautauqua International Growth Fund | $11,933 | |
Chautauqua Global Growth Fund | $26,242 |
The Baird MidCap Fund, Baird Small/Mid Cap Growth Fund, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund do not charge redemption fees.
9. | Subsequent Events |
In preparing these financial statements, management has evaluated events after June 30, 2020. There were no subsequent events since June 30, 2020, through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Statement Regarding Liquidity Risk
Management Program (Unaudited)
In accordance with Rule 22e-4 under the Investment Company Act of 1940 (the “Rule”), Baird Funds, Inc. (the “Company”) has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for each series of the Company (each a “Fund” and collectively, the “Funds”) and to protect Fund shareholders from dilution of their interests. The Board of Directors (the “Board”) of the Company has appointed Robert W. Baird & Co. Incorporated (“Baird”), the Funds’ investment adviser, as the administrator of the Program. Baird has further delegated administration of the Program to its Liquidity Risk Management Committee (the “Committee”), consisting of officers of the Funds and senior portfolio managers and the chief risk officer of Baird. The Program requires the Committee to provide an annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of each Fund’s highly liquid investment minimum (“HLIM”), if applicable, and any material changes to the Program.
On February 19, 2020, the Board reviewed the Committee’s annual written report (the “Report”) for the period June 1, 2019 to December 31, 2019 (the “review period”). The Report provided a summary of the Committee’s assessment of each Fund’s liquidity risk, which is the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Committee’s assessment considered each Fund’s liquidity risk under both normal and reasonably foreseeable stressed market conditions using certain factors required by the Rule and the Program, to the extent deemed appropriate by the Committee. The Report stated that the Funds have retained ICE Data Services (“ICE”), a third party vendor, to provide a liquidity risk classification specified by the Rule (highly liquid, moderately liquid, less liquid or illiquid) for each portfolio investment held by the Funds, except with respect to any investments that are unclassified by ICE or that are classified by ICE but challenged by Baird, for which classifications are provided by the Committee. The Report also noted that each Fund primarily held investments that were classified as highly liquid during the review period and that each Fund’s portfolio is expected to continue to primarily hold highly liquid investments. Thus, the Committee concluded in the Report that each Fund is considered a “primarily highly liquid fund” (as defined in the Rule and Program) and each Fund can therefore rely on the exclusion in the Rule from the requirements to establish an HLIM and to adopt policies and procedures for responding to a HLIM shortfall. The Report further noted that none of the Funds exceeded the 15% limitation on illiquid investments during the review period and the Company has established procedures to file the Funds’ Forms N-PORT on a timely basis. The Report stated that, while certain clarifying changes had been made to the Program document, no material changes had been made to the Program since the Board’s last approval of the Program.
The Report noted no significant liquidity events or risks impacting any of the Funds. The Committee concluded in the Report that the Program is adequately designed, has been effectively implemented and is operating effectively to manage the liquidity risk of each Fund.
Page 72
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 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.
Page 73
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
John W. Feldt
Darren R. Jackson
Cory L. Nettles
Marlyn J. Spear (Chair)
Frederick P. Stratton, Jr.
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
833 East Michigan Street, Suite 1800
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Item 2. Code of Ethics.
Not applicable – only required for annual reports on Form N-CSR.
Item 3. Audit Committee Financial Expert.
Not applicable – only required for annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable – only required for annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable because the Registrant is not a “listed issuer” within the meaning of Rule 10A-3 under the Securities Exchange Act of 1934.
Item 6. Investments.
(a) | The complete Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Baird MidCap Fund, Baird Small/ Mid Cap Growth Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund and Chautauqua Global Growth Fund are included as part of the report to shareholders filed under Item 1. The Summary Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Strategic Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate 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 Strategic Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, and Baird Municipal Bond Fund are listed below. |
Baird Ultra Short Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.375%, 09/15/2020 | $ | 16,000,000 | $ | 16,039,448 | ||||||||
1.625%, 10/15/2020 | 40,000,000 | 40,166,074 | ||||||||||
2.625%, 11/15/2020 | 20,000,000 | 20,179,688 | ||||||||||
1.875%, 12/15/2020 | 132,000,000 | 133,020,938 | ||||||||||
2.000%, 01/15/2021 | 75,000,000 | 75,732,422 | ||||||||||
2.250%, 02/15/2021 | 15,000,000 | 15,193,359 | ||||||||||
2.375%, 03/15/2021 | 45,000,000 | 45,694,336 | ||||||||||
2.625%, 05/15/2021 | 190,000,000 | 194,037,500 | ||||||||||
Total U.S. Treasury Securities (Cost $537,860,002) | 540,063,765 | 21.0 | % | |||||||||
Other Government Related Security | ||||||||||||
Industrial Bank of Korea, | ||||||||||||
1.156%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 4,000,000 | 3,994,800 | ||||||||||
Total Other Government Related Security (Cost $4,000,000) | 3,994,800 | 0.1 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
AbbVie, Inc., | ||||||||||||
0.724%, 05/21/2021 (3 Month LIBOR USD + 0.350%) (2)(3) | 6,525,000 | 6,528,967 | ||||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021 (1)(2) | 14,000,000 | 14,236,053 | ||||||||||
AT&T, Inc.: | ||||||||||||
2.169%, 07/15/2021 (3 Month LIBOR USD + 0.950%) (3) | 3,000,000 | 3,024,450 | ||||||||||
1.498%, 06/12/2024 (3 Month LIBOR USD + 1.180%) (3) | 6,000,000 | 6,011,874 | ||||||||||
AutoNation, Inc., | ||||||||||||
3.350%, 01/15/2021 | 1,403,000 | 1,409,091 | ||||||||||
BAE Systems Holdings, Inc., | ||||||||||||
2.850%, 12/15/2020 (2) | 12,660,000 | 12,742,742 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
0.927%, 06/25/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 3,000,000 | 2,996,482 | ||||||||||
3.500%, 06/25/2021 (2) | 7,110,000 | 7,288,726 | ||||||||||
2.750%, 07/15/2021 (2) | 1,184,000 | 1,204,414 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 1,025,000 | 1,033,144 | ||||||||||
1.181%, 12/29/2020 (3 Month LIBOR USD + 0.875%) (3) | 8,224,000 | 8,224,531 | ||||||||||
BMW US Capital LLC, | ||||||||||||
3.100%, 04/12/2021 (2) | 2,671,000 | 2,714,311 | ||||||||||
Broadcom, Inc., | ||||||||||||
3.125%, 04/15/2021 (2) | 16,222,000 | 16,489,277 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 13,473,000 | 13,600,338 | ||||||||||
Campbell Soup Co., | ||||||||||||
0.943%, 03/15/2021 (3 Month LIBOR USD + 0.630%) (3) | 4,275,000 | 4,279,343 | ||||||||||
Cigna Corp., | ||||||||||||
0.949%, 09/17/2021 (3 Month LIBOR USD + 0.650%) (3) | 2,000,000 | 2,000,090 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 2,400,000 | 2,403,457 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.375%, 11/06/2020 | 11,550,000 | 11,652,313 | ||||||||||
Colonial Pipeline Co., | ||||||||||||
3.500%, 10/15/2020 (2) | 3,000,000 | 3,004,071 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
0.768%, 10/09/2020 (3 Month LIBOR USD + 0.500%) (3) | 6,224,000 | 6,227,456 | ||||||||||
3.800%, 10/22/2021 | 10,000,000 | 10,392,358 | ||||||||||
CRH America, Inc., | ||||||||||||
5.750%, 01/15/2021 | 4,855,000 | 4,957,641 | ||||||||||
CVS Health Corp., | ||||||||||||
1.033%, 03/09/2021 (3 Month LIBOR USD + 0.720%) (3) | 7,485,000 | 7,513,443 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
0.808%, 02/22/2021 (3 Month LIBOR USD + 0.450%) (2)(3) | 3,500,000 | 3,484,715 | ||||||||||
3.000%, 02/22/2021 (2) | 2,800,000 | 2,833,667 | ||||||||||
3.350%, 05/04/2021 (2) | 3,535,000 | 3,600,310 | ||||||||||
1.238%, 02/22/2022 (3 Month LIBOR USD + 0.880%) (2)(3) | 3,150,000 | 3,117,583 | ||||||||||
Delta Air Lines, Inc., | ||||||||||||
2.600%, 12/04/2020 | 3,515,000 | 3,457,312 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021 (2) | 16,300,000 | 16,755,575 | ||||||||||
DR Horton, Inc., | ||||||||||||
2.550%, 12/01/2020 | 1,775,000 | 1,787,678 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
1.102%, 11/15/2020 (3 Month LIBOR USD + 0.710%) (3) | 7,411,000 | 7,422,901 | ||||||||||
3.766%, 11/15/2020 | 5,000,000 | 5,056,997 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
4.650%, 06/01/2021 | 4,041,000 | 4,126,939 | ||||||||||
Eni SpA, | ||||||||||||
4.150%, 10/01/2020 (1)(2) | 10,748,000 | 10,792,229 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
5.200%, 09/01/2020 | 3,860,000 | 3,889,219 | ||||||||||
2.850%, 04/15/2021 | 5,701,000 | 5,791,165 | ||||||||||
Equifax, Inc., | ||||||||||||
1.262%, 08/15/2021 (3 Month LIBOR USD + 0.870%) (3) | 6,420,000 | 6,410,662 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
5.250%, 10/01/2020 (2) | 2,547,000 | 2,569,384 | ||||||||||
Family Dollar Stores, Inc., | ||||||||||||
5.000%, 02/01/2021 | 905,000 | 920,121 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
5.450%, 07/15/2020 (2) | 4,210,000 | 4,216,254 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.085%, 01/07/2021 | 350,000 | 349,668 | ||||||||||
5.750%, 02/01/2021 | 5,200,000 | 5,219,760 | ||||||||||
3.336%, 03/18/2021 | 1,700,000 | 1,682,507 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 19,400,000 | 19,644,600 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.125%, 10/15/2020 (2) | 6,367,000 | 6,374,728 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021 (2) | 8,027,000 | 8,254,202 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.250%, 02/01/2021 (2) | 1,250,000 | 1,271,916 | ||||||||||
General Mills, Inc., | ||||||||||||
1.716%, 04/16/2021 (3 Month LIBOR USD + 0.540%) (3) | 3,500,000 | 3,507,245 | ||||||||||
General Motors Co., | ||||||||||||
1.210%, 09/10/2021 (3 Month LIBOR USD + 0.900%) (3) | 1,500,000 | 1,483,500 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.450%, 11/06/2020 | 4,200,000 | 4,206,581 | ||||||||||
4.200%, 03/01/2021 | 1,815,000 | 1,839,134 | ||||||||||
3.550%, 04/09/2021 | 4,155,000 | 4,205,165 | ||||||||||
3.200%, 07/06/2021 | 1,341,000 | 1,355,845 | ||||||||||
Global Payments, Inc., | ||||||||||||
3.800%, 04/01/2021 | 12,116,000 | 12,335,489 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.600%, 10/15/2020 | 2,672,000 | 2,688,780 | ||||||||||
0.998%, 03/12/2021 (3 Month LIBOR USD + 0.680%) (3) | 5,000,000 | 4,997,171 | ||||||||||
3.500%, 10/05/2021 | 4,750,000 | 4,900,639 | ||||||||||
Hillshire Brands Co., | ||||||||||||
4.100%, 09/15/2020 | 2,525,000 | 2,535,541 | ||||||||||
Hyundai Capital America: | ||||||||||||
3.000%, 10/30/2020 (2) | 630,000 | �� | 632,882 | |||||||||
3.450%, 03/12/2021 (2) | 1,905,000 | 1,927,265 | ||||||||||
3.750%, 07/08/2021 (2) | 7,935,000 | 8,084,119 | ||||||||||
Hyundai Capital America, Inc., | ||||||||||||
1.217%, 07/08/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,825,000 | 1,805,562 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||||||
2.900%, 02/21/2021 | 3,000,000 | 3,033,216 | ||||||||||
Ingredion, Inc., | ||||||||||||
4.625%, 11/01/2020 | 6,025,000 | 6,091,924 | ||||||||||
International Business Machines Corp., | ||||||||||||
0.834%, 05/13/2021 (3 Month LIBOR USD + 0.400%) (3) | 6,400,000 | 6,421,838 | ||||||||||
International Flavors & Fragrances, Inc., | ||||||||||||
3.400%, 09/25/2020 | 5,150,000 | 5,175,761 | ||||||||||
JD.com, Inc., | ||||||||||||
3.125%, 04/29/2021 (1) | 8,945,000 | 9,057,294 | ||||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
3.551%, 05/25/2021 | 3,624,000 | 3,724,712 | ||||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
5.800%, 03/01/2021 | 8,581,000 | 8,860,841 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
6.500%, 09/15/2020 | 3,610,000 | 3,649,844 | ||||||||||
5.000%, 02/15/2021 (2) | 3,115,000 | 3,181,956 | ||||||||||
Kraft Heinz Foods Co., | ||||||||||||
2.800%, 07/02/2020 | 757,000 | 757,000 | ||||||||||
L3Harris Technologies, Inc., | ||||||||||||
4.950%, 02/15/2021 | 6,856,000 | 6,940,427 | ||||||||||
Leidos Holdings, Inc., | ||||||||||||
4.450%, 12/01/2020 | 2,000,000 | 1,994,250 | ||||||||||
Lennar Corp., | ||||||||||||
2.950%, 11/29/2020 | 3,000,000 | 3,003,300 | ||||||||||
Marathon Petroleum Corp., | ||||||||||||
5.125%, 03/01/2021 | 5,000,000 | 5,138,832 | ||||||||||
Marriott International, Inc.: | ||||||||||||
0.950%, 12/01/2020 (3 Month LIBOR USD + 0.600%) (3) | 4,775,000 | 4,753,513 | ||||||||||
0.968%, 03/08/2021 (3 Month LIBOR USD + 0.650%) (3) | 3,300,000 | 3,268,286 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 18,618,000 | 18,980,846 | ||||||||||
Molson Coors Beverage Co., | ||||||||||||
2.100%, 07/15/2021 | 9,570,000 | 9,687,492 | ||||||||||
MPLX LP, | ||||||||||||
1.213%, 09/09/2021 (3 Month LIBOR USD + 0.900%) (3) | 11,800,000 | 11,706,458 | ||||||||||
Mylan NV, | ||||||||||||
3.150%, 06/15/2021 (1) | 16,675,000 | 17,023,628 | ||||||||||
Newell Brands, Inc., | ||||||||||||
4.700%, 08/15/2020 | 1,789,000 | 1,789,000 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.150%, 07/13/2020 (2) | 5,150,000 | 5,148,822 | ||||||||||
2.550%, 03/08/2021 (2) | 3,000,000 | 2,979,063 | ||||||||||
0.936%, 09/21/2021 (3 Month LIBOR USD + 0.630%) (2)(3) | 4,800,000 | 4,613,475 | ||||||||||
NXP Semiconductors NV, | ||||||||||||
4.125%, 06/01/2021 (1)(2) | 11,133,000 | 11,465,150 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
4.850%, 03/15/2021 | 5,160,000 | 5,121,300 | ||||||||||
1.842%, 08/15/2022 (3 Month LIBOR USD + 1.450%) (3) | 8,000,000 | 7,361,549 | ||||||||||
Orlando Health Obligated Group, | ||||||||||||
3.205%, 10/01/2021 | 1,000,000 | 1,026,052 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
3.300%, 04/01/2021 (2) | 3,000,000 | 3,041,458 | ||||||||||
3.650%, 07/29/2021 (2) | 2,460,000 | 2,517,891 | ||||||||||
Pernod Ricard SA, | ||||||||||||
5.750%, 04/07/2021 (1)(2) | 6,999,000 | 7,270,281 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
3.500%, 03/15/2021 (1) | 940,000 | 940,919 | ||||||||||
Phillips 66, | ||||||||||||
0.960%, 02/26/2021 (3 Month LIBOR USD + 0.600%) (3) | 2,710,000 | 2,705,950 | ||||||||||
POSCO, | ||||||||||||
5.250%, 04/14/2021 (1)(2) | 9,116,000 | 9,371,339 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020 (1)(2) | 2,300,000 | 2,295,239 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020 (1) | 1,780,000 | 1,726,942 | ||||||||||
Ryder System, Inc., | ||||||||||||
2.250%, 09/01/2021 | 1,000,000 | 1,013,330 | ||||||||||
Shell International Finance BV, | ||||||||||||
1.875%, 05/10/2021 (1) | 10,200,000 | 10,308,946 | ||||||||||
Southern Natural Gas Co. LLC, | ||||||||||||
4.400%, 06/15/2021 | 17,228,000 | 17,634,014 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
1.113%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 4,000,000 | 3,725,345 | ||||||||||
Sunoco Logistics Partners Operations LP, | ||||||||||||
4.400%, 04/01/2021 | 15,000,000 | 15,293,441 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.462%, 02/16/2021 (1) | 8,643,000 | 8,898,078 | ||||||||||
Texas Gas Transmission LLC, | ||||||||||||
4.500%, 02/01/2021 (2) | 2,455,000 | 2,476,080 | ||||||||||
Textron, Inc., | ||||||||||||
0.998%, 11/10/2020 (3 Month LIBOR USD + 0.550%) (3) | 2,705,000 | 2,696,816 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
4.125%, 02/15/2021 | 6,983,000 | 7,063,052 | ||||||||||
4.000%, 09/01/2021 | 3,000,000 | 3,079,831 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
3.800%, 10/01/2020 (1) | 2,000,000 | 2,015,870 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
1.492%, 05/15/2025 (3 Month LIBOR USD + 1.100%) (3) | 4,000,000 | 4,048,720 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020 (1)(2) | 13,450,000 | 13,506,713 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
3.875%, 11/13/2020 (2) | 2,285,000 | 2,306,674 | ||||||||||
1.375%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 6,000,000 | 5,981,465 | ||||||||||
Vulcan Materials Co., | ||||||||||||
1.000%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 9,236,000 | 9,186,403 | ||||||||||
Wabtec Corp., | ||||||||||||
1.613%, 09/15/2021 (3 Month LIBOR USD + 1.300%) (3) | 11,587,000 | 11,587,000 | ||||||||||
Williams Companies, Inc., | ||||||||||||
4.125%, 11/15/2020 | 2,700,000 | 2,704,397 | ||||||||||
Xylem, Inc., | ||||||||||||
4.875%, 10/01/2021 | 17,675,000 | 18,603,198 | ||||||||||
Total Industrials (Cost $678,285,844) | 679,424,803 | 26.4 | % | |||||||||
Utilities | ||||||||||||
EDP Finance BV, | ||||||||||||
5.250%, 01/14/2021 (1)(2) | 3,380,000 | 3,449,155 | ||||||||||
Emera US Finance LP, | ||||||||||||
2.700%, 06/15/2021 | 16,003,000 | 16,295,554 | ||||||||||
Exelon Corp.: | ||||||||||||
5.150%, 12/01/2020 | 1,260,000 | 1,269,123 | ||||||||||
2.450%, 04/15/2021 | 6,615,000 | 6,706,114 | ||||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||||||
0.921%, 08/28/2021 (3 Month LIBOR USD + .550%) (3) | 2,619,000 | 2,619,955 | ||||||||||
PNM Resources, Inc., | ||||||||||||
3.250%, 03/09/2021 | 15,929,000 | 16,165,824 | ||||||||||
Progress Energy, Inc., | ||||||||||||
4.400%, 01/15/2021 | 1,351,000 | 1,366,419 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,017,047 | ||||||||||
Western Power Distribution, | ||||||||||||
5.375%, 05/01/2021 (1)(2) | 9,252,000 | 9,476,535 | ||||||||||
Total Utilities (Cost $59,927,882) | 60,365,726 | 2.3 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
0.939%, 08/27/2021 (3 Month LIBOR USD + 0.570%) (1)(2)(3) | 1,000,000 | 1,004,043 | ||||||||||
AerCap Holdings NV, | ||||||||||||
4.625%, 10/30/2020 (1) | 8,711,000 | 8,748,893 | ||||||||||
American International Group, Inc., | ||||||||||||
3.300%, 03/01/2021 | 1,804,000 | 1,834,375 | ||||||||||
Bank of America Corp.: | ||||||||||||
1.769%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 7,000,000 | 7,001,621 | ||||||||||
0.946%, 10/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 1,965,000 | 1,966,527 | ||||||||||
0.947%, 06/25/2022 (3 Month LIBOR USD + 0.650%) (3) | 4,000,000 | 4,002,745 | ||||||||||
Barclays Bank PLC, | ||||||||||||
5.140%, 10/14/2020 (1) | 8,747,000 | 8,842,425 | ||||||||||
Barclays PLC, | ||||||||||||
3.250%, 01/12/2021 (1) | 3,720,000 | 3,768,360 | ||||||||||
BBVA USA: | ||||||||||||
1.045%, 06/11/2021 (3 Month LIBOR USD + 0.730%) (3) | 4,750,000 | 4,713,577 | ||||||||||
3.500%, 06/11/2021 | 10,714,000 | 10,946,881 | ||||||||||
Capital One NA, | ||||||||||||
2.950%, 07/23/2021 | 14,214,000 | 14,505,852 | ||||||||||
Citibank NA, | ||||||||||||
0.977%, 05/20/2022 (3 Month LIBOR USD + 0.600%) (3) | 7,000,000 | 7,011,830 | ||||||||||
Citigroup, Inc., | ||||||||||||
2.350%, 08/02/2021 | 1,269,000 | 1,293,412 | ||||||||||
Citizens Bank NA, | ||||||||||||
1.144%, 02/14/2022 (3 Month LIBOR USD + 0.720%) (3) | 1,500,000 | 1,500,145 | ||||||||||
Citizens Financial Group, Inc., | ||||||||||||
2.375%, 07/28/2021 | 4,000,000 | 4,050,636 | ||||||||||
Credit Agricole CIB, | ||||||||||||
0.924%, 10/03/2021 (3 Month LIBOR USD + 0.625%) (1)(3) | 4,000,000 | 4,004,916 | ||||||||||
Credit Suisse, | ||||||||||||
3.450%, 04/16/2021 (1) | 11,509,000 | 11,781,890 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.125%, 12/10/2020 (1) | 4,520,000 | 4,571,786 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.281%, 07/13/2020 (3 Month LIBOR USD + 0.970%) (1)(3) | 3,226,000 | 3,226,597 | ||||||||||
2.700%, 07/13/2020 (1) | 3,195,000 | 3,195,671 | ||||||||||
2.950%, 08/20/2020 (1) | 5,083,000 | 5,087,214 | ||||||||||
4.250%, 10/14/2021 (1) | 5,000,000 | 5,130,061 | ||||||||||
Fifth Third Bank NA, | ||||||||||||
1.327%, 02/01/2022 (3 Month LIBOR USD + 0.640%) (3) | 2,000,000 | 2,008,872 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 18,219,000 | 18,361,179 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
1.513%, 09/15/2020 (3 Month LIBOR USD + 1.200%) (3) | 6,990,000 | 6,998,947 | ||||||||||
2.130%, 02/25/2021 (3 Month LIBOR USD + 1.770%) (3) | 2,285,000 | 2,303,653 | ||||||||||
1.562%, 11/15/2021 (3 Month LIBOR USD + 1.170%) (3) | 3,980,000 | 3,991,892 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.020%, 05/25/2021 (3 Month LIBOR USD + 1.660%) (1)(3) | 5,000,000 | 5,055,744 | ||||||||||
0.968%, 09/11/2021 (3 Month LIBOR USD + 0.650%) (1)(3) | 4,000,000 | 4,001,867 | ||||||||||
International Lease Finance Corp., | ||||||||||||
8.250%, 12/15/2020 | 1,575,000 | 1,611,951 | ||||||||||
Jefferies Group LLC, | ||||||||||||
6.875%, 04/15/2021 | 4,055,000 | 4,230,685 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 8,021,000 | 8,037,764 | ||||||||||
0.918%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 3,000,000 | 3,004,637 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
0.964%, 05/07/2021 (3 Month LIBOR USD + 0.490%) (1)(3) | 3,665,000 | 3,672,356 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 3,971,000 | 4,138,112 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
6.250%, 01/14/2021 (1)(2) | 10,344,000 | 10,638,900 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
1.506%, 12/29/2021 (3 Month LIBOR USD + 1.200%) (3) | 7,000,000 | 7,003,498 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
1.641%, 07/26/2021 (3 Month LIBOR USD + 0.650%) (1)(3) | 5,981,000 | 6,001,945 | ||||||||||
1.018%, 03/07/2022 (1)(4) | 3,173,000 | 3,177,958 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
1.746%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 1,500,000 | 1,512,942 | ||||||||||
2.632%, 04/12/2021 (1)(2) | 3,600,000 | 3,659,243 | ||||||||||
1.311%, 02/28/2022 (3 Month LIBOR USD + 0.940%) (1)(3) | 5,205,000 | 5,238,740 | ||||||||||
Morgan Stanley, | ||||||||||||
2.315%, 01/20/2022 (3 Month LIBOR USD + 1.180%) (3) | 17,400,000 | 17,471,514 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 5,372,000 | 5,524,865 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.875%, 05/13/2021 (1)(2) | 16,765,000 | 17,329,844 | ||||||||||
PNC Bank NA, | ||||||||||||
0.743%, 12/09/2022 (3 Month LIBOR USD + 0.430%) (3) | 8,000,000 | 8,009,110 | ||||||||||
Regions Bank: | ||||||||||||
0.934%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,500,000 | 3,499,423 | ||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 10,680,000 | 10,702,278 | ||||||||||
Royal Bank of Scotland PLC, | ||||||||||||
5.625%, 08/24/2020 (1) | 8,200,000 | 8,252,627 | ||||||||||
Santander UK Group Holdings PLC, | ||||||||||||
3.125%, 01/08/2021 (1) | 4,588,000 | 4,644,530 | ||||||||||
Santander UK PLC: | ||||||||||||
2.500%, 01/05/2021 (1) | 2,000,000 | 2,020,490 | ||||||||||
3.400%, 06/01/2021 (1) | 2,088,000 | 2,143,589 | ||||||||||
1.052%, 11/15/2021 (3 Month LIBOR USD + 0.660%) (1)(3) | 2,750,000 | 2,764,658 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 3,500,000 | 3,541,817 | ||||||||||
1.510%, 09/10/2022 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 5,000,000 | 5,006,500 | ||||||||||
2.285%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 3,000,000 | 2,999,160 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 13,312,000 | 13,377,840 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.442%, 10/19/2021 (1) | 15,000,000 | 15,362,250 | ||||||||||
SunTrust Banks, Inc., | ||||||||||||
0.976%, 05/17/2022 (3 Month LIBOR USD + 0.590%) (3) | 8,400,000 | 8,425,844 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
0.830%, 05/24/2021 (3 Month LIBOR USD + 0.470%) (1)(3) | 3,725,000 | 3,738,227 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 1,750,000 | 1,774,091 | ||||||||||
Synchrony Bank, | ||||||||||||
3.650%, 05/24/2021 | 11,730,000 | 11,920,294 | ||||||||||
Toronto-Dominion Bank, | ||||||||||||
3.250%, 06/11/2021 (1) | 10,000,000 | 10,273,285 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
1.737%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 500,000 | 501,528 | ||||||||||
3.091%, 04/14/2021 (3 Month LIBOR USD + 1.780%) (1)(2)(3) | 8,500,000 | 8,613,532 | ||||||||||
2.217%, 02/01/2022 (3 Month LIBOR USD + 1.530%) (1)(2)(3) | 4,650,000 | 4,735,519 | ||||||||||
Wells Fargo & Co., | ||||||||||||
2.016%, 07/26/2021 (3 Month LIBOR USD + 1.025%) (3) | 4,975,000 | 5,013,351 | ||||||||||
Wells Fargo Bank NA: | ||||||||||||
1.543%, 07/23/2021 (3 Month LIBOR USD + 0.500%) (3) | 3,000,000 | 3,010,699 | ||||||||||
3.325%, 07/23/2021 (3 Month LIBOR USD + 0.490%) (3) | 2,000,000 | 2,003,256 | ||||||||||
0.973%, 09/09/2022 (3 Month LIBOR USD + 0.660%) (3) | 8,150,000 | 8,172,658 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 10,851,000 | 11,197,599 | ||||||||||
Total Financials (Cost $423,088,120) | 424,870,720 | 16.5 | % | |||||||||
Total Corporate Bonds (Cost $1,161,301,846) | 1,164,661,249 | 45.2 | % | |||||||||
Municipal Bonds | ||||||||||||
Berks County Municipal Authority, | ||||||||||||
1.100%, 05/15/2022 (Callable 07/01/2020) (4) | 800,000 | 800,000 | ||||||||||
Chicago Midway International Airport, | ||||||||||||
5.000%, 01/01/2021 | 2,000,000 | 2,038,060 | ||||||||||
City of El Cerrito CA, | ||||||||||||
3.000%, 07/01/2021 | 4,510,000 | 4,606,063 | ||||||||||
City of New York NY, | ||||||||||||
0.360%, 10/01/2046 (Callable 07/01/2020) (4) | 1,700,000 | 1,700,000 | ||||||||||
City of Ontario CA, | ||||||||||||
1.971%, 06/01/2021 | 470,000 | 473,003 | �� | |||||||||
City of Whiting IN, | ||||||||||||
5.250%, 01/01/2021 | 10,000,000 | 10,200,200 | ||||||||||
Connecticut State Higher Education Supplement Loan Authority, | ||||||||||||
5.000%, 11/15/2020 | 1,050,000 | 1,063,860 | ||||||||||
County of Clark Department of Aviation, | ||||||||||||
5.000%, 07/01/2021 | 8,500,000 | 8,836,515 | ||||||||||
County of Hudson NJ: | ||||||||||||
7.000%, 12/01/2020 | 4,945,000 | 5,059,180 | ||||||||||
7.000%, 06/01/2021 | 5,070,000 | 5,326,846 | ||||||||||
County of Riverside CA, | ||||||||||||
2.165%, 02/15/2021 | 3,500,000 | 3,513,090 | ||||||||||
County of Suffolk NY: | ||||||||||||
2.500%, 07/23/2020 | 7,665,000 | 7,672,052 | ||||||||||
2.500%, 08/20/2020 | 2,000,000 | 2,004,100 | ||||||||||
Florida Development Finance Corp., | ||||||||||||
1.645%, 04/01/2021 | 505,000 | 504,854 | ||||||||||
Gulf Coast Authority, | ||||||||||||
2.450%, 05/01/2028 (4) | 2,500,000 | 2,521,925 | ||||||||||
Iowa Student Loan Liquidity Corp., | ||||||||||||
5.000%, 12/01/2020 | 1,800,000 | 1,821,726 | ||||||||||
Jersey City Redevelopment Agency, | ||||||||||||
3.000%, 05/27/2021 | 2,000,000 | 2,033,580 | ||||||||||
Kendall County Forest Preserve District, | ||||||||||||
5.000%, 01/01/2021 | 2,000,000 | 2,044,540 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
2.450%, 05/01/2027 (2)(4) | 3,000,000 | 3,026,310 | ||||||||||
Massachusetts Educational Financing Authority: | ||||||||||||
5.000%, 07/01/2020 | 3,635,000 | 3,635,000 | ||||||||||
5.000%, 01/01/2021 | 3,000,000 | 3,048,360 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 09/01/2021 | 13,490,000 | 13,865,831 | ||||||||||
Mission Economic Development Corp., | ||||||||||||
2.050%, 01/01/2026 (4) | 15,000,000 | 15,006,150 | ||||||||||
Mizuho Floater/Residual Trust, | ||||||||||||
0.660%, 11/15/2036 (2)(4) | 15,200,000 | 15,200,000 | ||||||||||
Monroe County Development Authority, | ||||||||||||
0.210%, 09/01/2037 (4) | 10,000,000 | 10,000,000 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
0.000%, 02/15/2021 | 8,185,000 | 8,127,296 | ||||||||||
Philadelphia Authority for Industrial Development, | ||||||||||||
3.664%, 04/15/2022 | 4,000,000 | 4,108,480 | ||||||||||
Philadelphia Parking Authority, | ||||||||||||
5.000%, 09/01/2021 (Callable 09/01/2020) | 8,450,000 | 8,497,742 | ||||||||||
Port of Port Arthur Navigation District: | ||||||||||||
0.500%, 04/01/2040 (Callable 07/01/2020) (4) | 8,505,000 | 8,505,000 | ||||||||||
1.600%, 11/01/2040 (Callable 07/01/2020) (4) | 10,000,000 | 10,000,000 | ||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 07/01/2022 | 4,950,000 | 5,044,694 | ||||||||||
1.900%, 09/01/2027 (4) | 12,000,000 | 12,005,160 | ||||||||||
San Diego Convention Center Expansion Financing Authority, | ||||||||||||
0.990%, 04/15/2021 (6) | 1,000,000 | 999,760 | ||||||||||
State of Connecticut, | ||||||||||||
3.000%, 07/01/2021 | 3,250,000 | 3,319,875 | ||||||||||
State of Illinois, | ||||||||||||
5.000%, 08/01/2021 | 1,005,000 | 1,030,296 | ||||||||||
Tender Option Bond Trust, | ||||||||||||
0.710%, 11/15/2045 (2)(4) | 10,400,000 | 10,400,000 | ||||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 02/01/2021 | 3,420,000 | 3,444,350 | ||||||||||
Virginia Small Business Financing Authority, | ||||||||||||
3.000%, 07/01/2050 (Callable 07/31/2020) (2)(4) | 2,500,000 | 2,493,775 | ||||||||||
Washington Higher Education Facilities Authority: | ||||||||||||
1.935%, 10/01/2020 | 500,000 | 500,320 | ||||||||||
3.611%, 10/01/2020 | 1,595,000 | 1,601,380 | ||||||||||
West Virginia Economic Development Authority, | ||||||||||||
1.700%, 01/01/2041 (4) | 9,500,000 | 9,505,035 | ||||||||||
Wheaton College, | ||||||||||||
1.200%, 10/01/2035 (Callable 07/01/2020) (4) | 3,000,000 | 3,000,000 | ||||||||||
Total Municipal Bonds (Cost $218,141,992) | 218,584,408 | 8.5 | % |
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 0.505%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 39,137 | 39,083 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 0.635%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 1,751,810 | 1,733,218 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 0.965%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 723,730 | 724,450 | ||||||||||
Series 2007-HE1, Class A2, 0.335%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 256,430 | 255,572 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2007-AMC4, Class A2C, 0.355%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 191,128 | 190,272 | ||||||||||
Countrywide Asset-Backed Certificates, | ||||||||||||
Series 2006-23, Class 2A3, 0.355%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 1,573,662 | 1,568,226 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A2C, 0.885%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 480,871 | 480,244 | ||||||||||
Series 2006-HE4, Class A2C, 0.335%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 753,139 | 749,039 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2006-2, Class 2A4, 0.495%, 05/25/2036 (1 Month LIBOR USD + 0.310%) (2)(3) | 1,416,988 | 1,405,596 | ||||||||||
Series 2006-3, Class 1A1, 0.385%, 07/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 734,666 | 733,286 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 26,286 | 26,244 | ||||||||||
Mill City Mortgage Trust, | ||||||||||||
Series 2015-1, Class A3, 3.000%, 06/25/2056 (2)(4) | 3,994,053 | 4,008,056 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-2, Class M2, 0.860%, 06/25/2035 (1 Month LIBOR USD + 0.675%) (3) | 74,247 | 74,234 | ||||||||||
Popular ABS Mortgage Pass-Through Trust: | ||||||||||||
Series 2005-B, Class M2, 0.845%, 08/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 185,947 | 185,867 | ||||||||||
Series 2006-C, Class A4, 0.435%, 07/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 598,220 | 595,448 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2007-RZ1, Class A2, 0.345%, 02/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 560,871 | 558,940 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 0.585%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 469,004 | 468,999 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 0.365%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 594,524 | 593,380 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-5, Class A1, 0.785%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 749,142 | 742,412 | ||||||||||
Total Residential Mortgage-Backed Securities (Cost $15,147,785) | 15,132,566 | 0.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR2, Class ASB, 2.752%, 08/17/2045 | 2,149,614 | 2,161,009 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 4,055,618 | 4,096,915 | ||||||||||
Series 2012-GC6, Class AAB, 3.314%, 01/12/2045 | 9,584,262 | 9,655,553 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.559%, 08/17/2045 | 4,718,783 | 4,766,943 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $20,658,210) | 20,680,420 | 0.8 | % | |||||||||
Asset Backed Securities | ||||||||||||
Ally Auto Receivables: | ||||||||||||
Series 2017-5, Class A3, 1.990%, 03/15/2022 | 632,764 | 635,009 | ||||||||||
Series 2017-5, Class A4, 2.220%, 10/17/2022 | 4,050,000 | 4,109,100 | ||||||||||
Ally Auto Receivables Trust, | ||||||||||||
Series 2019-1, Class A2, 2.850%, 03/15/2022 | 2,344,634 | 2,352,046 | ||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-6, Class A, 2.040%, 05/15/2023 | 9,092,000 | 9,135,759 | ||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-A1, Class A1, 2.700%, 07/17/2023 | 12,090,000 | 12,274,536 | ||||||||||
Bank of The West Auto Trust: | ||||||||||||
Series 2019-1, Class A2, 2.400%, 10/17/2022 (2) | 1,290,311 | 1,299,116 | ||||||||||
Series 2018-1, Class A3, 3.430%, 12/15/2022 (2) | 1,991,051 | 2,020,138 | ||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023 (2) | 2,405,686 | 2,423,556 | ||||||||||
BMW Vehicle Owner Trust, | ||||||||||||
Series 2018-A, Class A3, 2.350%, 04/25/2022 | 3,518,520 | 3,542,152 | ||||||||||
Capital One Multi-Asset Execution Trust: | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 7,629,000 | 7,654,034 | ||||||||||
Series 2018-A1, Class A1, 3.010%, 02/15/2024 | 7,440,000 | 7,596,379 | ||||||||||
Capital One Prime Auto Receivables Trust, | ||||||||||||
Series 2019-2, Class A2, 2.060%, 09/15/2022 | 5,686,295 | 5,726,002 | ||||||||||
Carmax Auto Owner Trust, | ||||||||||||
Series 2019-3, Class A2A, 2.210%, 12/15/2022 | 4,850,609 | 4,889,601 | ||||||||||
CarMax Auto Owner Trust: | ||||||||||||
Series 2016-4, Class A3, 1.400%, 08/16/2021 | 60,650 | 60,670 | ||||||||||
Series 2018-4, Class A2A, 3.110%, 02/15/2022 | 2,616,748 | 2,626,715 | ||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.490%, 07/15/2022 | 6,500,000 | 6,503,520 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A1, 2.490%, 01/20/2023 | 20,628,000 | 20,874,350 | ||||||||||
CNH Equipment Trust, | ||||||||||||
Series 2020-A, Class A2, 1.080%, 07/15/2023 | 1,800,000 | 1,804,292 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030 (4) | 158,982 | 162,260 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2020-1, Class A2, 2.260%, 06/22/2022 (2) | 11,025,000 | 11,213,634 | ||||||||||
Discover Card Execution Note Trust: | ||||||||||||
Series 2017-A6, Class A6, 1.880%, 02/15/2023 | 21,290,000 | 21,332,001 | ||||||||||
Series 2015-A4, Class A4, 2.190%, 04/17/2023 | 12,619,000 | 12,685,619 | ||||||||||
Series 2016-A3, Class A3, 1.850%, 10/16/2023 | 2,000,000 | 2,023,553 | ||||||||||
Ford Credit Auto Lease Trust, | ||||||||||||
Series 2019-B, Class A2A, 2.280%, 02/15/2022 | 9,781,885 | 9,839,042 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2017-B, Class A4, 1.870%, 09/15/2022 | 1,355,000 | 1,366,722 | ||||||||||
Series 2020-A, Class A2, 1.030%, 10/15/2022 | 1,250,000 | 1,255,616 | ||||||||||
Series 2015-2, Class A, 2.440%, 01/15/2027 (2) | 17,043,000 | 17,054,354 | ||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 7,795,000 | 7,867,654 | ||||||||||
GM Financial Automobile Leasing Trust: | ||||||||||||
Series 2019-1, Class A2A, 2.910%, 04/20/2021 | 5,577,553 | 5,589,818 | ||||||||||
Series 2019-2, Class A2A, 2.670%, 06/21/2021 | 1,201,106 | 1,205,185 | ||||||||||
Series 2018-3, Class A3, 3.180%, 06/21/2021 | 4,937,289 | 4,962,670 | ||||||||||
GM Financial Consumer Automobile Receivables Trust: | ||||||||||||
Series 2019-2, Class A2A, 2.660%, 06/16/2022 | 1,166,120 | 1,170,405 | ||||||||||
Series 2018-1, Class A3, 2.320%, 07/18/2022 | 12,618,171 | 12,724,646 | ||||||||||
Series 2018-2, Class A3, 2.810%, 12/16/2022 | 1,063,829 | 1,083,813 | ||||||||||
Series 2020-2, Class A2A, 1.500%, 03/16/2023 | 7,350,000 | 7,410,335 | ||||||||||
Honda Auto Receivables Owner Trust, | ||||||||||||
Series 2019-2, Class A2, 2.570%, 12/21/2021 | 7,046,419 | 7,099,054 | ||||||||||
HPEFS Equipment Trust, | ||||||||||||
Series 2019-1A, Class A2, 2.190%, 09/20/2029 (2) | 2,652,273 | 2,670,564 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2018-B, Class A3, 3.040%, 10/15/2021 (2) | 11,912,153 | 11,976,422 | ||||||||||
Series 2019-A, Class A3, 2.980%, 07/15/2022 (2) | 6,160,000 | 6,261,147 | ||||||||||
Hyundai Auto Receivables Trust: | ||||||||||||
Series 2017-A, Class A3, 1.760%, 08/16/2021 | 117,845 | 117,938 | ||||||||||
Series 2019-A, Class A2, 2.670%, 12/15/2021 | 5,506,665 | 5,536,438 | ||||||||||
Series 2020-A, Class A2, 1.510%, 04/15/2023 | 8,050,000 | 8,129,766 | ||||||||||
Series 2017-A, Class A4, 2.090%, 04/17/2023 | 5,726,000 | 5,757,621 | ||||||||||
Mercedes-Benz Auto Lease Trust: | ||||||||||||
Series 2019-A, Class A2, 3.010%, 02/16/2021 | 1,032,943 | 1,033,829 | ||||||||||
Series 2020-A, Class A2, 1.820%, 03/15/2022 | 5,260,000 | 5,288,831 | ||||||||||
Series 2018-B, Class A4, 3.310%, 07/15/2024 | 2,505,000 | 2,550,974 | ||||||||||
Mercedes-Benz Auto Receivables Trust: | ||||||||||||
Series 2016-1, Class A4, 1.460%, 12/15/2022 | 2,420,199 | 2,422,788 | ||||||||||
Series 2020-1, Class A2, 0.460%, 03/15/2023 | 10,625,000 | 10,629,615 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 2,552,110 | 2,558,573 | ||||||||||
Series 2020-A, Class A2, 0.740%, 04/09/2024 (2) | 4,500,000 | 4,506,030 | ||||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2019-A, Class A2, 2.710%, 07/15/2021 | 4,584,239 | 4,602,536 | ||||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2017-B, Class A3, 1.750%, 10/15/2021 | 3,981,373 | 3,991,124 | ||||||||||
Series 2019-A, Class A2A, 2.820%, 01/18/2022 | 3,159,757 | 3,175,611 | ||||||||||
Series 2017-C, Class A3, 2.120%, 04/18/2022 | 3,596,111 | 3,619,201 | ||||||||||
Series 2016-C, Class A4, 1.380%, 01/17/2023 | 3,869,671 | 3,874,609 | ||||||||||
Series 2018-C, Class A3, 3.220%, 06/15/2023 | 9,488,000 | 9,783,671 | ||||||||||
Series 2019-A, Class A3, 2.900%, 10/16/2023 | 26,635,000 | 27,433,024 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 6,030,000 | 6,054,304 | ||||||||||
Santander Retail Auto Lease Trust: | ||||||||||||
Series 2019-A, Class A2, 2.720%, 01/20/2022 (2) | 2,916,395 | 2,942,944 | ||||||||||
Series 2018-A, Class A4, 3.060%, 04/20/2022 (2) | 5,500,000 | 5,533,339 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2016-2, Class A, 3.090%, 10/27/2025 (2) | 1,028,790 | 1,030,635 | ||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 642,884 | 646,670 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 7,219,329 | 7,288,496 | ||||||||||
Series 2018-4, Class A, 3.540%, 11/26/2027 (2) | 1,002,952 | 1,013,101 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2015-4, Class A, 2.380%, 09/15/2023 | 1,060,000 | 1,063,154 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 9,637,272 | 9,776,208 | ||||||||||
Toyota Auto Receivables Owner Trust: | ||||||||||||
Series 2017-B, Class A3, 1.760%, 07/15/2021 | 1,494,732 | 1,496,912 | ||||||||||
Series 2020-A, Class A2, 1.780%, 11/15/2021 | 3,009,091 | 3,019,194 | ||||||||||
Series 2017-A, Class A4, 2.100%, 09/15/2022 | 8,071,695 | 8,118,808 | ||||||||||
Series 2017-C, Class A3, 1.670%, 11/15/2022 | 5,165,000 | 5,218,107 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2017-2A, Class A, 1.920%, 12/20/2021 (2) | 152,676 | 152,819 | ||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022 (2) | 7,482,140 | 7,506,982 | ||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022 (2) | 30,349,696 | 30,608,834 | ||||||||||
Series 2018-A, Class A1A, 3.230%, 04/20/2023 | 210,000 | 214,625 | ||||||||||
Volkswagen Auto Lease Trust, | ||||||||||||
Series 2019-A, Class A2A, 2.000%, 03/21/2022 | 6,157,572 | 6,207,742 | ||||||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||||||
Series 2020-1, Class A2A, 0.930%, 12/20/2022 | 3,725,000 | 3,739,261 | ||||||||||
Volvo Financial Equipment LLC: | ||||||||||||
Series 2017-1A, Class A4, 2.210%, 11/15/2021 (2) | 2,117,317 | 2,125,887 | ||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022 (2) | 4,598,637 | 4,625,697 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2015-B, Class A, 2.550%, 06/17/2024 | 732,000 | 733,609 | ||||||||||
World Omni Automobile Lease Securitization Trust: | ||||||||||||
Series 2018-A, Class A3, 2.830%, 07/15/2021 | 1,515,915 | 1,518,692 | ||||||||||
Series 2019-A, Class A2, 2.890%, 11/15/2021 | 3,655,844 | 3,680,270 | ||||||||||
Total Asset Backed Securities (Cost $460,107,048) | 461,809,958 | 17.9 | % | |||||||||
Total Long-Term Investments (Cost $2,417,216,883) | 2,424,927,166 | 94.1 | % | |||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Commercial Paper | ||||||||||||
Banner Health, 0.500%, 07/22/2020 | 10,000,000 | 9,994,567 | ||||||||||
Catholic Health Initiatives, 0.23% (7), 10/14/2020 | 18,000,000 | 17,987,757 | ||||||||||
Catholic Health Initiatives, 0.29% (7), 11/19/2020 | 3,000,000 | 2,996,604 | ||||||||||
Walt Disney Co., 0.51% (7), 04/30/2021 | 17,000,000 | 16,926,356 | ||||||||||
Total Commercial Paper (Cost $47,723,154) | 47,905,284 | 1.8 | % | |||||||||
U.S. Treasury Security | ||||||||||||
United States Treasury Bill, 0.15% (7), 10/08/2020 | 25,000,000 | 24,989,344 | ||||||||||
Total U.S. Treasury Security (Cost $24,989,687) | 24,989,344 | 1.0 | % | |||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 0.11% (5) | 97,291,971 | 97,291,971 | ||||||||||
Total Money Market Mutual Fund (Cost $97,291,971) | 97,291,971 | 3.8 | % | |||||||||
Total Short-Term Investments (Cost $170,004,812) | 170,186,599 | 6.6 | % | |||||||||
Total Investments (Cost $2,587,221,695) | 2,595,113,765 | 100.7 | % | |||||||||
Liabilities in Excess of Other Assets | (19,112,270 | ) | (0.7 | )% | ||||||||
TOTAL NET ASSETS | $ | 2,576,001,495 | 100.0 | % |
Notes to Schedule of Investments | |||||
LIBOR - London Inter-bank Offered Rate | |||||
(1) | Foreign security. | ||||
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $495,818,336, which represents 19.25% of total net assets. | ||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. | ||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. | ||||
(5) | Seven-day yield. | ||||
(6) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. | ||||
(7) | Effective yield as of June 30, 2020. |
Baird Short-Term Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.125%, 09/30/2021 | $ | 250,600,000 | $ | 253,575,875 | ||||||||
1.625%, 08/31/2022 | 224,325,000 | 231,370,207 | ||||||||||
2.125%, 12/31/2022 | 892,025,000 | 935,476,376 | ||||||||||
1.750%, 05/15/2023 | 408,700,000 | 427,091,500 | ||||||||||
Total U.S. Treasury Securities (Cost $1,828,138,157) | 1,847,513,958 | 24.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2012) Ltd., | ||||||||||||
3.875%, 05/02/2022 (1)(2) | 15,137,000 | 15,827,701 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
1.156%, 08/02/2021 (3 Month LIBOR USD + 0.600%) (1)(2)(3) | 2,150,000 | 2,147,205 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.933%, 04/23/2021 (1)(2) | 10,000,000 | 10,097,350 | ||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,067,633 | ||||||||||
Total Other Government Related Securities (Cost $32,242,523) | 33,139,889 | 0.4 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
AbbVie, Inc.: | ||||||||||||
5.000%, 12/15/2021 (2) | 20,045,000 | 21,059,313 | ||||||||||
3.450%, 03/15/2022 (2) | 6,975,000 | 7,254,419 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 7,500,000 | 8,103,129 | ||||||||||
Albemarle Corp., | ||||||||||||
1.442%, 11/15/2022 (3 Month LIBOR USD + 1.050%) (2)(3) | 7,000,000 | 6,726,650 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 33,135,000 | 33,919,071 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
4.125%, 04/15/2021 (1)(2) | 27,850,000 | 28,319,577 | ||||||||||
3.750%, 04/10/2022 (1)(2) | 6,200,000 | 6,377,340 | ||||||||||
AutoNation, Inc., | ||||||||||||
3.350%, 01/15/2021 | 4,603,000 | 4,622,984 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
3.500%, 06/25/2021 (2) | 26,245,000 | 26,904,729 | ||||||||||
2.200%, 07/15/2022 (2) | 2,250,000 | 2,304,108 | ||||||||||
Beam Suntory, Inc., | ||||||||||||
3.250%, 05/15/2022 | 10,875,000 | 11,287,846 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.125%, 11/08/2021 | 1,000,000 | 1,027,469 | ||||||||||
2.894%, 06/06/2022 | 22,500,000 | 23,300,481 | ||||||||||
Bemis Co, Inc., | ||||||||||||
4.500%, 10/15/2021 | 5,375,000 | 5,509,324 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 2,475,000 | 2,494,523 | ||||||||||
BP Capital Markets America, Inc., | ||||||||||||
2.937%, 04/06/2023 | 24,550,000 | 25,960,700 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.125%, 10/15/2022 (2) | 5,060,000 | 5,270,766 | ||||||||||
2.650%, 01/15/2023 | 1,658,000 | 1,719,434 | ||||||||||
2.250%, 11/15/2023 (2) | 15,000,000 | 15,498,182 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
3.500%, 11/24/2020 | 10,425,000 | 10,523,530 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
2.950%, 01/15/2023 (1) | 6,500,000 | 6,721,441 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
3.200%, 06/15/2022 | 9,922,000 | 10,359,670 | ||||||||||
Cargill, Inc., | ||||||||||||
1.375%, 07/23/2023 (2) | 14,400,000 | 14,648,488 | ||||||||||
Carlisle Companies, Inc., | ||||||||||||
3.750%, 11/15/2022 | 2,230,000 | 2,323,459 | ||||||||||
Carrier Global Corp., | ||||||||||||
1.923%, 02/15/2023 (2) | 7,000,000 | 7,135,491 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
4.625%, 11/15/2022 | 3,395,000 | 3,603,200 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 22,835,000 | 24,355,655 | ||||||||||
Cigna Corp.: | ||||||||||||
3.400%, 09/17/2021 | 3,000,000 | 3,099,647 | ||||||||||
3.750%, 07/15/2023 | 2,664,000 | 2,891,735 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 20,000,000 | 20,028,811 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
4.375%, 11/06/2020 | 9,810,000 | 9,896,899 | ||||||||||
4.875%, 04/01/2021 | 2,554,000 | 2,620,395 | ||||||||||
3.875%, 10/15/2021 | 13,460,000 | 13,794,772 | ||||||||||
4.375%, 04/05/2022 | 4,102,000 | 4,287,411 | ||||||||||
CommonSpirit Health: | ||||||||||||
2.950%, 11/01/2022 | 6,349,000 | 6,560,862 | ||||||||||
4.200%, 08/01/2023 | 4,210,000 | 4,488,124 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 4,500,000 | 4,521,673 | ||||||||||
0.768%, 10/09/2020 (3 Month LIBOR USD + 0.500%) (3) | 20,000,000 | 20,011,105 | ||||||||||
3.800%, 10/22/2021 | 4,950,000 | 5,144,217 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
1.092%, 11/15/2021 (3 Month LIBOR USD + 0.700%) (3) | 10,020,000 | 10,019,203 | ||||||||||
3.200%, 02/15/2023 | 9,650,000 | 10,229,114 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.350%, 03/09/2021 | 10,462,000 | 10,669,568 | ||||||||||
2.125%, 06/01/2021 | 5,000,000 | 5,065,867 | ||||||||||
3.700%, 03/09/2023 | 10,000,000 | 10,739,344 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.350%, 05/04/2021 (2) | 15,000,000 | 15,277,129 | ||||||||||
3.400%, 02/22/2022 (2) | 13,000,000 | 13,429,910 | ||||||||||
3.350%, 02/22/2023 (2) | 1,619,000 | 1,695,463 | ||||||||||
1.750%, 03/10/2023 (2) | 7,000,000 | 7,050,649 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 21,922,000 | 22,534,706 | ||||||||||
5.450%, 06/15/2023 (2) | 20,000,000 | 21,876,246 | ||||||||||
Domtar Corp., | ||||||||||||
4.400%, 04/01/2022 | 4,775,000 | 4,878,750 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
2.169%, 05/01/2023 | 24,425,000 | 24,902,191 | ||||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 34,423,000 | 35,956,783 | ||||||||||
Eastman Chemical Co., | ||||||||||||
3.500%, 12/01/2021 | 17,550,000 | 18,112,501 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
3.912%, 08/27/2021 | 32,689,000 | 33,342,780 | ||||||||||
Embotelladora Andina SA, | ||||||||||||
5.000%, 10/01/2023 (1)(2) | 8,160,000 | 8,892,037 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.950%, 03/19/2022 (2) | 12,400,000 | 12,797,653 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 | 32,690,000 | 32,609,107 | ||||||||||
Energy Transfer Operating LP, | ||||||||||||
4.250%, 03/15/2023 | 15,933,000 | 16,831,423 | ||||||||||
EQT Corp., | ||||||||||||
4.875%, 11/15/2021 | 2,755,000 | 2,699,074 | ||||||||||
Equifax, Inc., | ||||||||||||
3.950%, 06/15/2023 | 12,294,000 | 13,288,884 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 1,450,000 | 1,470,049 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
1.113%, 11/30/2020 (3 Month LIBOR USD + 0.750%) (3) | 7,000,000 | 7,000,511 | ||||||||||
Exxon Mobil Corp., | ||||||||||||
1.571%, 04/15/2023 | 35,000,000 | 35,921,054 | ||||||||||
FedEx Corp., | ||||||||||||
3.400%, 01/14/2022 | 7,000,000 | 7,288,661 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 3,220,000 | 3,347,952 | ||||||||||
3.500%, 10/01/2022 | 6,350,000 | 6,710,881 | ||||||||||
Flowserve Corp., | ||||||||||||
4.000%, 11/15/2023 | 1,669,000 | 1,716,617 | ||||||||||
FMC Corp.: | ||||||||||||
3.950%, 02/01/2022 | 13,172,000 | 13,661,913 | ||||||||||
4.100%, 02/01/2024 | 2,425,000 | 2,617,659 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.200%, 01/15/2021 | 4,705,000 | 4,634,425 | ||||||||||
3.470%, 04/05/2021 | 2,500,000 | 2,468,750 | ||||||||||
2.979%, 08/03/2022 | 15,000,000 | 14,376,750 | ||||||||||
3.087%, 01/09/2023 | 12,000,000 | 11,430,000 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
4.000%, 09/21/2023 | 3,805,000 | 4,150,817 | ||||||||||
Fox Corp., | ||||||||||||
3.666%, 01/25/2022 | 5,000,000 | 5,233,593 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: | ||||||||||||
4.125%, 10/15/2020 (2) | 19,325,000 | 19,348,456 | ||||||||||
5.875%, 01/31/2022 (2) | 2,947,000 | 3,127,881 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021 (2) | 4,907,000 | 5,045,891 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 2,828,000 | 2,986,818 | ||||||||||
General Electric Co.: | ||||||||||||
3.150%, 09/07/2022 | 25,175,000 | 26,363,927 | ||||||||||
3.375%, 03/11/2024 | 9,475,000 | 10,105,980 | ||||||||||
General Mills, Inc., | ||||||||||||
3.200%, 04/16/2021 | 5,000,000 | 5,107,321 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
1.274%, 08/07/2020 (3 Month LIBOR USD + 0.800%) (3) | 7,000,000 | 6,998,337 | ||||||||||
3.700%, 11/24/2020 | 1,409,000 | 1,416,444 | ||||||||||
4.200%, 03/01/2021 | 1,215,000 | 1,231,156 | ||||||||||
3.550%, 04/09/2021 | 4,750,000 | 4,807,348 | ||||||||||
3.200%, 07/06/2021 | 8,500,000 | 8,594,097 | ||||||||||
4.200%, 11/06/2021 | 5,000,000 | 5,127,607 | ||||||||||
3.550%, 07/08/2022 | 5,000,000 | 5,126,319 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.700%, 04/01/2022 (1) | 5,511,000 | 5,658,608 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 18,000,000 | 18,786,240 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 7,555,000 | 7,986,768 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 7,121,000 | 7,612,556 | ||||||||||
4.625%, 04/29/2024 (2) | 2,500,000 | 2,736,520 | ||||||||||
Global Payments, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 30,693,000 | 31,249,024 | ||||||||||
3.750%, 06/01/2023 | 4,550,000 | 4,901,107 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 18,907,000 | 19,805,583 | ||||||||||
HCA, Inc., | ||||||||||||
4.750%, 05/01/2023 | 18,218,000 | 19,766,671 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.500%, 10/05/2021 | 5,000,000 | 5,158,568 | ||||||||||
2.250%, 04/01/2023 | 23,000,000 | 23,689,117 | ||||||||||
4.450%, 10/02/2023 | 5,000,000 | 5,455,293 | ||||||||||
Huntsman International LLC, | ||||||||||||
5.125%, 11/15/2022 | 4,500,000 | 4,766,853 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 8,200,000 | 8,590,822 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.750%, 09/18/2020 (2) | 10,000,000 | 10,021,767 | ||||||||||
3.450%, 03/12/2021 (2) | 5,000,000 | 5,058,439 | ||||||||||
2.450%, 06/15/2021 (2) | 1,000,000 | 1,006,594 | ||||||||||
3.750%, 07/08/2021 (2) | 2,650,000 | 2,699,800 | ||||||||||
3.950%, 02/01/2022 (2) | 5,024,000 | 5,167,598 | ||||||||||
3.000%, 06/20/2022 (2) | 5,000,000 | 5,092,768 | ||||||||||
2.850%, 11/01/2022 (2) | 6,000,000 | 6,122,518 | ||||||||||
IDEX Corp., | ||||||||||||
4.200%, 12/15/2021 | 14,244,000 | 14,676,306 | ||||||||||
IHS Markit Ltd., | ||||||||||||
5.000%, 11/01/2022 (1)(2) | 9,613,000 | 10,307,779 | ||||||||||
Infor, Inc., | ||||||||||||
1.450%, 07/15/2023 (2) | 20,000,000 | 20,165,150 | ||||||||||
Inversiones CMPC SA, | ||||||||||||
4.375%, 05/15/2023 (1)(2) | 2,325,000 | 2,428,989 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 33,725,000 | 35,250,678 | ||||||||||
Keurig Dr Pepper, Inc.: | ||||||||||||
3.551%, 05/25/2021 | 2,855,000 | 2,934,341 | ||||||||||
2.530%, 11/15/2021 | 23,880,000 | 24,452,729 | ||||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
5.000%, 10/01/2021 | 13,000,000 | 13,512,003 | ||||||||||
Kinder Morgan, Inc., | ||||||||||||
5.625%, 11/15/2023 (2) | 9,060,000 | 10,213,664 | ||||||||||
Kraft Heinz Foods Co., | ||||||||||||
4.000%, 06/15/2023 | 14,000,000 | 14,756,304 | ||||||||||
Leggett & Platt, Inc., | ||||||||||||
3.400%, 08/15/2022 | 10,000,000 | 10,305,180 | ||||||||||
Leidos, Inc., | ||||||||||||
2.950%, 05/15/2023 (2) | 27,875,000 | 29,037,388 | ||||||||||
Lennar Corp., | ||||||||||||
8.375%, 01/15/2021 | 2,337,000 | 2,410,031 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 6,160,000 | 6,354,372 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 17,775,000 | 18,812,285 | ||||||||||
Marathon Petroleum Corp., | ||||||||||||
4.500%, 05/01/2023 | 10,000,000 | 10,777,090 | ||||||||||
Marriott International, Inc., | ||||||||||||
2.125%, 10/03/2022 | 10,000,000 | 9,823,179 | ||||||||||
Masco Corp.: | ||||||||||||
3.500%, 04/01/2021 | 3,881,000 | 3,934,502 | ||||||||||
5.950%, 03/15/2022 | 10,800,000 | 11,651,109 | ||||||||||
Maxim Integrated Products, Inc., | ||||||||||||
3.375%, 03/15/2023 | 2,190,000 | 2,274,617 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 33,643,000 | 34,298,668 | ||||||||||
2.670%, 09/01/2023 (2) | 3,100,000 | 3,190,774 | ||||||||||
Micron Technology, Inc., | ||||||||||||
2.497%, 04/24/2023 | 36,364,000 | 37,791,767 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.625%, 04/01/2022 (2) | 10,000,000 | 10,244,652 | ||||||||||
Mondelez International, Inc., | ||||||||||||
2.125%, 04/13/2023 | 10,000,000 | 10,357,325 | ||||||||||
Mosaic Co.: | ||||||||||||
3.750%, 11/15/2021 | 2,850,000 | 2,917,189 | ||||||||||
3.250%, 11/15/2022 | 6,443,000 | 6,594,771 | ||||||||||
MPLX LP, | ||||||||||||
3.500%, 12/01/2022 | 6,403,000 | 6,671,020 | ||||||||||
Mylan NV, | ||||||||||||
3.750%, 12/15/2020 (1) | 522,000 | 527,398 | ||||||||||
Mylan, Inc., | ||||||||||||
3.125%, 01/15/2023 (2) | 32,660,000 | 34,325,125 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 33,713,000 | 34,717,647 | ||||||||||
Newmont Goldcorp Corp., | ||||||||||||
3.625%, 06/09/2021 | 4,900,000 | 5,001,536 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.150%, 07/13/2020 (2) | 20,000,000 | 19,995,427 | ||||||||||
2.150%, 09/28/2020 (2) | 4,300,000 | 4,287,508 | ||||||||||
3.450%, 03/15/2023 (2) | 1,585,000 | 1,575,519 | ||||||||||
Northern Border Pipeline Co., | ||||||||||||
7.500%, 09/15/2021 | 4,500,000 | 4,777,151 | ||||||||||
Nutrien Ltd.: | ||||||||||||
3.150%, 10/01/2022 (1) | 1,000,000 | 1,036,468 | ||||||||||
1.900%, 05/13/2023 (1) | 19,400,000 | 20,019,902 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 12,565,000 | 13,131,265 | ||||||||||
NXP Semiconductors NV: | ||||||||||||
4.625%, 06/15/2022 (1)(2) | 5,650,000 | 6,019,009 | ||||||||||
3.875%, 09/01/2022 (1)(2) | 10,862,000 | 11,482,606 | ||||||||||
4.625%, 06/01/2023 (1)(2) | 9,023,000 | 9,896,185 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
1.842%, 08/15/2022 (3 Month LIBOR USD + 1.450%) (3) | 4,250,000 | 3,910,823 | ||||||||||
2.700%, 08/15/2022 | 17,650,000 | 16,431,267 | ||||||||||
2.700%, 02/15/2023 | 10,000,000 | 9,112,500 | ||||||||||
Owens Corning, | ||||||||||||
4.200%, 12/15/2022 | 924,000 | 966,249 | ||||||||||
Panasonic Corp., | ||||||||||||
2.536%, 07/19/2022 (1)(2) | 15,000,000 | 15,432,692 | ||||||||||
PayPal Holdings, Inc., | ||||||||||||
1.350%, 06/01/2023 | 6,400,000 | 6,524,882 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
3.650%, 07/29/2021 (2) | 5,000,000 | 5,117,664 | ||||||||||
4.250%, 01/17/2023 (2) | 10,000,000 | 10,637,150 | ||||||||||
2.700%, 03/14/2023 (2) | 1,500,000 | 1,535,181 | ||||||||||
Pernod Ricard SA, | ||||||||||||
5.750%, 04/07/2021 (1)(2) | 2,892,000 | 3,004,094 | ||||||||||
Perrigo Finance Unlimited Co.: | ||||||||||||
3.500%, 03/15/2021 (1) | 3,349,000 | 3,352,274 | ||||||||||
3.500%, 12/15/2021 (1) | 7,355,000 | 7,334,617 | ||||||||||
Phillips 66, | ||||||||||||
3.700%, 04/06/2023 | 9,800,000 | 10,476,124 | ||||||||||
POSCO, | ||||||||||||
2.375%, 01/17/2023 (1)(2) | 35,000,000 | 35,582,050 | ||||||||||
Ralph Lauren Corp., | ||||||||||||
1.700%, 06/15/2022 | 3,000,000 | 3,049,685 | ||||||||||
Reckitt Benckiser Treasury Services PLC: | ||||||||||||
0.857%, 06/24/2022 (3 Month LIBOR USD + 0.560%) (1)(2)(3) | 2,000,000 | 1,996,943 | ||||||||||
2.375%, 06/24/2022 (1)(2) | 30,000,000 | 30,908,700 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.000%, 10/01/2022 | 1,430,000 | 1,522,353 | ||||||||||
Reliance Holding USA, Inc.: | ||||||||||||
4.500%, 10/19/2020 (2) | 17,178,000 | 17,311,130 | ||||||||||
5.400%, 02/14/2022 (2) | 5,000,000 | 5,266,857 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020 (1)(2) | 5,000,000 | 4,989,651 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.125%, 11/15/2022 | 10,000,000 | 10,473,388 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020 (1) | 5,000,000 | 4,850,961 | ||||||||||
RPM International, Inc., | ||||||||||||
3.450%, 11/15/2022 | 2,508,000 | 2,588,590 | ||||||||||
Ryder System, Inc.: | ||||||||||||
3.500%, 06/01/2021 | 6,700,000 | 6,845,507 | ||||||||||
2.875%, 06/01/2022 | 5,000,000 | 5,173,669 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.625%, 04/15/2023 | 15,800,000 | 17,279,963 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 8,824,000 | 9,259,695 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.750%, 06/01/2023 (1) | 12,400,000 | 13,077,286 | ||||||||||
Shell International Finance BV, | ||||||||||||
3.500%, 11/13/2023 (1) | 5,000,000 | 5,439,601 | ||||||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||||||
2.400%, 09/23/2021 (1) | 19,530,000 | 19,910,394 | ||||||||||
2.875%, 09/23/2023 (1) | 2,145,000 | 2,273,319 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 17,740,000 | 17,544,166 | ||||||||||
3.350%, 02/01/2022 (2) | 4,023,000 | 3,991,966 | ||||||||||
Smiths Group PLC, | ||||||||||||
3.625%, 10/12/2022 (1)(2) | 8,200,000 | 8,467,055 | ||||||||||
Sociedad Quimica y Minera de Chile SA, | ||||||||||||
3.625%, 04/03/2023 (1)(2) | 3,000,000 | 3,094,500 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 855,000 | 879,613 | ||||||||||
Spirit AeroSystems, Inc.: | ||||||||||||
1.113%, 06/15/2021 (3 Month LIBOR USD + 0.800%) (3) | 9,625,000 | 8,964,111 | ||||||||||
3.950%, 06/15/2023 | 3,515,000 | 2,970,175 | ||||||||||
SSM Health Care Corp., | ||||||||||||
3.688%, 06/01/2023 | 16,500,000 | 17,716,545 | ||||||||||
Starbucks Corp., | ||||||||||||
1.300%, 05/07/2022 | 5,000,000 | 5,071,138 | ||||||||||
Suncor Energy, Inc., | ||||||||||||
2.800%, 05/15/2023 (1) | 10,000,000 | 10,444,240 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 25,600,000 | 26,325,396 | ||||||||||
Takeda Pharmaceutical Co. Ltd., | ||||||||||||
2.450%, 01/18/2022 (1)(2) | 13,000,000 | 13,280,163 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.462%, 02/16/2021 (1) | 12,577,000 | 12,948,181 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, | ||||||||||||
2.200%, 07/21/2021 (1) | 15,654,000 | 15,335,285 | ||||||||||
Texas Gas Transmission LLC, | ||||||||||||
4.500%, 02/01/2021 (2) | 6,286,000 | 6,339,975 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
4.000%, 09/01/2021 | 9,706,000 | 9,964,281 | ||||||||||
Toll Road Investors Partnership II LP, | ||||||||||||
0.000%, 02/15/2022 (2) | 26,200,000 | 24,849,693 | ||||||||||
Toyota Motor Credit Corp., | ||||||||||||
2.900%, 03/30/2023 | 23,175,000 | 24,534,176 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 1,025,000 | 1,068,299 | ||||||||||
TTX Co., | ||||||||||||
4.400%, 05/01/2021 (2) | 2,100,000 | 2,148,979 | ||||||||||
Valero Energy Corp., | ||||||||||||
2.700%, 04/15/2023 | 19,400,000 | 20,128,021 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 9,011,000 | 9,390,829 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 31,030,000 | 32,363,230 | ||||||||||
VF Corp., | ||||||||||||
2.050%, 04/23/2022 | 32,900,000 | 33,692,736 | ||||||||||
Vodafone Group PLC, | ||||||||||||
2.166%, 01/16/2024 (3 Month LIBOR USD + 0.990%) (1)(3) | 15,000,000 | 14,932,822 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 24,700,000 | 25,712,769 | ||||||||||
3.125%, 05/12/2023 (2) | 7,000,000 | 7,362,158 | ||||||||||
Vulcan Materials Co., | ||||||||||||
1.000%, 03/01/2021 (3 Month LIBOR USD + 0.650%) (3) | 16,433,000 | 16,344,755 | ||||||||||
WestRock RKT LLC, | ||||||||||||
4.900%, 03/01/2022 | 4,100,000 | 4,362,700 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 3,065,000 | 3,294,786 | ||||||||||
3.600%, 03/15/2022 | 4,750,000 | 4,936,247 | ||||||||||
3.350%, 08/15/2022 | 235,000 | 244,433 | ||||||||||
3.700%, 01/15/2023 | 12,537,000 | 13,254,877 | ||||||||||
4.300%, 03/04/2024 | 15,000,000 | 16,307,666 | ||||||||||
Zimmer Biomet Holdings, Inc.: | ||||||||||||
1.066%, 03/19/2021 (3 Month LIBOR USD + 0.750%) (3) | 695,000 | 694,879 | ||||||||||
3.700%, 03/19/2023 | 6,307,000 | 6,701,830 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 2,690,000 | 2,790,283 | ||||||||||
Zoetis, Inc., | ||||||||||||
3.250%, 02/01/2023 | 13,085,000 | 13,810,212 | ||||||||||
Total Industrials (Cost $2,390,957,452) | 2,443,160,477 | 32.5 | % | |||||||||
Utilities | ||||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 9,979,000 | 10,492,429 | ||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023 (2) | 30,000,000 | 30,957,925 | ||||||||||
EDP Finance BV, | ||||||||||||
5.250%, 01/14/2021 (1)(2) | 2,840,000 | 2,898,106 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 28,583,000 | 29,564,760 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 1,100,000 | 1,196,396 | ||||||||||
Exelon Corp., | ||||||||||||
2.450%, 04/15/2021 | 955,000 | 968,154 | ||||||||||
ITC Holdings Corp., | ||||||||||||
4.050%, 07/01/2023 | 8,000,000 | 8,560,640 | ||||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||||||
2.403%, 09/01/2021 | 6,775,000 | 6,928,040 | ||||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022 (2) | 3,959,835 | 4,176,864 | ||||||||||
Sempra Energy, | ||||||||||||
1.719%, 01/15/2021 (3 Month LIBOR USD + 0.500%) (3) | 1,460,000 | 1,460,250 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 1,750,000 | 1,759,944 | ||||||||||
Total Utilities (Cost $96,547,571) | 98,963,508 | 1.3 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
3.400%, 08/27/2021 (1)(2) | 15,250,000 | 15,747,547 | ||||||||||
AerCap Holdings NV: | ||||||||||||
4.450%, 12/16/2021 (1) | 25,000,000 | 25,248,338 | ||||||||||
3.300%, 01/23/2023 (1) | 8,000,000 | 7,855,928 | ||||||||||
Aetna, Inc., | ||||||||||||
2.800%, 06/15/2023 | 2,000,000 | 2,108,463 | ||||||||||
AIG Global Funding, | ||||||||||||
2.300%, 07/01/2022 (2) | 8,775,000 | 9,039,338 | ||||||||||
Air Lease Corp.: | ||||||||||||
3.875%, 04/01/2021 | 6,885,000 | 6,924,629 | ||||||||||
3.375%, 06/01/2021 | 3,000,000 | 3,011,934 | ||||||||||
2.625%, 07/01/2022 | 1,609,000 | 1,595,253 | ||||||||||
2.750%, 01/15/2023 | 21,150,000 | 20,957,024 | ||||||||||
Ally Financial, Inc., | ||||||||||||
4.625%, 05/19/2022 | 16,661,000 | 17,338,631 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
3.000%, 03/22/2022 | 6,300,000 | 6,555,752 | ||||||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||||||
2.125%, 07/28/2021 (1)(2) | 2,388,000 | 2,430,301 | ||||||||||
Assurant, Inc., | ||||||||||||
1.534%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 1,276,000 | 1,275,999 | ||||||||||
Bank of America Corp.: | ||||||||||||
3.499%, 05/17/2022 (3 Month LIBOR USD + 0.630%) (3) | 5,000,000 | 5,121,650 | ||||||||||
2.816%, 07/21/2023 (3 Month LIBOR USD + 0.930%) (3) | 10,000,000 | 10,386,885 | ||||||||||
3.550%, 03/05/2024 (3 Month LIBOR USD + 0.780%) (3) | 5,000,000 | 5,344,811 | ||||||||||
3.864%, 07/23/2024 (3 Month LIBOR USD + 0.940%) (3) | 5,275,000 | 5,716,313 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
1.625%, 05/01/2023 (1) | 30,000,000 | 30,708,282 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.700%, 07/20/2022 (1)(2) | 3,000,000 | 3,118,715 | ||||||||||
2.125%, 11/21/2022 (1)(2) | 18,000,000 | 18,559,004 | ||||||||||
Barclays Bank PLC: | ||||||||||||
5.140%, 10/14/2020 (1) | 5,606,000 | 5,667,158 | ||||||||||
10.180%, 06/12/2021 (1)(2) | 7,179,000 | 7,763,334 | ||||||||||
1.700%, 05/12/2022 (1) | 5,000,000 | 5,089,797 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 10,950,000 | 11,092,350 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 7,000,000 | 7,370,370 | ||||||||||
BBVA USA: | ||||||||||||
3.500%, 06/11/2021 | 16,200,000 | 16,552,125 | ||||||||||
2.875%, 06/29/2022 | 18,861,000 | 19,295,057 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.950%, 05/23/2022 (1)(2) | 23,125,000 | 23,936,403 | ||||||||||
3.500%, 03/01/2023 (1)(2) | 10,794,000 | 11,425,153 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.900%, 02/21/2022 (1)(2) | 1,950,000 | 2,019,306 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 15,305,000 | 16,322,561 | ||||||||||
BPCE SA: | ||||||||||||
3.000%, 05/22/2022 (1)(2) | 32,127,000 | 33,218,508 | ||||||||||
5.700%, 10/22/2023 (1)(2) | 2,323,000 | 2,588,621 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 16,000,000 | 17,856,045 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
2.606%, 07/22/2023 (3 Month LIBOR USD + 0.785%) (1)(3) | 36,050,000 | 37,262,476 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 34,182,000 | 35,984,756 | ||||||||||
Citigroup, Inc., | ||||||||||||
1.678%, 05/15/2024 (SOFR + 1.667%) (3) | 25,000,000 | 25,498,055 | ||||||||||
Citizens Bank NA, | ||||||||||||
3.250%, 02/14/2022 | 3,000,000 | 3,106,817 | ||||||||||
CNA Financial Corp., | ||||||||||||
5.750%, 08/15/2021 | 6,000,000 | 6,323,516 | ||||||||||
Cooperatieve Rabobank UA, | ||||||||||||
3.950%, 11/09/2022 (1) | 37,273,000 | 39,435,591 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 19,895,000 | 20,591,122 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 3,380,000 | 3,617,066 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 11,400,000 | 11,825,354 | ||||||||||
2.997%, 12/14/2023 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 18,000,000 | 18,735,035 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 09/15/2022 (1) | 4,650,000 | 4,940,472 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 9,750,000 | 10,054,545 | ||||||||||
DBS Group Holdings Ltd., | ||||||||||||
2.850%, 04/16/2022 (1)(2) | 10,000,000 | 10,354,658 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 4,575,000 | 4,578,793 | ||||||||||
3.125%, 01/13/2021 (1) | 5,515,000 | 5,542,199 | ||||||||||
3.150%, 01/22/2021 (1) | 7,400,000 | 7,434,690 | ||||||||||
4.250%, 10/14/2021 (1) | 5,400,000 | 5,540,466 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,438,316 | ||||||||||
Discover Bank: | ||||||||||||
3.350%, 02/06/2023 | 7,964,000 | 8,401,032 | ||||||||||
4.200%, 08/08/2023 | 17,405,000 | 19,005,612 | ||||||||||
Discover Financial Services, | ||||||||||||
5.200%, 04/27/2022 | 10,443,000 | 11,146,904 | ||||||||||
F.N.B. Corporation, | ||||||||||||
2.200%, 02/24/2023 | 16,075,000 | 15,981,279 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
1.625%, 05/05/2023 | 15,000,000 | 15,385,604 | ||||||||||
First Horizon National Corp.: | ||||||||||||
3.500%, 12/15/2020 | 11,148,000 | 11,234,998 | ||||||||||
3.550%, 05/26/2023 | 30,000,000 | 30,898,094 | ||||||||||
GATX Corp., | ||||||||||||
4.350%, 02/15/2024 | 2,650,000 | 2,887,268 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,096,819 | ||||||||||
2.876%, 10/31/2022 (3 Month LIBOR USD + 0.821%) (3) | 12,000,000 | 12,302,613 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 8,280,000 | 8,583,327 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 14,200,000 | 14,752,497 | ||||||||||
HSBC Holdings PLC, | ||||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 28,200,000 | 29,214,025 | ||||||||||
Huntington National Bank, | ||||||||||||
3.250%, 05/14/2021 | 5,000,000 | 5,111,268 | ||||||||||
ING Bank NV: | ||||||||||||
5.000%, 06/09/2021 (1)(2) | 7,250,000 | 7,558,628 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 2,724,000 | 3,057,534 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 3,700,000 | 3,846,554 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 9,377,000 | 9,893,157 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 10,291,000 | 10,736,862 | ||||||||||
5.125%, 01/20/2023 | 8,900,000 | 9,658,462 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 10,550,000 | 10,572,050 | ||||||||||
3.514%, 06/18/2022 (3 Month LIBOR USD + 0.610%) (3) | 23,010,000 | 23,631,623 | ||||||||||
KeyBank NA, | ||||||||||||
3.180%, 05/22/2022 | 25,343,000 | 26,274,120 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 210,000 | 214,728 | ||||||||||
Lexington Realty Trust, | ||||||||||||
4.250%, 06/15/2023 | 6,903,000 | 6,986,091 | ||||||||||
Liberty Mutual Group, Inc., | ||||||||||||
4.950%, 05/01/2022 (2) | 3,000,000 | 3,186,614 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
6.500%, 09/14/2020 (1)(2) | 1,543,000 | 1,558,184 | ||||||||||
3.000%, 01/11/2022 (1) | 10,000,000 | 10,339,886 | ||||||||||
1.326%, 06/15/2023 (1 Year CMT Rate + 1.100%) (1)(3) | 9,400,000 | 9,454,715 | ||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 21,704,000 | 22,586,503 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 1,965,000 | 2,047,694 | ||||||||||
2.100%, 10/17/2022 (1)(2) | 17,600,000 | 18,082,737 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 4,000,000 | 4,155,529 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
1.399%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 282,000 | 282,081 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
2.750%, 01/30/2022 | 7,010,000 | 7,238,702 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 8,279,000 | 8,425,084 | ||||||||||
2.623%, 07/18/2022 (1) | 10,000,000 | 10,386,788 | ||||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd.: | ||||||||||||
3.406%, 02/28/2022 (1)(2) | 5,200,000 | 5,361,667 | ||||||||||
2.652%, 09/19/2022 (1)(2) | 3,000,000 | 3,078,691 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
1.746%, 04/12/2021 (3 Month LIBOR USD + 1.480%) (1)(2)(3) | 3,000,000 | 3,025,884 | ||||||||||
2.632%, 04/12/2021 (1)(2) | 12,750,000 | 12,959,818 | ||||||||||
2.273%, 09/13/2021 (1) | 8,530,000 | 8,700,679 | ||||||||||
2.953%, 02/28/2022 (1) | 8,700,000 | 9,022,370 | ||||||||||
Morgan Stanley, | ||||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 34,242,000 | 36,865,471 | ||||||||||
National Bank of Canada, | ||||||||||||
2.100%, 02/01/2023 (1) | 36,075,000 | 37,081,476 | ||||||||||
National Securities Clearing Corp., | ||||||||||||
1.200%, 04/23/2023 (2) | 27,000,000 | 27,390,627 | ||||||||||
Nationwide Building Society: | ||||||||||||
2.000%, 01/27/2023 (1)(2) | 4,980,000 | 5,128,930 | ||||||||||
3.622%, 04/26/2023 (3 Month LIBOR USD + 1.181%) (1)(2)(3) | 18,635,000 | 19,362,473 | ||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 9,670,000 | 10,189,104 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,797,000 | 1,848,135 | ||||||||||
New York Life Global Funding, | ||||||||||||
1.100%, 05/05/2023 (2) | 14,425,000 | 14,727,166 | ||||||||||
Nordea Bank AB: | ||||||||||||
4.875%, 05/13/2021 (1)(2) | 16,080,000 | 16,621,765 | ||||||||||
4.250%, 09/21/2022 (1)(2) | 14,785,000 | 15,693,115 | ||||||||||
3.750%, 08/30/2023 (1)(2) | 3,725,000 | 3,994,075 | ||||||||||
Park Aerospace Holdings Ltd., | ||||||||||||
4.500%, 03/15/2023 (1)(2) | 7,746,000 | 7,066,628 | ||||||||||
People's United Financial, Inc., | ||||||||||||
3.650%, 12/06/2022 | 6,329,000 | 6,575,668 | ||||||||||
Protective Life Global Funding, | ||||||||||||
1.082%, 06/09/2023 (2) | 15,900,000 | 16,027,716 | ||||||||||
Prudential Funding LLC, | ||||||||||||
6.750%, 09/15/2023 (2) | 8,492,000 | 9,898,775 | ||||||||||
Regions Bank, | ||||||||||||
3.374%, 08/13/2021 (3 Month LIBOR USD + 0.500%) (3) | 14,000,000 | 14,029,204 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.625%, 07/22/2022 (2) | 13,625,000 | 13,995,222 | ||||||||||
2.150%, 01/21/2023 (2) | 15,000,000 | 15,297,671 | ||||||||||
Royal Bank of Canada, | ||||||||||||
1.600%, 04/17/2023 (1) | 14,400,000 | 14,772,152 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 13,000,000 | 13,496,652 | ||||||||||
3.875%, 09/12/2023 (1) | 8,187,000 | 8,826,767 | ||||||||||
4.519%, 06/25/2024 (3 Month LIBOR USD + 1.550%) (1)(3) | 2,384,000 | 2,588,831 | ||||||||||
Royal Bank of Scotland PLC: | ||||||||||||
5.625%, 08/24/2020 (1) | 2,450,000 | 2,465,724 | ||||||||||
6.125%, 01/11/2021 (1) | 9,667,000 | 9,926,535 | ||||||||||
Santander Holdings USA, Inc.: | ||||||||||||
4.450%, 12/03/2021 | 7,500,000 | 7,816,223 | ||||||||||
3.400%, 01/18/2023 | 7,114,000 | 7,399,896 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 1,030,000 | 1,037,131 | ||||||||||
3.125%, 01/08/2021 (1) | 3,500,000 | 3,543,124 | ||||||||||
2.875%, 08/05/2021 (1) | 2,970,000 | 3,034,901 | ||||||||||
3.571%, 01/10/2023 (1) | 2,500,000 | 2,594,694 | ||||||||||
3.373%, 01/05/2024 (3 Month LIBOR USD + 1.080%) (1)(3) | 10,000,000 | 10,485,912 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.200%, 12/12/2022 (1)(2) | 17,825,000 | 18,470,587 | ||||||||||
SMBC Aviation Capital Finance DAC: | ||||||||||||
2.650%, 07/15/2021 (1)(2) | 1,950,000 | 1,958,204 | ||||||||||
4.125%, 07/15/2023 (1)(2) | 1,960,000 | 2,034,202 | ||||||||||
Societe Generale SA, | ||||||||||||
4.250%, 09/14/2023 (1)(2) | 8,500,000 | 9,150,772 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 17,471,000 | 17,679,739 | ||||||||||
2.744%, 09/10/2022 (3 Month LIBOR USD + 1.200%) (1)(2)(3) | 10,000,000 | 10,115,474 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 5,486,000 | 5,695,017 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 3,450,000 | 3,634,624 | ||||||||||
State Street Corp., | ||||||||||||
2.825%, 03/30/2023 (SOFR + 2.690%) (2)(3) | 13,175,000 | 13,670,284 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,498,000 | 27,634,003 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
3.525%, 10/26/2021 (3 Month LIBOR USD + 0.500%) (3) | 15,015,000 | 15,156,706 | ||||||||||
2.800%, 05/17/2022 | 18,000,000 | 18,732,242 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 8,839,000 | 9,037,642 | ||||||||||
2.850%, 07/25/2022 | 25,219,000 | 25,649,848 | ||||||||||
Synovus Bank, | ||||||||||||
2.289%, 02/10/2023 (SOFR + 0.945%) (3) | 7,000,000 | 7,086,849 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
3.500%, 09/15/2021 (1) | 18,183,000 | 18,628,508 | ||||||||||
UBS AG, | ||||||||||||
1.750%, 04/21/2022 (1)(2) | 15,000,000 | 15,286,809 | ||||||||||
UBS Group Funding Jersey Ltd., | ||||||||||||
3.000%, 04/15/2021 (1)(2) | 3,000,000 | 3,059,260 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 9,471,000 | 9,753,160 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 7,200,000 | 7,457,470 | ||||||||||
USAA Capital Corp., | ||||||||||||
1.500%, 05/01/2023 (2) | 6,000,000 | 6,155,881 | ||||||||||
WEA Finance LLC, | ||||||||||||
3.150%, 04/05/2022 (2) | 12,750,000 | 12,936,128 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.069%, 01/24/2023 | 4,650,000 | 4,818,389 | ||||||||||
3.750%, 01/24/2024 | 9,840,000 | 10,751,659 | ||||||||||
1.654%, 06/02/2024 (SOFR + 1.600%) (3) | 15,000,000 | 15,237,165 | ||||||||||
Wells Fargo Bank NA, | ||||||||||||
3.325%, 07/23/2021 (3 Month LIBOR USD + 0.490%) (3) | 15,000,000 | 15,024,423 | ||||||||||
Willis North America, Inc., | ||||||||||||
3.600%, 05/15/2024 | 2,600,000 | 2,813,947 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,585,000 | 14,018,927 | ||||||||||
Zions Bancorp NA: | ||||||||||||
3.500%, 08/27/2021 | 11,700,000 | 11,946,804 | ||||||||||
3.350%, 03/04/2022 | 20,000,000 | 20,438,013 | ||||||||||
Total Financials (Cost $1,752,426,539) | 1,796,644,786 | 23.9 | % | |||||||||
Total Corporate Bonds (Cost $4,239,931,562) | 4,338,768,771 | 57.7 | % | |||||||||
Municipal Bonds | ||||||||||||
Bartow County Development Authority, | ||||||||||||
1.550%, 08/01/2043 | 10,000,000 | 10,012,800 | ||||||||||
Bloomington Redevelopment District, | ||||||||||||
2.400%, 08/01/2024 | 880,000 | 888,131 | ||||||||||
Brazos Higher Education Authority, Inc.: | ||||||||||||
2.378%, 04/01/2021 | 675,000 | 680,225 | ||||||||||
2.427%, 04/01/2022 | 1,320,000 | 1,344,433 | ||||||||||
Bucks County Industrial Development Authority, | ||||||||||||
2.750%, 12/01/2022 | 5,000,000 | 5,171,700 | ||||||||||
Burke County Development Authority, | ||||||||||||
1.550%, 12/01/2049 | 6,730,000 | 6,738,614 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
1.980%, 08/15/2042 | 8,000,000 | 8,031,680 | ||||||||||
Chandler Industrial Development Authority, | ||||||||||||
5.000%, 06/01/2049 | 2,000,000 | 2,303,300 | ||||||||||
City of Ontario CA: | ||||||||||||
2.071%, 06/01/2022 | 1,095,000 | 1,110,001 | ||||||||||
2.216%, 06/01/2023 | 1,300,000 | 1,328,782 | ||||||||||
City of Pittsburg CA, | ||||||||||||
5.864%, 07/01/2021 | 1,060,000 | 1,083,066 | ||||||||||
Coconino County Pollution Control Corp., | ||||||||||||
1.875%, 09/01/2032 | 3,000,000 | 3,022,200 | ||||||||||
County of Riverside CA: | ||||||||||||
2.265%, 02/15/2022 | 5,000,000 | 5,056,900 | ||||||||||
2.363%, 02/15/2023 | 5,000,000 | 5,096,300 | ||||||||||
County of Sacramento CA: | ||||||||||||
7.680%, 08/15/2021 (7) | 30,135,000 | 30,681,348 | ||||||||||
7.680%, 08/15/2021 (7) | 3,650,000 | 3,716,174 | ||||||||||
County of Saline AR, | ||||||||||||
3.550%, 06/01/2042 (Callable 06/01/2024) | 1,890,000 | 1,967,698 | ||||||||||
Florida Development Finance Corp.: | ||||||||||||
1.795%, 04/01/2022 | 1,000,000 | 1,000,060 | ||||||||||
1.976%, 04/01/2023 | 1,255,000 | 1,255,452 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
2.880%, 04/01/2021 | 1,685,000 | 1,703,164 | ||||||||||
Great Lakes Water Authority: | ||||||||||||
1.684%, 07/01/2022 | 250,000 | 255,350 | ||||||||||
1.879%, 07/01/2023 | 500,000 | 517,610 | ||||||||||
1.984%, 07/01/2024 | 500,000 | 522,810 | ||||||||||
Housing & Redevelopment Authority of The City of St. Paul, | ||||||||||||
3.539%, 07/01/2023 | 5,000,000 | 5,270,600 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.000%, 02/01/2034 (Callable 08/01/2025) | 4,660,000 | 4,811,916 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/31/2020) | 155,000 | 155,104 | ||||||||||
Massachusetts Educational Financing Authority: | ||||||||||||
5.000%, 01/01/2023 | 9,000,000 | 9,708,570 | ||||||||||
5.000%, 01/01/2024 | 26,990,000 | 29,880,089 | ||||||||||
Memphis-Shelby County Industrial Development Board, | ||||||||||||
2.222%, 11/01/2020 | 5,990,000 | 6,012,882 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 09/01/2022 | 10,000,000 | 10,508,000 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 4,220,000 | 4,335,797 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 02/15/2021 | 1,440,000 | 1,429,848 | ||||||||||
2.609%, 06/15/2022 | 500,000 | 491,620 | ||||||||||
2.781%, 06/15/2023 | 2,085,000 | 2,040,485 | ||||||||||
New Jersey Higher Education Student Assistance Authority: | ||||||||||||
5.000%, 12/01/2022 | 1,200,000 | 1,284,996 | ||||||||||
5.000%, 12/01/2022 | 1,300,000 | 1,388,582 | ||||||||||
5.000%, 12/01/2023 | 1,500,000 | 1,645,755 | ||||||||||
5.000%, 12/01/2023 | 2,375,000 | 2,595,899 | ||||||||||
New Jersey Sports & Exposition Authority: | ||||||||||||
6.076%, 03/01/2023 | 1,395,000 | 1,507,060 | ||||||||||
5.976%, 03/01/2024 | 3,875,000 | 4,058,055 | ||||||||||
Niagara Area Development Corp., | ||||||||||||
2.643%, 05/01/2022 | 1,000,000 | 1,001,960 | ||||||||||
Philadelphia Authority for Industrial Development, | ||||||||||||
0.000%, 04/15/2022 | 6,022,000 | 5,750,348 | ||||||||||
Port of Seattle WA, | ||||||||||||
2.430%, 05/01/2022 | 1,000,000 | 1,009,260 | ||||||||||
Public Finance Authority, | ||||||||||||
3.750%, 02/01/2022 (Callable 07/21/2020) | 7,000,000 | 7,000,770 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 2,155,000 | 2,176,593 | ||||||||||
South Carolina Transportation Infrastructure Bank, | ||||||||||||
0.565%, 10/01/2031 (1 Month LIBOR USD + 0.450%)(Callable 10/01/2021) (3) | 12,000,000 | 11,846,280 | ||||||||||
State of Connecticut: | ||||||||||||
2.500%, 07/01/2022 | 3,000,000 | 3,093,930 | ||||||||||
2.000%, 07/01/2023 | 3,000,000 | 3,086,580 | ||||||||||
State Public School Building Authority, | ||||||||||||
2.615%, 04/01/2023 | 2,500,000 | 2,516,075 | ||||||||||
Tennessee Housing Development Agency, | ||||||||||||
4.000%, 07/01/2040 (Callable 07/01/2029) | 6,000,000 | 6,350,340 | ||||||||||
Total Municipal Bonds (Cost $223,368,924) | 224,445,192 | 3.0 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 0.335%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 775,462 | 771,524 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 0.635%, 10/25/2035 (1 Month LIBOR USD + 0.450%) (3) | 11,842,236 | 11,716,551 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2020 | 4,224 | 4,250 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 15,066 | 14,963 | ||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 71,994 | 74,374 | ||||||||||
Series 2004-8CB, Class A, 0.455%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 535,961 | 533,494 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 (6) | 53,598 | 52,992 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 540,597 | 396,384 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 0.525%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 2,417,533 | 2,406,603 | ||||||||||
Arroyo Mortgage Trust: | ||||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 10,743,967 | 10,977,134 | ||||||||||
Series 2020-1, Class A1A, 1.662%, 03/25/2055 (2) | 15,000,000 | 15,002,280 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1, 0.400%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 3,586,391 | 3,557,716 | ||||||||||
Carrington Mortgage Loan Trust, | ||||||||||||
Series 2007-HE1, Class A2, 0.335%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 1,819,169 | 1,813,081 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-2, Class 2A3, 0.485%, 06/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 2,553,336 | 2,547,470 | ||||||||||
Series 2006-13, Class 1AF3, 5.944%, 01/25/2037 (4) | 51,551 | 51,445 | ||||||||||
CSMC Trust, | ||||||||||||
Series 2019-RPL1, Class A1A, 3.650%, 07/25/2058 (2)(4) | 41,882,126 | 44,595,593 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 444,897 | 422,380 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2005-6, Class A3, 0.555%, 06/25/2035 (1 Month LIBOR USD + 0.370%) (3) | 51,361 | 51,318 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE7, Class A2D, 0.415%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 6,284,134 | 6,131,046 | ||||||||||
J.P. Morgan Mortgage Trust, | ||||||||||||
Series 2005-A4, Class 1A1, 3.192%, 07/25/2035 (4) | 288,410 | 289,186 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2003-9, Class 3A1, 4.750%, 07/25/2020 | 69 | 69 | ||||||||||
Series 2003-5, Class 7A1, 5.000%, 10/01/2031 | 41,889 | 30,064 | ||||||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 2,502,349 | 2,591,571 | ||||||||||
Mill City Mortgage Loan Trust, | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 1,871,691 | 1,948,075 | ||||||||||
Morgan Stanley, | ||||||||||||
Series 2005-HE5, Class M2, 0.830%, 09/25/2035 (1 Month LIBOR USD + 0.645%) (3) | 6,844,395 | 6,759,636 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 0.415%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 493,704 | 493,491 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-B, Class M2, 0.845%, 08/25/2035 (1 Month LIBOR USD + 0.660%) (3) | 239,074 | 238,972 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-KS11, Class M1, 0.585%, 12/25/2035 (1 Month LIBOR USD + 0.400%) (3) | 956,446 | 956,435 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,914,212 | 585,693 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-2, Class A3C, 0.335%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 364,531 | 362,088 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2006-OPT2, Class A3, 0.365%, 05/25/2036 (1 Month LIBOR USD + 0.180%) (3) | 796,492 | 794,958 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 1.185%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 898,457 | 897,042 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034 (7) | 35,801 | 36,584 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.860%, 10/25/2043 (4) | 3,389,585 | 3,272,358 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055 (2)(4) | 703,394 | 708,854 | ||||||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055 (2)(4) | 1,514,734 | 1,533,400 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 23,464,881 | 23,866,093 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 20,583,069 | 21,060,806 | ||||||||||
Series 2017-5, Class A1, 0.785%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 7,392,846 | 7,326,435 | ||||||||||
Series 2017-2, Class A1, 2.750%, 04/25/2057 (2)(4) | 5,557,003 | 5,654,692 | ||||||||||
Series 2017-3, Class A1, 2.750%, 06/25/2057 (2)(4) | 15,860,698 | 16,239,143 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 18,340,241 | 18,997,722 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 10,514,707 | 11,060,688 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||||
Series 2004-AR3, Class A1, 3.665%, 06/25/2034 (4) | 2,844,749 | 2,748,767 | ||||||||||
Total Residential Mortgage-Backed Securities (Cost $226,949,763) | 229,573,420 | 3.0 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issue | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, | ||||||||||||
Series K014, Class A2, 3.871%, 04/25/2021 | 9,914,873 | 10,064,821 | ||||||||||
Total U.S. Government Agency Issue (Cost $9,921,193) | 10,064,821 | 0.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 8,466,000 | 8,800,774 | ||||||||||
Series 2014-GC19, Class AAB, 3.552%, 03/12/2047 | 3,298,052 | 3,416,656 | ||||||||||
Series 2014-GC23, Class AAB, 3.337%, 07/12/2047 | 11,905,220 | 12,375,279 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/17/2045 | 10,077,131 | 10,203,634 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 7,890,000 | 8,111,813 | ||||||||||
Series 2013-LC6, Class ASB, 2.478%, 01/12/2046 | 6,920,604 | 7,004,322 | ||||||||||
Series 2014-LC15, Class ASB, 3.528%, 04/12/2047 | 10,748,896 | 11,120,726 | ||||||||||
Series 2014-CR16, Class ASB, 3.653%, 04/12/2047 | 10,088,976 | 10,433,499 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 12,752,000 | 12,881,850 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 23,247,021 | 23,635,132 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/17/2045 | 10,107,832 | 10,239,607 | ||||||||||
Series 2012-C8, Class A3, 2.829%, 10/17/2045 | 10,018,546 | 10,294,356 | ||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 12,580,000 | 13,031,769 | ||||||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 967,551 | 979,123 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C14, Class ASB, 3.761%, 08/17/2046 (4) | 11,878,508 | 12,292,564 | ||||||||||
Series 2013-C14, Class A4, 4.133%, 08/17/2046 (4) | 10,625,000 | 11,401,544 | ||||||||||
Series 2015-C31, Class ASB, 3.540%, 08/17/2048 | 9,628,985 | 10,161,171 | ||||||||||
Series 2015-C33, Class ASB, 3.562%, 12/17/2048 | 4,175,000 | 4,425,206 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C9, Class AAB, 2.657%, 05/17/2046 | 14,792,324 | 15,014,039 | ||||||||||
Series 2015-C25, Class ASB, 3.383%, 10/19/2048 | 12,751,000 | 13,402,373 | ||||||||||
Series 2013-C8, Class ASB, 2.699%, 12/17/2048 | 8,676,540 | 8,777,985 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2014-LC16, Class ASB, 3.477%, 08/17/2050 | 11,540,827 | 11,960,995 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2013-C11, Class A5, 3.071%, 03/17/2045 | 4,000,000 | 4,134,102 | ||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,411,320 | 8,547,394 | ||||||||||
Series 2013-C14, Class ASB, 2.977%, 06/15/2046 | 16,992,087 | 17,304,084 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 1,018,920 | 1,066,868 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $259,283,731) | 261,016,865 | 3.5 | % | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $269,204,924) | 271,081,686 | 3.6 | % | |||||||||
Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust: | ||||||||||||
Series 2019-2, Class A, 2.670%, 11/15/2024 | 7,130,000 | 7,422,953 | ||||||||||
Series 2019-3, Class A, 2.000%, 04/15/2025 | 35,602,000 | 36,857,256 | ||||||||||
Bank of The West Auto Trust: | ||||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023 (2) | 3,530,160 | 3,556,382 | ||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 13,005,000 | 13,326,131 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2019-A2, Class A2, 1.720%, 08/15/2024 | 2,000,000 | 2,055,623 | ||||||||||
Carmax Auto Owner Trust, | ||||||||||||
Series 2018-4, Class A3, 3.360%, 09/15/2023 | 11,300,000 | 11,650,884 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2018-1A, Class A1, 3.040%, 04/15/2030 (2) | 5,785,728 | 5,912,463 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 38,949 | 39,747 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 27,550,000 | 28,075,486 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2019-A3, Class A, 1.890%, 10/15/2024 | 2,700,000 | 2,790,072 | ||||||||||
Fifth Third Auto Trust, | ||||||||||||
Series 2019-1, Class A3, 2.640%, 12/15/2023 | 39,895,000 | 40,922,935 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2020-A, Class A3, 1.040%, 08/15/2024 | 11,000,000 | 11,113,620 | ||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028 (2) | 24,017,000 | 24,689,539 | ||||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2020-2, Class A3, 0.800%, 07/20/2023 | 9,500,000 | 9,514,736 | ||||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2020-A, Class A3, 1.950%, 07/15/2023 (2) | 23,600,000 | 24,112,219 | ||||||||||
Kookmin Bank, | ||||||||||||
2.125%, 10/21/2021 (1)(2) | 3,400,000 | 3,412,852 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2018-B, Class A, 2.890%, 02/15/2023 (2) | 11,725,000 | 11,861,155 | ||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 13,015,000 | 13,226,142 | ||||||||||
Series 2018-F, Class A, 3.520%, 10/16/2023 (2) | 6,210,000 | 6,399,416 | ||||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024 (2) | 7,475,000 | 7,702,600 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 1,413,003 | 1,421,324 | ||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 926,962 | 935,843 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 26,950,000 | 27,918,653 | ||||||||||
Synchrony Card Issuance Trust, | ||||||||||||
Series 2018-A1, Class A, 3.380%, 09/15/2024 | 33,970,000 | 34,976,980 | ||||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1A, Class A4, 2.030%, 02/15/2022 (2) | 1,982,016 | 1,983,793 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-B, Class A, 3.710%, 08/20/2021 (2) | 4,343,938 | 4,406,562 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2019-MH1, Class A1, 3.000%, 11/25/2058 (2)(4) | 12,936,643 | 13,180,746 | ||||||||||
Series 2020-MH1, Class A1A, 2.184%, 02/25/2060 (2)(4) | 21,567,113 | 21,840,677 | ||||||||||
Series 2020-MH1, Class A1, 2.250%, 02/25/2060 (2)(4) | 6,500,314 | 6,592,755 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 24,450,000 | 25,093,874 | ||||||||||
Volkswagen Auto Lease Trust, | ||||||||||||
Series 2019-A, Class A3, 1.990%, 11/21/2022 | 8,868,000 | 9,018,016 | ||||||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||||||
Series 2020-1, Class A3, 0.980%, 11/20/2024 | 19,375,000 | 19,564,701 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 16,710,000 | 16,865,319 | ||||||||||
Series 2019-A, Class A, 3.140%, 12/15/2025 | 7,900,000 | 8,149,295 | ||||||||||
Total Asset Backed Securities (Cost $446,143,715) | 456,590,749 | 6.1 | % | |||||||||
Total Long-Term Investments (Cost $7,265,979,568) | 7,401,113,665 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 0.11% (5) | 127,341,325 | 127,341,325 | ||||||||||
Total Short-Term Investment (Cost $127,341,325) | 127,341,325 | 1.7 | % | |||||||||
Total Investments (Cost $7,393,320,893) | 7,528,454,990 | 100.0 | % | |||||||||
Liabilities in Excess of Other Assets | (3,432,869 | ) | (0.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 7,525,022,121 | 100.0 | % |
Notes to Schedule of Investments | |||
CMT - Constant Maturity Treasury | |||
LIBOR - London Inter-bank Offered Rate | |||
SOFR - Secured Overnight Financing Rate | |||
(1) | Foreign security. | ||
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $2,019,496,482, which represents 26.84% of total net assets. | ||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. | ||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. | ||
(5) | Seven-day yield. | ||
(6) | Security that, on the last payment date, missed a partial principal or interest payment. | ||
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
Baird Intermediate Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 184,950,000 | $ | 190,036,125 | ||||||||
1.875%, 03/31/2022 | 356,525,000 | 367,095,410 | ||||||||||
0.500%, 03/15/2023 | 12,100,000 | 12,205,402 | ||||||||||
2.500%, 05/15/2024 | 376,775,000 | 409,934,143 | ||||||||||
2.250%, 11/15/2025 | 311,925,000 | 343,641,437 | ||||||||||
2.000%, 11/15/2026 | 19,425,000 | 21,329,561 | ||||||||||
2.250%, 11/15/2027 | 190,800,000 | 214,888,500 | ||||||||||
3.125%, 11/15/2028 | 90,500,000 | 109,416,621 | ||||||||||
1.625%, 08/15/2029 | 87,025,000 | 94,955,833 | ||||||||||
1.500%, 02/15/2030 | 3,975,000 | 4,297,037 | ||||||||||
Total U.S. Treasury Securities (Cost $1,682,402,731) | 1,767,800,069 | 36.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,000,000 | 2,086,440 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 5,150,000 | 5,669,946 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
2.750%, 05/03/2021 (1)(2) | 5,300,000 | 5,363,812 | ||||||||||
Total Other Government Related Securities (Cost $12,361,545) | 13,120,198 | 0.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 4,853,000 | 5,285,439 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.050%, 09/22/2026 | 1,495,000 | 1,638,026 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022 (1)(2) | 7,730,000 | 7,912,915 | ||||||||||
Allegion PLC, | ||||||||||||
3.500%, 10/01/2029 (1) | 1,020,000 | 1,069,469 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 4,523,000 | 4,718,488 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 4,005,000 | 4,241,988 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
3.650%, 02/01/2026 | 3,945,000 | 4,429,392 | ||||||||||
4.750%, 01/23/2029 | 835,000 | 1,008,925 | ||||||||||
ArcelorMittal, | ||||||||||||
4.550%, 03/11/2026 (1) | 4,015,000 | 4,068,899 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 8,030,000 | 8,986,846 | ||||||||||
3.600%, 07/15/2025 | 2,575,000 | 2,860,508 | ||||||||||
4.300%, 02/15/2030 | 9,604,000 | 11,255,397 | ||||||||||
2.750%, 06/01/2031 | 7,900,000 | 8,225,394 | ||||||||||
Baxter International, Inc., | ||||||||||||
3.750%, 10/01/2025 (2) | 5,150,000 | 5,867,556 | ||||||||||
Becton Dickinson and Co., | ||||||||||||
7.000%, 08/01/2027 | 1,900,000 | 2,381,208 | ||||||||||
Bemis Co, Inc., | ||||||||||||
2.630%, 06/19/2030 | 4,525,000 | 4,639,419 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.950%, 06/01/2026 | 1,360,000 | 1,529,751 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.625%, 10/15/2024 (2) | 8,000,000 | 8,689,347 | ||||||||||
3.150%, 11/15/2025 (2) | 10,000,000 | 10,643,222 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 2,650,000 | 2,675,046 | ||||||||||
3.750%, 09/25/2027 | 5,000,000 | 5,217,243 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 8,000,000 | 8,984,684 | ||||||||||
Carrier Global Corp., | ||||||||||||
2.242%, 02/15/2025 (2) | 13,275,000 | 13,572,606 | ||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 14,012,478 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 10,548,000 | 11,250,425 | ||||||||||
4.908%, 07/23/2025 | 1,277,000 | 1,463,548 | ||||||||||
3.750%, 02/15/2028 | 5,830,000 | 6,355,353 | ||||||||||
4.200%, 03/15/2028 | 2,070,000 | 2,321,883 | ||||||||||
Cigna Corp., | ||||||||||||
3.000%, 07/15/2023 (2) | 5,655,000 | 6,011,407 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
3.250%, 04/11/2024 (1)(2) | 10,000,000 | 10,600,608 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.875%, 10/15/2021 | 3,000,000 | 3,074,615 | ||||||||||
4.200%, 01/15/2024 | 2,800,000 | 2,983,410 | ||||||||||
CNH Industrial NV: | ||||||||||||
4.500%, 08/15/2023 (1) | 5,000,000 | 5,371,628 | ||||||||||
3.850%, 11/15/2027 (1) | 2,243,000 | 2,363,959 | ||||||||||
Coca-Cola Femsa SAB de CV, | ||||||||||||
2.750%, 01/22/2030 (1) | 8,875,000 | 9,388,160 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
4.500%, 06/01/2025 | 630,000 | 715,634 | ||||||||||
Comcast Corp.: | ||||||||||||
2.750%, 03/01/2023 | 1,475,000 | 1,566,575 | ||||||||||
3.100%, 04/01/2025 | 8,925,000 | 9,834,547 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
2.700%, 05/09/2022 | 2,975,000 | 3,085,235 | ||||||||||
3.500%, 05/09/2027 | 3,625,000 | 4,011,211 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.250%, 12/15/2022 (2) | 3,610,000 | 3,804,325 | ||||||||||
3.850%, 02/01/2025 (2) | 2,800,000 | 3,056,865 | ||||||||||
3.350%, 09/15/2026 (2) | 1,927,000 | 2,130,909 | ||||||||||
CVS Health Corp.: | ||||||||||||
4.000%, 12/05/2023 | 4,425,000 | 4,853,881 | ||||||||||
4.100%, 03/25/2025 | 3,340,000 | 3,777,347 | ||||||||||
3.625%, 04/01/2027 | 2,500,000 | 2,807,470 | ||||||||||
4.300%, 03/25/2028 | 15,125,000 | 17,689,725 | ||||||||||
CVS Pass-Through Trust, | ||||||||||||
5.926%, 01/10/2034 (2) | 2,067,490 | 2,311,425 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.750%, 11/05/2021 (2) | 6,800,000 | 7,029,727 | ||||||||||
1.750%, 03/10/2023 (2) | 11,000,000 | 11,079,591 | ||||||||||
Dentsply Sirona, | ||||||||||||
3.250%, 06/01/2030 | 10,000,000 | 10,513,169 | ||||||||||
Diageo Capital PLC, | ||||||||||||
2.000%, 04/29/2030 (1) | 3,275,000 | 3,388,159 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 4,000,000 | 4,111,797 | ||||||||||
5.450%, 06/15/2023 (2) | 12,100,000 | 13,235,129 | ||||||||||
6.020%, 06/15/2026 (2) | 3,000,000 | 3,439,426 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.700%, 05/15/2023 | 5,050,000 | 5,412,208 | ||||||||||
Dow Chemical Co., | ||||||||||||
4.550%, 11/30/2025 | 2,515,000 | 2,866,466 | ||||||||||
DuPont de Nemours, Inc., | ||||||||||||
4.493%, 11/15/2025 | 4,175,000 | 4,802,102 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,623,797 | ||||||||||
4.250%, 04/15/2024 | 5,700,000 | 6,128,894 | ||||||||||
Ecolab, Inc., | ||||||||||||
4.800%, 03/24/2030 | 10,000,000 | 12,671,796 | ||||||||||
EI du Pont de Nemours and Co., | ||||||||||||
1.700%, 07/15/2025 | 10,000,000 | 10,324,596 | ||||||||||
Emerson Electric Co., | ||||||||||||
1.950%, 10/15/2030 | 12,600,000 | 12,854,995 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.500%, 04/15/2024 | 1,000,000 | 1,084,108 | ||||||||||
5.500%, 06/01/2027 | 17,931,000 | 19,985,919 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 8,305,000 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 5,000,000 | 4,584,350 | ||||||||||
Equifax, Inc., | ||||||||||||
2.600%, 12/01/2024 | 5,000,000 | 5,287,939 | ||||||||||
Equinix, Inc., | ||||||||||||
1.800%, 07/15/2027 | 7,000,000 | 6,996,290 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 4,825,000 | 4,891,716 | ||||||||||
Exxon Mobil Corp.: | ||||||||||||
1.571%, 04/15/2023 | 7,500,000 | 7,697,369 | ||||||||||
2.992%, 03/19/2025 | 13,550,000 | 14,712,384 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 5,930,000 | 6,583,302 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 2,373,000 | 2,540,570 | ||||||||||
3.875%, 06/05/2024 | 1,247,000 | 1,376,312 | ||||||||||
3.000%, 08/15/2026 | 2,027,000 | 2,245,923 | ||||||||||
4.250%, 05/15/2028 | 8,690,000 | 10,257,954 | ||||||||||
3.750%, 05/21/2029 | 7,000,000 | 8,202,120 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 1,928,000 | 2,004,613 | ||||||||||
3.500%, 10/01/2022 | 3,050,000 | 3,223,336 | ||||||||||
2.250%, 06/01/2027 | 16,000,000 | 16,731,111 | ||||||||||
4.200%, 10/01/2028 | 1,035,000 | 1,214,475 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 4,685,000 | 5,057,208 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.750%, 02/01/2021 | 2,000,000 | 2,007,600 | ||||||||||
3.336%, 03/18/2021 | 1,800,000 | 1,781,478 | ||||||||||
3.339%, 03/28/2022 | 2,000,000 | 1,934,400 | ||||||||||
2.979%, 08/03/2022 | 12,000,000 | 11,501,400 | ||||||||||
4.250%, 09/20/2022 | 1,545,000 | 1,514,424 | ||||||||||
Fortune Brands Home & Security, Inc.: | ||||||||||||
4.000%, 09/21/2023 | 5,775,000 | 6,299,860 | ||||||||||
3.250%, 09/15/2029 | 2,725,000 | 2,905,267 | ||||||||||
Fox Corp., | ||||||||||||
4.030%, 01/25/2024 | 5,155,000 | 5,714,067 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 1,979,000 | 1,979,000 | ||||||||||
3.875%, 03/15/2023 | 1,100,000 | 1,100,000 | ||||||||||
General Electric Co., | ||||||||||||
3.150%, 09/07/2022 | 3,125,000 | 3,272,583 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
4.375%, 09/25/2021 | 5,325,000 | 5,468,935 | ||||||||||
4.200%, 11/06/2021 | 2,000,000 | 2,051,043 | ||||||||||
3.450%, 01/14/2022 | 1,475,000 | 1,499,165 | ||||||||||
3.150%, 06/30/2022 | 1,000,000 | 1,017,371 | ||||||||||
4.150%, 06/19/2023 | 1,325,000 | 1,384,933 | ||||||||||
2.900%, 02/26/2025 | 4,000,000 | 3,984,050 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.375%, 12/01/2024 (1) | 7,000,000 | 7,223,575 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020 (2) | 6,797,000 | 6,905,272 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 1,750,000 | 1,870,801 | ||||||||||
4.125%, 03/12/2024 (2) | 5,000,000 | 5,358,761 | ||||||||||
4.625%, 04/29/2024 (2) | 1,000,000 | 1,094,608 | ||||||||||
4.000%, 03/27/2027 (2) | 4,850,000 | 5,198,144 | ||||||||||
3.875%, 10/27/2027 (2) | 1,150,000 | 1,222,358 | ||||||||||
Global Payments, Inc., | ||||||||||||
3.750%, 06/01/2023 | 2,325,000 | 2,504,412 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 8,129,000 | 8,515,342 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 5,340,000 | 5,735,061 | ||||||||||
HP, Inc., | ||||||||||||
2.200%, 06/17/2025 | 18,325,000 | 18,914,382 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 5,000,000 | 4,997,979 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022 (1)(2) | 7,000,000 | 7,333,628 | ||||||||||
Hyundai Capital America, | ||||||||||||
3.450%, 03/12/2021 (2) | 9,000,000 | 9,105,190 | ||||||||||
Ingersoll-Rand Co., | ||||||||||||
6.391%, 11/15/2027 (1) | 1,195,000 | 1,454,312 | ||||||||||
International Business Machines Corp., | ||||||||||||
3.300%, 05/15/2026 | 6,150,000 | 6,910,580 | ||||||||||
JB Hunt Transport Services, Inc., | ||||||||||||
3.875%, 03/01/2026 | 3,000,000 | 3,423,486 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 5,000,000 | 5,226,194 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.625%, 11/15/2023 (2) | 1,000,000 | 1,127,336 | ||||||||||
7.800%, 08/01/2031 | 12,425,000 | 16,863,275 | ||||||||||
Kraft Heinz Foods Co., | ||||||||||||
6.375%, 07/15/2028 | 7,929,000 | 9,393,027 | ||||||||||
Lear Corp., | ||||||||||||
3.800%, 09/15/2027 | 1,000,000 | 1,015,027 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021 (1) | 1,100,000 | 1,164,192 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021 | 7,000,000 | 7,136,423 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 7,450,000 | 7,827,853 | ||||||||||
Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 9,030,383 | ||||||||||
MPLX LP: | ||||||||||||
4.875%, 06/01/2025 | 10,219,000 | 11,407,262 | ||||||||||
4.800%, 02/15/2029 | 3,475,000 | 3,865,843 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 3,166,000 | 3,260,347 | ||||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
3.650%, 09/21/2021 (2) | 7,210,000 | 7,227,320 | ||||||||||
Nutrien Ltd., | ||||||||||||
3.150%, 10/01/2022 (1) | 1,306,000 | 1,353,627 | ||||||||||
nVent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023 (1) | 18,275,000 | 19,098,597 | ||||||||||
NXP Semiconductors NV: | ||||||||||||
3.875%, 09/01/2022 (1)(2) | 7,000,000 | 7,399,949 | ||||||||||
4.875%, 03/01/2024 (1)(2) | 5,790,000 | 6,466,474 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
2.900%, 08/15/2024 | 5,000,000 | 4,272,400 | ||||||||||
7.500%, 10/15/2026 | 1,288,000 | 1,072,260 | ||||||||||
ONEOK, Inc.: | ||||||||||||
7.500%, 09/01/2023 | 7,470,000 | 8,569,889 | ||||||||||
2.750%, 09/01/2024 | 3,300,000 | 3,329,399 | ||||||||||
Oracle Corp., | ||||||||||||
2.800%, 04/01/2027 | 10,500,000 | 11,467,101 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 4,125,000 | 6,729,901 | ||||||||||
Penske Truck Leasing Co.: | ||||||||||||
2.700%, 11/01/2024 (2) | 8,000,000 | 8,230,574 | ||||||||||
3.950%, 03/10/2025 (2) | 12,000,000 | 13,007,278 | ||||||||||
PepsiCo, Inc., | ||||||||||||
2.625%, 03/19/2027 | 5,650,000 | 6,176,396 | ||||||||||
Phillips 66, | ||||||||||||
2.150%, 12/15/2030 | 10,000,000 | 9,707,053 | ||||||||||
Phillips 66 Partners LP, | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,134,592 | ||||||||||
POSCO: | ||||||||||||
5.250%, 04/14/2021 (1)(2) | 3,000,000 | 3,084,030 | ||||||||||
4.000%, 08/01/2023 (1)(2) | 5,000,000 | 5,344,700 | ||||||||||
Procter & Gamble Co., | ||||||||||||
2.800%, 03/25/2027 | 10,000,000 | 11,120,597 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 1,100,000 | 1,180,919 | ||||||||||
Roper Technologies, Inc.: | ||||||||||||
3.800%, 12/15/2026 | 1,450,000 | 1,656,170 | ||||||||||
2.000%, 06/30/2030 | 14,675,000 | 14,685,950 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 11,432,750 | ||||||||||
4.500%, 05/15/2030 (2) | 4,500,000 | 4,995,919 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.375%, 09/26/2024 (1)(2)(9) | 1,675,000 | 862,642 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022 (1)(2) | 2,000,000 | 2,098,752 | ||||||||||
Shell International Finance BV: | ||||||||||||
2.375%, 04/06/2025 (1) | 5,000,000 | 5,307,641 | ||||||||||
2.750%, 04/06/2030 (1) | 5,000,000 | 5,420,942 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
3.300%, 02/01/2025 | 3,851,000 | 4,143,524 | ||||||||||
Smithfield Foods, Inc., | ||||||||||||
2.650%, 10/03/2021 (2) | 8,000,000 | 7,911,687 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025 (2) | 6,145,000 | 6,941,447 | ||||||||||
Southern Natural Gas Co. LLC, | ||||||||||||
8.000%, 03/01/2032 | 2,523,000 | 3,658,802 | ||||||||||
Sysco Corp.: | ||||||||||||
2.500%, 07/15/2021 | 2,000,000 | 2,034,559 | ||||||||||
2.600%, 06/12/2022 | 150,000 | 154,592 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 5,500,000 | 5,893,235 | ||||||||||
3.900%, 05/25/2027 | 8,425,000 | 8,861,257 | ||||||||||
Telefonica Emisiones SA, | ||||||||||||
5.462%, 02/16/2021 (1) | 650,000 | 669,183 | ||||||||||
Toyota Motor Credit Corp., | ||||||||||||
2.900%, 03/30/2023 | 10,000,000 | 10,586,484 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021 (1) | 556,000 | 579,487 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
4.000%, 03/01/2026 | 3,000,000 | 3,432,127 | ||||||||||
Vale Overseas Ltd., | ||||||||||||
6.250%, 08/10/2026 (1) | 3,830,000 | 4,505,038 | ||||||||||
Valero Energy Corp., | ||||||||||||
3.400%, 09/15/2026 | 4,985,000 | 5,456,133 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
4.125%, 03/15/2029 | 3,000,000 | 3,505,181 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.376%, 02/15/2025 | 853,000 | 949,084 | ||||||||||
4.125%, 03/16/2027 | 3,196,000 | 3,769,764 | ||||||||||
3.000%, 03/22/2027 | 13,000,000 | 14,421,407 | ||||||||||
4.329%, 09/21/2028 | 2,051,000 | 2,468,425 | ||||||||||
4.016%, 12/03/2029 | 5,628,000 | 6,711,832 | ||||||||||
VISA, Inc., | ||||||||||||
1.900%, 04/15/2027 | 4,775,000 | 4,990,927 | ||||||||||
Vodafone Group PLC, | ||||||||||||
3.750%, 01/16/2024 (1) | 3,940,000 | 4,302,931 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
1.375%, 11/12/2021 (3 Month LIBOR USD + 0.940%) (2)(3) | 1,800,000 | 1,794,440 | ||||||||||
4.000%, 11/12/2021 (2) | 8,000,000 | 8,328,022 | ||||||||||
2.850%, 09/26/2024 (2) | 8,600,000 | 9,048,776 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 12,302,000 | 12,892,225 | ||||||||||
3.450%, 11/15/2026 | 5,000,000 | 5,146,903 | ||||||||||
Walgreens Boots Alliance, Inc., | ||||||||||||
3.200%, 04/15/2030 | 6,335,000 | 6,544,715 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.125%, 03/01/2025 | 4,000,000 | 4,365,412 | ||||||||||
Western Midstream Operating LP, | ||||||||||||
4.500%, 03/01/2028 | 7,195,000 | 6,727,325 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
4.125%, 11/15/2020 | 1,635,000 | 1,637,663 | ||||||||||
3.700%, 01/15/2023 | 1,775,000 | 1,876,638 | ||||||||||
4.300%, 03/04/2024 | 14,329,000 | 15,578,169 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.900%, 06/01/2028 | 8,275,000 | 9,178,247 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 650,000 | 700,268 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.700%, 03/19/2023 | 10,000,000 | 10,626,018 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.250%, 02/01/2023 | 7,500,000 | 7,915,673 | ||||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,334,362 | ||||||||||
Total Industrials (Cost $1,082,101,596) | 1,144,784,655 | 23.9 | % | |||||||||
Utilities | ||||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 6,200,000 | 6,518,996 | ||||||||||
Avangrid, Inc., | ||||||||||||
3.800%, 06/01/2029 | 10,975,000 | 12,705,582 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
4.050%, 04/15/2025 (2) | 14,925,000 | 17,064,336 | ||||||||||
Edison International: | ||||||||||||
2.950%, 03/15/2023 | 2,650,000 | 2,711,538 | ||||||||||
4.125%, 03/15/2028 | 13,600,000 | 14,384,334 | ||||||||||
Enel Finance International NV: | ||||||||||||
3.625%, 05/25/2027 (1)(2) | 1,550,000 | 1,692,295 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 13,550,000 | 14,575,342 | ||||||||||
Entergy Corp., | ||||||||||||
2.800%, 06/15/2030 | 12,425,000 | 13,130,033 | ||||||||||
FirstEnergy Corp., | ||||||||||||
2.050%, 03/01/2025 | 6,450,000 | 6,653,876 | ||||||||||
ITC Holdings Corp., | ||||||||||||
2.950%, 05/14/2030 (2) | 15,717,000 | 16,739,756 | ||||||||||
Oncor Electric Delivery Co. LLC, | ||||||||||||
2.750%, 05/15/2030 (2) | 6,000,000 | 6,548,321 | ||||||||||
PPL Capital Funding, Inc., | ||||||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,620,549 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 303,562 | 316,123 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 3,800,000 | 3,960,119 | ||||||||||
Total Utilities (Cost $110,072,345) | 119,621,200 | 2.5 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
4.750%, 07/28/2025 (1)(2) | 14,323,000 | 15,785,063 | ||||||||||
AerCap Holdings NV, | ||||||||||||
2.875%, 08/14/2024 (1) | 5,000,000 | 4,694,450 | ||||||||||
Aetna, Inc., | ||||||||||||
2.800%, 06/15/2023 | 4,010,000 | 4,227,469 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 3,000,000 | 3,178,666 | ||||||||||
Air Lease Corp., | ||||||||||||
2.250%, 01/15/2023 | 3,800,000 | 3,755,959 | ||||||||||
American International Group, Inc.: | ||||||||||||
4.875%, 06/01/2022 | 6,000,000 | 6,476,120 | ||||||||||
4.125%, 02/15/2024 | 1,000,000 | 1,116,150 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 630,000 | 764,755 | ||||||||||
Anthem, Inc.: | ||||||||||||
3.350%, 12/01/2024 | 10,000,000 | 10,979,982 | ||||||||||
2.375%, 01/15/2025 | 12,000,000 | 12,736,155 | ||||||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||||||
2.125%, 07/28/2021 (1)(2) | 1,200,000 | 1,221,257 | ||||||||||
Banco Santander SA, | ||||||||||||
3.500%, 04/11/2022 (1) | 4,400,000 | 4,576,137 | ||||||||||
Bank of America Corp.: | ||||||||||||
3.300%, 01/11/2023 | 4,710,000 | 5,026,873 | ||||||||||
2.816%, 07/21/2023 (3 Month LIBOR USD + 0.930%) (3) | 3,500,000 | 3,635,410 | ||||||||||
4.000%, 04/01/2024 | 1,596,000 | 1,771,569 | ||||||||||
3.864%, 07/23/2024 (3 Month LIBOR USD + 0.940%) (3) | 10,000,000 | 10,836,612 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 5,060,000 | 5,488,288 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 3,295,000 | 3,564,673 | ||||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.512%) (3) | 5,050,000 | 5,708,346 | ||||||||||
3.419%, 12/20/2028 (3 Month LIBOR USD + 1.040%) (3) | 1,519,000 | 1,691,941 | ||||||||||
Bank of Montreal, | ||||||||||||
3.300%, 02/05/2024 (1) | 10,000,000 | 10,861,154 | ||||||||||
Bank of New Zealand, | ||||||||||||
3.500%, 02/20/2024 (1)(2) | 5,000,000 | 5,424,094 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
1.625%, 05/01/2023 (1) | 10,000,000 | 10,236,094 | ||||||||||
4.500%, 12/16/2025 (1) | 7,000,000 | 7,953,438 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 8,000,000 | 8,646,593 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 5,000,000 | 5,406,974 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 2,000,000 | 2,026,000 | ||||||||||
3.684%, 01/10/2023 (1) | 7,350,000 | 7,627,824 | ||||||||||
3.932%, 05/07/2025 (3 Month LIBOR USD + 1.610%) (1)(3) | 4,500,000 | 4,861,659 | ||||||||||
4.337%, 01/10/2028 (1) | 2,275,000 | 2,525,638 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 3,475,000 | 3,554,972 | ||||||||||
3.875%, 04/10/2025 | 4,200,000 | 4,436,907 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 10,000,000 | 10,584,726 | ||||||||||
2.819%, 11/19/2025 (3 Month LIBOR USD + 1.111%) (1)(2)(3) | 5,000,000 | 5,236,188 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.100%, 09/14/2021 (1)(2) | 10,000,000 | 10,171,861 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 2,000,000 | 2,132,971 | ||||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 13,069,389 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 5,375,000 | 5,989,599 | ||||||||||
4.000%, 04/15/2024 (1) | 3,500,000 | 3,879,005 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 10,000,000 | 10,906,915 | ||||||||||
Brown & Brown, Inc.: | ||||||||||||
4.200%, 09/15/2024 | 10,461,000 | 11,343,127 | ||||||||||
4.500%, 03/15/2029 | 5,000,000 | 5,388,105 | ||||||||||
Capital One Financial Corp., | ||||||||||||
3.650%, 05/11/2027 | 3,000,000 | 3,288,615 | ||||||||||
Charles Schwab Corp., | ||||||||||||
4.200%, 03/24/2025 | 10,000,000 | 11,474,138 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 2,000,000 | 2,081,469 | ||||||||||
3.750%, 06/16/2024 | 500,000 | 551,731 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 10,040,000 | 10,848,013 | ||||||||||
3.200%, 10/21/2026 | 5,000,000 | 5,480,634 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 9,000,000 | 10,144,821 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.550%, 05/13/2021 | 2,000,000 | 2,032,719 | ||||||||||
2.250%, 04/28/2025 | 19,000,000 | 20,162,683 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 1,385,000 | 1,459,678 | ||||||||||
7.250%, 11/15/2023 | 1,980,000 | 2,308,176 | ||||||||||
4.500%, 03/01/2026 | 5,070,000 | 5,734,438 | ||||||||||
3.900%, 05/01/2029 | 4,000,000 | 4,407,767 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.950%, 11/09/2022 (1) | 2,250,000 | 2,380,546 | ||||||||||
4.625%, 12/01/2023 (1) | 7,400,000 | 8,160,276 | ||||||||||
3.750%, 07/21/2026 (1) | 1,276,000 | 1,405,882 | ||||||||||
Credit Agricole SA, | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 7,400,000 | 7,658,924 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 1,000,000 | 1,037,312 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 4,000,000 | 4,298,612 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(2)(3) | 7,000,000 | 7,239,249 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 06/09/2023 (1) | 9,000,000 | 9,690,323 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 3,000,000 | 3,002,487 | ||||||||||
3.150%, 01/22/2021 (1) | 1,500,000 | 1,507,032 | ||||||||||
4.250%, 10/14/2021 (1) | 7,000,000 | 7,182,086 | ||||||||||
3.300%, 11/16/2022 (1) | 5,175,000 | 5,292,952 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 4,200,000 | 4,592,938 | ||||||||||
4.100%, 02/09/2027 | 9,000,000 | 9,836,907 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,298,980 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 1,650,000 | 1,857,032 | ||||||||||
GE Capital Funding LLC, | ||||||||||||
4.050%, 05/15/2027 (2) | 5,000,000 | 5,271,015 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,096,819 | ||||||||||
3.500%, 01/23/2025 | 2,000,000 | 2,177,312 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 3,500,000 | 3,771,877 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 4,000,000 | 4,480,845 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 3,100,000 | 3,606,810 | ||||||||||
Guardian Life Global Funding: | ||||||||||||
2.000%, 04/26/2021 (2) | 4,350,000 | 4,406,780 | ||||||||||
3.400%, 04/25/2023 (2) | 9,000,000 | 9,679,718 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
2.800%, 08/19/2029 | 3,625,000 | 3,838,225 | ||||||||||
Health Care Service Corp. A Mutual Legal Reserve Co., | ||||||||||||
2.200%, 06/01/2030 (2) | 10,000,000 | 10,011,578 | ||||||||||
High Street Funding Trust I, | ||||||||||||
4.111%, 02/15/2028 (2) | 5,000,000 | 5,509,455 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 2,000,000 | 2,052,816 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 10,140,000 | 10,504,617 | ||||||||||
3.600%, 05/25/2023 (1) | 2,700,000 | 2,897,545 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 3,000,000 | 3,240,498 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 1,000,000 | 1,110,094 | ||||||||||
Humana, Inc., | ||||||||||||
2.900%, 12/15/2022 | 6,275,000 | 6,552,685 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 1,585,000 | 1,611,395 | ||||||||||
2.300%, 01/14/2022 | 1,300,000 | 1,334,328 | ||||||||||
ING Bank NV: | ||||||||||||
5.000%, 06/09/2021 (1)(2) | 2,000,000 | 2,085,139 | ||||||||||
5.800%, 09/25/2023 (1)(2) | 986,000 | 1,106,728 | ||||||||||
ING Groep NV, | ||||||||||||
3.550%, 04/09/2024 (1) | 4,000,000 | 4,355,629 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 4,750,000 | 5,011,464 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,350,000 | 11,049,956 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,086,651 | ||||||||||
4.850%, 01/15/2027 | 1,425,000 | 1,569,443 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 11,325,000 | 13,146,457 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 2,500,000 | 2,505,225 | ||||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,183,847 | ||||||||||
2.250%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,035,000 | 5,091,342 | ||||||||||
4.023%, 12/05/2024 (3 Month LIBOR USD + 1.000%) (3) | 20,000,000 | 22,037,865 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 13,000,000 | 13,617,228 | ||||||||||
2.005%, 03/13/2026 (SOFR + 1.585%) (3) | 7,625,000 | 7,891,462 | ||||||||||
2.083%, 04/22/2026 (SOFR + 1.850%) (3) | 3,000,000 | 3,115,856 | ||||||||||
2.522%, 04/22/2031 (SOFR + 2.040%) (3) | 1,500,000 | 1,584,158 | ||||||||||
KeyBank NA: | ||||||||||||
3.180%, 05/22/2022 | 2,750,000 | 2,851,037 | ||||||||||
3.400%, 05/20/2026 | 2,200,000 | 2,426,811 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 10,000,000 | 10,225,148 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 966,000 | 1,048,507 | ||||||||||
4.569%, 02/01/2029 (2) | 1,559,000 | 1,826,108 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 8,000,000 | 8,724,571 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
3.000%, 01/11/2022 (1) | 7,000,000 | 7,237,921 | ||||||||||
4.050%, 08/16/2023 (1) | 4,580,000 | 4,976,170 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 5,482,000 | 5,712,700 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 5,250,000 | 5,454,131 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 4,000,000 | 4,293,982 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
3.875%, 03/15/2024 | 1,550,000 | 1,714,626 | ||||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
7.625%, 11/15/2023 (2) | 12,053,000 | 13,794,676 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
12.479%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(9) | 500,000 | 200,000 | ||||||||||
Metropolitan Life Global Funding I, | ||||||||||||
3.000%, 01/10/2023 (2) | 1,300,000 | 1,377,080 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 1,656,000 | 1,685,220 | ||||||||||
2.998%, 02/22/2022 (1) | 2,595,000 | 2,688,769 | ||||||||||
3.455%, 03/02/2023 (1) | 2,000,000 | 2,138,009 | ||||||||||
2.193%, 02/25/2025 (1) | 5,000,000 | 5,167,770 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 5,195,793 | ||||||||||
4.600%, 03/27/2024 (1)(2) | 7,000,000 | 7,627,744 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 3,000,000 | 3,245,377 | ||||||||||
Morgan Stanley: | ||||||||||||
2.420%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 7,000,000 | 7,084,758 | ||||||||||
2.188%, 04/28/2026 (SOFR + 1.990%) (3) | 10,000,000 | 10,412,092 | ||||||||||
3.125%, 07/27/2026 | 4,600,000 | 5,070,581 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 225,000 | 236,387 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 5,000,000 | 5,268,409 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 10,000,000 | 10,809,947 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021 (2) | 1,478,000 | 1,520,058 | ||||||||||
Nationwide Mutual Insurance Co., | ||||||||||||
8.250%, 12/01/2031 (2) | 2,195,000 | 3,208,418 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 12,850,000 | 13,639,265 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 6,556,000 | 7,160,987 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 5,000,000 | 5,304,655 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,702,503 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
3.000%, 04/18/2026 (2) | 7,000,000 | 7,723,083 | ||||||||||
Protective Life Corp., | ||||||||||||
4.300%, 09/30/2028 (2) | 1,400,000 | 1,519,646 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 8,300,000 | 10,770,105 | ||||||||||
Regions Financial Corp., | ||||||||||||
2.750%, 08/14/2022 | 4,725,000 | 4,921,038 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
3.050%, 01/20/2021 (2) | 5,000,000 | 5,050,911 | ||||||||||
2.750%, 01/21/2027 (2) | 11,775,000 | 11,529,391 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 2,000,000 | 2,175,407 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 4,700,000 | 5,647,407 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 6,850,000 | 7,947,085 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
3.125%, 01/08/2021 (1) | 2,475,000 | 2,505,495 | ||||||||||
3.373%, 01/05/2024 (3 Month LIBOR USD + 1.080%) (1)(3) | 2,500,000 | 2,621,478 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,000,000 | 5,534,397 | ||||||||||
Santander UK PLC: | ||||||||||||
2.125%, 11/03/2020 (1) | 4,500,000 | 4,524,978 | ||||||||||
5.000%, 11/07/2023 (1)(2) | 3,675,000 | 4,003,178 | ||||||||||
SMBC Aviation Capital Finance DAC: | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 4,000,000 | 4,018,835 | ||||||||||
3.550%, 04/15/2024 (1)(2) | 6,075,000 | 6,216,383 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021 (1)(2) | 2,150,000 | 2,172,575 | ||||||||||
5.200%, 04/15/2021 (1)(2) | 1,250,000 | 1,296,625 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 5,000,000 | 5,382,807 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 3,350,000 | 3,620,638 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 4,814,000 | 5,090,940 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 10,350,000 | 10,473,659 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 4,125,000 | 4,369,295 | ||||||||||
2.819%, 01/30/2026 (3 Month LIBOR USD + 1.209%) (1)(2)(3) | 5,000,000 | 5,106,579 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 10,139,000 | 10,769,640 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.442%, 10/19/2021 (1) | 6,200,000 | 6,349,730 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 5,000,000 | 5,112,367 | ||||||||||
4.250%, 08/15/2024 | 5,275,000 | 5,539,446 | ||||||||||
3.700%, 08/04/2026 | 3,000,000 | 3,105,117 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
4.400%, 03/15/2026 (1) | 1,125,000 | 1,281,579 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 5,000,000 | 5,148,960 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 3,050,000 | 3,190,109 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 3,350,000 | 3,583,026 | ||||||||||
3.650%, 06/15/2026 | 2,410,000 | 2,670,741 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
3.250%, 10/05/2020 (2) | 7,500,000 | 7,509,598 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.625%, 07/22/2022 | 10,000,000 | 10,418,098 | ||||||||||
1.990%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,036,125 | ||||||||||
1.654%, 06/02/2024 (SOFR + 1.600%) (3) | 5,000,000 | 5,079,055 | ||||||||||
2.164%, 02/11/2026 (3 Month LIBOR USD + 0.750%) (3) | 5,000,000 | 5,153,223 | ||||||||||
2.188%, 04/30/2026 (SOFR + 2.000%) (3) | 16,000,000 | 16,543,477 | ||||||||||
Westpac Banking Corp., | ||||||||||||
2.894%, 02/04/2030 (5 Year CMT Rate + 1.350%) (1)(3) | 2,000,000 | 2,038,759 | ||||||||||
Willis North America, Inc.: | ||||||||||||
3.600%, 05/15/2024 | 8,150,000 | 8,820,642 | ||||||||||
4.500%, 09/15/2028 | 8,500,000 | 9,909,004 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 3,450,000 | 3,560,199 | ||||||||||
Total Financials (Cost $976,418,826) | 1,034,579,430 | 21.6 | % | |||||||||
Total Corporate Bonds (Cost $2,168,592,767) | 2,298,985,285 | 48.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Alabama Economic Settlement Authority, | ||||||||||||
3.163%, 09/15/2025 | 3,910,000 | 4,132,596 | ||||||||||
California School Finance Authority, | ||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,500,000 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,165,060 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 880,000 | 915,798 | ||||||||||
5.790%, 12/01/2022 | 2,265,000 | 2,338,228 | ||||||||||
County of Cook IL, | ||||||||||||
5.240%, 11/15/2025 (Callable 11/15/2021) | 2,345,000 | 2,449,845 | ||||||||||
County of Hamilton OH, | ||||||||||||
3.374%, 06/01/2034 | 10,000,000 | 10,977,300 | ||||||||||
Great Lakes Water Authority, | ||||||||||||
2.315%, 07/01/2031 | 2,000,000 | 2,069,780 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/31/2020) | 570,000 | 570,382 | ||||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
5.000%, 01/01/2025 | 5,450,000 | 6,158,609 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
0.000%, 02/15/2021 | 3,000,000 | 2,978,850 | ||||||||||
0.000%, 02/15/2022 | 2,000,000 | 1,964,780 | ||||||||||
New Jersey Higher Education Student Assistance Authority: | ||||||||||||
5.000%, 12/01/2024 | 2,100,000 | 2,351,916 | ||||||||||
5.000%, 12/01/2024 | 2,450,000 | 2,730,770 | ||||||||||
5.000%, 12/01/2025 | 1,680,000 | 1,912,798 | ||||||||||
5.000%, 12/01/2025 | 2,675,000 | 3,028,180 | ||||||||||
5.000%, 12/01/2026 | 1,550,000 | 1,784,964 | ||||||||||
5.000%, 12/01/2026 | 2,350,000 | 2,688,236 | ||||||||||
5.000%, 12/01/2027 | 1,000,000 | 1,165,280 | ||||||||||
5.000%, 12/01/2027 | 1,600,000 | 1,850,400 | ||||||||||
5.000%, 12/01/2028 | 1,225,000 | 1,441,310 | ||||||||||
5.000%, 12/01/2028 | 1,130,000 | 1,319,332 | ||||||||||
Niagara Area Development Corp.: | ||||||||||||
3.004%, 05/01/2025 | 1,000,000 | 1,006,620 | ||||||||||
3.204%, 05/01/2026 | 1,995,000 | 2,016,406 | ||||||||||
3.272%, 05/01/2027 | 2,060,000 | 2,074,564 | ||||||||||
3.372%, 05/01/2028 | 2,130,000 | 2,142,631 | ||||||||||
3.422%, 05/01/2029 | 2,200,000 | 2,205,258 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 155,000 | 157,260 | ||||||||||
3.000%, 01/01/2033 (Callable 01/01/2025) | 1,860,000 | 1,880,218 | ||||||||||
North East Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,581,551 | ||||||||||
San Diego Convention Center Expansion Financing Authority: | ||||||||||||
1.987%, 04/15/2026 (8) | 3,440,000 | 3,441,789 | ||||||||||
2.363%, 04/15/2028 (8) | 1,325,000 | 1,325,040 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
2.700%, 11/01/2036 (Callable 11/01/2025) | 1,120,000 | 1,134,840 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
3.800%, 12/01/2026 (Callable 12/01/2025) | 2,200,000 | 2,375,890 | ||||||||||
3.950%, 12/01/2027 (Callable 12/01/2025) | 1,700,000 | 1,835,167 | ||||||||||
Total Municipal Bonds (Cost $81,242,667) | 83,671,648 | 1.7 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 14 | 14 | ||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 28 | 29 | ||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 2,997 | 3,061 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 3,516 | 3,694 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2021 | 7,504 | 7,628 | ||||||||||
6.000%, 07/01/2028 | 2,791 | 3,154 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 1,600 | 1,661 | ||||||||||
Total U.S. Government Agency Issues (Cost $18,397) | 19,241 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 17,326 | 17,207 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (6) | 35,502 | 34,815 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 (6) | 83,645 | 82,665 | ||||||||||
Series 2004-8CB, Class A, 0.455%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 329,233 | 327,718 | ||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 (6) | 28,696 | 28,417 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 (4) | 180 | 185 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 0.525%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 463,795 | 461,699 | ||||||||||
Series 2005-W5, Class A1, 0.420%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 5,125,697 | 5,019,593 | ||||||||||
Banc of America Alternative Loan Trust, | ||||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 (6) | 25,625 | 23,148 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 1,725,647 | 1,845,395 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2004-5, Class 2A, 3.531%, 07/25/2034 (4) | 659,691 | 638,627 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 30,806 | 31,971 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 110 | 111 | ||||||||||
Series 2006-13, Class 1AF3, 5.944%, 01/25/2037 (4) | 7,748 | 7,732 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 12,340 | 12,524 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 409,305 | 388,590 | ||||||||||
Delta Funding Home Equity Loan Trust: | ||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 640 | 604 | ||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 (6) | 126,657 | 127,970 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2005-WMC2, Class A1B, 0.805%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 602,837 | 601,365 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 (7) | 363 | 365 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 375 | 373 | ||||||||||
Series 2006-A1, Class 2A1, 3.796%, 03/25/2036 (4) | 247,433 | 223,103 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 0.415%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 246,852 | 246,745 | ||||||||||
New Residential Mortgage Loan Trust, | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 2,857,227 | 3,069,690 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 12/31/2020 (6) | 1,188 | 1,145 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 816 | 823 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2003-2, Class A2, 1.485%, 11/25/2033 (1 Month LIBOR USD + 1.300%) (3) | 1,085,614 | 1,081,245 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 0.855%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,083,716 | 1,076,029 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 1.185%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 418,666 | 418,006 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.860%, 10/25/2043 (4) | 2,033,751 | 1,963,415 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-5, Class A1B, 2.750%, 05/25/2055 (2)(4) | 1,104,494 | 1,111,897 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 1,406,694 | 1,443,078 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 12,990,638 | 13,292,154 | ||||||||||
Series 2017-5, Class A1, 0.785%, 02/26/2057 (1 Month LIBOR USD + 0.600%) (2)(3) | 3,459,852 | 3,428,772 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 7,990,074 | 8,600,686 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 13,019,874 | 13,695,577 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-AR3, Class A1, 3.665%, 06/25/2034 (4) | 1,722,021 | 1,663,920 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 2,132,342 | 2,297,577 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, | ||||||||||||
Series 2004-2, Class A33, 1.185%, 10/25/2034 (1 Month LIBOR USD + 1.000%) (3) | 2,085,962 | 2,012,529 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $63,459,060) | 65,277,465 | 1.4 | % | |||||||||
Total Residential Mortgage-Backed Securities (Cost $63,477,457) | 65,296,706 | 1.4 | % |
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 | 17,703,954 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,644,008 | ||||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 14,500,000 | 15,212,411 | ||||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 1,650,000 | 1,803,697 | ||||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,802,430 | ||||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 4,895,000 | 5,386,223 | ||||||||||
Series K043, Class A2, 3.062%, 12/25/2024 | 4,250,000 | 4,670,867 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 8,725,000 | 9,721,003 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 12,375,000 | 13,853,323 | ||||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 9,375,000 | 10,479,629 | ||||||||||
Series K062, Class A2, 3.413%, 12/25/2026 | 21,599,000 | 24,769,614 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,354,000 | 10,730,789 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 8,156,069 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 9,100,000 | 10,533,795 | ||||||||||
Series K083, Class A2, 4.050%, 09/25/2028 (4) | 9,525,000 | 11,574,852 | ||||||||||
Total U.S. Government Agency Issues (Cost $155,056,505) | 165,042,664 | 3.4 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2017-CD6, Class ASB, 3.332%, 11/15/2050 | 10,480,000 | 11,310,193 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,550,000 | 12,006,725 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 13,635,576 | 14,478,913 | ||||||||||
Series 2015-GC35, Class A4, 3.818%, 11/13/2048 | 8,795,000 | 9,747,748 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 13,025,000 | 14,148,203 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-LC11, Class A4, 2.694%, 04/17/2046 | 3,058,423 | 3,144,729 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 3,373,000 | 3,565,841 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | 12,980,000 | 13,345,561 | ||||||||||
Series 2014-C16, Class A4, 3.600%, 06/17/2047 | 13,175,000 | 13,978,154 | ||||||||||
Series 2015-C27, Class A4, 3.753%, 12/17/2047 | 28,920,000 | 31,968,683 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 5,000,000 | 5,260,035 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 14,787,961 | 15,341,390 | ||||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,675,000 | 12,412,590 | ||||||||||
Series 2015-P2, Class A4, 3.809%, 12/17/2048 | 20,769,144 | 23,144,038 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,564,762 | 8,703,319 | ||||||||||
Series 2014-C24, Class ASB, 3.324%, 11/18/2047 | 8,890,995 | 9,231,729 | ||||||||||
Series 2013-C12, Class ASB, 2.838%, 03/17/2048 | 4,544,627 | 4,629,536 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $199,989,956) | 206,417,387 | 4.3 | % | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $355,046,461) | 371,460,051 | 7.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2019-1, Class A3, 2.430%, 04/15/2024 (2) | 8,100,000 | 8,300,013 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 615,331 | 624,913 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 71,147 | 72,605 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 38,450 | 39,122 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2019-1, Class A3, 2.830%, 03/22/2024 (2) | 11,375,000 | 11,591,966 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2017-A4, Class A4, 2.530%, 10/15/2026 | 4,000,000 | 4,275,454 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 10,825,000 | 11,579,764 | ||||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2020-A, Class A3, 1.950%, 07/15/2023 (2) | 15,050,000 | 15,376,648 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022 (2) | 1,338,370 | 1,341,759 | ||||||||||
Series 2020-A, Class A3, 0.970%, 04/09/2027 (2) | 6,550,000 | 6,595,930 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 23,481 | 23,845 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 14,555,000 | 14,613,666 | ||||||||||
Series 2019-A, Class A2, 2.860%, 04/15/2024 (2) | 12,125,000 | 12,494,183 | ||||||||||
SoFi Consumer Loan Program LLC, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026 (2) | 747,687 | 752,090 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2020-MH1, Class A1, 2.250%, 02/25/2060 (2)(4) | 13,929,244 | 14,127,332 | ||||||||||
Toyota Auto Loan Extended Note Trust, | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 19,075,000 | 20,302,095 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2019-C, Class A1A, 1.940%, 04/20/2024 | 10,900,000 | 11,181,571 | ||||||||||
Total Asset Backed Securities (Cost $129,186,127) | 133,292,956 | 2.8 | % | |||||||||
Total Long-Term Investments (Cost $4,492,309,755) | 4,733,626,913 | 98.8 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 0.11% (5) | 136,113,797 | 136,113,797 | ||||||||||
Total Short-Term Investment (Cost $136,113,797) | 136,113,797 | 2.8 | % | |||||||||
Total Investments (Cost $4,628,423,552) | 4,869,740,710 | 101.6 | % | |||||||||
Liabilities in Excess of Other Assets | (76,154,352 | ) | (1.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 4,793,586,358 | 100.0 | % |
Notes to Schedule of Investments | |
CMT - Constant Maturity Treasury | |
LIBOR - London Inter-bank Offered Rate | |
SOFR - Secured Overnight Financing Rate | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $891,416,602, which represents 18.60% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(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, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.875%, 03/31/2022 | $ | 1,140,350,000 | $ | 1,174,159,599 | ||||||||
2.125%, 12/31/2022 | 554,875,000 | 581,903,483 | ||||||||||
2.500%, 05/15/2024 | 36,610,000 | 39,831,966 | ||||||||||
2.250%, 11/15/2025 | 46,300,000 | 51,007,770 | ||||||||||
2.000%, 11/15/2026 | 239,975,000 | 263,503,800 | ||||||||||
2.250%, 11/15/2027 | 9,300,000 | 10,474,125 | ||||||||||
1.625%, 08/15/2029 | 63,825,000 | 69,641,552 | ||||||||||
2.875%, 05/15/2043 | 791,550,000 | 1,034,054,949 | ||||||||||
2.500%, 02/15/2045 | 823,000,000 | 1,015,183,355 | ||||||||||
2.875%, 05/15/2049 | 304,750,000 | 412,293,416 | ||||||||||
Total U.S. Treasury Securities (Cost $4,231,579,727) | 4,652,054,015 | 17.2 | % | |||||||||
Other Government Related Securities | ||||||||||||
Comision Federal de Electricidad, | ||||||||||||
4.875%, 01/15/2024 (1)(2) | 3,423,000 | 3,602,708 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 6,107,000 | 6,461,145 | ||||||||||
Korea Gas Corp., | ||||||||||||
4.250%, 11/02/2020 (1)(2) | 2,321,000 | 2,347,158 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.500%, 01/23/2026 (1) | 1,953,000 | 1,703,992 | ||||||||||
5.950%, 01/28/2031 (1)(2) | 558,000 | 460,434 | ||||||||||
6.350%, 02/12/2048 (1) | 8,500,000 | 6,312,525 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,653,239 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
3.250%, 04/28/2025 (1)(2) | 10,000,000 | 10,776,718 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026 (1)(2) | 13,450,000 | 14,771,112 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd.: | ||||||||||||
2.250%, 09/13/2020 (1)(2) | 9,125,000 | 9,141,972 | ||||||||||
3.000%, 04/12/2022 (1)(2) | 15,000,000 | 15,420,338 | ||||||||||
Syngenta Finance NV, | ||||||||||||
4.441%, 04/24/2023 (1)(2) | 10,000,000 | 10,495,529 | ||||||||||
Total Other Government Related Securities (Cost $81,623,810) | 83,146,870 | 0.3 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
4.900%, 11/30/2046 | 4,700,000 | 6,747,619 | ||||||||||
AbbVie, Inc.: | ||||||||||||
5.000%, 12/15/2021 (2) | 24,000,000 | 25,214,443 | ||||||||||
3.250%, 10/01/2022 (2) | 17,863,000 | 18,719,720 | ||||||||||
3.850%, 06/15/2024 (2) | 12,067,000 | 13,220,052 | ||||||||||
3.800%, 03/15/2025 (2) | 16,425,000 | 18,223,793 | ||||||||||
2.950%, 11/21/2026 (2) | 9,625,000 | 10,468,615 | ||||||||||
4.550%, 03/15/2035 (2) | 8,000,000 | 9,701,639 | ||||||||||
4.500%, 05/14/2035 | 9,000,000 | 10,841,516 | ||||||||||
4.300%, 05/14/2036 | 6,000,000 | 6,926,934 | ||||||||||
4.050%, 11/21/2039 (2) | 12,700,000 | 14,852,140 | ||||||||||
Adventist Health System: | ||||||||||||
2.952%, 03/01/2029 | 19,250,000 | 19,882,187 | ||||||||||
3.630%, 03/01/2049 | 9,000,000 | 9,132,338 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
2.100%, 06/04/2030 | 14,000,000 | 14,346,460 | ||||||||||
Air Products and Chemicals, Inc., | ||||||||||||
2.700%, 05/15/2040 | 10,425,000 | 10,968,894 | ||||||||||
Alcon Finance Corp.: | ||||||||||||
2.750%, 09/23/2026 (2) | 14,770,000 | 15,889,189 | ||||||||||
3.800%, 09/23/2049 (2) | 7,000,000 | 7,729,847 | ||||||||||
Allegion PLC, | ||||||||||||
3.500%, 10/01/2029 (1) | 15,000,000 | 15,727,480 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 7,000,000 | 7,302,547 | ||||||||||
Amgen, Inc.: | ||||||||||||
3.150%, 02/21/2040 | 13,350,000 | 14,337,858 | ||||||||||
4.400%, 05/01/2045 | 12,300,000 | 15,303,251 | ||||||||||
Analog Devices, Inc., | ||||||||||||
3.125%, 12/05/2023 | 10,000,000 | 10,743,617 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
5.375%, 04/01/2025 (1)(2) | 4,675,000 | 5,280,153 | ||||||||||
4.875%, 05/14/2025 (1)(2) | 13,831,000 | 15,401,178 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 4,075,000 | 4,923,798 | ||||||||||
4.375%, 04/15/2038 | 7,000,000 | 7,948,890 | ||||||||||
5.450%, 01/23/2039 | 20,000,000 | 25,269,740 | ||||||||||
4.900%, 02/01/2046 | 37,000,000 | 45,276,357 | ||||||||||
AP Moller - Maersk A/S: | ||||||||||||
3.875%, 09/28/2025 (1)(2) | 8,900,000 | 9,454,978 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 8,000,000 | 8,584,695 | ||||||||||
Apple, Inc.: | ||||||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,830,833 | ||||||||||
2.650%, 05/11/2050 | 10,000,000 | 10,474,727 | ||||||||||
ArcelorMittal: | ||||||||||||
3.600%, 07/16/2024 (1) | 10,000,000 | 9,910,680 | ||||||||||
4.550%, 03/11/2026 (1) | 13,000,000 | 13,174,516 | ||||||||||
4.250%, 07/16/2029 (1) | 15,000,000 | 15,097,392 | ||||||||||
Archer-Daniels-Midland Co., | ||||||||||||
3.250%, 03/27/2030 | 7,000,000 | 7,964,241 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 5,000,000 | 5,595,794 | ||||||||||
3.400%, 05/15/2025 | 23,200,000 | 25,495,850 | ||||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,443,929 | ||||||||||
3.875%, 01/15/2026 | 7,000,000 | 7,886,565 | ||||||||||
4.125%, 02/17/2026 | 7,650,000 | 8,717,958 | ||||||||||
2.950%, 07/15/2026 | 6,250,000 | 6,802,158 | ||||||||||
3.800%, 02/15/2027 | 6,300,000 | 7,095,508 | ||||||||||
5.250%, 03/01/2037 | 10,000,000 | 12,364,504 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 12,018,096 | ||||||||||
6.375%, 03/01/2041 | 11,764,000 | 16,667,511 | ||||||||||
6.250%, 03/29/2041 | 2,205,000 | 3,023,418 | ||||||||||
4.800%, 06/15/2044 | 1,375,000 | 1,628,330 | ||||||||||
4.750%, 05/15/2046 | 25,000,000 | 29,971,003 | ||||||||||
5.150%, 11/15/2046 | 16,599,000 | 20,560,322 | ||||||||||
5.150%, 02/15/2050 | 27,500,000 | 35,262,721 | ||||||||||
Baxter International, Inc., | ||||||||||||
3.750%, 10/01/2025 (2) | 7,350,000 | 8,374,084 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
5.500%, 08/15/2025 (2) | 14,400,000 | 17,225,013 | ||||||||||
4.250%, 12/15/2025 (2) | 14,440,000 | 16,578,699 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 1,964,000 | 1,979,605 | ||||||||||
3.363%, 06/06/2024 | 6,300,000 | 6,799,424 | ||||||||||
3.734%, 12/15/2024 | 4,000,000 | 4,412,574 | ||||||||||
2.823%, 05/20/2030 | 15,000,000 | 15,871,642 | ||||||||||
4.875%, 05/15/2044 | 10,815,000 | 13,373,164 | ||||||||||
Bell Canada, Inc.: | ||||||||||||
4.464%, 04/01/2048 (1) | 1,225,000 | 1,549,889 | ||||||||||
4.300%, 07/29/2049 (1) | 4,123,000 | 5,058,480 | ||||||||||
Biogen, Inc., | ||||||||||||
3.150%, 05/01/2050 | 20,000,000 | 19,257,054 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 27,631,000 | 29,587,187 | ||||||||||
5.950%, 06/01/2026 | 28,506,000 | 32,064,030 | ||||||||||
4.450%, 07/15/2027 | 7,000,000 | 7,351,198 | ||||||||||
4.800%, 05/03/2029 | 15,000,000 | 15,973,072 | ||||||||||
Bon Secours Mercy Health, Inc., | ||||||||||||
3.464%, 06/01/2030 | 8,000,000 | 8,839,071 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 6,000,000 | 6,047,328 | ||||||||||
Bristol-Myers Squibb Co.: | ||||||||||||
3.550%, 08/15/2022 (2) | 6,450,000 | 6,848,769 | ||||||||||
3.250%, 02/20/2023 (2) | 6,175,000 | 6,571,204 | ||||||||||
4.000%, 08/15/2023 (2) | 2,477,000 | 2,730,600 | ||||||||||
4.125%, 06/15/2039 (2) | 9,150,000 | 11,648,641 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.625%, 10/15/2024 (2) | 19,075,000 | 20,718,661 | ||||||||||
3.125%, 01/15/2025 | 12,000,000 | 12,818,341 | ||||||||||
3.150%, 11/15/2025 (2) | 23,600,000 | 25,118,005 | ||||||||||
4.250%, 04/15/2026 (2) | 52,000,000 | 57,871,066 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
2.900%, 12/01/2029 | 11,300,000 | 12,078,603 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 12,235,000 | 12,350,638 | ||||||||||
3.000%, 09/25/2022 | 15,000,000 | 15,633,593 | ||||||||||
3.250%, 08/15/2026 | 11,550,000 | 11,944,118 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,000,000 | 3,691,950 | ||||||||||
Cameron LNG LLC, | ||||||||||||
3.302%, 01/15/2035 (2) | 20,000,000 | 22,050,707 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 10,325,000 | 11,595,857 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
6.500%, 02/15/2037 (1) | 982,000 | 1,185,111 | ||||||||||
Carlisle Companies, Inc.: | ||||||||||||
3.500%, 12/01/2024 | 5,000,000 | 5,410,435 | ||||||||||
2.750%, 03/01/2030 | 16,000,000 | 16,468,323 | ||||||||||
Carrier Global Corp.: | ||||||||||||
2.242%, 02/15/2025 (2) | 8,125,000 | 8,307,151 | ||||||||||
2.493%, 02/15/2027 (2) | 25,975,000 | 26,460,593 | ||||||||||
2.700%, 02/15/2031 (2) | 18,500,000 | 18,445,820 | ||||||||||
CCL Industries, Inc., | ||||||||||||
3.050%, 06/01/2030 (1)(2) | 20,000,000 | 20,413,994 | ||||||||||
Celanese US Holdings LLC, | ||||||||||||
3.500%, 05/08/2024 | 10,640,000 | 11,231,469 | ||||||||||
Celulosa Arauco y Constitucion SA, | ||||||||||||
3.875%, 11/02/2027 (1) | 12,000,000 | 12,240,000 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 21,000,000 | 21,367,290 | ||||||||||
5.150%, 03/15/2034 | 3,000,000 | 3,207,930 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 13,773,000 | 14,690,188 | ||||||||||
4.908%, 07/23/2025 | 54,750,000 | 62,748,054 | ||||||||||
3.750%, 02/15/2028 | 5,000,000 | 5,450,560 | ||||||||||
5.050%, 03/30/2029 | 26,000,000 | 30,690,596 | ||||||||||
6.384%, 10/23/2035 | 10,800,000 | 14,271,909 | ||||||||||
Cheniere Corpus Christi Holdings LLC: | ||||||||||||
7.000%, 06/30/2024 | 4,000,000 | 4,550,957 | ||||||||||
5.125%, 06/30/2027 | 18,219,000 | 20,020,332 | ||||||||||
Cigna Corp.: | ||||||||||||
3.900%, 02/15/2022 (2) | 10,000,000 | 10,509,014 | ||||||||||
3.050%, 11/30/2022 (2) | 10,000,000 | 10,523,430 | ||||||||||
3.000%, 07/15/2023 (2) | 5,512,000 | 5,859,394 | ||||||||||
3.500%, 06/15/2024 (2) | 9,000,000 | 9,830,586 | ||||||||||
4.125%, 11/15/2025 | 3,190,000 | 3,666,990 | ||||||||||
4.500%, 02/25/2026 (2) | 9,810,000 | 11,412,021 | ||||||||||
2.400%, 03/15/2030 | 15,000,000 | 15,564,215 | ||||||||||
4.800%, 08/15/2038 | 5,000,000 | 6,335,534 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.875%, 04/05/2022 (1)(2) | 8,000,000 | 8,195,876 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
1.950%, 07/02/2023 | 22,275,000 | 22,421,182 | ||||||||||
4.200%, 01/15/2024 | 2,450,000 | 2,610,484 | ||||||||||
CNH Industrial NV, | ||||||||||||
3.850%, 11/15/2027 (1) | 17,956,000 | 18,924,322 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
4.500%, 06/01/2025 | 6,199,000 | 7,041,615 | ||||||||||
5.800%, 06/01/2045 | 10,776,000 | 13,135,665 | ||||||||||
Comcast Corp.: | ||||||||||||
3.300%, 04/01/2027 | 9,125,000 | 10,233,412 | ||||||||||
3.200%, 07/15/2036 | 6,000,000 | 6,635,306 | ||||||||||
3.969%, 11/01/2047 | 8,622,000 | 10,222,878 | ||||||||||
4.950%, 10/15/2058 | 10,000,000 | 14,222,776 | ||||||||||
CommonSpirit Health, | ||||||||||||
3.347%, 10/01/2029 | 12,900,000 | 13,268,896 | ||||||||||
Conagra Brands, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 332,000 | 333,599 | ||||||||||
9.750%, 03/01/2021 | 4,548,000 | 4,788,743 | ||||||||||
7.125%, 10/01/2026 | 6,441,000 | 8,082,863 | ||||||||||
7.000%, 10/01/2028 | 4,300,000 | 5,728,840 | ||||||||||
5.300%, 11/01/2038 | 5,000,000 | 6,538,564 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 9,000,000 | 10,342,708 | ||||||||||
Costco Wholesale Corp.: | ||||||||||||
1.375%, 06/20/2027 | 8,600,000 | 8,782,290 | ||||||||||
1.600%, 04/20/2030 | 15,000,000 | 15,147,379 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.850%, 02/01/2025 (2) | 4,725,000 | 5,158,460 | ||||||||||
3.350%, 09/15/2026 (2) | 4,450,000 | 4,920,886 | ||||||||||
4.800%, 02/01/2035 (2) | 14,000,000 | 17,609,365 | ||||||||||
8.375%, 03/01/2039 (2) | 19,011,000 | 31,056,816 | ||||||||||
CSX Corp., | ||||||||||||
4.650%, 03/01/2068 | 9,000,000 | 11,733,313 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.625%, 04/01/2027 | 3,000,000 | 3,368,964 | ||||||||||
3.250%, 08/15/2029 | 8,000,000 | 8,839,029 | ||||||||||
4.780%, 03/25/2038 | 33,000,000 | 41,005,864 | ||||||||||
5.125%, 07/20/2045 | 15,000,000 | 19,327,489 | ||||||||||
5.050%, 03/25/2048 | 19,300,000 | 25,280,928 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.400%, 02/22/2022 (2) | 6,550,000 | 6,766,608 | ||||||||||
2.550%, 08/15/2022 (2) | 30,000,000 | 30,770,849 | ||||||||||
1.750%, 03/10/2023 (2) | 20,000,000 | 20,144,711 | ||||||||||
Danone SA, | ||||||||||||
2.589%, 11/02/2023 (1)(2) | 19,600,000 | 20,620,202 | ||||||||||
Dentsply Sirona, | ||||||||||||
3.250%, 06/01/2030 | 5,000,000 | 5,256,584 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 5,661,000 | 8,855,828 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 50,575,000 | 51,988,541 | ||||||||||
5.450%, 06/15/2023 (2) | 15,043,000 | 16,454,218 | ||||||||||
6.020%, 06/15/2026 (2) | 49,408,000 | 56,645,054 | ||||||||||
Dollar General Corp., | ||||||||||||
3.500%, 04/03/2030 | 7,000,000 | 7,862,696 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,324,939 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 10,000,000 | 11,502,041 | ||||||||||
5.319%, 11/15/2038 | 29,000,000 | 36,768,121 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.250%, 04/15/2024 | 54,525,000 | 58,627,713 | ||||||||||
4.750%, 04/15/2027 | 28,201,000 | 30,920,671 | ||||||||||
EI du Pont de Nemours and Co., | ||||||||||||
2.300%, 07/15/2030 | 7,450,000 | 7,738,871 | ||||||||||
Elanco Animal Health, Inc., | ||||||||||||
4.272%, 08/28/2023 | 10,000,000 | 10,500,000 | ||||||||||
Element Fleet Management Corp., | ||||||||||||
3.850%, 06/15/2025 (1)(2) | 15,000,000 | 15,396,993 | ||||||||||
Emerson Electric Co., | ||||||||||||
2.750%, 10/15/2050 | 16,158,000 | 16,280,194 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
3.900%, 05/15/2024 | 5,000,000 | 4,897,646 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,194,380 | ||||||||||
7.375%, 10/15/2045 | 20,000,000 | 28,656,261 | ||||||||||
Encana Corp., | ||||||||||||
3.900%, 11/15/2021 | 20,000,000 | 19,950,509 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
5.500%, 06/01/2027 | 5,468,000 | 6,094,641 | ||||||||||
5.800%, 06/15/2038 | 7,797,000 | 7,945,916 | ||||||||||
6.000%, 06/15/2048 | 10,000,000 | 10,371,776 | ||||||||||
6.250%, 04/15/2049 | 3,850,000 | 4,081,432 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.050%, 03/15/2025 | 21,190,000 | 22,485,389 | ||||||||||
6.050%, 06/01/2041 | 1,968,000 | 2,031,638 | ||||||||||
6.500%, 02/01/2042 | 5,621,000 | 6,088,872 | ||||||||||
5.950%, 10/01/2043 | 3,550,000 | 3,637,777 | ||||||||||
6.125%, 12/15/2045 | 5,797,000 | 5,974,513 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 19,748,107 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
3.700%, 02/15/2026 | 8,350,000 | 9,383,750 | ||||||||||
5.750%, 03/01/2035 | 4,930,000 | 6,097,080 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 10,405,000 | 10,475,026 | ||||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,841,870 | ||||||||||
4.125%, 12/01/2026 | 10,000,000 | 9,168,700 | ||||||||||
Equinix, Inc., | ||||||||||||
2.150%, 07/15/2030 | 9,675,000 | 9,590,150 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
3.300%, 12/01/2026 (2) | 20,225,000 | 20,538,194 | ||||||||||
Exxon Mobil Corp.: | ||||||||||||
1.571%, 04/15/2023 | 3,500,000 | 3,592,105 | ||||||||||
2.992%, 03/19/2025 | 33,700,000 | 36,590,949 | ||||||||||
3.294%, 03/19/2027 | 10,000,000 | 11,222,176 | ||||||||||
3.482%, 03/19/2030 | 22,250,000 | 25,321,869 | ||||||||||
2.610%, 10/15/2030 | 14,500,000 | 15,522,843 | ||||||||||
FedEx Corp., | ||||||||||||
4.950%, 10/17/2048 | 15,000,000 | 17,403,247 | ||||||||||
Ferguson Finance PLC: | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 34,125,000 | 37,884,515 | ||||||||||
3.250%, 06/02/2030 (1)(2) | 28,100,000 | 28,788,459 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 12,188,000 | 13,048,658 | ||||||||||
3.875%, 06/05/2024 | 582,000 | 642,353 | ||||||||||
4.500%, 08/15/2046 | 17,040,000 | 21,029,963 | ||||||||||
Fiserv, Inc.: | ||||||||||||
3.500%, 10/01/2022 | 5,410,000 | 5,717,459 | ||||||||||
3.200%, 07/01/2026 | 11,650,000 | 12,894,335 | ||||||||||
4.200%, 10/01/2028 | 5,000,000 | 5,867,028 | ||||||||||
2.650%, 06/01/2030 | 28,900,000 | 30,621,573 | ||||||||||
4.400%, 07/01/2049 | 3,500,000 | 4,259,793 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
2.550%, 07/01/2030 (2) | 18,500,000 | 18,944,841 | ||||||||||
FMC Corp.: | ||||||||||||
4.100%, 02/01/2024 | 46,920,000 | 50,647,644 | ||||||||||
3.200%, 10/01/2026 | 5,000,000 | 5,397,418 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 5,000,000 | 5,180,874 | ||||||||||
4.375%, 05/10/2043 (1) | 1,874,000 | 2,263,963 | ||||||||||
3.500%, 01/16/2050 (1) | 20,500,000 | 21,159,288 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.200%, 01/15/2021 | 25,000,000 | 24,625,000 | ||||||||||
3.336%, 03/18/2021 | 7,500,000 | 7,422,825 | ||||||||||
3.339%, 03/28/2022 | 5,000,000 | 4,836,000 | ||||||||||
2.979%, 08/03/2022 | 34,690,000 | 33,248,631 | ||||||||||
3.087%, 01/09/2023 | 5,900,000 | 5,619,750 | ||||||||||
4.140%, 02/15/2023 | 10,000,000 | 9,784,500 | ||||||||||
5.584%, 03/18/2024 | 9,350,000 | 9,440,695 | ||||||||||
3.664%, 09/08/2024 | 5,565,000 | 5,246,181 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 5,125,000 | 5,189,617 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
3.250%, 09/15/2029 | 15,000,000 | 15,992,296 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 14,530,000 | 15,730,015 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 14,200,000 | 15,402,462 | ||||||||||
General Dynamics Corp.: | ||||||||||||
3.250%, 04/01/2025 | 4,000,000 | 4,436,089 | ||||||||||
3.500%, 04/01/2027 | 10,500,000 | 12,004,977 | ||||||||||
General Electric Co.: | ||||||||||||
3.150%, 09/07/2022 | 11,538,000 | 12,082,899 | ||||||||||
3.100%, 01/09/2023 | 2,850,000 | 2,984,790 | ||||||||||
3.450%, 05/01/2027 | 4,000,000 | 4,094,057 | ||||||||||
3.625%, 05/01/2030 | 10,000,000 | 10,011,307 | ||||||||||
6.150%, 08/07/2037 | 13,124,000 | 15,295,754 | ||||||||||
6.875%, 01/10/2039 | 5,000,000 | 6,142,387 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.450%, 11/06/2020 | 9,000,000 | 9,014,103 | ||||||||||
4.200%, 03/01/2021 | 30,000,000 | 30,398,908 | ||||||||||
4.375%, 09/25/2021 | 2,675,000 | 2,747,305 | ||||||||||
3.450%, 01/14/2022 | 5,000,000 | 5,081,917 | ||||||||||
3.150%, 06/30/2022 | 6,000,000 | 6,104,225 | ||||||||||
5.100%, 01/17/2024 | 33,000,000 | 35,273,551 | ||||||||||
2.900%, 02/26/2025 | 13,000,000 | 12,948,162 | ||||||||||
Genpact Luxembourg Sarl, | ||||||||||||
3.375%, 12/01/2024 (1) | 24,000,000 | 24,766,543 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
4.600%, 09/01/2035 | 4,600,000 | 6,036,202 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 13,691,000 | 14,636,077 | ||||||||||
4.625%, 04/29/2024 (2) | 35,620,000 | 38,989,937 | ||||||||||
4.000%, 04/16/2025 (2) | 4,450,000 | 4,835,719 | ||||||||||
4.000%, 03/27/2027 (2) | 25,550,000 | 27,384,036 | ||||||||||
3.875%, 10/27/2027 (2) | 2,000,000 | 2,125,839 | ||||||||||
4.875%, 03/12/2029 (2) | 11,000,000 | 12,398,992 | ||||||||||
Global Payments, Inc.: | ||||||||||||
4.000%, 06/01/2023 | 19,700,000 | 21,356,087 | ||||||||||
2.900%, 05/15/2030 | 14,467,000 | 15,181,015 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 17,505,000 | 18,336,951 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 18,220,000 | 19,567,941 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 7,400,000 | 8,273,917 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 25,000,000 | 27,605,750 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,698,869 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 5,000,000 | 5,693,506 | ||||||||||
Halliburton Co., | ||||||||||||
3.800%, 11/15/2025 | 551,000 | 595,147 | ||||||||||
HCA, Inc.: | ||||||||||||
5.250%, 04/15/2025 | 30,686,000 | 35,192,622 | ||||||||||
4.500%, 02/15/2027 | 5,000,000 | 5,574,854 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.600%, 10/15/2020 | 10,000,000 | 10,062,800 | ||||||||||
4.400%, 10/15/2022 | 15,150,000 | 16,218,539 | ||||||||||
HP, Inc.: | ||||||||||||
2.200%, 06/17/2025 | 15,000,000 | 15,482,441 | ||||||||||
3.000%, 06/17/2027 | 35,000,000 | 36,694,567 | ||||||||||
Hubbell, Inc., | ||||||||||||
3.150%, 08/15/2027 | 11,700,000 | 12,163,800 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.400%, 04/15/2029 (1) | 20,000,000 | 19,991,918 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
3.625%, 10/31/2024 (1)(2) | 7,850,000 | 8,510,667 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.750%, 09/18/2020 (2) | 6,000,000 | 6,013,060 | ||||||||||
3.000%, 03/18/2021 (2) | 15,000,000 | 15,146,803 | ||||||||||
3.750%, 07/08/2021 (2) | 12,950,000 | 13,193,364 | ||||||||||
3.950%, 02/01/2022 (2) | 17,222,000 | 17,714,245 | ||||||||||
3.100%, 04/05/2022 (2) | 21,255,000 | 21,681,732 | ||||||||||
3.000%, 06/20/2022 (2) | 6,222,000 | 6,337,441 | ||||||||||
3.400%, 06/20/2024 (2) | 19,025,000 | 19,622,464 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 5,150,000 | 5,162,131 | ||||||||||
Infor, Inc., | ||||||||||||
1.750%, 07/15/2025 (2) | 17,375,000 | 17,447,591 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.500%, 03/21/2049 (1) | 10,000,000 | 11,962,620 | ||||||||||
Ingredion, Inc., | ||||||||||||
2.900%, 06/01/2030 | 26,775,000 | 28,508,544 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 11,325,000 | 13,712,422 | ||||||||||
JM Smucker Co.: | ||||||||||||
3.500%, 03/15/2025 | 5,000,000 | 5,541,237 | ||||||||||
2.375%, 03/15/2030 | 9,125,000 | 9,316,725 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
6.000%, 01/15/2036 (1) | 892,000 | 1,121,507 | ||||||||||
4.500%, 02/15/2047 (1) | 4,400,000 | 5,014,256 | ||||||||||
4.950%, 07/02/2064 (1)(7) | 1,713,000 | 2,033,212 | ||||||||||
Kansas City Southern: | ||||||||||||
4.700%, 05/01/2048 | 10,075,000 | 12,708,460 | ||||||||||
3.500%, 05/01/2050 | 12,000,000 | 12,822,591 | ||||||||||
Kellogg Co., | ||||||||||||
2.100%, 06/01/2030 | 20,000,000 | 20,258,782 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
4.600%, 04/06/2027 | 22,450,000 | 26,423,561 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
4.300%, 05/01/2024 | 10,000,000 | 10,963,707 | ||||||||||
6.950%, 01/15/2038 | 14,008,000 | 18,772,977 | ||||||||||
6.500%, 09/01/2039 | 5,359,000 | 6,747,029 | ||||||||||
7.500%, 11/15/2040 | 6,617,000 | 9,339,083 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021 (2) | 4,155,000 | 4,244,310 | ||||||||||
5.625%, 11/15/2023 (2) | 5,017,000 | 5,655,844 | ||||||||||
8.050%, 10/15/2030 | 3,670,000 | 4,834,499 | ||||||||||
7.800%, 08/01/2031 | 14,995,000 | 20,351,293 | ||||||||||
7.750%, 01/15/2032 | 26,569,000 | 37,134,367 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.800%, 07/02/2020 | 563,000 | 563,000 | ||||||||||
4.000%, 06/15/2023 | 7,000,000 | 7,378,152 | ||||||||||
3.000%, 06/01/2026 | 10,000,000 | 10,078,785 | ||||||||||
5.000%, 07/15/2035 | 14,740,000 | 16,218,188 | ||||||||||
L3Harris Technologies, Inc., | ||||||||||||
3.832%, 04/27/2025 | 5,000,000 | 5,580,286 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,489,472 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 893,000 | 1,170,471 | ||||||||||
Leidos, Inc.: | ||||||||||||
3.625%, 05/15/2025 (2) | 12,925,000 | 14,084,502 | ||||||||||
4.375%, 05/15/2030 (2) | 11,500,000 | 12,954,175 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 496,000 | 502,200 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 5,930,000 | 6,117,115 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.100%, 01/15/2023 | 5,000,000 | 5,317,367 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
3.200%, 03/15/2025 | 5,000,000 | 5,064,442 | ||||||||||
3.950%, 03/01/2050 | 5,100,000 | 5,100,497 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 10,825,000 | 10,928,006 | ||||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,706,003 | ||||||||||
4.750%, 09/15/2044 | 1,500,000 | 1,563,687 | ||||||||||
Marshfield Clinic Health System, Inc., | ||||||||||||
2.703%, 02/15/2030 | 10,650,000 | 10,729,789 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.500%, 03/15/2030 | 6,200,000 | 6,240,958 | ||||||||||
6.250%, 05/01/2037 | 893,000 | 1,117,943 | ||||||||||
Masco Corp., | ||||||||||||
4.450%, 04/01/2025 | 5,000,000 | 5,662,985 | ||||||||||
McDonald's Corp.: | ||||||||||||
3.300%, 07/01/2025 | 3,000,000 | 3,332,809 | ||||||||||
3.500%, 07/01/2027 | 6,000,000 | 6,812,931 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.150%, 03/15/2022 | 1,562,000 | 1,637,741 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 19,981,000 | 20,370,409 | ||||||||||
4.333%, 06/01/2023 | 16,455,000 | 17,750,995 | ||||||||||
Microsoft Corp.: | ||||||||||||
3.950%, 08/08/2056 | 9,903,000 | 12,728,069 | ||||||||||
2.675%, 06/01/2060 | 2,097,000 | 2,181,574 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
3.900%, 04/15/2025 (2) | 9,365,000 | 9,758,107 | ||||||||||
Mosaic Co.: | ||||||||||||
4.250%, 11/15/2023 | 36,878,000 | 38,696,546 | ||||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,122,816 | ||||||||||
4.875%, 11/15/2041 | 5,000,000 | 4,915,517 | ||||||||||
MPLX LP: | ||||||||||||
4.500%, 07/15/2023 | 18,255,000 | 19,622,549 | ||||||||||
5.250%, 01/15/2025 | 9,276,000 | 9,645,454 | ||||||||||
4.000%, 02/15/2025 | 6,000,000 | 6,411,868 | ||||||||||
4.875%, 06/01/2025 | 18,665,000 | 20,835,361 | ||||||||||
4.125%, 03/01/2027 | 11,700,000 | 12,463,085 | ||||||||||
4.500%, 04/15/2038 | 5,725,000 | 5,726,079 | ||||||||||
Mylan NV: | ||||||||||||
3.150%, 06/15/2021 (1) | 5,000,000 | 5,104,536 | ||||||||||
3.950%, 06/15/2026 (1) | 32,400,000 | 36,224,873 | ||||||||||
Mylan, Inc.: | ||||||||||||
3.125%, 01/15/2023 (2) | 5,000,000 | 5,254,918 | ||||||||||
4.550%, 04/15/2028 | 14,500,000 | 16,659,541 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 15,000,000 | 15,447,000 | ||||||||||
NIKE, Inc., | ||||||||||||
2.850%, 03/27/2030 | 7,000,000 | 7,784,462 | ||||||||||
Norfolk Southern Corp., | ||||||||||||
3.050%, 05/15/2050 | 15,000,000 | 15,444,226 | ||||||||||
Nutrien Ltd.: | ||||||||||||
3.375%, 03/15/2025 (1) | 5,125,000 | 5,586,534 | ||||||||||
4.200%, 04/01/2029 (1) | 7,000,000 | 8,123,250 | ||||||||||
nVent Finance Sarl, | ||||||||||||
4.550%, 04/15/2028 (1) | 26,190,000 | 28,016,424 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
3.200%, 08/15/2026 | 11,000,000 | 8,937,500 | ||||||||||
7.500%, 05/01/2031 | 7,170,000 | 6,666,021 | ||||||||||
7.875%, 09/15/2031 | 6,320,000 | 5,984,281 | ||||||||||
ONEOK, Inc.: | ||||||||||||
7.500%, 09/01/2023 | 5,000,000 | 5,736,205 | ||||||||||
2.750%, 09/01/2024 | 1,200,000 | 1,210,690 | ||||||||||
Oracle Corp., | ||||||||||||
2.800%, 04/01/2027 | 41,225,000 | 45,022,025 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031 (1) | 29,044,000 | 47,385,027 | ||||||||||
Otis Worldwide Corp., | ||||||||||||
3.362%, 02/15/2050 (2) | 3,025,000 | 3,203,370 | ||||||||||
PACCAR Financial Corp., | ||||||||||||
2.650%, 04/06/2023 | 15,000,000 | 15,830,877 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 286,000 | 304,590 | ||||||||||
Penske Truck Leasing Co., | ||||||||||||
2.700%, 11/01/2024 (2) | 5,275,000 | 5,427,035 | ||||||||||
PepsiCo, Inc., | ||||||||||||
2.750%, 03/19/2030 | 22,000,000 | 24,522,828 | ||||||||||
PerkinElmer, Inc., | ||||||||||||
3.300%, 09/15/2029 | 24,200,000 | 25,937,779 | ||||||||||
Pernod Ricard SA: | ||||||||||||
4.450%, 01/15/2022 (1)(2) | 331,000 | 349,511 | ||||||||||
4.250%, 07/15/2022 (1)(2) | 20,527,000 | 21,907,032 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
4.375%, 03/15/2026 (1) | 4,875,000 | 5,316,415 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 3,938,000 | 4,570,808 | ||||||||||
Phillips 66: | ||||||||||||
2.150%, 12/15/2030 | 12,000,000 | 11,648,464 | ||||||||||
5.875%, 05/01/2042 | 6,000,000 | 8,115,563 | ||||||||||
4.875%, 11/15/2044 | 21,130,000 | 26,159,853 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 3,000,000 | 3,201,888 | ||||||||||
3.550%, 10/01/2026 | 7,000,000 | 7,586,020 | ||||||||||
3.150%, 12/15/2029 | 12,000,000 | 12,285,800 | ||||||||||
Plains All American Pipeline LP / PAA Finance Corp., | ||||||||||||
3.550%, 12/15/2029 | 10,000,000 | 9,742,551 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020 (1)(2) | 975,000 | 984,029 | ||||||||||
Procter & Gamble Co., | ||||||||||||
3.000%, 03/25/2030 | 9,150,000 | 10,475,668 | ||||||||||
Raytheon Technologies Corp.: | ||||||||||||
3.500%, 03/15/2027 (2) | 9,578,000 | 10,777,601 | ||||||||||
7.500%, 09/15/2029 | 8,000,000 | 11,440,781 | ||||||||||
2.250%, 07/01/2030 | 12,375,000 | 12,888,573 | ||||||||||
4.350%, 04/15/2047 (2) | 9,175,000 | 11,122,099 | ||||||||||
3.125%, 07/01/2050 | 6,000,000 | 6,376,718 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.875%, 03/01/2022 | 8,955,000 | 9,449,080 | ||||||||||
Rio Tinto Alcan, Inc., | ||||||||||||
5.750%, 06/01/2035 (1) | 446,000 | 641,564 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 17,500,000 | 20,001,257 | ||||||||||
5.875%, 06/30/2026 | 60,000,000 | 70,500,000 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.750%, 10/24/2023 (1)(2)(9) | 4,463,000 | 2,298,490 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.750%, 06/01/2023 (1) | 7,500,000 | 7,909,649 | ||||||||||
Shell International Finance BV: | ||||||||||||
2.375%, 04/06/2025 (1) | 8,875,000 | 9,421,063 | ||||||||||
3.250%, 05/11/2025 (1) | 5,725,000 | 6,342,197 | ||||||||||
2.750%, 04/06/2030 (1) | 8,750,000 | 9,486,648 | ||||||||||
4.125%, 05/11/2035 (1) | 10,000,000 | 12,083,579 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 4,000,000 | 4,869,493 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023 (1) | 26,223,000 | 27,791,725 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027 (1)(2) | 1,339,000 | 1,764,669 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021 (2) | 6,000,000 | 5,933,765 | ||||||||||
3.350%, 02/01/2022 (2) | 30,802,000 | 30,564,389 | ||||||||||
Sociedad Quimica y Minera de Chile SA, | ||||||||||||
3.625%, 04/03/2023 (1)(2) | 10,000,000 | 10,315,000 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025 (2) | 61,307,000 | 69,252,940 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
4.500%, 03/15/2045 | 7,000,000 | 7,943,778 | ||||||||||
Steel Dynamics, Inc.: | ||||||||||||
2.400%, 06/15/2025 | 5,000,000 | 5,149,495 | ||||||||||
3.250%, 01/15/2031 | 7,000,000 | 7,139,625 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.900%, 07/15/2026 | 12,000,000 | 12,604,383 | ||||||||||
5.400%, 10/01/2047 | 7,425,000 | 7,428,811 | ||||||||||
Suntory Holdings Ltd.: | ||||||||||||
2.550%, 06/28/2022 (1)(2) | 16,500,000 | 16,967,540 | ||||||||||
2.250%, 10/16/2024 (1)(2) | 8,500,000 | 8,852,983 | ||||||||||
Sysco Corp.: | ||||||||||||
5.650%, 04/01/2025 | 10,165,000 | 11,865,272 | ||||||||||
3.300%, 07/15/2026 | 11,550,000 | 12,369,642 | ||||||||||
Takeda Pharmaceutical Co. Ltd., | ||||||||||||
3.175%, 07/09/2050 (1)(8) | 25,000,000 | 24,918,897 | ||||||||||
Target Corp., | ||||||||||||
2.250%, 04/15/2025 | 15,850,000 | 16,951,731 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 31,115,000 | 33,339,638 | ||||||||||
3.900%, 05/25/2027 | 10,327,000 | 10,861,745 | ||||||||||
Telecom Italia Capital SA, | ||||||||||||
7.200%, 07/18/2036 (1) | 5,475,000 | 6,515,250 | ||||||||||
Telefonica Emisiones SA: | ||||||||||||
5.462%, 02/16/2021 (1) | 8,830,000 | 9,090,597 | ||||||||||
4.665%, 03/06/2038 (1) | 4,000,000 | 4,787,188 | ||||||||||
5.213%, 03/08/2047 (1) | 7,225,000 | 8,998,936 | ||||||||||
5.520%, 03/01/2049 (1) | 10,375,000 | 13,644,538 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
4.895%, 03/06/2048 (1) | 12,550,000 | 15,137,703 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023 (1) | 25,000,000 | 23,617,188 | ||||||||||
3.150%, 10/01/2026 (1) | 15,000,000 | 13,393,200 | ||||||||||
Textron, Inc., | ||||||||||||
3.000%, 06/01/2030 | 19,675,000 | 19,587,888 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.000%, 04/15/2023 | 7,975,000 | 8,450,762 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.550%, 05/01/2037 | 893,000 | 1,174,777 | ||||||||||
6.750%, 06/15/2039 | 2,767,000 | 3,676,802 | ||||||||||
Timken Co.: | ||||||||||||
3.875%, 09/01/2024 | 6,255,000 | 6,562,616 | ||||||||||
4.500%, 12/15/2028 | 6,550,000 | 7,060,268 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||||||
7.250%, 12/01/2026 | 3,500,000 | 4,403,886 | ||||||||||
4.600%, 03/15/2048 | 5,150,000 | 5,856,213 | ||||||||||
TTX Co.: | ||||||||||||
3.600%, 01/15/2025 (2) | 5,000,000 | 5,495,824 | ||||||||||
3.900%, 02/01/2045 (2) | 10,250,000 | 11,945,721 | ||||||||||
4.600%, 02/01/2049 (2) | 8,325,000 | 10,785,598 | ||||||||||
Tyson Foods, Inc., | ||||||||||||
5.100%, 09/23/2048 | 10,000,000 | 12,861,940 | ||||||||||
Upjohn, Inc.: | ||||||||||||
3.850%, 06/22/2040 (2) | 5,000,000 | 5,373,272 | ||||||||||
4.000%, 06/22/2050 (2) | 11,000,000 | 11,699,436 | ||||||||||
UPMC, | ||||||||||||
3.600%, 04/03/2025 | 45,000,000 | 48,732,383 | ||||||||||
Valaris PLC, | ||||||||||||
5.200%, 03/15/2025 (1) | 4,000,000 | 339,800 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
6.250%, 08/10/2026 (1) | 15,806,000 | 18,591,808 | ||||||||||
8.250%, 01/17/2034 (1) | 8,526,000 | 11,947,057 | ||||||||||
6.875%, 11/21/2036 (1) | 3,483,000 | 4,550,540 | ||||||||||
6.875%, 11/10/2039 (1) | 16,643,000 | 21,719,281 | ||||||||||
Valero Energy Corp.: | ||||||||||||
2.850%, 04/15/2025 | 15,000,000 | 15,829,143 | ||||||||||
4.000%, 04/01/2029 | 15,475,000 | 17,213,938 | ||||||||||
6.625%, 06/15/2037 | 2,100,000 | 2,792,627 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.375%, 12/15/2026 | 10,000,000 | 11,337,522 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 8,325,000 | 8,675,913 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.000%, 03/22/2027 | 5,000,000 | 5,546,695 | ||||||||||
4.329%, 09/21/2028 | 3,077,000 | 3,703,239 | ||||||||||
4.500%, 08/10/2033 | 16,325,000 | 20,335,250 | ||||||||||
4.272%, 01/15/2036 | 8,148,000 | 10,076,543 | ||||||||||
5.250%, 03/16/2037 | 28,793,000 | 38,546,958 | ||||||||||
4.812%, 03/15/2039 | 36,839,000 | 48,121,929 | ||||||||||
4.862%, 08/21/2046 | 2,500,000 | 3,394,891 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030 (1) | 3,100,000 | 4,514,826 | ||||||||||
5.000%, 05/30/2038 (1) | 6,800,000 | 8,546,349 | ||||||||||
4.375%, 02/19/2043 (1) | 15,554,000 | 18,102,084 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
4.000%, 11/12/2021 (2) | 8,845,000 | 9,207,670 | ||||||||||
4.250%, 11/13/2023 (2) | 17,350,000 | 18,986,292 | ||||||||||
2.850%, 09/26/2024 (2) | 14,000,000 | 14,730,565 | ||||||||||
3.350%, 05/13/2025 (2) | 10,000,000 | 10,672,358 | ||||||||||
Vulcan Materials Co., | ||||||||||||
4.700%, 03/01/2048 | 3,446,000 | 3,972,830 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,806,485 | ||||||||||
4.400%, 03/15/2024 | 24,825,000 | 26,318,056 | ||||||||||
3.450%, 11/15/2026 | 19,315,000 | 19,882,485 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,583,431 | ||||||||||
3.450%, 06/01/2026 | 5,934,000 | 6,427,677 | ||||||||||
3.200%, 04/15/2030 | 13,575,000 | 14,024,389 | ||||||||||
4.500%, 11/18/2034 | 4,750,000 | 5,310,077 | ||||||||||
4.800%, 11/18/2044 | 8,520,000 | 9,225,759 | ||||||||||
Waste Connections, Inc., | ||||||||||||
2.600%, 02/01/2030 (1) | 7,525,000 | 7,940,049 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.450%, 06/15/2029 | 5,000,000 | 5,150,365 | ||||||||||
Western Gas Partners LP: | ||||||||||||
4.000%, 07/01/2022 | 10,463,000 | 10,429,518 | ||||||||||
3.950%, 06/01/2025 | 8,000,000 | 7,493,760 | ||||||||||
Western Midstream Operating LP, | ||||||||||||
3.100%, 02/01/2025 | 20,000,000 | 18,950,000 | ||||||||||
WestRock MWV LLC, | ||||||||||||
8.200%, 01/15/2030 | 7,963,000 | 11,262,534 | ||||||||||
Williams Companies, Inc.: | ||||||||||||
3.600%, 03/15/2022 | 10,176,000 | 10,575,001 | ||||||||||
3.700%, 01/15/2023 | 1,690,000 | 1,786,771 | ||||||||||
4.300%, 03/04/2024 | 7,310,000 | 7,947,269 | ||||||||||
4.550%, 06/24/2024 | 7,000,000 | 7,766,130 | ||||||||||
3.900%, 01/15/2025 | 3,160,000 | 3,459,679 | ||||||||||
8.750%, 03/15/2032 | 4,000,000 | 5,931,393 | ||||||||||
6.300%, 04/15/2040 | 2,767,000 | 3,332,432 | ||||||||||
4.850%, 03/01/2048 | 7,000,000 | 7,656,979 | ||||||||||
Woodside Finance Ltd.: | ||||||||||||
3.650%, 03/05/2025 (1)(2) | 12,300,000 | 12,891,231 | ||||||||||
4.500%, 03/04/2029 (1)(2) | 10,000,000 | 10,776,936 | ||||||||||
WRKCo, Inc., | ||||||||||||
3.000%, 09/15/2024 | 14,895,000 | 15,833,518 | ||||||||||
Xylem, Inc.: | ||||||||||||
1.950%, 01/30/2028 | 10,000,000 | 10,085,763 | ||||||||||
2.250%, 01/30/2031 | 9,325,000 | 9,383,641 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026 (1)(2) | 13,965,000 | 15,044,996 | ||||||||||
Zimmer Biomet Holdings, Inc.: | ||||||||||||
3.550%, 04/01/2025 | 20,996,000 | 22,804,249 | ||||||||||
5.750%, 11/30/2039 | 9,850,000 | 12,651,786 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,854,160 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 5,145,000 | 5,189,611 | ||||||||||
3.250%, 02/01/2023 | 34,200,000 | 36,095,471 | ||||||||||
4.700%, 02/01/2043 | 3,568,000 | 4,703,898 | ||||||||||
Total Industrials (Cost $5,796,993,133) | 6,227,483,409 | 23.1 | % |
Utilities | ||||||||||||
Ameren Corp.: | ||||||||||||
2.700%, 11/15/2020 | 10,000,000 | 10,061,194 | ||||||||||
3.500%, 01/15/2031 | 20,000,000 | 22,452,388 | ||||||||||
American Electric Power Co., Inc., | ||||||||||||
3.250%, 03/01/2050 | 10,175,000 | 10,497,999 | ||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023 (1)(2) | 5,000,000 | 5,257,255 | ||||||||||
Avangrid, Inc., | ||||||||||||
3.200%, 04/15/2025 | 14,000,000 | 15,310,839 | ||||||||||
Berkshire Hathaway Energy Co.: | ||||||||||||
4.050%, 04/15/2025 (2) | 5,000,000 | 5,716,696 | ||||||||||
3.700%, 07/15/2030 (2) | 18,425,000 | 21,564,946 | ||||||||||
Consumers Energy Co., | ||||||||||||
3.500%, 08/01/2051 | 9,400,000 | 11,141,590 | ||||||||||
Dominion Energy, Inc.: | ||||||||||||
2.450%, 01/15/2023 (2) | 15,000,000 | 15,478,963 | ||||||||||
3.375%, 04/01/2030 | 10,000,000 | 11,038,305 | ||||||||||
Duke Energy Corp., | ||||||||||||
2.650%, 09/01/2026 | 10,000,000 | 10,849,573 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,116,109 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024 (1)(2) | 19,175,000 | 20,589,453 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,000,000 | 7,240,434 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 22,790,000 | 24,882,190 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 8,000,000 | 8,605,368 | ||||||||||
4.875%, 06/14/2029 (1)(2) | 6,615,000 | 7,813,629 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 4,565,000 | 6,329,637 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 34,392,000 | 41,040,225 | ||||||||||
Entergy Corp., | ||||||||||||
2.950%, 09/01/2026 | 13,075,000 | 14,443,287 | ||||||||||
Essential Utilities, Inc., | ||||||||||||
2.704%, 04/15/2030 | 14,100,000 | 14,742,162 | ||||||||||
Evergy, Inc., | ||||||||||||
2.450%, 09/15/2024 | 6,675,000 | 7,050,152 | ||||||||||
Exelon Corp.: | ||||||||||||
4.050%, 04/15/2030 | 8,900,000 | 10,276,836 | ||||||||||
4.950%, 06/15/2035 | 3,500,000 | 4,312,747 | ||||||||||
FirstEnergy Corp.: | ||||||||||||
2.650%, 03/01/2030 | 4,300,000 | 4,488,226 | ||||||||||
3.400%, 03/01/2050 | 15,000,000 | 15,838,756 | ||||||||||
Interstate Power and Light Co., | ||||||||||||
2.300%, 06/01/2030 | 9,350,000 | 9,526,270 | ||||||||||
ITC Holdings Corp.: | ||||||||||||
3.350%, 11/15/2027 | 25,581,000 | 28,302,297 | ||||||||||
2.950%, 05/14/2030 (2) | 10,000,000 | 10,650,732 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 4,909,000 | 5,027,454 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
8.000%, 03/01/2032 | 4,659,000 | 7,331,116 | ||||||||||
NiSource, Inc.: | ||||||||||||
3.600%, 05/01/2030 | 4,585,000 | 5,251,713 | ||||||||||
5.250%, 02/15/2043 | 5,779,000 | 7,428,920 | ||||||||||
3.950%, 03/30/2048 | 11,750,000 | 13,592,192 | ||||||||||
Oncor Electric Delivery Co. LLC, | ||||||||||||
2.750%, 05/15/2030 (2) | 9,500,000 | 10,368,175 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 526,056 | 547,824 | ||||||||||
Southern Co., | ||||||||||||
4.250%, 07/01/2036 | 5,525,000 | 6,293,002 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 1,785,000 | 1,860,214 | ||||||||||
Xcel Energy, Inc., | ||||||||||||
3.400%, 06/01/2030 | 15,000,000 | 17,234,286 | ||||||||||
Total Utilities (Cost $417,080,797) | 455,553,154 | 1.7 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
7.750%, 05/15/2023 (1)(2) | 7,200,000 | 8,271,598 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 59,016,000 | 65,040,235 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 19,705,000 | 21,945,853 | ||||||||||
AerCap Holdings NV: | ||||||||||||
4.875%, 01/16/2024 (1) | 20,000,000 | 19,875,420 | ||||||||||
2.875%, 08/14/2024 (1) | 20,000,000 | 18,777,798 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 6,000,000 | 6,357,332 | ||||||||||
Air Lease Corp.: | ||||||||||||
4.250%, 02/01/2024 | 8,550,000 | 8,798,040 | ||||||||||
2.300%, 02/01/2025 | 15,000,000 | 14,345,402 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 10,830,000 | 11,118,689 | ||||||||||
4.875%, 06/01/2022 | 17,698,000 | 19,102,395 | ||||||||||
4.125%, 02/15/2024 | 893,000 | 996,722 | ||||||||||
3.750%, 07/10/2025 | 12,135,000 | 13,429,088 | ||||||||||
3.875%, 01/15/2035 | 4,875,000 | 5,587,730 | ||||||||||
6.820%, 11/15/2037 | 1,410,000 | 1,986,690 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
3.000%, 04/02/2025 | 13,700,000 | 14,870,029 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 223,000 | 270,699 | ||||||||||
Anthem, Inc.: | ||||||||||||
2.375%, 01/15/2025 | 6,000,000 | 6,368,078 | ||||||||||
5.100%, 01/15/2044 | 1,584,000 | 2,085,672 | ||||||||||
4.375%, 12/01/2047 | 8,650,000 | 10,763,084 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020 (1)(2) | 15,350,000 | 15,386,734 | ||||||||||
2.750%, 02/03/2021 (1)(2) | 3,000,000 | 3,037,820 | ||||||||||
3.400%, 03/19/2024 (1)(2) | 2,000,000 | 2,163,856 | ||||||||||
Aon PLC: | ||||||||||||
4.000%, 11/27/2023 (1) | 6,150,000 | 6,722,235 | ||||||||||
3.875%, 12/15/2025 (1) | 9,126,000 | 10,361,436 | ||||||||||
4.450%, 05/24/2043 (1) | 1,274,000 | 1,486,538 | ||||||||||
ASB Bank Ltd., | ||||||||||||
3.750%, 06/14/2023 (1)(2) | 10,000,000 | 10,796,745 | ||||||||||
Australia & New Zealand Banking Group Ltd.: | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 44,423,000 | 48,238,453 | ||||||||||
2.950%, 07/22/2030 (5 Year CMT Rate + 1.288%) (1)(2)(3) | 5,000,000 | 5,099,662 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 13,000,000 | 13,520,405 | ||||||||||
2.746%, 05/28/2025 (1) | 7,000,000 | 7,254,205 | ||||||||||
5.179%, 11/19/2025 (1) | 14,000,000 | 15,760,218 | ||||||||||
4.379%, 04/12/2028 (1) | 13,400,000 | 14,971,615 | ||||||||||
3.490%, 05/28/2030 (1) | 5,000,000 | 5,369,029 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 29,000,000 | 29,026,788 | ||||||||||
3.300%, 01/11/2023 | 7,000,000 | 7,470,936 | ||||||||||
4.125%, 01/22/2024 | 15,000,000 | 16,660,215 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 28,881,000 | 31,325,545 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 15,000,000 | 16,227,646 | ||||||||||
2.456%, 10/22/2025 (3 Month LIBOR USD + 0.870%) (3) | 17,775,000 | 18,673,668 | ||||||||||
3.559%, 04/23/2027 (3 Month LIBOR USD + 1.060%) (3) | 9,000,000 | 10,044,730 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,617,243 | ||||||||||
3.194%, 07/23/2030 (3 Month LIBOR USD + 1.180%) (3) | 5,000,000 | 5,519,535 | ||||||||||
2.496%, 02/13/2031 (3 Month LIBOR USD + 0.990%) (3) | 13,000,000 | 13,629,091 | ||||||||||
2.592%, 04/29/2031 (SOFR + 2.150%) (3) | 60,000,000 | 63,488,735 | ||||||||||
7.750%, 05/14/2038 | 1,138,000 | 1,860,423 | ||||||||||
Bank of New Zealand, | ||||||||||||
2.000%, 02/21/2025 (1)(2) | 16,000,000 | 16,626,378 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 10,000,000 | 10,434,464 | ||||||||||
4.500%, 12/16/2025 (1) | 8,500,000 | 9,657,747 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||||||
4.100%, 09/09/2023 (1)(2) | 2,911,000 | 3,198,304 | ||||||||||
3.750%, 03/10/2024 (1)(2) | 2,800,000 | 3,068,098 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.700%, 07/20/2022 (1)(2) | 5,000,000 | 5,197,859 | ||||||||||
3.750%, 07/20/2023 (1)(2) | 34,100,000 | 36,856,101 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.180%, 06/12/2021 (1)(2) | 12,770,000 | 13,809,413 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 12,175,000 | 12,333,275 | ||||||||||
3.684%, 01/10/2023 (1) | 25,475,000 | 26,437,935 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,529,100 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 13,000,000 | 14,003,147 | ||||||||||
3.650%, 03/16/2025 (1) | 8,100,000 | 8,781,291 | ||||||||||
3.932%, 05/07/2025 (3 Month LIBOR USD + 1.610%) (1)(3) | 34,300,000 | 37,056,641 | ||||||||||
2.852%, 05/07/2026 (3 Month LIBOR USD + 2.452%) (1)(3) | 10,000,000 | 10,448,634 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 8,000,000 | 8,184,108 | ||||||||||
3.875%, 04/10/2025 | 36,235,000 | 38,278,890 | ||||||||||
Berkshire Hathaway, Inc., | ||||||||||||
2.750%, 03/15/2023 | 14,675,000 | 15,541,402 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 8,570,000 | 9,071,110 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,350,000 | 9,025,008 | ||||||||||
2.819%, 11/19/2025 (3 Month LIBOR USD + 1.111%) (1)(2)(3) | 17,100,000 | 17,907,764 | ||||||||||
2.219%, 06/09/2026 (SOFR + 2.074%) (1)(2)(3) | 15,000,000 | 15,360,242 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.750%, 03/02/2021 (1)(2) | 14,000,000 | 14,201,223 | ||||||||||
2.650%, 11/03/2022 (1)(2) | 20,350,000 | 21,210,197 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 20,000,000 | 21,329,711 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 22,955,000 | 25,579,766 | ||||||||||
4.000%, 04/15/2024 (1) | 2,500,000 | 2,770,718 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 31,285,000 | 34,914,148 | ||||||||||
2.375%, 01/14/2025 (1)(2) | 12,000,000 | 12,414,167 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 38,254,000 | 41,768,112 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 23,825,000 | 25,674,322 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
3.100%, 04/02/2024 (1) | 37,700,000 | 40,438,238 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.200%, 01/30/2023 | 6,550,000 | 6,898,257 | ||||||||||
3.900%, 01/29/2024 | 4,550,000 | 4,948,053 | ||||||||||
3.300%, 10/30/2024 | 2,998,000 | 3,225,792 | ||||||||||
3.650%, 05/11/2027 | 26,000,000 | 28,501,330 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 45,962,000 | 48,386,032 | ||||||||||
Charles Schwab Corp., | ||||||||||||
4.200%, 03/24/2025 | 15,000,000 | 17,211,206 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 6,100,000 | 6,217,346 | ||||||||||
2.750%, 04/25/2022 | 11,575,000 | 11,996,018 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 12,200,000 | 12,618,596 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 20,350,000 | 21,178,946 | ||||||||||
1.780%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 7,000,000 | 7,071,051 | ||||||||||
4.044%, 06/01/2024 (3 Month LIBOR USD + 1.023%) (3) | 22,600,000 | 24,570,898 | ||||||||||
3.750%, 06/16/2024 | 1,000,000 | 1,103,463 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 5,650,000 | 6,104,709 | ||||||||||
3.700%, 01/12/2026 | 4,500,000 | 5,025,660 | ||||||||||
3.106%, 04/08/2026 (SOFR + 2.750%) (3) | 20,000,000 | 21,511,503 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 7,600,000 | 8,566,737 | ||||||||||
0.000%, 06/03/2031 (SOFR + 2.107%) (3) | 25,000,000 | 25,856,509 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.250%, 04/28/2025 | 20,000,000 | 21,223,876 | ||||||||||
3.750%, 02/18/2026 | 12,120,000 | 13,604,318 | ||||||||||
Citizens Financial Group, Inc.: | ||||||||||||
2.850%, 07/27/2026 | 10,000,000 | 10,822,137 | ||||||||||
3.250%, 04/30/2030 | 28,025,000 | 30,287,924 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 7,199,000 | 7,587,166 | ||||||||||
7.250%, 11/15/2023 | 4,000,000 | 4,662,982 | ||||||||||
4.500%, 03/01/2026 | 14,000,000 | 15,834,739 | ||||||||||
3.450%, 08/15/2027 | 12,000,000 | 12,800,279 | ||||||||||
3.900%, 05/01/2029 | 8,000,000 | 8,815,535 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 10,000,000 | 10,838,813 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 15,000,000 | 16,932,067 | ||||||||||
3.610%, 09/12/2034 (5 Year CMT Rate + 2.050%) (1)(2)(3) | 10,000,000 | 10,640,579 | ||||||||||
3.743%, 09/12/2039 (1)(2) | 23,500,000 | 25,243,591 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023 (1) | 14,630,000 | 16,133,086 | ||||||||||
4.375%, 08/04/2025 (1) | 20,397,000 | 22,956,772 | ||||||||||
3.750%, 07/21/2026 (1) | 12,000,000 | 13,221,463 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 10,180,000 | 10,536,196 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 5,000,000 | 5,350,690 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 4,204,000 | 4,645,474 | ||||||||||
4.000%, 01/10/2033 (5 Year Swap Rate USD + 1.644%) (1)(2)(3) | 8,000,000 | 8,808,064 | ||||||||||
Credit Suisse AG, | ||||||||||||
3.625%, 09/09/2024 (1) | 4,325,000 | 4,777,325 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 17,000,000 | 17,634,300 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 8,325,000 | 8,946,487 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(2)(3) | 12,250,000 | 12,668,685 | ||||||||||
2.193%, 06/05/2026 (SOFR + 2.044%) (1)(2)(3) | 15,000,000 | 15,191,970 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 16,390,000 | 18,356,948 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 11,000,000 | 12,144,833 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 14,550,000 | 15,666,021 | ||||||||||
4.550%, 04/17/2026 (1) | 2,000,000 | 2,299,719 | ||||||||||
Credit Suisse USA, Inc., | ||||||||||||
7.125%, 07/15/2032 | 5,063,000 | 7,647,023 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 12,000,000 | 12,374,824 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020 (1) | 5,300,000 | 5,301,113 | ||||||||||
2.950%, 08/20/2020 (1) | 575,000 | 575,477 | ||||||||||
3.125%, 01/13/2021 (1) | 1,625,000 | 1,633,014 | ||||||||||
3.150%, 01/22/2021 (1) | 3,000,000 | 3,014,063 | ||||||||||
4.250%, 10/14/2021 (1) | 36,125,000 | 37,064,693 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,438,315 | ||||||||||
3.300%, 11/16/2022 (1) | 22,175,000 | 22,680,426 | ||||||||||
3.700%, 05/30/2024 (1) | 10,000,000 | 10,421,965 | ||||||||||
Discover Bank: | ||||||||||||
3.350%, 02/06/2023 | 8,600,000 | 9,071,934 | ||||||||||
4.200%, 08/08/2023 | 20,000,000 | 21,839,255 | ||||||||||
3.450%, 07/27/2026 | 22,000,000 | 23,784,598 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 10,000,000 | 10,935,567 | ||||||||||
4.100%, 02/09/2027 | 9,150,000 | 10,000,855 | ||||||||||
Federation des Caisses Desjardins du Quebec, | ||||||||||||
2.050%, 02/10/2025 (1)(2) | 12,100,000 | 12,451,810 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,078,000 | 29,304,922 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 4,600,000 | 5,177,181 | ||||||||||
Five Corners Funding Trust, | ||||||||||||
4.419%, 11/15/2023 (2) | 11,330,000 | 12,621,268 | ||||||||||
Five Corners Funding Trust II, | ||||||||||||
2.850%, 05/15/2030 (2) | 30,000,000 | 31,024,412 | ||||||||||
FMR LLC, | ||||||||||||
4.950%, 02/01/2033 (2) | 1,750,000 | 2,286,658 | ||||||||||
GE Capital Funding LLC, | ||||||||||||
4.050%, 05/15/2027 (2) | 8,975,000 | 9,461,472 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
4.418%, 11/15/2035 (1) | 15,000,000 | 15,251,299 | ||||||||||
Globe Life, Inc.: | ||||||||||||
3.800%, 09/15/2022 | 12,475,000 | 13,108,510 | ||||||||||
4.550%, 09/15/2028 | 5,000,000 | 5,780,949 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.350%, 11/15/2021 | 6,175,000 | 6,214,296 | ||||||||||
3.000%, 04/26/2022 | 20,000,000 | 20,387,276 | ||||||||||
2.908%, 06/05/2023 (3 Month LIBOR USD + 1.053%) (3) | 12,000,000 | 12,439,604 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%) (3) | 8,000,000 | 8,311,266 | ||||||||||
1.963%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 5,000,000 | 5,078,160 | ||||||||||
3.850%, 07/08/2024 | 3,000,000 | 3,307,731 | ||||||||||
3.500%, 01/23/2025 | 3,000,000 | 3,265,969 | ||||||||||
3.500%, 04/01/2025 | 5,000,000 | 5,482,538 | ||||||||||
3.750%, 05/22/2025 | 5,000,000 | 5,539,878 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 15,000,000 | 16,165,187 | ||||||||||
2.637%, 10/28/2027 (3 Month LIBOR USD + 1.750%) (3) | 10,000,000 | 10,135,060 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%) (3) | 6,775,000 | 7,589,431 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 10,000,000 | 11,634,870 | ||||||||||
3.800%, 03/15/2030 | 30,000,000 | 34,054,523 | ||||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,449,986 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
3.400%, 04/25/2023 (2) | 6,950,000 | 7,474,894 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 5,000,000 | 6,351,835 | ||||||||||
4.850%, 01/24/2077 (2) | 22,227,000 | 28,413,183 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 23,170,000 | 28,292,251 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
3.600%, 08/19/2049 | 7,000,000 | 7,380,732 | ||||||||||
Health Care Service Corp. A Mutual Legal Reserve Co., | ||||||||||||
2.200%, 06/01/2030 (2) | 6,125,000 | 6,132,092 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 4,378,000 | 4,493,614 | ||||||||||
HSBC Bank PLC, | ||||||||||||
7.650%, 05/01/2025 (1) | 2,525,000 | 2,975,354 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
7.000%, 01/15/2039 | 4,200,000 | 6,230,983 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,122,280 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 17,600,000 | 18,232,867 | ||||||||||
3.600%, 05/25/2023 (1) | 2,275,000 | 2,441,450 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 6,000,000 | 6,448,232 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 26,550,000 | 28,678,404 | ||||||||||
4.292%, 09/12/2026 (3 Month LIBOR USD + 1.348%) (1)(3) | 7,450,000 | 8,287,220 | ||||||||||
4.375%, 11/23/2026 (1) | 10,000,000 | 11,138,932 | ||||||||||
4.950%, 03/31/2030 (1) | 7,000,000 | 8,410,948 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 2,000,000 | 2,220,188 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
5.000%, 09/27/2020 | 3,716,000 | 3,754,778 | ||||||||||
9.125%, 05/15/2021 | 625,000 | 668,325 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 7,600,000 | 7,726,564 | ||||||||||
2.300%, 01/14/2022 | 26,450,000 | 27,148,441 | ||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023 (1)(2) | 7,073,000 | 7,939,037 | ||||||||||
Invesco Finance PLC: | ||||||||||||
3.125%, 11/30/2022 (1) | 5,902,000 | 6,226,876 | ||||||||||
3.750%, 01/15/2026 (1) | 4,900,000 | 5,365,325 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 23,475,000 | 25,062,580 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,724,671 | ||||||||||
4.850%, 01/15/2027 | 4,600,000 | 5,066,273 | ||||||||||
4.150%, 01/23/2030 | 10,000,000 | 10,777,143 | ||||||||||
6.250%, 01/15/2036 | 1,390,000 | 1,592,504 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 13,339,000 | 15,484,379 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
4.250%, 10/15/2020 | 886,000 | 896,031 | ||||||||||
2.295%, 08/15/2021 | 18,000,000 | 18,037,620 | ||||||||||
2.250%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 15,000,000 | 15,167,850 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,000,000 | 16,057,673 | ||||||||||
3.125%, 01/23/2025 | 14,000,000 | 15,258,435 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 10,000,000 | 10,474,791 | ||||||||||
2.005%, 03/13/2026 (SOFR + 1.585%) (3) | 50,000,000 | 51,747,290 | ||||||||||
2.083%, 04/22/2026 (SOFR + 1.850%) (3) | 76,000,000 | 78,935,011 | ||||||||||
2.522%, 04/22/2031 (SOFR + 2.040%) (3) | 28,000,000 | 29,570,949 | ||||||||||
5.600%, 07/15/2041 | 4,106,000 | 5,928,077 | ||||||||||
KeyBank NA: | ||||||||||||
3.180%, 05/22/2022 | 6,500,000 | 6,738,815 | ||||||||||
3.400%, 05/20/2026 | 18,965,000 | 20,920,216 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 57,145,000 | 58,431,608 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023 (2) | 591,000 | 641,478 | ||||||||||
4.569%, 02/01/2029 (2) | 2,087,000 | 2,444,572 | ||||||||||
3.951%, 10/15/2050 (2) | 2,231,000 | 2,357,380 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 465,000 | 709,209 | ||||||||||
Life Storage LP, | ||||||||||||
3.500%, 07/01/2026 | 6,819,000 | 7,302,868 | ||||||||||
Lincoln National Corp., | ||||||||||||
3.050%, 01/15/2030 | 24,650,000 | 25,952,856 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 18,669,000 | 19,428,098 | ||||||||||
3.870%, 07/09/2025 (1 Year CMT Rate + 3.500%) (1)(3) | 15,000,000 | 16,288,636 | ||||||||||
2.438%, 02/05/2026 (1 Year CMT Rate + 1.000%) (1)(3) | 15,725,000 | 16,241,489 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 10,000,000 | 10,868,616 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
4.875%, 06/10/2025 (1)(2) | 23,717,000 | 26,217,950 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 29,067,000 | 30,197,188 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 24,000,000 | 25,763,890 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026 (1) | 10,000,000 | 11,751,991 | ||||||||||
5.375%, 03/04/2046 (1) | 5,150,000 | 6,846,344 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
2.250%, 11/15/2030 | 5,000,000 | 5,188,755 | ||||||||||
5.875%, 08/01/2033 | 4,700,000 | 6,396,965 | ||||||||||
4.350%, 01/30/2047 | 3,450,000 | 4,322,611 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
3.729%, 10/15/2070 (2) | 16,676,000 | 17,138,214 | ||||||||||
4.900%, 04/01/2077 (2) | 11,175,000 | 14,442,303 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
12.479%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(9) | 714,000 | 285,600 | ||||||||||
MetLife, Inc.: | ||||||||||||
6.500%, 12/15/2032 | 466,000 | 681,252 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,400,729 | ||||||||||
4.050%, 03/01/2045 | 12,375,000 | 14,606,831 | ||||||||||
Metropolitan Life Global Funding I, | ||||||||||||
2.950%, 04/09/2030 (2) | 10,000,000 | 10,958,820 | ||||||||||
Metropolitan Life Insurance Co., | ||||||||||||
7.800%, 11/01/2025 (2) | 6,300,000 | 8,169,870 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021 (1) | 5,076,000 | 5,157,562 | ||||||||||
2.190%, 09/13/2021 (1) | 6,844,000 | 6,964,763 | ||||||||||
2.665%, 07/25/2022 (1) | 9,000,000 | 9,354,961 | ||||||||||
3.455%, 03/02/2023 (1) | 10,650,000 | 11,384,899 | ||||||||||
2.801%, 07/18/2024 (1) | 10,000,000 | 10,707,820 | ||||||||||
2.193%, 02/25/2025 (1) | 25,000,000 | 25,838,849 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021 (1)(2) | 13,000,000 | 13,213,932 | ||||||||||
2.953%, 02/28/2022 (1) | 12,575,000 | 13,040,954 | ||||||||||
2.601%, 09/11/2022 (1) | 13,000,000 | 13,509,061 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 5,000,000 | 5,408,962 | ||||||||||
2.555%, 09/13/2025 (3 Month LIBOR USD + 1.100%) (1)(3) | 20,000,000 | 20,837,296 | ||||||||||
Morgan Stanley: | ||||||||||||
2.500%, 04/21/2021 | 8,000,000 | 8,133,955 | ||||||||||
2.750%, 05/19/2022 | 20,000,000 | 20,792,911 | ||||||||||
2.420%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 8,000,000 | 8,096,866 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 6,455,000 | 6,949,554 | ||||||||||
3.875%, 04/29/2024 | 1,650,000 | 1,824,531 | ||||||||||
3.700%, 10/23/2024 | 4,000,000 | 4,435,549 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 12,000,000 | 13,493,749 | ||||||||||
3.772%, 01/24/2029 (3 Month LIBOR USD + 1.140%) (3) | 1,000,000 | 1,138,497 | ||||||||||
3.622%, 04/01/2031 (SOFR + 3.120%) (3) | 10,000,000 | 11,423,739 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
3.933%, 08/02/2034 (5 Year CMT Rate + 1.880%) (1)(2)(3) | 10,000,000 | 10,898,594 | ||||||||||
National Securities Clearing Corp., | ||||||||||||
1.500%, 04/23/2025 (2) | 12,124,000 | 12,400,010 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 20,000,000 | 21,073,638 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 43,507,000 | 47,030,835 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 20,000,000 | 22,672,803 | ||||||||||
3.960%, 07/18/2030 (3 Month LIBOR USD + 1.855%) (1)(2)(3) | 10,125,000 | 11,390,490 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 7,000,000 | 7,578,248 | ||||||||||
Nationwide Financial Services, Inc.: | ||||||||||||
5.375%, 03/25/2021 (2) | 16,905,000 | 17,386,046 | ||||||||||
3.900%, 11/30/2049 (2) | 10,000,000 | 9,960,316 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
9.375%, 08/15/2039 (2) | 9,000,000 | 14,480,952 | ||||||||||
4.350%, 04/30/2050 (2) | 25,000,000 | 26,663,030 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 12,026,000 | 18,276,659 | ||||||||||
3.750%, 05/15/2050 (2) | 17,000,000 | 19,198,638 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 12,218,427 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
2.648%, 01/16/2025 (1) | 20,000,000 | 20,862,009 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022 (1)(2) | 15,793,000 | 16,763,028 | ||||||||||
Pacific Life Global Funding II, | ||||||||||||
1.200%, 06/24/2025 (2) | 22,300,000 | 22,416,501 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 12,295,000 | 13,429,581 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 11,400,000 | 12,094,614 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 7,825,000 | 8,924,417 | ||||||||||
PNC Bank NA, | ||||||||||||
4.200%, 11/01/2025 | 2,678,000 | 3,112,599 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,860,000 | 1,959,375 | ||||||||||
3.125%, 05/15/2023 | 4,667,000 | 4,951,726 | ||||||||||
3.400%, 05/15/2025 | 16,000,000 | 17,550,307 | ||||||||||
4.300%, 11/15/2046 | 2,325,000 | 2,833,324 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
3.000%, 04/18/2026 (2) | 13,400,000 | 14,784,187 | ||||||||||
Protective Life Corp.: | ||||||||||||
4.300%, 09/30/2028 (2) | 10,000,000 | 10,854,617 | ||||||||||
8.450%, 10/15/2039 | 2,650,000 | 4,077,698 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
6.625%, 12/01/2037 | 5,000,000 | 7,301,483 | ||||||||||
3.935%, 12/07/2049 | 11,426,000 | 13,005,525 | ||||||||||
Raymond James Financial, Inc., | ||||||||||||
4.650%, 04/01/2030 | 9,700,000 | 11,559,565 | ||||||||||
Regions Financial Corp.: | ||||||||||||
2.750%, 08/14/2022 | 8,800,000 | 9,165,107 | ||||||||||
2.250%, 05/18/2025 | 25,000,000 | 26,181,245 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.500%, 10/30/2024 (2) | 22,800,000 | 23,488,443 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 7,773,000 | 9,050,707 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 10,650,000 | 11,056,872 | ||||||||||
3.875%, 09/12/2023 (1) | 10,000,000 | 10,781,443 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 27,351,000 | 29,749,772 | ||||||||||
3.073%, 05/22/2028 (1 Year CMT Rate + 2.550%) (1)(3) | 15,000,000 | 15,787,219 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 10,000,000 | 11,775,007 | ||||||||||
5.076%, 01/27/2030 (3 Month LIBOR USD + 1.905%) (1)(3) | 7,000,000 | 8,411,032 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 35,000,000 | 40,605,545 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.500%, 06/07/2024 | 5,695,000 | 5,990,352 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020 (1) | 4,866,000 | 4,899,691 | ||||||||||
3.125%, 01/08/2021 (1) | 2,600,000 | 2,632,035 | ||||||||||
3.571%, 01/10/2023 (1) | 5,000,000 | 5,189,389 | ||||||||||
3.373%, 01/05/2024 (3 Month LIBOR USD + 1.080%) (1)(3) | 5,967,000 | 6,256,944 | ||||||||||
4.796%, 11/15/2024 (3 Month LIBOR USD + 1.570%) (1)(3) | 5,250,000 | 5,811,117 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,612,512 | ||||||||||
Santander UK PLC, | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 21,921,000 | 23,878,545 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.000%, 07/15/2022 (1)(2) | 8,000,000 | 8,037,670 | ||||||||||
Societe Generale SA: | ||||||||||||
3.250%, 01/12/2022 (1)(2) | 8,000,000 | 8,237,291 | ||||||||||
4.250%, 09/14/2023 (1)(2) | 8,000,000 | 8,612,491 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 20,000,000 | 21,615,753 | ||||||||||
3.875%, 03/28/2024 (1)(2) | 15,300,000 | 16,323,436 | ||||||||||
2.625%, 10/16/2024 (1)(2) | 23,000,000 | 23,487,384 | ||||||||||
2.625%, 01/22/2025 (1)(2) | 21,125,000 | 21,559,032 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,032,000 | 22,241,932 | ||||||||||
4.250%, 08/19/2026 (1)(2) | 7,000,000 | 7,461,664 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 4,500,000 | 4,553,765 | ||||||||||
4.247%, 01/20/2023 (3 Month LIBOR USD + 1.150%) (1)(2)(3) | 10,000,000 | 10,381,001 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 31,557,000 | 33,245,743 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 26,294,000 | 27,851,209 | ||||||||||
2.819%, 01/30/2026 (3 Month LIBOR USD + 1.209%) (1)(2)(3) | 14,700,000 | 15,013,343 | ||||||||||
0.000%, 04/01/2031 (5 Year CMT Rate + 3.850%) (1)(2)(3) | 14,700,000 | 16,613,592 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 6,000,000 | 7,354,903 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
4.250%, 07/18/2024 | 17,850,000 | 18,960,260 | ||||||||||
4.000%, 05/15/2030 | 22,000,000 | 23,073,659 | ||||||||||
Sumitomo Mitsui Banking Corp., | ||||||||||||
3.950%, 07/19/2023 (1) | 1,850,000 | 2,017,560 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.442%, 10/19/2021 (1) | 15,775,000 | 16,155,966 | ||||||||||
2.784%, 07/12/2022 (1) | 10,000,000 | 10,416,728 | ||||||||||
3.102%, 01/17/2023 (1) | 12,000,000 | 12,692,962 | ||||||||||
2.696%, 07/16/2024 (1) | 12,000,000 | 12,712,441 | ||||||||||
2.448%, 09/27/2024 (1) | 19,000,000 | 19,929,657 | ||||||||||
2.130%, 07/08/2030 (1)(8) | 7,575,000 | 7,588,913 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 14,150,000 | 14,364,692 | ||||||||||
2.700%, 01/27/2022 | 12,800,000 | 13,201,686 | ||||||||||
3.300%, 05/15/2026 | 3,925,000 | 4,328,329 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 10,225,000 | 10,454,790 | ||||||||||
4.375%, 03/19/2024 | 1,538,000 | 1,609,836 | ||||||||||
4.250%, 08/15/2024 | 26,864,000 | 28,210,744 | ||||||||||
4.500%, 07/23/2025 | 23,127,000 | 24,572,496 | ||||||||||
3.700%, 08/04/2026 | 3,185,000 | 3,296,599 | ||||||||||
3.950%, 12/01/2027 | 34,825,000 | 36,401,414 | ||||||||||
TD Ameritrade Holding Corp.: | ||||||||||||
2.950%, 04/01/2022 | 4,625,000 | 4,811,743 | ||||||||||
3.625%, 04/01/2025 | 7,000,000 | 7,814,072 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 27,305,000 | 31,105,345 | ||||||||||
6.125%, 08/15/2043 (1) | 16,436,000 | 22,344,655 | ||||||||||
UBS AG, | ||||||||||||
1.750%, 04/21/2022 (1)(2) | 10,000,000 | 10,191,206 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022 (1)(2) | 14,150,000 | 14,571,557 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 14,825,000 | 15,506,018 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 42,658,000 | 44,183,436 | ||||||||||
4.253%, 03/23/2028 (1)(2) | 17,150,000 | 19,462,538 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
2.750%, 05/15/2040 | 7,000,000 | 7,493,744 | ||||||||||
USAA Capital Corp., | ||||||||||||
2.125%, 05/01/2030 (2) | 5,000,000 | 5,149,114 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
3.125%, 07/15/2024 | 21,875,000 | 23,396,628 | ||||||||||
3.650%, 06/15/2026 | 5,800,000 | 6,427,508 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
3.250%, 10/05/2020 (2) | 8,000,000 | 8,010,238 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.069%, 01/24/2023 | 10,000,000 | 10,362,127 | ||||||||||
1.990%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 5,000,000 | 5,036,125 | ||||||||||
3.000%, 02/19/2025 | 5,000,000 | 5,398,104 | ||||||||||
2.406%, 10/30/2025 (3 Month LIBOR USD + 0.825%) (3) | 11,500,000 | 11,971,480 | ||||||||||
2.164%, 02/11/2026 (3 Month LIBOR USD + 0.750%) (3) | 15,000,000 | 15,459,669 | ||||||||||
3.000%, 04/22/2026 | 8,000,000 | 8,736,017 | ||||||||||
2.393%, 06/02/2028 (SOFR + 2.100%) (3) | 26,025,000 | 26,889,402 | ||||||||||
3.068%, 04/30/2041 (SOFR + 2.530%) (3) | 25,000,000 | 26,077,148 | ||||||||||
3.900%, 05/01/2045 | 5,000,000 | 5,860,667 | ||||||||||
5.013%, 04/04/2051 (3 Month LIBOR USD + 4.240%) (3) | 7,000,000 | 9,715,876 | ||||||||||
Wells Fargo Bank NA, | ||||||||||||
5.850%, 02/01/2037 | 10,000,000 | 13,796,176 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
2.894%, 02/04/2030 (5 Year CMT Rate + 1.350%) (1)(3) | 11,425,000 | 11,646,413 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 8,350,000 | 9,266,394 | ||||||||||
4.110%, 07/24/2034 (5 Year CMT Rate + 2.000%) (1)(3) | 10,000,000 | 11,032,373 | ||||||||||
4.421%, 07/24/2039 (1) | 10,000,000 | 11,789,651 | ||||||||||
Willis North America, Inc.: | ||||||||||||
3.600%, 05/15/2024 | 9,000,000 | 9,740,586 | ||||||||||
2.950%, 09/15/2029 | 7,500,000 | 7,939,183 | ||||||||||
5.050%, 09/15/2048 | 10,200,000 | 13,001,291 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 13,879,000 | 14,322,318 | ||||||||||
Total Financials (Cost $4,799,499,584) | 5,110,602,704 | 18.9 | % | |||||||||
Total Corporate Bonds (Cost $11,013,573,514) | 11,793,639,267 | 43.7 | % |
Municipal Bonds | ||||||||||||
Atlanta Independent School System, | ||||||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,387,335 | ||||||||||
California Housing Finance Agency: | ||||||||||||
3.656%, 02/01/2029 (Callable 08/01/2025) | 19,650,000 | 21,157,155 | ||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 7,250,000 | 7,358,387 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
7.155%, 03/01/2027 | 6,695,000 | 8,058,437 | ||||||||||
City of Berwyn IL: | ||||||||||||
5.790%, 12/01/2022 | 1,720,000 | 1,789,969 | ||||||||||
5.790%, 12/01/2022 | 4,445,000 | 4,588,707 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,617,135 | ||||||||||
County of Cuyahoga OH, | ||||||||||||
9.125%, 10/01/2023 | 795,000 | 888,405 | ||||||||||
County of Riverside CA, | ||||||||||||
2.617%, 02/15/2024 | 20,000,000 | 20,667,000 | ||||||||||
Eaton Community City School District, | ||||||||||||
5.390%, 08/25/2027 (Callable 07/31/2020) | 2,305,000 | 2,309,794 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/31/2020) | 3,010,000 | 3,012,017 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
3.500%, 01/01/2040 (Callable 07/01/2025) | 3,180,000 | 3,288,056 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
1.415%, 12/01/2049 (1 Month LIBOR USD + 1.300%)(Callable 03/01/2025) (3) | 28,000,000 | 27,708,800 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
2.100%, 12/01/2038 (Callable 09/01/2024) | 2,998,771 | 2,995,352 | ||||||||||
Maryland Community Development Administration Housing Revenue, | ||||||||||||
3.160%, 09/01/2041 (Callable 09/01/2025) | 10,130,000 | 10,424,479 | ||||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
3.850%, 05/25/2033 | 29,560,786 | 30,632,069 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.730%, 08/01/2046 (Callable 07/01/2025) | 4,950,654 | 5,034,667 | ||||||||||
3.200%, 06/01/2047 (Callable 07/01/2026) | 11,583,393 | 11,860,467 | ||||||||||
3.000%, 10/01/2047 (Callable 01/01/2027) | 14,486,465 | 14,783,293 | ||||||||||
New Hampshire Business Finance Authority, | ||||||||||||
2.872%, 07/01/2035 (Callable 01/01/2035) (8) | 18,250,000 | 18,428,668 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.050%, 01/01/2021 | 720,000 | 725,746 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 705,000 | 718,987 | ||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025) | 4,040,000 | 4,168,108 | ||||||||||
New Jersey Higher Education Student Assistance Authority: | ||||||||||||
3.500%, 12/01/2039 (Callable 12/01/2028) | 17,910,000 | 17,793,406 | ||||||||||
3.500%, 12/01/2039 (Callable 12/01/2028) | 18,250,000 | 18,130,645 | ||||||||||
New York State Dormitory Authority, | ||||||||||||
2.219%, 07/01/2035 | 15,000,000 | 14,898,150 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 1,660,000 | 1,685,763 | ||||||||||
Premier Health Partners, | ||||||||||||
2.911%, 11/15/2026 | 13,004,000 | 12,846,729 | ||||||||||
State Public School Building Authority, | ||||||||||||
2.966%, 04/01/2027 | 5,800,000 | 5,960,312 | ||||||||||
Texas Private Activity Bond Surface Transportation Corp., | ||||||||||||
3.922%, 12/31/2049 | 8,800,000 | 9,058,896 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,399,742 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,479,044 | ||||||||||
Western Michigan University Homer Stryker MD School of Medicine, | ||||||||||||
4.750%, 11/15/2028 | 13,250,000 | 15,363,773 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,616,124 | ||||||||||
Total Municipal Bonds (Cost $309,530,797) | 317,835,617 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 92 | 93 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 16 | 16 | ||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 148 | 149 | ||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 1,300 | 1,328 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 29,533 | 30,803 | ||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 24,213 | 25,724 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
2.500%, 04/01/2028 | 1,993,129 | 2,092,331 | ||||||||||
6.500%, 06/01/2029 | 84,689 | 94,998 | ||||||||||
3.000%, 04/01/2031 | 6,185,457 | 6,571,865 | ||||||||||
3.000%, 02/01/2032 | 56,260,576 | 59,992,644 | ||||||||||
3.000%, 03/01/2032 | 2,222,053 | 2,366,122 | ||||||||||
3.500%, 05/01/2032 | 15,771,787 | 16,877,193 | ||||||||||
3.000%, 07/01/2032 | 13,997,441 | 14,924,779 | ||||||||||
3.500%, 07/01/2032 | 19,939,829 | 21,343,415 | ||||||||||
3.000%, 04/01/2033 | 1,940,989 | 2,069,531 | ||||||||||
5.000%, 08/01/2033 | 3,914,915 | 4,460,553 | ||||||||||
3.500%, 01/01/2034 | 15,662,445 | 16,753,164 | ||||||||||
5.000%, 09/01/2035 | 7,997,522 | 9,179,656 | ||||||||||
5.500%, 01/01/2036 | 132,798 | 152,219 | ||||||||||
5.000%, 03/01/2036 | 3,479,217 | 3,993,155 | ||||||||||
6.000%, 12/01/2036 | 122,650 | 143,152 | ||||||||||
4.000%, 03/01/2037 | 3,600,928 | 3,874,234 | ||||||||||
5.000%, 02/01/2038 | 1,895,968 | 2,175,343 | ||||||||||
5.500%, 05/01/2038 | 416,089 | 476,596 | ||||||||||
5.500%, 01/01/2039 | 8,476,821 | 9,714,315 | ||||||||||
4.500%, 11/01/2039 | 2,971,277 | 3,302,945 | ||||||||||
4.500%, 11/01/2039 | 3,488,811 | 3,879,176 | ||||||||||
4.500%, 12/01/2039 | 18,089,161 | 20,114,658 | ||||||||||
5.000%, 03/01/2040 | 725,547 | 834,172 | ||||||||||
4.500%, 08/01/2040 | 614,144 | 682,787 | ||||||||||
4.500%, 09/01/2040 | 2,453,207 | 2,728,316 | ||||||||||
4.000%, 01/01/2041 | 12,498,130 | 13,703,914 | ||||||||||
4.000%, 01/01/2041 | 24,474,464 | 26,835,643 | ||||||||||
4.500%, 03/01/2041 | 1,828,187 | 2,032,496 | ||||||||||
3.500%, 10/01/2041 | 7,751,089 | 8,381,032 | ||||||||||
4.000%, 03/01/2042 | 5,762,450 | 6,324,724 | ||||||||||
3.500%, 06/01/2042 | 4,050,255 | 4,384,289 | ||||||||||
3.500%, 07/01/2042 | 10,663,814 | 11,552,256 | ||||||||||
3.000%, 08/01/2042 | 14,452,025 | 15,485,169 | ||||||||||
3.000%, 10/01/2042 | 5,616,551 | 6,018,822 | ||||||||||
3.000%, 11/01/2042 | 31,262,289 | 33,812,539 | ||||||||||
3.500%, 12/01/2042 | 11,243,642 | 12,168,866 | ||||||||||
3.000%, 01/01/2043 | 22,907,253 | 24,556,216 | ||||||||||
3.000%, 01/01/2043 | 10,757,516 | 11,527,047 | ||||||||||
3.500%, 01/01/2043 | 17,965,185 | 19,453,019 | ||||||||||
3.000%, 02/01/2043 | 3,102,450 | 3,325,327 | ||||||||||
3.000%, 04/01/2043 | 13,873,817 | 14,866,570 | ||||||||||
3.000%, 04/01/2043 | 4,928,978 | 5,331,380 | ||||||||||
3.000%, 04/01/2043 | 7,741,078 | 8,297,007 | ||||||||||
3.500%, 04/01/2043 | 51,800,849 | 56,071,007 | ||||||||||
4.000%, 04/01/2043 | 16,996,091 | 19,231,927 | ||||||||||
3.500%, 05/01/2043 | 10,558,017 | 11,425,712 | ||||||||||
3.000%, 06/01/2043 | 15,957,949 | 17,104,750 | ||||||||||
3.000%, 08/01/2043 | 4,964,025 | 5,318,575 | ||||||||||
3.500%, 11/01/2043 | 8,170,804 | 8,836,758 | ||||||||||
3.500%, 01/01/2044 | 9,597,851 | 10,389,081 | ||||||||||
3.500%, 02/01/2044 | 33,095,974 | 35,809,530 | ||||||||||
4.000%, 03/01/2044 | 4,734,332 | 5,177,571 | ||||||||||
3.500%, 05/01/2044 | 35,449,950 | 38,761,832 | ||||||||||
4.000%, 05/01/2044 | 18,017,948 | 19,771,816 | ||||||||||
4.000%, 07/01/2044 | 3,943,089 | 4,317,751 | ||||||||||
3.500%, 10/01/2044 | 70,730,053 | 75,790,626 | ||||||||||
4.000%, 10/01/2044 | 9,550,668 | 10,473,353 | ||||||||||
3.000%, 01/01/2045 | 22,670,706 | 24,122,293 | ||||||||||
3.500%, 01/01/2045 | 24,248,300 | 26,353,843 | ||||||||||
4.500%, 01/01/2045 | 27,627,727 | 30,981,423 | ||||||||||
3.500%, 06/01/2045 | 17,471,151 | 19,103,396 | ||||||||||
3.500%, 07/01/2045 | 68,080,395 | 73,620,113 | ||||||||||
3.000%, 10/01/2045 | 34,877,138 | 37,360,273 | ||||||||||
4.000%, 10/01/2045 | 6,086,100 | 6,558,960 | ||||||||||
4.000%, 11/01/2045 | 12,654,821 | 13,667,272 | ||||||||||
3.000%, 01/01/2046 (8) | 94,533,758 | 102,717,262 | ||||||||||
3.000%, 01/01/2046 | 74,146,832 | 80,588,895 | ||||||||||
3.500%, 01/01/2046 | 32,023,045 | 34,822,619 | ||||||||||
4.000%, 02/01/2046 | 67,605,285 | 74,151,595 | ||||||||||
4.000%, 02/01/2046 | 17,200,253 | 18,544,357 | ||||||||||
4.000%, 04/01/2046 | 9,399,786 | 10,271,639 | ||||||||||
3.500%, 05/01/2046 | 8,335,969 | 8,889,038 | ||||||||||
3.000%, 08/01/2046 | 31,158,257 | 32,978,838 | ||||||||||
3.500%, 08/01/2046 | 29,370,703 | 32,082,472 | ||||||||||
3.000%, 10/01/2046 | 56,309,171 | 61,073,498 | ||||||||||
3.000%, 10/01/2046 | 64,614,406 | 69,088,224 | ||||||||||
3.000%, 12/01/2046 (8) | 76,557,502 | 80,899,492 | ||||||||||
4.000%, 01/01/2047 | 53,130,262 | 58,754,774 | ||||||||||
3.000%, 02/01/2047 | 45,117,139 | 47,630,479 | ||||||||||
4.500%, 04/01/2047 | 43,191,656 | 46,703,187 | ||||||||||
3.000%, 05/01/2047 | 58,449,279 | 62,490,736 | ||||||||||
4.000%, 09/01/2047 | 23,442,725 | 24,929,505 | ||||||||||
3.000%, 02/01/2048 | 1,070,396 | 1,128,346 | ||||||||||
4.000%, 08/01/2048 | 37,285,298 | 40,237,661 | ||||||||||
3.000%, 11/01/2049 | 85,301,234 | 91,492,484 | ||||||||||
4.000%, 05/01/2050 (8) | 119,823,447 | 131,217,097 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 4,287 | 4,349 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 794 | 835 | ||||||||||
2.500%, 12/01/2027 | 6,552,043 | 6,875,356 | ||||||||||
2.500%, 05/01/2028 | 9,280,911 | 9,866,757 | ||||||||||
5.000%, 05/01/2028 | 132,487 | 144,432 | ||||||||||
4.500%, 08/01/2029 | 1,032,477 | 1,111,560 | ||||||||||
4.500%, 09/01/2029 | 1,197,660 | 1,292,404 | ||||||||||
2.500%, 04/01/2030 | 3,430,881 | 3,640,893 | ||||||||||
2.500%, 05/01/2030 | 10,854,713 | 11,525,329 | ||||||||||
3.500%, 11/01/2030 | 28,484,641 | 30,435,077 | ||||||||||
3.000%, 12/01/2030 | 18,588,669 | 19,759,350 | ||||||||||
3.000%, 12/01/2030 | 11,248,769 | 11,956,002 | ||||||||||
2.500%, 09/01/2031 | 39,103,158 | 41,566,592 | ||||||||||
3.500%, 01/01/2032 | 38,308,400 | 40,978,342 | ||||||||||
2.500%, 02/01/2032 | 6,393,644 | 6,769,686 | ||||||||||
3.000%, 09/01/2032 | 2,538,543 | 2,693,039 | ||||||||||
3.000%, 10/01/2032 | 1,948,773 | 2,059,365 | ||||||||||
3.000%, 11/01/2032 (8) | 4,969,651 | 5,286,837 | ||||||||||
2.500%, 12/01/2032 | 45,328,607 | 47,567,379 | ||||||||||
3.000%, 12/01/2032 | 3,804,692 | 4,044,244 | ||||||||||
6.000%, 03/01/2033 | 34,902 | 40,534 | ||||||||||
3.500%, 10/01/2033 | 18,493,984 | 19,790,873 | ||||||||||
4.500%, 10/01/2033 | 13,065,596 | 14,286,547 | ||||||||||
5.000%, 10/01/2033 | 13,981,252 | 16,036,366 | �� | |||||||||
3.000%, 11/01/2033 | 80,045,891 | 85,988,037 | ||||||||||
5.000%, 11/01/2033 | 39,578 | 45,400 | ||||||||||
4.000%, 01/01/2034 | 5,835,642 | 6,283,259 | ||||||||||
5.500%, 04/01/2034 | 4,778,719 | 5,479,100 | ||||||||||
4.000%, 06/01/2034 | 7,623,649 | 8,207,006 | ||||||||||
4.000%, 09/01/2034 | 9,116,827 | 9,814,511 | ||||||||||
5.500%, 09/01/2034 | 125,150 | 143,513 | ||||||||||
6.000%, 11/01/2034 | 34,346 | 40,063 | ||||||||||
3.500%, 01/01/2035 | 52,136,183 | 55,683,799 | ||||||||||
5.500%, 02/01/2035 | 424,712 | 487,286 | ||||||||||
3.000%, 06/01/2035 | 12,792,419 | 13,630,090 | ||||||||||
5.000%, 07/01/2035 | 3,636,429 | 4,171,942 | ||||||||||
5.000%, 10/01/2035 | 1,768,143 | 2,029,449 | ||||||||||
5.000%, 02/01/2036 | 2,589,994 | 2,973,137 | ||||||||||
3.000%, 11/01/2036 | 36,315,324 | 38,459,316 | ||||||||||
5.500%, 11/01/2036 | 166,886 | 191,726 | ||||||||||
2.500%, 12/01/2036 | 25,645,391 | 26,877,030 | ||||||||||
5.500%, 04/01/2037 | 1,066,195 | 1,216,341 | ||||||||||
4.000%, 05/01/2037 | 39,275,087 | 42,240,493 | ||||||||||
4.000%, 02/01/2038 | 36,018,559 | 38,723,254 | ||||||||||
2.500%, 04/01/2038 | 58,109,301 | 61,147,757 | ||||||||||
3.000%, 05/01/2038 | 31,299,189 | 32,986,947 | ||||||||||
4.000%, 04/01/2039 | 9,952,360 | 10,685,080 | ||||||||||
4.500%, 04/01/2039 | 13,251,997 | 14,736,111 | ||||||||||
5.000%, 06/01/2039 | 12,551,082 | 14,336,176 | ||||||||||
5.000%, 06/01/2039 | 8,562,455 | 9,820,822 | ||||||||||
4.500%, 11/01/2039 | 166,756 | 185,417 | ||||||||||
4.000%, 08/01/2040 | 1,250,649 | 1,372,679 | ||||||||||
4.000%, 10/01/2040 | 26,723,157 | 29,482,383 | ||||||||||
3.500%, 12/01/2040 | 8,041,685 | 8,699,306 | ||||||||||
4.000%, 12/01/2040 | 7,640,783 | 8,388,507 | ||||||||||
3.500%, 02/01/2041 | 12,347,549 | 13,359,562 | ||||||||||
4.000%, 02/01/2041 | 18,183,611 | 19,955,991 | ||||||||||
4.500%, 02/01/2041 | 46,528,083 | 51,573,914 | ||||||||||
3.500%, 03/01/2041 | 17,752,678 | 19,207,250 | ||||||||||
4.500%, 05/01/2041 | 6,473,006 | 7,201,309 | ||||||||||
4.000%, 06/01/2041 | 14,091,863 | 15,465,253 | ||||||||||
4.500%, 07/01/2041 | 6,646,864 | 7,393,987 | ||||||||||
5.000%, 07/01/2041 | 9,625,670 | 11,038,408 | ||||||||||
3.500%, 09/01/2041 | 17,979,911 | 19,453,783 | ||||||||||
4.000%, 09/01/2041 | 1,908,036 | 2,092,730 | ||||||||||
4.000%, 10/01/2041 | 5,345,582 | 5,866,167 | ||||||||||
3.500%, 11/01/2041 | 6,999,032 | 7,572,478 | ||||||||||
3.500%, 12/01/2041 | 31,485,785 | 34,049,971 | ||||||||||
4.000%, 12/01/2041 | 7,789,193 | 8,548,820 | ||||||||||
4.000%, 01/01/2042 | 9,487,531 | 10,403,343 | ||||||||||
4.500%, 01/01/2042 | 9,623,478 | 10,709,877 | ||||||||||
4.000%, 02/01/2042 | 36,291,282 | 39,842,765 | ||||||||||
3.000%, 04/01/2042 | 51,555,922 | 55,014,787 | ||||||||||
3.000%, 05/01/2042 | 7,279,194 | 7,799,870 | ||||||||||
3.500%, 07/01/2042 | 83,808,229 | 91,645,540 | ||||||||||
3.500%, 08/01/2042 | 7,465,863 | 8,081,942 | ||||||||||
4.000%, 08/01/2042 | 12,549,179 | 13,777,027 | ||||||||||
3.000%, 10/01/2042 | 17,199,685 | 18,757,978 | ||||||||||
3.000%, 03/01/2043 | 5,465,981 | 5,910,482 | ||||||||||
3.000%, 03/01/2043 | 30,288,127 | 32,458,837 | ||||||||||
3.000%, 05/01/2043 | 30,224,208 | 32,417,868 | ||||||||||
3.000%, 05/01/2043 | 17,669,028 | 18,933,574 | ||||||||||
3.500%, 05/01/2043 | 31,746,261 | 34,605,379 | ||||||||||
3.000%, 06/01/2043 | 7,539,471 | 8,078,814 | ||||||||||
3.000%, 07/01/2043 | 2,884,539 | 3,091,269 | ||||||||||
4.000%, 07/01/2043 | 26,091,151 | 28,646,831 | ||||||||||
3.000%, 08/01/2043 | 4,839,433 | 5,183,263 | ||||||||||
3.500%, 09/01/2043 | 45,571,612 | 49,269,811 | ||||||||||
4.500%, 09/01/2043 | 10,301,604 | 11,460,728 | ||||||||||
3.000%, 10/01/2043 | 89,212,529 | 95,224,400 | ||||||||||
3.500%, 10/01/2043 | 48,803,033 | 52,814,438 | ||||||||||
3.000%, 11/01/2043 | 23,827,450 | 25,526,717 | ||||||||||
4.000%, 11/01/2043 | 7,449,767 | 8,181,918 | ||||||||||
4.000%, 01/01/2045 | 6,365,223 | 6,937,241 | ||||||||||
3.500%, 02/01/2045 | 34,922,240 | 37,792,193 | ||||||||||
4.000%, 02/01/2045 | 17,128,815 | 18,777,784 | ||||||||||
3.500%, 04/01/2045 | 25,541,403 | 27,763,342 | ||||||||||
4.000%, 09/01/2045 | 5,333,261 | 5,794,249 | ||||||||||
4.000%, 10/01/2045 | 7,144,196 | 7,761,704 | ||||||||||
4.000%, 11/01/2045 | 26,848,189 | 29,043,663 | ||||||||||
3.500%, 12/01/2045 | 27,872,722 | 29,737,307 | ||||||||||
4.500%, 02/01/2046 | 27,784,911 | 30,888,935 | ||||||||||
3.000%, 05/01/2046 | 13,590,823 | 14,691,261 | ||||||||||
3.500%, 05/01/2046 | 46,125,471 | 49,206,187 | ||||||||||
3.000%, 07/01/2046 | 8,909,402 | 9,645,778 | ||||||||||
4.500%, 08/01/2046 | 23,511,847 | 26,146,314 | ||||||||||
3.500%, 09/01/2046 | 5,080,617 | 5,554,152 | ||||||||||
2.500%, 10/01/2046 | 26,058,547 | 27,600,129 | ||||||||||
3.000%, 11/01/2046 | 24,542,581 | 26,080,225 | ||||||||||
3.000%, 11/01/2046 | 44,797,313 | 47,982,757 | ||||||||||
3.500%, 11/01/2046 | 45,972,120 | 49,223,510 | ||||||||||
3.000%, 12/01/2046 | 23,895,823 | 25,830,815 | ||||||||||
3.500%, 05/01/2047 | 3,156,126 | 3,361,564 | ||||||||||
4.000%, 08/01/2047 | 60,577,553 | 65,189,835 | ||||||||||
3.500%, 10/01/2047 | 16,709,891 | 17,665,025 | ||||||||||
4.000%, 10/01/2047 | 44,024,650 | 46,973,414 | ||||||||||
4.000%, 11/01/2047 | 36,242,381 | 38,663,531 | ||||||||||
4.500%, 11/01/2047 | 14,255,198 | 15,373,242 | ||||||||||
3.500%, 12/01/2047 | 47,553,602 | 50,214,981 | ||||||||||
4.000%, 12/01/2047 | 57,271,033 | 60,954,600 | ||||||||||
3.500%, 01/01/2048 | 12,471,200 | 13,154,316 | ||||||||||
4.000%, 04/01/2048 | 17,948,926 | 19,048,646 | ||||||||||
4.000%, 07/01/2048 | 28,346,226 | 31,316,608 | ||||||||||
4.000%, 09/01/2048 | 15,314,206 | 16,238,468 | ||||||||||
3.000%, 11/01/2048 | 135,400,659 | 142,701,922 | ||||||||||
4.500%, 11/01/2048 | 47,929,295 | 51,603,846 | ||||||||||
5.000%, 11/01/2048 | 44,877,946 | 50,894,283 | ||||||||||
4.500%, 01/01/2049 | 25,111,172 | 27,706,128 | ||||||||||
3.500%, 06/01/2049 | 84,732,362 | 89,086,913 | ||||||||||
3.500%, 01/01/2050 | 52,789,149 | 57,343,900 | ||||||||||
3.000%, 05/01/2050 | 60,820,705 | 65,622,597 | ||||||||||
3.500%, 05/01/2052 | 77,937,724 | 84,333,622 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 33,420 | 38,399 | ||||||||||
5.000%, 07/20/2040 | 1,458,780 | 1,646,135 | ||||||||||
3.500%, 10/20/2041 | 6,801,779 | 7,395,054 | ||||||||||
3.500%, 01/15/2042 | 11,947,182 | 12,759,666 | ||||||||||
4.000%, 06/20/2042 | 7,599,293 | 8,369,876 | ||||||||||
3.500%, 09/20/2042 | 2,991,276 | 3,252,217 | ||||||||||
3.500%, 01/20/2043 | 60,265,715 | 65,523,116 | ||||||||||
4.000%, 10/20/2043 | 11,516,692 | 12,626,290 | ||||||||||
4.000%, 09/20/2044 | 42,414,803 | 46,216,865 | ||||||||||
4.000%, 01/20/2045 | 9,070,616 | 9,876,885 | ||||||||||
3.500%, 03/20/2045 | 13,908,283 | 14,979,349 | ||||||||||
3.000%, 04/20/2045 | 22,047,135 | 23,466,665 | ||||||||||
3.500%, 04/20/2045 | 26,093,344 | 27,932,348 | ||||||||||
4.000%, 08/20/2045 | 8,886,374 | 9,631,235 | ||||||||||
4.500%, 01/20/2046 | 12,548,782 | 13,754,101 | ||||||||||
4.000%, 04/20/2046 | 9,585,826 | 10,361,188 | ||||||||||
4.000%, 05/20/2046 | 23,249,091 | 25,129,934 | ||||||||||
3.000%, 11/20/2046 | 35,250,808 | 37,888,383 | ||||||||||
5.000%, 04/20/2047 | 2,151,672 | 2,379,748 | ||||||||||
4.500%, 06/20/2047 | 39,870,718 | 43,561,487 | ||||||||||
4.500%, 07/20/2047 | 9,858,872 | 10,745,518 | ||||||||||
4.500%, 09/20/2047 | 13,146,990 | 14,344,990 | ||||||||||
3.500%, 02/20/2050 | 154,990,825 | 166,663,913 | ||||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 61,602,094 | 65,553,160 | ||||||||||
Total U.S. Government Agency Issues (Cost $5,616,525,187) | 5,878,728,483 | 21.8 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 16,806 | 16,691 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 (6) | 238,580 | 235,787 | ||||||||||
Series 2006-J5, Class 3A1, 3.984%, 07/25/2021 (4)(6) | 52,926 | 52,361 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 34,062 | 33,958 | ||||||||||
Series 2004-8CB, Class A, 0.455%, 06/25/2034 (1 Month LIBOR USD + 0.270%) (3) | 1,439,437 | 1,432,813 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 542,829 | 398,020 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 0.525%, 11/25/2035 (1 Month LIBOR USD + 0.340%) (3) | 1,460,955 | 1,454,350 | ||||||||||
Series 2005-W5, Class A1, 0.420%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 23,416,004 | 22,931,283 | ||||||||||
Arroyo Mortgage Trust: | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 20,587,410 | 21,134,753 | ||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 37,438,144 | 38,250,630 | ||||||||||
Series 2020-1, Class A1A, 1.662%, 03/25/2055 (2) | 35,000,000 | 35,005,320 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A3, 0.385%, 01/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 303,167 | 302,916 | ||||||||||
Series 2006-HE1, Class A1, 0.400%, 01/25/2036 (1 Month LIBOR USD + 0.215%) (3) | 1,204,259 | 1,194,630 | ||||||||||
Series 2006-HE3, Class A2, 0.350%, 03/25/2036 (1 Month LIBOR USD + 0.165%) (3) | 8,225,419 | 8,062,289 | ||||||||||
Series 2006-HE6, Class A1, 0.330%, 11/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 20,323,236 | 19,289,361 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 3,830 | 3,818 | ||||||||||
Series 2007-1, Class 1A1, 4.946%, 04/25/2022 (4)(6) | 153,011 | 145,109 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 117,732 | 114,876 | ||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 (6) | 65,876 | 62,447 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 262,114 | 249,516 | ||||||||||
Bayview Financial Trust, | ||||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 1,293,478 | 1,276,152 | ||||||||||
Bear Stearns ALT-A Trust: | ||||||||||||
Series 2004-4, Class A1, 0.785%, 06/25/2034 (1 Month LIBOR USD + 0.600%) (3) | 887,905 | 881,724 | ||||||||||
Series 2005-4, Class 1A1, 0.625%, 04/25/2035 (1 Month LIBOR USD + 0.440%) (3) | 1,606,134 | 1,602,057 | ||||||||||
Series 2005-7, Class 12A1, 0.725%, 08/25/2035 (1 Month LIBOR USD + 0.540%) (3) | 2,128,897 | 2,114,512 | ||||||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 158,480 | 157,644 | ||||||||||
Chase Mortgage Finance Trust, | ||||||||||||
Series 2006-A1, Class 2A3, 4.009%, 09/25/2036 (4) | 900,867 | 791,226 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 (7) | 110,901 | 115,097 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 12,362 | 12,320 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 328,530 | 307,149 | ||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 (7) | 133,414 | 133,219 | ||||||||||
Series 2005-10, Class AF6, 4.915%, 12/25/2035 (4) | 62,556 | 64,289 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4) | 435,401 | 413,468 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2003-AR26, Class 8A1, 3.980%, 11/25/2033 (4) | 4,511,418 | 4,342,165 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 7,560 | 7,617 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035 (4) | 26,543 | 26,940 | ||||||||||
Series 2005-17, Class 1AF5, 5.564%, 03/25/2036 (4) | 142,189 | 145,616 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, | ||||||||||||
Series 2004-4, Class 1A6, 6.000%, 04/25/2034 (7) | 959 | 974 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FFH1, Class A4, 0.485%, 01/25/2036 (1 Month LIBOR USD + 0.300%) (3) | 127,085 | 126,798 | ||||||||||
Series 2006-FF1, Class 2A4, 0.525%, 01/25/2036 (1 Month LIBOR USD + 0.340%) (3) | 2,854,016 | 2,847,777 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 15,268 | 14,574 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 | 133,676 | 100,192 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2006-A, Class 1A1, 0.330%, 05/25/2036 (1 Month LIBOR USD + 0.145%) (3) | 18,371,122 | 17,359,421 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 105 | 106 | ||||||||||
GMACM Mortgage Loan Trust, | ||||||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035 (7) | 115 | 116 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2004-6, Class A1, 0.985%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 739,949 | 731,993 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A1B, 0.805%, 11/25/2035 (1 Month LIBOR USD + 0.620%) (3) | 2,918,227 | 2,911,102 | ||||||||||
Series 2005-WMC2, Class A2C, 0.885%, 11/25/2035 (1 Month LIBOR USD + 0.700%) (3) | 2,978,314 | 2,974,433 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-3, Class A1, 0.425%, 07/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 1,093,723 | 1,088,256 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 248 | 247 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-4, Class 2A2, 5.749%, 09/25/2034 (7) | 68,452 | 73,216 | ||||||||||
Series 2004-5, Class 1A2, 0.885%, 10/25/2034 (1 Month LIBOR USD + 0.700%) (3) | 2,473,564 | 2,464,593 | ||||||||||
Series 2004-6, Class 1A1, 0.985%, 10/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 1,949,027 | 1,900,857 | ||||||||||
J.P. Morgan Alternative Loan Trust, | ||||||||||||
Series 2006-A1, Class 2A1, 3.796%, 03/25/2036 (4) | 220,848 | 199,133 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2005-A4, Class 1A1, 3.192%, 07/25/2035 (4) | 520,557 | 521,957 | ||||||||||
Series 2007-A1, Class 5A2, 3.968%, 07/25/2035 (4) | 1,773,545 | 1,712,911 | ||||||||||
Series 2007-A1, Class 5A5, 3.968%, 07/25/2035 (4) | 2,685,434 | 2,598,402 | ||||||||||
Series 2006-A7, Class 2A2, 3.789%, 01/25/2037 (4)(6) | 106,194 | 95,050 | ||||||||||
Series 2006-A7, Class 2A4R, 3.789%, 01/25/2037 (4)(6) | 453,710 | 406,097 | ||||||||||
Series 2007-A2, Class 2A3, 3.944%, 04/25/2037 (4)(6) | 1,164,433 | 1,020,941 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 0.785%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 1,544,188 | 1,541,761 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1A, 2.792%, 12/25/2029 (4) | 4,165,423 | 4,109,708 | ||||||||||
Series 2005-A10, Class A, 0.395%, 02/25/2036 (1 Month LIBOR USD + 0.210%) (3) | 10,970,163 | 10,476,739 | ||||||||||
MetLife, Inc., | ||||||||||||
Series 2019-1A, Class A1A, 3.750%, 04/25/2058 (2)(4) | 16,190,779 | 17,091,142 | ||||||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||||||
Series 2004-7AR, Class 2A1, 3.695%, 09/25/2034 (4) | 1,771,662 | 1,725,502 | ||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-2, Class 1A1, 0.705%, 05/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 887,719 | 875,616 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 0.415%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 1,234,261 | 1,233,726 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057 (2)(4) | 10,592,236 | 11,379,871 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 14,592,723 | 15,607,256 | ||||||||||
Series 2017-4A, Class A1, 4.000%, 05/25/2057 (2)(4) | 19,338,275 | 20,749,008 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 10,925,953 | 11,577,578 | ||||||||||
Series 2020-1A, Class A1B, 3.500%, 10/25/2059 (2)(4) | 21,496,240 | 22,711,822 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 12/31/2020 (6) | 6,174 | 5,950 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 1,274 | 1,284 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2006-KS4, Class A4, 0.425%, 06/25/2036 (1 Month LIBOR USD + 0.240%) (3) | 605,650 | 605,233 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 (7) | 2,482,525 | 970,332 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 0.855%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,143,906 | 1,135,792 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||||||
Series 2004-12, Class 3A1, 3.714%, 09/25/2034 (4) | 2,017,665 | 2,005,577 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 7,162 | 7,353 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 2006-OPT1, Class A6, 0.335%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 9,861,231 | 9,341,034 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.860%, 10/25/2043 (4) | 7,881,847 | 7,609,256 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 2,146,254 | 2,168,034 | ||||||||||
Series 2015-5, Class A1, 3.500%, 05/25/2055 (2)(4) | 2,901,546 | 2,944,317 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 986,792 | 992,409 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 5,808,005 | 5,958,232 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056 (2)(4) | 5,425,281 | 5,518,045 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 26,824,384 | 27,446,983 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 43,807,338 | 45,377,791 | ||||||||||
Series 2018-1, Class A1, 3.000%, 01/28/2058 (2)(4) | 1,588,023 | 1,644,999 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 37,016,934 | 38,939,054 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 20,457,793 | 22,021,206 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 23,894,343 | 25,211,492 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 67,694,321 | 71,207,508 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 5,272,158 | 5,680,696 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 2,368,105 | 2,458,440 | ||||||||||
Series 2004-AR14, Class A1, 3.820%, 01/25/2035 (4) | 5,699,372 | 5,636,180 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $593,957,201) | 605,878,195 | 2.3 | % | |||||||||
Total Residential Mortgage-Backed Securities (Cost $6,210,482,388) | 6,484,606,678 | 24.1 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2014-M2, Class A2, 3.513%, 12/25/2023 (4) | 8,646,692 | 9,284,592 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 17,950,000 | 18,556,845 | ||||||||||
Series K721, Class A2, 3.090%, 08/25/2022 (4) | 25,545,000 | 26,592,927 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 49,705,041 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 27,398,000 | 29,136,693 | ||||||||||
Series K723, Class A2, 2.454%, 08/25/2023 | 28,425,000 | 29,821,571 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 69,525,000 | 75,873,321 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 60,430,000 | 67,328,393 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,739,000 | 92,623,034 | ||||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 21,500,000 | 24,033,283 | ||||||||||
Series K057, Class A2, 2.570%, 07/25/2026 | 21,420,000 | 23,324,673 | ||||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 21,753,037 | ||||||||||
Series K063, Class A2, 3.430%, 01/25/2027 (4) | 63,971,857 | 73,452,870 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 51,995,903 | 59,128,295 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 31,065,000 | 35,486,106 | ||||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 12,600,481 | ||||||||||
Series K067, Class A2, 3.194%, 07/25/2027 | 59,034,045 | 67,504,899 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 10,324,685 | ||||||||||
Series K069, Class A2, 3.187%, 09/25/2027 (4) | 25,488,779 | 29,150,319 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 25,529,000 | 29,429,864 | ||||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 6,050,000 | 7,041,943 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 1,350,000 | 1,562,706 | ||||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 21,722,000 | 25,454,326 | ||||||||||
Series K076, Class A2, 3.900%, 04/25/2028 | 18,299,000 | 21,914,193 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 68,650,000 | 81,855,514 | ||||||||||
Series K078, Class A2, 3.854%, 06/25/2028 | 59,788,633 | 71,295,876 | ||||||||||
Series K080, Class A2, 3.926%, 07/25/2028 (4) | 31,225,000 | 37,467,677 | ||||||||||
Series K082, Class A2, 3.920%, 09/25/2028 (4) | 56,545,000 | 67,940,706 | ||||||||||
Series K083, Class A2, 4.050%, 09/25/2028 (4) | 1,000,000 | 1,215,208 | ||||||||||
Series K084, Class A2, 3.780%, 10/25/2028 (4) | 2,700,000 | 3,212,826 | ||||||||||
Series K085, Class A2, 4.060%, 10/25/2028 (4) | 9,304,000 | 11,288,520 | ||||||||||
Series K156, Class A3, 3.700%, 06/25/2033 (4) | 11,088,000 | 13,589,869 | ||||||||||
Total U.S. Government Agency Issues (Cost $1,045,900,250) | 1,128,950,293 | 4.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 44,535,000 | 50,068,487 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 38,033,000 | 42,739,257 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 84,873,000 | 95,501,137 | ||||||||||
Series 2017-BNK5, Class A5, 3.390%, 06/17/2060 | 22,501,000 | 25,004,954 | ||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2016-CD1, Class A4, 2.724%, 08/12/2049 | 45,910,000 | 48,612,887 | ||||||||||
CFCRE Commercial Mortgage Trust, | ||||||||||||
Series 2016-C4, Class A4, 3.283%, 05/10/2058 | 29,732,980 | 32,032,389 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 34,503,388 | 35,867,766 | ||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 6,361,490 | 6,804,566 | ||||||||||
Series 2014-GC25, Class A4, 3.635%, 10/10/2047 | 16,838,590 | 18,203,257 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 59,202,541 | 62,864,117 | ||||||||||
Series 2015-GC35, Class A4, 3.818%, 11/13/2048 | 34,430,000 | 38,159,743 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 7,488,584 | 7,648,001 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 | 19,677,928 | 20,852,809 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 20,250,536 | 20,819,843 | ||||||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 23,113,096 | 24,747,700 | ||||||||||
Series 2014-CR15, Class ASB, 3.595%, 02/12/2047 | 9,826,941 | 10,233,411 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 15,789,828 | 17,194,557 | ||||||||||
Series 2013-CR11, Class A3, 3.983%, 08/12/2050 | 10,259,207 | 11,047,352 | ||||||||||
DBJPM Mortgage Trust, | ||||||||||||
Series 2016-C3, Class ASB, 2.756%, 08/12/2049 | 10,755,000 | 11,197,494 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 37,675,945 | 38,304,949 | ||||||||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 25,500,000 | 27,544,271 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 18,102,913 | 18,753,020 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 5,595,070 | 5,686,013 | ||||||||||
Series 2012-LC9, Class A5, 2.840%, 12/17/2047 | 11,490,066 | 11,772,360 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C12, Class ASB, 3.157%, 07/17/2045 | 2,339,027 | 2,376,898 | ||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 6,835,000 | 7,225,771 | ||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 1,561,870 | 1,681,353 | ||||||||||
Series 2013-C14, Class A4, 4.133%, 08/17/2046 (4) | 29,020,000 | 31,140,970 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 3,382,847 | 3,631,630 | ||||||||||
Series 2013-C17, Class A4, 4.199%, 01/17/2047 | 17,276,000 | 18,788,965 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 8,548,888 | 8,918,067 | ||||||||||
Series 2014-C25, Class ASB, 3.407%, 11/18/2047 | 7,880,856 | 8,200,096 | ||||||||||
Series 2015-C28, Class A4, 3.227%, 10/19/2048 | 16,688,500 | 17,859,033 | ||||||||||
JPMCC Commercial Mortgage Securities Trust, | ||||||||||||
Series 2017-JP7, Class A5, 3.454%, 09/16/2050 | 9,000,000 | 10,024,125 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 37,925,000 | 38,762,407 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 22,002,339 | 22,600,411 | ||||||||||
Series 2013-C10, Class A3, 4.103%, 07/17/2046 (4) | 6,148,843 | 6,569,641 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 16,211,562 | 17,191,896 | ||||||||||
Series 2014-C16, Class A5, 3.892%, 06/17/2047 | 25,000,000 | 26,922,040 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 12,500,000 | 13,150,088 | ||||||||||
Series 2016-C30, Class A5, 2.860%, 09/17/2049 | 18,082,000 | 19,286,062 | ||||||||||
Series 2017-C34, Class A4, 3.536%, 11/18/2052 | 30,552,079 | 34,089,539 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class ASB, 3.278%, 02/18/2048 | 17,136,598 | 17,832,542 | ||||||||||
Series 2015-SG1, Class ASB, 3.556%, 09/17/2048 | 21,300,000 | 22,326,281 | ||||||||||
Series 2015-SG1, Class A4, 3.789%, 09/17/2048 | 19,964,000 | 21,684,178 | ||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 46,750,000 | 50,728,752 | ||||||||||
Series 2017-C42, Class A4, 3.589%, 12/16/2050 | 6,250,000 | 7,029,447 | ||||||||||
Series 2017-RC1, Class A4, 3.631%, 01/15/2060 | 1,950,000 | 2,168,648 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 25,800,653 | 26,218,043 | ||||||||||
Series 2013-C13, Class ASB, 2.654%, 05/17/2045 | 4,248,255 | 4,330,810 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 12,900,000 | 13,701,167 | ||||||||||
Series 2014-C21, Class A5, 3.678%, 08/16/2047 | 34,719,000 | 37,469,724 | ||||||||||
Series 2014-C24, Class A4, 3.343%, 11/18/2047 | 36,730,000 | 38,859,532 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 6,026,433 | 6,310,024 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $1,174,676,006) | 1,218,738,480 | 4.5 | % | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $2,220,576,256) | 2,347,688,773 | 8.7 | % |
Asset Backed Securities | ||||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2019-A3, Class A3, 2.060%, 08/15/2028 | 3,227,000 | 3,441,196 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 8,691,000 | 12,960,103 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 4,709,204 | 4,782,541 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 95,828 | 97,791 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 718,815 | 731,386 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027 (2) | 28,860,000 | 29,128,992 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027 (2) | 43,505,000 | 44,009,132 | ||||||||||
Series 2017-1, Class A, 2.620%, 08/15/2028 (2) | 2,400,000 | 2,467,206 | ||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 38,742,000 | 41,443,255 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 40,550,000 | 43,422,319 | ||||||||||
GM Financial Consumer Automobile Receivables Trust, | ||||||||||||
Series 2020-2, Class A3, 1.490%, 12/16/2024 | 4,475,000 | 4,574,013 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2016-AA, Class A5, 2.210%, 12/15/2032 (2) | 14,100,000 | 14,437,262 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 10,479 | 10,642 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022 (2) | 20,555,000 | 20,637,849 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-6, Class A2, 2.820%, 11/25/2026 (2) | 5,677,621 | 5,716,859 | ||||||||||
Series 2018-3, Class A2, 3.670%, 08/25/2027 (2) | 15,174,395 | 15,357,690 | ||||||||||
Synchrony Card Funding LLC, | ||||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 47,621,000 | 49,332,622 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2020-MH1, Class A1A, 2.184%, 02/25/2060 (2)(4) | 58,270,671 | 59,009,794 | ||||||||||
Series 2020-MH1, Class A1, 2.250%, 02/25/2060 (2)(4) | 37,144,651 | 37,672,885 | ||||||||||
Toyota Auto Loan Extended Note Trust: | ||||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 68,654,950 | 73,071,523 | ||||||||||
Series 2020-1A, Class A, 1.350%, 05/25/2033 (2) | 41,850,000 | 42,477,193 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 37,825,000 | 38,821,095 | ||||||||||
Series 2019-C, Class A1A, 1.940%, 04/20/2024 | 21,610,000 | 22,168,234 | ||||||||||
Total Asset Backed Securities (Cost $546,595,718) | 565,771,582 | 2.1 | % | |||||||||
Total Long-Term Investments (Cost $24,613,962,210) | 26,244,742,802 | 97.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
First American Government Obligations Fund, Class U, 0.11% (5) | 1,252,507,500 | 1,252,507,500 | ||||||||||
Total Short-Term Investment (Cost $1,252,507,500) | 1,252,507,500 | 4.6 | % | |||||||||
Total Investments (Cost $25,866,469,710) | 27,497,250,302 | 101.9 | % | |||||||||
Liabilities in Excess of Other Assets | (506,173,182 | ) | (1.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 26,991,077,120 | 100.0 | % |
Notes to Schedule of Investments | |
CMT - Constant Maturity Treasury | |
LIBOR - London Inter-bank Offered Rate | |
SOFR - Secured Overnight Financing Rate | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $4,603,139,170, which represents 17.05% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(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, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.875%, 03/31/2022 | $ | 220,850,000 | $ | 227,397,858 | ||||||||
1.625%, 08/31/2022 | 3,950,000 | 4,074,055 | ||||||||||
2.125%, 12/31/2022 | 372,290,000 | 390,424,596 | ||||||||||
3.125%, 11/15/2028 | 25,000,000 | 30,225,586 | ||||||||||
2.875%, 05/15/2043 | 799,450,000 | 1,044,375,250 | ||||||||||
2.500%, 02/15/2045 | 631,275,000 | 778,687,573 | ||||||||||
2.875%, 05/15/2049 | 156,350,000 | 211,524,448 | ||||||||||
2.000%, 02/15/2050 | 4,500,000 | 5,153,555 | ||||||||||
Total U.S. Treasury Securities (Cost $2,370,772,503) | 2,691,862,921 | 10.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
CNOOC Curtis Funding No. 1 Pty Ltd., | ||||||||||||
4.500%, 10/03/2023 (1)(2) | 5,000,000 | 5,488,161 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,415,000 | 2,519,377 | ||||||||||
CNOOC Finance (2015) USA LLC, | ||||||||||||
3.500%, 05/05/2025 | 21,200,000 | 23,096,451 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 4,750,000 | 5,229,562 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
5.750%, 02/14/2042 (1)(2) | 5,200,000 | 5,512,052 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022 (1) | 4,265,000 | 4,512,327 | ||||||||||
Electricite de France SA, | ||||||||||||
4.750%, 10/13/2035 (1)(2) | 10,000,000 | 12,076,509 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
4.000%, 01/29/2021 (1) | 2,400,000 | 2,441,928 | ||||||||||
Korea Development Bank, | ||||||||||||
3.000%, 09/14/2022 (1) | 4,400,000 | 4,613,180 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.299%, 01/27/2025 (1) | 3,400,000 | 3,532,634 | ||||||||||
7.375%, 01/17/2027 (1) | 9,300,000 | 10,358,154 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.500%, 01/23/2026 (1) | 3,516,000 | 3,067,710 | ||||||||||
6.490%, 01/23/2027 (1)(2) | 11,743,000 | 10,720,067 | ||||||||||
6.840%, 01/23/2030 (1)(2) | 14,606,000 | 12,856,932 | ||||||||||
5.950%, 01/28/2031 (1)(2) | 1,005,000 | 829,276 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024 (1)(2) | 1,500,000 | 1,653,239 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
3.250%, 04/28/2025 (1)(2) | 20,000,000 | 21,553,437 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026 (1)(2) | 10,000,000 | 10,982,240 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
3.000%, 04/12/2022 (1)(2) | 6,950,000 | 7,144,756 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.125%, 03/28/2022 (1) | 5,000,000 | 5,067,632 | ||||||||||
4.441%, 04/24/2023 (1)(2) | 5,000,000 | 5,247,764 | ||||||||||
4.892%, 04/24/2025 (1)(2) | 27,231,000 | 28,628,282 | ||||||||||
Total Other Government Related Securities (Cost $179,061,715) | 187,131,670 | 0.7 | % |
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
A.P. Meoller - Maersk A/S, | ||||||||||||
3.750%, 09/22/2024 (1)(2) | 4,475,000 | 4,696,995 | ||||||||||
Abbott Laboratories: | ||||||||||||
3.400%, 11/30/2023 | 4,583,000 | 4,991,380 | ||||||||||
4.750%, 11/30/2036 | 7,506,000 | 10,168,015 | ||||||||||
AbbVie, Inc.: | ||||||||||||
5.000%, 12/15/2021 (2) | 41,397,000 | 43,491,762 | ||||||||||
3.250%, 10/01/2022 (2) | 7,500,000 | 7,859,704 | ||||||||||
3.200%, 11/06/2022 | 3,000,000 | 3,152,312 | ||||||||||
3.850%, 06/15/2024 (2) | 10,125,000 | 11,092,486 | ||||||||||
3.800%, 03/15/2025 (2) | 29,200,000 | 32,397,854 | ||||||||||
3.600%, 05/14/2025 | 2,500,000 | 2,764,431 | ||||||||||
4.550%, 03/15/2035 (2) | 14,098,000 | 17,096,713 | ||||||||||
4.300%, 05/14/2036 | 3,825,000 | 4,415,921 | ||||||||||
4.050%, 11/21/2039 (2) | 11,250,000 | 13,156,424 | ||||||||||
4.250%, 11/21/2049 (2) | 20,000,000 | 24,243,384 | ||||||||||
ADT Corp., | ||||||||||||
3.500%, 07/15/2022 | 6,900,000 | 6,858,600 | ||||||||||
Adventist Health System: | ||||||||||||
2.952%, 03/01/2029 | 7,250,000 | 7,488,097 | ||||||||||
3.630%, 03/01/2049 | 8,900,000 | 9,030,867 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 5,325,000 | 5,753,222 | ||||||||||
Air Liquide Finance, | ||||||||||||
2.500%, 09/27/2026 (1)(2) | 4,833,000 | 5,217,006 | ||||||||||
Air Products and Chemicals, Inc., | ||||||||||||
2.800%, 05/15/2050 | 5,000,000 | 5,253,177 | ||||||||||
Alcon Finance Corp.: | ||||||||||||
3.000%, 09/23/2029 (2) | 6,110,000 | 6,458,056 | ||||||||||
2.600%, 05/27/2030 (2) | 6,475,000 | 6,637,417 | ||||||||||
Alibaba Group Holding Ltd., | ||||||||||||
3.125%, 11/28/2021 (1) | 10,000,000 | 10,288,642 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.950%, 01/25/2030 (1)(2) | 6,500,000 | 6,739,535 | ||||||||||
Allegion PLC, | ||||||||||||
3.500%, 10/01/2029 (1) | 8,000,000 | 8,387,990 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 22,750,000 | 23,733,277 | ||||||||||
Alpek SAB de CV, | ||||||||||||
4.250%, 09/18/2029 (1)(2) | 6,000,000 | 5,925,000 | ||||||||||
America Movil SAB de CV, | ||||||||||||
2.875%, 05/07/2030 (1) | 28,000,000 | 29,555,400 | ||||||||||
Amgen, Inc.: | ||||||||||||
2.200%, 02/21/2027 | 11,750,000 | 12,391,165 | ||||||||||
3.150%, 02/21/2040 | 5,000,000 | 5,369,984 | ||||||||||
4.400%, 05/01/2045 | 8,000,000 | 9,953,334 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
3.750%, 04/10/2022 (1)(2) | 7,000,000 | 7,200,222 | ||||||||||
4.125%, 09/27/2022 (1)(2) | 5,385,000 | 5,614,421 | ||||||||||
3.625%, 09/11/2024 (1)(2) | 4,325,000 | 4,538,148 | ||||||||||
5.375%, 04/01/2025 (1)(2) | 29,505,000 | 33,324,257 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 18,290,000 | 19,372,274 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.750%, 01/23/2029 | 5,000,000 | 6,041,470 | ||||||||||
5.450%, 01/23/2039 | 9,975,000 | 12,603,283 | ||||||||||
4.900%, 02/01/2046 | 41,075,000 | 50,262,875 | ||||||||||
ANR Pipeline Co., | ||||||||||||
9.625%, 11/01/2021 | 9,150,000 | 10,203,481 | ||||||||||
AP Moller - Maersk A/S: | ||||||||||||
3.875%, 09/28/2025 (1)(2) | 18,140,000 | 19,271,157 | ||||||||||
4.500%, 06/20/2029 (1)(2) | 9,475,000 | 10,167,499 | ||||||||||
Apple, Inc., | ||||||||||||
2.650%, 05/11/2050 | 15,000,000 | 15,712,090 | ||||||||||
Aramark Services, Inc., | ||||||||||||
5.000%, 02/01/2028 (2) | 1,000,000 | 950,000 | ||||||||||
ArcelorMittal: | ||||||||||||
3.600%, 07/16/2024 (1) | 14,575,000 | 14,444,817 | ||||||||||
6.125%, 06/01/2025 (1) | 3,500,000 | 3,798,329 | ||||||||||
4.550%, 03/11/2026 (1) | 15,000,000 | 15,201,365 | ||||||||||
4.250%, 07/16/2029 (1) | 15,000,000 | 15,097,392 | ||||||||||
Arrow Electronics, Inc., | ||||||||||||
3.250%, 09/08/2024 | 15,000,000 | 15,900,738 | ||||||||||
Ashtead Capital, Inc., | ||||||||||||
4.000%, 05/01/2028 (2) | 4,000,000 | 3,980,000 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 4,425,000 | 4,952,278 | ||||||||||
3.400%, 05/15/2025 | 20,225,000 | 22,226,447 | ||||||||||
4.125%, 02/17/2026 | 8,925,000 | 10,170,951 | ||||||||||
3.800%, 02/15/2027 | 3,500,000 | 3,941,949 | ||||||||||
4.300%, 02/15/2030 | 10,980,000 | 12,867,998 | ||||||||||
5.250%, 03/01/2037 | 7,125,000 | 8,809,709 | ||||||||||
4.900%, 08/15/2037 | 10,000,000 | 12,018,096 | ||||||||||
4.850%, 07/15/2045 | 12,000,000 | 14,259,506 | ||||||||||
4.750%, 05/15/2046 | 8,930,000 | 10,705,642 | ||||||||||
5.150%, 11/15/2046 | 16,321,000 | 20,215,978 | ||||||||||
4.500%, 03/09/2048 | 15,264,000 | 18,043,268 | ||||||||||
5.150%, 02/15/2050 | 23,650,000 | 30,325,940 | ||||||||||
Avery Dennison Corp., | ||||||||||||
2.650%, 04/30/2030 | 10,175,000 | 10,428,775 | ||||||||||
Avnet, Inc., | ||||||||||||
3.750%, 12/01/2021 | 5,000,000 | 5,130,527 | ||||||||||
Ball Corp.: | ||||||||||||
5.250%, 07/01/2025 | 21,675,000 | 23,707,031 | ||||||||||
4.875%, 03/15/2026 | 10,325,000 | 11,228,438 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
4.250%, 12/15/2025 (2) | 25,000,000 | 28,702,734 | ||||||||||
4.625%, 06/25/2038 (2) | 12,000,000 | 14,681,421 | ||||||||||
4.400%, 07/15/2044 (2) | 5,125,000 | 5,814,977 | ||||||||||
Beam Suntory, Inc.: | ||||||||||||
3.250%, 05/15/2022 | 10,650,000 | 11,054,304 | ||||||||||
3.250%, 06/15/2023 | 10,960,000 | 11,464,781 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 3,806,000 | 3,836,240 | ||||||||||
3.363%, 06/06/2024 | 10,000,000 | 10,792,737 | ||||||||||
3.734%, 12/15/2024 | 9,250,000 | 10,204,078 | ||||||||||
4.875%, 05/15/2044 | 5,455,000 | 6,745,317 | ||||||||||
Bemis Co, Inc., | ||||||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,024,991 | ||||||||||
Berry Global, Inc., | ||||||||||||
4.875%, 07/15/2026 (2) | 14,000,000 | 14,210,000 | ||||||||||
Biogen, Inc., | ||||||||||||
3.150%, 05/01/2050 | 20,000,000 | 19,257,054 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 17,475,000 | 18,712,175 | ||||||||||
5.950%, 06/01/2026 | �� | 26,406,000 | 29,701,915 | |||||||||
4.800%, 05/03/2029 | 26,341,000 | 28,049,778 | ||||||||||
Bon Secours Mercy Health, Inc., | ||||||||||||
3.464%, 06/01/2030 | 16,330,000 | 18,042,754 | ||||||||||
Boral Finance Pty Ltd.: | ||||||||||||
3.000%, 11/01/2022 (1)(2) | 8,650,000 | 8,718,230 | ||||||||||
3.750%, 05/01/2028 (1)(2) | 5,550,000 | 5,441,239 | ||||||||||
BorgWarner, Inc., | ||||||||||||
2.650%, 07/01/2027 | 9,000,000 | 9,233,955 | ||||||||||
Boston Scientific Corp., | ||||||||||||
1.900%, 06/01/2025 | 15,000,000 | 15,545,428 | ||||||||||
Bristol-Myers Squibb Co.: | ||||||||||||
3.550%, 08/15/2022 (2) | 5,730,000 | 6,084,255 | ||||||||||
3.250%, 02/20/2023 (2) | 10,000,000 | 10,641,625 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.625%, 10/15/2024 (2) | 32,800,000 | 35,626,322 | ||||||||||
3.125%, 01/15/2025 | 13,250,000 | 14,153,584 | ||||||||||
4.700%, 04/15/2025 (2) | 18,300,000 | 20,619,971 | ||||||||||
3.150%, 11/15/2025 (2) | 7,150,000 | 7,609,904 | ||||||||||
4.250%, 04/15/2026 (2) | 25,000,000 | 27,822,628 | ||||||||||
4.150%, 11/15/2030 (2) | 10,000,000 | 10,866,817 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
3.400%, 06/27/2026 | 18,286,000 | 20,205,947 | ||||||||||
Browning-Ferris Industries, Inc., | ||||||||||||
9.250%, 05/01/2021 | 1,600,000 | 1,692,518 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.250%, 08/15/2026 | 13,188,000 | 13,638,011 | ||||||||||
3.750%, 09/25/2027 | 22,800,000 | 23,790,629 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,100,000 | 3,815,015 | ||||||||||
Cameron LNG LLC, | ||||||||||||
3.701%, 01/15/2039 (2) | 15,000,000 | 16,101,367 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 11,000,000 | 12,353,940 | ||||||||||
Cargill, Inc., | ||||||||||||
2.125%, 04/23/2030 (2) | 7,000,000 | 7,337,887 | ||||||||||
Carlisle Companies, Inc.: | ||||||||||||
3.750%, 12/01/2027 | 4,600,000 | 5,043,600 | ||||||||||
2.750%, 03/01/2030 | 21,832,000 | 22,471,027 | ||||||||||
Carrier Global Corp.: | ||||||||||||
2.493%, 02/15/2027 (2) | 12,845,000 | 13,085,133 | ||||||||||
2.700%, 02/15/2031 (2) | 14,700,000 | 14,656,949 | ||||||||||
3.377%, 04/05/2040 (2) | 10,000,000 | 9,764,024 | ||||||||||
3.577%, 04/05/2050 (2) | 3,050,000 | 3,002,151 | ||||||||||
CCL Industries, Inc., | ||||||||||||
3.050%, 06/01/2030 (1)(2) | 14,725,000 | 15,029,803 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 24,874,000 | 25,309,046 | ||||||||||
5.375%, 03/15/2044 | 10,922,000 | 11,809,959 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 33,748,000 | 35,995,387 | ||||||||||
4.908%, 07/23/2025 | 63,550,000 | 72,833,585 | ||||||||||
3.750%, 02/15/2028 | 5,000,000 | 5,450,560 | ||||||||||
5.050%, 03/30/2029 | 3,437,000 | 4,057,061 | ||||||||||
6.384%, 10/23/2035 | 11,000,000 | 14,536,203 | ||||||||||
Cheniere Corpus Christi Holdings LLC: | ||||||||||||
7.000%, 06/30/2024 | 4,269,000 | 4,857,008 | ||||||||||
5.875%, 03/31/2025 | 5,005,000 | 5,609,464 | ||||||||||
5.125%, 06/30/2027 | 5,000,000 | 5,494,356 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
5.125%, 04/01/2025 (2) | 15,000,000 | 17,192,920 | ||||||||||
Cigna Corp.: | ||||||||||||
3.050%, 11/30/2022 (2) | 15,000,000 | 15,785,144 | ||||||||||
3.000%, 07/15/2023 (2) | 7,525,000 | 7,999,264 | ||||||||||
3.500%, 06/15/2024 (2) | 7,800,000 | 8,519,841 | ||||||||||
4.500%, 02/25/2026 (2) | 5,725,000 | 6,659,921 | ||||||||||
2.400%, 03/15/2030 | 9,850,000 | 10,220,501 | ||||||||||
4.800%, 08/15/2038 | 7,600,000 | 9,630,011 | ||||||||||
CK Hutchison International Ltd.: | ||||||||||||
2.250%, 09/29/2020 (1)(2) | 17,600,000 | 17,625,353 | ||||||||||
2.875%, 04/05/2022 (1)(2) | 7,475,000 | 7,658,022 | ||||||||||
3.250%, 04/11/2024 (1)(2) | 7,000,000 | 7,420,426 | ||||||||||
Clean Harbors, Inc., | ||||||||||||
5.125%, 07/15/2029 (2) | 100,000 | 103,716 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
4.200%, 01/15/2024 | 15,000,000 | 15,982,555 | ||||||||||
CNH Industrial NV: | ||||||||||||
4.500%, 08/15/2023 (1) | 16,168,000 | 17,369,695 | ||||||||||
3.850%, 11/15/2027 (1) | 22,445,000 | 23,655,403 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
4.500%, 06/01/2025 | 14,135,000 | 16,056,335 | ||||||||||
5.800%, 06/01/2045 | 4,733,000 | 5,769,405 | ||||||||||
Comcast Cable Communications Holdings, Inc., | ||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,464,220 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 6,500,000 | 7,974,392 | ||||||||||
4.400%, 08/15/2035 | 13,575,000 | 16,809,717 | ||||||||||
3.200%, 07/15/2036 | 15,000,000 | 16,588,264 | ||||||||||
4.600%, 10/15/2038 | 12,350,000 | 15,704,824 | ||||||||||
4.650%, 07/15/2042 | 2,000,000 | 2,576,185 | ||||||||||
4.950%, 10/15/2058 | 7,500,000 | 10,667,082 | ||||||||||
CommonSpirit Health, | ||||||||||||
2.760%, 10/01/2024 | 7,500,000 | 7,745,933 |
Conagra Brands, Inc., | ||||||||||||
5.300%, 11/01/2038 | 6,625,000 | 8,663,597 | ||||||||||
ConocoPhillips Canada Funding Co. I, | ||||||||||||
5.950%, 10/15/2036 (1) | 845,000 | 1,137,431 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
4.750%, 12/01/2025 | 1,000,000 | 1,175,937 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 10,000,000 | 11,491,898 | ||||||||||
Costco Wholesale Corp., | ||||||||||||
1.750%, 04/20/2032 | 10,000,000 | 10,132,637 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
2.950%, 06/30/2023 (2) | 5,475,000 | 5,767,662 | ||||||||||
3.850%, 02/01/2025 (2) | 2,875,000 | 3,138,746 | ||||||||||
3.350%, 09/15/2026 (2) | 20,850,000 | 23,056,284 | ||||||||||
4.800%, 02/01/2035 (2) | 4,450,000 | 5,597,262 | ||||||||||
6.450%, 12/01/2036 (2) | 5,550,000 | 7,490,301 | ||||||||||
8.375%, 03/01/2039 (2) | 11,639,000 | 19,013,744 | ||||||||||
4.700%, 12/15/2042 (2) | 5,000,000 | 6,173,604 | ||||||||||
CSX Corp.: | ||||||||||||
6.220%, 04/30/2040 | 475,000 | 690,551 | ||||||||||
4.650%, 03/01/2068 | 9,000,000 | 11,733,313 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.875%, 07/20/2025 | 2,302,000 | 2,587,090 | ||||||||||
3.250%, 08/15/2029 | 11,800,000 | 13,037,569 | ||||||||||
4.780%, 03/25/2038 | 35,075,000 | 43,584,263 | ||||||||||
5.125%, 07/20/2045 | 10,000,000 | 12,884,992 | ||||||||||
5.050%, 03/25/2048 | 19,600,000 | 25,673,896 | ||||||||||
CVS Pass-Through Trust, | ||||||||||||
7.507%, 01/10/2032 (2) | 3,763,657 | 4,690,560 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.550%, 08/15/2022 (2) | 19,750,000 | 20,257,475 | ||||||||||
1.750%, 03/10/2023 (2) | 29,550,000 | 29,763,810 | ||||||||||
Danone SA: | ||||||||||||
3.000%, 06/15/2022 (1)(2) | 3,500,000 | 3,647,808 | ||||||||||
2.589%, 11/02/2023 (1)(2) | 10,000,000 | 10,520,511 | ||||||||||
DCP Midstream LLC: | ||||||||||||
4.750%, 09/30/2021 (2) | 2,245,000 | 2,282,267 | ||||||||||
5.375%, 07/15/2025 | 3,000,000 | 2,977,500 | ||||||||||
5.625%, 07/15/2027 | 12,000,000 | 12,075,000 | ||||||||||
5.125%, 05/15/2029 | 8,000,000 | 7,675,040 | ||||||||||
Dell Technologies, Inc.: | ||||||||||||
5.850%, 07/15/2025 (2) | 5,000,000 | 5,745,998 | ||||||||||
4.900%, 10/01/2026 (2) | 5,000,000 | 5,517,009 | ||||||||||
Dentsply Sirona, | ||||||||||||
3.250%, 06/01/2030 | 38,920,000 | 40,917,253 | ||||||||||
Deutsche Telekom AG, | ||||||||||||
3.625%, 01/21/2050 (1)(2) | 5,925,000 | 6,520,189 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030 (1) | 26,015,000 | 40,696,760 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
4.420%, 06/15/2021 (2) | 39,125,000 | 40,218,520 | ||||||||||
5.450%, 06/15/2023 (2) | 42,180,000 | 46,137,003 | ||||||||||
6.020%, 06/15/2026 (2) | 30,414,000 | 34,868,901 | ||||||||||
DISH DBS Corp., | ||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,494,000 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,701,804 | ||||||||||
DuPont de Nemours, Inc.: | ||||||||||||
4.493%, 11/15/2025 | 9,275,000 | 10,668,142 | ||||||||||
5.319%, 11/15/2038 | 17,350,000 | 21,997,480 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 2,000,000 | 2,089,114 | ||||||||||
4.250%, 04/15/2024 | 52,810,000 | 56,783,668 | ||||||||||
4.125%, 04/15/2025 | 20,000,000 | 21,325,361 | ||||||||||
4.750%, 04/15/2027 | 28,650,000 | 31,412,972 | ||||||||||
Eaton Corp.: | ||||||||||||
2.750%, 11/02/2022 | 2,625,000 | 2,761,026 | ||||||||||
4.000%, 11/02/2032 | 3,660,000 | 4,327,824 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 6,325,000 | 6,712,737 | ||||||||||
Element Fleet Management Corp., | ||||||||||||
3.850%, 06/15/2025 (1)(2) | 15,000,000 | 15,396,993 | ||||||||||
Emerson Electric Co., | ||||||||||||
2.750%, 10/15/2050 | 16,200,000 | 16,322,512 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
4.400%, 03/15/2027 | 15,000,000 | 13,972,477 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 6,194,380 | ||||||||||
7.375%, 10/15/2045 | 23,298,000 | 33,381,678 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.250%, 03/15/2023 | 10,000,000 | 10,563,876 | ||||||||||
5.875%, 01/15/2024 | 15,000,000 | 16,699,543 | ||||||||||
5.500%, 06/01/2027 | 6,204,000 | 6,914,987 | ||||||||||
3.750%, 05/15/2030 | 6,350,000 | 6,307,157 | ||||||||||
6.000%, 06/15/2048 | 5,000,000 | 5,185,888 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
4.200%, 04/15/2027 | 8,650,000 | 9,043,172 | ||||||||||
6.500%, 02/01/2042 | 18,727,000 | 20,285,767 | ||||||||||
5.950%, 10/01/2043 | 2,702,000 | 2,768,809 | ||||||||||
5.150%, 03/15/2045 | 5,000,000 | 4,765,077 | ||||||||||
Eni SpA, | ||||||||||||
4.250%, 05/09/2029 (1)(2) | 18,250,000 | 19,748,107 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 23,605,000 | 19,603,952 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
3.350%, 03/15/2023 | 10,000,000 | 10,589,757 | ||||||||||
3.950%, 01/31/2060 | 14,475,000 | 14,916,525 | ||||||||||
EQT Corp., | ||||||||||||
6.125%, 02/01/2025 | 10,000,000 | 9,965,200 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 22,000,000 | 22,148,060 | ||||||||||
4.125%, 12/01/2026 | 14,750,000 | 13,523,832 | ||||||||||
Equinix, Inc.: | ||||||||||||
2.625%, 11/18/2024 | 8,000,000 | 8,516,960 | ||||||||||
2.150%, 07/15/2030 | 15,000,000 | 14,868,450 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.600%, 12/01/2021 (2) | 10,400,000 | 10,543,801 | ||||||||||
Exxon Mobil Corp.: | ||||||||||||
1.571%, 04/15/2023 | 3,400,000 | 3,489,474 | ||||||||||
2.992%, 03/19/2025 | 35,000,000 | 38,002,469 | ||||||||||
3.294%, 03/19/2027 | 5,000,000 | 5,611,088 | ||||||||||
3.482%, 03/19/2030 | 22,250,000 | 25,321,869 | ||||||||||
2.610%, 10/15/2030 | 14,400,000 | 15,415,789 | ||||||||||
4.327%, 03/19/2050 | 3,950,000 | 4,926,638 | ||||||||||
FedEx Corp.: | ||||||||||||
3.800%, 05/15/2025 | 10,000,000 | 11,116,113 | ||||||||||
3.900%, 02/01/2035 | 7,000,000 | 7,564,617 | ||||||||||
4.950%, 10/17/2048 | 13,500,000 | 15,662,922 | ||||||||||
Ferguson Finance PLC, | ||||||||||||
4.500%, 10/24/2028 (1)(2) | 37,052,000 | 41,133,980 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 3,268,000 | 3,498,770 | ||||||||||
3.875%, 06/05/2024 | 6,367,000 | 7,027,249 | ||||||||||
3.000%, 08/15/2026 | 9,300,000 | 10,304,432 | ||||||||||
4.500%, 08/15/2046 | 6,700,000 | 8,268,824 | ||||||||||
Fiserv, Inc.: | ||||||||||||
3.500%, 10/01/2022 | 11,625,000 | 12,285,668 | ||||||||||
3.850%, 06/01/2025 | 11,720,000 | 13,231,009 | ||||||||||
3.200%, 07/01/2026 | 6,400,000 | 7,083,583 | ||||||||||
2.250%, 06/01/2027 | 10,650,000 | 11,136,646 | ||||||||||
3.500%, 07/01/2029 | 6,010,000 | 6,755,966 | ||||||||||
4.400%, 07/01/2049 | 20,000,000 | 24,341,673 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
3.875%, 07/15/2022 (2) | 3,000,000 | 3,130,215 | ||||||||||
FMC Corp., | ||||||||||||
3.200%, 10/01/2026 | 8,100,000 | 8,743,817 | ||||||||||
FMG Resources Pty Ltd., | ||||||||||||
5.125%, 03/15/2023 (1)(2) | 24,000,000 | 24,660,000 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023 (1) | 11,700,000 | 12,123,245 | ||||||||||
4.375%, 05/10/2043 (1) | 2,000,000 | 2,416,183 | ||||||||||
3.500%, 01/16/2050 (1) | 11,625,000 | 11,998,864 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.200%, 01/15/2021 | 11,250,000 | 11,081,250 | ||||||||||
5.750%, 02/01/2021 | 13,000,000 | 13,049,400 | ||||||||||
3.336%, 03/18/2021 | 5,500,000 | 5,443,405 | ||||||||||
5.875%, 08/02/2021 | 8,975,000 | 9,062,058 | ||||||||||
2.979%, 08/03/2022 | 20,000,000 | 19,169,000 | ||||||||||
4.250%, 09/20/2022 | 4,459,000 | 4,370,756 | ||||||||||
4.140%, 02/15/2023 | 10,000,000 | 9,784,500 | ||||||||||
5.584%, 03/18/2024 | 29,367,000 | 29,651,860 | ||||||||||
3.664%, 09/08/2024 | 12,000,000 | 11,312,520 | ||||||||||
4.063%, 11/01/2024 | 7,000,000 | 6,685,210 | ||||||||||
Fortune Brands Home & Security, Inc., | ||||||||||||
3.250%, 09/15/2029 | 14,000,000 | 14,926,143 | ||||||||||
Fox Corp., | ||||||||||||
3.050%, 04/07/2025 | 5,000,000 | 5,411,123 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 6,208,000 | 6,208,000 | ||||||||||
3.875%, 03/15/2023 | 38,916,000 | 38,916,000 | ||||||||||
5.000%, 09/01/2027 | 12,000,000 | 12,056,250 | ||||||||||
4.125%, 03/01/2028 | 10,000,000 | 9,700,000 | ||||||||||
5.250%, 09/01/2029 | 14,415,000 | 14,775,375 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024 (2) | 8,075,000 | 8,741,905 | ||||||||||
Fresenius Medical Care US Finance III, Inc., | ||||||||||||
3.750%, 06/15/2029 (2) | 24,930,000 | 27,041,082 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023 (2) | 33,385,000 | 35,259,871 | ||||||||||
General Dynamics Corp., | ||||||||||||
3.500%, 04/01/2027 | 11,000,000 | 12,576,642 | ||||||||||
General Electric Co.: | ||||||||||||
3.150%, 09/07/2022 | 6,500,000 | 6,806,972 | ||||||||||
3.450%, 05/01/2027 | 3,925,000 | 4,017,294 | ||||||||||
3.625%, 05/01/2030 | 5,000,000 | 5,005,653 | ||||||||||
6.150%, 08/07/2037 | 2,000,000 | 2,330,959 | ||||||||||
General Mills, Inc.: | ||||||||||||
3.700%, 10/17/2023 | 20,000,000 | 21,760,799 | ||||||||||
4.000%, 04/17/2025 | 3,175,000 | 3,586,126 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.450%, 11/06/2020 | 9,000,000 | 9,014,103 | ||||||||||
3.700%, 11/24/2020 | 1,509,000 | 1,516,972 | ||||||||||
4.200%, 03/01/2021 | 21,283,000 | 21,565,998 | ||||||||||
3.200%, 07/06/2021 | 25,600,000 | 25,883,399 | ||||||||||
4.375%, 09/25/2021 | 4,875,000 | 5,006,771 | ||||||||||
3.450%, 01/14/2022 | 5,200,000 | 5,285,194 | ||||||||||
3.150%, 06/30/2022 | 13,050,000 | 13,276,690 | ||||||||||
4.150%, 06/19/2023 | 3,375,000 | 3,527,659 | ||||||||||
5.100%, 01/17/2024 | 10,000,000 | 10,688,955 | ||||||||||
2.900%, 02/26/2025 | 17,725,000 | 17,654,321 | ||||||||||
Genpact Luxembourg Sarl: | ||||||||||||
3.700%, 04/01/2022 (1) | 43,005,000 | 44,156,859 | ||||||||||
3.375%, 12/01/2024 (1) | 27,750,000 | 28,636,315 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
5.400%, 11/01/2020 (2) | 11,000,000 | 11,175,223 | ||||||||||
3.163%, 11/15/2021 (2) | 20,000,000 | 20,559,615 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021 (1)(2) | 2,000,000 | 2,087,360 | ||||||||||
4.250%, 10/25/2022 (1)(2) | 7,000,000 | 7,400,050 | ||||||||||
6.000%, 11/15/2041 (1)(2) | 9,400,000 | 10,537,400 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023 (2) | 16,940,000 | 18,109,352 | ||||||||||
4.625%, 04/29/2024 (2) | 29,230,000 | 31,995,392 | ||||||||||
4.000%, 03/27/2027 (2) | 17,000,000 | 18,220,298 | ||||||||||
4.875%, 03/12/2029 (2) | 18,000,000 | 20,289,260 | ||||||||||
Global Payments, Inc.: | ||||||||||||
3.800%, 04/01/2021 | 9,199,000 | 9,365,646 | ||||||||||
4.000%, 06/01/2023 | 10,775,000 | 11,680,804 | ||||||||||
4.800%, 04/01/2026 | 10,035,000 | 11,744,981 | ||||||||||
2.900%, 05/15/2030 | 5,000,000 | 5,246,773 | ||||||||||
Graphic Packaging International LLC, | ||||||||||||
3.500%, 03/15/2028 (2) | 1,000,000 | 992,200 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022 (1)(2) | 3,915,000 | 4,101,066 | ||||||||||
3.875%, 06/27/2024 (1)(2) | 31,501,000 | 33,831,488 | ||||||||||
4.875%, 06/27/2044 (1)(2) | 9,575,000 | 10,705,779 | ||||||||||
4.700%, 11/10/2047 (1)(2) | 22,671,000 | 25,033,998 | ||||||||||
4.000%, 09/06/2049 (1)(2) | 13,000,000 | 13,049,140 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 3,054,392 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025 (2) | 10,000,000 | 11,387,011 | ||||||||||
HB Fuller Co., | ||||||||||||
4.000%, 02/15/2027 | 6,725,000 | 6,521,232 | ||||||||||
HCA, Inc.: | ||||||||||||
5.000%, 03/15/2024 | 10,366,000 | 11,521,822 | ||||||||||
5.375%, 02/01/2025 | 25,300,000 | 27,102,625 | ||||||||||
5.250%, 04/15/2025 | 19,200,000 | 22,019,760 | ||||||||||
5.375%, 09/01/2026 | 1,000,000 | 1,088,750 | ||||||||||
4.500%, 02/15/2027 | 5,000,000 | 5,574,854 | ||||||||||
5.875%, 02/01/2029 | 500,000 | 565,795 | ||||||||||
4.125%, 06/15/2029 | 15,000,000 | 16,546,313 | ||||||||||
3.500%, 09/01/2030 | 5,000,000 | 4,815,860 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
3.600%, 10/15/2020 | 7,550,000 | 7,597,414 | ||||||||||
4.450%, 10/02/2023 | 12,575,000 | 13,720,063 | ||||||||||
Hexcel Corp.: | ||||||||||||
4.700%, 08/15/2025 | 8,303,000 | 9,035,311 | ||||||||||
3.950%, 02/15/2027 | 19,000,000 | 20,386,076 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
5.150%, 09/12/2023 (1)(2) | 4,350,000 | 4,768,087 | ||||||||||
HP, Inc.: | ||||||||||||
2.200%, 06/17/2025 | 10,000,000 | 10,321,627 | ||||||||||
3.000%, 06/17/2027 | 25,000,000 | 26,210,405 | ||||||||||
Huntington Ingalls Industries, Inc., | ||||||||||||
3.844%, 05/01/2025 (2) | 10,000,000 | 10,858,247 | ||||||||||
Husky Energy, Inc.: | ||||||||||||
4.000%, 04/15/2024 (1) | 7,380,000 | 7,569,545 | ||||||||||
4.400%, 04/15/2029 (1) | 15,000,000 | 14,993,939 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
3.250%, 11/08/2022 (1)(2) | 4,625,000 | 4,815,672 | ||||||||||
3.625%, 10/31/2024 (1)(2) | 15,000,000 | 16,262,420 | ||||||||||
Hyundai Capital America: | ||||||||||||
3.450%, 03/12/2021 (2) | 20,950,000 | 21,194,860 | ||||||||||
3.000%, 03/18/2021 (2) | 10,000,000 | 10,097,869 | ||||||||||
3.750%, 07/08/2021 (2) | 10,150,000 | 10,340,745 | ||||||||||
3.100%, 04/05/2022 (2) | 2,000,000 | 2,040,153 | ||||||||||
2.850%, 11/01/2022 (2) | 5,225,000 | 5,331,693 | ||||||||||
2.375%, 02/10/2023 (2) | 20,000,000 | 20,149,620 | ||||||||||
3.400%, 06/20/2024 (2) | 16,850,000 | 17,379,160 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020 (1)(2) | 9,225,000 | 9,246,730 | ||||||||||
IHS Markit Ltd., | ||||||||||||
3.625%, 05/01/2024 (1) | 10,000,000 | 10,723,000 | ||||||||||
Infor, Inc., | ||||||||||||
1.750%, 07/15/2025 (2) | 8,375,000 | 8,409,990 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||||||
5.750%, 06/15/2043 | 4,126,000 | 5,392,447 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.650%, 11/01/2044 (1) | 1,300,000 | 1,544,455 | ||||||||||
Ingredion, Inc., | ||||||||||||
2.900%, 06/01/2030 | 28,000,000 | 29,812,856 | ||||||||||
International Business Machines Corp., | ||||||||||||
4.150%, 05/15/2039 | 13,000,000 | 15,740,529 | ||||||||||
International Flavors & Fragrances, Inc., | ||||||||||||
5.000%, 09/26/2048 | 10,000,000 | 11,666,980 | ||||||||||
JM Smucker Co.: | ||||||||||||
2.375%, 03/15/2030 | 5,000,000 | 5,105,055 | ||||||||||
3.550%, 03/15/2050 | 3,350,000 | 3,456,390 | ||||||||||
Johnson Controls International PLC, | ||||||||||||
3.900%, 02/14/2026 (1) | 3,645,000 | 4,054,779 | ||||||||||
Kansas City Southern: | ||||||||||||
4.700%, 05/01/2048 | 12,000,000 | 15,136,627 | ||||||||||
3.500%, 05/01/2050 | 13,000,000 | 13,891,140 | ||||||||||
Kerry Group Financial Services Unltd Co., | ||||||||||||
3.200%, 04/09/2023 (1)(2) | 18,500,000 | 19,336,917 | ||||||||||
Keurig Dr Pepper, Inc., | ||||||||||||
4.417%, 05/25/2025 | 7,000,000 | 8,071,301 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
4.550%, 10/30/2024 | 7,283,000 | 8,133,289 | ||||||||||
4.600%, 04/06/2027 | 50,189,000 | 59,072,255 | ||||||||||
Kimberly-Clark de Mexico SAB de CV, | ||||||||||||
2.431%, 07/01/2031 (1)(2) | 10,000,000 | 10,074,800 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
7.300%, 08/15/2033 | 1,675,000 | 2,209,721 | ||||||||||
6.500%, 02/01/2037 | 400,000 | 501,019 | ||||||||||
6.950%, 01/15/2038 | 14,755,000 | 19,774,077 | ||||||||||
7.500%, 11/15/2040 | 17,248,000 | 24,343,435 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021 (2) | 10,008,000 | 10,223,118 | ||||||||||
8.050%, 10/15/2030 | 15,384,000 | 20,265,376 | ||||||||||
7.800%, 08/01/2031 | 16,174,000 | 21,951,438 | ||||||||||
7.750%, 01/15/2032 | 7,466,000 | 10,434,912 | ||||||||||
Kinross Gold Corp., | ||||||||||||
6.875%, 09/01/2041 (1) | 5,500,000 | 6,701,268 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
4.000%, 06/15/2023 | 34,774,000 | 36,652,551 | ||||||||||
6.750%, 03/15/2032 | 10,000,000 | 12,478,384 | ||||||||||
5.000%, 07/15/2035 | 7,375,000 | 8,114,596 | ||||||||||
5.000%, 06/04/2042 | 5,000,000 | 5,268,030 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036 (1) | 1,500,000 | 1,966,076 | ||||||||||
LafargeHolcim Finance US LLC, | ||||||||||||
3.500%, 09/22/2026 (2) | 12,565,000 | 13,265,608 | ||||||||||
Lear Corp.: | ||||||||||||
3.800%, 09/15/2027 | 7,725,000 | 7,841,081 | ||||||||||
3.500%, 05/30/2030 | 15,000,000 | 14,981,446 | ||||||||||
Leidos, Inc., | ||||||||||||
4.375%, 05/15/2030 (2) | 24,000,000 | 27,034,800 | ||||||||||
Lennar Corp., | ||||||||||||
4.125%, 01/15/2022 | 1,385,000 | 1,402,312 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 10,000,000 | 10,315,539 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
5.000%, 03/01/2026 | 10,000,000 | 11,510,256 | ||||||||||
4.200%, 03/15/2045 | 8,770,000 | 8,518,614 | ||||||||||
4.250%, 09/15/2046 | 1,230,000 | 1,285,462 | ||||||||||
3.950%, 03/01/2050 | 19,000,000 | 19,001,853 | ||||||||||
Magna International, Inc., | ||||||||||||
2.450%, 06/15/2030 (1) | 10,000,000 | 10,226,777 | ||||||||||
Marathon Oil Corp., | ||||||||||||
2.800%, 11/01/2022 | 10,175,000 | 10,250,504 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 20,000,000 | 20,190,310 | ||||||||||
3.625%, 09/15/2024 | 2,500,000 | 2,665,630 | ||||||||||
4.700%, 05/01/2025 | 15,000,000 | 16,791,885 | ||||||||||
5.125%, 12/15/2026 | 3,000,000 | 3,451,919 | ||||||||||
4.750%, 09/15/2044 | 3,985,000 | 4,154,196 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.500%, 03/15/2030 | 5,000,000 | 5,033,031 | ||||||||||
6.250%, 05/01/2037 | 450,000 | 563,353 | ||||||||||
Masco Corp.: | ||||||||||||
4.450%, 04/01/2025 | 5,000,000 | 5,662,985 | ||||||||||
6.500%, 08/15/2032 | 14,934,000 | 18,146,887 | ||||||||||
McDonald's Corp.: | ||||||||||||
3.700%, 01/30/2026 | 7,250,000 | 8,219,221 | ||||||||||
3.500%, 07/01/2027 | 6,000,000 | 6,812,931 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
3.922%, 06/01/2021 | 12,845,000 | 13,095,336 | ||||||||||
4.333%, 06/01/2023 | 32,298,000 | 34,841,789 | ||||||||||
2.670%, 09/01/2023 (2) | 25,000,000 | 25,732,051 | ||||||||||
4.250%, 09/01/2025 (2) | 4,000,000 | 4,025,453 | ||||||||||
Micron Technology, Inc., | ||||||||||||
4.640%, 02/06/2024 | 3,000,000 | 3,306,736 | ||||||||||
Microsoft Corp., | ||||||||||||
4.200%, 11/03/2035 | 5,650,000 | 7,353,656 | ||||||||||
Midwest Connector Capital Co. LLC, | ||||||||||||
3.900%, 04/01/2024 (2) | 13,695,000 | 14,389,590 | ||||||||||
Minera Mexico SA de CV, | ||||||||||||
4.500%, 01/26/2050 (1)(2) | 5,000,000 | 4,987,500 |
Molex Electronic Technologies LLC, | |||||||||||
3.900%, 04/15/2025 (2) | 8,250,000 | 8,596,304 | |||||||||
Molson Coors Beverage Co., | |||||||||||
3.000%, 07/15/2026 | 24,000,000 | 24,968,807 | |||||||||
Mosaic Co., | |||||||||||
5.450%, 11/15/2033 | 16,101,000 | 17,089,731 | |||||||||
MPLX LP: | |||||||||||
3.500%, 12/01/2022 | 8,600,000 | 8,959,982 | |||||||||
4.000%, 02/15/2025 | 13,125,000 | 14,025,961 | |||||||||
4.875%, 06/01/2025 | 19,150,000 | 21,376,757 | |||||||||
4.250%, 12/01/2027 | 6,519,000 | 7,067,684 | |||||||||
5.500%, 02/15/2049 | 8,825,000 | 9,780,094 | |||||||||
4.900%, 04/15/2058 | 5,000,000 | 5,022,711 | |||||||||
MSCI, Inc., | |||||||||||
4.000%, 11/15/2029 (2) | 7,562,000 | 7,713,240 | |||||||||
Mylan NV: | |||||||||||
3.750%, 12/15/2020 (1) | 582,000 | 588,018 | |||||||||
3.150%, 06/15/2021 (1) | 8,100,000 | 8,269,349 | |||||||||
3.950%, 06/15/2026 (1) | 5,000,000 | 5,590,258 | |||||||||
Mylan, Inc.: | |||||||||||
3.125%, 01/15/2023 (2) | 16,800,000 | 17,656,525 | |||||||||
4.200%, 11/29/2023 | 4,525,000 | 4,951,068 | |||||||||
4.550%, 04/15/2028 | 5,000,000 | 5,744,669 | |||||||||
NCL Corp. Ltd., | |||||||||||
3.625%, 12/15/2024 (1)(2) | 20,000,000 | 12,225,000 | |||||||||
Newell Brands, Inc.: | |||||||||||
3.850%, 04/01/2023 | 40,709,000 | 41,922,128 | |||||||||
4.875%, 06/01/2025 | 1,500,000 | 1,570,935 | |||||||||
Newfield Exploration Co., | |||||||||||
5.750%, 01/30/2022 | 7,700,000 | 7,714,682 | |||||||||
NGPL PipeCo LLC, | |||||||||||
4.875%, 08/15/2027 (2) | 20,000,000 | 21,978,412 | |||||||||
NIKE, Inc., | |||||||||||
2.750%, 03/27/2027 | 7,000,000 | 7,710,939 | |||||||||
Noble Energy, Inc.: | |||||||||||
3.900%, 11/15/2024 | 3,000,000 | 3,018,250 | |||||||||
5.050%, 11/15/2044 | 3,000,000 | 2,731,311 | |||||||||
Norfolk Southern Corp., | |||||||||||
3.050%, 05/15/2050 | 20,000,000 | 20,592,301 | |||||||||
NuStar Logistics LP: | |||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,275,000 | |||||||||
6.750%, 02/01/2021 | 3,000,000 | 2,977,500 | |||||||||
Nutrien Ltd.: | |||||||||||
4.000%, 12/15/2026 (1) | 10,000,000 | 11,272,756 | |||||||||
4.125%, 03/15/2035 (1) | 6,550,000 | 7,353,207 | |||||||||
nVent Finance Sarl: | |||||||||||
3.950%, 04/15/2023 (1) | 11,055,000 | 11,553,214 | |||||||||
4.550%, 04/15/2028 (1) | 32,435,000 | 34,696,934 | |||||||||
NXP Semiconductors NV: | |||||||||||
4.625%, 06/15/2022 (1)(2) | 3,326,000 | 3,543,226 | |||||||||
3.875%, 09/01/2022 (1)(2) | 9,300,000 | 9,831,360 | |||||||||
Occidental Petroleum Corp.: | |||||||||||
2.900%, 08/15/2024 | 10,000,000 | 8,544,800 | |||||||||
8.500%, 07/15/2027 (8) | 15,000,000 | 14,981,250 | |||||||||
7.150%, 05/15/2028 | 7,000,000 | 6,230,000 | |||||||||
7.875%, 09/15/2031 | 12,790,000 | 12,110,595 | |||||||||
6.450%, 09/15/2036 | 7,125,000 | 6,020,625 | |||||||||
ONEOK Partners LP, | |||||||||||
3.375%, 10/01/2022 | 4,007,000 | 4,147,281 | |||||||||
ONEOK, Inc.: | |||||||||||
4.250%, 02/01/2022 | 6,450,000 | 6,669,585 | |||||||||
7.500%, 09/01/2023 | 22,959,000 | 26,339,504 | |||||||||
2.750%, 09/01/2024 | 8,300,000 | 8,373,942 | |||||||||
Oracle Corp.: | |||||||||||
2.800%, 04/01/2027 | 46,000,000 | 50,236,826 | |||||||||
3.900%, 05/15/2035 | 7,425,000 | 8,956,068 | |||||||||
Orange SA, | |||||||||||
9.000%, 03/01/2031 (1) | 33,426,000 | 54,534,221 | |||||||||
Oshkosh Corp., | |||||||||||
3.100%, 03/01/2030 | 5,000,000 | 5,035,302 | |||||||||
Owens Corning: | |||||||||||
4.200%, 12/01/2024 | 10,000,000 | 11,005,586 | |||||||||
3.400%, 08/15/2026 | 5,000,000 | 5,218,023 | |||||||||
Packaging Corp. of America, | |||||||||||
4.500%, 11/01/2023 | 4,700,000 | 5,173,157 | |||||||||
Pactiv LLC, | |||||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,424,970 | |||||||||
Penske Truck Leasing Co., | |||||||||||
4.000%, 07/15/2025 (2) | 20,000,000 | 21,875,149 | |||||||||
PepsiCo, Inc., | |||||||||||
2.750%, 03/19/2030 | 20,525,000 | 22,878,684 | |||||||||
PerkinElmer, Inc., | |||||||||||
3.300%, 09/15/2029 | 25,000,000 | 26,795,226 | |||||||||
Pernod Ricard SA, | |||||||||||
4.250%, 07/15/2022 (1)(2) | 26,700,000 | 28,495,043 | |||||||||
Perrigo Finance Unlimited Co.: | |||||||||||
3.900%, 12/15/2024 (1) | 42,000,000 | 44,664,105 | |||||||||
3.150%, 06/15/2030 (1) | 18,250,000 | 18,445,528 | |||||||||
Phillips 66: | |||||||||||
3.850%, 04/09/2025 | 8,000,000 | 8,867,307 | |||||||||
2.150%, 12/15/2030 | 6,000,000 | 5,824,232 | |||||||||
4.650%, 11/15/2034 | 13,000,000 | 15,379,609 | |||||||||
5.875%, 05/01/2042 | 5,000,000 | 6,762,969 | |||||||||
4.875%, 11/15/2044 | 15,000,000 | 18,570,648 | |||||||||
Phillips 66 Partners LP: | |||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,134,592 | |||||||||
3.150%, 12/15/2029 | 12,550,000 | 12,848,899 | |||||||||
4.680%, 02/15/2045 | 2,000,000 | 2,125,943 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp., | |||||||||||
3.550%, 12/15/2029 | 20,000,000 | 19,485,102 | |||||||||
Plum Creek Timberlands LP, | |||||||||||
3.250%, 03/15/2023 | 8,375,000 | 8,816,157 | |||||||||
POSCO: | |||||||||||
4.250%, 10/28/2020 (1)(2) | 2,300,000 | 2,321,298 | |||||||||
2.375%, 01/17/2023 (1)(2) | 5,550,000 | 5,642,296 | |||||||||
4.000%, 08/01/2023 (1)(2) | 13,000,000 | 13,896,220 | |||||||||
Procter & Gamble Co., | |||||||||||
3.000%, 03/25/2030 | 9,150,000 | 10,475,668 | |||||||||
Qwest Capital Funding, Inc., | |||||||||||
7.625%, 08/03/2021 | 200,000 | 203,208 | |||||||||
Raytheon Technologies Corp.: | |||||||||||
7.500%, 09/15/2029 | 8,188,000 | 11,709,640 | |||||||||
2.250%, 07/01/2030 | 12,000,000 | 12,498,010 | |||||||||
3.125%, 07/01/2050 | 6,000,000 | 6,376,718 | |||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | |||||||||||
4.500%, 11/01/2023 | 11,850,000 | 12,721,718 | |||||||||
Reliance Holding USA, Inc.: | |||||||||||
4.500%, 10/19/2020 (2) | 2,000,000 | 2,015,500 | |||||||||
5.400%, 02/14/2022 (2) | 3,500,000 | 3,686,800 | |||||||||
Republic Services, Inc.: | |||||||||||
4.750%, 05/15/2023 | 13,459,000 | 14,916,457 | |||||||||
2.900%, 07/01/2026 | 15,000,000 | 16,387,945 | |||||||||
Rogers Communications, Inc., | |||||||||||
4.350%, 05/01/2049 (1) | 10,000,000 | 12,285,785 | |||||||||
Sabine Pass Liquefaction LLC: | |||||||||||
5.625%, 03/01/2025 | 14,500,000 | 16,572,470 | |||||||||
5.875%, 06/30/2026 | 55,015,000 | 64,642,625 | |||||||||
5.000%, 03/15/2027 | 20,300,000 | 22,713,527 | |||||||||
Samarco Mineracao SA: | |||||||||||
5.750%, 10/24/2023 (1)(2)(9) | 5,475,000 | 2,819,680 | |||||||||
5.375%, 09/26/2024 (1)(2)(9) | 5,125,000 | 2,639,426 | |||||||||
Schlumberger Holdings Corp., | |||||||||||
3.900%, 05/17/2028 (2) | 11,096,000 | 11,974,952 | |||||||||
Schneider Electric SE, | |||||||||||
2.950%, 09/27/2022 (1)(2) | 5,000,000 | 5,246,881 | |||||||||
Seagate HDD Cayman, | |||||||||||
4.875%, 03/01/2024 (1) | 5,000,000 | 5,359,230 | |||||||||
Shell International Finance BV: | |||||||||||
2.375%, 04/06/2025 (1) | 9,000,000 | 9,553,754 | |||||||||
2.750%, 04/06/2030 (1) | 8,725,000 | 9,459,543 | |||||||||
Sherwin-Williams Co., | |||||||||||
4.500%, 06/01/2047 | 10,550,000 | 12,843,287 | |||||||||
Shire Acquisitions Investments Ireland DAC, | |||||||||||
2.875%, 09/23/2023 (1) | 54,946,000 | 58,233,006 | |||||||||
Silgan Holdings, Inc.: | |||||||||||
4.750%, 03/15/2025 | 1,000,000 | 1,012,710 | |||||||||
4.125%, 02/01/2028 (2) | 4,000,000 | 3,965,000 | |||||||||
SK Telecom Co. Ltd., | |||||||||||
6.625%, 07/20/2027 (1)(2) | 960,000 | 1,265,185 | |||||||||
Smithfield Foods, Inc.: | |||||||||||
2.650%, 10/03/2021 (2) | 10,200,000 | 10,087,401 | |||||||||
3.350%, 02/01/2022 (2) | 31,389,000 | 31,146,861 | |||||||||
5.200%, 04/01/2029 (2) | 12,000,000 | 12,980,697 | |||||||||
Sociedad Quimica y Minera de Chile SA, | |||||||||||
3.625%, 04/03/2023 (1)(2) | 8,093,000 | 8,347,929 | |||||||||
Solvay Finance America LLC, | |||||||||||
4.450%, 12/03/2025 (2) | 37,426,000 | 42,276,747 | |||||||||
Sonoco Products Co., | |||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,028,787 | |||||||||
Spectra Energy Partners LP: | |||||||||||
3.500%, 03/15/2025 | 15,150,000 | 16,592,377 | |||||||||
4.500%, 03/15/2045 | 5,000,000 | 5,674,127 | |||||||||
Standard Industries, Inc.: | |||||||||||
5.375%, 11/15/2024 (2) | 8,772,000 | 9,013,230 | |||||||||
6.000%, 10/15/2025 (2) | 8,511,000 | 8,760,117 | |||||||||
4.750%, 01/15/2028 (2) | 24,408,000 | 24,743,610 | |||||||||
4.375%, 07/15/2030 (2) | 5,000,000 | 4,987,500 | |||||||||
Stanley Black & Decker, Inc., | |||||||||||
4.850%, 11/15/2048 | 4,175,000 | 5,656,148 | |||||||||
Steel Dynamics, Inc., | |||||||||||
2.800%, 12/15/2024 | 7,000,000 | 7,284,997 | |||||||||
Sunoco Finance Corp., | |||||||||||
4.875%, 01/15/2023 | 2,000,000 | 1,970,000 | |||||||||
Sunoco Logistics Partners Operations LP: | |||||||||||
3.450%, 01/15/2023 | 2,000,000 | 2,067,780 | |||||||||
6.100%, 02/15/2042 | 1,000,000 | 1,047,638 | |||||||||
Suntory Holdings Ltd., | |||||||||||
2.550%, 06/28/2022 (1)(2) | 2,000,000 | 2,056,672 | |||||||||
Sysco Corp.: | |||||||||||
5.650%, 04/01/2025 | 7,000,000 | 8,170,871 | |||||||||
5.950%, 04/01/2030 | 18,220,000 | 22,886,255 | |||||||||
Takeda Pharmaceutical Co. Ltd., | |||||||||||
3.175%, 07/09/2050 (1)(8) | 21,825,000 | 21,754,197 | |||||||||
Tallgrass Energy Finance Corp., | |||||||||||
4.750%, 10/01/2023 (2) | 7,000,000 | 6,440,000 | |||||||||
Targa Resources Partners LP: | |||||||||||
6.500%, 07/15/2027 | 1,000,000 | 1,002,500 | |||||||||
5.000%, 01/15/2028 | 28,000,000 | 26,330,640 | |||||||||
TC PipeLines LP: | |||||||||||
4.375%, 03/13/2025 | 26,205,000 | 28,078,586 | |||||||||
3.900%, 05/25/2027 | 5,885,000 | 6,189,733 | |||||||||
Teck Resources Ltd., | |||||||||||
3.900%, 07/15/2030 (1)(2) | 10,000,000 | 9,953,487 | |||||||||
Telecom Italia Capital SA: | |||||||||||
5.303%, 05/30/2024 (1)(2) | 21,500,000 | 22,436,755 | |||||||||
7.200%, 07/18/2036 (1) | 3,175,000 | 3,778,250 | |||||||||
Telefonica Emisiones SA: | |||||||||||
5.462%, 02/16/2021 (1) | 2,402,000 | 2,472,889 | |||||||||
4.103%, 03/08/2027 (1) | 8,125,000 | 9,274,169 | |||||||||
5.213%, 03/08/2047 (1) | 5,000,000 | 6,227,637 | |||||||||
5.520%, 03/01/2049 (1) | 12,000,000 | 15,781,635 | |||||||||
Telefonica Emisiones SAU: | |||||||||||
4.570%, 04/27/2023 (1) | 1,000,000 | 1,098,144 | |||||||||
7.045%, 06/20/2036 (1) | 4,925,000 | 7,148,728 | |||||||||
4.895%, 03/06/2048 (1) | 9,475,000 | 11,428,664 | |||||||||
TELUS Corp., | |||||||||||
2.800%, 02/16/2027 (1) | 13,100,000 | 13,863,525 | |||||||||
Tenet Healthcare Corp., | |||||||||||
6.750%, 06/15/2023 | 1,000,000 | 992,500 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV: | |||||||||||
2.800%, 07/21/2023 (1) | 24,275,000 | 22,932,289 | |||||||||
3.150%, 10/01/2026 (1) | 36,000,000 | 32,143,680 | |||||||||
Textron, Inc., | |||||||||||
3.000%, 06/01/2030 | 15,000,000 | 14,933,587 | |||||||||
Thermo Fisher Scientific, Inc., | |||||||||||
4.133%, 03/25/2025 | 15,000,000 | 17,102,585 | |||||||||
Timken Co.: | |||||||||||
3.875%, 09/01/2024 | 18,500,000 | 19,409,817 | |||||||||
4.500%, 12/15/2028 | 6,025,000 | 6,494,368 | |||||||||
T-Mobile USA, Inc., | |||||||||||
4.750%, 02/01/2028 | 17,250,000 | 18,222,900 | |||||||||
Toll Road Investors Partnership II LP, | |||||||||||
0.000%, 02/15/2022 (2) | 21,200,000 | 20,107,385 | |||||||||
TransCanada PipeLines Ltd., | |||||||||||
4.750%, 05/15/2038 (1) | 10,000,000 | 11,763,003 | |||||||||
Transcontinental Gas Pipe Line Co. LLC, | |||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,856,043 | |||||||||
Transocean, Inc.: | |||||||||||
8.375%, 12/15/2021 (1) | 5,500,000 | 3,850,000 | |||||||||
5.800%, 10/15/2022 (1) | 5,000,000 | 2,675,000 | |||||||||
TTX Co.: | |||||||||||
4.650%, 06/15/2044 (2) | 7,710,000 | 9,805,252 | |||||||||
3.900%, 02/01/2045 (2) | 25,325,000 | 29,514,670 | |||||||||
Tyco Electronics Group SA, | |||||||||||
7.125%, 10/01/2037 (1) | 500,000 | 758,601 | |||||||||
Tyson Foods, Inc., | |||||||||||
5.100%, 09/23/2048 | 4,650,000 | 5,980,802 | |||||||||
United Rentals North America, Inc.: | |||||||||||
4.625%, 10/15/2025 | 15,540,000 | 15,617,700 | |||||||||
5.875%, 09/15/2026 | 13,000,000 | 13,624,000 | |||||||||
6.500%, 12/15/2026 | 5,000,000 | 5,250,000 | |||||||||
3.875%, 11/15/2027 | 5,000,000 | 4,987,500 | |||||||||
4.875%, 01/15/2028 | 5,000,000 | 5,125,000 | |||||||||
5.250%, 01/15/2030 | 5,000,000 | 5,162,500 | |||||||||
4.000%, 07/15/2030 | 10,000,000 | 9,672,300 | |||||||||
Upjohn, Inc., | |||||||||||
3.850%, 06/22/2040 (2) | 10,000,000 | 10,746,544 | |||||||||
UPMC, | |||||||||||
3.600%, 04/03/2025 | 47,575,000 | 51,520,958 | |||||||||
Valaris PLC, | |||||||||||
5.200%, 03/15/2025 (1) | 6,000,000 | 509,700 | |||||||||
Vale Overseas Ltd.: | |||||||||||
6.250%, 08/10/2026 (1) | 22,000,000 | 25,877,500 | |||||||||
8.250%, 01/17/2034 (1) | 425,000 | 595,531 | |||||||||
6.875%, 11/21/2036 (1) | 10,475,000 | 13,685,587 | |||||||||
6.875%, 11/10/2039 (1) | 15,850,000 | 20,684,409 | |||||||||
Valeant Pharmaceuticals International, Inc., | |||||||||||
5.875%, 05/15/2023 (1)(2) | 265,000 | 264,338 | |||||||||
Valero Energy Corp.: | |||||||||||
3.400%, 09/15/2026 | 17,500,000 | 19,153,929 | |||||||||
6.625%, 06/15/2037 | 5,000,000 | 6,649,113 | |||||||||
Valero Energy Partners LP, | |||||||||||
4.500%, 03/15/2028 | 20,000,000 | 22,952,739 | |||||||||
Verisk Analytics, Inc.: | |||||||||||
5.800%, 05/01/2021 | 2,585,000 | 2,693,962 | |||||||||
4.000%, 06/15/2025 | 10,000,000 | 11,306,483 | |||||||||
Verizon Communications, Inc.: | |||||||||||
3.000%, 03/22/2027 | 5,000,000 | 5,546,695 | |||||||||
4.500%, 08/10/2033 | 15,710,000 | 19,569,175 | |||||||||
4.400%, 11/01/2034 | 790,000 | 983,643 | |||||||||
4.272%, 01/15/2036 | 19,793,000 | 24,477,788 | |||||||||
5.250%, 03/16/2037 | 18,225,000 | 24,398,927 | |||||||||
4.812%, 03/15/2039 | 38,575,000 | 50,389,626 | |||||||||
4.862%, 08/21/2046 | 2,500,000 | 3,394,891 | |||||||||
VF Corp., | |||||||||||
2.800%, 04/23/2027 | 7,000,000 | 7,410,056 | |||||||||
Viterra, Inc., | |||||||||||
5.950%, 08/01/2020 (1)(2) | 7,000,000 | 7,029,516 | |||||||||
Vodafone Group PLC: | |||||||||||
3.750%, 01/16/2024 (1) | 2,184,000 | 2,385,178 | |||||||||
7.875%, 02/15/2030 (1) | 9,793,000 | 14,262,482 | |||||||||
6.150%, 02/27/2037 (1) | 11,825,000 | 16,555,156 | |||||||||
4.375%, 02/19/2043 (1) | 5,054,000 | 5,881,955 | |||||||||
Volkswagen Group of America Finance LLC: | |||||||||||
4.000%, 11/12/2021 (2) | 9,000,000 | 9,369,025 | |||||||||
4.250%, 11/13/2023 (2) | 18,000,000 | 19,697,593 | |||||||||
2.850%, 09/26/2024 (2) | 5,000,000 | 5,260,916 | |||||||||
3.350%, 05/13/2025 (2) | 15,000,000 | 16,008,538 | |||||||||
Vulcan Materials Co.: | |||||||||||
4.500%, 04/01/2025 | 3,000,000 | 3,329,298 | |||||||||
3.500%, 06/01/2030 | 11,050,000 | 12,037,081 | |||||||||
4.700%, 03/01/2048 | 500,000 | 576,441 | |||||||||
Wabtec Corp.: | |||||||||||
4.375%, 08/15/2023 | 9,750,000 | 10,217,785 | |||||||||
4.400%, 03/15/2024 | 13,109,000 | 13,897,418 | |||||||||
3.450%, 11/15/2026 | 27,225,000 | 28,024,884 | |||||||||
4.950%, 09/15/2028 | 10,205,000 | 11,373,902 | |||||||||
Walgreens Boots Alliance, Inc.: | |||||||||||
3.300%, 11/18/2021 | 8,060,000 | 8,313,090 | |||||||||
3.450%, 06/01/2026 | 17,000,000 | 18,414,310 | |||||||||
Walmart, Inc., | |||||||||||
4.050%, 06/29/2048 | 11,975,000 | 15,757,268 | |||||||||
Walt Disney Co.: | |||||||||||
3.700%, 09/15/2024 | 4,025,000 | 4,462,116 | |||||||||
7.430%, 10/01/2026 | 3,300,000 | 4,379,900 | |||||||||
5.400%, 10/01/2043 | 5,000,000 | 6,789,268 | |||||||||
4.750%, 09/15/2044 | 1,950,000 | 2,495,629 | |||||||||
Waste Management, Inc., | |||||||||||
3.900%, 03/01/2035 | 5,000,000 | 5,917,670 | |||||||||
Weatherford International Ltd., | |||||||||||
11.000%, 12/01/2024 (1)(2) | 332,000 | 231,570 | |||||||||
Western Digital Corp., | |||||||||||
4.750%, 02/15/2026 | 57,075,000 | 58,984,159 | |||||||||
Western Gas Partners LP, | |||||||||||
4.000%, 07/01/2022 | 17,845,000 | 17,787,896 | |||||||||
Western Midstream Operating LP, | |||||||||||
5.250%, 02/01/2050 | 10,000,000 | 8,653,000 | |||||||||
Westinghouse Air Brake Technologies Corp., | |||||||||||
3.200%, 06/15/2025 | 10,000,000 | 10,189,975 | |||||||||
WestRock MWV LLC, | |||||||||||
8.200%, 01/15/2030 | 5,012,000 | 7,088,763 | |||||||||
Williams Companies, Inc.: | |||||||||||
7.875%, 09/01/2021 | 5,065,000 | 5,444,729 | |||||||||
3.700%, 01/15/2023 | 44,375,000 | 46,915,942 | |||||||||
4.550%, 06/24/2024 | 7,629,000 | 8,463,972 | |||||||||
7.500%, 01/15/2031 | 120,000 | 153,668 | |||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,522,173 | |||||||||
8.750%, 03/15/2032 | 9,275,000 | 13,753,418 | |||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,914,914 | |||||||||
5.750%, 06/24/2044 | 2,500,000 | 2,891,384 | |||||||||
Woodside Finance Ltd., | |||||||||||
3.650%, 03/05/2025 (1)(2) | 15,575,000 | 16,323,652 | |||||||||
WRKCo, Inc., | |||||||||||
3.000%, 09/15/2024 | 6,000,000 | 6,378,053 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | |||||||||||
4.250%, 05/30/2023 (2) | 4,000,000 | 3,760,000 | |||||||||
Xerox Corp., | |||||||||||
4.125%, 03/15/2023 | 35,175,000 | 35,122,238 | |||||||||
Yara International ASA, | |||||||||||
3.800%, 06/06/2026 (1)(2) | 20,250,000 | 21,816,052 | |||||||||
Zimmer Biomet Holdings, Inc.: | |||||||||||
3.550%, 04/01/2025 | 20,000,000 | 21,722,469 | |||||||||
5.750%, 11/30/2039 | 9,000,000 | 11,560,008 | |||||||||
Zoetis, Inc.: | |||||||||||
3.450%, 11/13/2020 | 11,885,000 | 11,988,052 | |||||||||
3.250%, 02/01/2023 | 24,701,000 | 26,070,007 | |||||||||
4.500%, 11/13/2025 | 16,275,000 | 18,995,868 | |||||||||
Total Industrials (Cost $7,446,360,245) | 7,959,289,352 | 29.9 | % |
Utilities | ||||||||||||
American Water Capital Corp., | ||||||||||||
2.800%, 05/01/2030 | 8,500,000 | 9,259,654 | ||||||||||
Appalachian Power Co., | ||||||||||||
6.700%, 08/15/2037 | 1,400,000 | 1,940,551 | ||||||||||
Avangrid, Inc., | ||||||||||||
3.200%, 04/15/2025 | 14,000,000 | 15,310,839 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
3.500%, 02/01/2025 | 7,000,000 | 7,806,974 | ||||||||||
CMS Energy Corp., | ||||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,054,226 | ||||||||||
Consolidated Edison Co. of New York, Inc., | ||||||||||||
4.625%, 12/01/2054 | 7,600,000 | 9,731,876 | ||||||||||
Consumers Energy Co., | ||||||||||||
3.500%, 08/01/2051 | 9,425,000 | 11,171,222 | ||||||||||
Dominion Energy, Inc., | ||||||||||||
2.450%, 01/15/2023 (2) | 15,000,000 | 15,478,963 | ||||||||||
Dominion Resources, Inc., | ||||||||||||
5.950%, 06/15/2035 | 1,880,000 | 2,476,287 | ||||||||||
DTE Electric Company, | ||||||||||||
2.625%, 03/01/2031 | 30,200,000 | 32,699,876 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,116,109 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024 (1)(2) | 51,299,000 | 55,083,095 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022 (1)(2) | 7,500,000 | 7,757,608 | ||||||||||
3.625%, 05/25/2027 (1)(2) | 27,500,000 | 30,024,582 | ||||||||||
3.500%, 04/06/2028 (1)(2) | 7,000,000 | 7,529,697 | ||||||||||
4.875%, 06/14/2029 (1)(2) | 11,775,000 | 13,908,615 | ||||||||||
6.800%, 09/15/2037 (1)(2) | 3,875,000 | 5,372,912 | ||||||||||
6.000%, 10/07/2039 (1)(2) | 631,000 | 840,194 | ||||||||||
4.750%, 05/25/2047 (1)(2) | 42,584,000 | 50,815,798 | ||||||||||
Engie Energia Chile SA, | ||||||||||||
3.400%, 01/28/2030 (1)(2) | 3,000,000 | 3,124,500 | ||||||||||
Exelon Corp.: | ||||||||||||
3.950%, 06/15/2025 | 15,775,000 | 17,722,707 | ||||||||||
5.100%, 06/15/2045 | 5,875,000 | 7,580,510 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
5.600%, 06/15/2042 | 6,100,000 | 6,943,097 | ||||||||||
FirstEnergy Corp.: | ||||||||||||
2.650%, 03/01/2030 | 4,300,000 | 4,488,226 | ||||||||||
3.400%, 03/01/2050 | 11,325,000 | 11,958,261 | ||||||||||
Fortis Inc., | ||||||||||||
3.055%, 10/04/2026 (1) | 8,762,000 | 9,454,074 | ||||||||||
Infraestructura Energetica Nova SAB de CV, | ||||||||||||
3.750%, 01/14/2028 (1)(2) | 5,000,000 | 4,900,000 | ||||||||||
KeySpan Corp., | ||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,571,805 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021 (1)(2) | 2,800,000 | 2,867,564 | ||||||||||
NiSource, Inc.: | ||||||||||||
3.600%, 05/01/2030 | 20,800,000 | 23,824,565 | ||||||||||
3.950%, 03/30/2048 | 11,775,000 | 13,621,112 | ||||||||||
Oncor Electric Delivery Co. LLC, | ||||||||||||
2.750%, 05/15/2030 (2) | 9,500,000 | 10,368,175 | ||||||||||
PSEG Power LLC, | ||||||||||||
3.000%, 06/15/2021 | 25,027,000 | 25,535,752 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 267,849 | 278,932 | ||||||||||
Southern Co., | ||||||||||||
2.950%, 07/01/2023 | 17,400,000 | 18,387,135 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022 (1)(2) | 6,000,000 | 6,252,819 | ||||||||||
Total Utilities (Cost $413,450,880) | 453,258,312 | 1.7 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
7.750%, 05/15/2023 (1)(2) | 8,000,000 | 9,190,664 | ||||||||||
4.750%, 07/28/2025 (1)(2) | 37,818,000 | 41,678,386 | ||||||||||
4.800%, 04/18/2026 (1)(2) | 43,175,000 | 48,084,861 | ||||||||||
AerCap Holdings NV: | ||||||||||||
4.875%, 01/16/2024 (1) | 6,708,000 | 6,666,216 | ||||||||||
2.875%, 08/14/2024 (1) | 39,395,000 | 36,987,567 | ||||||||||
6.500%, 07/15/2025 (1) | 15,000,000 | 15,727,574 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025 (1)(2) | 9,000,000 | 9,535,998 | ||||||||||
AIG Life Holdings, Inc., | ||||||||||||
6.625%, 02/15/2029 | 16,500,000 | 20,447,669 | ||||||||||
AIG SunAmerica Global Financing X, | ||||||||||||
6.900%, 03/15/2032 (2) | 2,000,000 | 2,984,344 | ||||||||||
Air Lease Corp.: | ||||||||||||
4.250%, 02/01/2024 | 8,175,000 | 8,412,161 | ||||||||||
2.300%, 02/01/2025 | 14,150,000 | 13,532,496 | ||||||||||
Allstate Corp., | ||||||||||||
3.850%, 08/10/2049 | 10,968,000 | 13,144,044 | ||||||||||
Ally Financial, Inc., | ||||||||||||
5.125%, 09/30/2024 | 3,000,000 | 3,239,656 | ||||||||||
American International Group, Inc.: | ||||||||||||
4.875%, 06/01/2022 | 25,951,000 | 28,010,298 | ||||||||||
3.750%, 07/10/2025 | 11,400,000 | 12,615,707 | ||||||||||
3.875%, 01/15/2035 | 15,000,000 | 17,193,016 | ||||||||||
6.820%, 11/15/2037 | 4,173,000 | 5,879,756 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 1,110,000 | 1,347,425 | ||||||||||
Anthem, Inc.: | ||||||||||||
3.350%, 12/01/2024 | 7,050,000 | 7,740,887 | ||||||||||
2.375%, 01/15/2025 | 4,075,000 | 4,324,986 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.750%, 02/03/2021 (1)(2) | 10,000,000 | 10,126,069 | ||||||||||
2.125%, 07/28/2021 (1)(2) | 17,175,000 | 17,479,235 | ||||||||||
Aon PLC, | ||||||||||||
3.875%, 12/15/2025 (1) | 14,490,000 | 16,451,590 | ||||||||||
Assurant, Inc.: | ||||||||||||
1.534%, 03/26/2021 (3 Month LIBOR USD + 1.250%) (3) | 1,916,000 | 1,915,998 | ||||||||||
4.900%, 03/27/2028 | 3,000,000 | 3,278,788 | ||||||||||
3.700%, 02/22/2030 | 7,000,000 | 7,036,979 | ||||||||||
Australia & New Zealand Banking Group Ltd.: | ||||||||||||
4.500%, 03/19/2024 (1)(2) | 32,000,000 | 34,748,452 | ||||||||||
2.950%, 07/22/2030 (5 Year CMT Rate + 1.288%) (1)(2)(3) | 14,803,000 | 15,098,059 | ||||||||||
Avolon Holdings Funding Ltd.: | ||||||||||||
5.250%, 05/15/2024 (1)(2) | 5,000,000 | 4,565,196 | ||||||||||
2.875%, 02/15/2025 (1)(2) | 10,000,000 | 8,391,574 | ||||||||||
Banco Santander Chile, | ||||||||||||
2.700%, 01/10/2025 (1)(2) | 8,000,000 | 8,215,040 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022 (1) | 12,000,000 | 12,480,374 | ||||||||||
3.848%, 04/12/2023 (1) | 16,700,000 | 17,780,151 | ||||||||||
5.179%, 11/19/2025 (1) | 11,150,000 | 12,551,887 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.625%, 04/19/2021 | 17,500,000 | 17,809,740 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%) (3) | 4,500,000 | 4,504,157 | ||||||||||
3.300%, 01/11/2023 | 22,650,000 | 24,173,816 | ||||||||||
3.004%, 12/20/2023 (3 Month LIBOR USD + 0.790%) (3) | 8,352,000 | 8,773,024 | ||||||||||
3.864%, 07/23/2024 (3 Month LIBOR USD + 0.940%) (3) | 12,575,000 | 13,627,039 | ||||||||||
3.458%, 03/15/2025 (3 Month LIBOR USD + 0.970%) (3) | 9,650,000 | 10,466,795 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%) (3) | 22,000,000 | 23,800,547 | ||||||||||
2.456%, 10/22/2025 (3 Month LIBOR USD + 0.870%) (3) | 8,000,000 | 8,404,464 | ||||||||||
3.366%, 01/23/2026 (3 Month LIBOR USD + 0.810%) (3) | 22,700,000 | 24,792,787 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 6,617,243 | ||||||||||
2.496%, 02/13/2031 (3 Month LIBOR USD + 0.990%) (3) | 7,000,000 | 7,338,742 | ||||||||||
2.592%, 04/29/2031 (SOFR + 2.150%) (3) | 35,000,000 | 37,035,096 | ||||||||||
7.750%, 05/14/2038 | 725,000 | 1,185,243 | ||||||||||
Bank of Montreal: | ||||||||||||
1.900%, 08/27/2021 (1) | 26,450,000 | 26,900,771 | ||||||||||
3.803%, 12/15/2032 (5 Year Swap Rate USD + 1.432%) (1)(3) | 5,000,000 | 5,381,550 | ||||||||||
Bank of New Zealand, | ||||||||||||
2.000%, 02/21/2025 (1)(2) | 15,475,000 | 16,080,825 | ||||||||||
Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022 (1) | 8,225,000 | 8,582,347 | ||||||||||
1.625%, 05/01/2023 (1) | 11,425,000 | 11,694,738 | ||||||||||
4.500%, 12/16/2025 (1) | 8,048,000 | 9,144,181 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
3.750%, 07/20/2023 (1)(2) | 12,475,000 | 13,483,280 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021 (1) | 25,000,000 | 25,325,000 | ||||||||||
3.684%, 01/10/2023 (1) | 22,500,000 | 23,350,482 | ||||||||||
4.610%, 02/15/2023 (3 Month LIBOR USD + 1.400%) (1)(3) | 10,000,000 | 10,529,100 | ||||||||||
4.338%, 05/16/2024 (3 Month LIBOR USD + 1.356%) (1)(3) | 5,000,000 | 5,385,826 | ||||||||||
3.650%, 03/16/2025 (1) | 17,350,000 | 18,809,308 | ||||||||||
3.932%, 05/07/2025 (3 Month LIBOR USD + 1.610%) (1)(3) | 23,400,000 | 25,280,624 | ||||||||||
2.852%, 05/07/2026 (3 Month LIBOR USD + 2.452%) (1)(3) | 10,000,000 | 10,448,634 | ||||||||||
4.337%, 01/10/2028 (1) | 10,000,000 | 11,101,706 | ||||||||||
BBVA USA: | ||||||||||||
2.875%, 06/29/2022 | 15,700,000 | 16,061,312 | ||||||||||
3.875%, 04/10/2025 | 45,470,000 | 48,034,804 | ||||||||||
Berkshire Hathaway Finance Corp., | ||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 4,581,016 | ||||||||||
BNP Paribas SA: | ||||||||||||
3.500%, 03/01/2023 (1)(2) | 4,000,000 | 4,233,890 | ||||||||||
3.375%, 01/09/2025 (1)(2) | 8,000,000 | 8,646,714 | ||||||||||
4.375%, 09/28/2025 (1)(2) | 14,700,000 | 16,214,539 | ||||||||||
2.819%, 11/19/2025 (3 Month LIBOR USD + 1.111%) (1)(2)(3) | 42,500,000 | 44,507,600 | ||||||||||
2.219%, 06/09/2026 (SOFR + 2.074%) (1)(2)(3) | 10,000,000 | 10,240,162 | ||||||||||
3.052%, 01/13/2031 (SOFR + 1.507%) (1)(2)(3) | 10,500,000 | 11,059,578 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.750%, 03/02/2021 (1)(2) | 18,750,000 | 19,019,494 | ||||||||||
3.375%, 03/01/2023 (1)(2) | 24,750,000 | 26,395,518 | ||||||||||
BPCE SA: | ||||||||||||
5.700%, 10/22/2023 (1)(2) | 33,770,000 | 37,631,397 | ||||||||||
4.625%, 07/11/2024 (1)(2) | 3,185,000 | 3,473,852 | ||||||||||
5.150%, 07/21/2024 (1)(2) | 30,902,000 | 34,486,719 | ||||||||||
2.375%, 01/14/2025 (1)(2) | 5,000,000 | 5,172,570 | ||||||||||
4.500%, 03/15/2025 (1)(2) | 31,275,000 | 34,148,003 | ||||||||||
Brown & Brown, Inc., | ||||||||||||
4.500%, 03/15/2029 | 11,090,000 | 11,950,817 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
2.250%, 01/28/2025 (1) | 8,000,000 | 8,347,228 | ||||||||||
Cantor Fitzgerald LP, | ||||||||||||
4.875%, 05/01/2024 (2) | 5,000,000 | 5,390,646 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.200%, 01/30/2023 | 5,000,000 | 5,265,845 | ||||||||||
3.750%, 07/28/2026 | 5,000,000 | 5,463,425 | ||||||||||
3.650%, 05/11/2027 | 16,750,000 | 18,361,434 | ||||||||||
3.800%, 01/31/2028 | 6,960,000 | 7,748,669 | ||||||||||
Capital One NA, | ||||||||||||
3.375%, 02/15/2023 | 54,066,000 | 56,917,437 | ||||||||||
Charles Schwab Corp., | ||||||||||||
4.200%, 03/24/2025 | 8,725,000 | 10,011,185 | ||||||||||
CIT Bank NA, | ||||||||||||
2.969%, 09/27/2025 (SOFR + 1.715%) (3) | 21,219,000 | 19,839,765 | ||||||||||
CIT Group, Inc.: | ||||||||||||
4.125%, 03/09/2021 | 100,000 | 100,000 | ||||||||||
5.000%, 08/01/2023 | 5,000,000 | 5,099,500 | ||||||||||
4.750%, 02/16/2024 | 13,000,000 | 13,185,510 | ||||||||||
5.250%, 03/07/2025 | 100,000 | 103,604 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 8,125,000 | 8,281,301 | ||||||||||
3.142%, 01/24/2023 (3 Month LIBOR USD + 0.722%) (3) | 10,000,000 | 10,343,112 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%) (3) | 12,450,000 | 12,957,144 | ||||||||||
1.780%, 09/01/2023 (3 Month LIBOR USD + 1.430%) (3) | 8,000,000 | 8,081,201 | ||||||||||
3.352%, 04/24/2025 (3 Month LIBOR USD + 0.897%) (3) | 11,000,000 | 11,885,273 | ||||||||||
3.700%, 01/12/2026 | 4,700,000 | 5,249,022 | ||||||||||
3.106%, 04/08/2026 (SOFR + 2.750%) (3) | 15,000,000 | 16,133,627 | ||||||||||
3.200%, 10/21/2026 | 10,931,000 | 11,981,763 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.563%) (3) | 30,000,000 | 33,816,069 | ||||||||||
0.000%, 06/03/2031 (SOFR + 2.107%) (3) | 50,000,000 | 51,713,019 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.550%, 05/13/2021 | 6,175,000 | 6,276,020 | ||||||||||
2.250%, 04/28/2025 | 9,000,000 | 9,550,744 | ||||||||||
Citizens Financial Group, Inc.: | ||||||||||||
2.850%, 07/27/2026 | 23,400,000 | 25,323,800 | ||||||||||
3.250%, 04/30/2030 | 40,000,000 | 43,229,865 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 9,752,000 | 10,277,821 | ||||||||||
7.250%, 11/15/2023 | 12,400,000 | 14,455,245 | ||||||||||
4.500%, 03/01/2026 | 21,125,000 | 23,893,490 | ||||||||||
3.450%, 08/15/2027 | 9,000,000 | 9,600,210 | ||||||||||
CNO Financial Group, Inc., | ||||||||||||
5.250%, 05/30/2025 | 18,640,000 | 20,630,237 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 21,425,000 | 23,222,157 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
4.500%, 12/09/2025 (1)(2) | 19,000,000 | 21,447,285 | ||||||||||
3.610%, 09/12/2034 (5 Year CMT Rate + 2.050%) (1)(2)(3) | 35,000,000 | 37,242,025 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.875%, 02/08/2022 (1) | 4,150,000 | 4,381,048 | ||||||||||
4.625%, 12/01/2023 (1) | 7,229,000 | 7,971,707 | ||||||||||
4.375%, 08/04/2025 (1) | 11,805,000 | 13,286,498 | ||||||||||
3.750%, 07/21/2026 (1) | 36,000,000 | 39,664,390 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022 (1)(2) | 23,225,000 | 24,037,638 | ||||||||||
3.750%, 04/24/2023 (1)(2) | 8,375,000 | 8,962,406 | ||||||||||
3.250%, 10/04/2024 (1)(2) | 8,575,000 | 9,206,910 | ||||||||||
4.375%, 03/17/2025 (1)(2) | 37,093,000 | 40,988,242 | ||||||||||
1.907%, 06/16/2026 (SOFRINDX + 1.676%) (1)(2)(3) | 7,000,000 | 7,102,170 | ||||||||||
3.250%, 01/14/2030 (1)(2) | 5,000,000 | 5,364,854 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023 (1)(2) | 9,000,000 | 9,335,806 | ||||||||||
4.207%, 06/12/2024 (3 Month LIBOR USD + 1.240%) (1)(2)(3) | 6,000,000 | 6,447,918 | ||||||||||
2.593%, 09/11/2025 (SOFR + 1.560%) (1)(2)(3) | 13,700,000 | 14,168,244 | ||||||||||
2.193%, 06/05/2026 (SOFR + 2.044%) (1)(2)(3) | 10,000,000 | 10,127,980 | ||||||||||
4.282%, 01/09/2028 (1)(2) | 16,750,000 | 18,760,151 | ||||||||||
3.869%, 01/12/2029 (3 Month LIBOR USD + 1.410%) (1)(2)(3) | 10,850,000 | 11,979,222 | ||||||||||
4.194%, 04/01/2031 (SOFR + 3.730%) (1)(2)(3) | 20,000,000 | 22,797,095 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023 (1) | 21,400,000 | 23,041,433 | ||||||||||
3.750%, 03/26/2025 (1) | 15,000,000 | 16,535,140 | ||||||||||
4.550%, 04/17/2026 (1) | 5,000,000 | 5,749,298 | ||||||||||
CyrusOne LP / CyrusOne Finance Corp., | ||||||||||||
2.900%, 11/15/2024 | 10,000,000 | 10,492,327 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022 (1)(2) | 14,175,000 | 14,617,761 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.950%, 08/20/2020 (1) | 8,625,000 | 8,632,151 | ||||||||||
3.150%, 01/22/2021 (1) | 16,954,000 | 17,033,478 | ||||||||||
3.375%, 05/12/2021 (1) | 5,450,000 | 5,498,732 | ||||||||||
4.250%, 10/14/2021 (1) | 29,900,000 | 30,677,767 | ||||||||||
5.000%, 02/14/2022 (1) | 10,000,000 | 10,438,315 | ||||||||||
3.300%, 11/16/2022 (1) | 17,625,000 | 18,026,719 | ||||||||||
3.950%, 02/27/2023 (1) | 14,875,000 | 15,447,322 | ||||||||||
5.882%, 07/08/2031 (1)(8) | 30,000,000 | 29,888,724 | ||||||||||
Digital Realty Trust LP: | ||||||||||||
4.450%, 07/15/2028 | 7,000,000 | 8,389,177 | ||||||||||
3.600%, 07/01/2029 | 41,950,000 | 48,162,535 | ||||||||||
Discover Bank: | ||||||||||||
3.350%, 02/06/2023 | 7,000,000 | 7,384,132 | ||||||||||
4.682%, 08/09/2028 (5 Year Swap Rate USD + 1.730%) (3) | 6,500,000 | 6,561,425 | ||||||||||
4.650%, 09/13/2028 | 23,225,000 | 26,673,680 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 25,000,000 | 27,338,917 | ||||||||||
4.100%, 02/09/2027 | 13,379,000 | 14,623,109 | ||||||||||
First Horizon National Corp.: | ||||||||||||
3.500%, 12/15/2020 | 29,022,000 | 29,248,485 | ||||||||||
4.000%, 05/26/2025 | 30,000,000 | 31,374,850 | ||||||||||
First Republic Bank, | ||||||||||||
4.625%, 02/13/2047 | 1,850,000 | 2,220,873 | ||||||||||
Five Corners Funding Trust II, | ||||||||||||
2.850%, 05/15/2030 (2) | 10,000,000 | 10,341,471 | ||||||||||
FMR LLC: | ||||||||||||
4.950%, 02/01/2033 (2) | 4,235,000 | 5,533,713 | ||||||||||
6.500%, 12/14/2040 (2) | 1,820,000 | 2,726,954 | ||||||||||
GE Capital Funding LLC, | ||||||||||||
4.050%, 05/15/2027 (2) | 10,000,000 | 10,542,030 | ||||||||||
GE Capital International Funding Co. Unlimited Co.: | ||||||||||||
3.373%, 11/15/2025 (1) | 5,000,000 | 5,246,359 | ||||||||||
4.418%, 11/15/2035 (1) | 36,000,000 | 36,603,119 | ||||||||||
Globe Life, Inc.: | ||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,339,748 | ||||||||||
4.550%, 09/15/2028 | 9,350,000 | 10,810,374 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
5.250%, 07/27/2021 | 1,100,000 | 1,155,007 | ||||||||||
2.350%, 11/15/2021 | 10,000,000 | 10,063,638 | ||||||||||
5.750%, 01/24/2022 | 15,100,000 | 16,290,484 | ||||||||||
1.963%, 11/29/2023 (3 Month LIBOR USD + 1.600%) (3) | 10,000,000 | 10,156,320 | ||||||||||
3.500%, 01/23/2025 | 9,400,000 | 10,233,369 | ||||||||||
3.500%, 04/01/2025 | 10,000,000 | 10,965,076 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.201%) (3) | 24,000,000 | 25,864,299 | ||||||||||
3.814%, 04/23/2029 (3 Month LIBOR USD + 1.158%) (3) | 17,875,000 | 20,206,850 | ||||||||||
4.223%, 05/01/2029 (3 Month LIBOR USD + 1.301%) (3) | 15,050,000 | 17,510,479 | ||||||||||
6.345%, 02/15/2034 | 125,000 | 172,125 | ||||||||||
6.750%, 10/01/2037 | 300,000 | 436,759 | ||||||||||
Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064 (2) | 11,215,000 | 14,247,166 | ||||||||||
3.700%, 01/22/2070 (2) | 14,000,000 | 14,653,712 | ||||||||||
4.850%, 01/24/2077 (2) | 15,693,000 | 20,060,650 | ||||||||||
Harborwalk Funding Trust, | ||||||||||||
5.077%, 02/15/2069 (3 Month LIBOR USD + 3.191%) (2)(3) | 10,000,000 | 12,210,725 | ||||||||||
Hartford Financial Services Group, Inc., | ||||||||||||
3.600%, 08/19/2049 | 15,725,000 | 16,580,288 | ||||||||||
High Street Funding Trust I, | ||||||||||||
4.111%, 02/15/2028 (2) | 9,000,000 | 9,917,018 | ||||||||||
High Street Funding Trust II, | ||||||||||||
4.682%, 02/15/2048 (2) | 7,000,000 | 8,716,400 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021 (2) | 7,800,000 | 8,005,983 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022 (1) | 4,000,000 | 4,122,280 | ||||||||||
3.262%, 03/13/2023 (3 Month LIBOR USD + 1.055%) (1)(3) | 30,996,000 | 32,110,565 | ||||||||||
3.600%, 05/25/2023 (1) | 6,000,000 | 6,438,988 | ||||||||||
3.950%, 05/18/2024 (3 Month LIBOR USD + 0.987%) (1)(3) | 9,000,000 | 9,672,348 | ||||||||||
3.803%, 03/11/2025 (3 Month LIBOR USD + 1.211%) (1)(3) | 5,200,000 | 5,616,863 | ||||||||||
4.583%, 06/19/2029 (3 Month LIBOR USD + 1.535%) (1)(3) | 17,125,000 | 19,784,872 | ||||||||||
3.973%, 05/22/2030 (3 Month LIBOR USD + 1.610%) (1)(3) | 4,775,000 | 5,300,698 | ||||||||||
Humana, Inc., | ||||||||||||
8.150%, 06/15/2038 | 8,983,000 | 13,446,990 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 17,225,000 | 17,511,852 | ||||||||||
2.300%, 01/14/2022 | 15,225,000 | 15,627,033 | ||||||||||
2.625%, 08/06/2024 | 1,500,000 | 1,588,291 | ||||||||||
Huntington National Bank, | ||||||||||||
2.875%, 08/20/2020 | 12,275,000 | 12,297,989 | ||||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023 (1)(2) | 6,511,000 | 7,308,225 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022 (1) | 4,000,000 | 4,158,437 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022 (1) | 5,500,000 | 5,802,748 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024 (2) | 10,000,000 | 10,676,285 | ||||||||||
Jefferies Group LLC: | ||||||||||||
4.850%, 01/15/2027 | 15,750,000 | 17,346,478 | ||||||||||
6.450%, 06/08/2027 | 1,300,000 | 1,525,513 | ||||||||||
4.150%, 01/23/2030 | 30,200,000 | 32,546,971 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024 (2) | 17,615,000 | 20,448,110 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.295%, 08/15/2021 | 22,000,000 | 22,045,980 | ||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,504,624 | ||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,669,643 | ||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,688,041 | ||||||||||
2.250%, 10/24/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,111,900 | ||||||||||
3.559%, 04/23/2024 (3 Month LIBOR USD + 0.730%) (3) | 15,575,000 | 16,673,217 | ||||||||||
3.125%, 01/23/2025 | 21,850,000 | 23,814,057 | ||||||||||
2.301%, 10/15/2025 (SOFR + 1.160%) (3) | 19,859,000 | 20,801,886 | ||||||||||
2.005%, 03/13/2026 (SOFR + 1.585%) (3) | 17,000,000 | 17,594,079 | ||||||||||
2.083%, 04/22/2026 (SOFR + 1.850%) (3) | 71,000,000 | 73,741,919 | ||||||||||
2.522%, 04/22/2031 (SOFR + 2.040%) (3) | 30,500,000 | 32,211,213 | ||||||||||
KeyBank NA, | ||||||||||||
3.400%, 05/20/2026 | 21,575,000 | 23,799,297 | ||||||||||
KeyCorp, | ||||||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,280,186 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 10/24/2024 (1)(2) | 73,328,000 | 74,978,965 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
6.500%, 03/15/2035 (2) | 750,000 | 1,038,524 | ||||||||||
3.951%, 10/15/2050 (2) | 900,000 | 950,983 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097 (2) | 375,000 | 571,943 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 2,575,000 | 2,808,221 | ||||||||||
Lincoln National Corp.: | ||||||||||||
3.400%, 01/15/2031 | 23,000,000 | 24,964,307 | ||||||||||
6.300%, 10/09/2037 | 2,190,000 | 2,913,248 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
4.050%, 08/16/2023 (1) | 6,575,000 | 7,143,738 | ||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%) (1)(3) | 21,520,000 | 22,395,022 | ||||||||||
3.870%, 07/09/2025 (1 Year CMT Rate + 3.500%) (1)(3) | 15,000,000 | 16,288,637 | ||||||||||
3.750%, 01/11/2027 (1) | 7,800,000 | 8,634,483 | ||||||||||
4.375%, 03/22/2028 (1) | 15,000,000 | 17,405,042 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.205%) (1)(3) | 21,550,000 | 23,421,867 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
6.625%, 04/07/2021 (1)(2) | 275,000 | 286,573 | ||||||||||
4.875%, 06/10/2025 (1)(2) | 7,800,000 | 8,622,507 | ||||||||||
3.624%, 06/03/2030 (1)(2) | 15,000,000 | 15,727,709 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.023%) (1)(2)(3) | 35,850,000 | 37,243,925 | ||||||||||
4.150%, 03/27/2024 (3 Month LIBOR USD + 1.330%) (1)(2)(3) | 21,000,000 | 22,543,404 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
1.399%, 12/28/2020 (1 Month LIBOR USD + 1.215%) (3) | 9,483,000 | 9,485,721 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026 (1) | 16,375,000 | 19,243,886 | ||||||||||
2.484%, 05/19/2027 (1) | 13,850,000 | 14,503,997 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,033,644 | ||||||||||
3.300%, 03/14/2023 | 6,875,000 | 7,323,768 | ||||||||||
3.750%, 03/14/2026 | 9,225,000 | 10,454,062 | ||||||||||
5.875%, 08/01/2033 | 3,729,000 | 5,075,379 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
7.625%, 11/15/2023 (2) | 3,184,000 | 3,644,093 | ||||||||||
3.729%, 10/15/2070 (2) | 19,253,000 | 19,786,641 | ||||||||||
4.900%, 04/01/2077 (2) | 8,000,000 | 10,339,009 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
12.479%, 01/15/2033 (3 Month LIBOR USD + 11.260%) (2)(3)(9) | 700,000 | 280,000 | ||||||||||
MetLife, Inc.: | ||||||||||||
4.875%, 11/13/2043 | 3,375,000 | 4,400,729 | ||||||||||
4.050%, 03/01/2045 | 9,025,000 | 10,652,658 | ||||||||||
Metropolitan Life Insurance Co., | ||||||||||||
7.800%, 11/01/2025 (2) | 3,725,000 | 4,830,598 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.190%, 09/13/2021 (1) | 11,039,000 | 11,233,784 | ||||||||||
3.455%, 03/02/2023 (1) | 15,000,000 | 16,035,069 | ||||||||||
2.801%, 07/18/2024 (1) | 10,000,000 | 10,707,820 | ||||||||||
2.193%, 02/25/2025 (1) | 11,500,000 | 11,885,871 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.953%, 02/28/2022 (1) | 9,750,000 | 10,111,276 | ||||||||||
2.601%, 09/11/2022 (1) | 5,000,000 | 5,195,793 | ||||||||||
3.922%, 09/11/2024 (3 Month LIBOR USD + 1.000%) (1)(3) | 9,000,000 | 9,736,133 | ||||||||||
2.555%, 09/13/2025 (3 Month LIBOR USD + 1.100%) (1)(3) | 20,000,000 | 20,837,296 | ||||||||||
3.170%, 09/11/2027 (1) | 24,650,000 | 26,617,509 | ||||||||||
Morgan Stanley: | ||||||||||||
3.125%, 01/23/2023 | 15,000,000 | 15,904,579 | ||||||||||
3.750%, 02/25/2023 | 1,000,000 | 1,079,192 | ||||||||||
2.420%, 10/24/2023 (3 Month LIBOR USD + 1.400%) (3) | 10,000,000 | 10,121,083 | ||||||||||
3.737%, 04/24/2024 (3 Month LIBOR USD + 0.847%) (3) | 25,000,000 | 26,915,390 | ||||||||||
3.700%, 10/23/2024 | 5,000,000 | 5,544,436 | ||||||||||
2.720%, 07/22/2025 (SOFR + 1.152%) (3) | 15,000,000 | 15,914,571 | ||||||||||
4.000%, 07/23/2025 | 2,500,000 | 2,834,615 | ||||||||||
3.875%, 01/27/2026 | 7,000,000 | 7,918,433 | ||||||||||
2.188%, 04/28/2026 (SOFR + 1.990%) (3) | 40,000,000 | 41,648,366 | ||||||||||
3.125%, 07/27/2026 | 13,175,000 | 14,522,807 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%) (3) | 15,350,000 | 17,260,754 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
3.500%, 06/18/2022 | 1,150,000 | 1,208,201 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
3.933%, 08/02/2034 (5 Year CMT Rate + 1.880%) (1)(2)(3) | 5,000,000 | 5,449,297 | ||||||||||
National Securities Clearing Corp., | ||||||||||||
1.500%, 04/23/2025 (2) | 13,000,000 | 13,295,953 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024 (3 Month LIBOR USD + 1.064%) (1)(2)(3) | 14,500,000 | 15,278,388 | ||||||||||
3.900%, 07/21/2025 (1)(2) | 8,100,000 | 9,084,194 | ||||||||||
4.000%, 09/14/2026 (1)(2) | 58,541,000 | 63,282,509 | ||||||||||
4.302%, 03/08/2029 (3 Month LIBOR USD + 1.452%) (1)(2)(3) | 1,425,000 | 1,615,437 | ||||||||||
3.960%, 07/18/2030 (3 Month LIBOR USD + 1.855%) (1)(2)(3) | 10,125,000 | 11,390,490 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.849%) (1)(2)(3) | 8,000,000 | 8,660,855 | ||||||||||
Nationwide Financial Services, Inc.: | ||||||||||||
5.375%, 03/25/2021 (2) | 15,088,000 | 15,517,341 | ||||||||||
3.900%, 11/30/2049 (2) | 17,500,000 | 17,430,554 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
7.875%, 04/01/2033 (2) | 5,600,000 | 7,850,559 | ||||||||||
9.375%, 08/15/2039 (2) | 27,409,000 | 44,100,936 | ||||||||||
New England Mutual Life Insurance Co., | ||||||||||||
7.875%, 02/15/2024 (2) | 3,200,000 | 3,788,154 | ||||||||||
New York Life Insurance Co.: | ||||||||||||
6.750%, 11/15/2039 (2) | 25,105,000 | 38,153,627 | ||||||||||
4.450%, 05/15/2069 (2) | 10,000,000 | 12,218,427 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
2.648%, 01/16/2025 (1) | 10,000,000 | 10,431,004 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (2) | 16,000,000 | 17,476,478 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 4,400,000 | 4,668,097 | ||||||||||
Pine Street Trust I, | ||||||||||||
4.572%, 02/15/2029 (2) | 5,000,000 | 5,702,503 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,215,000 | 1,279,914 | ||||||||||
3.125%, 05/15/2023 | 3,675,000 | 3,899,206 | ||||||||||
Protective Life Corp., | ||||||||||||
4.300%, 09/30/2028 (2) | 4,105,000 | 4,455,820 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
3.878%, 03/27/2028 | 11,025,000 | 12,736,810 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025 (2) | 21,011,000 | 27,263,936 | ||||||||||
Raymond James Financial, Inc.: | ||||||||||||
3.625%, 09/15/2026 | 425,000 | 471,955 | ||||||||||
4.950%, 07/15/2046 | 15,000,000 | 18,145,347 | ||||||||||
Realty Income Corp., | ||||||||||||
3.875%, 04/15/2025 | 10,000,000 | 11,090,534 | ||||||||||
Regions Bank, | ||||||||||||
6.450%, 06/26/2037 | 3,864,000 | 5,189,496 | ||||||||||
Regions Financial Corp.: | ||||||||||||
2.750%, 08/14/2022 | 14,900,000 | 15,518,193 | ||||||||||
3.800%, 08/14/2023 | 19,737,000 | 21,463,530 | ||||||||||
2.250%, 05/18/2025 | 16,650,000 | 17,436,709 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
3.050%, 01/20/2021 (2) | 10,954,000 | 11,065,535 | ||||||||||
2.625%, 07/22/2022 (2) | 9,700,000 | 9,963,571 | ||||||||||
2.500%, 10/30/2024 (2) | 20,000,000 | 20,603,898 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026 (1) | 29,930,000 | 34,849,822 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%) (1)(3) | 62,335,000 | 64,716,444 | ||||||||||
4.519%, 06/25/2024 (3 Month LIBOR USD + 1.550%) (1)(3) | 17,475,000 | 18,976,433 | ||||||||||
4.269%, 03/22/2025 (3 Month LIBOR USD + 1.762%) (1)(3) | 8,300,000 | 9,027,937 | ||||||||||
4.892%, 05/18/2029 (3 Month LIBOR USD + 1.754%) (1)(3) | 4,250,000 | 5,004,378 | ||||||||||
4.445%, 05/08/2030 (3 Month LIBOR USD + 1.871%) (1)(3) | 11,000,000 | 12,761,743 | ||||||||||
Santander Holdings USA, Inc.: | ||||||||||||
3.400%, 01/18/2023 | 5,750,000 | 5,981,080 | ||||||||||
3.450%, 06/02/2025 | 10,000,000 | 10,416,855 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 08/05/2021 (1) | 9,375,000 | 9,579,863 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%) (1)(3) | 6,000,000 | 6,612,512 | ||||||||||
Santander UK PLC: | ||||||||||||
5.000%, 11/07/2023 (1)(2) | 36,375,000 | 39,623,287 | ||||||||||
4.000%, 03/13/2024 (1) | 7,700,000 | 8,483,066 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.550%, 04/15/2024 (1)(2) | 15,000,000 | 15,349,095 | ||||||||||
Societe Generale SA: | ||||||||||||
4.250%, 09/14/2023 (1)(2) | 9,725,000 | 10,469,559 | ||||||||||
5.000%, 01/17/2024 (1)(2) | 13,000,000 | 14,050,240 | ||||||||||
3.875%, 03/28/2024 (1)(2) | 10,000,000 | 10,668,912 | ||||||||||
2.625%, 10/16/2024 (1)(2) | 14,575,000 | 14,883,853 | ||||||||||
2.625%, 01/22/2025 (1)(2) | 34,600,000 | 35,310,888 | ||||||||||
4.250%, 04/14/2025 (1)(2) | 21,975,000 | 23,239,181 | ||||||||||
4.250%, 08/19/2026 (1)(2) | 18,572,000 | 19,796,860 | ||||||||||
Standard Chartered PLC: | ||||||||||||
3.050%, 01/15/2021 (1)(2) | 14,000,000 | 14,167,268 | ||||||||||
3.885%, 03/15/2024 (3 Month LIBOR USD + 1.080%) (1)(2)(3) | 17,600,000 | 18,541,848 | ||||||||||
3.785%, 05/21/2025 (3 Month LIBOR USD + 1.560%) (1)(2)(3) | 40,500,000 | 42,898,532 | ||||||||||
2.819%, 01/30/2026 (3 Month LIBOR USD + 1.209%) (1)(2)(3) | 8,800,000 | 8,987,579 | ||||||||||
0.000%, 04/01/2031 (5 Year CMT Rate + 3.850%) (1)(2)(3) | 7,000,000 | 7,911,234 | ||||||||||
5.700%, 03/26/2044 (1)(2) | 14,000,000 | 17,161,440 | ||||||||||
State Street Corp., | ||||||||||||
2.901%, 03/30/2026 (SOFR + 2.600%) (2)(3) | 12,975,000 | 14,044,993 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
3.500%, 12/01/2020 | 5,000,000 | 5,024,730 | ||||||||||
4.250%, 07/18/2024 | 19,615,000 | 20,835,042 | ||||||||||
Sumitomo Mitsui Banking Corp., | ||||||||||||
3.000%, 01/18/2023 (1) | 2,500,000 | 2,629,926 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.784%, 07/12/2022 (1) | 13,325,000 | 13,880,290 | ||||||||||
3.102%, 01/17/2023 (1) | 16,125,000 | 17,056,167 | ||||||||||
2.696%, 07/16/2024 (1) | 10,400,000 | 11,017,449 | ||||||||||
2.448%, 09/27/2024 (1) | 20,000,000 | 20,978,587 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
3.689%, 08/02/2024 (3 Month LIBOR USD + 0.735%) (3) | 6,345,000 | 6,873,324 | ||||||||||
3.300%, 05/15/2026 | 28,734,000 | 31,686,676 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021 (1)(2) | 7,025,000 | 7,121,706 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 16,825,000 | 17,203,114 | ||||||||||
4.250%, 08/15/2024 | 33,325,000 | 34,995,647 | ||||||||||
4.500%, 07/23/2025 | 12,795,000 | 13,594,720 | ||||||||||
3.700%, 08/04/2026 | 5,388,000 | 5,576,790 | ||||||||||
3.950%, 12/01/2027 | 43,000,000 | 44,946,469 | ||||||||||
Synovus Financial Corp., | ||||||||||||
3.125%, 11/01/2022 | 19,588,000 | 19,830,499 | ||||||||||
Travelers Companies, Inc., | ||||||||||||
2.550%, 04/27/2050 | 8,775,000 | 8,728,942 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026 (1) | 15,776,000 | 17,971,724 | ||||||||||
6.125%, 08/15/2043 (1) | 22,605,000 | 30,731,378 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
1.737%, 09/24/2020 (3 Month LIBOR USD + 1.440%) (1)(2)(3) | 26,350,000 | 26,430,548 | ||||||||||
2.650%, 02/01/2022 (1)(2) | 10,000,000 | 10,297,920 | ||||||||||
3.491%, 05/23/2023 (1)(2) | 34,075,000 | 35,640,308 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.954%) (1)(2)(3) | 31,700,000 | 32,833,582 | ||||||||||
4.125%, 09/24/2025 (1)(2) | 6,500,000 | 7,367,455 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
4.625%, 07/15/2035 | 12,175,000 | 15,928,780 | ||||||||||
Voya Financial, Inc., | ||||||||||||
3.650%, 06/15/2026 | 7,102,000 | 7,870,373 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.069%, 01/24/2023 | 12,000,000 | 12,434,553 | ||||||||||
1.990%, 10/31/2023 (3 Month LIBOR USD + 1.230%) (3) | 10,000,000 | 10,072,250 | ||||||||||
1.654%, 06/02/2024 (SOFR + 1.600%) (3) | 12,375,000 | 12,570,661 | ||||||||||
3.000%, 02/19/2025 | 5,225,000 | 5,641,019 | ||||||||||
2.406%, 10/30/2025 (3 Month LIBOR USD + 0.825%) (3) | 10,000,000 | 10,409,982 | ||||||||||
2.164%, 02/11/2026 (3 Month LIBOR USD + 0.750%) (3) | 15,000,000 | 15,459,669 | ||||||||||
3.000%, 04/22/2026 | 4,000,000 | 4,368,009 | ||||||||||
3.068%, 04/30/2041 (SOFR + 2.530%) (3) | 35,000,000 | 36,508,007 | ||||||||||
5.013%, 04/04/2051 (3 Month LIBOR USD + 4.240%) (3) | 8,000,000 | 11,103,858 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
2.100%, 05/13/2021 (1) | 13,300,000 | 13,496,832 | ||||||||||
2.894%, 02/04/2030 (5 Year CMT Rate + 1.350%) (1)(3) | 18,059,000 | 18,408,977 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.236%) (1)(3) | 10,000,000 | 11,097,478 | ||||||||||
4.110%, 07/24/2034 (5 Year CMT Rate + 2.000%) (1)(3) | 10,000,000 | 11,032,374 | ||||||||||
Willis North America, Inc.: | ||||||||||||
2.950%, 09/15/2029 | 10,600,000 | 11,220,712 | ||||||||||
5.050%, 09/15/2048 | 15,000,000 | 19,119,545 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021 (1) | 20,329,000 | 20,978,341 | ||||||||||
Total Financials (Cost $5,310,124,000) | 5,644,363,987 | 21.3 | % | |||||||||
Total Corporate Bonds (Cost $13,169,935,125) | 14,056,911,651 | 52.9 | % |
Municipal Bonds | ||||||||||||
Bellevue Union School District, | ||||||||||||
5.000%, 08/01/2028 | 625,000 | 742,156 | ||||||||||
Brazos Higher Education Authority, Inc.: | ||||||||||||
1.931%, 04/01/2024 | 1,000,000 | 1,012,750 | ||||||||||
1.981%, 04/01/2025 | 1,000,000 | 1,010,500 | ||||||||||
2.076%, 04/01/2026 | 1,000,000 | 1,014,290 | ||||||||||
2.176%, 04/01/2027 | 1,300,000 | 1,318,668 | ||||||||||
2.310%, 04/01/2028 | 1,000,000 | 1,017,110 | ||||||||||
2.410%, 04/01/2029 | 2,360,000 | 2,390,515 | ||||||||||
2.510%, 04/01/2030 | 1,175,000 | 1,188,042 | ||||||||||
2.760%, 04/01/2040 (Callable 04/01/2030) | 2,850,000 | 2,769,317 | ||||||||||
California Housing Finance Agency, | ||||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 9,950,000 | 10,098,752 | ||||||||||
California Qualified School Bond Joint Powers Authority: | ||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,874,478 | ||||||||||
7.155%, 03/01/2027 | 1,700,000 | 2,046,205 | ||||||||||
Camden County Improvement Authority, | ||||||||||||
7.747%, 07/01/2034 (Callable 07/31/2020) | 1,100,000 | 1,105,027 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,743,930 | ||||||||||
City of Vernon CA, | ||||||||||||
4.500%, 08/01/2022 | 7,500,000 | 7,863,525 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,539,613 | ||||||||||
County of Hamilton OH, | ||||||||||||
3.756%, 06/01/2042 | 25,725,000 | 27,937,607 | ||||||||||
County of Riverside CA, | ||||||||||||
2.667%, 02/15/2025 | 15,000,000 | 15,593,850 | ||||||||||
Great Lakes Water Authority, | ||||||||||||
2.615%, 07/01/2036 | 20,000,000 | 20,780,200 | ||||||||||
Hillsborough City School District: | ||||||||||||
0.000%, 09/01/2036 (Callable 09/01/2021) | 10,000,000 | 5,128,600 | ||||||||||
0.000%, 09/01/2042 (Callable 09/01/2021) | 10,000,000 | 3,830,100 | ||||||||||
Illinois International Port District, | ||||||||||||
5.000%, 01/01/2035 (Callable 01/01/2026) (2) | 3,750,000 | 3,416,250 | ||||||||||
Iowa Student Loan Liquidity Corp., | ||||||||||||
2.989%, 12/01/2039 (Callable 12/01/2029) | 5,600,000 | 5,655,048 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 07/31/2020) | 1,660,000 | 1,661,112 | ||||||||||
Massachusetts Educational Financing Authority, | ||||||||||||
3.775%, 07/01/2035 (Callable 07/01/2029) | 10,000,000 | 10,996,700 | ||||||||||
Michigan Finance Authority, | ||||||||||||
4.600%, 10/01/2022 | 12,575,000 | 12,759,853 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.680%, 10/01/2046 (Callable 01/01/2026) | 23,810,738 | 24,190,996 | ||||||||||
2.650%, 11/01/2046 (Callable 01/01/2026) | 22,523,080 | 22,883,224 | ||||||||||
New Hampshire Business Finance Authority, | ||||||||||||
2.872%, 07/01/2035 (Callable 01/01/2035) (8) | 18,325,000 | 18,504,402 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.100%, 07/01/2021 | 1,335,000 | 1,356,320 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 2,085,000 | 2,126,366 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
2.870%, 07/01/2032 (Callable 01/01/2024) | 2,305,000 | 2,347,458 | ||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 2,935,000 | 2,980,551 | ||||||||||
North East Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,687,930 | ||||||||||
Public Finance Authority, | ||||||||||||
0.000%, 12/15/2027 | 19,000,000 | 14,117,760 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
2.913%, 10/01/2039 (Callable 10/01/2023) | 1,440,000 | 1,456,142 | ||||||||||
Rhode Island Student Loan Authority: | ||||||||||||
2.100%, 12/01/2022 | 1,125,000 | 1,129,129 | ||||||||||
2.200%, 12/01/2023 | 1,400,000 | 1,407,574 | ||||||||||
2.400%, 12/01/2024 | 1,165,000 | 1,173,959 | ||||||||||
2.530%, 12/01/2025 | 2,310,000 | 2,334,671 | ||||||||||
2.730%, 12/01/2026 | 1,490,000 | 1,506,286 | ||||||||||
5.000%, 12/01/2026 | 1,200,000 | 1,391,952 | ||||||||||
2.875%, 12/01/2027 | 1,800,000 | 1,825,146 | ||||||||||
5.000%, 12/01/2027 | 1,130,000 | 1,328,451 | ||||||||||
5.000%, 12/01/2028 | 1,265,000 | 1,505,185 | ||||||||||
5.000%, 12/01/2029 | 1,295,000 | 1,559,348 | ||||||||||
3.625%, 12/01/2037 (Callable 12/01/2030) | 6,000,000 | 5,997,120 | ||||||||||
State of Illinois, | ||||||||||||
6.200%, 07/01/2021 | 7,955,000 | 8,024,606 | ||||||||||
Tennessee Energy Acquisition Corp., | ||||||||||||
4.000%, 05/01/2048 (Callable 02/01/2023) (4) | 16,965,000 | 18,260,108 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,369,832 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 5,999,702 | ||||||||||
Western Michigan University Homer Stryker MD School of Medicine, | ||||||||||||
4.750%, 11/15/2028 | 13,250,000 | 15,363,773 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,174,987 | ||||||||||
Total Municipal Bonds (Cost $301,990,176) | 312,497,176 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 3,124 | 3,167 | ||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 1,671 | 1,694 | ||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 10,904 | 11,272 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 4,065 | 4,271 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 18,692 | 19,495 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 781 | 821 | ||||||||||
5.000%, 05/01/2021 | 799 | 839 | ||||||||||
6.000%, 06/01/2021 | 1,155 | 1,174 | ||||||||||
6.500%, 12/01/2028 | 10,445 | 11,768 | ||||||||||
6.500%, 06/01/2029 | 4,188 | 4,698 | ||||||||||
3.000%, 10/01/2030 | 27,134,681 | 28,848,702 | ||||||||||
3.000%, 02/01/2032 | 41,367,341 | 44,111,461 | ||||||||||
3.500%, 05/01/2032 | 20,305,864 | 21,729,052 | ||||||||||
3.000%, 07/01/2032 | 9,316,531 | 9,932,323 | ||||||||||
3.000%, 10/01/2032 | 6,817,795 | 7,268,623 | ||||||||||
3.000%, 11/01/2032 | 10,856,014 | 11,574,380 | ||||||||||
3.000%, 12/01/2032 | 11,365,920 | 12,114,494 | ||||||||||
3.000%, 01/01/2033 | 5,091,671 | 5,428,388 | ||||||||||
3.000%, 04/01/2033 | 5,396,025 | 5,753,403 | ||||||||||
3.500%, 01/01/2034 | 19,930,276 | 21,318,203 | ||||||||||
3.000%, 05/01/2035 | 7,419,530 | 7,886,235 | ||||||||||
3.000%, 09/01/2035 | 10,671,107 | 11,296,362 | ||||||||||
3.000%, 10/01/2035 | 14,733,951 | 15,597,728 | ||||||||||
5.000%, 03/01/2036 | 3,842,223 | 4,409,784 | ||||||||||
5.500%, 04/01/2037 | 82,564 | 94,878 | ||||||||||
5.500%, 04/01/2038 | 51,761 | 59,424 | ||||||||||
5.500%, 05/01/2038 | 86,507 | 99,086 | ||||||||||
5.500%, 01/01/2039 | 13,629,537 | 15,619,254 | ||||||||||
4.500%, 11/01/2039 | 506,398 | 563,060 | ||||||||||
4.500%, 11/01/2039 | 1,724,166 | 1,916,625 | ||||||||||
4.500%, 08/01/2040 | 1,740,923 | 1,934,686 | ||||||||||
4.500%, 08/01/2040 | 2,409,705 | 2,679,039 | ||||||||||
4.000%, 10/01/2040 | 17,893,734 | 19,628,456 | ||||||||||
4.000%, 01/01/2041 | 12,424,776 | 13,623,458 | ||||||||||
3.500%, 06/01/2042 | 3,436,122 | 3,718,244 | ||||||||||
3.500%, 06/01/2042 | 5,270,356 | 5,705,013 | ||||||||||
3.500%, 07/01/2042 | 20,242,491 | 21,928,970 | ||||||||||
3.500%, 07/01/2042 | 29,343,723 | 31,753,342 | ||||||||||
3.000%, 08/01/2042 | 17,236,441 | 18,468,637 | ||||||||||
3.500%, 09/01/2042 | 11,170,704 | 12,093,422 | ||||||||||
3.000%, 11/01/2042 | 41,906,810 | 45,325,398 | ||||||||||
3.500%, 12/01/2042 | 17,787,369 | 19,251,067 | ||||||||||
3.000%, 01/01/2043 | 29,869,944 | 32,020,112 | ||||||||||
3.000%, 02/01/2043 | 5,793,174 | 6,209,351 | ||||||||||
3.500%, 02/01/2043 | 13,232,202 | 14,467,684 | ||||||||||
3.000%, 03/01/2043 | 14,065,184 | 15,077,613 | ||||||||||
3.000%, 04/01/2043 | 11,985,252 | 12,845,977 | ||||||||||
3.000%, 04/01/2043 | 10,466,911 | 11,321,431 | ||||||||||
3.000%, 06/01/2043 | 9,636,379 | 10,328,887 | ||||||||||
3.000%, 08/01/2043 | 21,992,077 | 23,562,837 | ||||||||||
4.500%, 12/01/2043 | 9,594,822 | 10,726,604 | ||||||||||
3.500%, 05/01/2044 | 33,201,777 | 36,303,625 | ||||||||||
3.500%, 08/01/2044 | 19,504,086 | 20,912,632 | ||||||||||
3.500%, 08/01/2044 | 26,158,286 | 28,303,046 | ||||||||||
4.000%, 09/01/2044 | 10,259,853 | 11,166,895 | ||||||||||
4.000%, 10/01/2044 | 15,833,928 | 17,363,637 | ||||||||||
3.500%, 01/01/2045 | 19,360,461 | 21,041,581 | ||||||||||
4.000%, 02/01/2045 | 10,997,175 | 11,923,541 | ||||||||||
3.500%, 06/01/2045 | 21,847,250 | 23,888,333 | ||||||||||
3.500%, 07/01/2045 | 19,471,107 | 21,055,475 | ||||||||||
3.000%, 10/01/2045 | 29,000,308 | 31,065,032 | ||||||||||
4.000%, 10/01/2045 | 16,101,210 | 17,392,536 | ||||||||||
3.500%, 12/01/2045 | 20,539,271 | 21,906,814 | ||||||||||
4.000%, 12/01/2045 | 6,695,823 | 7,244,519 | ||||||||||
3.000%, 01/01/2046 | 77,205,858 | 83,913,696 | ||||||||||
3.500%, 01/01/2046 | 44,094,232 | 47,949,114 | ||||||||||
4.000%, 02/01/2046 | 20,247,965 | 22,208,603 | ||||||||||
4.000%, 02/01/2046 | 8,855,478 | 9,547,484 | ||||||||||
3.500%, 03/01/2046 | 5,730,257 | 6,266,276 | ||||||||||
4.000%, 05/01/2046 | 787,190 | 849,801 | ||||||||||
3.500%, 08/01/2046 | 67,811,319 | 74,072,274 | ||||||||||
4.000%, 08/01/2046 | 10,780,204 | 11,780,095 | ||||||||||
3.000%, 10/01/2046 | 81,570,931 | 88,472,659 | ||||||||||
3.000%, 10/01/2046 | 61,154,482 | 65,388,739 | ||||||||||
4.500%, 11/01/2046 | 62,745,004 | 69,761,774 | ||||||||||
4.000%, 01/01/2047 | 38,372,977 | 42,435,244 | ||||||||||
3.000%, 02/01/2047 | 33,559,897 | 35,880,462 | ||||||||||
3.000%, 05/01/2047 | 67,648,166 | 72,325,678 | ||||||||||
3.500%, 08/01/2047 | 21,250,330 | 23,091,038 | ||||||||||
4.000%, 06/01/2048 | 58,916,896 | 65,252,563 | ||||||||||
4.000%, 08/01/2048 | 30,506,153 | 32,921,723 | ||||||||||
3.000%, 12/01/2049 | 170,875,962 | 180,799,083 | ||||||||||
4.000%, 05/01/2050 (8) | 59,923,737 | 65,621,704 | ||||||||||
3.000%, 06/01/2050 | 45,705,687 | 48,846,503 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 232 | 236 | ||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 633 | 647 | ||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 1,823 | 1,877 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 129 | 135 | ||||||||||
2.500%, 12/01/2027 | 9,913,433 | 10,402,614 | ||||||||||
5.000%, 05/01/2028 | 26,815 | 29,233 | ||||||||||
6.500%, 09/01/2028 | 7,642 | 8,559 | ||||||||||
6.500%, 02/01/2029 | 17,460 | 19,689 | ||||||||||
3.000%, 07/01/2029 | 14,822,291 | 15,602,300 | ||||||||||
4.500%, 07/01/2030 | 3,062,633 | 3,330,601 | ||||||||||
3.000%, 08/01/2030 | 21,185,720 | 22,518,214 | ||||||||||
3.000%, 01/01/2031 | 58,003,085 | 61,645,406 | ||||||||||
4.000%, 11/01/2031 | 14,193,864 | 15,283,570 | ||||||||||
3.500%, 01/01/2032 | 34,902,547 | 37,335,114 | ||||||||||
5.500%, 01/01/2032 | 6,804 | 7,596 | ||||||||||
2.500%, 07/01/2032 | 22,265,803 | 23,669,973 | ||||||||||
3.000%, 11/01/2032 | 6,888,716 | 7,292,135 | ||||||||||
2.500%, 12/01/2032 | 82,813,145 | 86,903,273 | ||||||||||
3.000%, 04/01/2033 | 11,635,655 | 12,363,202 | ||||||||||
3.000%, 05/01/2033 | 11,646,803 | 12,380,757 | ||||||||||
3.500%, 09/01/2033 | 55,081,452 | 59,436,903 | ||||||||||
5.000%, 09/01/2033 | 9,567,157 | 10,973,691 | ||||||||||
4.500%, 10/01/2033 | 18,163,890 | 19,861,266 | ||||||||||
3.000%, 11/01/2033 | 87,788,626 | 94,305,548 | ||||||||||
4.000%, 01/01/2034 | 10,127,443 | 10,904,257 | ||||||||||
5.500%, 04/01/2034 | 552,709 | 633,705 | ||||||||||
4.000%, 09/01/2034 | 14,736,536 | 15,864,278 | ||||||||||
5.500%, 09/01/2034 | 24,925 | 28,582 | ||||||||||
5.000%, 02/01/2035 | 13,912,134 | 15,959,559 | ||||||||||
5.000%, 02/01/2035 | 10,057,164 | 11,537,832 | ||||||||||
5.500%, 02/01/2035 | 21,919 | 25,148 | ||||||||||
5.000%, 04/01/2035 | 988,483 | 1,134,511 | ||||||||||
5.000%, 07/01/2035 | 2,843,687 | 3,262,459 | ||||||||||
5.000%, 02/01/2036 | 1,757,174 | 2,017,117 | ||||||||||
5.000%, 03/01/2036 | 810,414 | 930,655 | ||||||||||
5.500%, 04/01/2036 | 2,597,969 | 2,984,933 | ||||||||||
4.000%, 05/01/2037 | 51,910,504 | 55,829,927 | ||||||||||
3.500%, 08/01/2037 | 32,245,534 | 34,082,169 | ||||||||||
2.500%, 04/01/2038 | 58,493,368 | 61,551,906 | ||||||||||
6.000%, 05/01/2038 | 4,143,515 | 4,836,934 | ||||||||||
4.500%, 04/01/2039 | 13,845,925 | 15,396,553 | ||||||||||
4.000%, 06/01/2039 | 9,481,652 | 10,186,282 | ||||||||||
5.000%, 06/01/2039 | 12,384,160 | 14,145,513 | ||||||||||
4.500%, 01/01/2040 | 6,499,204 | 7,226,579 | ||||||||||
4.500%, 01/01/2040 | 2,754,252 | 3,009,757 | ||||||||||
5.000%, 06/01/2040 | 10,371,037 | 11,833,299 | ||||||||||
4.000%, 08/01/2040 | 828,686 | 909,544 | ||||||||||
4.500%, 08/01/2040 | 9,848,851 | 10,961,438 | ||||||||||
4.500%, 08/01/2040 | 3,604,334 | 4,010,987 | ||||||||||
4.000%, 10/01/2040 | 1,471,819 | 1,614,918 | ||||||||||
4.000%, 11/01/2040 | 15,612,167 | 17,139,350 | ||||||||||
4.000%, 12/01/2040 | 3,389,396 | 3,789,864 | ||||||||||
3.500%, 01/01/2041 | 1,689,352 | 1,827,984 | ||||||||||
4.000%, 01/01/2041 | 3,270,662 | 3,589,841 | ||||||||||
3.500%, 02/01/2041 | 1,912,564 | 2,069,319 | ||||||||||
4.000%, 02/01/2041 | 321,572 | 352,916 | ||||||||||
4.500%, 02/01/2041 | 42,478,812 | 47,085,511 | ||||||||||
3.500%, 03/01/2041 | 12,952,910 | 14,014,212 | ||||||||||
4.000%, 03/01/2041 | 5,890,189 | 6,468,432 | ||||||||||
4.500%, 07/01/2041 | 4,238,514 | 4,714,933 | ||||||||||
3.500%, 09/01/2041 | 26,800,428 | 28,997,345 | ||||||||||
4.000%, 09/01/2041 | 2,493,622 | 2,735,000 | ||||||||||
3.500%, 11/01/2041 | 13,992,910 | 15,139,381 | ||||||||||
3.500%, 12/01/2041 | 2,564,373 | 2,773,197 | ||||||||||
4.000%, 12/01/2041 | 11,678,903 | 12,817,866 | ||||||||||
4.000%, 01/01/2042 | 21,417,366 | 23,484,742 | ||||||||||
4.500%, 01/01/2042 | 8,785,328 | 9,777,109 | ||||||||||
4.000%, 02/01/2042 | 19,316,464 | 21,206,782 | ||||||||||
3.000%, 04/01/2042 | 52,497,798 | 56,019,853 | ||||||||||
3.000%, 05/01/2042 | 3,108,483 | 3,330,831 | ||||||||||
3.500%, 05/01/2042 | 14,666,526 | 15,853,263 | ||||||||||
3.500%, 06/01/2042 | 5,572,359 | 6,029,345 | ||||||||||
3.500%, 07/01/2042 | 97,813,369 | 106,960,368 | ||||||||||
3.500%, 08/01/2042 | 9,407,200 | 10,183,477 | ||||||||||
3.500%, 09/01/2042 | 15,020,926 | 16,248,382 | ||||||||||
3.000%, 10/01/2042 | 15,910,741 | 17,352,256 | ||||||||||
3.000%, 03/01/2043 | 5,963,136 | 6,389,328 | ||||||||||
3.000%, 04/01/2043 | 1,970,208 | 2,111,404 | ||||||||||
3.000%, 05/01/2043 | 6,813,630 | 7,367,739 | ||||||||||
3.000%, 05/01/2043 | 23,017,168 | 24,664,472 | ||||||||||
3.500%, 05/01/2043 | 15,118,362 | 16,532,920 | ||||||||||
3.000%, 06/01/2043 | 25,108,072 | 26,904,201 | ||||||||||
3.500%, 06/01/2043 | 7,954,608 | 8,835,125 | ||||||||||
3.000%, 07/01/2043 | 19,745,602 | 21,221,186 | ||||||||||
4.000%, 07/01/2043 | 26,339,443 | 28,919,444 | ||||||||||
3.000%, 08/01/2043 | 7,259,150 | 7,774,895 | ||||||||||
3.500%, 09/01/2043 | 32,445,895 | 35,078,924 | ||||||||||
4.500%, 09/01/2043 | 13,487,752 | 15,005,377 | ||||||||||
4.000%, 01/01/2045 | 10,860,235 | 11,836,203 | ||||||||||
3.500%, 02/01/2045 | 43,340,676 | 46,902,466 | ||||||||||
4.000%, 02/01/2045 | 6,283,123 | 6,887,991 | ||||||||||
4.000%, 02/01/2045 | 12,772,079 | 14,013,459 | ||||||||||
4.000%, 02/01/2045 | 17,298,412 | 18,898,853 | ||||||||||
4.000%, 02/01/2045 | 3,534,474 | 3,848,135 | ||||||||||
4.000%, 03/01/2045 | 9,124,092 | 9,901,570 | ||||||||||
4.000%, 11/01/2045 | 37,012,741 | 40,039,407 | ||||||||||
3.500%, 12/01/2045 | 31,858,126 | 33,989,321 | ||||||||||
4.000%, 12/01/2045 | 18,924,058 | 21,174,174 | ||||||||||
4.000%, 12/01/2045 | 48,336,726 | 52,252,643 | ||||||||||
4.500%, 02/01/2046 | 25,536,201 | 28,389,007 | ||||||||||
4.500%, 08/01/2046 | 25,836,164 | 28,731,067 | ||||||||||
3.000%, 10/01/2046 | 25,565,689 | 27,343,121 | ||||||||||
3.500%, 11/01/2046 | 28,217,177 | 30,212,844 | ||||||||||
4.000%, 02/01/2047 | 17,596,860 | 18,870,538 | ||||||||||
4.000%, 03/01/2047 | 33,539,891 | 36,183,669 | ||||||||||
4.000%, 03/01/2047 | 25,650,640 | 28,358,163 | ||||||||||
4.000%, 10/01/2047 | 22,694,511 | 24,214,586 | ||||||||||
4.000%, 11/01/2047 | 13,497,201 | 14,398,873 | ||||||||||
3.500%, 12/01/2047 | 43,773,014 | 46,222,809 | ||||||||||
4.000%, 12/01/2047 | 68,458,994 | 72,862,151 | ||||||||||
3.000%, 01/01/2048 | 27,003,426 | 28,858,931 | ||||||||||
3.500%, 05/01/2048 | 84,935,396 | 91,254,993 | ||||||||||
5.000%, 11/01/2048 | 33,427,649 | 37,908,959 | ||||||||||
3.500%, 06/01/2049 | 94,334,568 | 99,182,593 | ||||||||||
4.000%, 09/01/2049 | 9,903,212 | 10,489,013 | ||||||||||
3.500%, 01/01/2050 | 51,473,560 | 55,914,800 | ||||||||||
3.000%, 05/01/2050 | 140,309,152 | 151,386,786 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 13,177 | 14,820 | ||||||||||
6.500%, 01/20/2029 | 7,190 | 8,329 | ||||||||||
6.000%, 11/20/2033 | 9,985 | 11,472 | ||||||||||
5.000%, 07/20/2040 | 501,611 | 566,034 | ||||||||||
4.000%, 01/20/2041 | 7,965,907 | 8,781,978 | ||||||||||
4.000%, 08/20/2041 | 4,602,270 | 5,072,993 | ||||||||||
3.500%, 10/20/2041 | 8,461,976 | 9,200,060 | ||||||||||
4.000%, 12/20/2041 | 6,098,771 | 6,724,045 | ||||||||||
4.000%, 02/20/2042 | 11,809,377 | 13,016,433 | ||||||||||
4.000%, 06/20/2042 | 9,908,597 | 10,913,347 | ||||||||||
3.500%, 09/20/2042 | 6,698,297 | 7,282,616 | ||||||||||
4.000%, 09/20/2044 | 33,782,974 | 36,811,279 | ||||||||||
3.000%, 04/20/2045 | 12,895,064 | 13,725,327 | ||||||||||
3.500%, 04/20/2045 | 17,300,381 | 18,519,675 | ||||||||||
4.000%, 05/20/2045 | 14,014,178 | 15,196,814 | ||||||||||
3.500%, 06/20/2045 | 16,822,514 | 18,012,573 | ||||||||||
3.500%, 10/20/2045 | 56,756,454 | 60,903,943 | ||||||||||
4.500%, 01/20/2046 | 13,257,187 | 14,530,549 | ||||||||||
4.000%, 04/20/2046 | 19,431,271 | 21,002,995 | ||||||||||
4.000%, 05/20/2046 | 7,134,879 | 7,712,089 | ||||||||||
4.500%, 06/20/2047 | 22,511,906 | 24,595,797 | ||||||||||
4.500%, 07/20/2047 | 15,519,995 | 16,915,767 | ||||||||||
4.500%, 09/20/2047 | 79,500,170 | 86,744,508 | ||||||||||
3.500%, 02/20/2048 | 39,825,162 | 42,585,145 | ||||||||||
Seasoned Credit Risk Transfer Trust, | ||||||||||||
Series 2019-4, Class MA, 3.000%, 02/25/2059 | 58,851,381 | 62,626,020 | ||||||||||
Total U.S. Government Agency Issues (Cost $4,672,794,102) | 4,912,322,759 | 18.5 | % |
Non-U.S. Government Agency Issues | ||||||||||||
ABFC Trust, | ||||||||||||
Series 2006-OPT1, Class A3C2, 0.335%, 09/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 5,689,873 | 5,550,891 | ||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 0.505%, 12/25/2035 (1 Month LIBOR USD + 0.320%) (3) | 715,311 | 714,327 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 0.335%, 04/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,921,811 | 1,912,052 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 (6) | 29,567 | 29,364 | ||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 12/31/2020 (6) | 88,670 | 85,895 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (6) | 16,707 | 16,383 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 (6) | 138,628 | 137,005 | ||||||||||
Series 2006-J5, Class 3A1, 3.984%, 07/25/2021 (4)(6) | 13,045 | 12,906 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 (6) | 49,713 | 49,560 | ||||||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2025 (6) | 5,034,333 | 4,985,369 | ||||||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 3,503,278 | 3,625,380 | ||||||||||
Series 2005-6CB, Class 1A4, 5.500%, 04/25/2035 (6) | 12,429,872 | 12,030,556 | ||||||||||
Series 2005-29CB, Class A1, 5.500%, 07/25/2035 (6) | 2,154,855 | 1,820,729 | ||||||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035 (6) | 2,147,580 | 1,854,873 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 (6) | 322,876 | 319,226 | ||||||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036 (6) | 2,758,182 | 2,576,334 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 (6) | 462,886 | 339,404 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 125 | 125 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 0.420%, 01/25/2036 (1 Month LIBOR USD + 0.235%) (3) | 28,896,377 | 28,298,210 | ||||||||||
Arroyo Mortgage Trust: | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048 (2)(4) | 3,962,492 | 4,067,840 | ||||||||||
Series 2019-3, Class A1, 2.962%, 10/25/2048 (2)(4) | 38,743,799 | 39,584,621 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE2, Class A1, 0.375%, 03/25/2036 (1 Month LIBOR USD + 0.190%) (3) | 12,192,917 | 12,036,727 | ||||||||||
Series 2006-HE6, Class A4, 0.345%, 11/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 382,989 | 373,159 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-6, Class 4A1, 5.000%, 08/25/2020 | 240,136 | 247,896 | ||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 (6) | 16,951 | 15,417 | ||||||||||
Series 2007-1, Class 1A1, 4.946%, 04/25/2022 (4)(6) | 159,429 | 151,196 | ||||||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 1,806,189 | 1,815,138 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 (6) | 31,144 | 30,388 | ||||||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035 (6) | 4,806,909 | 4,565,244 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 (6) | 181,094 | 172,390 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2005-C, Class A1, 0.430%, 05/20/2035 (1 Month LIBOR USD + 0.240%) (3) | 3,955,233 | 3,904,194 | ||||||||||
Series 2007-C, Class 1A3, 4.043%, 05/20/2036 (4)(6) | 1,769,953 | 1,677,312 | ||||||||||
Series 2006-G, Class 1A1, 0.570%, 07/20/2036 (1 Month LIBOR USD + 0.380%) (3) | 24,956,438 | 24,053,197 | ||||||||||
Bayview Financial Trust, | ||||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037 (7) | 86,951 | 85,786 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2005-9, Class A1, 4.270%, 10/25/2035 (1 Year CMT Rate + 2.300%) (3) | 495,564 | 488,243 | ||||||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||||||
Series 2005-HE4, Class M2, 1.145%, 04/25/2035 (1 Month LIBOR USD + 0.960%) (3) | 3,343,741 | 3,331,868 | ||||||||||
Series 2006-HE8, Class 21A2, 0.355%, 07/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 3,276,792 | 3,262,418 | ||||||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||||||
Series 2007-2, Class A2, 0.505%, 05/25/2037 (1 Month LIBOR USD + 0.320%) (3) | 235,095 | 234,936 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 0.965%, 02/26/2035 (1 Month LIBOR USD + 0.780%) (3) | 1,466,029 | 1,467,488 | ||||||||||
Series 2007-HE1, Class A2, 0.335%, 06/25/2037 (1 Month LIBOR USD + 0.150%) (3) | 309,698 | 308,662 | ||||||||||
Chase Mortgage Finance Trust: | ||||||||||||
Series 2005-A2, Class 1A5, 3.898%, 01/25/2036 (4) | 722,917 | 672,430 | ||||||||||
Series 2006-A1, Class 2A3, 4.009%, 09/25/2036 (4) | 521,511 | 458,040 | ||||||||||
Series 2007-A1, Class 2A3, 3.512%, 02/25/2037 (4) | 995,274 | 960,428 | ||||||||||
Series 2007-A1, Class 3A1, 3.925%, 02/25/2037 (4) | 2,351,359 | 2,318,452 | ||||||||||
CHL Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 (6) | 314,976 | 296,382 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 3,869,012 | 3,886,872 | ||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 (6) | 1,085,736 | 1,041,267 | ||||||||||
Citicorp Residential Mortgage Trust: | ||||||||||||
Series 2007-1, Class A6, 5.702%, 03/25/2037 (7) | 13,326 | 13,717 | ||||||||||
Series 2007-2, Class A4, 6.538%, 06/25/2037 (7) | 4,473,112 | 4,484,230 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
Series 2018-RP2, Class A1, 3.500%, 02/25/2058 (2)(4) | 28,092,983 | 29,265,843 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-AR1, Class 1A1, 3.880%, 10/25/2035 (1 Year CMT Rate + 2.400%) (3) | 7,358,804 | 7,166,690 | ||||||||||
Series 2005-9, Class 22A2, 6.000%, 10/25/2035 (6) | 2,728,532 | 2,758,640 | ||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 (6) | 39,172 | 39,040 | ||||||||||
Series 2007-AMC4, Class A2C, 0.355%, 05/25/2037 (1 Month LIBOR USD + 0.170%) (3) | 819,118 | 815,452 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 5.430%, 02/25/2033 (4)(6) | 214,437 | 200,481 | ||||||||||
Series 2006-23, Class 2A3, 0.355%, 08/25/2033 (1 Month LIBOR USD + 0.170%) (3) | 771,154 | 768,489 | ||||||||||
Series 2006-22, Class 2A3, 0.345%, 01/25/2034 (1 Month LIBOR USD + 0.160%) (3) | 3,829,037 | 3,804,488 | ||||||||||
Series 2007-11, Class 2A3, 0.375%, 04/25/2034 (1 Month LIBOR USD + 0.190%) (3) | 4,773,931 | 4,694,271 | ||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 (4) | 1,981 | 1,995 | ||||||||||
Series 2005-10, Class AF6, 4.915%, 12/25/2035 (4) | 102,334 | 105,169 | ||||||||||
Series 2006-10, Class 1AF3, 5.971%, 12/25/2035 (4) | 422,771 | 401,474 | ||||||||||
Series 2006-13, Class 1AF3, 5.944%, 01/25/2037 (4) | 5,165 | 5,155 | ||||||||||
Series 2007-9, Class 2A3, 0.365%, 06/25/2047 (1 Month LIBOR USD + 0.180%) (3) | 17,796,269 | 17,625,994 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 (6) | 12,021 | 10,407 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2007-CB4, Class A1A, 0.275%, 04/25/2037 (1 Month LIBOR USD + 0.090%) (3) | 3,049,532 | 2,930,380 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 (4) | 2,197 | 2,214 | ||||||||||
Series 2005-7, Class AF6, 4.693%, 08/25/2035 (4) | 12,243 | 12,400 | ||||||||||
Series 2006-9, Class 1AF3, 5.859%, 08/25/2036 (4)(6) | 182,704 | 173,457 | ||||||||||
Series 2006-18, Class 2A2, 0.345%, 03/25/2037 (1 Month LIBOR USD + 0.160%) (3) | 2,812,399 | 2,778,808 | ||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust: | ||||||||||||
Series 2005-1, Class 1A1, 0.685%, 02/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 5,299,676 | 5,010,863 | ||||||||||
Series 2005-2, Class 1A7, 5.340%, 04/25/2035 (4) | 7,701,582 | 7,720,453 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FF3, Class A2B, 0.385%, 02/25/2036 (1 Month LIBOR USD + 0.200%) (3) | 4,554,009 | 4,532,231 | ||||||||||
Series 2006-FF6, Class A4, 0.435%, 04/25/2036 (1 Month LIBOR USD + 0.250%) (3) | 21,435,832 | 20,753,624 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 13,186 | 12,587 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022 | 94,463 | 70,801 | ||||||||||
Series 2004-AA1, Class A1, 3.259%, 06/25/2034 (4) | 3,374,846 | 3,274,569 | ||||||||||
Series 2005-AA2, Class 2A1, 3.539%, 04/25/2035 (4) | 1,659,279 | 1,638,347 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2005-B, Class M4, 0.890%, 04/25/2035 (1 Month LIBOR USD + 0.705%) (3) | 800,373 | 798,187 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 63 | 64 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2018-RPL1, Class A1A, 3.750%, 10/25/2057 (2) | 56,147,073 | 59,126,035 | ||||||||||
GSAA Home Equity Trust: | ||||||||||||
Series 2004-6, Class A1, 0.985%, 06/25/2034 (1 Month LIBOR USD + 0.800%) (3) | 1,086,109 | 1,074,432 | ||||||||||
Series 2005-14, Class 1A1, 0.435%, 12/25/2035 (1 Month LIBOR USD + 0.250%) (3) | 11,780,564 | 11,429,787 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-AHL2, Class A2C, 0.425%, 12/25/2035 (1 Month LIBOR USD + 0.240%) (3) | 1,648,971 | 1,644,193 | ||||||||||
Series 2006-HE7, Class A2D, 0.415%, 10/25/2036 (1 Month LIBOR USD + 0.230%) (3) | 905,753 | 883,688 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 12/01/2020 | 22,554 | 22,078 | ||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 2,176,280 | 2,238,877 | ||||||||||
Series 2005-AR2, Class 2A1, 3.910%, 04/25/2035 (4) | 2,513,831 | 2,355,035 | ||||||||||
Home Equity Asset Trust, | ||||||||||||
Series 2004-7, Class A1, 0.905%, 01/25/2035 (1 Month LIBOR USD + 0.720%) (3) | 10,084,238 | 9,367,919 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-4, Class A1, 0.455%, 10/25/2035 (1 Month LIBOR USD + 0.270%) (3) | 2,987,708 | 2,986,106 | ||||||||||
HSI Asset Securitization Corp. Trust, | ||||||||||||
Series 2006-OPT4, Class 2A3, 0.345%, 03/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 1,478,081 | 1,463,933 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 1,378 | 1,371 | ||||||||||
Series 2006-A1, Class 2A1, 3.796%, 03/25/2036 (4) | 68,044 | 61,354 | ||||||||||
Series 2007-S1, Class A1, 0.465%, 06/25/2037 (1 Month LIBOR USD + 0.280%) (3) | 5,311,966 | 4,917,258 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 (6) | 4,454 | 4,553 | ||||||||||
Series 2005-A8, Class 2A3, 3.912%, 11/25/2035 (4) | 4,332,771 | 3,974,775 | ||||||||||
Series 2006-A2, Class 3A3, 3.639%, 04/25/2036 (4)(6) | 1,309,750 | 1,136,552 | ||||||||||
Series 2006-A2, Class 2A1, 3.659%, 04/25/2036 (4) | 1,115,120 | 1,064,582 | ||||||||||
Series 2006-A7, Class 2A2, 3.789%, 01/25/2037 (4)(6) | 1,813,213 | 1,622,931 | ||||||||||
Series 2006-A7, Class 2A4R, 3.789%, 01/25/2037 (4)(6) | 1,854,564 | 1,659,943 | ||||||||||
Series 2007-A2, Class 2A3, 3.944%, 04/25/2037 (4)(6) | 3,645,396 | 3,196,178 | ||||||||||
Series 2007-A4, Class 2A3, 3.813%, 06/25/2037 (4)(6) | 4,045,133 | 3,458,362 | ||||||||||
Luminent Mortgage Trust, | ||||||||||||
Series 2005-1, Class A1, 0.445%, 11/25/2035 (1 Month LIBOR USD + 0.260%) (3) | 7,084,516 | 6,511,197 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 2,086,260 | 2,175,224 | ||||||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 1,631,698 | 1,687,585 | ||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 (6) | 2,084,189 | 1,883,198 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 0.785%, 01/25/2036 (1 Month LIBOR USD + 0.600%) (3) | 852,273 | 850,934 | ||||||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||||||
Series 2005-A5, Class A3, 3.510%, 06/25/2035 (4) | 1,589,782 | 1,546,743 | ||||||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||||||
Series 2004-F, Class A1B, 0.805%, 12/25/2029 (1 Month LIBOR USD + 0.620%) (3) | 5,373,334 | 5,111,128 | ||||||||||
Mill City Mortgage Loan Trust: | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058 (2)(4) | 27,625,518 | 28,752,916 | ||||||||||
Series 2018-3, Class A1, 3.500%, 08/25/2058 (2)(4) | 15,849,835 | 16,739,045 | ||||||||||
Series 2019-1, Class A1, 3.250%, 10/25/2069 (2)(4) | 32,567,092 | 34,285,599 | ||||||||||
Morgan Stanley Capital I, Inc. Trust, | ||||||||||||
Series 2006-HE2, Class A1, 0.355%, 03/25/2036 (1 Month LIBOR USD + 0.170%) (3) | 4,634,048 | 4,562,338 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-4, Class A1, 0.465%, 10/25/2035 (1 Month LIBOR USD + 0.280%) (3) | 3,121,562 | 3,060,883 | ||||||||||
Series 2005-5, Class A1, 0.705%, 12/25/2035 (1 Month LIBOR USD + 0.520%) (3) | 3,365,690 | 3,175,442 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 0.415%, 12/25/2035 (1 Month LIBOR USD + 0.230%) (3) | 738,256 | 737,936 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2016-1A, Class A1, 3.750%, 03/25/2056 (2)(4) | 12,201,225 | 12,961,292 | ||||||||||
Series 2017-1A, Class A1, 4.000%, 02/25/2057 (2)(4) | 23,436,945 | 25,096,294 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057 (2)(4) | 19,396,570 | 20,745,082 | ||||||||||
Series 2017-6A, Class A1, 4.000%, 08/25/2057 (2)(4) | 23,681,631 | 25,251,737 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057 (2)(4) | 12,193,159 | 12,920,361 | ||||||||||
Series 2019-RPL2, Class A1, 3.250%, 02/25/2059 (2)(4) | 28,455,614 | 29,759,809 | ||||||||||
RALI Series Trust: | ||||||||||||
Series 2004-QS13, Class CB, 5.000%, 12/31/2020 | 6,925 | 6,903 | ||||||||||
Series 2005-QS5, Class A1, 0.585%, 04/25/2035 (1 Month LIBOR USD + 0.400%) (3)(6) | 1,995,090 | 1,517,453 | ||||||||||
Series 2005-QS11, Class A2, 0.685%, 07/25/2035 (1 Month LIBOR USD + 0.500%) (3) | 3,795,263 | 2,938,268 | ||||||||||
Series 2005-QA7, Class A22, 3.739%, 07/25/2035 (4)(6) | 1,707,140 | 1,603,563 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032 (4) | 1,319,249 | 1,338,066 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2007-KS1, Class A3, 0.335%, 11/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,339,727 | 1,321,384 | ||||||||||
Renaissance Home Equity Loan Trust: | ||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 (7) | 10,057 | 10,460 | ||||||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035 (7) | 681,259 | 712,618 | ||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 (7) | 15,220,541 | 8,381,571 | ||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 (7) | 10,166,752 | 5,220,374 | ||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 (7) | 278,136 | 108,714 | ||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 (7) | 1,435,659 | 439,269 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2006-OPT4, Class 2A3, 0.335%, 06/25/2036 (1 Month LIBOR USD + 0.150%) (3) | 1,119,043 | 1,115,088 | ||||||||||
Series 2006-EQ1, Class A3, 0.345%, 10/25/2036 (1 Month LIBOR USD + 0.160%) (3) | 7,706,150 | 7,629,730 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 0.855%, 10/25/2035 (1 Month LIBOR USD + 0.670%) (3) | 1,281,602 | 1,272,512 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2003-31A, Class 2A7, 3.548%, 10/25/2033 (4) | 999,313 | 968,265 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 (7) | 12,579 | 12,914 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054 (2)(4) | 2,758,082 | 2,786,071 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055 (2)(4) | 59,445 | 59,784 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055 (2)(4) | 7,559,899 | 7,755,440 | ||||||||||
Series 2016-4, Class A1, 2.250%, 07/25/2056 (2)(4) | 9,046,283 | 9,127,676 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056 (2)(4) | 2,870,674 | 2,937,303 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057 (2)(4) | 28,404,939 | 29,423,230 | ||||||||||
Series 2018-6, Class A1A, 3.750%, 03/25/2058 (2)(4) | 22,929,440 | 24,120,061 | ||||||||||
Series 2019-1, Class A1, 3.750%, 03/25/2058 (2)(4) | 12,243,436 | 13,179,097 | ||||||||||
Series 2018-4, Class A1, 3.000%, 06/25/2058 (2)(4) | 42,073,955 | 44,393,235 | ||||||||||
Series 2019-4, Class A1, 2.900%, 10/25/2059 (2)(4) | 87,456,550 | 91,995,353 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 2,104,582 | 2,164,670 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 2,730,015 | 2,834,156 | ||||||||||
Series 2005-3, Class 1CB3, 0.635%, 05/25/2035 (1 Month LIBOR USD + 0.450%) (3)(6) | 4,863,637 | 3,888,818 | ||||||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 (6) | 5,029,573 | 4,865,054 | ||||||||||
Series 2007-HY3, Class 4A1, 3.598%, 08/25/2036 (4) | 10,680,528 | 10,266,297 | ||||||||||
Series 2006-AR10, Class 1A1, 3.709%, 09/25/2036 (4)(6) | 848,723 | 777,055 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||||||
Series 2006-AR14, Class 2A3, 4.545%, 10/25/2036 (4)(6) | 1,639,489 | 1,501,387 | ||||||||||
Series 2007-7, Class A49, 6.000%, 06/25/2037 (6) | 2,613,060 | 2,390,950 | ||||||||||
Total Non-U.S. Government Agency Issues (Cost $927,600,278) | 938,304,574 | 3.5 | % | |||||||||
Total Residential Mortgage-Backed Securities (Cost $5,600,394,380) | 5,850,627,333 | 22.0 | % |
Commercial Mortgage-Backed Securities | |||||||||||
U.S. Government Agency Issues | |||||||||||
Fannie Mae REMIC Trust, | |||||||||||
Series 2017-M4, Class A2, 2.584%, 12/25/2026 (4) | 30,550,000 | 33,348,746 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | |||||||||||
Series K029, Class A2, 3.320%, 02/25/2023 | 64,407,000 | 68,494,307 | |||||||||
Series K725, Class A2, 3.002%, 01/25/2024 | 15,000,000 | 16,105,662 | |||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 73,063,198 | |||||||||
Series K038, Class A2, 3.389%, 03/25/2024 | 48,968,000 | 53,529,345 | |||||||||
Series K048, Class A2, 3.284%, 06/25/2025 (4) | 59,391,000 | 66,170,785 | |||||||||
Series K050, Class A2, 3.334%, 08/25/2025 (4) | 82,951,000 | 92,860,360 | |||||||||
Series K734, Class A2, 3.208%, 02/25/2026 | 45,125,000 | 50,441,948 | |||||||||
Series K061, Class A2, 3.347%, 11/25/2026 (4) | 57,140,000 | 65,187,186 | |||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 1,000,000 | 1,137,172 | |||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 19,028,732 | |||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 12,000,000 | 13,967,491 | |||||||||
Series K074, Class A2, 3.600%, 01/25/2028 | 36,495,000 | 42,765,658 | |||||||||
Series K077, Class A2, 3.850%, 05/25/2028 (4) | 46,199,000 | 55,085,840 | |||||||||
Series K079, Class A2, 3.926%, 06/25/2028 | 63,251,000 | 76,005,526 | |||||||||
Series K080, Class A2, 3.926%, 07/25/2028 (4) | 56,820,000 | 68,179,773 | |||||||||
Series K158, Class A3, 3.900%, 10/25/2033 (4) | 18,777,000 | 23,706,736 | |||||||||
Total U.S. Government Agency Issues (Cost $749,495,459) | 819,078,465 | 3.1 | % | ||||||||
Non-U.S. Government Agency Issues | |||||||||||
BANK: | |||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 30,037,000 | 33,769,106 | |||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 63,906,751 | 71,814,662 | |||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 32,737,000 | 36,836,458 | |||||||||
Citigroup Commercial Mortgage Trust: | |||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 2,689,848 | 2,877,195 | |||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 50,189,111 | 53,293,222 | |||||||||
Series 2015-GC29, Class A4, 3.192%, 04/10/2048 | 25,030,000 | 26,810,754 | |||||||||
Series 2016-C2, Class A4, 2.832%, 08/12/2049 | 33,387,000 | 35,558,911 | |||||||||
Series 2017-P8, Class A4, 3.465%, 09/16/2050 | 29,775,000 | 33,351,740 | |||||||||
COMM Mortgage Trust: | |||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 24,224,935 | 24,740,636 | |||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045 | 26,979,223 | 28,590,031 | |||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 35,388,000 | 36,382,870 | |||||||||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 14,680,000 | 15,057,953 | |||||||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (4) | 11,500,000 | 12,443,631 | |||||||||
Series 2014-CR18, Class A4, 3.550%, 07/17/2047 | 5,665,844 | 6,062,927 | |||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 33,800,000 | 36,806,990 | |||||||||
Series 2014-CR20, Class ASB, 3.305%, 11/13/2047 | 25,598,159 | 26,534,886 | |||||||||
Series 2015-LC19, Class A4, 3.183%, 02/10/2048 | 26,615,399 | 28,568,900 | |||||||||
Series 2015-DC1, Class A5, 3.350%, 02/12/2048 | 23,390,000 | 25,208,397 | |||||||||
DBUBS Mortgage Trust, | |||||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 1,388,555 | 1,415,494 | |||||||||
GS Mortgage Securities Trust: | |||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 17,924,873 | 18,107,397 | |||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 40,568,791 | 41,246,090 | |||||||||
Series 2013-GC13, Class A4, 3.871%, 07/12/2046 (4) | 14,700,000 | 15,486,913 | |||||||||
Series 2014-GC20, Class AAB, 3.655%, 04/12/2047 | 18,727,003 | 19,473,636 | |||||||||
Series 2014-GC20, Class A5, 3.998%, 04/12/2047 | 9,959,000 | 10,772,927 | |||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | |||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 31,025,000 | 32,139,160 | |||||||||
Series 2013-LC11, Class A4, 2.694%, 04/17/2046 | 4,598,963 | 4,728,740 | |||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/17/2047 | 1,879,595 | 1,901,612 | |||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 11,028,744 | 11,208,007 | |||||||||
JPMBB Commercial Mortgage Securities Trust: | |||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 7,332,725 | 7,893,676 | |||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 8,714,507 | 9,355,395 | |||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 10,621,993 | 11,080,699 | |||||||||
Series 2014-C25, Class A5, 3.672%, 11/18/2047 | 45,697,000 | 49,500,174 | |||||||||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 | 42,110,000 | 46,444,681 | |||||||||
Series 2016-C4, Class A3, 3.141%, 12/17/2049 | 29,133,000 | 31,705,572 | |||||||||
JPMCC Commercial Mortgage Securities Trust, | |||||||||||
Series 2017-JP7, Class A5, 3.454%, 09/16/2050 | 27,356,184 | 30,469,091 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 41,590,000 | 42,508,332 | |||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 28,294,742 | 29,063,855 | |||||||||
Series 2013-C10, Class A3, 4.103%, 07/17/2046 (4) | 39,931,311 | 42,664,022 | |||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 13,728,391 | 14,558,564 | |||||||||
Series 2014-C16, Class A5, 3.892%, 06/17/2047 | 35,020,000 | 37,712,394 | |||||||||
Series 2015-C25, Class ASB, 3.383%, 10/19/2048 | 29,047,000 | 30,530,840 | |||||||||
Series 2016-C30, Class A5, 2.860%, 09/17/2049 | 9,062,000 | 9,665,429 | |||||||||
Wells Fargo Commercial Mortgage Trust: | |||||||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 14,094,930 | 14,572,413 | |||||||||
Series 2016-C35, Class ASB, 2.788%, 07/17/2048 | 11,425,000 | 11,893,472 | |||||||||
Series 2016-BNK1, Class A3, 2.652%, 08/17/2049 | 7,952,000 | 8,335,950 | |||||||||
Series 2017-C42, Class A4, 3.589%, 12/16/2050 | 52,370,521 | 58,901,727 | |||||||||
Series 2017-RC1, Class A4, 3.631%, 01/15/2060 | 11,875,000 | 13,206,506 | |||||||||
WFRBS Commercial Mortgage Trust: | |||||||||||
Series 2013-C11, Class A5, 3.071%, 03/17/2045 | 14,324,000 | 14,804,219 | |||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 18,616,656 | 18,917,828 | |||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 22,050,000 | 23,419,437 | |||||||||
Series 2014-C21, Class ASB, 3.393%, 08/16/2047 | 10,446,290 | 10,795,590 | |||||||||
Series 2014-C24, Class A5, 3.607%, 11/18/2047 | 43,091,000 | 46,304,490 | |||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 9,144,154 | 9,574,458 | |||||||||
Total Non-U.S. Government Agency Issues (Cost $1,265,741,893) | 1,315,068,059 | 5.0 | % | ||||||||
Total Commercial Mortgage-Backed Securities (Cost $2,015,237,352) | 2,134,146,524 | 8.1 | % | ||||||||
Asset Backed Securities | |||||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 9,096,378 | |||||||||
Conseco Financial Corp.: | |||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 55,204 | 56,335 | |||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 33,163 | 33,743 | |||||||||
Ford Credit Auto Owner Trust: | |||||||||||
Series 2019-1, Class A, 3.520%, 07/15/2030 (2) | 29,300,000 | 31,342,919 | |||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031 (2) | 28,641,000 | 30,669,757 | |||||||||
Oakwood Mortgage Investors, Inc., | |||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 6,709 | 6,813 | |||||||||
PFS Financing Corp., | |||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023 (2) | 32,525,000 | 33,052,653 | |||||||||
Santander Retail Auto Lease Trust, | |||||||||||
Series 2018-A, Class A3, 2.930%, 05/20/2021 (2) | 8,128,614 | 8,145,520 | |||||||||
SoFi Consumer Loan Program LLC: | |||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026 (2) | 2,780,886 | 2,807,529 | |||||||||
Series 2017-5, Class A2, 2.780%, 09/25/2026 (2) | 15,718,578 | 15,875,473 | |||||||||
Synchrony Card Funding LLC, | |||||||||||
Series 2019-A1, Class A, 2.950%, 03/15/2025 | 16,745,000 | 17,346,859 | |||||||||
Towd Point Mortgage Trust: | |||||||||||
Series 2020-MH1, Class A1A, 2.184%, 02/25/2060 (2)(4) | 59,454,657 | 60,208,798 | |||||||||
Series 2020-MH1, Class A1, 2.250%, 02/25/2060 (2)(4) | 43,180,657 | 43,794,729 | |||||||||
Toyota Auto Loan Extended Note Trust: | |||||||||||
Series 2019-1A, Class A, 2.560%, 11/25/2031 (2) | 62,085,050 | 66,078,981 | |||||||||
Series 2020-1A, Class A, 1.350%, 05/25/2033 (2) | 42,408,000 | 43,043,556 | |||||||||
World Financial Network Credit Card Master Trust, | |||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 20,102,000 | 20,288,848 | |||||||||
Total Asset Backed Securities (Cost $368,465,746) | 381,848,891 | 1.4 | % | ||||||||
COMMON STOCK | Shares | ||||||||||
Industrials | |||||||||||
Weatherford International PLC (1) | 46,003 | 90,626 | |||||||||
Total Common Stock (Cost $3,790,590) | 90,626 | 0.0 | % | ||||||||
Total Long-Term Investments (Cost $24,009,647,587) | 25,615,116,792 | 96.4 | % | ||||||||
SHORT-TERM INVESTMENT | |||||||||||
Money Market Mutual Fund | |||||||||||
First American Government Obligations Fund, Class U, 0.11% (5) | 1,145,553,605 | 1,145,553,605 | |||||||||
Total Short-Term Investment (Cost $1,145,553,605) | 1,145,553,605 | 4.3 | % | ||||||||
Total Investments (Cost $25,155,201,192) | 26,760,670,397 | 100.7 | % | ||||||||
Liabilities in Excess of Other Assets | (175,110,058 | ) | (0.7 | )% | |||||||
TOTAL NET ASSETS | $26,585,560,339 | 100.0 | % |
Notes to Schedule of Investments | |
CMT - Constant Maturity Treasury | |
LIBOR - London Inter-bank Offered Rate | |
SOFR - Secured Overnight Financing Rate | |
(1) | Foreign security. |
(2) | Security as defined in Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $5,310,230,525, which represents 19.97% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2020. |
(5) | Seven-day yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(8) | Security or a portion of the security, purchased on a when-issued or delayed delivery basis. |
(9) | Security in default. |
Baird Short-Term Municipal Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Community College System, | ||||||||||||
3.500%, 11/01/2023 (Insured by BAM) | $ | 1,050,000 | $ | 1,142,925 | ||||||||
Alabama Housing Finance Authority, | ||||||||||||
1.500%, 11/01/2022 (Mandatory Tender Date 05/01/2022) (1) | 775,000 | 784,967 | ||||||||||
Alabama Incentives Financing Authority, | ||||||||||||
5.000%, 09/01/2023 | 650,000 | 737,133 | ||||||||||
Alabama Special Care Facilities Financing Authority, | ||||||||||||
1.850%, 11/15/2046 (Mandatory Tender Date 11/01/2022) (1) | 340,000 | 349,768 | ||||||||||
Birmingham Airport Authority: | ||||||||||||
5.000%, 07/01/2024 (Insured by BAM) (6) | 190,000 | 218,783 | ||||||||||
5.000%, 07/01/2025 (Insured by BAM) (6) | 500,000 | 591,195 | ||||||||||
5.000%, 07/01/2026 (Insured by BAM) (6) | 450,000 | 542,907 | ||||||||||
Birmingham-Jefferson Civic Center Authority: | ||||||||||||
5.000%, 05/01/2024 | 430,000 | 486,958 | ||||||||||
5.000%, 05/01/2026 | 500,000 | 592,795 | ||||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 04/01/2026 | 370,000 | 423,432 | ||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 1,470,000 | 1,508,543 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 795,000 | 840,633 | ||||||||||
1.015%, 12/01/2048 (1 Month LIBOR USD + 0.900%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 1,500,000 | 1,478,055 | ||||||||||
Calera Waterworks Board, | ||||||||||||
2.400%, 02/01/2026 (Callable 07/31/2020) | 485,000 | 485,378 | ||||||||||
Chilton County Health Care Authority: | ||||||||||||
3.000%, 11/01/2021 | 560,000 | 575,439 | ||||||||||
5.000%, 11/01/2024 | 825,000 | 961,488 | ||||||||||
City of Opelika AL, | ||||||||||||
3.000%, 10/01/2022 | 445,000 | 467,134 | ||||||||||
City of Phenix AL: | ||||||||||||
3.000%, 08/15/2021 (Insured by BAM) | 385,000 | 393,547 | ||||||||||
3.000%, 08/15/2022 (Insured by BAM) | 500,000 | 520,295 | ||||||||||
3.000%, 08/15/2023 (Insured by BAM) | 100,000 | 105,797 | ||||||||||
County of Jefferson AL, | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 750,000 | 676,748 | ||||||||||
County of Morgan AL: | ||||||||||||
3.000%, 04/01/2022 | 135,000 | 139,593 | ||||||||||
4.000%, 04/01/2023 | 210,000 | 228,440 | ||||||||||
4.000%, 04/01/2024 | 220,000 | 245,535 | ||||||||||
Douglas Water Authority, | ||||||||||||
3.000%, 07/01/2024 (Insured by AGM) | 270,000 | 292,353 | ||||||||||
Greenville Public Improvement Cooperative District: | ||||||||||||
4.000%, 03/01/2022 (Insured by BAM) | 25,000 | 26,354 | ||||||||||
4.000%, 03/01/2023 (Insured by BAM) | 100,000 | 108,583 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 140,000 | 161,190 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 100,000 | 104,079 | ||||||||||
Lauderdale County Agriculture Center Authority: | ||||||||||||
2.000%, 07/01/2020 | 430,000 | 430,000 | ||||||||||
2.000%, 07/01/2021 | 440,000 | 446,512 | ||||||||||
2.000%, 07/01/2022 | 450,000 | 457,263 | ||||||||||
5.000%, 07/01/2024 | 495,000 | 566,795 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 490,000 | 558,076 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 545,000 | 616,727 | ||||||||||
5.000%, 07/01/2027 (Callable 07/01/2024) | 570,000 | 640,982 | ||||||||||
5.000%, 07/01/2028 (Callable 07/01/2024) | 600,000 | 671,082 | ||||||||||
Macon County Board of Education, | ||||||||||||
3.250%, 02/01/2026 (Callable 02/01/2023) | 375,000 | 391,388 | ||||||||||
Mobile County Board of School Commissioners, | ||||||||||||
5.000%, 03/01/2023 | 875,000 | 972,886 | ||||||||||
Montgomery Waterworks & Sanitation, | ||||||||||||
5.000%, 03/01/2025 (Pre-refunded to 03/01/2022) | 150,000 | 161,796 | ||||||||||
Morgan County Board of Education: | ||||||||||||
2.500%, 03/01/2025 (Callable 03/01/2022) | 1,165,000 | 1,195,488 | ||||||||||
2.700%, 03/01/2027 (Callable 03/01/2022) | 865,000 | 886,694 | ||||||||||
Pickens County Water Authority: | ||||||||||||
3.000%, 01/01/2021 (Insured by BAM) | 145,000 | 146,588 | ||||||||||
3.000%, 01/01/2022 (Insured by BAM) | 145,000 | 149,629 | ||||||||||
3.000%, 01/01/2023 (Insured by BAM) | 155,000 | 162,967 | ||||||||||
3.000%, 01/01/2024 (Insured by BAM) | 100,000 | 106,908 | ||||||||||
3.000%, 01/01/2025 (Insured by BAM) | 160,000 | 173,339 | ||||||||||
Southeast Alabama Gas Supply District, | ||||||||||||
0.760%, 04/01/2049 (SIFMA Municipal Swap Index + 0.650%) (Callable 01/01/2024)(Mandatory Tender Date 04/01/2024) (2) | 2,000,000 | 1,951,860 | ||||||||||
Town of Berry AL, | ||||||||||||
3.250%, 09/01/2028 (Callable 09/01/2026)(Insured by AGM) | 1,040,000 | 1,114,412 | ||||||||||
West Escambia Utilities, Inc., | ||||||||||||
2.400%, 08/15/2025 (Callable 08/15/2022)(Insured by BAM) | 760,000 | 780,497 | ||||||||||
Total Alabama (Cost $27,460,290) | 27,771,936 | 2.4 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
5.000%, 12/01/2020 | 15,000 | 15,290 | ||||||||||
3.750%, 12/01/2042 (Callable 06/01/2028) | 9,220,000 | 10,178,235 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,265,000 | 1,391,272 | ||||||||||
Alaska Industrial Development & Export Authority: | ||||||||||||
3.500%, 12/01/2020 (Callable 07/31/2020) | 1,550,000 | 1,552,991 | ||||||||||
5.000%, 10/01/2022 | 550,000 | 598,978 | ||||||||||
5.000%, 10/01/2023 | 600,000 | 675,774 | ||||||||||
Borough of Matanuska-Susitna AK, | ||||||||||||
5.250%, 09/01/2027 (Callable 09/01/2025) | 5,590,000 | 6,617,386 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 01/01/2021 | 810,000 | 825,212 | ||||||||||
University of Alaska: | ||||||||||||
4.000%, 10/01/2025 | 330,000 | 346,807 | ||||||||||
4.000%, 10/01/2026 (Callable 10/01/2023) | 1,400,000 | 1,441,678 | ||||||||||
Total Alaska (Cost $23,312,592) | 23,643,623 | 2.0 | % | |||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
1.960%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/05/2022)(Mandatory Tender Date 02/01/2023) (2) | 200,000 | 203,780 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2020 (Insured by SD CRED PROG) | 160,000 | 160,000 | ||||||||||
5.000%, 11/01/2020 | 165,000 | 167,493 | ||||||||||
3.375%, 07/01/2021 (3) | 185,000 | 186,003 | ||||||||||
4.000%, 07/01/2021 (Insured by SD CRED PROG) | 165,000 | 169,650 | ||||||||||
5.000%, 11/01/2021 | 225,000 | 237,602 | ||||||||||
2.500%, 05/01/2022 (Insured by AGM) (3) | 8,655,778 | 8,736,883 | ||||||||||
4.000%, 05/01/2022 | 300,000 | 302,202 | ||||||||||
3.000%, 07/01/2022 (3) | 100,000 | 100,059 | ||||||||||
5.000%, 11/01/2022 | 400,000 | 436,600 | ||||||||||
5.000%, 02/01/2023 | 1,000,000 | 1,107,790 | ||||||||||
4.000%, 08/01/2023 (3) | 705,000 | 713,544 | ||||||||||
5.000%, 11/01/2023 | 250,000 | 281,607 | ||||||||||
5.000%, 11/01/2024 | 660,000 | 763,726 | ||||||||||
5.000%, 05/01/2025 | 405,000 | 426,299 | ||||||||||
4.625%, 08/01/2028 (3) | 375,000 | 390,510 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 885,000 | 966,093 | ||||||||||
Arizona Transportation Board, | ||||||||||||
5.000%, 07/01/2020 | 2,000,000 | 2,000,000 | ||||||||||
Chandler Industrial Development Authority, | ||||||||||||
2.400%, 12/01/2035 (Mandatory Tender Date 08/14/2023) (1) | 265,000 | 274,996 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/31/2020) | 50,000 | 50,179 | ||||||||||
Glendale Industrial Development Authority: | ||||||||||||
5.250%, 05/15/2021 | 500,000 | 513,970 | ||||||||||
5.250%, 05/15/2022 | 550,000 | 582,312 | ||||||||||
4.000%, 05/15/2026 (Callable 05/15/2024) | 115,000 | 121,378 | ||||||||||
Industrial Development Authority of the County of Pima: | ||||||||||||
4.000%, 07/01/2021 | 245,000 | 251,164 | ||||||||||
4.000%, 07/01/2022 | 105,000 | 109,548 | ||||||||||
4.000%, 07/01/2023 | 265,000 | 281,109 | ||||||||||
La Paz County Industrial Development Authority, | ||||||||||||
5.000%, 02/15/2021 (3) | 100,000 | 102,305 | ||||||||||
Maricopa County Industrial Development Authority: | ||||||||||||
2.625%, 07/01/2021 | 40,000 | 39,815 | ||||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 135,000 | 150,340 | ||||||||||
5.000%, 01/01/2048 (Mandatory Tender Date 10/18/2024) (1) | 1,020,000 | 1,178,232 | ||||||||||
Salt Verde Financial Corp., | ||||||||||||
5.250%, 12/01/2026 | 2,500,000 | 3,029,875 | ||||||||||
Vistancia Community Facilities District, | ||||||||||||
5.000%, 07/15/2021 (Callable 07/31/2020) | 165,000 | 165,624 | ||||||||||
Total Arizona (Cost $23,992,184) | 24,200,688 | 2.1 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2026 (Callable 06/01/2023) | 200,000 | 213,796 | ||||||||||
City of Conway AR, | ||||||||||||
4.000%, 12/01/2023 (Callable 06/01/2022) | 35,000 | 37,248 | ||||||||||
City of Fayetteville AR: | ||||||||||||
1.750%, 11/01/2032 (Callable 11/01/2026) | 2,500,000 | 2,617,550 | ||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 615,000 | 638,253 | ||||||||||
City of Heber Springs AR: | ||||||||||||
3.000%, 11/01/2021 (Insured by BAM) | 55,000 | 56,918 | ||||||||||
3.000%, 11/01/2022 (Insured by BAM) | 50,000 | 52,706 | ||||||||||
3.000%, 11/01/2023 (Insured by BAM) | 40,000 | 42,870 | ||||||||||
City of Hot Springs AR: | ||||||||||||
3.000%, 10/01/2023 (Insured by BAM) (6) | 510,000 | 547,184 | ||||||||||
3.000%, 10/01/2024 (Insured by BAM) (6) | 1,110,000 | 1,208,413 | ||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by BAM) | 255,000 | 281,428 | ||||||||||
City of Jacksonville AR, | ||||||||||||
4.000%, 12/01/2025 (Callable 06/01/2021) | 110,000 | 113,285 | ||||||||||
City of Little Rock AR: | ||||||||||||
3.000%, 10/01/2021 | 100,000 | 103,346 | ||||||||||
2.375%, 04/01/2028 (Callable 10/01/2022) | 130,000 | 134,209 | ||||||||||
City of Lonoke AR, | ||||||||||||
5.000%, 06/01/2023 | 160,000 | 180,602 | ||||||||||
City of Magnolia AR, | ||||||||||||
2.600%, 08/01/2036 (Callable 08/01/2024)(Insured by BAM) | 520,000 | 523,760 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 240,000 | 245,431 | ||||||||||
City of Maumelle AR, | ||||||||||||
2.875%, 08/01/2038 (Callable 08/01/2025) | 485,000 | 490,864 | ||||||||||
City of North Little Rock AR: | ||||||||||||
5.000%, 11/01/2021 | 310,000 | 328,005 | ||||||||||
5.000%, 11/01/2024 | 305,000 | 358,570 | ||||||||||
5.000%, 11/01/2025 | 510,000 | 615,483 | ||||||||||
5.000%, 11/01/2026 | 535,000 | 660,185 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 510,000 | 539,468 | ||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,615,000 | 1,706,974 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 350,000 | 366,804 | ||||||||||
City of Springdale AR: | ||||||||||||
5.000%, 11/01/2025 (Pre-refunded to 11/01/2022) | 150,000 | 165,990 | ||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 735,000 | 737,227 | ||||||||||
Conway Health Facilities Board: | ||||||||||||
5.000%, 08/01/2021 | 450,000 | 469,237 | ||||||||||
5.000%, 08/01/2023 | 500,000 | 559,700 | ||||||||||
5.000%, 08/01/2024 | 410,000 | 473,005 | ||||||||||
County of Cross AR, | ||||||||||||
2.250%, 10/01/2030 (Callable 10/01/2024) | 1,525,000 | 1,587,555 | ||||||||||
Dumas Arkansas School District No. 6: | ||||||||||||
1.400%, 02/01/2022 (Insured by ST AID) | 235,000 | 238,064 | ||||||||||
1.450%, 02/01/2023 (Callable 08/01/2022)(Insured by ST AID) | 245,000 | 249,266 | ||||||||||
1.500%, 02/01/2024 (Callable 08/01/2022)(Insured by ST AID) | 245,000 | 249,182 | ||||||||||
Foreman School District No. 25, | ||||||||||||
2.250%, 02/01/2024 (Callable 07/31/2020)(Insured by ST AID) | 250,000 | 250,292 | ||||||||||
Jackson County Special School District, | ||||||||||||
1.500%, 02/01/2022 (Insured by ST AID) | 175,000 | 177,557 | ||||||||||
Lonoke White Public Water Authority, | ||||||||||||
3.000%, 12/01/2022 (Insured by BAM) | 100,000 | 105,052 | ||||||||||
National Park College District: | ||||||||||||
3.000%, 05/01/2021 | 210,000 | 214,097 | ||||||||||
3.000%, 05/01/2022 | 115,000 | 119,609 | ||||||||||
3.000%, 05/01/2023 | 65,000 | 68,868 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2024 (Callable 09/01/2022)(Insured by BAM) | 375,000 | 402,371 | ||||||||||
Pulaski County Special School District, | ||||||||||||
3.250%, 02/01/2029 (Pre-refunded to 02/01/2021)(Insured by ST AID) | 50,000 | 50,802 | ||||||||||
Southern Arkansas University: | ||||||||||||
4.000%, 03/01/2023 (Insured by AGM) | 465,000 | 505,683 | ||||||||||
4.000%, 03/01/2023 (Insured by AGM) | 235,000 | 254,909 | ||||||||||
4.000%, 03/01/2024 (Insured by AGM) | 245,000 | 273,726 | ||||||||||
4.000%, 03/01/2024 (Insured by AGM) | 175,000 | 194,847 | ||||||||||
Van Buren School District No. 42: | ||||||||||||
2.000%, 04/01/2022 (Insured by ST AID) | 250,000 | 255,545 | ||||||||||
2.000%, 04/01/2024 (Insured by ST AID) | 130,000 | 134,592 | ||||||||||
Total Arkansas (Cost $19,172,936) | 19,800,528 | 1.7 | % | |||||||||
California | ||||||||||||
Allan Hancock Joint Community College District, | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2022) | 225,000 | 103,007 | ||||||||||
Bay Area Toll Authority, | ||||||||||||
0.757%, 04/01/2045 (3 Month LIBOR USD + 0.550%) (Callable 10/01/2020)(Mandatory Tender Date 04/01/2021) (2) | 500,000 | 497,265 | ||||||||||
Beaumont Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2026)(Insured by AGM) (7) | 150,000 | 195,481 | ||||||||||
California Infrastructure & Economic Development Bank: | ||||||||||||
0.496%, 08/01/2047 (1 Month LIBOR USD + 0.380%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 150,000 | 148,990 | ||||||||||
1.750%, 08/01/2055 (Callable 02/01/2026)(Mandatory Tender Date 08/01/2026) (1) | 1,000,000 | 1,018,370 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
5.000%, 08/01/2020 | 580,000 | 581,027 | ||||||||||
5.000%, 08/01/2021 | 400,000 | 408,004 | ||||||||||
5.000%, 08/01/2021 | 610,000 | 623,780 | ||||||||||
0.375%, 09/01/2021 (Mandatory Tender Date 07/01/2020) (1) | 3,000,000 | 3,000,000 | ||||||||||
5.000%, 08/01/2022 | 400,000 | 414,124 | ||||||||||
5.000%, 08/01/2022 | 640,000 | 665,875 | ||||||||||
5.000%, 08/01/2023 | 670,000 | 707,111 | ||||||||||
California State University, | ||||||||||||
4.000%, 11/01/2049 (Callable 05/01/2021)(Mandatory Tender Date 11/01/2021) (1) | 75,000 | 77,071 | ||||||||||
California Statewide Communities Development Authority: | ||||||||||||
6.000%, 01/01/2021 (ETM) | 165,000 | 167,257 | ||||||||||
3.500%, 11/01/2021 (Callable 07/21/2020)(Insured by CA MTG) | 55,000 | 57,065 | ||||||||||
3.000%, 07/01/2026 (Callable 01/01/2021)(Insured by CA MTG) | 625,000 | 628,575 | ||||||||||
0.463%, 04/01/2028 (Insured by NATL) (1)(5) | 400,000 | 400,000 | ||||||||||
Centinela Valley Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2022)(Insured by AGM) | 370,000 | 152,503 | ||||||||||
Central School District, | ||||||||||||
0.000%, 08/01/2051 (Callable 08/01/2022) | 400,000 | 67,508 | ||||||||||
Ceres Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Pre-refunded to 08/01/2020) | 300,000 | 111,738 | ||||||||||
City & County of San Francisco CA, | ||||||||||||
1.300%, 07/01/2023 (Mandatory Tender Date 01/01/2023) (1) | 560,000 | 566,586 | ||||||||||
City of El Cerrito CA, | ||||||||||||
3.000%, 07/01/2021 | 2,000,000 | 2,042,600 | ||||||||||
City of Redding CA, | ||||||||||||
0.460%, 07/01/2022 (ETM)(Insured by NATL) (1)(5) | 95,000 | 95,000 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 105,000 | 100,345 | ||||||||||
Corona-Norco Unified School District, | ||||||||||||
0.000%, 08/01/2024 (7) | 30,000 | 33,704 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 2,435,000 | 2,681,666 | ||||||||||
Emery Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2023) | 505,000 | 190,405 | ||||||||||
Folsom Cordova Unified School District School Facilities Improvement Dist No. 3, | ||||||||||||
0.000%, 10/01/2020 (Insured by AGC) | 220,000 | 219,756 | ||||||||||
Fresno Unified School District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2021) | 200,000 | 135,720 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2021) | 225,000 | 142,310 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2021) | 65,000 | 35,540 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2023)(Insured by BAM) | 75,000 | 41,641 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2021) | 310,000 | 135,861 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2023)(Insured by BAM) | 645,000 | 334,110 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2021) | 100,000 | 40,782 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2023)(Insured by BAM) | 400,000 | 193,460 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 150,000 | 67,671 | ||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 665,000 | 279,925 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2023)(Insured by BAM) | 650,000 | 221,566 | ||||||||||
0.000%, 08/01/2040 (Callable 08/01/2023)(Insured by BAM) | 805,000 | 255,684 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2021) | 1,480,000 | 371,480 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2021) | 1,075,000 | 269,825 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 295,270 | ||||||||||
0.000%, 08/01/2044 (Callable 08/01/2023) | 1,000,000 | 234,700 | ||||||||||
Glendale Unified School District: | ||||||||||||
0.000%, 09/01/2030 (Callable 09/01/2021) | 350,000 | 195,657 | ||||||||||
0.000%, 09/01/2041 (Callable 09/01/2021) | 500,000 | 125,440 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2023 | 590,000 | 659,231 | ||||||||||
Healdsburg Unified School District, | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2022) | 90,000 | 53,524 | ||||||||||
Lemoore Union High School District, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 30,000 | 29,641 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2021)(Insured by AGM) | 65,000 | 23,566 | ||||||||||
Merced Union High School District, | ||||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2021) | 100,000 | 16,703 | ||||||||||
Morongo Unified School District, | ||||||||||||
0.000%, 08/01/2039 (Pre-refunded to 08/01/2022) | 170,000 | 60,282 | ||||||||||
Oro Grande Elementary School District: | ||||||||||||
4.000%, 09/15/2020 | 750,000 | 754,133 | ||||||||||
4.000%, 09/15/2021 | 1,595,000 | 1,642,706 | ||||||||||
4.000%, 09/15/2022 | 1,975,000 | 2,076,219 | ||||||||||
Piedmont Unified School District: | ||||||||||||
0.000%, 08/01/2029 (Callable 08/01/2023) | 200,000 | 138,916 | ||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023) | 975,000 | 432,159 | ||||||||||
0.000%, 08/01/2037 (Callable 08/01/2023) | 400,000 | 165,960 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2023) | 150,000 | 58,293 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2023) | 420,000 | 152,796 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2035 (Pre-refunded to 09/01/2021)(Insured by AGM) | 200,000 | 69,698 | ||||||||||
Ripon Unified School District: | ||||||||||||
0.000%, 08/01/2025 (Callable 08/01/2023)(Insured by BAM) | 60,000 | 53,426 | ||||||||||
0.000%, 08/01/2026 (Callable 08/01/2023)(Insured by BAM) | 35,000 | 29,585 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by BAM) | 585,000 | 297,215 | ||||||||||
Rosemead School District: | ||||||||||||
0.000%, 08/01/2032 (Callable 08/01/2023)(Insured by AGM) | 495,000 | 280,650 | ||||||||||
0.000%, 08/01/2033 (Callable 08/01/2023)(Insured by AGM) | 700,000 | 369,341 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2023)(Insured by AGM) | 735,000 | 334,293 | ||||||||||
Roseville Natural Gas Financing Authority, | ||||||||||||
5.000%, 02/15/2023 | 330,000 | 359,835 | ||||||||||
Sacramento City Unified School District: | ||||||||||||
5.000%, 07/01/2022 | 100,000 | 107,869 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2022) | 120,000 | 128,792 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 725,000 | 829,980 | ||||||||||
0.000%, 07/01/2026 (Insured by AGM) | 300,000 | 275,283 | ||||||||||
San Joaquin Hills Transportation Corridor Agency, | ||||||||||||
0.000%, 01/15/2025 (Insured by NATL) | 90,000 | 80,195 | ||||||||||
San Mateo Union High School District: | ||||||||||||
0.000%, 09/01/2033 (Callable 09/01/2021) | 100,000 | 44,626 | ||||||||||
5.000%, 12/15/2043 (Pre-refunded to 12/15/2024)(Insured by AMBAC) (7) | 480,000 | 575,467 | ||||||||||
San Ysidro School District, | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 300,000 | 62,652 | ||||||||||
State of California, | ||||||||||||
0.814%, 12/01/2028 (1 Month LIBOR USD + 0.700%) (Callable 07/21/2020)(Mandatory Tender Date 12/01/2020) (2) | 100,000 | 100,004 | ||||||||||
Sutter Union High School District, | ||||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 250,000 | 39,605 | ||||||||||
Twin Rivers Unified School District: | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 02/01/2024)(Insured by BAM) | 275,000 | 131,472 | ||||||||||
0.000%, 08/01/2036 (Pre-refunded to 02/01/2024)(Insured by BAM) | 85,000 | 37,962 | ||||||||||
University of California, | ||||||||||||
1.400%, 05/15/2046 (Callable 11/15/2020)(Mandatory Tender Date 05/15/2021) (1) | 330,000 | 330,726 | ||||||||||
Vallejo City Unified School District, | ||||||||||||
5.900%, 08/01/2025 (Insured by NATL) | 500,000 | 566,715 | ||||||||||
Victor Valley Union High School District, | ||||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2023) | 1,000,000 | 298,850 | ||||||||||
Western Placer Unified School District: | ||||||||||||
2.000%, 06/01/2025 (Callable 06/01/2023) | 1,625,000 | 1,665,170 | ||||||||||
2.000%, 06/01/2025 (Callable 06/01/2023) | 3,300,000 | 3,367,254 | ||||||||||
Westminster School District: | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2023)(Insured by BAM) | 190,000 | 80,875 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2023)(Insured by BAM) | 600,000 | 222,384 | ||||||||||
0.000%, 08/01/2048 (Callable 08/01/2023)(Insured by BAM) | 2,065,000 | 358,773 | ||||||||||
0.000%, 08/01/2053 (Callable 08/01/2023)(Insured by BAM) | 445,000 | 52,479 | ||||||||||
Total California (Cost $36,213,863) | 36,746,760 | 3.2 | % |
Colorado | ||||||||||||
Bromley Park Metropolitan District No. 2: | ||||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 200,000 | 235,432 | ||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 315,000 | 380,211 | ||||||||||
City & County of Denver CO, | ||||||||||||
5.000%, 11/15/2031 (Mandatory Tender Date 11/15/2022) (1) | 3,275,000 | 3,592,446 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
4.000%, 10/01/2020 | 125,000 | 126,063 | ||||||||||
5.000%, 10/01/2020 | 435,000 | 438,162 | ||||||||||
5.000%, 12/01/2020 | 300,000 | 304,740 | ||||||||||
4.000%, 11/01/2021 | 50,000 | 52,018 | ||||||||||
4.000%, 12/01/2021 | 100,000 | 104,547 | ||||||||||
5.000%, 12/01/2021 | 80,000 | 84,249 | ||||||||||
4.000%, 03/01/2022 | 45,000 | 47,245 | ||||||||||
5.000%, 12/01/2022 | 200,000 | 218,078 | ||||||||||
4.000%, 04/01/2023 | 95,000 | 99,341 | ||||||||||
5.000%, 10/01/2023 | 1,360,000 | 1,466,923 | ||||||||||
5.000%, 10/01/2024 | 2,165,000 | 2,377,949 | ||||||||||
5.250%, 03/01/2025 (Insured by NATL) | 840,000 | 969,772 | ||||||||||
4.000%, 12/15/2025 | 800,000 | 835,880 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | 3,000,000 | 2,967,840 | ||||||||||
5.000%, 12/01/2023 (Callable 12/01/2022) | 1,000,000 | 1,054,820 | ||||||||||
5.000%, 05/15/2025 (Callable 05/15/2023) | 320,000 | 324,246 | ||||||||||
5.000%, 12/01/2025 (Callable 12/01/2022) | 1,600,000 | 1,683,104 | ||||||||||
4.000%, 12/01/2026 (Pre-refunded to 06/01/2022) | 1,535,000 | 1,642,389 | ||||||||||
5.000%, 12/01/2027 (Callable 12/01/2022) | 300,000 | 314,436 | ||||||||||
5.000%, 11/15/2036 (Mandatory Tender Date 11/15/2023) (1) | 145,000 | 166,222 | ||||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 1,755,000 | 1,898,489 | ||||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 180,000 | 201,145 | ||||||||||
2.800%, 05/15/2042 (Callable 11/15/2022)(Mandatory Tender Date 05/15/2023) (1) | 1,750,000 | 1,830,780 | ||||||||||
5.625%, 06/01/2043 (Pre-refunded to 06/01/2023) | 1,080,000 | 1,246,039 | ||||||||||
5.000%, 11/15/2048 (Mandatory Tender Date 11/20/2025) (1) | 185,000 | 224,747 | ||||||||||
5.000%, 08/01/2049 (Callable 02/01/2025)(Mandatory Tender Date 08/01/2025) (1) | 5,500,000 | 6,339,355 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
1.450%, 04/01/2022 | 60,000 | 60,770 | ||||||||||
1.300%, 01/01/2038 (Mandatory Tender Date 01/01/2021) (1) | 325,000 | 326,082 | ||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 410,000 | 443,247 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028)(Insured by GNMA) | 970,000 | 1,081,046 | ||||||||||
1.650%, 10/01/2057 (Mandatory Tender Date 04/01/2023) (1) | 2,415,000 | 2,471,752 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 540,000 | 551,102 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2020 (Insured by NATL) | 135,000 | 134,876 | ||||||||||
0.000%, 09/01/2022 (Insured by NATL) | 30,000 | 29,518 | ||||||||||
0.000%, 09/01/2028 (Callable 09/01/2020)(Insured by NATL) | 235,000 | 150,278 | ||||||||||
1.172%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 400,000 | 400,124 | ||||||||||
High Plains Metropolitan District: | ||||||||||||
4.000%, 12/01/2022 (Insured by NATL) | 420,000 | 457,137 | ||||||||||
4.000%, 12/01/2024 (Insured by NATL) | 200,000 | 225,224 | ||||||||||
Lincoln Park Metropolitan District, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 150,000 | 167,324 | ||||||||||
Lyons Regional Library District, | ||||||||||||
3.000%, 12/01/2020 | 30,000 | 30,303 | ||||||||||
Southlands Metropolitan District No. 1: | ||||||||||||
3.000%, 12/01/2022 | 182,000 | 181,998 | ||||||||||
3.000%, 12/01/2022 | 100,000 | 99,999 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2020 | 125,000 | 127,016 | ||||||||||
Tallyns Reach Metropolitan District No. 3, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 30,000 | 34,214 | ||||||||||
Vauxmont Metropolitan District: | ||||||||||||
5.000%, 12/15/2025 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 147,926 | ||||||||||
5.000%, 12/15/2026 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 159,075 | ||||||||||
5.000%, 12/15/2027 (Callable 12/15/2024)(Insured by AGM) | 160,000 | 188,029 | ||||||||||
Vista Ridge Metropolitan District, | ||||||||||||
4.500%, 12/01/2024 (Insured by BAM) | 200,000 | 230,926 | ||||||||||
Total Colorado (Cost $38,006,739) | 38,924,634 | 3.3 | % | |||||||||
Connecticut | ||||||||||||
City of Bridgeport CT: | ||||||||||||
5.000%, 02/01/2022 (Insured by BAM) | 250,000 | 267,235 | ||||||||||
5.000%, 02/01/2024 (Insured by BAM) | 475,000 | 541,614 | ||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 1,000,000 | 1,071,450 | ||||||||||
City of New Haven CT, | ||||||||||||
5.000%, 08/15/2022 (ETM)(Insured by AGM) | 520,000 | 571,012 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
3.000%, 05/15/2025 (Callable 05/15/2021) | 825,000 | 838,514 | ||||||||||
4.000%, 11/15/2044 (Callable 11/15/2023) | 110,000 | 115,160 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2027) | 200,000 | 218,786 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,570,000 | 1,760,315 | ||||||||||
2.600%, 11/15/2058 (Callable 07/31/2020)(Mandatory Tender Date 11/15/2021) (1) | 585,000 | 585,918 | ||||||||||
1.625%, 11/15/2059 (Callable 11/15/2020)(Mandatory Tender Date 11/15/2022) (1) | 2,500,000 | 2,508,050 | ||||||||||
Connecticut Municipal Electric Energy Cooperative, | ||||||||||||
5.000%, 01/01/2030 (Callable 01/01/2022) | 500,000 | 532,305 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
5.000%, 07/01/2020 | 1,250,000 | 1,250,000 | ||||||||||
4.000%, 11/01/2021 | 100,000 | 103,873 | ||||||||||
5.000%, 07/01/2022 | 1,300,000 | 1,395,251 | ||||||||||
5.000%, 07/01/2023 | 545,000 | 602,497 | ||||||||||
5.000%, 07/01/2024 | 800,000 | 908,000 | ||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 445,000 | 487,885 | ||||||||||
5.000%, 07/01/2028 (Callable 07/01/2024) | 630,000 | 715,825 | ||||||||||
1.800%, 07/01/2037 (Mandatory Tender Date 02/09/2021) (1) | 125,000 | 126,075 | ||||||||||
5.000%, 07/01/2037 (Mandatory Tender Date 07/01/2020) (1) | 35,000 | 35,000 | ||||||||||
Connecticut State Higher Education Supplement Loan Authority: | ||||||||||||
5.000%, 11/15/2022 | 500,000 | 541,455 | ||||||||||
5.000%, 11/15/2023 | 400,000 | 444,916 | ||||||||||
5.000%, 11/15/2023 (6) | 850,000 | 937,941 | ||||||||||
5.000%, 11/15/2024 | 450,000 | 512,001 | ||||||||||
5.000%, 11/15/2024 (6) | 225,000 | 253,748 | ||||||||||
Southeastern Connecticut Water Authority, | ||||||||||||
4.000%, 09/01/2022 (Callable 07/31/2020)(Insured by ST AID) | 265,000 | 265,803 | ||||||||||
State of Connecticut: | ||||||||||||
4.000%, 11/01/2020 | 225,000 | 227,506 | ||||||||||
5.000%, 11/01/2020 | 150,000 | 152,165 | ||||||||||
5.000%, 10/01/2026 | 1,040,000 | 1,286,397 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 1,005,000 | 1,136,404 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2021 (Insured by BAM) | 415,000 | 430,953 | ||||||||||
Town of Plainfield CT, | ||||||||||||
3.375%, 07/15/2026 (Callable 07/15/2024) | 275,000 | 300,176 | ||||||||||
Town of Plymouth CT, | ||||||||||||
3.000%, 10/15/2027 (Callable 10/15/2024)(Insured by BAM) | 300,000 | 323,094 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2022) | 760,000 | 833,857 | ||||||||||
Total Connecticut (Cost $21,823,819) | 22,281,181 | 1.9 | % | |||||||||
Delaware | ||||||||||||
Delaware Municipal Electric Corp.: | ||||||||||||
5.000%, 10/01/2024 (Insured by BAM) | 230,000 | 269,507 | ||||||||||
5.000%, 10/01/2025 (Insured by BAM) | 140,000 | 168,360 | ||||||||||
Delaware State Housing Authority, | ||||||||||||
2.600%, 07/01/2043 (Callable 06/01/2023)(Insured by GNMA) | 170,098 | 173,794 | ||||||||||
Total Delaware (Cost $584,923) | 611,661 | 0.1 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2022) | 310,000 | 343,430 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2022) | 330,000 | 354,740 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,322 | ||||||||||
1.250%, 03/01/2023 (Mandatory Tender Date 03/01/2022)(Insured by FNMA) (1) | 1,700,000 | 1,715,759 | ||||||||||
3.500%, 06/15/2023 | 290,000 | 301,928 | ||||||||||
2.550%, 09/01/2023 (Mandatory Tender Date 03/01/2022)(Insured by FHA) (1) | 1,200,000 | 1,232,652 | ||||||||||
1.750%, 09/01/2025 (Mandatory Tender Date 09/01/2023)(Insured by FHA) (1) | 3,760,000 | 3,876,410 | ||||||||||
Total District of Columbia (Cost $7,784,800) | 7,975,241 | 0.7 | % | |||||||||
Florida | ||||||||||||
Capital Trust Agency, Inc.: | ||||||||||||
4.000%, 12/15/2024 | 280,000 | 294,487 | ||||||||||
4.000%, 11/01/2025 (Pre-refunded to 11/01/2022) | 260,000 | 274,573 | ||||||||||
4.250%, 12/01/2042 (Pre-refunded to 12/01/2022) | 65,000 | 73,966 | ||||||||||
City of Auburndale FL, | ||||||||||||
5.250%, 12/01/2023 | 1,010,000 | 1,172,984 | ||||||||||
City of Boynton Beach FL, | ||||||||||||
4.500%, 11/01/2022 (Callable 11/01/2021)(Insured by AGM) | 130,000 | 137,000 | ||||||||||
City of Gulf Breeze FL, | ||||||||||||
3.100%, 12/01/2020 | 75,000 | 75,777 | ||||||||||
City of Jacksonville FL, | ||||||||||||
5.000%, 11/01/2022 | 100,000 | 109,150 | ||||||||||
City of Melbourne FL, | ||||||||||||
0.000%, 10/01/2023 (Insured by NATL) | 100,000 | 97,710 | ||||||||||
City of Port St. Lucie FL: | ||||||||||||
5.000%, 09/01/2021 | 55,000 | 57,789 | ||||||||||
5.250%, 09/01/2022 (Insured by NATL) | 100,000 | 110,302 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
0.000%, 10/01/2023 (ETM)(Insured by NATL) | 150,000 | 147,109 | ||||||||||
0.000%, 10/01/2028 (ETM)(Insured by NATL) | 25,000 | 23,045 | ||||||||||
County of Okeechobee FL, | ||||||||||||
1.550%, 07/01/2039 (Mandatory Tender Date 07/01/2021) (1) | 475,000 | 477,399 | ||||||||||
County of St. Johns FL, | ||||||||||||
0.000%, 06/01/2021 (Insured by NATL) | 210,000 | 209,101 | ||||||||||
Florida Department of Environmental Protection, | ||||||||||||
5.000%, 07/01/2025 | 525,000 | 639,623 | ||||||||||
Florida Development Finance Corp.: | ||||||||||||
5.000%, 04/01/2022 | 155,000 | 165,542 | ||||||||||
5.000%, 04/01/2023 | 275,000 | 303,754 | ||||||||||
2.625%, 12/15/2024 (3) | 310,000 | 314,160 | ||||||||||
5.000%, 04/01/2025 | 200,000 | 233,564 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
3.700%, 07/01/2021 (Callable 01/01/2021)(Insured by GNMA) | 570,000 | 577,188 | ||||||||||
1.450%, 03/01/2023 (Mandatory Tender Date 03/01/2022) (1) | 100,000 | 101,407 | ||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 265,000 | 277,253 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 105,000 | 111,648 | ||||||||||
4.000%, 07/01/2049 (Callable 07/01/2027)(Insured by GNMA) | 210,000 | 228,409 | ||||||||||
Florida Municipal Loan Council: | ||||||||||||
0.000%, 04/01/2021 (Insured by NATL) | 50,000 | 49,584 | ||||||||||
0.000%, 04/01/2022 (Insured by NATL) | 210,000 | 205,550 | ||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 155,000 | 167,922 | ||||||||||
0.000%, 04/01/2023 (Insured by NATL) | 165,000 | 159,128 | ||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 160,000 | 183,586 | ||||||||||
0.000%, 04/01/2024 (Insured by NATL) | 55,000 | 52,128 | ||||||||||
5.000%, 12/01/2024 (Insured by AGM) | 85,000 | 100,789 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 585,000 | 614,788 | ||||||||||
Florida State Municipal Loan Council, | ||||||||||||
3.000%, 10/01/2020 (Insured by NATL) | 555,000 | 558,546 | ||||||||||
Heritage Bay Community Development District, | ||||||||||||
2.250%, 05/01/2021 | 125,000 | 126,527 | ||||||||||
Hollywood Community Redevelopment Agency: | ||||||||||||
5.000%, 03/01/2023 | 615,000 | 685,356 | ||||||||||
5.000%, 03/01/2024 | 800,000 | 923,288 | ||||||||||
Jacksonville Housing Finance Authority, | ||||||||||||
2.250%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 1,500,000 | 1,508,715 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
4.000%, 10/01/2022 (Pre-refunded to 04/01/2021) | 135,000 | 138,798 | ||||||||||
5.000%, 10/01/2023 | 150,000 | 171,898 | ||||||||||
5.000%, 10/01/2023 | 210,000 | 240,658 | ||||||||||
5.000%, 10/01/2026 (Callable 04/01/2021) | 245,000 | 252,759 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2023 | 190,000 | 216,351 | ||||||||||
Martin County Health Facilities Authority, | ||||||||||||
3.750%, 11/15/2020 (ETM) | 125,000 | 126,581 | ||||||||||
Miami Beach Health Facilities Authority, | ||||||||||||
4.000%, 11/15/2025 (Callable 11/15/2022) | 715,000 | 751,822 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 310,000 | 307,629 | ||||||||||
Miami-Dade County Educational Facilities Authority: | ||||||||||||
5.000%, 04/01/2022 | 150,000 | 158,295 | ||||||||||
5.000%, 04/01/2023 | 150,000 | 164,018 | ||||||||||
Miami-Dade County Industrial Development Authority, | ||||||||||||
5.000%, 01/15/2022 | 385,000 | 402,621 | ||||||||||
Orange County Health Facilities Authority: | ||||||||||||
3.500%, 08/01/2021 | 560,000 | 566,586 | ||||||||||
6.250%, 10/01/2021 (ETM)(Insured by NATL) | 75,000 | 78,147 | ||||||||||
4.000%, 08/01/2024 | 25,000 | 26,267 | ||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,000,000 | 2,149,320 | ||||||||||
Orange County Housing Finance Authority: | ||||||||||||
1.900%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 2,530,000 | 2,547,078 | ||||||||||
4.375%, 03/01/2031 (Callable 03/01/2021)(Insured by GNMA) | 165,000 | 166,544 | ||||||||||
4.000%, 09/01/2040 (Callable 09/01/2024)(Insured by GNMA) | 365,000 | 381,739 | ||||||||||
4.250%, 09/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 205,000 | 225,918 | ||||||||||
Osceola County Expressway Authority, | ||||||||||||
0.000%, 10/01/2024 (ETM) | 185,000 | 178,379 | ||||||||||
Palm Beach County Health Facilities Authority: | ||||||||||||
5.000%, 08/15/2021 | 400,000 | 417,992 | ||||||||||
5.000%, 11/15/2022 | 220,000 | 236,414 | ||||||||||
5.000%, 12/01/2031 (Pre-refunded to 12/01/2024) | 1,250,000 | 1,498,288 | ||||||||||
Pinellas County Housing Finance Authority: | ||||||||||||
1.250%, 08/01/2022 (Mandatory Tender Date 08/01/2021) (1) | 1,015,000 | 1,022,196 | ||||||||||
4.375%, 09/01/2027 (Callable 09/01/2021)(Insured by GNMA) | 50,000 | 50,867 | ||||||||||
3.500%, 03/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 430,000 | 452,558 | ||||||||||
School Board of Miami-Dade County: | ||||||||||||
5.000%, 05/01/2031 (Mandatory Tender Date 05/01/2024) (1) | 805,000 | 935,491 | ||||||||||
5.500%, 05/01/2031 (Callable 05/01/2021)(Insured by AGM) | 300,000 | 312,054 | ||||||||||
St. Johns River Power Park, | ||||||||||||
5.000%, 10/01/2024 (Callable 07/31/2020) | 105,000 | 105,359 | ||||||||||
St. Lucie County School Board, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2023) | 1,150,000 | 1,291,163 | ||||||||||
University of North Florida Financing Corp., | ||||||||||||
5.000%, 11/01/2023 (Insured by AGM) | 310,000 | 345,204 | ||||||||||
Total Florida (Cost $27,004,929) | 27,467,841 | 2.4 | % | |||||||||
Georgia | ||||||||||||
Athens Housing Authority, | ||||||||||||
5.000%, 06/15/2022 | 280,000 | 301,207 | ||||||||||
Atlanta Development Authority, | ||||||||||||
5.000%, 07/01/2024 | 140,000 | 151,752 | ||||||||||
Bartow County Development Authority, | ||||||||||||
2.750%, 12/01/2032 (Mandatory Tender Date 03/15/2023) (1) | 2,000,000 | 2,065,320 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 170,000 | 173,555 | ||||||||||
2.350%, 10/01/2032 (Mandatory Tender Date 12/11/2020) (1) | 1,000,000 | 1,005,090 | ||||||||||
1.650%, 11/01/2048 (Mandatory Tender Date 06/18/2021) (1) | 245,000 | 246,073 | ||||||||||
1.550%, 12/01/2049 (Mandatory Tender Date 08/19/2022) (1) | 2,000,000 | 2,002,560 | ||||||||||
1.700%, 12/01/2049 (Mandatory Tender Date 08/22/2024) (1) | 1,500,000 | 1,506,525 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2023 (Callable 07/31/2020) | 450,000 | 451,710 | ||||||||||
5.000%, 01/01/2024 (Callable 07/31/2020) | 515,000 | 516,957 | ||||||||||
4.000%, 07/01/2026 (Callable 07/01/2023) | 100,000 | 108,069 | ||||||||||
City of Thomson GA: | ||||||||||||
3.000%, 07/01/2022 | 535,000 | 557,946 | ||||||||||
3.000%, 07/01/2023 (Callable 07/01/2022) | 550,000 | 572,880 | ||||||||||
City of Union City GA, | ||||||||||||
3.000%, 07/01/2020 | 75,000 | 75,000 | ||||||||||
Colquitt County Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 525,000 | 522,118 | ||||||||||
Cornelia Urban Redevelopment Agency, | ||||||||||||
4.000%, 10/01/2023 (Insured by AGM) | 80,000 | 87,474 | ||||||||||
Development Authority of Bulloch County: | ||||||||||||
5.000%, 07/01/2023 | 260,000 | 288,969 | ||||||||||
5.000%, 07/01/2024 | 200,000 | 228,588 | ||||||||||
5.000%, 07/01/2025 | 315,000 | 369,164 | ||||||||||
5.000%, 07/01/2026 | 330,000 | 394,149 | ||||||||||
Fayette County Hospital Authority, | ||||||||||||
5.000%, 07/01/2054 (Callable 01/01/2024)(Mandatory Tender Date 07/01/2024) (1) | 1,755,000 | 2,010,967 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 740,000 | 915,454 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2022 | 195,000 | 206,770 | ||||||||||
5.000%, 09/01/2026 (Callable 06/01/2026) | 500,000 | 606,485 | ||||||||||
0.865%, 04/01/2048 (1 Month LIBOR USD + 0.750%) (Callable 06/01/2023)(Mandatory Tender Date 09/01/2023) (2) | 5,140,000 | 5,096,105 | ||||||||||
0.945%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 6,600,000 | 6,552,744 | ||||||||||
4.000%, 08/01/2048 (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (1) | 995,000 | 1,088,868 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 3,735,000 | 4,214,910 | ||||||||||
Monroe County Development Authority, | ||||||||||||
2.350%, 10/01/2048 (Mandatory Tender Date 12/11/2020) (1) | 500,000 | 503,895 | ||||||||||
Monroe County Public Facilities Authority: | ||||||||||||
5.000%, 06/01/2024 | 180,000 | 207,191 | ||||||||||
5.000%, 06/01/2025 | 200,000 | 236,736 | ||||||||||
Pelham School District: | ||||||||||||
5.000%, 09/01/2021 (Insured by ST AID) | 100,000 | 105,191 | ||||||||||
5.000%, 09/01/2022 (Insured by ST AID) | 125,000 | 136,920 | ||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 290,000 | 329,463 | ||||||||||
5.000%, 09/01/2024 (Insured by ST AID) | 210,000 | 246,301 | ||||||||||
Private Colleges & Universities Authority: | ||||||||||||
3.750%, 10/01/2021 | 55,000 | 56,001 | ||||||||||
5.000%, 10/01/2021 | 75,000 | 77,511 | ||||||||||
0.530%, 10/01/2039 (SIFMA Municipal Swap Index + 0.420%) (Callable 02/16/2022)(Mandatory Tender Date 08/16/2022) (2) | 2,000,000 | 1,983,860 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 425,000 | 422,067 | ||||||||||
0.000%, 12/01/2021 (ETM) | 370,000 | 367,447 | ||||||||||
Valdosta & Lowndes County Hospital Authority, | ||||||||||||
5.000%, 10/01/2033 (Pre-refunded to 10/01/2021) | 300,000 | 317,304 | ||||||||||
Washington Wilkes Payroll Development Authority, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 400,000 | 396,960 | ||||||||||
Total Georgia (Cost $37,303,455) | 37,704,256 | 3.2 | % | |||||||||
Idaho | ||||||||||||
University of Idaho, | ||||||||||||
5.250%, 04/01/2041 (Mandatory Tender Date 04/01/2021) (1) | 2,515,000 | 2,593,091 | ||||||||||
Total Idaho (Cost $2,573,490) | 2,593,091 | 0.2 | % |
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2026 (Callable 12/01/2025)(Insured by BAM) | 275,000 | 313,033 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
3.000%, 12/01/2021 (Insured by BAM) | 30,000 | 31,008 | ||||||||||
Chicago Board of Education: | ||||||||||||
0.000%, 12/01/2022 | 125,000 | 120,542 | ||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 295,000 | 315,246 | ||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 500,000 | 547,025 | ||||||||||
Chicago Park District, | ||||||||||||
5.000%, 01/01/2024 | 1,305,000 | 1,447,545 | ||||||||||
City of Burbank IL, | ||||||||||||
4.000%, 12/01/2021 (Insured by BAM) | 500,000 | 522,375 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 11/01/2020 | 850,000 | 859,834 | ||||||||||
5.125%, 01/01/2022 | 1,220,000 | 1,264,884 | ||||||||||
5.000%, 01/01/2024 (Callable 01/01/2022) | 705,000 | 740,793 | ||||||||||
5.250%, 01/01/2038 (Pre-refunded to 01/01/2022) | 400,000 | 429,180 | ||||||||||
City of Decatur IL, | ||||||||||||
4.000%, 03/01/2022 | 65,000 | 68,198 | ||||||||||
City of Oregon IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 105,000 | 112,292 | ||||||||||
City of Peoria IL: | ||||||||||||
4.500%, 01/01/2023 (Callable 04/15/2021) | 500,000 | 523,285 | ||||||||||
4.000%, 01/01/2026 (Callable 04/15/2021) | 500,000 | 520,025 | ||||||||||
City of Princeton IL: | ||||||||||||
4.000%, 11/01/2021 (Insured by AGM) | 45,000 | 47,074 | ||||||||||
4.000%, 11/01/2022 (Insured by AGM) | 100,000 | 107,623 | ||||||||||
4.000%, 01/01/2023 (Insured by AGM) | 50,000 | 53,944 | ||||||||||
4.000%, 01/01/2025 (Insured by AGM) | 120,000 | 135,594 | ||||||||||
City of Rock Island IL, | ||||||||||||
3.000%, 12/01/2022 | 435,000 | 453,257 | ||||||||||
City of Rockford IL, | ||||||||||||
5.000%, 12/15/2023 (Insured by BAM) | 110,000 | 124,969 | ||||||||||
City of Springfield IL: | ||||||||||||
5.000%, 12/01/2023 | 155,000 | 175,540 | ||||||||||
5.000%, 03/01/2024 | 35,000 | 40,312 | ||||||||||
City of Waukegan IL, | ||||||||||||
3.000%, 12/30/2022 | 365,000 | 383,465 | ||||||||||
Cook County Community College District No. 524, | ||||||||||||
3.000%, 12/01/2025 (Callable 12/01/2020) | 1,010,000 | 1,016,363 | ||||||||||
Cook County Community High School District No. 219, | ||||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 65,000 | 64,668 | ||||||||||
Cook County Forest Preserve District, | ||||||||||||
5.000%, 11/15/2021 | 750,000 | 789,533 | ||||||||||
Cook County School District No. 123, | ||||||||||||
0.000%, 12/01/2021 (ETM) | 200,000 | 198,620 | ||||||||||
Cook County School District No. 130, | ||||||||||||
5.000%, 12/01/2025 (Insured by AGM) | 1,320,000 | 1,584,026 | ||||||||||
Cook County School District No. 154, | ||||||||||||
3.500%, 12/01/2024 (Insured by BAM) | 114,000 | 123,488 | ||||||||||
Cook County School District No. 159: | ||||||||||||
0.000%, 12/01/2022 (ETM)(Insured by AGM) | 80,000 | 78,966 | ||||||||||
0.000%, 12/01/2022 (Insured by AGM) | 20,000 | 19,566 | ||||||||||
Cook County School District No. 163, | ||||||||||||
6.000%, 12/15/2024 (Insured by BAM) | 795,000 | 961,084 | ||||||||||
Cook County School District No. 84: | ||||||||||||
0.000%, 12/01/2021 (ETM)(Insured by AGM) | 180,000 | 178,758 | ||||||||||
0.000%, 12/01/2021 (ETM)(Insured by AGM) | 105,000 | 104,276 | ||||||||||
Cook County Township High School District No. 201: | ||||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 265,000 | 263,898 | ||||||||||
0.000%, 12/01/2025 (Insured by AGM) | 165,000 | 152,049 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2024 (Insured by AGM) | 250,000 | 283,155 | ||||||||||
DeKalb & Kane Counties Community Unit School District No. 427, | ||||||||||||
4.000%, 02/01/2029 (Callable 02/01/2022)(Insured by BAM) | 475,000 | 496,860 | ||||||||||
DeKalb County Community Unit School District No. 424, | ||||||||||||
0.000%, 01/01/2022 (Insured by AMBAC) | 250,000 | 246,565 | ||||||||||
Fulton, Mason, Knox, Schuyler, Etc. Counties Community College District No. 534, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2022)(Insured by BAM) | 90,000 | 95,072 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2022 (Insured by BAM) | 100,000 | 103,006 | ||||||||||
3.000%, 03/01/2023 (Insured by BAM) | 210,000 | 219,653 | ||||||||||
3.000%, 03/01/2026 (Insured by BAM) | 90,000 | 96,609 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 720,000 | 707,026 | ||||||||||
0.000%, 07/15/2025 (ETM) | 710,000 | 681,337 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 08/01/2020 | 425,000 | 426,199 | ||||||||||
5.000%, 10/01/2020 | 105,000 | 105,579 | ||||||||||
5.000%, 01/01/2021 | 75,000 | 76,507 | ||||||||||
4.000%, 09/01/2021 | 75,000 | 76,978 | ||||||||||
5.000%, 11/01/2021 | 75,000 | 77,746 | ||||||||||
5.000%, 02/15/2022 | 235,000 | 250,216 | ||||||||||
5.000%, 05/15/2022 | 190,000 | 194,967 | ||||||||||
5.000%, 09/01/2022 | 200,000 | 211,658 | ||||||||||
5.000%, 05/15/2023 | 120,000 | 131,579 | ||||||||||
5.000%, 09/01/2023 | 400,000 | 432,296 | ||||||||||
5.000%, 05/15/2024 | 350,000 | 394,376 | ||||||||||
5.000%, 11/01/2024 | 305,000 | 336,369 | ||||||||||
4.000%, 11/01/2030 | 2,995,000 | 3,421,758 | ||||||||||
1.470%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 235,000 | 235,106 | ||||||||||
0.860%, 01/01/2046 (SIFMA Municipal Swap Index + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 07/01/2023) (2) | 480,000 | 477,336 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 343,289 | 348,043 | ||||||||||
4.500%, 10/01/2048 (Callable 04/01/2028) | 540,000 | 601,301 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,910,000 | 2,118,878 | ||||||||||
Illinois Sports Facilities Authority: | ||||||||||||
0.000%, 06/15/2021 (Insured by AMBAC) | 150,000 | 145,476 | ||||||||||
5.000%, 06/15/2028 (Insured by BAM) | 1,000,000 | 1,178,830 | ||||||||||
Iroquois & Kankakee Counties Community Unit School District No. 4, | ||||||||||||
0.000%, 11/01/2021 (Insured by AMBAC) | 500,000 | 492,660 | ||||||||||
Jefferson County Township High School District No. 201, | ||||||||||||
6.500%, 12/30/2020 (Insured by BAM) | 195,000 | 200,751 | ||||||||||
Joliet Park District: | ||||||||||||
5.000%, 03/01/2022 (Callable 03/01/2021) | 90,000 | 91,932 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 150,000 | 161,328 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2024)(Insured by BAM) | 715,000 | 769,104 | ||||||||||
Joliet Regional Port District, | ||||||||||||
4.000%, 06/30/2025 (Callable 06/30/2024)(Insured by AGM) | 40,000 | 44,566 | ||||||||||
Kane County School District No. 131, | ||||||||||||
3.500%, 06/01/2024 (Callable 06/01/2021)(Insured by AGM) | 785,000 | 802,513 | ||||||||||
Kankakee, Iroquois, Ford, Etc. Counties Community Unit School District No. 2, | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 445,000 | 488,299 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,000,000 | 988,320 | ||||||||||
Kendall County Forest Preserve District, | ||||||||||||
4.000%, 01/01/2025 (Insured by BAM) | 215,000 | 239,529 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2021) | 3,000,000 | 3,073,530 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205, | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 500,000 | 513,510 | ||||||||||
Lake County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/15/2025 (Callable 01/15/2023) | 255,000 | 283,231 | ||||||||||
Lake County Elementary School District No. 6: | ||||||||||||
0.000%, 12/01/2021 (Insured by AMBAC) | 115,000 | 112,367 | ||||||||||
0.000%, 12/01/2022 (Insured by AMBAC) | 115,000 | 110,185 | ||||||||||
0.000%, 12/01/2024 (Insured by AMBAC) | 70,000 | 63,758 | ||||||||||
Lake County Forest Preserve District, | ||||||||||||
0.690%, 12/15/2020 (3 Month LIBOR USD + 0.480%) (2) | 295,000 | 294,283 | ||||||||||
Lake County School District No. 38, | ||||||||||||
0.000%, 02/01/2023 (Insured by AMBAC) | 1,065,000 | 1,019,567 | ||||||||||
Logan Sangamon Etc Counties Community Unit School District No. 23: | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 440,000 | 464,451 | ||||||||||
5.000%, 12/01/2022 (Insured by AGM) | 520,000 | 572,239 | ||||||||||
Macon & De Witt Counties Community Unit School District No. 1, | ||||||||||||
2.250%, 12/01/2022 (Callable 07/31/2020) | 80,000 | 80,082 | ||||||||||
McHenry County Community Unit School District No. 200, | ||||||||||||
5.250%, 01/15/2027 (Callable 01/15/2024) | 135,000 | 157,144 | ||||||||||
Menard Cass & Sangamon Counties Community Unit School District No. 202, | ||||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 300,000 | 322,605 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2021 (ETM)(Insured by NATL) | 45,000 | 44,752 | ||||||||||
0.000%, 06/15/2021 | 55,000 | 54,698 | ||||||||||
0.000%, 06/15/2022 (ETM)(Insured by NATL) | 30,000 | 29,639 | ||||||||||
5.650%, 06/15/2022 (Insured by NATL) (7) | 160,000 | 169,608 | ||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 170,000 | 182,277 | ||||||||||
0.000%, 06/15/2024 (Insured by NATL) | 35,000 | 31,316 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) (7) | 30,000 | 33,337 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) (7) | 35,000 | 37,651 | ||||||||||
5.000%, 12/15/2026 (Callable 06/15/2022)(Insured by ST AID) | 290,000 | 298,219 | ||||||||||
Newport Township Fire Protection District: | ||||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 125,000 | 130,425 | ||||||||||
4.000%, 01/01/2023 (Insured by BAM) | 135,000 | 144,709 | ||||||||||
Ogle & Winnebago Counties Community Unit School District No. 223, | ||||||||||||
5.000%, 12/01/2021 (Insured by BAM) | 150,000 | 159,366 | ||||||||||
Peoria Public Building Commission, | ||||||||||||
5.000%, 12/01/2020 (Insured by BAM) | 125,000 | 127,375 | ||||||||||
Pike & Adams Counties Community Unit School District No. 4, | ||||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 345,000 | 383,619 | ||||||||||
Plano Special Service Areas No. 3 & 4, | ||||||||||||
4.000%, 03/01/2030 (Callable 03/01/2025) | 280,000 | 313,191 | ||||||||||
Prospect Heights Park District: | ||||||||||||
4.000%, 12/01/2020 (Insured by BAM) | 120,000 | 121,743 | ||||||||||
4.000%, 12/01/2021 (Insured by BAM) | 330,000 | 346,157 | ||||||||||
Regional Transportation Authority: | ||||||||||||
6.250%, 07/01/2021 (Insured by AGM) | 675,000 | 710,215 | ||||||||||
5.750%, 06/01/2023 (Insured by AGM) | 175,000 | 192,230 | ||||||||||
Sales Tax Securitization Corp.: | ||||||||||||
5.000%, 01/01/2022 | 2,035,000 | 2,128,915 | ||||||||||
5.000%, 01/01/2024 | 200,000 | 221,918 | ||||||||||
Shelby Christian Macon Counties Community School District No. 21: | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2023)(Insured by AGM) | 400,000 | 439,528 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2023)(Insured by AGM) | 435,000 | 475,729 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.125%, 11/01/2030 (Pre-refunded to 11/01/2023) | 195,000 | 237,399 | ||||||||||
St. Charles Public Library District, | ||||||||||||
4.000%, 11/01/2028 (Callable 11/01/2024) | 455,000 | 501,519 | ||||||||||
St. Clair County Community Consolidated School District: | ||||||||||||
0.000%, 12/01/2021 | 485,000 | 478,307 | ||||||||||
0.000%, 12/01/2022 | 190,000 | 185,035 | ||||||||||
St. Clair County School District No. 119: | ||||||||||||
5.000%, 04/01/2022 (Insured by AGM) | 350,000 | 376,915 | ||||||||||
5.000%, 04/01/2023 (Insured by AGM) | 300,000 | 335,880 | ||||||||||
St. Clair County Township High School District No. 203, | ||||||||||||
4.000%, 12/01/2022 | 400,000 | 428,248 | ||||||||||
State of Illinois: | ||||||||||||
4.875%, 05/01/2021 | 500,000 | 509,230 | ||||||||||
5.000%, 08/01/2021 | 190,000 | 194,782 | ||||||||||
5.000%, 01/01/2022 (Callable 07/31/2020) | 145,000 | 145,244 | ||||||||||
5.000%, 03/01/2022 | 55,000 | 56,897 | ||||||||||
5.125%, 05/01/2022 | 1,500,000 | 1,559,835 | ||||||||||
6.500%, 06/15/2022 | 180,000 | 183,290 | ||||||||||
5.000%, 06/15/2023 | 270,000 | 288,322 | ||||||||||
5.000%, 06/15/2023 | 670,000 | 715,466 | ||||||||||
5.000%, 05/01/2024 | 745,000 | 794,237 | ||||||||||
5.500%, 07/01/2024 (Callable 07/01/2023) | 835,000 | 890,277 | ||||||||||
5.000%, 10/01/2024 | 525,000 | 562,412 | ||||||||||
5.000%, 11/01/2024 | 40,000 | 42,890 | ||||||||||
3.750%, 06/15/2025 (Callable 06/15/2021) | 210,000 | 211,974 | ||||||||||
4.000%, 06/15/2026 (Callable 06/15/2021) | 365,000 | 368,854 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2024) | 545,000 | 571,863 | ||||||||||
United City of Yorkville IL, | ||||||||||||
4.050%, 12/01/2027 (Callable 12/01/2023) | 120,000 | 130,523 | ||||||||||
University of Illinois: | ||||||||||||
5.000%, 08/15/2020 | 290,000 | 291,410 | ||||||||||
5.000%, 10/01/2021 | 330,000 | 346,526 | ||||||||||
5.000%, 03/15/2022 | 50,000 | 53,385 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2022 | 680,000 | 744,362 | ||||||||||
5.000%, 12/01/2023 | 400,000 | 452,288 | ||||||||||
Village of Calumet Park IL, | ||||||||||||
5.250%, 12/01/2029 (Callable 12/01/2024)(Insured by BAM) | 500,000 | 575,460 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 261,792 | ||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 500,000 | 523,585 | ||||||||||
4.000%, 12/15/2023 (Insured by BAM) | 540,000 | 594,616 | ||||||||||
4.500%, 12/15/2025 (Callable 12/15/2022)(Insured by BAM) | 60,000 | 65,197 | ||||||||||
Village of Lansing IL: | ||||||||||||
5.000%, 03/01/2023 (Insured by AGM) | 275,000 | 302,387 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 230,000 | 260,530 | ||||||||||
Village of Lyons IL, | ||||||||||||
5.000%, 12/01/2025 (Callable 12/01/2022)(Insured by BAM) | 25,000 | 27,263 | ||||||||||
Village of Matteson IL, | ||||||||||||
8.000%, 12/01/2029 (Pre-refunded to 06/01/2022) (7) | 315,000 | 353,288 | ||||||||||
Village of Oak Park IL, | ||||||||||||
4.000%, 11/01/2021 | 245,000 | 256,491 | ||||||||||
Village of Orland Hills IL: | ||||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 145,000 | 155,456 | ||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 130,000 | 142,466 | ||||||||||
Village of Rantoul IL, | ||||||||||||
4.300%, 01/01/2025 (Callable 01/01/2023) | 125,000 | 135,974 | ||||||||||
Village of Richton Park IL, | ||||||||||||
4.000%, 12/01/2022 (Insured by BAM) | 80,000 | 85,314 | ||||||||||
Village of River Grove IL, | ||||||||||||
3.000%, 12/15/2021 (Insured by BAM) | 120,000 | 123,734 | ||||||||||
Village of Sauk Village IL, | ||||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 1,260,000 | 1,405,051 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.000%, 02/01/2022 (Insured by BAM) | 125,000 | 131,837 | ||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 130,000 | 137,257 | ||||||||||
4.000%, 02/01/2024 (Insured by BAM) | 135,000 | 145,047 | ||||||||||
4.000%, 02/01/2025 (Insured by BAM) | 140,000 | 152,625 | ||||||||||
4.000%, 02/01/2026 (Insured by BAM) | 220,000 | 242,552 | ||||||||||
4.750%, 02/01/2028 (Callable 02/01/2023)(Insured by BAM) | 50,000 | 53,171 | ||||||||||
Village of Sugar Grove IL, | ||||||||||||
3.000%, 12/15/2025 (Callable 12/15/2021) | 225,000 | 230,517 | ||||||||||
Village of Tremont IL, | ||||||||||||
3.000%, 07/01/2020 (Insured by BAM) | 95,000 | 95,000 | ||||||||||
Will County Community Consolidated School District No. 70-C, | ||||||||||||
4.000%, 12/01/2022 (Insured by AGM) | 270,000 | 291,967 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2021 (Insured by AGM) | 215,000 | 213,555 | ||||||||||
0.000%, 01/01/2022 (ETM)(Insured by AGM) | 165,000 | 163,527 | ||||||||||
4.000%, 01/01/2022 (Insured by AGM) | 600,000 | 618,996 | ||||||||||
0.000%, 01/01/2023 (ETM)(Insured by AGM) | 365,000 | 358,777 | ||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 325,000 | 312,991 | ||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 500,000 | 486,910 | ||||||||||
0.000%, 01/01/2024 (Insured by AGM) | 275,000 | 259,592 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2023) | 35,000 | 37,280 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2021 (Insured by NATL) | 215,000 | 212,998 | ||||||||||
Will County Community Unit School District No. 365: | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 200,000 | 198,664 | ||||||||||
0.000%, 11/01/2022 (ETM)(Insured by AGM) | 45,000 | 44,541 | ||||||||||
Will County Elementary School District No. 122: | ||||||||||||
0.000%, 11/01/2021 (ETM)(Insured by AGM) | 50,000 | 49,676 | ||||||||||
0.000%, 11/01/2023 (ETM)(Insured by AGM) | 125,000 | 122,530 | ||||||||||
Will County School District No. 86, | ||||||||||||
3.000%, 03/01/2025 (Callable 03/01/2024) | 600,000 | 644,382 | ||||||||||
Will County School District No. 88, | ||||||||||||
5.250%, 01/01/2022 (Insured by AGM) | 860,000 | 903,507 | ||||||||||
Will County Township High School District No. 204, | ||||||||||||
5.000%, 01/01/2023 | 195,000 | 212,353 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
0.000%, 02/01/2022 | 95,000 | 93,371 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2023) | 965,000 | 1,037,848 | ||||||||||
Total Illinois (Cost $69,987,541) | 71,542,835 | 6.1 | % |
Indiana | ||||||||||||
City of Goshen IN, | ||||||||||||
4.100%, 01/01/2021 (Callable 07/31/2020)(Insured by AGM) | 470,000 | 471,462 | ||||||||||
City of Lawrence IN: | ||||||||||||
4.000%, 01/01/2021 (Insured by BAM) | 200,000 | 203,350 | ||||||||||
4.000%, 01/01/2022 (Insured by BAM) | 400,000 | 420,304 | ||||||||||
City of Mishawaka IN, | ||||||||||||
5.000%, 03/01/2025 (Insured by AGM) | 100,000 | 119,741 | ||||||||||
City of Muncie IN: | ||||||||||||
4.000%, 07/15/2020 (Insured by AGM) | 100,000 | 100,106 | ||||||||||
4.000%, 07/15/2020 (Insured by AGM) | 100,000 | 100,106 | ||||||||||
4.000%, 07/15/2022 (Insured by AGM) | 110,000 | 116,199 | ||||||||||
4.000%, 01/15/2024 (Insured by AGM) | 170,000 | 185,511 | ||||||||||
City of Rockport IN, | ||||||||||||
1.350%, 07/01/2025 (Mandatory Tender Date 09/01/2022) (1) | 1,000,000 | 1,013,650 | ||||||||||
City of Valparaiso IN, | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2023) | 375,000 | 411,735 | ||||||||||
City of Whiting IN, | ||||||||||||
5.250%, 01/01/2021 | 2,850,000 | 2,907,057 | ||||||||||
Clarksville Redevelopment Authority: | ||||||||||||
4.000%, 08/01/2021 | 155,000 | 160,924 | ||||||||||
4.000%, 02/01/2022 | 230,000 | 242,694 | ||||||||||
County of Lake IN, | ||||||||||||
4.000%, 07/15/2021 (Insured by AGM) | 100,000 | 103,867 | ||||||||||
County of Warrick IN, | ||||||||||||
1.625%, 06/01/2022 (Mandatory Tender Date 06/01/2021) (1) | 500,000 | 504,390 | ||||||||||
Evansville Vanderburgh Public Library, | ||||||||||||
4.000%, 07/01/2021 (Insured by ST AID) | 135,000 | 137,966 | ||||||||||
Fishers Redevelopment Authority: | ||||||||||||
4.000%, 07/15/2020 (Insured by ST AID) | 205,000 | 205,269 | ||||||||||
4.000%, 01/15/2023 | 270,000 | 293,320 | ||||||||||
4.000%, 07/15/2023 | 275,000 | 303,201 | ||||||||||
Hammond Local Public Improvement Bond Bank, | ||||||||||||
2.375%, 12/31/2020 | 1,850,000 | 1,861,581 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
5.000%, 01/15/2025 (Insured by ST AID) | 525,000 | 618,949 | ||||||||||
Hammond Sanitary District, | ||||||||||||
5.000%, 01/15/2021 (Insured by BAM) | 445,000 | 456,218 | ||||||||||
Indiana Bond Bank, | ||||||||||||
1.787%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 1,140,000 | 1,133,320 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 09/15/2022 | 60,000 | 64,125 | ||||||||||
5.000%, 10/01/2022 | 175,000 | 187,623 | ||||||||||
5.250%, 10/01/2022 (Callable 10/01/2021) | 800,000 | 847,664 | ||||||||||
5.000%, 02/01/2023 | 25,000 | 27,010 | ||||||||||
5.000%, 09/15/2023 | 75,000 | 82,088 | ||||||||||
5.000%, 09/15/2024 | 155,000 | 172,806 | ||||||||||
5.000%, 09/15/2025 | 325,000 | 366,948 | ||||||||||
3.000%, 10/01/2025 (Callable 10/01/2023) | 95,000 | 91,150 | ||||||||||
3.000%, 10/01/2026 (Callable 10/01/2023) | 95,000 | 89,892 | ||||||||||
2.250%, 12/01/2058 (Callable 01/01/2025)(Mandatory Tender Date 07/01/2025) (1) | 2,985,000 | 3,133,593 | ||||||||||
Indiana Health & Educational Facilities Financing Authority: | ||||||||||||
1.750%, 11/15/2031 (Pre-refunded to 11/02/2021) (1) | 5,000 | 5,088 | ||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 395,000 | 400,917 | ||||||||||
Indiana Housing & Community Development Authority: | ||||||||||||
4.000%, 12/01/2027 (Callable 06/01/2021)(Insured by GNMA) | 380,000 | 384,028 | ||||||||||
3.500%, 01/01/2049 (Callable 01/01/2029)(Insured by GNMA) | 1,275,000 | 1,385,695 | ||||||||||
Jasper Hospital Authority, | ||||||||||||
4.125%, 11/01/2025 (Callable 11/01/2023) | 2,025,000 | 2,193,237 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 215,000 | 235,036 | ||||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 280,000 | 284,799 | ||||||||||
Lake Central Multi-District School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2023)(Insured by ST AID) | 585,000 | 651,023 | ||||||||||
Lake Station School Building Corp., | ||||||||||||
3.000%, 07/15/2022 (Pre-refunded to 01/15/2022)(Insured by ST AID) | 95,000 | 96,924 | ||||||||||
Marion High School Building Corp.: | ||||||||||||
3.000%, 01/15/2021 (Insured by ST AID) | 115,000 | 116,544 | ||||||||||
4.000%, 01/15/2022 (Insured by ST AID) | 170,000 | 179,066 | ||||||||||
4.000%, 07/15/2022 (Insured by ST AID) | 135,000 | 144,446 | ||||||||||
4.000%, 01/15/2023 (Insured by ST AID) | 215,000 | 232,548 | ||||||||||
4.000%, 01/15/2025 (Insured by ST AID) | 200,000 | 225,984 | ||||||||||
Michigan City School Building Corp., | ||||||||||||
5.000%, 07/15/2023 (Insured by ST AID) | 350,000 | 392,556 | ||||||||||
Munster School Building Corp.: | ||||||||||||
5.000%, 01/15/2022 (Insured by ST AID) | 205,000 | 218,509 | ||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 215,000 | 233,748 | ||||||||||
5.000%, 01/15/2023 (Insured by ST AID) | 215,000 | 238,229 | ||||||||||
4.000%, 07/15/2023 (Insured by ST AID) | 160,000 | 175,088 | ||||||||||
5.000%, 01/15/2024 (Insured by ST AID) | 225,000 | 258,233 | ||||||||||
New Durham Township Metropolitan School District School Building Corp., | ||||||||||||
1.600%, 01/15/2021 | 160,000 | 160,821 | ||||||||||
Salem Middle School Building Corp., | ||||||||||||
4.000%, 01/15/2024 (Insured by ST AID) | 195,000 | 216,577 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 07/15/2022 (Insured by ST AID) | 260,000 | 283,449 | ||||||||||
Starke County Building Corp., | ||||||||||||
4.000%, 08/01/2028 (Pre-refunded to 02/01/2022)(Insured by ST AID) | 700,000 | 739,550 | ||||||||||
Town of Rossville IN, | ||||||||||||
3.500%, 07/01/2023 | 115,000 | 122,725 | ||||||||||
Vinton-Tecumseh School Building Corp.: | ||||||||||||
4.000%, 07/15/2020 (Insured by ST AID) | 255,000 | 255,314 | ||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 265,000 | 269,828 | ||||||||||
4.000%, 07/15/2021 (Insured by ST AID) | 220,000 | 227,713 | ||||||||||
4.000%, 07/15/2022 (Insured by ST AID) | 385,000 | 411,126 | ||||||||||
5.000%, 01/15/2023 (Insured by ST AID) | 145,000 | 161,443 | ||||||||||
Wabash City Schools Building Corp.: | ||||||||||||
4.000%, 07/15/2024 (Insured by ST AID) | 110,000 | 124,181 | ||||||||||
4.000%, 01/15/2025 (Insured by ST AID) | 140,000 | 159,925 | ||||||||||
4.000%, 07/15/2025 (Insured by ST AID) | 240,000 | 277,214 | ||||||||||
Washington Indiana Elementary School Building Corp., | ||||||||||||
3.000%, 01/15/2024 (Insured by ST AID) | 550,000 | 578,243 | ||||||||||
West Washington School Corp.: | ||||||||||||
2.000%, 01/15/2022 (Insured by ST AID) | 125,000 | 127,479 | ||||||||||
2.000%, 07/15/2022 (Insured by ST AID) | 195,000 | 200,395 | ||||||||||
Westfield High School Building Corp., | ||||||||||||
5.000%, 01/15/2024 (Insured by ST AID) | 200,000 | 229,464 | ||||||||||
Total Indiana (Cost $29,295,326) | 29,730,964 | 2.6 | % | |||||||||
Iowa | ||||||||||||
Bondurant-Farrar Community School District, | ||||||||||||
3.000%, 06/01/2023 (Insured by MAC) | 110,000 | 117,316 | ||||||||||
City of Cedar Rapids IA, | ||||||||||||
0.228%, 08/15/2029 (Insured by AMBAC) (1)(5) | 710,000 | 660,300 | ||||||||||
City of Coralville IA: | ||||||||||||
4.000%, 06/01/2024 | 300,000 | 301,284 | ||||||||||
4.000%, 06/01/2025 (Callable 06/01/2024) | 455,000 | 455,887 | ||||||||||
City of New Hampton IA: | ||||||||||||
3.000%, 06/01/2022 (Insured by BAM) | 130,000 | 135,725 | ||||||||||
3.000%, 06/01/2023 (Insured by BAM) | 135,000 | 143,899 | ||||||||||
City of Waverly IA, | ||||||||||||
2.500%, 12/31/2022 (Callable 07/01/2022) | 2,750,000 | 2,810,830 | ||||||||||
County of Adair IA: | ||||||||||||
2.000%, 06/01/2022 | 580,000 | 596,774 | ||||||||||
2.000%, 06/01/2023 | 730,000 | 761,200 | ||||||||||
County of Taylor IA, | ||||||||||||
4.000%, 06/01/2021 | 245,000 | 253,061 | ||||||||||
Iowa Finance Authority: | ||||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026)(Insured by GNMA) | 180,000 | 190,651 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 875,000 | 951,142 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,075,000 | 1,206,903 | ||||||||||
2.875%, 05/15/2049 (Callable 11/15/2020) | 900,000 | 872,874 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | 4,000,000 | 4,046,120 | ||||||||||
Iowa Western Community College, | ||||||||||||
3.000%, 06/01/2021 | 500,000 | 507,970 | ||||||||||
Lake Panorama Improvement Zone: | ||||||||||||
3.000%, 06/01/2021 | 385,000 | 392,623 | ||||||||||
3.000%, 06/01/2022 | 395,000 | 410,551 | ||||||||||
3.000%, 06/01/2023 | 405,000 | 428,802 | ||||||||||
3.000%, 06/01/2024 | 420,000 | 450,815 | ||||||||||
3.000%, 06/01/2025 | 430,000 | 465,432 | ||||||||||
West Monona Community School District, | ||||||||||||
2.000%, 06/01/2021 (Callable 07/31/2020) | 280,000 | 280,316 | ||||||||||
Total Iowa (Cost $16,237,894) | 16,440,475 | 1.4 | % | |||||||||
Kansas | ||||||||||||
City of Derby KS, | ||||||||||||
3.900%, 03/01/2037 (Callable 03/01/2025) | 1,300,000 | 1,235,104 | ||||||||||
City of Lenexa KS, | ||||||||||||
1.625%, 09/01/2021 (Callable 09/01/2020) | 275,000 | 275,382 | ||||||||||
City of Washington KS, | ||||||||||||
2.000%, 12/01/2022 (Callable 12/01/2020) | 1,860,000 | 1,871,830 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 225,000 | 227,675 | ||||||||||
Kansas Independent College Finance Authority: | ||||||||||||
5.000%, 05/01/2021 | 3,900,000 | 3,971,331 | ||||||||||
5.250%, 05/01/2021 | 825,000 | 840,065 | ||||||||||
Kansas Municipal Energy Agency, | ||||||||||||
5.000%, 04/01/2022 (Insured by BAM) | 515,000 | 555,824 | ||||||||||
Public Building Commission of Johnson County, | ||||||||||||
5.000%, 09/01/2023 | 1,360,000 | 1,551,039 | ||||||||||
Reno County Unified School District No. 313, | ||||||||||||
4.000%, 09/01/2030 (Pre-refunded to 09/01/2022) | 200,000 | 215,722 | ||||||||||
Wyandotte County-Kansas City Unified Government, | ||||||||||||
4.000%, 09/01/2020 (Callable 07/31/2020) | 250,000 | 250,700 | ||||||||||
Total Kansas (Cost $10,876,104) | 10,994,672 | 0.9 | % | |||||||||
Kentucky | ||||||||||||
City of Somerset KY, | ||||||||||||
4.000%, 11/01/2026 (Callable 11/01/2021) | 205,000 | 214,473 | ||||||||||
County of Carroll KY, | ||||||||||||
1.550%, 09/01/2042 (Mandatory Tender Date 09/01/2026) (1) | 750,000 | 748,860 | ||||||||||
County of Kenton KY: | ||||||||||||
5.000%, 04/01/2024 | 375,000 | 435,645 | ||||||||||
5.000%, 04/01/2026 | 700,000 | 860,503 | ||||||||||
Danville Independent School District Finance Corp., | ||||||||||||
2.000%, 03/01/2023 (Insured by ST AID) | 235,000 | 240,602 | ||||||||||
Harlan County School District Finance Corp., | ||||||||||||
3.000%, 08/01/2025 (Callable 02/01/2025)(Insured by ST AID) | 1,150,000 | 1,245,002 | ||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 12/01/2022 (ETM)(Insured by AGC) | 75,000 | 74,030 | ||||||||||
0.000%, 10/01/2024 (Insured by NATL) | 880,000 | 808,975 | ||||||||||
0.000%, 12/01/2024 (ETM)(Insured by AGC) | 60,000 | 58,281 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 150,000 | 150,345 | ||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024)(Mandatory Tender Date 01/01/2025) (1) | 2,825,000 | 3,111,568 | ||||||||||
1.235%, 12/01/2049 (1 Month LIBOR USD + 1.120%) (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (2) | 3,850,000 | 3,777,312 | ||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 460,000 | 516,980 | ||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 5,720,000 | 6,423,160 | ||||||||||
4.000%, 12/01/2050 (Callable 03/01/2026)(Mandatory Tender Date 06/01/2026) (1) | 1,620,000 | 1,829,142 | ||||||||||
Kentucky State Property & Building Commission, | ||||||||||||
5.000%, 11/01/2021 (Insured by ST AID) | 250,000 | 263,900 | ||||||||||
Kentucky Turnpike Authority, | ||||||||||||
4.000%, 07/01/2026 | 1,000,000 | 1,112,570 | ||||||||||
Louisville & Jefferson County Metropolitan Government: | ||||||||||||
5.000%, 12/01/2022 (Pre-refunded to 06/01/2022) | 1,020,000 | 1,106,700 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 500,000 | 555,390 | ||||||||||
Magoffin County Justice Center Corp., | ||||||||||||
3.000%, 05/01/2023 | 345,000 | 364,934 | ||||||||||
Murray State University: | ||||||||||||
5.000%, 09/01/2021 (Insured by ST AID) | 285,000 | 299,350 | ||||||||||
5.000%, 09/01/2022 (Insured by ST AID) | 410,000 | 448,261 | ||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 435,000 | 493,020 | ||||||||||
University of Louisville, | ||||||||||||
5.000%, 03/01/2021 (Insured by ST AID) | 105,000 | 107,529 | ||||||||||
Total Kentucky (Cost $24,029,063) | 25,246,532 | 2.2 | % | |||||||||
Louisiana | ||||||||||||
Calcasieu Parish Fire Protection District No. 1: | ||||||||||||
3.500%, 03/01/2022 (Insured by BAM) | 145,000 | 152,148 | ||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 155,000 | 172,579 | ||||||||||
Calcasieu Parish School Board, | ||||||||||||
5.000%, 02/01/2025 (Pre-refunded to 02/01/2022) | 115,000 | 123,308 | ||||||||||
Calcasieu Parish School District No. 23: | ||||||||||||
5.000%, 09/01/2022 (Insured by BAM) | 85,000 | 93,339 | ||||||||||
5.000%, 09/01/2023 (Insured by BAM) | 175,000 | 199,582 | ||||||||||
5.000%, 09/01/2024 (Insured by BAM) | 250,000 | 294,790 | ||||||||||
Calcasieu Parish School District No. 30: | ||||||||||||
2.500%, 02/15/2022 | 225,000 | 232,583 | ||||||||||
4.000%, 02/15/2023 (Insured by AGM) | 125,000 | 135,726 | ||||||||||
Calcasieu Parish School District No. 34: | ||||||||||||
2.000%, 11/01/2021 | 420,000 | 428,287 | ||||||||||
2.000%, 11/01/2022 | 425,000 | 440,389 | ||||||||||
City of New Iberia LA, | ||||||||||||
4.500%, 03/01/2022 (Callable 03/01/2021)(Insured by AGM) | 865,000 | 887,490 | ||||||||||
City of Shreveport LA: | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 165,000 | 184,008 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 400,000 | 462,744 | ||||||||||
East Ouachita Parish School District: | ||||||||||||
2.500%, 03/01/2022 | 435,000 | 449,986 | ||||||||||
2.500%, 03/01/2024 | 200,000 | 211,958 | ||||||||||
Ernest N Morial New Orleans Exhibition Hall Authority, | ||||||||||||
5.000%, 07/15/2021 | 265,000 | 274,248 | ||||||||||
Greater Ouachita Water Co., | ||||||||||||
5.000%, 09/01/2022 (Insured by BAM) | 300,000 | 328,200 | ||||||||||
Jefferson Sales Tax District: | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 550,000 | 630,272 | ||||||||||
5.000%, 12/01/2024 (Insured by AGM) | 575,000 | 679,328 | ||||||||||
Lafourche Parish Water District No. 1, | ||||||||||||
2.500%, 01/01/2021 | 390,000 | 394,083 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2023) | 185,000 | 204,212 | ||||||||||
5.500%, 10/01/2025 (Pre-refunded to 10/01/2020) | 1,050,000 | 1,062,411 | ||||||||||
5.625%, 10/01/2030 (Pre-refunded to 10/01/2020) | 80,000 | 80,970 | ||||||||||
5.750%, 09/01/2035 (Pre-refunded to 09/01/2023) | 75,000 | 87,422 | ||||||||||
6.000%, 10/01/2044 (Pre-refunded to 10/01/2020) | 145,000 | 146,885 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.000%, 10/01/2023 | 255,000 | 275,295 | ||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 2,015,000 | 2,444,397 | ||||||||||
Louisiana Stadium & Exposition District, | ||||||||||||
5.000%, 07/03/2023 (Callable 01/01/2023) | 2,950,000 | 3,147,090 | ||||||||||
New Orleans Aviation Board, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 239,270 | ||||||||||
Parish of St. Charles LA, | ||||||||||||
4.000%, 12/01/2040 (Mandatory Tender Date 06/01/2022) (1) | 2,545,000 | 2,652,679 | ||||||||||
Regional Transit Authority, | ||||||||||||
0.000%, 12/01/2021 (Insured by NATL) | 85,000 | 81,379 | ||||||||||
St. Landry Parish Road District No. 1, | ||||||||||||
3.250%, 03/01/2025 (Callable 03/01/2024)(Insured by BAM) | 210,000 | 228,213 | ||||||||||
St. Tammany Parish Recreation District No. 14: | ||||||||||||
2.000%, 04/01/2021 | 210,000 | 212,440 | ||||||||||
2.250%, 04/01/2023 | 225,000 | 235,708 | ||||||||||
State of Louisiana: | ||||||||||||
5.000%, 05/01/2024 (Pre-refunded to 05/01/2022) | 345,000 | 374,377 | ||||||||||
5.000%, 06/15/2034 (Callable 06/15/2024) | 60,000 | 68,396 | ||||||||||
Total Louisiana (Cost $17,841,299) | 18,316,192 | 1.6 | % | |||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 25,000 | 26,194 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 305,000 | 322,476 | ||||||||||
4.000%, 11/15/2046 (Callable 05/15/2026) | 1,825,000 | 1,950,816 | ||||||||||
3.500%, 11/15/2047 (Callable 11/15/2026) | 1,215,000 | 1,292,930 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 1,610,000 | 1,765,912 | ||||||||||
4.000%, 11/15/2050 (Callable 05/15/2029) | 1,900,000 | 2,127,031 | ||||||||||
Total Maine (Cost $7,273,636) | 7,485,359 | 0.6 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD, | ||||||||||||
5.000%, 07/01/2024 (ETM) | 100,000 | 111,217 | ||||||||||
County of Baltimore MD, | ||||||||||||
3.000%, 09/01/2025 (Callable 09/01/2022) | 950,000 | 988,399 | ||||||||||
County of Washington MD, | ||||||||||||
5.000%, 01/01/2022 | 415,000 | 428,757 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 2,550,000 | 2,959,301 | ||||||||||
Montgomery County Housing Opportunities Commission, | ||||||||||||
4.000%, 07/01/2048 (Callable 07/01/2026) | 385,000 | 416,743 | ||||||||||
Total Maryland (Cost $4,752,264) | 4,904,417 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts: | ||||||||||||
0.920%, 11/01/2020 (3 Month LIBOR USD + 0.460%) (Callable 07/31/2020) (2) | 60,000 | 59,995 | ||||||||||
1.050%, 08/01/2043 (Mandatory Tender Date 07/01/2020) (1) | 1,215,000 | 1,215,000 | ||||||||||
Massachusetts Development Finance Agency: | ||||||||||||
3.500%, 10/01/2022 (3) | 540,000 | 541,140 | ||||||||||
5.000%, 12/01/2023 | 190,000 | 215,247 | ||||||||||
5.000%, 12/01/2024 | 500,000 | 583,380 | ||||||||||
5.000%, 07/01/2025 | 305,000 | 339,608 | ||||||||||
5.250%, 07/01/2033 (Pre-refunded to 07/01/2021)(Insured by AGM) | 1,025,000 | 1,075,379 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 115,000 | 121,870 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 910,000 | 985,858 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 595,000 | 642,552 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 980,000 | 1,079,068 | ||||||||||
Massachusetts Transportation Trust, | ||||||||||||
5.000%, 01/01/2039 (Mandatory Tender Date 01/01/2023) (1) | 3,035,000 | 3,362,052 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 07/31/2020)(Insured by AGC) | 250,000 | 250,745 | ||||||||||
Total Massachusetts (Cost $10,231,403) | 10,471,894 | 0.9 | % |
Michigan | ||||||||||||
Bad Axe Public Schools, | ||||||||||||
4.000%, 05/01/2027 (Callable 05/01/2024)(Insured by Q-SBLF) | 630,000 | 703,206 | ||||||||||
Battle Creek Tax Increment Finance Authority, | ||||||||||||
4.300%, 12/01/2028 (Callable 07/31/2020) | 500,000 | 501,460 | ||||||||||
City of Allen Park Brownfield Redevelopment Authority: | ||||||||||||
4.000%, 05/01/2022 (Insured by BAM) | 600,000 | 638,328 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 620,000 | 675,106 | ||||||||||
4.000%, 05/01/2024 (Insured by BAM) | 320,000 | 356,198 | ||||||||||
City of Allen Park MI: | ||||||||||||
2.000%, 05/01/2022 (Insured by BAM) | 220,000 | 223,907 | ||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 250,000 | 267,688 | ||||||||||
4.000%, 05/01/2023 (Insured by BAM) | 115,000 | 125,322 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 300,000 | 329,856 | ||||||||||
City of Detroit MI, | ||||||||||||
5.000%, 07/01/2020 | 265,000 | 265,000 | ||||||||||
City of Kalamazoo MI, | ||||||||||||
5.000%, 10/01/2023 | 50,000 | 57,317 | ||||||||||
Comstock Public Schools, | ||||||||||||
5.000%, 11/01/2023 (Insured by AGM) | 240,000 | 275,268 | ||||||||||
Davison Community Schools, | ||||||||||||
3.000%, 05/01/2022 | 190,000 | 199,000 | ||||||||||
Detroit Wayne County Stadium Authority, | ||||||||||||
5.000%, 10/01/2026 (Callable 10/01/2022)(Insured by AGM) | 25,000 | 26,654 | ||||||||||
Essexville-Hampton Public Schools, | ||||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 325,000 | 347,058 | ||||||||||
Fruitport Community Schools: | ||||||||||||
4.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 102,905 | ||||||||||
4.000%, 05/01/2023 (Insured by Q-SBLF) | 135,000 | 148,276 | ||||||||||
Holly Area School District, | ||||||||||||
4.000%, 05/01/2025 (Insured by Q-SBLF) | 450,000 | 519,089 | ||||||||||
Ingham County Brownfield Redevelopment Authority, | ||||||||||||
4.125%, 08/01/2024 (Callable 07/31/2020)(Insured by AGM) | 215,000 | 215,643 | ||||||||||
Karegnondi Water Authority, | ||||||||||||
5.000%, 11/01/2020 | 100,000 | 101,467 | ||||||||||
Michigan Finance Authority: | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 100,545 | ||||||||||
5.000%, 11/01/2022 | 100,000 | 109,272 | ||||||||||
5.000%, 09/01/2023 | 185,000 | 205,006 | ||||||||||
5.000%, 09/01/2024 | 200,000 | 227,082 | ||||||||||
4.000%, 10/01/2024 | 1,350,000 | 1,411,020 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024)(Insured by AGM) | 1,595,000 | 1,853,422 | ||||||||||
5.000%, 09/01/2025 | 200,000 | 231,804 | ||||||||||
4.000%, 05/01/2026 | 60,000 | 69,734 | ||||||||||
5.000%, 09/01/2026 | 200,000 | 235,612 | ||||||||||
5.500%, 12/01/2026 (Callable 06/01/2025) | 335,000 | 404,733 | ||||||||||
5.000%, 09/01/2027 | 280,000 | 334,603 | ||||||||||
0.874%, 10/15/2038 (1 Month LIBOR USD + 0.750%) (Callable 07/31/2020)(Mandatory Tender Date 10/15/2020) (2) | 350,000 | 349,828 | ||||||||||
0.662%, 12/01/2039 (1 Month LIBOR USD + 0.540%) (Callable 07/31/2020)(Mandatory Tender Date 12/01/2020) (2) | 350,000 | 349,727 | ||||||||||
3.500%, 11/15/2044 (Mandatory Tender Date 11/15/2022) (1) | 1,610,000 | 1,709,933 | ||||||||||
4.000%, 11/15/2044 (Mandatory Tender Date 08/15/2024) (1) | 2,285,000 | 2,581,776 | ||||||||||
5.000%, 12/01/2044 (Mandatory Tender Date 02/01/2025) (1) | 1,525,000 | 1,803,968 | ||||||||||
Michigan State Hospital Finance Authority, | ||||||||||||
1.900%, 11/15/2047 (Mandatory Tender Date 04/01/2021) (1) | 335,000 | 338,189 | ||||||||||
Michigan State Housing Development Authority: | ||||||||||||
4.000%, 06/01/2046 (Callable 12/01/2024) | 1,175,000 | 1,243,773 | ||||||||||
3.500%, 06/01/2047 (Callable 06/01/2026) | 4,080,000 | 4,337,325 | ||||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 2,000,000 | 2,196,140 | ||||||||||
Michigan Strategic Fund, | ||||||||||||
7.000%, 05/01/2021 (Insured by AMBAC) | 2,320,000 | 2,443,401 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 100,000 | 103,810 | ||||||||||
South Lake Schools: | ||||||||||||
4.000%, 11/01/2021 (Insured by Q-SBLF) | 425,000 | 444,002 | ||||||||||
4.000%, 05/01/2022 (Insured by Q-SBLF) | 290,000 | 307,263 | ||||||||||
4.000%, 11/01/2023 (Insured by Q-SBLF) | 500,000 | 552,275 | ||||||||||
Tri-County Area School District: | ||||||||||||
4.000%, 05/01/2021 (Insured by AGM) | 520,000 | 535,195 | ||||||||||
4.000%, 05/01/2022 (Insured by AGM) | 640,000 | 681,005 | ||||||||||
4.000%, 05/01/2023 (Insured by AGM) | 705,000 | 772,447 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2025 (Callable 11/15/2021) | 75,000 | 79,606 | ||||||||||
Total Michigan (Cost $31,428,700) | 32,091,244 | 2.8 | % | |||||||||
Minnesota | ||||||||||||
City of Brooklyn Center MN, | ||||||||||||
1.950%, 12/01/2021 (Callable 07/21/2020)(Mandatory Tender Date 12/01/2020) (1) | 710,000 | 710,476 | ||||||||||
City of Crosslake MN, | ||||||||||||
3.250%, 02/01/2027 (Callable 02/01/2023) | 40,000 | 42,438 | ||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2022 | 610,000 | 639,115 | ||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority: | ||||||||||||
0.150%, 08/01/2027 (Insured by NATL) (1)(5) | 25,000 | 25,000 | ||||||||||
0.135%, 08/01/2028 (Insured by NATL) (1) | 150,000 | 150,000 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2022 | 265,000 | 278,735 | ||||||||||
City of St. Louis Park MN, | ||||||||||||
0.950%, 09/01/2023 (Callable 02/01/2021)(Mandatory Tender Date 09/01/2021) (1) | 1,675,000 | 1,677,697 | ||||||||||
Duluth Independent School District No. 709, | ||||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 815,000 | 900,999 | ||||||||||
Fergus Falls Independent School District No. 544: | ||||||||||||
2.500%, 02/01/2021 | 160,000 | 161,637 | ||||||||||
2.500%, 02/01/2022 | 145,000 | 148,955 | ||||||||||
2.500%, 02/01/2024 | 105,000 | 110,630 | ||||||||||
Housing & Redevelopment Authority of The City of St. Paul: | ||||||||||||
5.000%, 07/01/2021 | 80,000 | 83,045 | ||||||||||
2.200%, 09/01/2021 (Callable 07/21/2020)(Mandatory Tender Date 09/01/2020) (1) | 750,000 | 750,563 | ||||||||||
0.950%, 11/01/2022 (Callable 05/01/2021)(Mandatory Tender Date 11/01/2021) (1) | 1,000,000 | 1,002,280 | ||||||||||
5.000%, 11/15/2025 | 325,000 | 382,177 | ||||||||||
Maple River Independent School District No. 2135: | ||||||||||||
5.000%, 02/01/2022 (Insured by SD CRED PROG) | 80,000 | 85,845 | ||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 515,000 | 574,956 | ||||||||||
5.000%, 02/01/2024 (Insured by SD CRED PROG) | 915,000 | 1,059,780 | ||||||||||
5.000%, 02/01/2025 (Insured by SD CRED PROG) | 395,000 | 472,752 | ||||||||||
5.000%, 02/01/2026 (Insured by SD CRED PROG) | 1,000,000 | 1,230,830 | ||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission: | ||||||||||||
5.000%, 01/01/2022 | 1,050,000 | 1,115,341 | ||||||||||
5.000%, 01/01/2025 | 300,000 | 354,600 | ||||||||||
Minnesota Higher Education Facilities Authority: | ||||||||||||
3.000%, 12/01/2021 | 275,000 | 277,813 | ||||||||||
5.000%, 04/01/2023 | 100,000 | 109,288 | ||||||||||
3.000%, 12/01/2023 | 150,000 | 153,087 | ||||||||||
4.000%, 12/01/2024 | 100,000 | 106,156 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.900%, 01/01/2025 (Insured by GNMA) | 50,000 | 54,110 | ||||||||||
3.900%, 07/01/2030 (Callable 01/01/2022)(Insured by GNMA) | 195,000 | 201,684 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 725,000 | 772,930 | ||||||||||
0.660%, 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 | 75,034 | ||||||||||
3.500%, 07/01/2046 (Callable 07/01/2025)(Insured by GNMA) | 3,835,000 | 4,069,510 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 265,000 | 282,766 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 495,000 | 532,595 | ||||||||||
Moorhead Independent School District No. 152: | ||||||||||||
4.000%, 02/01/2021 | 220,000 | 224,277 | ||||||||||
4.000%, 02/01/2022 | 230,000 | 242,059 | ||||||||||
4.000%, 02/01/2023 | 235,000 | 254,503 | ||||||||||
4.000%, 02/01/2024 | 245,000 | 272,136 | ||||||||||
4.000%, 02/01/2025 | 255,000 | 289,741 | ||||||||||
Northern Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2027 (Callable 01/01/2023) | 220,000 | 243,012 | ||||||||||
Plymouth Intermediate District No. 287, | ||||||||||||
5.000%, 05/01/2022 | 105,000 | 113,539 | ||||||||||
Shakopee Independent School District No. 720, | ||||||||||||
5.000%, 02/01/2023 (Insured by SD CRED PROG) | 675,000 | 748,420 | ||||||||||
St. Cloud Metropolitan Transit Commission, | ||||||||||||
3.000%, 06/01/2024 (Callable 07/31/2020) | 300,000 | 300,537 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021 (ETM) | 220,000 | 226,519 | ||||||||||
Total Minnesota (Cost $21,201,200) | 21,507,567 | 1.8 | % | |||||||||
Mississippi | ||||||||||||
Brookhaven School District, | ||||||||||||
3.000%, 08/01/2023 (Insured by MAC) | 200,000 | 214,116 | ||||||||||
City of Oxford MS, | ||||||||||||
3.000%, 09/01/2024 | 250,000 | 243,390 | ||||||||||
City of Yazoo MS: | ||||||||||||
3.000%, 03/01/2021 (Insured by MAC) | 105,000 | 106,653 | ||||||||||
3.000%, 03/01/2025 (Insured by MAC) | 125,000 | 137,497 | ||||||||||
3.000%, 03/01/2026 (Insured by MAC) | 130,000 | 144,607 | ||||||||||
Copiah-Lincoln Community College District: | ||||||||||||
2.000%, 09/01/2022 (Insured by MAC) | 165,000 | 169,960 | ||||||||||
2.000%, 09/01/2023 (Insured by MAC) | 95,000 | 98,956 | ||||||||||
2.000%, 09/01/2025 (Insured by MAC) | 205,000 | 216,203 | ||||||||||
2.000%, 09/01/2026 (Callable 09/01/2025)(Insured by MAC) | 110,000 | 115,225 | ||||||||||
County of Lowndes MS, | ||||||||||||
6.800%, 04/01/2022 | 50,000 | 54,945 | ||||||||||
Marshall County School District, | ||||||||||||
3.000%, 06/01/2022 (Insured by BAM) | 275,000 | 285,560 | ||||||||||
Mississippi Business Finance Corp., | ||||||||||||
1.350%, 03/01/2029 (Mandatory Tender Date 09/01/2020) (1) | 1,300,000 | 1,300,624 | ||||||||||
Mississippi Development Bank: | ||||||||||||
5.250%, 03/01/2021 (Insured by AGM) | 50,000 | 51,520 | ||||||||||
3.000%, 07/01/2021 (Insured by ST AID) | 730,000 | 730,781 | ||||||||||
4.000%, 07/01/2022 | 170,000 | 180,443 | ||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 50,000 | 56,695 | ||||||||||
5.000%, 11/01/2025 (Insured by BAM) | 215,000 | 259,344 | ||||||||||
Mississippi Home Corp., | ||||||||||||
3.500%, 12/01/2049 (Callable 12/01/2028)(Insured by GNMA) | 1,000,000 | 1,086,860 | ||||||||||
State of Mississippi, | ||||||||||||
0.445%, 09/01/2027 (1 Month LIBOR USD + 0.330%) (Callable 07/21/2020)(Mandatory Tender Date 09/01/2020) (2) | 385,000 | 384,877 | ||||||||||
Total Mississippi (Cost $5,768,936) | 5,838,256 | 0.5 | % | |||||||||
Missouri | ||||||||||||
Arnold Retail Corridor Transportation Development District, | ||||||||||||
3.000%, 11/01/2028 (Callable 11/01/2024) | 1,330,000 | 1,248,232 | ||||||||||
City of St. Louis MO, | ||||||||||||
5.000%, 07/01/2023 (Insured by AGM) | 415,000 | 461,629 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||||||
4.000%, 04/01/2021 | 500,000 | 505,055 | ||||||||||
4.000%, 06/01/2021 | 175,000 | 179,779 | ||||||||||
5.000%, 09/01/2021 | 235,000 | 244,139 | ||||||||||
0.000%, 09/01/2022 (ETM)(Insured by NATL) | 55,000 | 54,128 | ||||||||||
5.000%, 09/01/2023 | 285,000 | 314,238 | ||||||||||
5.000%, 06/01/2024 | 225,000 | 258,615 | ||||||||||
5.000%, 09/01/2024 | 295,000 | 333,418 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
3.875%, 11/15/2029 (Callable 11/15/2026) | 970,000 | 868,509 | ||||||||||
Joplin Industrial Development Authority, | ||||||||||||
4.250%, 02/15/2021 (ETM) | 70,000 | 71,639 | ||||||||||
Lees Summit Industrial Development Authority, | ||||||||||||
5.000%, 08/15/2026 (Callable 08/15/2024) | 1,425,000 | 1,475,274 | ||||||||||
Metropolitan Park and Recreation District, | ||||||||||||
5.000%, 12/30/2025 (Callable 12/30/2023) | 1,000,000 | 1,117,080 | ||||||||||
Missouri Association of Rural Education, | ||||||||||||
3.000%, 04/15/2022 (Callable 07/31/2020) | 300,000 | 300,459 | ||||||||||
Missouri Housing Development Commission, | ||||||||||||
3.400%, 11/01/2030 (Callable 11/01/2024)(Insured by GNMA) | 270,000 | 289,645 | ||||||||||
Missouri Southern State University: | ||||||||||||
5.000%, 10/01/2026 (Insured by AGM) | 105,000 | 124,296 | ||||||||||
5.000%, 10/01/2027 (Insured by AGM) | 100,000 | 120,279 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 310,000 | 332,800 | ||||||||||
Neosho R-V School District: | ||||||||||||
4.000%, 03/01/2022 (Insured by ST AID) | 155,000 | 164,591 | ||||||||||
4.000%, 03/01/2023 (Insured by ST AID) | 170,000 | 186,009 | ||||||||||
4.000%, 03/01/2024 (Insured by ST AID) | 275,000 | 309,158 | ||||||||||
4.000%, 03/01/2025 (Insured by ST AID) | 220,000 | 253,352 | ||||||||||
4.000%, 03/01/2026 (Insured by ST AID) | 510,000 | 598,429 | ||||||||||
Northwest Missouri State University, | ||||||||||||
3.125%, 06/01/2029 (Callable 06/01/2022) | 50,000 | 50,901 | ||||||||||
Riverview Gardens School District: | ||||||||||||
4.000%, 04/01/2021 (Insured by ST AID) | 800,000 | 821,648 | ||||||||||
4.000%, 04/01/2022 (Insured by ST AID) | 380,000 | 403,792 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
3.350%, 01/01/2024 | 175,000 | 168,773 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
4.250%, 06/01/2026 | 1,640,000 | 1,757,752 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
5.000%, 02/01/2022 | 265,000 | �� | 272,163 | |||||||||
5.000%, 06/01/2036 (Callable 12/01/2022)(Mandatory Tender Date 06/01/2023) (1) | 195,000 | 213,507 | ||||||||||
Trenton School District No. R-IX, | ||||||||||||
4.000%, 03/01/2022 (Insured by ST AID) | 40,000 | 42,372 | ||||||||||
Total Missouri (Cost $13,564,836) | 13,541,661 | 1.2 | % | |||||||||
Montana | ||||||||||||
City of Red Lodge MT: | ||||||||||||
2.000%, 07/01/2021 (Insured by BAM) | 210,000 | 213,066 | ||||||||||
2.000%, 07/01/2022 (Insured by BAM) | 195,000 | 200,766 | ||||||||||
2.000%, 07/01/2023 (Insured by BAM) | 270,000 | 281,591 | ||||||||||
Montana Board of Housing: | ||||||||||||
4.000%, 12/01/2043 (Callable 12/01/2027) | 965,000 | 1,046,552 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2027)(Insured by FHA) | 1,125,000 | 1,221,311 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 01/01/2023 | 100,000 | 110,041 | ||||||||||
5.000%, 07/01/2025 | 110,000 | 132,151 | ||||||||||
Total Montana (Cost $3,099,675) | 3,205,478 | 0.3 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2032 (Callable 09/01/2022) | 600,000 | 641,880 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 1,595,000 | 1,706,331 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 2,405,000 | 2,701,368 | ||||||||||
Scotts Bluff County School District No. 16, | ||||||||||||
5.000%, 12/01/2026 (Pre-refunded to 05/30/2022) | 115,000 | 125,223 | ||||||||||
Total Nebraska (Cost $5,007,172) | 5,174,802 | 0.4 | % | |||||||||
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2020 | 185,000 | 186,202 | ||||||||||
Clark County School District: | ||||||||||||
5.000%, 06/15/2021 | 1,040,000 | 1,083,004 | ||||||||||
5.000%, 06/15/2023 | 585,000 | 655,791 | ||||||||||
County of Clark NV: | ||||||||||||
3.000%, 08/01/2020 | 1,000,000 | 1,002,220 | ||||||||||
5.000%, 07/01/2025 | 440,000 | 522,909 | ||||||||||
Las Vegas Redevelopment Agency, | ||||||||||||
5.000%, 06/15/2023 | 250,000 | 275,623 | ||||||||||
Lyon County School District, | ||||||||||||
5.000%, 04/01/2021 | 490,000 | 506,645 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 65,000 | 67,338 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028)(Insured by GNMA) | 995,000 | 1,100,291 | ||||||||||
Total Nevada (Cost $5,270,347) | 5,400,023 | 0.5 | % |
New Jersey | ||||||||||||
Atlantic City Board of Education: | ||||||||||||
3.400%, 08/15/2021 (3) | 2,026,000 | 2,080,662 | ||||||||||
3.400%, 08/15/2022 (3) | 2,087,000 | 2,183,774 | ||||||||||
3.400%, 08/15/2023 (3) | 2,171,000 | 2,308,945 | ||||||||||
3.400%, 08/15/2024 (3) | 793,000 | 852,991 | ||||||||||
Cape May County Industrial Pollution Control Financing Authority, | ||||||||||||
6.800%, 03/01/2021 (Insured by NATL) | 95,000 | 98,707 | ||||||||||
City of Atlantic City NJ: | ||||||||||||
5.000%, 03/01/2022 (Insured by BAM) | 100,000 | 106,944 | ||||||||||
5.000%, 03/01/2024 (Insured by BAM) | 300,000 | 344,235 | ||||||||||
City of Bayonne NJ, | ||||||||||||
5.000%, 07/15/2022 (Insured by AGM) | 475,000 | 517,332 | ||||||||||
City of Trenton NJ: | ||||||||||||
4.000%, 07/15/2022 (Insured by AGM) | 500,000 | 534,775 | ||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 200,000 | 220,318 | ||||||||||
County of Hudson NJ, | ||||||||||||
7.000%, 12/01/2021 (Insured by NATL) | 5,280,000 | 5,690,890 | ||||||||||
Garden State Preservation Trust, | ||||||||||||
5.000%, 11/01/2020 | 100,000 | 100,789 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2020 | 100,000 | 100,149 | ||||||||||
0.000%, 01/01/2021 (Insured by AMBAC) | 130,000 | 129,466 | ||||||||||
3.250%, 01/01/2021 | 230,000 | 229,349 | ||||||||||
5.000%, 07/15/2021 | 100,000 | 104,155 | ||||||||||
5.250%, 12/15/2021 (Insured by NATL) | 500,000 | 521,240 | ||||||||||
4.000%, 01/01/2022 | 660,000 | 660,858 | ||||||||||
0.000%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 24,688 | ||||||||||
5.000%, 07/15/2022 | 240,000 | 254,270 | ||||||||||
4.000%, 01/01/2023 | 50,000 | 50,035 | ||||||||||
5.000%, 09/01/2023 (Callable 03/01/2021) | 115,000 | 117,400 | ||||||||||
5.000%, 06/15/2024 | 390,000 | 427,779 | ||||||||||
0.000%, 07/01/2024 (ETM)(Insured by NATL) | 455,000 | 441,409 | ||||||||||
5.250%, 09/01/2024 (Callable 03/01/2021) | 320,000 | 327,203 | ||||||||||
5.250%, 07/01/2025 (Insured by NATL) | 380,000 | 428,401 | ||||||||||
5.000%, 03/01/2026 (Callable 03/01/2023) | 1,010,000 | 1,071,873 | ||||||||||
5.000%, 06/15/2026 (Callable 06/15/2024) | 400,000 | 435,212 | ||||||||||
5.250%, 09/01/2026 (Callable 03/01/2021) | 585,000 | 598,168 | ||||||||||
5.000%, 06/15/2027 (Callable 06/15/2024) | 1,050,000 | 1,138,620 | ||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 500,000 | 527,655 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 230,000 | 228,970 | ||||||||||
5.000%, 03/01/2030 (Callable 03/01/2023) | 735,000 | 773,948 | ||||||||||
4.000%, 07/01/2030 (Callable 07/31/2020) | 500,000 | 501,270 | ||||||||||
5.000%, 03/01/2031 (Pre-refunded to 09/01/2022) | 65,000 | 71,584 | ||||||||||
New Jersey Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 160,323 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
4.250%, 11/15/2021 (Pre-refunded to 11/15/2020) | 70,000 | 71,020 | ||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 55,000 | 62,501 | ||||||||||
5.250%, 11/15/2029 (Pre-refunded to 11/15/2020) | 2,040,000 | 2,077,250 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 2,385,000 | 2,349,297 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
2.020%, 08/01/2021 (Mandatory Tender Date 08/01/2020) (1) | 350,000 | 350,343 | ||||||||||
2.450%, 10/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 500,000 | 502,190 | ||||||||||
1.500%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 4,000,000 | 4,037,400 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 830,000 | 926,620 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 1,425,000 | 1,607,044 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.500%, 12/15/2021 (Insured by AGM) | 255,000 | 271,738 | ||||||||||
5.000%, 06/15/2023 | 495,000 | 538,228 | ||||||||||
5.000%, 12/15/2023 | 275,000 | 299,098 | ||||||||||
5.000%, 12/15/2023 | 420,000 | 456,805 | ||||||||||
5.250%, 12/15/2023 | 340,000 | 372,599 | ||||||||||
5.000%, 06/15/2024 | 785,000 | 873,313 | ||||||||||
0.000%, 12/15/2026 (Insured by AMBAC) | 110,000 | 89,136 | ||||||||||
5.000%, 12/15/2026 | 925,000 | 1,050,985 | ||||||||||
North Hudson Sewerage Authority: | ||||||||||||
0.000%, 08/01/2021 (ETM)(Insured by NATL) | 60,000 | 59,684 | ||||||||||
0.000%, 08/01/2025 (ETM)(Insured by NATL) | 25,000 | 23,740 | ||||||||||
South Jersey Transportation Authority, | ||||||||||||
5.000%, 11/01/2029 (Pre-refunded to 11/01/2022) | 125,000 | 138,325 | ||||||||||
Washington Township Municipal Utilities Authority: | ||||||||||||
0.000%, 12/15/2021 (Insured by NATL) | 100,000 | 98,810 | ||||||||||
0.000%, 12/15/2023 (Insured by NATL) | 25,000 | 24,127 | ||||||||||
Total New Jersey (Cost $40,375,019) | 40,644,640 | 3.5 | % | |||||||||
New Mexico | ||||||||||||
City of Farmington NM, | ||||||||||||
1.875%, 04/01/2033 (Mandatory Tender Date 10/01/2021) (1) | 200,000 | 199,512 | ||||||||||
Las Cruces School District No. 2, | ||||||||||||
5.000%, 08/01/2026 (Callable 08/01/2020)(Insured by ST AID) | 150,000 | 150,573 | ||||||||||
New Mexico Educational Assistance Foundation, | ||||||||||||
4.000%, 09/01/2020 | 105,000 | 105,524 | ||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 250,000 | 258,165 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
3.500%, 03/01/2045 (Callable 03/01/2026) | 55,000 | 58,877 | ||||||||||
3.750%, 03/01/2048 (Callable 03/01/2027)(Insured by GNMA) | 255,000 | 276,150 | ||||||||||
4.250%, 07/01/2049 (Callable 01/01/2028) | 70,000 | 77,594 | ||||||||||
3.750%, 01/01/2050 (Callable 01/01/2029)(Insured by GNMA) | 1,985,000 | 2,179,073 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028)(Insured by GNMA) | 2,815,000 | 3,126,058 | ||||||||||
Total New Mexico (Cost $6,246,098) | 6,431,526 | 0.6 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
2.600%, 07/01/2025 | 1,000,000 | 934,130 | ||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 1,141,915 | 1,176,167 | ||||||||||
City of Long Beach NY, | ||||||||||||
4.000%, 08/15/2025 (Callable 08/15/2022)(Insured by BAM) | 100,000 | 106,823 | ||||||||||
City of New York NY: | ||||||||||||
5.000%, 08/01/2022 | 160,000 | 174,931 | ||||||||||
5.000%, 10/01/2022 (Pre-refunded to 10/01/2021) | 145,000 | 153,401 | ||||||||||
5.000%, 10/01/2022 (Callable 10/01/2021) | 45,000 | 47,548 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2023)(Mandatory Tender Date 02/01/2024) (1) | 5,000,000 | 5,627,150 | ||||||||||
County of Rockland NY: | ||||||||||||
5.000%, 03/01/2023 (Insured by AGM) | 415,000 | 464,941 | ||||||||||
3.750%, 10/01/2026 (Callable 10/01/2020) | 70,000 | 70,526 | ||||||||||
County of Suffolk NY, | ||||||||||||
5.000%, 05/01/2023 | 2,845,000 | 3,048,844 | ||||||||||
Geneva Development Corp.: | ||||||||||||
5.000%, 09/01/2023 (Callable 09/01/2022) | 450,000 | 480,636 | ||||||||||
5.000%, 09/01/2023 | 30,000 | 32,961 | ||||||||||
5.000%, 09/01/2024 (Callable 09/01/2023) | 50,000 | 54,796 | ||||||||||
Hempstead Town Local Development Corp.: | ||||||||||||
5.000%, 07/01/2020 | 725,000 | 725,000 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2023) | 815,000 | 893,444 | ||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057 (Callable 08/01/2020)(Mandatory Tender Date 12/31/2021) (1) | 1,775,000 | 1,776,846 | ||||||||||
Long Island Power Authority: | ||||||||||||
0.870%, 05/01/2033 (1 Month LIBOR USD + 0.750%) (Callable 10/01/2022)(Mandatory Tender Date 10/01/2023) (2) | 5,360,000 | 5,335,076 | ||||||||||
1.650%, 09/01/2049 (Callable 03/01/2024)(Mandatory Tender Date 09/01/2024) (1) | 500,000 | 498,330 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
4.000%, 07/01/2020 | 400,000 | 400,000 | ||||||||||
5.000%, 09/01/2021 | 4,515,000 | 4,640,788 | ||||||||||
5.000%, 11/15/2021 | 1,075,000 | 1,114,571 | ||||||||||
4.000%, 02/01/2022 | 1,565,000 | 1,603,937 | ||||||||||
5.000%, 03/01/2022 | 445,000 | 469,056 | ||||||||||
5.000%, 05/15/2022 | 525,000 | 548,210 | ||||||||||
5.000%, 09/01/2022 | 3,250,000 | 3,415,100 | ||||||||||
0.798%, 11/01/2032 (1 Month LIBOR USD + 0.680%) (Mandatory Tender Date 04/06/2021)(Insured by AGM) (2) | 145,000 | 143,414 | ||||||||||
Monroe County Industrial Development Corp.: | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 100,727 | ||||||||||
5.000%, 06/01/2021 | 1,730,000 | 1,777,540 | ||||||||||
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 | 244,012 | ||||||||||
2.100%, 11/01/2058 (Callable 02/01/2022)(Mandatory Tender Date 07/03/2023) (1) | 200,000 | 203,902 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 12/15/2021 | 55,000 | 58,728 | ||||||||||
5.000%, 05/01/2048 (Callable 11/01/2025)(Mandatory Tender Date 05/01/2026) (1) | 2,375,000 | 2,803,949 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.625%, 04/01/2034 (Mandatory Tender Date 07/03/2023) (1) | 150,000 | 153,493 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,750,000 | 5,793,528 | ||||||||||
Oneida County Local Development Corp., | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2023)(Insured by AGM) | 630,000 | 712,839 | ||||||||||
State of New York Mortgage Agency: | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 185,000 | 193,865 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2025) | 320,000 | 340,311 | ||||||||||
Town of Oyster Bay NY: | ||||||||||||
3.000%, 02/01/2022 | 3,260,000 | 3,322,331 | ||||||||||
4.000%, 02/15/2026 (Insured by BAM) | 95,000 | 106,813 | ||||||||||
Triborough Bridge & Tunnel Authority: | ||||||||||||
0.615%, 11/15/2027 (1 Month LIBOR USD + 0.500%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 1,640,000 | 1,618,073 | ||||||||||
0.815%, 01/01/2032 (1 Month LIBOR USD + 0.700%) (Mandatory Tender Date 02/01/2021) (2) | 7,985,000 | 7,955,775 | ||||||||||
Utility Debt Securitization Authority, | ||||||||||||
5.000%, 12/15/2025 (Callable 12/15/2023) | 210,000 | 242,216 | ||||||||||
Total New York (Cost $59,008,866) | 59,564,728 | 5.1 | % | |||||||||
North Carolina | ||||||||||||
Durham Housing Authority, | ||||||||||||
5.000%, 12/01/2035 (Pre-refunded to 12/01/2022) | 270,000 | 293,037 | ||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 100,000 | 106,304 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 890,000 | 910,318 | ||||||||||
5.000%, 01/01/2021 (ETM) | 1,125,000 | 1,151,539 | ||||||||||
6.000%, 01/01/2022 (ETM) | 155,000 | 168,189 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 07/01/2048 (Callable 07/01/2027)(Insured by GNMA) | 370,000 | 403,655 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,790,000 | 1,983,481 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 3,200,000 | 3,584,576 | ||||||||||
North Carolina Medical Care Commission: | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 130,000 | 133,484 | ||||||||||
2.200%, 12/01/2048 (Callable 06/01/2022)(Mandatory Tender Date 12/01/2022) (1) | 1,845,000 | 1,870,258 | ||||||||||
North Carolina Turnpike Authority, | ||||||||||||
5.000%, 01/01/2025 | 50,000 | 56,340 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,250,000 | 1,410,413 | ||||||||||
Total North Carolina (Cost $11,829,742) | 12,071,594 | 1.0 | % | |||||||||
North Dakota | ||||||||||||
City of Dickinson ND, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 1,150,000 | 1,181,682 | ||||||||||
City of Fargo ND, | ||||||||||||
5.500%, 11/01/2020 | 1,000,000 | 1,015,670 | ||||||||||
City of Horace ND: | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,002,820 | ||||||||||
2.350%, 10/01/2021 (Callable 08/01/2020) | 300,000 | 300,351 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 07/31/2020) | 430,000 | 434,782 | ||||||||||
City of Watford City ND: | ||||||||||||
3.000%, 12/01/2020 (Insured by AGM) | 3,380,000 | 3,410,352 | ||||||||||
3.000%, 12/01/2021 (Insured by AGM) | 1,980,000 | 2,039,420 | ||||||||||
3.000%, 12/01/2023 (Insured by AGM) | 1,825,000 | 1,889,295 | ||||||||||
City of West Fargo ND: | ||||||||||||
4.000%, 05/01/2021 | 300,000 | 308,868 | ||||||||||
5.000%, 05/01/2022 | 200,000 | 216,494 | ||||||||||
4.000%, 05/01/2023 | 305,000 | 333,908 | ||||||||||
4.000%, 05/01/2024 | 900,000 | 1,009,755 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 775,000 | 819,369 | ||||||||||
4.500%, 11/01/2026 (Callable 11/01/2023) | 2,150,000 | 2,399,163 | ||||||||||
County of Burleigh ND: | ||||||||||||
3.000%, 11/01/2021 (Callable 02/18/2021) | 3,100,000 | 3,015,215 | ||||||||||
4.000%, 11/01/2021 | 1,000,000 | 1,039,680 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 400,000 | 426,036 | ||||||||||
4.500%, 07/01/2032 (Pre-refunded to 07/01/2022) | 360,000 | 387,158 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2024 (Callable 04/01/2023)(Insured by AGM) | 400,000 | 434,180 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 07/16/2020) | 1,025,000 | 1,031,950 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
4.000%, 07/01/2048 (Callable 01/01/2027) | 230,000 | 249,660 | ||||||||||
4.000%, 01/01/2051 (Callable 07/01/2029) | 2,500,000 | 2,800,050 | ||||||||||
Williston Public School District No. 1, | ||||||||||||
3.000%, 08/01/2026 (Callable 08/01/2024)(Insured by SD CRED PROG) | 1,015,000 | 1,089,400 | ||||||||||
Total North Dakota (Cost $27,358,408) | 27,835,258 | 2.4 | % | |||||||||
Ohio | ||||||||||||
Adams County/Ohio Valley Local School District, | ||||||||||||
4.000%, 12/01/2020 | 1,000,000 | 1,012,900 | ||||||||||
Alliance City School District, | ||||||||||||
2.500%, 12/01/2022 (Insured by SD CRED PROG) | 200,000 | 210,278 | ||||||||||
American Municipal Power, Inc.: | ||||||||||||
2.250%, 12/03/2020 | 665,000 | 670,353 | ||||||||||
2.250%, 12/10/2020 | 220,000 | 221,852 | ||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024) | 1,130,000 | 1,301,331 | ||||||||||
2.300%, 02/15/2038 (Callable 08/15/2021)(Mandatory Tender Date 02/15/2022) (1) | 2,885,000 | 2,892,011 | ||||||||||
2.250%, 02/15/2048 (Callable 02/15/2021)(Mandatory Tender Date 08/15/2021) (7) | 275,000 | 277,013 | ||||||||||
City of Huron OH, | ||||||||||||
3.125%, 12/01/2024 | 325,000 | 340,948 | ||||||||||
City of Lorain OH: | ||||||||||||
3.000%, 12/01/2021 (Insured by BAM) | 110,000 | 113,269 | ||||||||||
3.000%, 12/01/2022 (Insured by BAM) | 185,000 | 194,393 | ||||||||||
3.000%, 12/01/2023 (Insured by BAM) | 185,000 | 197,332 | ||||||||||
3.000%, 12/01/2024 (Insured by BAM) | 130,000 | 140,046 | ||||||||||
3.000%, 12/01/2025 (Insured by BAM) | 135,000 | 146,182 | ||||||||||
3.000%, 12/01/2026 (Insured by BAM) | 135,000 | 146,196 | ||||||||||
City of St. Clairsville OH, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 340,000 | 379,511 | ||||||||||
City of Tiffin OH, | ||||||||||||
2.500%, 12/01/2024 (Callable 12/01/2023) | 250,000 | 262,837 | ||||||||||
County of Franklin OH: | ||||||||||||
5.000%, 05/15/2027 (Callable 05/15/2023) | 1,000,000 | 1,109,560 | ||||||||||
5.000%, 05/15/2030 (Callable 05/15/2023) | 270,000 | 297,688 | ||||||||||
0.540%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 500,000 | 499,030 | ||||||||||
County of Holmes OH, | ||||||||||||
3.000%, 12/01/2022 (Callable 07/31/2020)(Insured by AGM) | 190,000 | 192,096 | ||||||||||
County of Lorain OH, | ||||||||||||
4.000%, 12/01/2020 | 140,000 | 141,922 | ||||||||||
County of Montgomery OH: | ||||||||||||
5.000%, 11/15/2024 | 1,460,000 | 1,629,170 | ||||||||||
5.000%, 11/15/2025 | 2,500,000 | 2,837,675 | ||||||||||
Cuyahoga Metropolitan Housing Authority: | ||||||||||||
3.000%, 12/01/2020 | 225,000 | 227,180 | ||||||||||
2.000%, 04/01/2022 (Mandatory Tender Date 04/01/2021) (1) | 420,000 | 423,461 | ||||||||||
3.000%, 12/01/2022 | 245,000 | 257,740 | ||||||||||
4.000%, 12/01/2023 | 310,000 | 342,472 | ||||||||||
4.000%, 12/01/2024 | 335,000 | 378,021 | ||||||||||
4.000%, 12/01/2025 | 335,000 | 384,486 | ||||||||||
Euclid City School District: | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 130,000 | 143,941 | ||||||||||
4.000%, 12/01/2025 (Insured by BAM) | 65,000 | 74,971 | ||||||||||
Field Local School District, | ||||||||||||
3.000%, 12/01/2023 (Callable 12/01/2020)(Insured by BAM) | 235,000 | 237,113 | ||||||||||
Great Oaks Career Campuses Board of Education: | ||||||||||||
4.000%, 12/01/2021 | 700,000 | 736,820 | ||||||||||
4.000%, 12/01/2022 | 400,000 | 434,256 | ||||||||||
Greater Cleveland Regional Transit Authority, | ||||||||||||
5.000%, 12/01/2023 | 145,000 | 167,173 | ||||||||||
Groveport-Madison Local School District, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022)(Insured by BAM) | 50,000 | 53,783 | ||||||||||
Madison Local School District, | ||||||||||||
2.250%, 10/01/2020 | 565,000 | 567,752 | ||||||||||
Miami University, | ||||||||||||
4.000%, 09/01/2027 (Callable 09/01/2022) | 160,000 | 170,326 | ||||||||||
Norton City School District, | ||||||||||||
4.000%, 11/01/2026 (Callable 11/01/2023)(Insured by SD CRED PROG) | 430,000 | 474,892 | ||||||||||
Ohio Higher Educational Facility Commission: | ||||||||||||
5.000%, 12/01/2020 | 35,000 | 35,515 | ||||||||||
5.000%, 11/01/2023 | 580,000 | 646,068 | ||||||||||
5.000%, 05/01/2024 | 705,000 | 787,203 | ||||||||||
5.000%, 05/01/2024 | 415,000 | 463,389 | ||||||||||
5.000%, 03/01/2025 | 685,000 | 734,416 | ||||||||||
5.000%, 05/01/2025 | 595,000 | 678,937 | ||||||||||
5.000%, 05/01/2025 | 455,000 | 519,187 | ||||||||||
5.000%, 05/01/2026 (Callable 05/01/2025) | 750,000 | 851,317 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 120,000 | 128,231 | ||||||||||
3.750%, 09/01/2050 (Callable 03/01/2029)(Insured by GNMA) | 2,000,000 | 2,224,040 | ||||||||||
Ohio Turnpike & Infrastructure Commission, | ||||||||||||
5.500%, 02/15/2024 | 1,185,000 | 1,339,548 | ||||||||||
Oregon City School District, | ||||||||||||
0.000%, 12/01/2021 | 245,000 | 243,464 | ||||||||||
Port of Greater Cincinnati Development Authority: | ||||||||||||
3.000%, 05/01/2023 (Callable 05/01/2022) | 5,805,000 | 5,794,435 | ||||||||||
3.125%, 11/15/2023 | 360,000 | 365,846 | ||||||||||
5.000%, 04/01/2026 (6) | 175,000 | 204,864 | ||||||||||
5.000%, 04/01/2027 (6) | 250,000 | 295,625 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 04/01/2029 (Callable 04/01/2023) | 25,000 | 27,975 | ||||||||||
5.000%, 01/15/2050 (Mandatory Tender Date 01/15/2025) (1) | 4,485,000 | 5,250,590 | ||||||||||
Toledo OH, | ||||||||||||
5.000%, 12/01/2022 | 150,000 | 163,446 | ||||||||||
Troy City School District, | ||||||||||||
2.050%, 12/01/2023 (Callable 12/01/2022) | 170,000 | 175,177 | ||||||||||
Village of Cuyahoga Heights OH: | ||||||||||||
4.000%, 12/01/2023 (Insured by AGM) | 95,000 | 104,412 | ||||||||||
4.000%, 12/01/2024 (Insured by AGM) | 100,000 | 112,290 | ||||||||||
Wauseon Exempted Village School District, | ||||||||||||
0.000%, 12/01/2021 (Insured by SD CRED PROG) | 400,000 | 397,268 | ||||||||||
Total Ohio (Cost $41,610,421) | 41,831,223 | 3.6 | % |
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 265,000 | 252,948 | ||||||||||
City of Midwest City OK: | ||||||||||||
3.000%, 06/01/2021 | 370,000 | 378,973 | ||||||||||
3.000%, 06/01/2023 | 485,000 | 518,130 | ||||||||||
Custer County Economic Development Authority: | ||||||||||||
4.000%, 12/01/2021 | 415,000 | 435,074 | ||||||||||
4.000%, 12/01/2023 | 450,000 | 499,545 | ||||||||||
Elk City Industrial Authority, | ||||||||||||
3.000%, 05/01/2022 | 105,000 | 109,521 | ||||||||||
Kingfisher County Educational Facilities Authority, | ||||||||||||
3.000%, 03/01/2023 | 385,000 | 408,012 | ||||||||||
Logan County Independent School District No. 1, | ||||||||||||
4.000%, 08/01/2020 | 25,000 | 25,072 | ||||||||||
Norman Regional Hospital Authority, | ||||||||||||
5.000%, 09/01/2020 | 50,000 | 50,290 | ||||||||||
Oklahoma County Finance Authority, | ||||||||||||
5.000%, 09/01/2024 | 350,000 | 413,025 | ||||||||||
Oklahoma Development Finance Authority: | ||||||||||||
4.000%, 08/01/2021 | 425,000 | 433,806 | ||||||||||
4.000%, 08/01/2022 | 535,000 | 558,069 | ||||||||||
5.000%, 08/01/2023 | 485,000 | 525,968 | ||||||||||
2.600%, 03/01/2024 | 1,000,000 | 985,860 | ||||||||||
5.000%, 08/01/2024 | 585,000 | 646,770 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
2.375%, 10/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 175,000 | 175,756 | ||||||||||
Oklahoma Municipal Power Authority, | ||||||||||||
0.500%, 01/01/2023 (SIFMA Municipal Swap Index + 0.390%) (2) | 205,000 | 203,171 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 04/01/2023 | 750,000 | 845,850 | ||||||||||
Purcell Public Works Authority: | ||||||||||||
5.000%, 03/01/2024 | 250,000 | 278,807 | ||||||||||
5.000%, 03/01/2025 | 200,000 | 227,244 | ||||||||||
5.000%, 03/01/2026 | 435,000 | 500,842 | ||||||||||
5.000%, 03/01/2027 | 880,000 | 1,023,458 | ||||||||||
Texas County Development Authority, | ||||||||||||
4.000%, 12/01/2023 | 675,000 | 748,595 | ||||||||||
Tulsa County Industrial Authority, | ||||||||||||
5.000%, 09/01/2024 | 400,000 | 470,040 | ||||||||||
Tulsa Industrial Authority, | ||||||||||||
5.000%, 10/01/2023 | 790,000 | 843,293 | ||||||||||
Total Oklahoma (Cost $11,438,426) | 11,558,119 | 1.0 | % | |||||||||
Oregon | ||||||||||||
Oregon State Business Development Commission, | ||||||||||||
2.400%, 12/01/2040 (Mandatory Tender Date 08/14/2023) (1) | 100,000 | 104,587 | ||||||||||
Oregon State Facilities Authority, | ||||||||||||
6.375%, 09/01/2040 (Pre-refunded to 09/01/2020) (3) | 1,000,000 | 1,009,740 | ||||||||||
Port of Morrow OR, | ||||||||||||
4.000%, 06/01/2026 (Callable 07/31/2020) | 220,000 | 220,576 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 05/01/2023 | 500,000 | 552,600 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 855,000 | 924,110 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
3.500%, 07/01/2032 (Callable 07/01/2026) | 3,325,000 | �� | 3,604,633 | |||||||||
3.875%, 01/01/2033 (Callable 07/01/2024) | 335,000 | 360,410 | ||||||||||
3.500%, 07/01/2036 (Callable 01/01/2025) | 115,000 | 120,887 | ||||||||||
4.500%, 01/01/2049 (Callable 07/01/2027) | 1,435,000 | 1,577,768 | ||||||||||
4.500%, 07/01/2049 (Callable 07/01/2027) | 445,000 | 492,054 | ||||||||||
Total Oregon (Cost $8,708,441) | 8,967,365 | 0.8 | % | |||||||||
Pennsylvania | ||||||||||||
Abington Heights School District Lackawanna County, | ||||||||||||
2.000%, 03/15/2023 (Callable 07/31/2020)(Insured by ST AID) | 195,000 | 195,209 | ||||||||||
Aliquippa Municipal Water Authority, | ||||||||||||
2.000%, 11/15/2023 (Callable 11/15/2022)(Insured by BAM) | 250,000 | 257,355 | ||||||||||
Allegheny County Higher Education Building Authority, | ||||||||||||
5.000%, 03/01/2023 (Callable 03/01/2021) | 250,000 | 255,702 | ||||||||||
Allegheny County Hospital Development Authority: | ||||||||||||
5.000%, 07/15/2021 | 2,525,000 | 2,630,722 | ||||||||||
4.125%, 10/15/2026 (Callable 10/15/2021) | 55,000 | 56,829 | ||||||||||
Allentown City School District, | ||||||||||||
2.375%, 03/31/2021 (Callable 12/31/2020)(Insured by ST AID) | 1,500,000 | 1,500,000 | ||||||||||
Berks County Municipal Authority: | ||||||||||||
5.000%, 02/01/2024 | 435,000 | 483,333 | ||||||||||
5.000%, 02/01/2025 | 465,000 | 527,659 | ||||||||||
5.000%, 02/01/2040 (Callable 08/01/2026)(Mandatory Tender Date 02/01/2027) (1) | 1,000,000 | 1,145,740 | ||||||||||
Blacklick Valley School District: | ||||||||||||
5.000%, 11/15/2020 (Insured by MAC) | 130,000 | 132,175 | ||||||||||
5.000%, 11/15/2021 (Insured by MAC) | 170,000 | 180,185 | ||||||||||
5.000%, 11/15/2022 (Insured by MAC) | 175,000 | 193,051 | ||||||||||
5.000%, 11/15/2023 (Insured by MAC) | 190,000 | 217,259 | ||||||||||
5.000%, 11/15/2024 (Insured by MAC) | 200,000 | 235,872 | ||||||||||
Borough of Lewistown PA: | ||||||||||||
4.000%, 09/01/2022 (Insured by AGM) | 265,000 | 283,926 | ||||||||||
4.000%, 09/01/2023 (Insured by AGM) | 315,000 | 347,077 | ||||||||||
4.000%, 09/01/2024 (Insured by AGM) | 100,000 | 112,889 | ||||||||||
Caernarvon Township Authority: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) | 100,000 | 110,183 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) | 140,000 | 158,106 | ||||||||||
4.000%, 09/01/2025 (Callable 09/01/2024)(Insured by MAC) | 100,000 | 112,100 | ||||||||||
4.000%, 09/01/2026 (Callable 09/01/2024)(Insured by MAC) | 150,000 | 167,509 | ||||||||||
4.000%, 09/01/2027 (Callable 09/01/2024)(Insured by MAC) | 130,000 | 144,751 | ||||||||||
4.000%, 09/01/2028 (Callable 09/01/2024)(Insured by MAC) | 165,000 | 183,363 | ||||||||||
4.000%, 09/01/2029 (Callable 09/01/2024)(Insured by MAC) | 170,000 | 188,493 | ||||||||||
4.000%, 09/01/2030 (Callable 09/01/2024)(Insured by MAC) | 175,000 | 193,578 | ||||||||||
4.000%, 09/01/2032 (Callable 09/01/2024)(Insured by MAC) | 375,000 | 411,769 | ||||||||||
Carmichaels Area School District: | ||||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 100,000 | 106,896 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 155,000 | 170,221 | ||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 220,000 | 247,009 | ||||||||||
Catholic Health Initiatives, | ||||||||||||
4.000%, 05/15/2022 (Pre-refunded to 05/15/2021)(Insured by ST AID) | 50,000 | 51,565 | ||||||||||
Centennial School District Bucks County, | ||||||||||||
5.000%, 12/15/2022 (Insured by ST AID) | 50,000 | 55,645 | ||||||||||
Central Bradford Progress Authority, | ||||||||||||
5.000%, 12/01/2026 (Pre-refunded to 12/01/2021) | 415,000 | 441,826 | ||||||||||
City of Philadelphia PA, | ||||||||||||
5.250%, 06/15/2030 (Callable 07/31/2020) | 2,665,000 | 2,685,014 | ||||||||||
Coatesville School District, | ||||||||||||
5.000%, 08/01/2023 (Insured by AGM) | 150,000 | 168,981 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 265,000 | 285,717 | ||||||||||
5.000%, 06/01/2023 | 225,000 | 252,925 | ||||||||||
Commonwealth of Pennsylvania, | ||||||||||||
3.750%, 10/01/2021 (Callable 07/31/2020) | 175,000 | 175,432 | ||||||||||
County of Allegheny PA, | ||||||||||||
1.010%, 11/01/2026 (3 Month LIBOR USD + 0.550%) (Callable 07/31/2020)(Insured by AGM) (2) | 745,000 | 735,546 | ||||||||||
County of Lackawanna PA, | ||||||||||||
3.000%, 03/15/2021 (Insured by BAM) | 215,000 | 218,719 | ||||||||||
County of McKean PA: | ||||||||||||
4.000%, 11/01/2022 (Insured by BAM) | 120,000 | 129,060 | ||||||||||
4.000%, 11/01/2023 (Insured by BAM) | 395,000 | 436,712 | ||||||||||
Crawford Central School District: | ||||||||||||
4.000%, 02/15/2022 (Insured by BAM) | 275,000 | 290,504 | ||||||||||
4.000%, 02/15/2024 (Insured by BAM) | 1,505,000 | 1,674,403 | ||||||||||
4.000%, 02/15/2025 (Insured by BAM) | 2,455,000 | 2,790,525 | ||||||||||
Cumberland County Municipal Authority, | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025) | 1,125,000 | 1,186,582 | ||||||||||
East Allegheny School District, | ||||||||||||
0.000%, 11/15/2021 (Insured by AGM) | 480,000 | 475,853 | ||||||||||
East Hempfield Township Industrial Development Authority, | ||||||||||||
5.000%, 07/01/2029 (Callable 07/01/2024) | 730,000 | 739,753 | ||||||||||
Eastern York School District, | ||||||||||||
2.250%, 09/01/2025 (Callable 07/28/2020)(Insured by BAM) | 685,000 | 685,644 | ||||||||||
Easton Area School District, | ||||||||||||
4.000%, 04/01/2030 (Callable 10/01/2024)(Insured by ST AID) | 1,150,000 | 1,279,685 | ||||||||||
Elizabeth Forward School District, | ||||||||||||
0.000%, 09/01/2022 (ETM)(Insured by NATL) | 250,000 | 247,100 | ||||||||||
Erie City Water Authority, | ||||||||||||
4.000%, 12/01/2025 (Pre-refunded to 12/01/2022)(Insured by AGM) | 385,000 | 417,775 | ||||||||||
Greater Hazleton Joint Sewer Authority: | ||||||||||||
4.000%, 05/15/2022 (Insured by BAM) | 255,000 | 271,932 | ||||||||||
4.000%, 05/15/2023 (Insured by BAM) | 460,000 | 504,031 | ||||||||||
4.000%, 05/15/2024 (Insured by BAM) | 325,000 | 366,047 | ||||||||||
4.000%, 05/15/2025 (Insured by BAM) | 255,000 | 293,355 | ||||||||||
Hamburg Area School District, | ||||||||||||
4.000%, 04/01/2024 (Insured by ST AID) | 845,000 | 945,403 | ||||||||||
Hazleton Area School District, | ||||||||||||
4.000%, 03/01/2025 (Insured by BAM) | 430,000 | 487,353 | ||||||||||
Indiana Area School District, | ||||||||||||
2.250%, 09/01/2022 (Callable 07/31/2020)(Insured by BAM) | 950,000 | 950,741 | ||||||||||
Indiana County Industrial Development Authority, | ||||||||||||
1.450%, 09/01/2020 (Callable 07/31/2020) | 2,505,000 | 2,501,769 | ||||||||||
Lackawanna County Industrial Development Authority, | ||||||||||||
5.000%, 11/01/2021 | 450,000 | 469,386 | ||||||||||
Lancaster Higher Education Authority, | ||||||||||||
5.000%, 10/01/2022 (Insured by BAM) | 35,000 | 38,504 | ||||||||||
Lancaster Industrial Development Authority, | ||||||||||||
5.000%, 05/01/2022 (ETM) | 45,000 | 48,273 | ||||||||||
Lehigh County Industrial Development Authority, | ||||||||||||
1.800%, 09/01/2029 (Mandatory Tender Date 09/01/2022) (1) | 5,030,000 | 5,084,877 | ||||||||||
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 | 1,324,336 | ||||||||||
Meyersdale Area School District, | ||||||||||||
3.000%, 05/01/2021 (Insured by BAM) | 545,000 | 555,404 | ||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 1,660,000 | 1,680,318 | ||||||||||
Montgomery County Industrial Development Authority: | ||||||||||||
4.000%, 12/01/2021 | 100,000 | 101,720 | ||||||||||
4.000%, 12/01/2022 | 90,000 | 92,423 | ||||||||||
4.000%, 12/01/2023 | 125,000 | 129,434 | ||||||||||
4.000%, 12/01/2024 | 100,000 | 104,349 | ||||||||||
4.000%, 12/01/2025 | 140,000 | 146,641 | ||||||||||
2.600%, 03/01/2034 (Mandatory Tender Date 09/01/2020) (1) | 260,000 | 260,798 | ||||||||||
North East School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 445,000 | 446,059 | ||||||||||
North Penn Water Authority: | ||||||||||||
0.270%, 11/01/2020 (SIFMA Municipal Swap Index + 0.160%) (2) | 640,000 | 639,200 | ||||||||||
0.670%, 11/01/2024 (SIFMA Municipal Swap Index + 0.560%) (Callable 11/01/2023) (2) | 845,000 | 835,046 | ||||||||||
North Pocono School District, | ||||||||||||
4.000%, 03/15/2024 (Insured by BAM) | 230,000 | 257,310 | ||||||||||
Northampton County General Purpose Authority: | ||||||||||||
5.000%, 10/01/2021 | 100,000 | 102,661 | ||||||||||
1.160%, 08/15/2048 (1 Month LIBOR USD + 1.040%) (Callable 02/15/2023)(Mandatory Tender Date 08/15/2024) (2) | 75,000 | 74,585 | ||||||||||
Octorara Area School District, | ||||||||||||
4.000%, 04/01/2025 (Insured by AGM) | 355,000 | 407,828 | ||||||||||
Palmyra Area School District, | ||||||||||||
5.000%, 06/01/2030 (Callable 06/01/2025)(Insured by ST AID) | 400,000 | 477,700 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
2.800%, 12/01/2033 (Mandatory Tender Date 12/01/2021) (1) | 320,000 | 327,882 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 (ETM) | 185,000 | 187,100 | ||||||||||
5.000%, 08/15/2024 (Pre-refunded to 08/15/2021) | 185,000 | 194,688 | ||||||||||
5.000%, 05/01/2025 | 575,000 | 658,116 | ||||||||||
5.000%, 05/01/2026 | 80,000 | 93,538 | ||||||||||
2.850%, 05/01/2034 (Mandatory Tender Date 05/01/2021) (1) | 495,000 | 501,767 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 2,500,000 | 2,544,650 | ||||||||||
3.700%, 10/01/2042 (Callable 10/01/2021) | 155,000 | 157,193 | ||||||||||
4.000%, 10/01/2046 (Callable 04/01/2026) | 150,000 | 160,742 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 5,905,000 | 6,409,346 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
1.090%, 12/01/2021 (SIFMA Municipal Swap Index + 0.980%) (Callable 06/01/2021) (2) | 915,000 | 912,420 | ||||||||||
5.000%, 12/01/2022 | 50,000 | 54,507 | ||||||||||
0.000%, 12/01/2023 | 50,000 | 47,709 | ||||||||||
5.450%, 12/01/2035 (Pre-refunded to 12/01/2020)(Insured by AGM) (7) | 40,000 | 40,860 | ||||||||||
Perkasie Regional Authority, | ||||||||||||
4.000%, 02/01/2023 (Insured by BAM) | 460,000 | 499,532 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
0.760%, 09/01/2040 (1 Month LIBOR USD + 0.640%) (Callable 07/16/2020)(Mandatory Tender Date 12/01/2020)(Insured by AGM) (2) | 750,000 | 746,843 | ||||||||||
Quakertown Community School District, | ||||||||||||
2.150%, 08/01/2025 (Callable 02/01/2021)(Insured by ST AID) | 1,090,000 | 1,097,848 | ||||||||||
Reading School District: | ||||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 160,000 | 174,554 | ||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 565,000 | 616,392 | ||||||||||
5.000%, 04/01/2023 (Insured by BAM) | 750,000 | 838,605 | ||||||||||
4.000%, 04/01/2024 (Insured by BAM) | 615,000 | 688,074 | ||||||||||
5.000%, 04/01/2024 (Insured by BAM) | 2,250,000 | 2,600,280 | ||||||||||
Sayre Area School District: | ||||||||||||
3.000%, 05/15/2022 (Insured by BAM) | 25,000 | 26,066 | ||||||||||
3.000%, 05/15/2024 (Insured by BAM) | 25,000 | 27,125 | ||||||||||
Sayre Health Care Facilities Authority, | ||||||||||||
1.015%, 12/01/2024 (3 Month LIBOR USD + 0.780%) (Callable 07/31/2020) (2) | 140,000 | 138,596 | ||||||||||
School District of Philadelphia: | ||||||||||||
5.000%, 06/01/2024 | 320,000 | 368,714 | ||||||||||
5.000%, 09/01/2025 (Insured by ST AID) | 500,000 | 596,675 | ||||||||||
5.000%, 09/01/2026 (Insured by ST AID) | 1,000,000 | 1,221,620 | ||||||||||
School District of Reading, | ||||||||||||
5.000%, 03/01/2024 (Insured by AGM) | 100,000 | 115,254 | ||||||||||
School District of the City of Erie: | ||||||||||||
5.000%, 04/01/2023 | 265,000 | 295,923 | ||||||||||
5.000%, 04/01/2024 | 230,000 | 265,806 | ||||||||||
5.000%, 04/01/2024 (Insured by AGM) | 250,000 | 288,920 | ||||||||||
Schuylkill Haven Area School District, | ||||||||||||
2.625%, 09/01/2026 (Callable 09/01/2020)(Insured by MAC) | 1,115,000 | 1,119,226 | ||||||||||
Scranton School District, | ||||||||||||
0.966%, 04/01/2031 (1 Month LIBOR USD + 0.850%) (Callable 10/01/2020)(Mandatory Tender Date 04/01/2021)(Insured by ST AID) (2) | 260,000 | 259,459 | ||||||||||
Scranton-Lackawanna Health and Welfare Authority: | ||||||||||||
5.000%, 11/01/2023 | 30,000 | 33,098 | ||||||||||
5.000%, 11/01/2025 | 40,000 | 46,070 | ||||||||||
Sharpsville Area School District, | ||||||||||||
2.000%, 09/15/2020 (Callable 07/31/2020)(Insured by ST AID) | 1,020,000 | 1,021,244 | ||||||||||
Steel Valley School District: | ||||||||||||
3.000%, 11/01/2021 (Insured by BAM) | 100,000 | 101,865 | ||||||||||
4.000%, 11/01/2022 (Insured by BAM) | 190,000 | 203,933 | ||||||||||
4.000%, 11/01/2024 (Insured by BAM) | 260,000 | 292,513 | ||||||||||
4.000%, 11/01/2024 (Insured by BAM) | 50,000 | 56,252 | ||||||||||
4.000%, 11/01/2025 (Insured by BAM) | 270,000 | 308,845 | ||||||||||
4.000%, 11/01/2025 (Insured by BAM) | 50,000 | 57,194 | ||||||||||
4.000%, 11/01/2026 (Insured by BAM) | 280,000 | 324,027 | ||||||||||
Susquenita School District, | ||||||||||||
2.000%, 09/01/2021 (Callable 09/01/2020)(Insured by MAC) | 300,000 | 300,687 | ||||||||||
Township of Hampton PA, | ||||||||||||
5.900%, 02/01/2023 | 125,000 | 140,884 | ||||||||||
Township of North Fayette PA, | ||||||||||||
4.000%, 04/15/2025 (Callable 04/15/2024) | 210,000 | 234,734 | ||||||||||
University of Pittsburgh-of the Commonwealth System of Higher Education: | ||||||||||||
0.350%, 09/15/2021 (SIFMA Municipal Swap Index + 0.240%) (Callable 03/15/2021) (2) | 100,000 | 99,861 | ||||||||||
0.470%, 02/15/2024 (SIFMA Municipal Swap Index + 0.360%) (Callable 08/15/2023) (2) | 2,500,000 | 2,493,775 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 200,000 | 200,556 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
0.000%, 08/15/2023 (ETM) | 220,000 | 214,922 | ||||||||||
Wilkes-Barre Finance Authority, | ||||||||||||
5.000%, 11/01/2024 | 15,000 | 16,938 | ||||||||||
York City School District, | ||||||||||||
4.000%, 05/01/2025 (Insured by BAM) | 3,070,000 | 3,542,903 | ||||||||||
Total Pennsylvania (Cost $79,810,726) | 80,937,741 | 6.9 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highway & Transportation Authority, | ||||||||||||
4.600%, 07/01/2022 (ETM)(Insured by NATL) | 25,000 | 27,066 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 305,000 | 329,742 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 375,000 | 488,947 | ||||||||||
Puerto Rico Sales Tax Financing Corp., | ||||||||||||
0.000%, 07/01/2024 | 1,376,000 | 1,239,803 | ||||||||||
Total Puerto Rico (Cost $1,970,758) | 2,085,558 | 0.2 | % | |||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 140,000 | 145,885 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp.: | ||||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 35,000 | 36,186 | ||||||||||
3.750%, 10/01/2049 (Callable 04/01/2029) | 2,250,000 | 2,476,800 | ||||||||||
Total Rhode Island (Cost $2,616,819) | 2,658,871 | 0.2 | % |
South Carolina | ||||||||||||
Barnwell Facilities Corp.: | ||||||||||||
5.000%, 09/01/2023 (Insured by BAM) | 285,000 | 323,589 | ||||||||||
5.000%, 09/01/2024 (Insured by BAM) | 280,000 | 328,023 | ||||||||||
City of Myrtle Beach SC, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 101,117 | ||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2023 (Insured by BAM) | 320,000 | 360,112 | ||||||||||
Greenville Health System, | ||||||||||||
5.000%, 05/01/2026 (Callable 05/01/2022) | 1,045,000 | 1,108,275 | ||||||||||
Greenwood Fifty School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2027 (Callable 06/01/2026)(Insured by BAM) | 1,125,000 | 1,322,651 | ||||||||||
Piedmont Municipal Power Agency, | ||||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 185,000 | 219,736 | ||||||||||
Scago Educational Facilities Corp. for Marro School District, | ||||||||||||
4.250%, 12/01/2029 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 101,217 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.250%, 08/01/2030 (Pre-refunded to 08/01/2023) | 110,000 | 126,244 | ||||||||||
6.000%, 08/01/2031 (Pre-refunded to 08/01/2021)(Insured by AGM) | 125,000 | 132,427 | ||||||||||
6.500%, 08/01/2039 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,570,000 | 1,670,841 | ||||||||||
South Carolina State Housing Finance & Development Authority: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2025)(Insured by GNMA) | 175,000 | 188,937 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027) | 650,000 | 701,181 | ||||||||||
4.500%, 07/01/2048 (Callable 07/01/2027) | 500,000 | 553,175 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 2,330,000 | 2,603,076 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 2,000,000 | 2,247,540 | ||||||||||
South Carolina Transportation Infrastructure Bank, | ||||||||||||
0.565%, 10/01/2031 (1 Month LIBOR USD + 0.450%) (Callable 10/01/2021)(Mandatory Tender Date 10/01/2022) (2) | 6,980,000 | 6,890,586 | ||||||||||
Spartanburg Regional Health Services District, | ||||||||||||
5.000%, 04/15/2023 (Insured by AGM) (6) | 350,000 | 389,270 | ||||||||||
Total South Carolina (Cost $18,989,155) | 19,367,997 | 1.7 | % | |||||||||
South Dakota | ||||||||||||
Aberdeen School District No. 6-1, | ||||||||||||
2.200%, 01/01/2023 (Callable 07/31/2020) | 255,000 | 255,344 | ||||||||||
City of Rapid City SD, | ||||||||||||
5.000%, 12/01/2025 | 310,000 | 362,248 | ||||||||||
Total South Dakota (Cost $615,291) | 617,592 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN: | ||||||||||||
5.000%, 04/01/2024 | 250,000 | 285,135 | ||||||||||
5.000%, 04/01/2027 (Callable 04/01/2025) | 665,000 | 770,928 | ||||||||||
Clarksville Natural Gas Acquisition Corp., | ||||||||||||
5.000%, 12/15/2021 | 185,000 | 194,472 | ||||||||||
County of Hardin TN: | ||||||||||||
5.000%, 06/01/2021 (Insured by AGM) | 1,420,000 | 1,479,654 | ||||||||||
5.000%, 06/01/2022 (Insured by AGM) | 1,465,000 | 1,596,601 | ||||||||||
Franklin County Health & Educational Facilities Board, | ||||||||||||
2.400%, 12/01/2021 (Mandatory Tender Date 12/01/2020) (1) | 200,000 | 201,318 | ||||||||||
Hollow Rock-Bruceton Special School District, | ||||||||||||
3.000%, 04/01/2023 | 346,000 | 368,556 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
1.500%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 650,000 | 655,421 | ||||||||||
5.000%, 11/15/2022 | 400,000 | 437,188 | ||||||||||
Memphis Health Educational & Housing Facility Board, | ||||||||||||
6.750%, 12/01/2046 (Pre-refunded to 06/01/2021) | 870,000 | 917,467 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
1.300%, 12/01/2020 | 5,000,000 | 5,011,550 | ||||||||||
2.100%, 04/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 250,000 | 250,905 | ||||||||||
0.000%, 06/01/2021 (ETM) | 30,000 | 29,869 | ||||||||||
1.875%, 07/01/2021 (Mandatory Tender Date 07/01/2020) (1) | 100,000 | 100,000 | ||||||||||
Rutherford County Health & Educational Facilities Board, | ||||||||||||
2.500%, 11/01/2021 (Mandatory Tender Date 11/01/2020) (1) | 150,000 | 150,892 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.625%, 09/01/2026 | 2,755,000 | 3,311,455 | ||||||||||
4.000%, 11/01/2049 (Callable 08/01/2025)(Mandatory Tender Date 11/01/2025) (1) | 330,000 | 373,642 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.000%, 07/01/2025 (Callable 01/01/2021) | 160,000 | 162,955 | ||||||||||
3.050%, 07/01/2029 (Callable 07/01/2024) | 140,000 | 148,705 | ||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,525,000 | 1,593,061 | ||||||||||
3.850%, 07/01/2032 (Callable 01/01/2025) | 1,735,000 | 1,883,724 | ||||||||||
4.000%, 07/01/2039 (Callable 01/01/2024) | 975,000 | 1,026,977 | ||||||||||
4.200%, 07/01/2042 (Callable 01/01/2022) | 370,000 | 379,276 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 790,000 | 859,497 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 200,000 | 205,018 | ||||||||||
4.000%, 01/01/2046 (Callable 01/01/2025) | 35,000 | 37,425 | ||||||||||
3.750%, 01/01/2050 (Callable 01/01/2029) | 1,085,000 | 1,201,117 | ||||||||||
Wilson County Water & Wastewater Authority, | ||||||||||||
0.000%, 03/01/2022 | 300,000 | 294,582 | ||||||||||
Total Tennessee (Cost $23,303,902) | 23,927,390 | 2.1 | % |
Texas | ||||||||||||
Alvin Independent School District, | ||||||||||||
1.250%, 02/15/2033 (Mandatory Tender Date 08/15/2022)(PSF Guaranteed) (1) | 300,000 | 303,858 | ||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 1,290,000 | 1,355,016 | ||||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 375,000 | 393,900 | ||||||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 350,000 | 382,088 | ||||||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 325,000 | 367,894 | ||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 535,000 | 625,180 | ||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 50,000 | 60,209 | ||||||||||
4.000%, 08/15/2026 (PSF Guaranteed) | 200,000 | 232,572 | ||||||||||
Bandera Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 460,000 | 535,307 | ||||||||||
Bay Colony West Municipal Utility District, | ||||||||||||
2.000%, 10/01/2020 (Insured by NATL) | 175,000 | 175,507 | ||||||||||
Beaumont Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 120,000 | 144,340 | ||||||||||
Bexar County Health Facilities Development Corp., | ||||||||||||
6.200%, 07/01/2045 (Pre-refunded to 07/01/2020) | 225,000 | 225,000 | ||||||||||
Boerne Public Facilities Corp., | ||||||||||||
2.750%, 11/01/2022 (Mandatory Tender Date 11/01/2021) (1) | 265,000 | 273,310 | ||||||||||
Brazoria County Municipal Utility District No. 17, | ||||||||||||
4.000%, 09/01/2024 (Callable 09/01/2023)(Insured by MAC) | 175,000 | 192,094 | ||||||||||
Brazoria-Fort Bend County Municipal Utility District No. 1, | ||||||||||||
2.000%, 09/01/2020 (Insured by BAM) | 955,000 | 956,757 | ||||||||||
Burleson Independent School District, | ||||||||||||
2.500%, 02/01/2047 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 125,000 | 128,939 | ||||||||||
Capital Area Housing Finance Corp., | ||||||||||||
2.100%, 09/01/2037 (Callable 08/01/2021)(Mandatory Tender Date 09/01/2022) (1) | 1,215,000 | 1,233,018 | ||||||||||
Central Texas Regional Mobility Authority: | ||||||||||||
5.000%, 01/01/2022 | 460,000 | 479,145 | ||||||||||
5.000%, 01/01/2045 (Callable 07/31/2020)(Mandatory Tender Date 01/07/2021) (1) | 310,000 | 310,242 | ||||||||||
Central Texas Turnpike System: | ||||||||||||
5.000%, 08/15/2023 | 180,000 | 197,946 | ||||||||||
0.000%, 08/15/2024 (ETM)(Insured by AMBAC) | 700,000 | 684,061 | ||||||||||
5.000%, 08/15/2027 (Callable 08/15/2024) | 205,000 | 228,719 | ||||||||||
Cibolo Canyons Special Improvement District: | ||||||||||||
5.000%, 08/15/2021 (Insured by AGM) | 65,000 | 67,961 | ||||||||||
5.000%, 08/15/2022 (Insured by AGM) | 365,000 | 396,842 | ||||||||||
Cimarron Municipal Utility District, | ||||||||||||
4.000%, 03/01/2025 (Insured by AGM) | 70,000 | 79,782 | ||||||||||
Cinco Municipal Utility District, | ||||||||||||
4.000%, 12/01/2023 (Insured by BAM) | 690,000 | 763,506 | ||||||||||
City of Bullard TX, | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 135,000 | 135,590 | ||||||||||
City of Dallas TX, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2024) | 510,000 | 585,750 | ||||||||||
City of Elgin TX: | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 155,000 | 169,616 | ||||||||||
4.000%, 07/15/2023 (Insured by BAM) | 50,000 | 54,731 | ||||||||||
City of Hearne TX: | ||||||||||||
3.000%, 08/01/2022 (Insured by BAM) | 225,000 | 235,638 | ||||||||||
3.000%, 08/01/2023 (Insured by BAM) | 230,000 | 245,361 | ||||||||||
3.000%, 08/01/2024 (Insured by BAM) | 240,000 | 259,793 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2024 (ETM)(Insured by AGM) | 90,000 | 87,613 | ||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 925,000 | 1,080,890 | ||||||||||
0.000%, 12/01/2025 (ETM)(Insured by AGM) | 375,000 | 361,665 | ||||||||||
0.488%, 05/15/2034 (1 Month LIBOR USD + 0.360%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 975,000 | 962,393 | ||||||||||
City of Madisonville TX, | ||||||||||||
4.000%, 08/15/2026 (Callable 08/15/2020)(Insured by AGM) | 295,000 | 296,047 | ||||||||||
City of Mission TX, | ||||||||||||
3.500%, 02/15/2027 (Callable 02/15/2021)(Insured by AGM) | 110,000 | 111,453 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2023 | 130,000 | 144,082 | ||||||||||
4.000%, 12/01/2024 | 250,000 | 283,960 | ||||||||||
City of Royse City TX, | ||||||||||||
4.000%, 08/15/2020 (Insured by AGM) | 150,000 | 150,668 | ||||||||||
City of San Antonio TX: | ||||||||||||
2.000%, 02/01/2033 (Callable 06/01/2021)(Mandatory Tender Date 12/01/2021) (1) | 100,000 | 101,347 | ||||||||||
3.000%, 12/01/2045 (Mandatory Tender Date 12/01/2020) (1) | 960,000 | 969,869 | ||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,055,000 | 1,109,280 | ||||||||||
City of Victoria TX, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020) | 410,000 | 411,681 | ||||||||||
Clear Creek Independent School District: | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 115,000 | 134,052 | ||||||||||
1.350%, 02/15/2032 (Mandatory Tender Date 08/15/2022)(PSF Guaranteed) (1) | 2,450,000 | 2,481,997 | ||||||||||
1.450%, 02/15/2035 (Mandatory Tender Date 08/14/2020)(PSF Guaranteed) (1) | 315,000 | 315,337 | ||||||||||
2.150%, 02/15/2038 (Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (1) | 250,000 | 254,525 | ||||||||||
Clyde Education Facilities Corp., | ||||||||||||
4.000%, 08/15/2021 (PSF Guaranteed) | 140,000 | 145,446 | ||||||||||
Collin County Water Control & Improvement District No. 3: | ||||||||||||
2.000%, 09/15/2022 (Insured by BAM) | 315,000 | 323,993 | ||||||||||
2.000%, 09/15/2023 (Insured by BAM) | 335,000 | 347,780 | ||||||||||
2.000%, 09/15/2024 (Insured by BAM) | 350,000 | 365,589 | ||||||||||
Corpus Christi Busines & Job Development Corp., | ||||||||||||
5.000%, 09/01/2021 | 1,000,000 | 1,043,180 | ||||||||||
Cotulla Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 112,034 | ||||||||||
County of Archer TX, | ||||||||||||
4.000%, 02/15/2024 | 350,000 | 389,529 | ||||||||||
County of Bexar TX, | ||||||||||||
5.000%, 06/15/2029 (Callable 06/15/2026) | 840,000 | 1,043,381 | ||||||||||
County of Harris TX: | ||||||||||||
5.000%, 10/01/2028 (Pre-refunded to 10/01/2021) | 135,000 | 142,787 | ||||||||||
5.000%, 08/15/2030 (Callable 08/15/2022) | 1,430,000 | 1,567,795 | ||||||||||
County of McLennan TX, | ||||||||||||
5.000%, 06/01/2025 (Insured by AGM) | 240,000 | 280,080 | ||||||||||
County of Randall TX, | ||||||||||||
4.200%, 08/01/2029 (Callable 08/01/2020) | 885,000 | 887,814 | ||||||||||
County of Winkler TX, | ||||||||||||
2.000%, 02/15/2025 | 250,000 | 249,698 | ||||||||||
Cypress-Fairbanks Independent School District: | ||||||||||||
1.250%, 02/15/2040 (Mandatory Tender Date 08/15/2022)(PSF Guaranteed) (1) | 575,000 | 578,996 | ||||||||||
2.125%, 02/15/2040 (Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (1) | 100,000 | 101,782 | ||||||||||
Dallas Convention Center Hotel Development Corp., | ||||||||||||
0.000%, 01/01/2025 | 4,450,000 | 3,831,539 | ||||||||||
Dallas County Utility & Reclamation District, | ||||||||||||
5.000%, 02/15/2026 | 190,000 | 231,751 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 45,000 | 48,406 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) | 305,000 | 328,089 | ||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 740,000 | 796,018 | ||||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 745,000 | 796,368 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029 (ETM) | 1,500,000 | 1,844,115 | ||||||||||
Deer Park Independent School District, | ||||||||||||
1.550%, 10/01/2042 (Mandatory Tender Date 10/01/2020)(PSF Guaranteed) (1) | 3,000,000 | 3,007,530 | ||||||||||
Denton County Fresh Water Supply District No. 6, | ||||||||||||
4.000%, 02/15/2023 (Insured by BAM) | 275,000 | 298,523 | ||||||||||
Denton Independent School District, | ||||||||||||
2.000%, 08/01/2044 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,580,000 | 1,656,930 | ||||||||||
Everman Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 125,000 | 149,974 | ||||||||||
Fort Bend County Municipal Utility District No. 116, | ||||||||||||
4.000%, 09/01/2025 (Callable 09/01/2024)(Insured by BAM) | 325,000 | 365,173 | ||||||||||
Fort Bend County Municipal Utility District No. 134B, | ||||||||||||
4.625%, 09/01/2024 (Insured by AGM) | 320,000 | 372,554 | ||||||||||
Fort Bend County Municipal Utility District No. 134E, | ||||||||||||
4.500%, 09/01/2022 (Insured by BAM) (6) | 330,000 | 355,697 | ||||||||||
Fort Bend County Municipal Utility District No. 139: | ||||||||||||
4.000%, 09/01/2022 (Insured by BAM) | 180,000 | 192,413 | ||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 190,000 | 208,344 | ||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 200,000 | 224,120 | ||||||||||
Fort Bend County Municipal Utility District No. 23: | ||||||||||||
3.000%, 09/01/2020 (Insured by BAM) | 300,000 | 301,290 | ||||||||||
3.000%, 09/01/2021 (Callable 09/01/2020)(Insured by BAM) | 340,000 | 341,339 | ||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by BAM) | 345,000 | 346,325 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2024 (Insured by BAM) | 500,000 | 559,650 | ||||||||||
Fort Bend County Municipal Utility District No. 48, | ||||||||||||
2.000%, 10/01/2020 (Insured by BAM) | 125,000 | 125,362 | ||||||||||
Fort Bend County Municipal Utility District No. 58, | ||||||||||||
3.500%, 04/01/2024 (Insured by AGM) | 125,000 | 136,481 | ||||||||||
Fort Bend County Municipal Utility District No. 81, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2020)(Insured by AGM) | 440,000 | 441,456 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
1.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 1,140,000 | 1,151,902 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 150,000 | 152,938 | ||||||||||
Friendswood Independent School District, | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 145,000 | 174,042 | ||||||||||
Goose Creek Consolidated Independent School District, | ||||||||||||
3.000%, 10/01/2049 (Mandatory Tender Date 10/01/2020)(PSF Guaranteed) (1) | 3,500,000 | 3,521,315 | ||||||||||
Grand Parkway Transportation Corp., | ||||||||||||
5.000%, 02/01/2023 | 740,000 | 799,896 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
5.000%, 07/01/2049 (Callable 09/01/2026)(Mandatory Tender Date 12/01/2026) (1) | 400,000 | 480,716 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.750%, 07/01/2027 (ETM) | 1,010,000 | 1,231,887 | ||||||||||
5.750%, 07/01/2027 (ETM) | 4,350,000 | 5,319,832 | ||||||||||
Harris County Municipal Utility District No. 109, | ||||||||||||
4.000%, 10/01/2027 (Callable 10/01/2021)(Insured by BAM) | 460,000 | 477,103 | ||||||||||
Harris County Municipal Utility District No. 120, | ||||||||||||
3.250%, 08/01/2025 (Callable 08/01/2020)(Insured by AGM) | 350,000 | 350,637 | ||||||||||
Harris County Municipal Utility District No. 153, | ||||||||||||
4.000%, 09/01/2023 (Callable 09/01/2022)(Insured by BAM) | 100,000 | 107,371 | ||||||||||
Harris County Municipal Utility District No. 276, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 445,000 | 483,421 | ||||||||||
Harris County Municipal Utility District No. 284: | ||||||||||||
4.000%, 09/01/2023 (Insured by MAC) | 370,000 | 405,724 | ||||||||||
4.000%, 09/01/2024 (Insured by MAC) | 135,000 | 151,398 | ||||||||||
Harris County Municipal Utility District No. 285, | ||||||||||||
3.000%, 09/01/2022 (Callable 09/01/2020)(Insured by AGM) | 185,000 | 185,827 | ||||||||||
Harris County Municipal Utility District No. 374, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 225,000 | 243,659 | ||||||||||
Harris County Municipal Utility District No. 433, | ||||||||||||
4.000%, 09/01/2020 (Insured by BAM) | 100,000 | 100,552 | ||||||||||
Harris County Municipal Utility District No. 5, | ||||||||||||
4.000%, 09/01/2024 (Callable 07/31/2020)(Insured by AGM) | 200,000 | 200,490 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
5.000%, 12/01/2021 (Insured by AGM) | 85,000 | 90,182 | ||||||||||
Harris County Municipal Utility District No. 63, | ||||||||||||
3.000%, 09/01/2025 (Callable 09/01/2024)(Insured by AGM) | 100,000 | 107,652 | ||||||||||
Hitchcock Independent School District, | ||||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 100,000 | 111,728 | ||||||||||
Ingleside Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 120,000 | 142,211 | ||||||||||
Katy Independent School District, | ||||||||||||
0.404%, 08/15/2036 (1 Month LIBOR USD + 0.280%) (Callable 08/15/2020)(Mandatory Tender Date 08/16/2021)(PSF Guaranteed) (2) | 700,000 | 697,018 | ||||||||||
La Vernia Independent School District, | ||||||||||||
4.000%, 08/15/2025 (PSF Guaranteed) | 260,000 | 303,948 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.280%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 169,999 | 176,182 | ||||||||||
2.280%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 705,000 | 726,700 | ||||||||||
2.625%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 95,000 | 98,455 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
1.950%, 08/15/2047 (Mandatory Tender Date 08/17/2020)(PSF Guaranteed) (1) | 975,000 | 977,057 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2023 (Pre-refunded to 08/15/2020)(PSF Guaranteed) | 40,000 | 34,594 | ||||||||||
0.000%, 08/15/2033 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 50,000 | 31,828 | ||||||||||
0.000%, 08/15/2034 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 200,000 | 119,974 | ||||||||||
0.000%, 08/15/2036 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 15,000 | 8,304 | ||||||||||
0.000%, 08/15/2036 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 53,088 | ||||||||||
0.000%, 08/15/2039 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 50,000 | 22,327 | ||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,945,000 | 876,125 | ||||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 130,000 | 56,858 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,325,000 | 567,922 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,170,000 | 3,501,825 | ||||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 435,000 | 173,543 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 50,000 | 20,389 | ||||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 220,000 | 89,709 | ||||||||||
0.000%, 08/15/2043 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 40,000 | 15,514 | ||||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,010,000 | 319,746 | ||||||||||
0.000%, 08/15/2046 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 890,000 | 264,757 | ||||||||||
0.000%, 08/15/2047 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 25,000 | 6,983 | ||||||||||
Lewisville Independent School District, | ||||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 440,000 | 522,232 | ||||||||||
Lone Oak Independent School District, | ||||||||||||
4.500%, 08/15/2020 (PSF Guaranteed) | 150,000 | 150,750 | ||||||||||
Longview Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 125,000 | 145,464 | ||||||||||
Lower Colorado River Authority: | ||||||||||||
5.000%, 05/15/2024 (Callable 05/15/2022) | 125,000 | 135,254 | ||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 375,000 | 434,265 | ||||||||||
5.000%, 05/15/2028 (Callable 05/15/2022) | 495,000 | 534,159 | ||||||||||
Manor Independent School District, | ||||||||||||
5.000%, 08/01/2026 (PSF Guaranteed) | 100,000 | 125,245 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 3,790,000 | 3,870,348 | ||||||||||
Midlothian Independent School District, | ||||||||||||
2.000%, 08/01/2051 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,000,000 | 1,048,690 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023 (ETM) | 595,000 | 584,278 | ||||||||||
Montgomery County Municipal Utility District No. 112: | ||||||||||||
3.000%, 10/01/2022 (Insured by BAM) | 200,000 | 210,452 | ||||||||||
3.000%, 10/01/2024 (Insured by BAM) | 215,000 | 234,417 | ||||||||||
Montgomery County Municipal Utility District No. 119, | ||||||||||||
4.000%, 04/01/2021 (Insured by BAM) | 250,000 | 256,250 | ||||||||||
Montgomery County Municipal Utility District No. 95, | ||||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 115,000 | 120,902 | ||||||||||
Montgomery Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 175,000 | 203,443 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 100,000 | 120,131 | ||||||||||
3.000%, 02/15/2050 (Mandatory Tender Date 08/15/2021)(PSF Guaranteed) (1) | 230,000 | 236,332 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) (3) | 95,000 | 95,023 | ||||||||||
4.000%, 06/15/2024 | 50,000 | 54,731 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 260,000 | 294,918 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 705,000 | 822,277 | ||||||||||
North Central Texas Health Facility Development Corp., | ||||||||||||
5.750%, 06/01/2026 (ETM)(Insured by NATL) | 485,000 | 567,629 | ||||||||||
North East Independent School District: | ||||||||||||
1.420%, 08/01/2040 (Callable 08/01/2020) (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 2,262,000 | 2,263,606 | ||||||||||
2.200%, 08/01/2049 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 1,225,000 | 1,291,934 | ||||||||||
North Texas Education Finance Corp., | ||||||||||||
5.250%, 12/01/2047 (Pre-refunded to 06/01/2022) | 1,600,000 | 1,738,800 | ||||||||||
North Texas Tollway Authority: | �� | |||||||||||
5.000%, 01/01/2022 | 25,000 | 26,688 | ||||||||||
5.250%, 09/01/2026 (Pre-refunded to 09/01/2021) | 3,055,000 | 3,228,340 | ||||||||||
Northeast Travis County Utility District, | ||||||||||||
0.000%, 09/01/2024 (Insured by BAM) | 470,000 | 447,102 | ||||||||||
Northgate Crossing Road Utility District, | ||||||||||||
0.000%, 12/01/2022 (Callable 12/01/2020)(Insured by AGM) | 100,000 | 92,645 | ||||||||||
Northside Independent School District: | ||||||||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 110,000 | 121,018 | ||||||||||
1.750%, 06/01/2032 (Callable 07/21/2020) (Mandatory Tender Date 06/01/2022)(PSF Guaranteed) (1) | 1,145,000 | 1,145,424 | ||||||||||
2.000%, 06/01/2046 (Mandatory Tender Date 06/01/2021)(PSF Guaranteed) (1) | 1,270,000 | 1,286,992 | ||||||||||
1.600%, 08/01/2049 (Mandatory Tender Date 08/01/2024)(PSF Guaranteed) (1) | 3,075,000 | 3,167,896 | ||||||||||
Northwest Harris County Municipal Utility District No. 16, | ||||||||||||
5.500%, 10/01/2021 (Insured by BAM) | 25,000 | 26,419 | ||||||||||
Northwest Harris County Municipal Utility District No. 19: | ||||||||||||
2.000%, 10/01/2021 (Insured by AGM) | 95,000 | 96,578 | ||||||||||
2.000%, 10/01/2022 (Insured by AGM) | 105,000 | 107,912 | ||||||||||
2.000%, 10/01/2023 (Insured by AGM) | 105,000 | 108,980 | ||||||||||
3.000%, 10/01/2024 (Insured by AGM) | 110,000 | 118,976 | ||||||||||
Odessa Junior College District, | ||||||||||||
4.000%, 07/01/2029 (Callable 07/01/2022)(Insured by AGM) | 190,000 | 200,919 | ||||||||||
Olmos Park Higher Education Facilities Corp., | ||||||||||||
5.000%, 12/01/2021 | 210,000 | 217,959 | ||||||||||
Palestine Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 135,000 | 156,572 | ||||||||||
Paloma Lake Municipal Utility District No. 1, | ||||||||||||
2.000%, 09/01/2022 (Insured by NATL) | 150,000 | 154,246 | ||||||||||
Paseo del Este Municipal Utility District No. 10: | ||||||||||||
4.000%, 08/15/2022 (Insured by MAC) | 160,000 | 170,640 | ||||||||||
4.000%, 08/15/2023 (Insured by MAC) | 130,000 | 142,182 | ||||||||||
4.000%, 08/15/2024 (Insured by MAC) | 180,000 | 200,819 | ||||||||||
Pearland Independent School District, | ||||||||||||
5.000%, 02/15/2027 (Callable 02/15/2021)(PSF Guaranteed) | 150,000 | 154,274 | ||||||||||
Plains Independent School District, | ||||||||||||
4.000%, 08/15/2023 (Callable 08/15/2020)(PSF Guaranteed) | 590,000 | 592,673 | ||||||||||
Poteet Independent School District, | ||||||||||||
3.000%, 08/15/2021 (PSF Guaranteed) | 235,000 | 241,977 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 110,000 | 127,965 | ||||||||||
Red River Education Finance Corp.: | ||||||||||||
5.000%, 06/01/2021 | 300,000 | 307,443 | ||||||||||
3.000%, 06/01/2022 | 655,000 | 662,545 | ||||||||||
5.000%, 06/01/2022 | 880,000 | 922,874 | ||||||||||
Remington Municipal Utility District No. 1: | ||||||||||||
3.000%, 09/01/2021 (Insured by AGM) | 415,000 | 425,358 | ||||||||||
3.000%, 09/01/2022 (Insured by AGM) | 100,000 | 104,754 | ||||||||||
Rockwall Independent School District: | ||||||||||||
0.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 982,160 | ||||||||||
0.000%, 02/15/2024 (PSF Guaranteed) | 1,270,000 | 1,238,009 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 08/01/2020) (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 1,345,000 | 1,346,049 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2021 | 25,000 | 26,043 | ||||||||||
San Antonio Housing Trust Finance Corp., | ||||||||||||
1.375%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 1,500,000 | 1,518,510 | ||||||||||
San Antonio Water System: | ||||||||||||
2.000%, 05/01/2043 (Mandatory Tender Date 11/01/2021) (1) | 645,000 | 657,203 | ||||||||||
2.625%, 05/01/2049 (Mandatory Tender Date 05/01/2024) (1) | 200,000 | 212,390 | ||||||||||
San Benito Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 100,000 | 116,058 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 105,000 | 105,581 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
3.000%, 09/01/2024 (Insured by BAM) | 105,000 | 113,528 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,000,000 | 1,159,010 | ||||||||||
South Shore Harbor Municipal Utility District No. 7, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 370,000 | 405,479 | ||||||||||
Southwest Houston Redevelopment Authority, | ||||||||||||
5.000%, 09/01/2025 (Insured by AGM) (6) | 250,000 | 294,843 | ||||||||||
Southwest Texas Junior College District, | ||||||||||||
4.000%, 10/01/2023 (Insured by BAM) | 100,000 | 110,187 | ||||||||||
Spring Creek Utility District of Montgomery County: | ||||||||||||
2.500%, 10/01/2023 (Insured by AGM) | 150,000 | 158,630 | ||||||||||
3.000%, 10/01/2023 (Insured by AGM) | 145,000 | 155,908 | ||||||||||
State of Texas, | ||||||||||||
1.850%, 08/01/2029 (Callable 08/01/2020)(Optional Put Date 08/01/2022) (1) | 700,000 | 700,581 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 11/15/2024 | 175,000 | 196,156 | ||||||||||
5.000%, 10/01/2025 (Callable 10/01/2023) | 2,110,000 | 2,378,645 | ||||||||||
Taylor Independent School District, | ||||||||||||
3.000%, 02/15/2023 (PSF Guaranteed) | 815,000 | 867,991 | ||||||||||
Texas City Industrial Development Corp., | ||||||||||||
7.375%, 10/01/2020 | 200,000 | 202,830 | ||||||||||
Texas Department of Housing & Community Affairs: | ||||||||||||
4.050%, 07/01/2026 (Callable 01/01/2021)(Insured by GNMA) | 420,000 | 425,519 | ||||||||||
4.750%, 03/01/2049 (Callable 09/01/2027)(Insured by GNMA) | 665,000 | 741,262 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2021 | 120,000 | 126,592 | ||||||||||
1.660%, 12/15/2026 (3 Month LIBOR USD + 1.450%) (Callable 07/01/2020) (2) | 7,800,000 | 7,441,200 | ||||||||||
6.250%, 12/15/2026 | 3,075,000 | 3,573,888 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2021 | 140,000 | 147,231 | ||||||||||
5.000%, 12/15/2022 | 150,000 | 162,778 | ||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 345,000 | 373,259 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,425,000 | 1,521,145 | ||||||||||
Texas Public Finance Authority, | ||||||||||||
5.000%, 12/01/2027 (Callable 06/01/2025) | 900,000 | 1,040,364 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 955,000 | 1,060,337 | ||||||||||
Texas State Public Finance Authority Charter School Finance Corp., | ||||||||||||
7.250%, 08/15/2041 (Pre-refunded to 08/15/2021) (7) | 450,000 | 483,494 | ||||||||||
Texas Transportation Commission State Highway Fund: | ||||||||||||
5.000%, 10/01/2022 | 2,015,000 | 2,225,346 | ||||||||||
4.000%, 04/01/2026 (Mandatory Tender Date 10/01/2021) (1) | 910,000 | 942,469 | ||||||||||
Tioga Independent School District Public Facility Corp.: | ||||||||||||
4.000%, 08/15/2021 | 185,000 | 186,589 | ||||||||||
4.000%, 08/15/2022 | 450,000 | 456,476 | ||||||||||
4.000%, 08/15/2023 | 470,000 | 478,963 | ||||||||||
4.000%, 08/15/2024 | 185,000 | 189,299 | ||||||||||
3.250%, 08/15/2026 (Callable 08/15/2024) | 195,000 | 191,802 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2024 (Insured by BAM) | 275,000 | 305,872 | ||||||||||
Travis County Health Facilities Development Corp.: | ||||||||||||
7.000%, 01/01/2032 (Pre-refunded to 01/01/2021) | 165,000 | 170,439 | ||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 485,000 | 501,286 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 55,000 | 57,783 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2024 (Callable 08/01/2022)(Insured by AGM) | 195,000 | 212,727 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
6.000%, 12/01/2023 (Insured by BAM) | 50,000 | 58,741 | ||||||||||
4.000%, 12/01/2024 (Insured by BAM) | 425,000 | 480,760 | ||||||||||
4.000%, 12/01/2025 (Callable 12/01/2024)(Insured by BAM) | 440,000 | 497,930 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2023)(Insured by AGM) | 340,000 | 374,527 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2024)(Insured by BAM) | 460,000 | 518,650 | ||||||||||
4.000%, 12/01/2027 (Callable 12/01/2024)(Insured by BAM) | 475,000 | 533,810 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2024)(Insured by BAM) | 495,000 | 552,885 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2024)(Insured by BAM) | 455,000 | 508,208 | ||||||||||
4.000%, 12/01/2029 (Callable 12/01/2024)(Insured by BAM) | 685,000 | 760,747 | ||||||||||
West Harris County Municipal Utility District No. 17: | ||||||||||||
0.000%, 09/01/2021 (Insured by AGM) | 60,000 | 59,478 | ||||||||||
3.000%, 09/01/2023 (Insured by AGM) | 360,000 | 383,436 | ||||||||||
Willow Creek Farms Municipal Utility District: | ||||||||||||
2.400%, 09/01/2023 (Insured by AGM) | 45,000 | 47,234 | ||||||||||
3.500%, 09/01/2023 (Insured by AGM) | 125,000 | 135,491 | ||||||||||
Wink-Loving Independent School District: | ||||||||||||
5.000%, 02/15/2026 (Callable 02/15/2023)(PSF Guaranteed) | 1,995,000 | 2,235,078 | ||||||||||
5.000%, 02/15/2027 (Callable 02/15/2023)(PSF Guaranteed) | 500,000 | 560,030 | ||||||||||
Total Texas (Cost $143,363,208) | 145,897,807 | 12.5 | % |
Utah | ||||||||||||
County of Utah UT, | ||||||||||||
5.000%, 05/15/2057 (Callable 02/01/2024)(Mandatory Tender Date 08/01/2024) (1) | 250,000 | 287,730 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2021 (Insured by UT CSCE) | 110,000 | 113,665 | ||||||||||
4.000%, 04/15/2022 (Insured by UT CSCE) | 250,000 | 264,295 | ||||||||||
5.000%, 04/15/2022 (Insured by UT CSCE) | 110,000 | 118,237 | ||||||||||
5.000%, 04/15/2023 (Insured by UT CSCE) | 160,000 | 178,547 | ||||||||||
5.000%, 04/15/2024 (Insured by UT CSCE) | 170,000 | 196,161 | ||||||||||
5.000%, 10/15/2024 (Insured by UT CSCE) | 355,000 | 415,975 | ||||||||||
5.000%, 04/15/2025 (Insured by UT CSCE) | 135,000 | 160,152 | ||||||||||
5.000%, 04/15/2026 (Insured by UT CSCE) | 125,000 | 151,685 | ||||||||||
3.625%, 06/15/2029 (Callable 06/15/2027) (3) | 485,000 | 481,329 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 65,000 | 69,764 | ||||||||||
Utah Infrastructure Agency: | ||||||||||||
4.000%, 10/15/2023 | 180,000 | 198,223 | ||||||||||
4.000%, 10/15/2024 | 190,000 | 213,896 | ||||||||||
4.000%, 10/15/2025 | 100,000 | 114,521 | ||||||||||
Total Utah (Cost $2,894,131) | 2,964,180 | 0.2 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2023 (Pre-refunded to 07/01/2021) | 25,000 | 26,128 | ||||||||||
Vermont Housing Finance Agency: | ||||||||||||
4.000%, 11/01/2044 (Callable 11/01/2023) | 65,000 | 69,905 | ||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 1,305,000 | 1,414,528 | ||||||||||
4.000%, 11/01/2049 (Callable 05/01/2028)(Insured by GNMA) | 2,515,000 | 2,825,024 | ||||||||||
3.750%, 11/01/2050 (Callable 05/01/2029)(Insured by GNMA) | 1,525,000 | 1,686,574 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
5.000%, 07/01/2022 | 380,000 | 410,355 | ||||||||||
Total Vermont (Cost $6,303,085) | 6,432,514 | 0.5 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 (3) | 100,000 | 100,176 | ||||||||||
Total Virgin Islands (Cost $100,490) | 100,176 | 0.0 | % | |||||||||
Virginia | ||||||||||||
Chesapeake Bay Bridge & Tunnel District, | ||||||||||||
5.000%, 11/01/2023 | 1,000,000 | 1,078,660 | ||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST AID) | 1,470,000 | 1,530,270 | ||||||||||
Fairfax County Redevelopment & Housing Authority, | ||||||||||||
2.210%, 02/01/2021 (Mandatory Tender Date 08/01/2020) (1) | 1,650,000 | 1,652,095 | ||||||||||
Henry County Industrial Development Authority, | ||||||||||||
2.000%, 11/01/2023 (Callable 11/01/2021) | 3,250,000 | 3,312,758 | ||||||||||
Stafford County & Staunton Industrial Development Authority, | ||||||||||||
5.500%, 02/01/2041 (Pre-refunded to 02/01/2021)(Insured by ST AID) | 30,000 | 30,875 | ||||||||||
Virginia Commonwealth University Health System Authority, | ||||||||||||
4.750%, 07/01/2041 (Pre-refunded to 07/01/2021) | 105,000 | 109,638 | ||||||||||
Virginia Resources Authority, | ||||||||||||
4.250%, 11/01/2040 (Pre-refunded to 11/01/2020) | 45,000 | 45,579 | ||||||||||
Wise County Industrial Development Authority: | ||||||||||||
2.150%, 10/01/2040 (Mandatory Tender Date 09/01/2020) (1) | 170,000 | 170,055 | ||||||||||
1.200%, 11/01/2040 (Mandatory Tender Date 05/31/2024) (1) | 1,875,000 | 1,879,631 | ||||||||||
Total Virginia (Cost $9,785,528) | 9,809,561 | 0.8 | % | |||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
0.560%, 11/01/2045 (SIFMA Municipal Swap Index + 0.450%) (Callable 11/01/2022)(Mandatory Tender Date 11/01/2023) (2) | 100,000 | 99,773 | ||||||||||
Central Washington University: | ||||||||||||
4.000%, 05/01/2024 (Callable 05/01/2023) | 260,000 | 279,869 | ||||||||||
4.000%, 05/01/2026 (Callable 05/01/2023) | 410,000 | 437,614 | ||||||||||
5.000%, 05/01/2026 (Insured by BAM) | 410,000 | 501,147 | ||||||||||
City of Port Angeles WA, | ||||||||||||
4.000%, 11/01/2024 (Callable 07/31/2020)(Insured by AGC) | 105,000 | 105,299 | ||||||||||
City of Richland WA, | ||||||||||||
4.000%, 11/01/2026 (Insured by BAM) | 210,000 | 250,314 | ||||||||||
City of Yakima WA, | ||||||||||||
3.000%, 06/01/2021 | 560,000 | 573,317 | ||||||||||
King County Housing Authority: | ||||||||||||
2.200%, 05/01/2021 | 1,000,000 | 1,013,730 | ||||||||||
3.500%, 05/01/2021 | 300,000 | 307,347 | ||||||||||
4.000%, 01/01/2022 | 100,000 | 104,958 | ||||||||||
3.500%, 05/01/2022 | 350,000 | 368,116 | ||||||||||
5.000%, 11/01/2026 | 810,000 | 998,422 | ||||||||||
Pend Oreille County Public Utility District No. 1: | ||||||||||||
5.000%, 01/01/2021 | 605,000 | 615,237 | ||||||||||
5.000%, 01/01/2022 | 635,000 | 667,042 | ||||||||||
5.000%, 01/01/2023 | 665,000 | 720,075 | ||||||||||
5.000%, 01/01/2024 | 1,000,000 | 1,106,000 | ||||||||||
5.000%, 01/01/2024 | 700,000 | 778,981 | ||||||||||
5.000%, 01/01/2025 | 735,000 | 837,702 | ||||||||||
San Juan County School District No. 137, | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2022)(Insured by SCH BD GTY) | 675,000 | 723,755 | ||||||||||
Spokane Public Facilities District, | ||||||||||||
5.000%, 12/01/2028 (Callable 06/01/2023) | 450,000 | 479,389 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 07/01/2024 (Callable 07/01/2022)(Insured by ST AID) | 620,000 | 675,081 | ||||||||||
5.000%, 07/01/2024 (Callable 07/01/2022) | 250,000 | 273,100 | ||||||||||
Vancouver Housing Authority, | ||||||||||||
1.530%, 12/01/2022 (Callable 12/01/2021) | 1,780,000 | 1,797,978 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
1.110%, 01/01/2035 (SIFMA Municipal Swap Index + 1.000%) (Callable 07/31/2020)(Mandatory Tender Date 01/01/2021) (2) | 1,050,000 | 1,045,348 | ||||||||||
1.222%, 01/01/2042 (1 Month LIBOR USD + 1.100%) (Callable 01/01/2022)(Mandatory Tender Date 07/01/2022) (2) | 500,000 | 499,690 | ||||||||||
5.000%, 10/01/2042 (Mandatory Tender Date 10/01/2021) (1) | 120,000 | 126,226 | ||||||||||
Total Washington (Cost $15,241,833) | 15,385,510 | 1.3 | % | |||||||||
West Virginia | ||||||||||||
City of Fairmont WV, | ||||||||||||
5.250%, 07/01/2022 (Insured by AMBAC) | 100,000 | 104,417 | ||||||||||
Roane County Building Commission, | ||||||||||||
2.550%, 11/01/2021 (Callable 11/01/2020) | 2,000,000 | 2,010,160 | ||||||||||
West Virginia Economic Development Authority, | ||||||||||||
2.625%, 12/01/2042 (Mandatory Tender Date 06/01/2022) (1) | 290,000 | 294,739 | ||||||||||
Total West Virginia (Cost $2,397,730) | 2,409,316 | 0.2 | % | |||||||||
Wisconsin | ||||||||||||
Baldwin-Woodville Area School District, | ||||||||||||
2.000%, 04/01/2023 (Callable 07/31/2020) | 110,000 | 110,130 | ||||||||||
City of Antigo WI, | ||||||||||||
2.000%, 06/01/2022 | 75,000 | 77,053 | ||||||||||
City of Greenfield WI, | ||||||||||||
2.000%, 02/01/2025 (Callable 07/31/2020) | 450,000 | 450,423 | ||||||||||
City of Kaukauna WI, | ||||||||||||
2.625%, 09/01/2024 (Callable 09/01/2022) | 270,000 | 280,352 | ||||||||||
City of Ladysmith WI, | ||||||||||||
4.000%, 06/01/2022 (Callable 07/31/2020) | 150,000 | 150,438 | ||||||||||
City of Marinette WI, | ||||||||||||
4.000%, 05/01/2027 (Callable 05/01/2023) | 150,000 | 161,580 | ||||||||||
City of Menomonie WI, | ||||||||||||
3.000%, 12/01/2024 | 415,000 | 450,242 | ||||||||||
City of Oshkosh WI, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2023) | 125,000 | 135,174 | ||||||||||
City of Plymouth WI, | ||||||||||||
2.000%, 05/01/2023 (Callable 05/01/2021) | 825,000 | 834,991 | ||||||||||
City of Waupun WI, | ||||||||||||
2.700%, 12/01/2024 (Callable 12/01/2021) | 250,000 | 256,140 | ||||||||||
City of West Allis WI, | ||||||||||||
2.375%, 04/01/2023 (Callable 07/31/2020) | 100,000 | 100,142 | ||||||||||
Coleman School District, | ||||||||||||
4.000%, 03/01/2025 (Callable 03/01/2024) | 200,000 | 222,440 | ||||||||||
County of Manitowoc WI, | ||||||||||||
4.000%, 11/01/2021 | 90,000 | 94,061 | ||||||||||
Greendale School District, | ||||||||||||
2.700%, 03/01/2026 (Callable 03/01/2022) | 500,000 | 513,930 | ||||||||||
Hilbert School District, | ||||||||||||
4.000%, 04/01/2027 (Callable 04/01/2025) | 250,000 | 285,437 | ||||||||||
Palmyra-Eagle Area School District: | ||||||||||||
3.000%, 03/01/2024 (Callable 03/01/2023) | 700,000 | 676,354 | ||||||||||
3.000%, 03/01/2025 (Callable 03/01/2023) | 175,000 | 166,960 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 10/01/2020 | 200,000 | 200,664 | ||||||||||
4.000%, 12/01/2020 (3) | 350,000 | 351,270 | ||||||||||
5.000%, 06/15/2021 | 140,000 | 144,428 | ||||||||||
4.000%, 10/01/2021 | 200,000 | 203,260 | ||||||||||
5.000%, 10/01/2022 (3) | 2,000,000 | 2,073,400 | ||||||||||
5.000%, 06/15/2023 | 395,000 | 432,118 | ||||||||||
5.000%, 10/01/2023 (3) | 2,000,000 | 2,099,920 | ||||||||||
5.000%, 10/01/2024 (3) | 1,605,000 | 1,704,045 | ||||||||||
8.375%, 06/01/2037 (Pre-refunded to 06/01/2022) | 1,020,000 | 1,162,882 | ||||||||||
8.625%, 06/01/2047 (Pre-refunded to 06/01/2022) | 1,255,000 | 1,438,782 | ||||||||||
Pulaski Community School District, | ||||||||||||
2.500%, 03/01/2023 (Callable 07/31/2020) | 40,000 | 40,058 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
0.000%, 12/15/2021 (ETM)(Insured by NATL) | 30,000 | 29,766 | ||||||||||
0.000%, 12/15/2024 (ETM)(Insured by NATL) | 95,000 | 92,254 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2026 (Callable 05/01/2023) | 60,000 | 67,815 | ||||||||||
5.000%, 05/01/2029 (Pre-refunded to 05/01/2022) | 145,000 | 157,487 | ||||||||||
Town of Delavan WI, | ||||||||||||
4.500%, 03/01/2024 | 130,000 | 147,891 | ||||||||||
Town of Grand Chute WI, | ||||||||||||
3.000%, 11/01/2020 (Callable 07/31/2020) | 235,000 | 235,522 | ||||||||||
Town of St. Joseph WI: | ||||||||||||
3.000%, 12/01/2023 (Insured by MAC) | 450,000 | 484,402 | ||||||||||
3.000%, 12/01/2024 (Insured by MAC) | 370,000 | 404,773 | ||||||||||
Village of DeForest WI, | ||||||||||||
3.375%, 05/01/2023 (Callable 05/01/2021) | 100,000 | 102,391 | ||||||||||
Village of Hales Corners WI, | ||||||||||||
3.000%, 11/01/2022 | 345,000 | 364,820 | ||||||||||
Village of Holmen WI, | ||||||||||||
4.000%, 10/01/2025 | 260,000 | 302,019 | ||||||||||
Village of Waunakee WI, | ||||||||||||
3.200%, 10/01/2026 (Callable 07/31/2020) | 225,000 | 225,443 | ||||||||||
West Bend Joint School District No. 1, | ||||||||||||
2.000%, 04/01/2024 (Callable 04/01/2021) | 535,000 | 540,912 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.000%, 12/15/2020 | 100,000 | 102,125 | ||||||||||
5.000%, 12/15/2022 | 715,000 | 794,236 | ||||||||||
5.250%, 12/15/2023 (ETM)(Insured by AGM) | 55,000 | 59,581 | ||||||||||
5.250%, 12/15/2023 (Insured by AGM) | 20,000 | 22,689 | ||||||||||
0.000%, 12/15/2024 (Insured by NATL) | 100,000 | 92,694 | ||||||||||
5.000%, 12/15/2025 | 120,000 | 147,626 | ||||||||||
5.250%, 12/15/2027 (ETM)(Insured by AGM) | 50,000 | 62,773 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 180,000 | 224,593 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 08/15/2020 (ETM) | 55,000 | 55,312 | ||||||||||
5.000%, 11/01/2020 | 100,000 | 100,385 | ||||||||||
5.000%, 11/01/2021 | 110,000 | 111,633 | ||||||||||
4.500%, 12/15/2021 (Callable 07/31/2020) | 200,000 | 200,566 | ||||||||||
5.875%, 02/15/2022 (Insured by BHAC) | 90,000 | 94,949 | ||||||||||
5.000%, 03/01/2022 | 230,000 | 241,390 | ||||||||||
5.000%, 07/01/2022 | 185,000 | 199,585 | ||||||||||
4.000%, 09/15/2022 | 200,000 | 201,714 | ||||||||||
5.000%, 03/01/2023 | 300,000 | 323,064 | ||||||||||
5.000%, 06/01/2023 (Callable 06/01/2022) | 350,000 | 375,637 | ||||||||||
5.250%, 08/15/2023 (Pre-refunded to 08/15/2020) | 420,000 | 422,453 | ||||||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 150,000 | 151,095 | ||||||||||
5.000%, 12/01/2023 | 150,000 | 169,932 | ||||||||||
4.000%, 09/15/2024 (Callable 09/15/2023) | 360,000 | 363,326 | ||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 660,000 | 754,182 | ||||||||||
2.750%, 08/15/2025 (Callable 08/15/2024) | 1,440,000 | 1,528,920 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 375,000 | 377,561 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2022) | 200,000 | 200,954 | ||||||||||
5.000%, 11/01/2025 | 245,000 | 255,329 | ||||||||||
5.000%, 02/15/2026 | 1,000,000 | 1,184,840 | ||||||||||
5.000%, 02/15/2026 (Insured by AGM) | 500,000 | 601,675 | ||||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 1,250,000 | 1,168,038 | ||||||||||
3.000%, 02/15/2035 (Pre-refunded to 08/15/2025) | 185,000 | 207,450 | ||||||||||
5.250%, 04/15/2035 (Pre-refunded to 04/15/2023) | 560,000 | 633,170 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 425,000 | 498,678 | ||||||||||
5.000%, 02/15/2051 (Callable 08/15/2026)(Mandatory Tender Date 02/15/2027) (1) | 3,100,000 | 3,688,349 | ||||||||||
5.000%, 02/15/2052 (Callable 08/15/2024)(Mandatory Tender Date 02/15/2025) (1) | 5,300,000 | 6,052,123 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 305,000 | 323,236 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 425,000 | 456,475 | ||||||||||
1.600%, 11/01/2048 (Callable 11/01/2021)(Mandatory Tender Date 11/01/2022) (1) | 430,000 | 434,734 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 950,000 | 1,054,909 | ||||||||||
Total Wisconsin (Cost $41,493,719) | 41,910,150 | 3.6 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 1,270,000 | 1,348,511 | ||||||||||
3.750%, 12/01/2049 (Callable 12/01/2028) | 1,995,000 | 2,151,149 | ||||||||||
Total Wyoming (Cost $3,463,445) | 3,499,660 | 0.3 | % | |||||||||
Total Municipal Bonds (Cost $1,100,024,657) | 1,118,522,287 | 96.0 | % | |||||||||
Closed-End Investment Companies | Shares | |||||||||||
Nuveen AMT-Free Municipal Credit Income Fund | 10,000,000 | 10,000,000 | ||||||||||
Nuveen AMT-Free Quality Municipal Income Fund | 4,000,000 | 4,000,000 | ||||||||||
Total Closed-End Investment Companies (Cost $14,000,000) | 14,000,000 | 1.2 | % | |||||||||
Total Long-Term Investments (Cost $1,114,024,657) | 1,132,522,287 | 97.2 | % | |||||||||
SHORT-TERM INVESTMENT | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 0.03% (4) | 745 | 745 | ||||||||||
Total Short-Term Investment (Cost $745) | 745 | 0.0 | % | |||||||||
Total Investments (Cost $1,114,025,402) | 1,132,523,032 | 97.2 | % | |||||||||
Other Assets in Excess of Liabilities | 32,736,344 | 2.8 | % | |||||||||
TOTAL NET ASSETS | $ | 1,165,259,376 | 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 |
HUD | US Department of Housing and Development |
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 Credit Enhancement Program |
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 June 30, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $27,602,046, which represents 2.37% of total net assets. |
(4) | Seven-day yield. |
(5) | Auction rate security. An auction rate security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
Baird Strategic Municipal Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
3.750%, 12/01/2046 (Callable 12/01/2028) | $ | 250,000 | $ | 266,422 | ||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020 (Callable 07/31/2020) | 100,000 | 100,193 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 10/01/2026 | 175,000 | 213,502 | ||||||||||
University of Alaska, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2025) | 110,000 | 119,855 | ||||||||||
Total Alaska (Cost $674,389) | 699,972 | 1.6 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority: | ||||||||||||
2.470%, 07/01/2025 (Insured by SD CRED PROG) | 200,000 | 202,144 | ||||||||||
3.169%, 10/01/2025 | 150,000 | 149,371 | ||||||||||
4.750%, 10/01/2025 (3) | 165,000 | 164,685 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) (3) | 105,000 | 104,742 | ||||||||||
Cochise County Community College District, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2025)(Insured by BAM) | 120,000 | 139,464 | ||||||||||
Industrial Development Authority of the County of Pima, | ||||||||||||
4.950%, 10/01/2020 | 200,000 | 202,234 | ||||||||||
Maricopa County Industrial Development Authority: | ||||||||||||
4.500%, 07/01/2025 (3) | 125,000 | 122,870 | ||||||||||
5.000%, 01/01/2033 (Callable 01/01/2027) | 250,000 | 297,233 | ||||||||||
Total Arizona (Cost $1,363,837) | 1,382,743 | 3.3 | % | |||||||||
Arkansas | ||||||||||||
Henderson State University, | ||||||||||||
2.625%, 07/01/2022 (Callable 07/31/2020) | 100,000 | 100,101 | ||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 205,000 | 231,537 | ||||||||||
Total Arkansas (Cost $323,659) | 331,638 | 0.8 | % | |||||||||
California | ||||||||||||
California Infrastructure & Economic Development Bank: | ||||||||||||
1.066%, 11/01/2045 (1 Month LIBOR USD + 0.950%) (Callable 07/21/2020)(Mandatory Tender Date 11/01/2020) (2) | 100,000 | 100,004 | ||||||||||
0.496%, 08/01/2047 (1 Month LIBOR USD + 0.380%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 175,000 | 173,822 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
3.000%, 01/01/2021 | 250,000 | 249,975 | ||||||||||
5.000%, 10/01/2023 | 140,000 | 152,931 | ||||||||||
City & County of San Francisco CA, | ||||||||||||
1.300%, 07/01/2023 (Mandatory Tender Date 01/01/2023) (1) | 200,000 | 202,352 | ||||||||||
Los Angeles Regional Airports Improvement Corp., | ||||||||||||
4.500%, 01/01/2027 (Callable 01/01/2022) | 500,000 | 512,850 | ||||||||||
Modesto Irrigation District, | ||||||||||||
0.814%, 09/01/2027 (3 Month LIBOR USD + 0.580%) (Callable 07/31/2020)(Insured by NATL) (2) | 90,000 | 88,151 | ||||||||||
Oxnard School District, | ||||||||||||
2.000%, 08/01/2045 (Callable 08/01/2026)(Insured by BAM) (7) | 200,000 | 218,102 | ||||||||||
Riverside County Redevelopment Successor Agency: | ||||||||||||
0.000%, 10/01/2025 (Insured by BAM) (7) | 200,000 | 224,262 | ||||||||||
0.000%, 10/01/2041 (Callable 10/01/2026)(Insured by BAM) (7) | 80,000 | 87,115 | ||||||||||
State of California, | ||||||||||||
0.814%, 12/01/2028 (1 Month LIBOR USD + 0.700%) (Callable 07/21/2020)(Mandatory Tender Date 12/01/2020) (2) | 100,000 | 100,004 | ||||||||||
Western Placer Unified School District, | ||||||||||||
2.000%, 06/01/2025 (Callable 06/01/2023) | 200,000 | 204,076 | ||||||||||
Total California (Cost $2,291,777) | 2,313,644 | 5.4 | % | |||||||||
Colorado | ||||||||||||
City & County of Denver CO, | ||||||||||||
5.500%, 11/15/2025 (Callable 11/15/2023) | 140,000 | 159,943 | ||||||||||
Colorado Educational & Cultural Facilities Authority, | ||||||||||||
5.250%, 03/01/2025 (Insured by NATL) | 200,000 | 230,898 | ||||||||||
Colorado Health Facilities Authority, | ||||||||||||
4.000%, 12/01/2026 (Callable 12/01/2022) | 120,000 | 123,251 | ||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
1.350%, 02/01/2022 (Callable 08/01/2021) | 345,000 | 346,673 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
0.000%, 09/01/2029 (Insured by NATL) | 225,000 | 194,481 | ||||||||||
Glen Metropolitan District No. 2, | ||||||||||||
2.000%, 12/01/2030 (Insured by BAM) | 300,000 | 294,480 | ||||||||||
Vauxmont Metropolitan District, | ||||||||||||
5.000%, 12/15/2032 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 156,149 | ||||||||||
Total Colorado (Cost $1,456,735) | 1,505,875 | 3.5 | % | |||||||||
Connecticut | ||||||||||||
Connecticut State Health & Educational Facilities Authority, | ||||||||||||
4.500%, 07/01/2024 (Callable 07/01/2021) | 300,000 | 306,447 | ||||||||||
Connecticut State Higher Education Supplement Loan Authority, | ||||||||||||
5.000%, 11/15/2026 (6) | 350,000 | 407,533 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 05/01/2025 | 300,000 | 358,686 | ||||||||||
Total Connecticut (Cost $1,057,195) | 1,072,666 | 2.5 | % | |||||||||
District of Columbia | ||||||||||||
Howard University, | ||||||||||||
2.638%, 10/01/2021 | 150,000 | 151,692 | ||||||||||
Total District of Columbia (Cost $150,000) | 151,692 | 0.4 | % | |||||||||
Florida | ||||||||||||
City of Jacksonville FL, | ||||||||||||
4.000%, 10/01/2033 (Callable 10/01/2026) | 100,000 | 111,901 | ||||||||||
County of Jackson FL, | ||||||||||||
0.180%, 07/01/2022 (Optional Put Date 07/01/2020) (1) | 600,000 | 600,000 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 10/01/2021 | 225,000 | 231,212 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 200,000 | 224,764 | ||||||||||
3.500%, 07/01/2046 (Callable 07/01/2024)(Insured by GNMA) | 35,000 | 36,256 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 50,000 | 49,618 | ||||||||||
Miami-Dade County Expressway Authority, | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 161,206 | ||||||||||
Orange County Convention Center, | ||||||||||||
4.000%, 10/01/2034 (Callable 10/01/2026) | 300,000 | 325,356 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 300,000 | 322,398 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 300,000 | 311,340 | ||||||||||
Sarasota County Health Facilities Authority, | ||||||||||||
3.000%, 05/15/2023 | 70,000 | 68,769 | ||||||||||
Total Florida (Cost $2,439,686) | 2,442,820 | 5.8 | % | |||||||||
Georgia | ||||||||||||
Atlanta Development Authority, | ||||||||||||
5.000%, 07/01/2024 | 200,000 | 216,788 | ||||||||||
Burke County Development Authority, | ||||||||||||
0.320%, 11/01/2052 (Optional Put Date 07/01/2020) (1) | 300,000 | 300,000 | ||||||||||
Clayton County Development Authority, | ||||||||||||
4.000%, 07/01/2034 (Callable 07/01/2027) | 100,000 | 110,632 | ||||||||||
Development Authority of Bulloch County, | ||||||||||||
5.000%, 07/01/2029 | 385,000 | 483,514 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.250%, 09/15/2020 | 55,000 | 55,428 | ||||||||||
5.000%, 05/15/2024 | 65,000 | 73,293 | ||||||||||
Private Colleges & Universities Authority, | ||||||||||||
0.530%, 10/01/2039 (SIFMA Municipal Swap Index + 0.420%) (Callable 02/16/2022)(Mandatory Tender Date 08/16/2022) (2) | 300,000 | 297,579 | ||||||||||
Total Georgia (Cost $1,519,049) | 1,537,234 | 3.6 | % | |||||||||
Illinois | ||||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 125,000 | 141,367 | ||||||||||
Chicago Park District: | ||||||||||||
5.000%, 01/01/2022 | 140,000 | 147,143 | ||||||||||
5.000%, 01/01/2024 | 225,000 | 249,577 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2024) | 50,000 | 54,136 | ||||||||||
City of Chicago IL: | ||||||||||||
4.000%, 11/01/2021 | 80,000 | 82,613 | ||||||||||
0.000%, 01/01/2023 | 325,000 | 295,022 | ||||||||||
5.000%, 11/01/2023 | 125,000 | 138,850 | ||||||||||
5.000%, 11/01/2027 (Callable 11/01/2026)(Insured by BAM) | 100,000 | 119,090 | ||||||||||
0.000%, 01/01/2031 (Insured by NATL) | 300,000 | 191,049 | ||||||||||
Cook County Community College District No. 508, | ||||||||||||
5.250%, 12/01/2028 (Callable 12/01/2023) | 325,000 | 333,798 | ||||||||||
Cook County Township High School District No. 201, | ||||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 100,000 | 99,584 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 11/01/2024 | 50,000 | 55,142 | ||||||||||
4.000%, 11/01/2030 | 100,000 | 114,249 | ||||||||||
Joliet Park District, | ||||||||||||
4.000%, 02/01/2033 (Callable 02/01/2023)(Insured by AGM) | 150,000 | 155,959 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 12/15/2022 (Insured by NATL) | 125,000 | 117,009 | ||||||||||
5.000%, 12/15/2026 (Callable 06/15/2022)(Insured by ST AID) | 85,000 | 87,409 | ||||||||||
0.000%, 06/15/2029 (Insured by NATL) | 200,000 | 148,144 | ||||||||||
State of Illinois: | ||||||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 112,483 | ||||||||||
5.000%, 01/01/2026 | 50,000 | 54,173 | ||||||||||
5.500%, 05/01/2030 | 150,000 | 171,012 | ||||||||||
Upper Illinois River Valley Development Authority, | ||||||||||||
4.000%, 01/01/2031 (Callable 01/01/2027) (3) | 200,000 | 196,800 | ||||||||||
Village of Crestwood IL, | ||||||||||||
4.000%, 12/15/2027 (Callable 12/15/2025)(Insured by BAM) | 135,000 | 151,091 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2028 (Insured by BAM) | 310,000 | 263,221 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2029)(Insured by AGM) | 150,000 | 164,777 | ||||||||||
Total Illinois (Cost $3,551,886) | 3,643,698 | 8.6 | % | |||||||||
Indiana | ||||||||||||
City of Muncie IN, | ||||||||||||
4.000%, 01/15/2022 (Insured by AGM) | 160,000 | 166,822 | ||||||||||
City of Whiting IN, | ||||||||||||
5.250%, 01/01/2021 | 200,000 | 204,004 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 250,000 | 253,310 | ||||||||||
5.000%, 10/01/2042 (Callable 10/01/2023) | 50,000 | 50,011 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2026) | 150,000 | 176,144 | ||||||||||
Lafayette School Corp., | ||||||||||||
4.000%, 01/15/2021 (Insured by ST AID) | 150,000 | 152,571 | ||||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2027 | 410,000 | 369,053 | ||||||||||
Total Indiana (Cost $1,321,004) | 1,371,915 | 3.2 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2024 | �� | 200,000 | 200,856 | |||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 245,000 | 275,061 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | 300,000 | 303,459 | ||||||||||
Total Iowa (Cost $772,961) | 779,376 | 1.8 | % | |||||||||
Kansas | ||||||||||||
City of Derby KS, | ||||||||||||
3.900%, 03/01/2037 (Callable 03/01/2025) | 75,000 | 71,256 | ||||||||||
City of Goddard KS, | ||||||||||||
3.000%, 12/01/2022 (Callable 12/01/2021) | 150,000 | 154,974 | ||||||||||
Kansas Independent College Finance Authority, | ||||||||||||
5.250%, 05/01/2021 | 175,000 | 178,196 | ||||||||||
Wyandotte County-Kansas City Unified Government: | ||||||||||||
0.000%, 12/01/2027 (Insured by NATL) | 370,000 | 270,555 | ||||||||||
6.750%, 12/01/2027 (Insured by NATL) (3) | 100,000 | 116,651 | ||||||||||
Total Kansas (Cost $762,991) | 791,632 | 1.9 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Asset Liability Commission, | ||||||||||||
1.010%, 11/01/2025 (3 Month LIBOR USD + 0.550%) (Callable 07/31/2020)(Insured by NATL) (2) | 30,000 | 28,905 | ||||||||||
Kentucky Economic Development Finance Authority, | ||||||||||||
0.000%, 10/01/2025 (Insured by NATL) | 35,000 | 31,327 | ||||||||||
Kentucky Higher Education Student Loan Corp., | ||||||||||||
5.000%, 06/01/2024 | 130,000 | 145,545 | ||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024)(Mandatory Tender Date 01/01/2025) (1) | 55,000 | 60,579 | ||||||||||
1.235%, 12/01/2049 (1 Month LIBOR USD + 1.120%) (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (2) | 100,000 | 98,112 | ||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 240,000 | 269,729 | ||||||||||
Total Kentucky (Cost $611,964) | 634,197 | 1.5 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, | ||||||||||||
6.500%, 11/01/2035 (Callable 11/01/2020) | 100,000 | 101,329 | ||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
0.000%, 10/01/2024 (7) | 300,000 | 275,703 | ||||||||||
Louisiana Stadium & Exposition District, | ||||||||||||
5.000%, 07/03/2023 (Callable 01/01/2023) | 200,000 | 213,362 | ||||||||||
Total Louisiana (Cost $588,980) | 590,394 | 1.4 | % | |||||||||
Maine | ||||||||||||
Maine Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2026 | 100,000 | 120,774 | ||||||||||
Total Maine (Cost $111,780) | 120,774 | 0.3 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 10/01/2020 | 135,000 | 136,116 | ||||||||||
Total Massachusetts (Cost $135,475) | 136,116 | 0.3 | % | |||||||||
Michigan | ||||||||||||
Michigan Finance Authority: | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2025) | 160,000 | 189,549 | ||||||||||
5.000%, 07/01/2044 (Callable 07/01/2024) | 130,000 | 136,896 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 300,000 | 329,421 | ||||||||||
Michigan Strategic Fund, | ||||||||||||
2.090%, 06/01/2039 (Optional Put Date 07/01/2020) (1) | 630,000 | 630,000 | ||||||||||
Total Michigan (Cost $1,283,584) | 1,285,866 | 3.0 | % | |||||||||
Minnesota | ||||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2026 (Callable 01/01/2022) | 50,000 | 53,014 | ||||||||||
Total Minnesota (Cost $51,426) | 53,014 | 0.1 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Hospital Equipment & Facilities Authority, | ||||||||||||
5.000%, 10/01/2040 (Callable 12/01/2026)(Mandatory Tender Date 03/01/2027) (1) | 100,000 | 120,357 | ||||||||||
State of Mississippi, | ||||||||||||
0.445%, 09/01/2027 (1 Month LIBOR USD + 0.330%) (Callable 07/21/2020)(Mandatory Tender Date 09/01/2020) (2) | 200,000 | 199,936 | ||||||||||
Total Mississippi (Cost $311,426) | 320,293 | 0.8 | % | |||||||||
Missouri | ||||||||||||
City of Dardenne Prairie MO, | ||||||||||||
4.000%, 08/01/2028 | 300,000 | 332,259 | ||||||||||
County of Platte MO, | ||||||||||||
3.000%, 03/01/2021 | 50,000 | 50,215 | ||||||||||
Hannibal Industrial Development Authority, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 100,913 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||||||
5.000%, 09/01/2027 | 150,000 | 179,142 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2024) | 200,000 | 193,536 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
3.875%, 11/15/2029 (Callable 11/15/2026) | 100,000 | 89,537 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
3.100%, 01/01/2023 | 100,000 | 96,980 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority: | ||||||||||||
4.250%, 06/01/2026 | 250,000 | 267,950 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2029) (7) | 325,000 | 285,773 | ||||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
5.000%, 02/15/2025 | 300,000 | 344,700 | ||||||||||
Total Missouri (Cost $1,948,331) | 1,941,005 | 4.6 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project, | ||||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 45,000 | 48,141 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 125,000 | 142,045 | ||||||||||
Total Nebraska (Cost $172,603) | 190,186 | 0.4 | % | |||||||||
Nevada | ||||||||||||
City of Las Vegas NV Special Improvement District No. 814, | ||||||||||||
3.000%, 06/01/2021 | 100,000 | 100,348 | ||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 (3) | 175,000 | 171,761 | ||||||||||
Clark County School District, | ||||||||||||
5.000%, 06/15/2023 | 100,000 | 112,101 | ||||||||||
Total Nevada (Cost $365,375) | 384,210 | 0.9 | % |
New Jersey | ||||||||||||
Atlantic City Board of Education, | ||||||||||||
3.400%, 08/15/2024 (3) | 140,000 | 150,591 | ||||||||||
City of Newark NJ, | ||||||||||||
4.000%, 10/01/2024 (Callable 10/01/2020)(Insured by ST AID) | 35,000 | 35,102 | ||||||||||
Essex County Improvement Authority, | ||||||||||||
5.000%, 11/01/2027 | 350,000 | 431,291 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 200,000 | 211,062 | ||||||||||
New Jersey Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2025) | 125,000 | 143,977 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.500%, 12/15/2020 (Insured by NATL) | 100,000 | 101,518 | ||||||||||
5.000%, 12/15/2028 | 250,000 | 290,843 | ||||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 150,000 | 162,758 | ||||||||||
Total New Jersey (Cost $1,483,425) | 1,527,142 | 3.6 | % | |||||||||
New Mexico | ||||||||||||
City of Farmington NM, | ||||||||||||
1.875%, 04/01/2033 (Mandatory Tender Date 10/01/2021) (1) | 50,000 | 49,878 | ||||||||||
Total New Mexico (Cost $50,243) | 49,878 | 0.1 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 200,000 | 177,060 | ||||||||||
County of Suffolk NY, | ||||||||||||
2.500%, 08/20/2020 | 150,000 | 150,307 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
4.000%, 07/01/2020 | 100,000 | 100,000 | ||||||||||
5.000%, 11/15/2021 | 100,000 | 103,681 | ||||||||||
5.000%, 05/15/2022 | 375,000 | 391,579 | ||||||||||
Monroe County Industrial Development Corp., | ||||||||||||
5.000%, 06/01/2021 | 200,000 | 205,496 | ||||||||||
New York State Dormitory Authority, | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2026) | 80,000 | 94,760 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.625%, 04/01/2034 (Mandatory Tender Date 07/03/2023) (1) | 200,000 | 204,658 | ||||||||||
New York Transportation Development Corp.: | ||||||||||||
5.000%, 01/01/2021 | 250,000 | 251,967 | ||||||||||
5.000%, 01/01/2024 | 125,000 | 131,813 | ||||||||||
Onondaga Civic Development Corp.: | ||||||||||||
5.000%, 10/01/2023 | 165,000 | 170,884 | ||||||||||
5.000%, 10/01/2024 | 35,000 | 36,450 | ||||||||||
5.000%, 10/01/2025 | 225,000 | 235,215 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 04/01/2049 (Callable 10/01/2028) | 300,000 | 319,257 | ||||||||||
Town of Ramapo NY: | ||||||||||||
3.250%, 05/15/2023 | 200,000 | 193,498 | ||||||||||
3.375%, 05/15/2024 (Callable 05/15/2023) | 25,000 | 24,005 | ||||||||||
3.000%, 11/01/2027 (Callable 11/01/2022) | 100,000 | 89,638 | ||||||||||
Triborough Bridge & Tunnel Authority, | ||||||||||||
0.615%, 11/15/2027 (1 Month LIBOR USD + 0.500%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 200,000 | 197,326 | ||||||||||
Total New York (Cost $3,087,913) | 3,077,594 | 7.2 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Central University, | ||||||||||||
5.000%, 04/01/2027 | 410,000 | 490,988 | ||||||||||
Winston-Salem State University, | ||||||||||||
4.250%, 06/01/2032 (Callable 06/01/2024) | 75,000 | 76,361 | ||||||||||
Total North Carolina (Cost $564,600) | 567,349 | 1.3 | % | |||||||||
North Dakota | ||||||||||||
City of Dickinson ND, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 165,000 | 169,546 | ||||||||||
City of Grand Forks ND, | ||||||||||||
5.000%, 12/01/2024 | 100,000 | 114,124 | ||||||||||
County of Burleigh ND, | ||||||||||||
3.000%, 11/01/2021 (Callable 02/18/2021) | 200,000 | 194,530 | ||||||||||
County of Mercer ND, | ||||||||||||
2.000%, 05/01/2022 | 125,000 | 128,157 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 07/16/2020) | 200,000 | 201,356 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
3.350%, 07/01/2031 (Callable 01/01/2027) | 200,000 | 219,490 | ||||||||||
Total North Dakota (Cost $1,008,684) | 1,027,203 | 2.4 | % | |||||||||
Ohio | ||||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
2.659%, 12/01/2023 (Insured by AMBAC) (1) | 500,000 | 494,595 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
3.750%, 09/01/2050 (Callable 03/01/2029)(Insured by GNMA) | 110,000 | 122,322 | ||||||||||
Port of Greater Cincinnati Development Authority, | ||||||||||||
3.000%, 05/01/2023 (Callable 05/01/2022) | 150,000 | 149,727 | ||||||||||
Premier Health Partners, | ||||||||||||
2.911%, 11/15/2026 (Callable 05/15/2026) | 150,000 | 148,186 | ||||||||||
Total Ohio (Cost $918,747) | 914,830 | 2.2 | % | |||||||||
Oklahoma | ||||||||||||
Tulsa Industrial Authority: | ||||||||||||
5.000%, 10/01/2022 | 165,000 | 173,067 | ||||||||||
5.000%, 10/01/2023 | 185,000 | 197,480 | ||||||||||
Total Oklahoma (Cost $374,376) | 370,547 | 0.9 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
5.000%, 06/15/2038 (Callable 06/15/2027) (7) | 125,000 | 152,215 | ||||||||||
Oregon State Facilities Authority: | ||||||||||||
5.000%, 10/01/2025 (6) | 225,000 | 263,196 | ||||||||||
5.000%, 10/01/2028 (6) | 150,000 | 184,714 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
3.900%, 01/01/2033 (Callable 07/01/2023) | 90,000 | 94,479 | ||||||||||
3.600%, 07/01/2034 (Callable 07/01/2024) | 125,000 | 131,545 | ||||||||||
4.000%, 01/01/2047 (Callable 07/01/2025) | 35,000 | 37,381 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2026) | 50,000 | 54,061 | ||||||||||
Total Oregon (Cost $895,235) | 917,591 | 2.2 | % | |||||||||
Pennsylvania | ||||||||||||
Berks County Municipal Authority, | ||||||||||||
5.000%, 02/01/2040 (Callable 08/01/2024)(Mandatory Tender Date 02/01/2025) (1) | 110,000 | 122,396 | ||||||||||
City of Philadelphia PA, | ||||||||||||
5.250%, 06/15/2030 (Callable 07/31/2020) | 300,000 | 302,253 | ||||||||||
Crestwood School District, | ||||||||||||
2.350%, 09/01/2025 | 400,000 | 399,992 | ||||||||||
Cumberland County Municipal Authority, | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025) | 175,000 | 184,579 | ||||||||||
East Hempfield Township Industrial Development Authority, | ||||||||||||
5.000%, 07/01/2025 | 250,000 | 251,292 | ||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 170,000 | 172,081 | ||||||||||
Montgomery County Industrial Development Authority: | ||||||||||||
4.000%, 12/01/2020 | 150,000 | 150,323 | ||||||||||
5.000%, 11/15/2027 (Callable 05/15/2022) | 130,000 | 136,774 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.000%, 05/01/2025 | 200,000 | 228,910 | ||||||||||
Redevelopment Authority of the City of Philadelphia, | ||||||||||||
5.000%, 04/15/2027 (Callable 04/15/2025) | 100,000 | 114,792 | ||||||||||
Total Pennsylvania (Cost $2,033,596) | 2,063,392 | 4.9 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Health and Educational Building Corp., | ||||||||||||
0.250%, 06/01/2035 (Optional Put Date 07/01/2020) (1) | 400,000 | 400,000 | ||||||||||
Total Rhode Island (Cost $400,000) | 400,000 | 0.9 | % | |||||||||
South Carolina | ||||||||||||
Florence-Darlington Commission for Technical Education, | ||||||||||||
5.000%, 03/01/2024 (Callable 09/01/2023) | 210,000 | 222,909 | ||||||||||
South Carolina Educational Facilities Authority, | ||||||||||||
0.080%, 10/01/2039 (Optional Put Date 07/01/2020) (1) | 400,000 | 400,000 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 130,000 | 136,661 | ||||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 350,000 | 386,890 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
3.800%, 07/01/2034 (Callable 07/01/2024)(Insured by GNMA) | 180,000 | 191,862 | ||||||||||
South Carolina Transportation Infrastructure Bank, | ||||||||||||
0.565%, 10/01/2031 (1 Month LIBOR USD + 0.450%) (Callable 10/01/2021)(Mandatory Tender Date 10/01/2022) (2) | 300,000 | 296,157 | ||||||||||
Total South Carolina (Cost $1,638,650) | 1,634,479 | 3.8 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 250,000 | 272,598 | ||||||||||
South Dakota Board of Regents Housing & Auxiliary Facilities System, | ||||||||||||
5.000%, 04/01/2024 (Callable 04/01/2023) | 100,000 | 111,843 | ||||||||||
South Dakota Health & Educational Facilities Authority, | ||||||||||||
5.000%, 09/01/2032 (Callable 09/01/2027) | 100,000 | 120,905 | ||||||||||
Total South Dakota (Cost $493,459) | 505,346 | 1.2 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN, | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 225,000 | 254,059 | ||||||||||
Greeneville Health & Educational Facilities Board, | ||||||||||||
1.450%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 150,000 | 152,292 | ||||||||||
Tennessee Energy Acquisition Corp., | ||||||||||||
5.625%, 09/01/2026 | 200,000 | 240,396 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
2.350%, 07/01/2022 | 25,000 | 25,815 | ||||||||||
4.000%, 07/01/2048 (Callable 01/01/2027) | 40,000 | 43,311 | ||||||||||
4.500%, 07/01/2049 (Callable 01/01/2028) | 55,000 | 61,137 | ||||||||||
Total Tennessee (Cost $756,193) | 777,010 | 1.8 | % | |||||||||
Texas | ||||||||||||
Brazos Higher Education Authority, Inc., | ||||||||||||
2.350%, 04/01/2040 (Callable 04/01/2030) | 150,000 | 146,114 | ||||||||||
Central Texas Regional Mobility Authority, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2026) | 25,000 | 27,737 | ||||||||||
City of Austin TX, | ||||||||||||
5.250%, 05/15/2025 | 150,000 | 168,357 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
3.100%, 12/01/2022 | 50,000 | 50,349 | ||||||||||
3.950%, 12/01/2032 (Callable 12/01/2022) | 265,000 | 267,984 | ||||||||||
County of Winkler TX, | ||||||||||||
2.000%, 02/15/2025 | 125,000 | 124,849 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
0.680%, 12/01/2049 (SIFMA Municipal Swap Index + 0.570%) (Callable 06/01/2024)(Mandatory Tender Date 12/04/2024) (2) | 35,000 | 33,914 | ||||||||||
Harris County Municipal Utility District No. 406, | ||||||||||||
3.500%, 09/01/2022 | 100,000 | 105,008 | ||||||||||
Love Field Airport Modernization Corp., | ||||||||||||
5.000%, 11/01/2030 (Callable 11/01/2026) | 115,000 | 133,399 | ||||||||||
Port of Port Arthur Navigation District, | ||||||||||||
1.500%, 11/01/2040 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 300,000 | 300,000 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
1.660%, 12/15/2026 (3 Month LIBOR USD + 1.450%) (Callable 07/01/2020) (2) | 500,000 | 477,000 | ||||||||||
Texas Municipal Gas Acquisition and Supply Corp. II, | ||||||||||||
1.080%, 09/15/2027 (3 Month LIBOR USD + 0.870%) (2) | 130,000 | 127,265 | ||||||||||
Total Texas (Cost $1,940,978) | 1,961,976 | 4.6 | % | |||||||||
Utah | ||||||||||||
Utah Charter School Finance Authority, | ||||||||||||
3.000%, 04/15/2027 (Insured by UT CSCE) | 160,000 | 176,482 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 350,000 | 375,651 | ||||||||||
Total Utah (Cost $544,488) | 552,133 | 1.3 | % | |||||||||
Washington | ||||||||||||
County of Lewis WA, | ||||||||||||
3.000%, 12/01/2026 (Callable 12/01/2022) | 100,000 | 104,580 | ||||||||||
King County Housing Authority, | ||||||||||||
5.000%, 12/01/2030 | 400,000 | 469,036 | ||||||||||
Pend Oreille County Public Utility District No. 1, | ||||||||||||
5.000%, 01/01/2022 | 250,000 | 261,892 | ||||||||||
Skagit County Public Hospital District No. 1, | ||||||||||||
5.000%, 12/01/2021 | 150,000 | 157,304 | ||||||||||
Vancouver Housing Authority, | ||||||||||||
1.700%, 12/01/2024 | 140,000 | 143,566 | ||||||||||
Washington Health Care Facilities Authority, | ||||||||||||
1.510%, 01/01/2035 (SIFMA Municipal Swap Index + 1.400%) (Callable 07/01/2024)(Mandatory Tender Date 01/01/2025) (2) | 150,000 | 146,841 | ||||||||||
Washington State Housing Finance Commission, | ||||||||||||
4.000%, 06/01/2050 (Callable 06/01/2029)(Insured by GNMA) | 300,000 | 336,183 | ||||||||||
Total Washington (Cost $1,595,071) | 1,619,402 | 3.8 | % |
Wisconsin | ||||||||||||
Palmyra-Eagle Area School District: | ||||||||||||
2.550%, 03/01/2021 | 250,000 | 250,072 | ||||||||||
3.000%, 03/01/2025 (Callable 03/01/2023) | 100,000 | 95,406 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 06/01/2022 | 100,000 | 101,926 | ||||||||||
5.000%, 07/01/2022 | 100,000 | 101,913 | ||||||||||
5.000%, 10/01/2023 (3) | 100,000 | 104,996 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
3.000%, 04/01/2024 | 100,000 | 100,141 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
2.700%, 05/01/2021 | 100,000 | 98,465 | ||||||||||
5.000%, 09/15/2028 (Callable 09/15/2023) | 20,000 | 20,613 | ||||||||||
5.000%, 02/15/2051 (Callable 08/15/2026)(Mandatory Tender Date 02/15/2027) (1) | 300,000 | 356,937 | ||||||||||
0.850%, 02/15/2053 (1) | 300,000 | 300,000 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.000%, 07/01/2022 (6) | 150,000 | 150,027 | ||||||||||
4.000%, 07/01/2030 (6) | 135,000 | 135,219 | ||||||||||
Total Wisconsin (Cost $1,806,497) | 1,815,715 | 4.3 | % | |||||||||
Total Long-Term Investments (Cost $42,858,268) | 43,462,547 | 102.2 | % | |||||||||
SHORT-TERM INVESTMENTS | Shares | |||||||||||
U.S. Treasury Security | ||||||||||||
United States Treasury Bill, 0.17% (5) 03/25/2021 | 25,000 | 24,969 | ||||||||||
Total U.S. Treasury Security (Cost $24,969) | 24,969 | 0.1 | % | |||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 0.03% (4) | 30,013 | 30,013 | ||||||||||
Total Money Market Mutual Fund (Cost $30,013) | 30,013 | 0.1 | % | |||||||||
Total Short-Term Investments (Cost $54,982) | 54,982 | 0.2 | % | |||||||||
Total Investments (Cost $42,913,250) | 43,517,529 | 102.4 | % | |||||||||
Liabilities in Excess of Other Assets | (1,039,845 | ) | (2.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 42,477,684 | 100.0 | % |
Notes to Schedule of Investments | |
AGM | Assured Guaranty Municipal |
AMBAC | Ambac Assurance Corp. |
BAM | Build America Mutual Assurance Co. |
FHA | Federal Housing Administration |
GNMA | Government National Mortgage Association |
NATL | National Public Finance Guarantee Corp. |
SD CRED PROG | State Credit Enhancement Program |
ST AID | State Aid Intercept/Withholding |
UT CSCE | Utah Charter School Credit Enhancement Program |
LIBOR | London Inter-bank Offered Rate |
SIFMA | Securities Industry and Financial Markets Association |
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $1,133,096, which represents 2.67% of total net assets. |
(4) | Seven-day yield. |
(5) | Effective yield as of June 30, 2020. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
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 | $ | 494,611 | ||||||||
4.000%, 09/01/2034 (Callable 09/01/2029) | 190,000 | 228,481 | ||||||||||
4.000%, 09/01/2035 (Callable 09/01/2029) | 500,000 | 598,520 | ||||||||||
Total Alabama (Cost $1,281,793) | 1,321,612 | 0.1 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
4.000%, 06/01/2031 (Callable 06/01/2027) | 1,700,000 | 1,954,082 | ||||||||||
4.000%, 12/01/2031 (Callable 06/01/2027) | 2,980,000 | 3,415,378 | ||||||||||
5.000%, 12/01/2031 (Callable 06/01/2028) | 1,465,000 | 1,797,540 | ||||||||||
4.000%, 12/01/2032 (Callable 06/01/2027) | 865,000 | 985,841 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027) | 1,090,000 | 1,198,804 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 06/30/2029 (Callable 06/30/2022) | 1,225,000 | 1,324,568 | ||||||||||
Total Alaska (Cost $10,547,307) | 10,676,213 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
2.500%, 05/01/2022 (Insured by AGM) (3) | 10,353,059 | 10,450,067 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | 715,000 | 779,765 | ||||||||||
City of Tempe AZ: | ||||||||||||
5.000%, 07/01/2033 (Pre-refunded to 07/01/2028) | 40,000 | 53,723 | ||||||||||
5.000%, 07/01/2034 (Pre-refunded to 07/01/2027) | 165,000 | 214,150 | ||||||||||
5.000%, 07/01/2034 (Pre-refunded to 07/01/2028) | 325,000 | 436,498 | ||||||||||
5.000%, 07/01/2035 (Pre-refunded to 07/01/2027) | 185,000 | 240,108 | ||||||||||
5.000%, 07/01/2037 (Pre-refunded to 07/01/2028) | 215,000 | 288,760 | ||||||||||
5.000%, 07/01/2038 (Pre-refunded to 07/01/2028) | 350,000 | 470,074 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2025) | 750,000 | 905,108 | ||||||||||
Maricopa County Unified School District No. 48: | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2028) | 500,000 | 594,425 | ||||||||||
3.000%, 07/01/2034 (Callable 07/01/2028) | 1,350,000 | 1,467,679 | ||||||||||
Salt River Project Agricultural Improvement & Power District, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2027) | 3,555,000 | 4,400,663 | ||||||||||
Total Arizona (Cost $19,776,689) | 20,301,020 | 1.4 | % | |||||||||
Arkansas | ||||||||||||
City of Little Rock AR, | ||||||||||||
5.000%, 10/01/2034 (Callable 04/01/2025) | 5,000,000 | 5,874,550 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 2,005,000 | 2,120,849 | ||||||||||
City of Rogers AR: | ||||||||||||
4.000%, 11/01/2025 (Callable 05/01/2024) | 570,000 | 643,621 | ||||||||||
4.000%, 11/01/2027 (Callable 05/01/2024) | 460,000 | 517,164 | ||||||||||
Jonesboro City Water & Light Plant: | ||||||||||||
4.000%, 06/01/2033 (Callable 12/01/2030) (6) | 500,000 | 614,155 | ||||||||||
4.000%, 06/01/2035 (Callable 12/01/2030) (6) | 1,360,000 | 1,643,438 | ||||||||||
University of Arkansas: | ||||||||||||
5.000%, 11/01/2035 (Callable 11/01/2024) | 665,000 | 761,285 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2029) | 160,000 | 186,939 | ||||||||||
4.000%, 04/01/2039 (Callable 04/01/2029) | 245,000 | 284,585 | ||||||||||
Total Arkansas (Cost $12,018,328) | 12,646,586 | 0.9 | % | |||||||||
California | ||||||||||||
Antelope Valley Community College District, | ||||||||||||
0.000%, 08/01/2034 (Pre-refunded to 02/01/2025) | 150,000 | 98,010 | ||||||||||
Aromas-San Juan Unified School District, | ||||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 925,000 | 82,297 | ||||||||||
Brea Redevelopment Agency: | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2027) (5) | 1,500,000 | 1,578,045 | ||||||||||
0.000%, 08/01/2034 (Callable 08/01/2027) (5) | 1,750,000 | 1,836,258 | ||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 01/01/2028 (Pre-refunded to 01/01/2022) | 1,230,000 | 1,312,656 | ||||||||||
Citrus Community College District, | ||||||||||||
0.000%, 08/01/2034 (Callable 02/01/2024) (5) | 885,000 | 879,788 | ||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021 (ETM) | 12,385,000 | 12,349,084 | ||||||||||
City of Pasadena CA, | ||||||||||||
4.250%, 06/01/2034 (Callable 06/01/2023) | 500,000 | 542,630 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021 (ETM) | 190,000 | 181,577 | ||||||||||
Contra Costa Transportation Authority, | ||||||||||||
5.000%, 03/01/2028 (Callable 03/01/2025) | 1,570,000 | 1,871,974 | ||||||||||
Department of Veterans Affairs Veteran's Farm & Home Purchase Program, | ||||||||||||
4.000%, 12/01/2049 (Callable 06/01/2028) | 1,710,000 | 1,883,223 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Pre-refunded to 08/01/2023)(Insured by BAM) | 300,000 | 143,073 | ||||||||||
Gateway Unified School District, | ||||||||||||
0.000%, 03/01/2037 (ETM)(Insured by AGM) | 45,000 | 28,882 | ||||||||||
La Canada Unified School District: | ||||||||||||
4.000%, 08/01/2045 (Callable 08/01/2028) | 850,000 | 975,579 | ||||||||||
4.000%, 08/01/2049 (Callable 08/01/2028) | 1,000,000 | 1,144,780 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2051 (Pre-refunded to 08/01/2021)(Insured by AGM) | 1,285,000 | 126,534 | ||||||||||
Moorpark Unified School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2032)(Insured by AGM) (5) | 110,000 | 114,313 | ||||||||||
Mount San Antonio Community College District, | ||||||||||||
0.000%, 08/01/2028 (Callable 02/01/2028) (5) | 550,000 | 632,115 | ||||||||||
Northern California Power Agency, | ||||||||||||
7.500%, 07/01/2023 (Pre-refunded to 07/01/2021)(Insured by AMBAC) | 355,000 | 373,737 | ||||||||||
Pacheco Union Elementary School District, | ||||||||||||
0.000%, 02/01/2037 (ETM)(Insured by AGM) | 300,000 | 194,259 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2030 (Callable 07/21/2020)(Insured by BAM) | 235,000 | 235,470 | ||||||||||
5.000%, 08/01/2031 (Callable 07/21/2020)(Insured by BAM) | 275,000 | 275,539 | ||||||||||
Paramount Unified School District, | ||||||||||||
0.000%, 08/01/2045 (Callable 02/01/2033)(Insured by AGM) (5) | 325,000 | 415,181 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2040 (Pre-refunded to 09/01/2021)(Insured by AGM) | 815,000 | 192,837 | ||||||||||
Pleasanton Unified School District, | ||||||||||||
3.000%, 08/01/2033 (Callable 08/01/2025) | 2,000,000 | 2,132,080 | ||||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (5) | 6,760,000 | 8,788,338 | ||||||||||
San Diego Unified School District: | ||||||||||||
6.000%, 07/01/2033 (Pre-refunded to 07/01/2024) (5) | 350,000 | 428,113 | ||||||||||
4.000%, 07/01/2034 (Callable 07/01/2027) | 1,000,000 | 1,168,830 | ||||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 13,824,616 | ||||||||||
0.000%, 01/01/2027 (ETM) | 1,380,000 | 1,301,795 | ||||||||||
0.000%, 01/01/2028 (ETM) | 810,000 | 753,883 | ||||||||||
San Marcos Unified School District: | ||||||||||||
0.000%, 08/01/2032 (Pre-refunded to 02/01/2024) | 400,000 | 257,496 | ||||||||||
0.000%, 08/01/2038 (Pre-refunded to 02/01/2024) | 1,500,000 | 684,450 | ||||||||||
San Mateo Union High School District: | ||||||||||||
5.000%, 09/01/2041 (Callable 09/01/2023) | 2,105,000 | 2,393,406 | ||||||||||
5.000%, 12/15/2043 (Pre-refunded to 12/15/2024)(Insured by AMBAC) (5) | 1,635,000 | 1,960,185 | ||||||||||
San Ysidro School District: | ||||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2021)(Insured by AGM) | 375,000 | 78,315 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2021)(Insured by AGM) | 290,000 | 56,054 | ||||||||||
0.000%, 08/01/2050 (Pre-refunded to 08/01/2021)(Insured by AGM) | 525,000 | 58,721 | ||||||||||
St. Helena Unified School District, | ||||||||||||
0.000%, 08/01/2028 (5) | 130,000 | 142,892 | ||||||||||
State of California, | ||||||||||||
5.000%, 08/01/2031 (Callable 02/01/2025) | 1,100,000 | 1,296,339 | ||||||||||
Sutter Union High School District: | ||||||||||||
0.000%, 08/01/2030 (Pre-refunded to 08/01/2025) | 185,000 | 127,175 | ||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2025) | 75,000 | 33,337 | ||||||||||
0.000%, 08/01/2037 (Pre-refunded to 08/01/2025) | 50,000 | 20,693 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2025) | 50,000 | 15,498 | ||||||||||
0.000%, 08/01/2043 (Pre-refunded to 08/01/2025) | 200,000 | 53,430 | ||||||||||
0.000%, 08/01/2044 (Pre-refunded to 08/01/2025) | 420,000 | 104,110 | ||||||||||
0.000%, 06/01/2050 (Pre-refunded to 08/01/2025) | 700,000 | 110,894 | ||||||||||
Tustin Unified School District, | ||||||||||||
6.000%, 08/01/2028 (Callable 08/01/2021) (5) | 1,310,000 | 1,390,329 | ||||||||||
Victor Valley Union High School District: | ||||||||||||
0.000%, 08/01/2036 (Pre-refunded to 08/01/2023)(Insured by AGM) | 510,000 | 248,013 | ||||||||||
0.000%, 08/01/2038 (Pre-refunded to 08/01/2023)(Insured by AGM) | 460,000 | 197,326 | ||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2023) | 545,000 | 195,737 | ||||||||||
0.000%, 08/01/2042 (Pre-refunded to 08/01/2023) | 2,000,000 | 675,540 | ||||||||||
0.000%, 08/01/2046 (Pre-refunded to 08/01/2023) | 200,000 | 52,900 | ||||||||||
0.000%, 08/01/2052 (Pre-refunded to 08/01/2023) | 790,000 | 143,511 | ||||||||||
Total California (Cost $61,270,770) | 66,161,847 | 4.7 | % | |||||||||
Colorado | ||||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST AID) | 1,225,000 | 1,451,294 | ||||||||||
Brush School District No. RE-2J: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 380,000 | 479,146 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2027)(Insured by BAM) | 395,000 | 495,156 | ||||||||||
5.000%, 12/01/2035 (Callable 12/01/2027)(Insured by BAM) | 460,000 | 570,524 | ||||||||||
City of Aurora CO, | ||||||||||||
5.000%, 12/01/2029 | 2,400,000 | 3,190,104 | ||||||||||
City of Fort Lupton CO, | ||||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027)(Insured by AGM) | 850,000 | 962,030 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
0.000%, 07/15/2022 (ETM) | 14,125,000 | 13,973,580 | ||||||||||
0.000%, 07/15/2024 (ETM) | 650,000 | 632,944 | ||||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 100,000 | 108,176 | ||||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 3,545,000 | 3,961,431 | ||||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 335,000 | 374,353 | ||||||||||
5.000%, 06/01/2047 (Pre-refunded to 06/01/2027) | 5,800,000 | 7,462,280 | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022 (ETM) | 13,745,000 | 13,594,630 | ||||||||||
0.000%, 10/01/2022 (ETM) | 23,840,000 | 23,579,190 | ||||||||||
Mesa County Valley School District No. 51, | ||||||||||||
5.500%, 12/01/2037 (Callable 12/01/2027)(Insured by ST AID) | 1,000,000 | 1,291,950 | ||||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039 (Callable 06/01/2023) | 5,725,000 | 6,149,165 | ||||||||||
Total Colorado (Cost $74,778,704) | 78,275,953 | 5.6 | % | |||||||||
Connecticut | ||||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
2.875%, 11/15/2030 (Callable 05/15/2025) | 1,500,000 | 1,592,475 | ||||||||||
4.000%, 11/15/2045 (Callable 05/15/2028) | 6,795,000 | 7,460,842 | ||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 1,315,000 | 1,415,335 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 2,460,000 | 2,758,201 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 05/01/2026 | 1,300,000 | 1,591,473 | ||||||||||
University of Connecticut, | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,250,000 | 1,520,650 | ||||||||||
Total Connecticut (Cost $15,692,440) | 16,338,976 | 1.2 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia: | ||||||||||||
5.000%, 03/01/2036 (Callable 09/01/2029) | 1,500,000 | 1,964,385 | ||||||||||
5.000%, 04/01/2042 (Pre-refunded to 04/01/2027) | 160,000 | 205,384 | ||||||||||
5.000%, 10/15/2044 (Callable 04/15/2029) | 1,665,000 | 2,108,306 | ||||||||||
District of Columbia Housing Finance Agency, | ||||||||||||
1.450%, 02/01/2039 (Mandatory Tender Date 08/01/2022) (1) | 1,915,000 | 1,943,955 | ||||||||||
Total District of Columbia (Cost $6,084,397) | 6,222,030 | 0.4 | % | |||||||||
Florida | ||||||||||||
City of Fort Myers FL, | ||||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 480,000 | 525,955 | ||||||||||
City of Jacksonville FL, | ||||||||||||
0.110%, 08/01/2036 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 1,500,000 | 1,500,000 | ||||||||||
City of Miami Beach FL, | ||||||||||||
6.250%, 10/01/2022 (ETM)(Insured by AMBAC) | 800,000 | 853,432 | ||||||||||
City of Miramar FL: | ||||||||||||
5.000%, 10/01/2029 (Callable 10/01/2027) | 1,025,000 | 1,326,370 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2027) | 1,000,000 | 1,289,860 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2027) | 1,000,000 | 1,259,950 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2027) | 1,030,000 | 1,291,414 | ||||||||||
City of Orlando FL, | ||||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 1,000,000 | 1,175,750 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 10/01/2033 (Callable 10/01/2024) | 255,000 | 299,735 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 1,010,000 | 1,185,336 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 825,000 | 966,710 | ||||||||||
City of Tampa FL, | ||||||||||||
4.125%, 10/01/2031 (Callable 10/01/2021) | 1,930,000 | 2,010,925 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.250%, 10/01/2022 (Insured by AGM) | 1,175,000 | 1,306,201 | ||||||||||
0.000%, 10/01/2027 (ETM)(Insured by NATL) | 185,000 | 173,093 | ||||||||||
5.250%, 10/01/2030 (ETM)(Insured by NATL) | 2,060,000 | 2,742,231 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 7,355,000 | 8,265,696 | ||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 490,000 | 525,854 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2028)(Insured by GNMA) | 4,195,000 | 4,642,858 | ||||||||||
3.500%, 07/01/2051 (Callable 07/01/2029)(Insured by GNMA) (6) | 650,000 | 718,939 | ||||||||||
Highlands County Health Facilities Authority: | ||||||||||||
0.110%, 11/15/2035 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
0.110%, 11/15/2037 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 3,600,000 | 3,600,000 | ||||||||||
JEA Electric System Revenue, | ||||||||||||
5.000%, 10/01/2023 (Pre-refunded to 04/01/2023) | 690,000 | 777,237 | ||||||||||
JEA Water & Sewer System Revenue, | ||||||||||||
5.000%, 10/01/2028 (Pre-refunded to 04/01/2024) | 755,000 | 882,497 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2026) | 1,650,000 | 2,009,502 | ||||||||||
Miami-Dade County Health Facilities Authority, | ||||||||||||
5.750%, 05/01/2021 (ETM)(Insured by NATL) | 305,000 | 317,627 | ||||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022 (ETM) | 3,040,000 | 3,269,003 | ||||||||||
6.875%, 10/01/2022 (ETM)(Insured by AMBAC) | 2,085,000 | 2,253,656 | ||||||||||
Osceola County Expressway Authority, | ||||||||||||
0.000%, 10/01/2028 (ETM) (5) | 75,000 | 83,009 | ||||||||||
Pinellas County Housing Finance Authority, | ||||||||||||
4.250%, 03/01/2027 (Callable 07/31/2020)(Insured by GNMA) | 20,000 | 20,055 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
5.000%, 10/01/2031 (Callable 10/01/2028) | 310,000 | 378,770 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 03/15/2039 (Callable 03/15/2024) | 2,000,000 | 2,257,120 | ||||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,460,000 | 8,880,124 | ||||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,840,000 | 5,080,354 | ||||||||||
5.000%, 07/01/2024 (Pre-refunded to 07/01/2022) | 940,000 | 1,025,145 | ||||||||||
Seminole County School Board, | ||||||||||||
5.000%, 07/01/2035 (Callable 07/01/2026) | 145,000 | 175,122 | ||||||||||
Total Florida (Cost $61,565,047) | 64,069,530 | 4.6 | % | |||||||||
Georgia | ||||||||||||
Atlanta Development Authority: | ||||||||||||
5.000%, 09/01/2023 (ETM) | 2,450,000 | 2,802,285 | ||||||||||
5.000%, 09/01/2024 (Pre-refunded to 09/01/2023) | �� | 910,000 | 1,040,849 | |||||||||
5.000%, 09/01/2032 (Pre-refunded to 09/01/2023) | 1,315,000 | 1,504,084 | ||||||||||
Development Authority of Rockdale County: | ||||||||||||
5.000%, 07/01/2022 | 415,000 | 448,578 | ||||||||||
5.000%, 07/01/2023 | 220,000 | 246,310 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,020,000 | 9,921,542 | ||||||||||
Georgia Housing & Finance Authority, | ||||||||||||
3.500%, 12/01/2046 (Callable 12/01/2025) | 760,000 | 800,485 | ||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
0.945%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 1,000,000 | 992,840 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021 (ETM) | 1,950,000 | 1,936,545 | ||||||||||
0.000%, 12/01/2021 (ETM) | 4,030,000 | 4,002,193 | ||||||||||
Total Georgia (Cost $22,662,291) | 23,695,711 | 1.7 | % | |||||||||
Idaho | ||||||||||||
Ada & Boise Counties Independent School District, | ||||||||||||
5.000%, 08/01/2032 (Callable 02/01/2027) | 500,000 | 619,460 | ||||||||||
Total Idaho (Cost $601,684) | 619,460 | 0.0 | % | |||||||||
Illinois | ||||||||||||
Boone & Winnebago Counties Community Unit School District No. 200, | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 720,000 | 687,859 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2021 | 230,000 | 235,308 | ||||||||||
5.125%, 01/01/2022 (Insured by BHAC) | 885,000 | 917,559 | ||||||||||
5.000%, 01/01/2034 (Pre-refunded to 01/01/2025) | 2,170,000 | 2,602,655 | ||||||||||
Cook County Community High School District No. 233, | ||||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 2,695,000 | 2,862,575 | ||||||||||
Cook County School District No. 130, | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2025)(Insured by AGM) | 1,140,000 | 1,388,076 | ||||||||||
Cook County School District No. 144, | ||||||||||||
4.500%, 12/01/2025 (ETM)(Insured by AGM) | 5,000 | 5,507 | ||||||||||
Cook County School District No. 159: | ||||||||||||
0.000%, 12/01/2022 (ETM) | 2,000,000 | 1,974,140 | ||||||||||
0.000%, 12/01/2025 (ETM) | 400,000 | 384,736 | ||||||||||
0.000%, 12/01/2028 (ETM) | 295,000 | 271,480 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2026 (Insured by BAM) | 1,165,000 | 1,494,870 | ||||||||||
5.000%, 12/15/2028 (Insured by BAM) | 1,305,000 | 1,654,753 | ||||||||||
County of Cook IL: | ||||||||||||
5.000%, 11/15/2033 (Callable 11/15/2027) | 3,000,000 | 3,519,480 | ||||||||||
5.000%, 11/15/2034 (Callable 11/15/2027) | 4,325,000 | 5,065,743 | ||||||||||
County of Du Page IL, | ||||||||||||
5.600%, 01/01/2021 | 180,000 | 184,682 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 27,625,000 | 27,127,197 | ||||||||||
0.000%, 07/15/2025 (ETM) | 51,620,000 | 49,536,101 | ||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 2,230,000 | 2,366,186 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2022 | 1,095,000 | 1,170,314 | ||||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,875,000 | 7,319,400 | ||||||||||
5.000%, 07/01/2031 (Callable 01/01/2026) | 1,200,000 | 1,445,712 | ||||||||||
4.000%, 01/15/2033 (Callable 01/15/2028) | 2,170,000 | 2,543,565 | ||||||||||
5.000%, 08/01/2033 (Pre-refunded to 08/01/2024) | 700,000 | 827,078 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,030,000 | 1,175,024 | ||||||||||
4.000%, 07/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,136,410 | ||||||||||
5.000%, 02/15/2036 (Callable 02/15/2027) | 215,000 | 257,338 | ||||||||||
4.000%, 05/01/2044 (Callable 05/01/2025) | 135,000 | 157,101 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 2,500,000 | 2,636,675 | ||||||||||
3.500%, 08/01/2046 (Callable 02/01/2026) | 595,000 | 632,693 | ||||||||||
4.000%, 08/01/2048 (Callable 08/01/2027)(Insured by GNMA) | 730,000 | 797,949 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 10,445,000 | 11,587,265 | ||||||||||
Kane County Community Unit School District No. 304: | ||||||||||||
9.000%, 01/01/2023 (ETM)(Insured by AGM) | 805,000 | 974,823 | ||||||||||
9.000%, 01/01/2023 (Insured by AGM) | 2,720,000 | 3,282,958 | ||||||||||
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 2,060,000 | 2,545,624 | ||||||||||
Lake County Community Consolidated School District No. 50: | ||||||||||||
5.000%, 01/01/2021 (ETM) | 910,000 | 931,230 | ||||||||||
5.000%, 01/01/2021 | 465,000 | 475,593 | ||||||||||
Lake County Township High School District No. 113, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2023) | 3,675,000 | 4,077,780 | ||||||||||
McHenry County Community Consolidated School District No. 47, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2028) | 850,000 | 987,590 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
5.500%, 12/15/2023 (ETM) | 1,540,000 | 1,685,268 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 4,800,000 | 5,044,800 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 295,000 | 344,870 | ||||||||||
Regional Transportation Authority: | ||||||||||||
6.700%, 11/01/2021 (Insured by NATL) | 405,000 | 424,456 | ||||||||||
6.000%, 07/01/2022 (Insured by NATL) | 3,705,000 | 4,057,012 | ||||||||||
6.000%, 07/01/2027 (Insured by AGM) | 1,000,000 | 1,276,480 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,185,000 | 7,631,733 | ||||||||||
State of Illinois: | ||||||||||||
6.500%, 06/15/2022 | 80,000 | 81,462 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 1,850,000 | 1,895,584 | ||||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,228,343 | ||||||||||
Will County Community Consolidated School District No. 157-C, | ||||||||||||
2.300%, 01/01/2021 | 100,000 | 100,948 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2024 (ETM)(Insured by AGM) | 1,355,000 | 1,319,526 | ||||||||||
0.000%, 01/01/2025 (ETM)(Insured by AGM) | 80,000 | 77,110 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2024 (ETM)(Insured by NATL) | 705,000 | 682,214 | ||||||||||
Will County Elementary School District No. 122, | ||||||||||||
0.000%, 10/01/2027 (ETM)(Insured by AGM) | 470,000 | 436,592 | ||||||||||
Total Illinois (Cost $167,309,863) | 178,527,427 | 12.8 | % |
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 1,000,000 | 1,051,440 | ||||||||||
Columbus Multi-High School Building Corp.: | ||||||||||||
5.000%, 01/15/2026 (Insured by ST AID) | 1,125,000 | 1,380,296 | ||||||||||
5.000%, 01/15/2027 (Insured by ST AID) | 1,265,000 | 1,592,332 | ||||||||||
5.000%, 07/15/2028 (Insured by ST AID) | 1,000,000 | 1,308,100 | ||||||||||
Fishers Redevelopment Authority: | ||||||||||||
4.000%, 07/15/2027 | 200,000 | 238,690 | ||||||||||
4.000%, 01/15/2028 | 330,000 | 397,026 | ||||||||||
4.000%, 07/15/2028 | 335,000 | 406,643 | ||||||||||
4.000%, 07/15/2029 (Callable 01/15/2029) | 540,000 | 658,573 | ||||||||||
4.000%, 07/15/2030 (Callable 01/15/2029) | 725,000 | 878,251 | ||||||||||
Fort Wayne Redevelopment Authority, | ||||||||||||
5.000%, 02/01/2025 (Callable 02/01/2024)(Insured by ST AID) | 335,000 | 386,707 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 1,780,000 | 2,094,437 | ||||||||||
Kankakee Valley Middle School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Insured by ST AID) | 475,000 | 627,660 | ||||||||||
5.000%, 07/15/2029 (Insured by ST AID) | 1,180,000 | 1,576,398 | ||||||||||
Kokomo-Center School Building Corp., | ||||||||||||
5.000%, 01/15/2037 (Callable 07/15/2027)(Insured by ST AID) | 500,000 | 600,455 | ||||||||||
Northern Wells Multi-School Building Corp., | ||||||||||||
4.000%, 07/15/2035 (Callable 07/15/2027)(Insured by ST AID) | 160,000 | 182,771 | ||||||||||
Total Indiana (Cost $12,412,613) | 13,379,779 | 0.9 | % | |||||||||
Iowa | ||||||||||||
County of Washington IA, | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2026) | 1,015,000 | 1,168,773 | ||||||||||
Iowa Finance Authority: | ||||||||||||
5.000%, 08/01/2028 (Pre-refunded to 08/01/2026) | 3,625,000 | 4,608,209 | ||||||||||
5.000%, 08/01/2035 (Callable 08/01/2025) | 950,000 | 1,131,174 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2027)(Insured by GNMA) | 745,000 | 809,830 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,280,000 | 1,437,056 | ||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
4.500%, 10/01/2033 (Pre-refunded to 10/01/2021) | 2,100,000 | 2,208,087 | ||||||||||
5.000%, 10/01/2038 (Pre-refunded to 10/01/2021) | 2,090,000 | 2,210,551 | ||||||||||
University of Iowa, | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2027) | 655,000 | 764,018 | ||||||||||
Total Iowa (Cost $13,858,886) | 14,337,698 | 1.0 | % | |||||||||
Kansas | ||||||||||||
City of Wichita KS, | ||||||||||||
5.000%, 11/15/2020 (ETM) | 1,120,000 | 1,139,421 | ||||||||||
Crawford County Unified School District No. 250, | ||||||||||||
5.000%, 09/01/2035 (Callable 09/01/2027)(Insured by BAM) | 445,000 | 551,030 | ||||||||||
Kansas Development Finance Authority, | ||||||||||||
5.000%, 11/15/2032 (Callable 05/15/2022) | 1,955,000 | 2,081,566 | ||||||||||
Shawnee County Unified School District No. 501, | ||||||||||||
2.000%, 08/01/2044 (Pre-refunded to 08/01/2026) | 85,000 | 90,833 | ||||||||||
Total Kansas (Cost $3,825,694) | 3,862,850 | 0.3 | % | |||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 12/01/2035 (Callable 06/01/2022) | 1,320,000 | 1,432,200 | ||||||||||
Total Kentucky (Cost $1,414,816) | 1,432,200 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Caddo Parish Commission, | ||||||||||||
5.000%, 02/01/2028 (Callable 02/01/2025) | 530,000 | 628,665 | ||||||||||
Jefferson Parish Hospital Service District No. 1, | ||||||||||||
6.000%, 01/01/2039 (Pre-refunded to 01/01/2021) | 1,080,000 | 1,110,456 | ||||||||||
Jefferson Sales Tax District, | ||||||||||||
4.000%, 12/01/2032 (Callable 12/01/2029)(Insured by AGM) | 1,300,000 | 1,529,541 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 26,700,000 | 32,389,770 | ||||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 28,409,031 | ||||||||||
State of Louisiana, | ||||||||||||
5.000%, 05/01/2027 (Pre-refunded to 05/01/2022) | 1,420,000 | 1,540,913 | ||||||||||
Webster Parish School District No. 6: | ||||||||||||
5.000%, 03/01/2025 (Insured by AGM) | 425,000 | 505,882 | ||||||||||
5.000%, 03/01/2026 (Insured by AGM) | 635,000 | 774,636 | ||||||||||
5.000%, 03/01/2027 (Insured by AGM) | 620,000 | 773,909 | ||||||||||
5.000%, 03/01/2028 (Insured by AGM) | 755,000 | 963,712 | ||||||||||
4.000%, 03/01/2030 (Callable 03/01/2029)(Insured by AGM) | 665,000 | 802,735 | ||||||||||
4.000%, 03/01/2031 (Callable 03/01/2029)(Insured by AGM) | 840,000 | 1,004,052 | ||||||||||
Total Louisiana (Cost $64,497,581) | 70,433,302 | 5.1 | % | |||||||||
Maryland | ||||||||||||
City of Baltimore MD: | ||||||||||||
5.000%, 07/01/2024 (ETM) | 1,220,000 | 1,356,847 | ||||||||||
5.000%, 07/01/2028 (ETM) | 275,000 | 321,541 | ||||||||||
County of Montgomery MD, | ||||||||||||
4.000%, 08/01/2021 (Pre-refunded to 08/01/2020) | 70,000 | 70,214 | ||||||||||
Maryland Community Development Administration, | ||||||||||||
0.625%, 07/01/2022 (Callable 01/01/2022) (6) | 500,000 | 499,920 | ||||||||||
Maryland Health & Higher Educational Facilities Authority: | ||||||||||||
5.250%, 07/01/2026 (Pre-refunded to 07/01/2024) | 285,000 | 338,509 | ||||||||||
5.000%, 07/01/2027 (ETM)(Insured by AMBAC) | 1,880,000 | 2,181,759 | ||||||||||
State of Maryland: | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,457,935 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2027) | 2,130,000 | 2,565,521 | ||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 9,835,000 | 12,877,457 | ||||||||||
Total Maryland (Cost $24,647,255) | 26,669,703 | 1.9 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
4.500%, 12/01/2043 (Pre-refunded to 12/01/2021) | 1,235,000 | 1,308,853 | ||||||||||
Massachusetts Department of Transportation, | ||||||||||||
5.125%, 01/01/2023 (ETM) | 940,000 | 1,001,081 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026) | 725,000 | 886,458 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
0.875%, 12/01/2023 (Callable 06/01/2022) | 1,000,000 | 999,540 | ||||||||||
4.000%, 12/01/2044 (Callable 06/01/2025) | 950,000 | 1,006,753 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2027)(Insured by GNMA) | 1,460,000 | 1,581,706 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 650,000 | 715,708 | ||||||||||
Massachusetts State College Building Authority, | ||||||||||||
0.000%, 05/01/2027 (ETM)(Insured by NATL) | 335,000 | 315,714 | ||||||||||
Total Massachusetts (Cost $7,632,787) | 7,815,813 | 0.6 | % | |||||||||
Michigan | ||||||||||||
Algonac Community Schools: | ||||||||||||
4.000%, 05/01/2028 (Callable 05/01/2027)(Insured by Q-SBLF) | 175,000 | 205,539 | ||||||||||
4.000%, 05/01/2029 (Callable 05/01/2027)(Insured by Q-SBLF) | 370,000 | 431,601 | ||||||||||
4.000%, 05/01/2030 (Callable 05/01/2027)(Insured by Q-SBLF) | 470,000 | 543,988 | ||||||||||
Brighton Area School District, | ||||||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 500,000 | 518,025 | ||||||||||
Chippewa Hills School District, | ||||||||||||
4.000%, 05/01/2033 (Callable 05/01/2025)(Insured by Q-SBLF) | 300,000 | 332,997 | ||||||||||
Ecorse Public School District, | ||||||||||||
5.000%, 05/01/2027 (Insured by Q-SBLF) | 515,000 | 651,202 | ||||||||||
Fraser Public School District, | ||||||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 1,000,000 | 1,166,230 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 06/01/2027 (Pre-refunded to 06/01/2022) | 1,315,000 | 1,432,061 | ||||||||||
Michigan State Housing Development Authority: | ||||||||||||
2.700%, 12/01/2034 (Callable 12/01/2028) | 4,700,000 | 4,935,658 | ||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 4,330,000 | 4,811,626 | ||||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 6,975,000 | 7,659,038 | ||||||||||
Pinckney Community Schools: | ||||||||||||
5.000%, 05/01/2022 (Insured by Q-SBLF) | 1,935,000 | 2,093,457 | ||||||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 2,200,000 | 2,476,100 | ||||||||||
State of Michigan, | ||||||||||||
0.000%, 06/01/2022 (ETM)(Insured by AMBAC) | 2,085,000 | 2,064,380 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 1,000,000 | 1,259,680 | ||||||||||
Utica Community Schools, | ||||||||||||
5.000%, 05/01/2034 (Callable 05/01/2029)(Insured by Q-SBLF) | 305,000 | 390,437 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 2,595,000 | 3,026,341 | ||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 4,660,000 | 5,434,585 | ||||||||||
5.000%, 05/01/2035 (Callable 05/01/2026)(Insured by Q-SBLF) | 925,000 | 1,072,667 | ||||||||||
Total Michigan (Cost $38,813,835) | 40,505,612 | 2.9 | % | |||||||||
Minnesota | ||||||||||||
County of Hennepin MN, | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2022) | 3,000,000 | 3,248,160 | ||||||||||
Maple River Independent School District No. 2135, | ||||||||||||
4.000%, 02/01/2039 (Callable 02/01/2030)(Insured by SD CRED PROG) | 2,095,000 | 2,490,201 | ||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2027) | 505,000 | 611,403 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.500%, 07/01/2034 (Callable 07/01/2021)(Insured by GNMA) | 120,000 | 122,744 | ||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 370,000 | 398,102 | ||||||||||
4.250%, 07/01/2049 (Callable 07/01/2028)(Insured by GNMA) | 1,320,000 | 1,470,031 | ||||||||||
Pipestone-Jasper Independent School District No. 2689, | ||||||||||||
4.000%, 02/01/2032 (Callable 02/01/2029)(Insured by SD CRED PROG) | 580,000 | 699,770 | ||||||||||
Total Minnesota (Cost $8,735,611) | 9,040,411 | 0.6 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Development Bank: | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2027) | 825,000 | 1,031,093 | ||||||||||
5.250%, 03/01/2035 (Callable 03/01/2028) | 495,000 | 617,825 | ||||||||||
Oxford School District, | ||||||||||||
4.000%, 05/01/2027 | 500,000 | 597,100 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 1,130,000 | 1,452,129 | ||||||||||
West Rankin Utility Authority, | ||||||||||||
5.000%, 01/01/2038 (Callable 01/01/2025)(Insured by AGM) | 550,000 | 625,658 | ||||||||||
Total Mississippi (Cost $3,934,147) | 4,323,805 | 0.3 | % | |||||||||
Missouri | ||||||||||||
Independence School District, | ||||||||||||
5.500%, 03/01/2035 (Callable 03/01/2027)(Insured by ST AID) | 955,000 | 1,215,629 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
5.500%, 03/01/2037 (Callable 03/01/2029)(Insured by ST AID) | 1,040,000 | 1,378,000 | ||||||||||
Metropolitan St. Louis Sewer District, | ||||||||||||
5.000%, 05/01/2036 (Callable 05/01/2025) | 1,275,000 | 1,514,942 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
1.950%, 05/01/2025 (Insured by GNMA) | 100,000 | 104,242 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 1,575,000 | 1,628,802 | ||||||||||
Moberly School District No. 81, | ||||||||||||
4.000%, 03/01/2030 (Callable 03/01/2027)(Insured by ST AID) | 315,000 | 372,261 | ||||||||||
St. Louis County School District, | ||||||||||||
4.000%, 03/01/2031 (Callable 03/01/2025) | 1,480,000 | 1,687,688 | ||||||||||
Total Missouri (Cost $7,468,791) | 7,901,564 | 0.6 | % | |||||||||
Montana | ||||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2028) | 210,000 | 244,459 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 430,000 | 540,742 | ||||||||||
5.000%, 07/01/2029 (Callable 07/01/2027) | 535,000 | 670,098 | ||||||||||
Total Montana (Cost $1,346,494) | 1,455,299 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
City of Lincoln NE, | ||||||||||||
5.000%, 04/01/2023 | 290,000 | 327,404 | ||||||||||
Nebraska Educational Health Cultural & Social Services Finance Authority: | ||||||||||||
4.000%, 01/01/2033 (Callable 01/01/2026) | 400,000 | 451,408 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2026) | 1,000,000 | 1,113,490 | ||||||||||
4.000%, 01/01/2035 (Callable 01/01/2026) | 1,000,000 | 1,109,740 | ||||||||||
Nebraska Investment Finance Authority, | ||||||||||||
3.500%, 09/01/2050 (Callable 03/01/2029)(Insured by GNMA) | 2,000,000 | 2,194,960 | ||||||||||
Omaha School District, | ||||||||||||
4.000%, 12/15/2033 (Callable 12/15/2028) | 1,125,000 | 1,347,143 | ||||||||||
University of Nebraska: | ||||||||||||
3.000%, 07/01/2028 (Pre-refunded to 07/01/2026) | 30,000 | 34,445 | ||||||||||
3.000%, 05/15/2035 (Pre-refunded to 05/15/2026) | 20,000 | 22,901 | ||||||||||
3.000%, 07/01/2039 (Pre-refunded to 07/01/2026) | 15,000 | 17,222 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 150,000 | 170,454 | ||||||||||
Total Nebraska (Cost $6,644,485) | 6,789,167 | 0.5 | % | |||||||||
Nevada | ||||||||||||
County of Clark NV: | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2024) | 1,925,000 | 2,174,480 | ||||||||||
5.000%, 07/01/2035 (Callable 07/01/2025) | 430,000 | 495,855 | ||||||||||
Total Nevada (Cost $2,580,475) | 2,670,335 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 170,000 | 173,386 | ||||||||||
Total New Hampshire (Cost $170,731) | 173,386 | 0.0 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Building Authority, | ||||||||||||
5.000%, 06/15/2024 (ETM) | 1,410,000 | 1,661,065 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.250%, 07/01/2025 | 1,285,000 | 1,491,949 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
0.000%, 07/01/2023 (ETM)(Insured by NATL) | 10,000 | 9,837 | ||||||||||
3.750%, 07/01/2027 (ETM) | 205,000 | 230,756 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
0.750%, 05/01/2023 (Mandatory Tender Date 06/01/2022) (1) | 5,800,000 | 5,820,764 | ||||||||||
6.000%, 11/01/2023 (Pre-refunded to 07/31/2020) | 110,000 | 115,957 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,390,000 | 1,551,810 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,070,300 | ||||||||||
0.000%, 12/15/2026 (Insured by BHAC) | 1,000,000 | 887,620 | ||||||||||
0.000%, 12/15/2030 | 605,000 | 477,756 | ||||||||||
Total New Jersey (Cost $17,057,615) | 17,317,814 | 1.2 | % | |||||||||
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 | 644,838 | ||||||||||
New Mexico Finance Authority, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026) | 2,615,000 | 3,058,164 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
3.500%, 07/01/2033 (Callable 01/01/2028)(Insured by GNMA) | 1,170,000 | 1,292,768 | ||||||||||
3.950%, 09/01/2040 (Callable 09/01/2024)(Insured by GNMA) | 1,080,000 | 1,145,999 | ||||||||||
New Mexico Mortgage Financial Authority: | ||||||||||||
4.625%, 09/01/2025 (Callable 07/31/2020)(Insured by GNMA) | 340,000 | 341,867 | ||||||||||
3.550%, 09/01/2037 (Callable 03/01/2027)(Insured by GNMA) | 1,160,000 | 1,253,658 | ||||||||||
Ruidoso Municipal School District No. 3, | ||||||||||||
4.000%, 08/01/2032 (Callable 08/01/2026)(Insured by ST AID) | 115,000 | 132,358 | ||||||||||
Total New Mexico (Cost $7,453,159) | 7,869,652 | 0.6 | % |
New York | ||||||||||||
City of New York NY: | ||||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,466,600 | ||||||||||
5.000%, 12/01/2041 (Callable 12/01/2028) | 1,125,000 | 1,381,770 | ||||||||||
0.200%, 12/01/2047 (Optional Put Date 07/01/2020) (1) | 15,000,000 | 15,000,000 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 11/15/2028 (Pre-refunded to 11/15/2023) | 210,000 | 243,065 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 1,550,000 | 1,905,043 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 2,835,000 | 3,426,835 | ||||||||||
New York City Water & Sewer System: | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | 6,500,000 | 7,868,445 | ||||||||||
4.000%, 06/15/2040 (Callable 12/15/2029) | 500,000 | 590,920 | ||||||||||
New York Liberty Development Corp., | ||||||||||||
4.000%, 09/15/2035 (Callable 03/15/2022) | 3,000,000 | 3,127,950 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 3,735,000 | 4,276,276 | ||||||||||
5.000%, 03/15/2033 (Callable 03/15/2025) | 5,050,000 | 5,905,925 | ||||||||||
5.000%, 03/15/2037 (Callable 09/15/2025) | 155,000 | 181,463 | ||||||||||
5.250%, 03/15/2039 (Callable 09/15/2028) | 3,700,000 | 4,683,016 | ||||||||||
New York State Environmental Facilities Corp., | ||||||||||||
5.500%, 10/15/2030 (ETM) | 390,000 | 549,955 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 5,895,000 | 5,939,625 | ||||||||||
New York State Urban Development Corp.: | ||||||||||||
5.000%, 03/15/2022 | 2,015,000 | 2,172,492 | ||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,857,760 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
4.000%, 10/01/2049 (Callable 04/01/2028) | 4,495,000 | 4,932,723 | ||||||||||
Triborough Bridge & Tunnel Authority, | ||||||||||||
0.615%, 11/15/2027 (1 Month LIBOR USD + 0.500%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 3,180,000 | 3,137,483 | ||||||||||
Total New York (Cost $74,739,709) | 77,647,346 | 5.6 | % | |||||||||
North Carolina | ||||||||||||
City of Charlotte NC, | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2028) | 2,580,000 | 3,381,374 | ||||||||||
County of Wake NC, | ||||||||||||
5.000%, 08/01/2026 | 1,715,000 | 2,165,411 | ||||||||||
Inlivian, | ||||||||||||
2.550%, 05/01/2037 | 5,000,000 | 5,123,000 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
6.400%, 01/01/2021 (ETM) | 932,000 | 960,128 | ||||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,245,000 | 7,463,074 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,200,000 | 1,329,708 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 1,800,000 | 2,016,324 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 525,000 | 539,070 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,000,000 | 1,128,330 | ||||||||||
Total North Carolina (Cost $23,745,049) | 24,106,419 | 1.7 | % | |||||||||
North Dakota | ||||||||||||
County of Burleigh ND: | ||||||||||||
5.000%, 07/01/2025 (Pre-refunded to 07/01/2021) | 1,500,000 | 1,564,605 | ||||||||||
5.000%, 07/01/2029 (Pre-refunded to 07/01/2021) | 470,000 | 490,243 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 425,000 | 452,663 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.550%, 07/01/2033 (Callable 01/01/2028) | 3,000,000 | 3,264,090 | ||||||||||
3.450%, 07/01/2037 (Callable 07/01/2026)(Insured by FHA) | 2,955,000 | 3,155,969 | ||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 1,110,000 | 1,185,025 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,250,000 | 1,404,475 | ||||||||||
North Dakota Public Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2028) | 2,590,000 | 3,354,646 | ||||||||||
Total North Dakota (Cost $14,461,398) | 14,871,716 | 1.1 | % | |||||||||
Ohio | ||||||||||||
Akron Bath Copley Joint Township Hospital District, | ||||||||||||
3.800%, 01/01/2027 (Pre-refunded to 01/01/2022) | 815,000 | 849,287 | ||||||||||
City of Cleveland OH: | ||||||||||||
5.000%, 12/01/2029 (Pre-refunded to 12/01/2022) | 850,000 | 946,016 | ||||||||||
5.000%, 12/01/2029 (Callable 12/01/2022) | 10,000 | 11,078 | ||||||||||
City of Delaware OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2024) | 200,000 | 222,798 | ||||||||||
City of Oxford OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 40,000 | 46,353 | ||||||||||
Cleveland Municipal School District, | ||||||||||||
5.000%, 12/01/2020 (Insured by SD CRED PROG) | 2,015,000 | 2,054,131 | ||||||||||
County of Lucas OH, | ||||||||||||
5.750%, 11/15/2031 (Pre-refunded to 11/15/2021) | 1,110,000 | 1,192,451 | ||||||||||
County of Montgomery OH: | ||||||||||||
5.250%, 05/01/2029 (Pre-refunded to 11/12/2023) | 1,085,000 | 1,250,310 | ||||||||||
5.250%, 05/01/2029 (Pre-refunded to 11/13/2023) | 1,685,000 | 1,912,290 | ||||||||||
Lucas-Plaza Housing Development Corp., | ||||||||||||
0.000%, 06/01/2024 (ETM)(Insured by FHA) | 1,365,000 | 1,327,654 | ||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
0.190%, 01/01/2043 (Optional Put Date 07/01/2020) (1) | 4,850,000 | 4,850,000 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.950%, 09/01/2043 (Callable 09/01/2027)(Insured by GNMA) | 465,000 | 507,543 | ||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by GNMA) | 1,010,000 | 1,073,812 | ||||||||||
3.750%, 09/01/2050 (Callable 03/01/2029)(Insured by GNMA) | 2,415,000 | 2,685,528 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,045,794 | ||||||||||
5.000%, 04/01/2039 (Callable 04/01/2030) | 2,000,000 | 2,569,960 | ||||||||||
University of Akron, | ||||||||||||
5.000%, 01/01/2033 (Callable 07/01/2026) | 335,000 | 389,973 | ||||||||||
Total Ohio (Cost $28,445,517) | 28,934,978 | 2.1 | % | |||||||||
Oklahoma | ||||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
2.375%, 10/01/2021 (Mandatory Tender Date 10/01/2020) (1) | 1,290,000 | 1,295,573 | ||||||||||
Total Oklahoma (Cost $1,293,300) | 1,295,573 | 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 | 1,019,246 | ||||||||||
County of Multnomah OR, | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2022) | 1,565,000 | 1,656,302 | ||||||||||
State of Oregon: | ||||||||||||
4.000%, 12/01/2045 (Callable 06/01/2025) | 2,505,000 | 2,677,519 | ||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 2,735,000 | 2,956,070 | ||||||||||
State of Oregon Housing & Community Services Department: | ||||||||||||
4.000%, 01/01/2047 (Callable 07/01/2025) | 1,275,000 | 1,361,726 | ||||||||||
3.750%, 07/01/2048 (Callable 01/01/2027) | 1,645,000 | 1,758,686 | ||||||||||
3.500%, 01/01/2051 (Callable 01/01/2029) | 4,200,000 | 4,609,584 | ||||||||||
Washington County School District No. 1, | ||||||||||||
5.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) | 600,000 | 748,032 | ||||||||||
Total Oregon (Cost $16,392,508) | 16,787,165 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Centennial School District Bucks County, | ||||||||||||
4.000%, 12/15/2029 (Callable 12/15/2024)(Insured by ST AID) | 265,000 | 294,879 | ||||||||||
Commonwealth Financing Authority, | ||||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,500,000 | 1,670,295 | ||||||||||
Mckeesport Area School District, | ||||||||||||
0.000%, 10/01/2025 (ETM) | 110,000 | 105,929 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 04/01/2035 (Pre-refunded to 04/01/2022) | 200,000 | 216,294 | ||||||||||
5.750%, 08/15/2041 (Pre-refunded to 08/15/2021) | 535,000 | 567,496 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
2.450%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 5,325,000 | 5,420,105 | ||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 995,000 | 1,044,650 | ||||||||||
3.500%, 04/01/2051 (Callable 10/01/2029) | 4,200,000 | 4,547,172 | ||||||||||
Pittsburgh Water & Sewer Authority: | ||||||||||||
0.000%, 09/01/2026 (ETM) | 720,000 | 685,426 | ||||||||||
0.000%, 09/01/2027 (ETM) | 1,075,000 | 1,006,587 | ||||||||||
0.000%, 09/01/2028 (ETM) | 340,000 | 313,663 | ||||||||||
South Fork Municipal Authority: | ||||||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2020) | 2,450,000 | 2,450,000 | ||||||||||
5.375%, 07/01/2035 (Pre-refunded to 07/01/2020)(Insured by AGC) | 1,290,000 | 1,290,000 | ||||||||||
Total Pennsylvania (Cost $19,154,101) | 19,612,496 | 1.4 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highways & Transportation Authority, | ||||||||||||
5.250%, 07/01/2022 (ETM)(Insured by AGM) | 1,150,000 | 1,259,871 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,175,000 | 5,594,796 | ||||||||||
6.000%, 08/01/2026 (ETM) | 4,340,000 | 5,658,753 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,055,000 | 1,375,572 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,155,000 | 1,505,958 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,685,000 | 2,197,004 | ||||||||||
6.000%, 08/01/2026 (ETM)(Insured by AGC) | 1,310,000 | 1,708,057 | ||||||||||
5.500%, 08/01/2027 (ETM)(Insured by AMBAC) | 6,500,000 | 8,551,725 | ||||||||||
Total Puerto Rico (Cost $26,070,891) | 27,851,736 | 2.0 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2050 (Callable 10/01/2029) | 1,390,000 | 1,525,928 | ||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,897,600 | ||||||||||
Total Rhode Island (Cost $6,992,983) | 7,423,528 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Charleston Educational Excellence Finance Corp., | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2023) | 4,625,000 | 5,272,361 | ||||||||||
City of Columbia SC, | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2028) | 25,000 | 32,567 | ||||||||||
Piedmont Municipal Power Agency, | ||||||||||||
5.375%, 01/01/2025 (ETM)(Insured by NATL) | 5,530,000 | 6,568,313 | ||||||||||
South Carolina Jobs-Economic Development Authority, | ||||||||||||
0.770%, 05/01/2048 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 1,600,000 | 1,600,000 | ||||||||||
Total South Carolina (Cost $12,853,022) | 13,473,241 | 1.0 | % | |||||||||
South Dakota | ||||||||||||
Harrisburg School District No. 41-2, | ||||||||||||
2.375%, 08/01/2026 (Insured by ST AID) | 415,000 | 439,730 | ||||||||||
Sioux Falls School District No. 49-5, | ||||||||||||
1.375%, 08/01/2021 (Insured by ST AID) | 75,000 | 75,452 | ||||||||||
South Dakota Housing Development Authority: | ||||||||||||
4.100%, 11/01/2028 (Callable 05/01/2023) | 500,000 | 528,750 | ||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 340,000 | 349,143 | ||||||||||
Total South Dakota (Cost $1,330,024) | 1,393,075 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN, | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 1,755,000 | 1,981,658 | ||||||||||
City of Murfreesboro TN: | ||||||||||||
3.000%, 06/01/2030 (Callable 06/01/2023) | 3,400,000 | 3,569,932 | ||||||||||
3.000%, 06/01/2031 (Callable 06/01/2023) | 3,005,000 | 3,146,235 | ||||||||||
Memphis Health Educational & Housing Facility Board, | ||||||||||||
0.625%, 06/01/2023 (Mandatory Tender Date 06/01/2022) (1) | 2,500,000 | 2,502,050 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
0.000%, 06/01/2021 (ETM) | 2,380,000 | 2,369,600 | ||||||||||
4.875%, 11/01/2028 (ETM)(Insured by NATL) | 2,025,000 | 2,363,357 | ||||||||||
Rutherford County Health & Educational Facilities Board, | ||||||||||||
2.500%, 11/01/2021 (Mandatory Tender Date 11/01/2020) (1) | 1,850,000 | 1,861,007 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.850%, 01/01/2035 (Callable 01/01/2025) | 425,000 | 455,298 | ||||||||||
3.900%, 07/01/2042 (Callable 07/01/2027) | 785,000 | 857,181 | ||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 1,135,000 | 1,234,846 | ||||||||||
3.650%, 07/01/2047 (Callable 01/01/2027) | 1,155,000 | 1,222,821 | ||||||||||
4.050%, 01/01/2049 (Callable 01/01/2028) | 3,030,000 | 3,306,700 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 1,660,000 | 1,839,546 | ||||||||||
Total Tennessee (Cost $26,161,703) | 26,710,231 | 1.9 | % |
Texas | |||||||||||
Amarillo Independent School District, | |||||||||||
5.000%, 02/01/2026 (Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,589,433 | |||||||||
Anna Independent School District, | |||||||||||
5.000%, 08/15/2035 (Callable 08/15/2026)(PSF Guaranteed) | 910,000 | 1,108,098 | |||||||||
Arlington Higher Education Finance Corp.: | |||||||||||
4.000%, 08/15/2024 (PSF Guaranteed) | 1,025,000 | 1,149,712 | |||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,010,000 | 1,180,246 | |||||||||
5.000%, 08/15/2026 (PSF Guaranteed) | 500,000 | 616,790 | |||||||||
4.000%, 08/15/2027 (Callable 08/15/2026)(PSF Guaranteed) | 875,000 | 1,020,311 | |||||||||
5.000%, 02/15/2028 (Callable 02/15/2025)(PSF Guaranteed) | 1,905,000 | 2,229,574 | |||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 850,000 | 983,543 | |||||||||
5.000%, 08/15/2028 (Callable 08/15/2024)(PSF Guaranteed) | 555,000 | 638,566 | |||||||||
4.000%, 08/15/2033 (Callable 08/15/2026)(PSF Guaranteed) | 450,000 | 501,071 | |||||||||
5.000%, 08/15/2033 (Callable 08/15/2024)(PSF Guaranteed) | 1,460,000 | 1,652,180 | |||||||||
4.000%, 08/15/2034 (Callable 08/15/2026)(PSF Guaranteed) | 195,000 | 216,040 | |||||||||
4.000%, 08/15/2035 (Callable 08/15/2026)(PSF Guaranteed) | 455,000 | 502,484 | |||||||||
4.000%, 12/01/2035 (Callable 06/01/2027)(PSF Guaranteed) | 450,000 | 513,900 | |||||||||
Austin Community College District Public Facility Corp., | |||||||||||
5.000%, 08/01/2033 (Callable 08/01/2025) | 750,000 | 897,682 | |||||||||
Barbers Hill Independent School District, | |||||||||||
4.000%, 02/15/2037 (Callable 08/15/2026)(PSF Guaranteed) | 860,000 | 981,527 | |||||||||
Blum Independent School District: | |||||||||||
4.000%, 08/15/2032 (Callable 08/15/2026)(PSF Guaranteed) | 165,000 | 189,918 | |||||||||
4.000%, 08/15/2033 (Callable 08/15/2026)(PSF Guaranteed) | 210,000 | 240,702 | |||||||||
Burleson Independent School District, | |||||||||||
5.000%, 08/01/2025 (PSF Guaranteed) | 1,260,000 | 1,532,513 | |||||||||
Cibolo Canyons Special Improvement District, | |||||||||||
2.500%, 08/15/2030 (Callable 08/15/2026)(Insured by AGM) | 115,000 | 122,152 | |||||||||
City of Dallas TX, | |||||||||||
5.000%, 02/15/2029 | 1,875,000 | 2,432,025 | |||||||||
City of El Paso TX, | |||||||||||
5.000%, 08/15/2022 | 170,000 | 186,723 | |||||||||
City of Fort Worth TX, | |||||||||||
4.000%, 02/15/2035 (Callable 02/15/2028) | 2,530,000 | 2,977,709 | |||||||||
City of Houston TX: | |||||||||||
5.500%, 12/01/2024 (ETM)(Insured by NATL) | 1,835,000 | 2,144,252 | |||||||||
0.000%, 12/01/2026 (ETM)(Insured by AGM) | 455,000 | 433,670 | |||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 16,050,000 | 20,821,344 | |||||||||
5.750%, 12/01/2032 (ETM)(Insured by AGM) | 29,965,000 | 45,469,191 | |||||||||
City of San Antonio TX, | |||||||||||
5.000%, 02/01/2025 (ETM) | 175,000 | 210,970 | |||||||||
Clifton Higher Education Finance Corp.: | |||||||||||
5.000%, 08/15/2029 (Callable 08/15/2024)(PSF Guaranteed) | 215,000 | 252,386 | |||||||||
4.000%, 08/15/2031 (Callable 08/15/2026)(PSF Guaranteed) | 120,000 | 137,940 | |||||||||
Conroe Independent School District, | |||||||||||
5.000%, 02/15/2023 (Pre-refunded to 02/15/2021)(PSF Guaranteed) | 1,745,000 | 1,796,163 | |||||||||
County of Bexar TX: | |||||||||||
4.000%, 06/15/2030 (Callable 06/15/2026) | 150,000 | 174,963 | |||||||||
4.000%, 06/15/2033 (Callable 06/15/2025) | 3,795,000 | 4,411,801 | |||||||||
5.000%, 06/15/2036 (Callable 06/15/2026) | 2,120,000 | 2,582,351 | |||||||||
County of Harris TX: | |||||||||||
5.000%, 10/01/2026 (Callable 10/01/2025) | 4,170,000 | 5,120,051 | |||||||||
5.000%, 08/15/2030 (Callable 08/15/2022) | 700,000 | 767,452 | |||||||||
County of Montgomery TX, | |||||||||||
5.000%, 03/01/2027 (Pre-refunded to 03/01/2022) | 665,000 | 717,296 | |||||||||
County of Williamson TX: | |||||||||||
4.000%, 02/15/2034 (Callable 08/15/2026) | 2,270,000 | 2,639,692 | |||||||||
4.000%, 02/15/2039 (Callable 02/15/2029) | 1,320,000 | 1,579,433 | |||||||||
Crowley Independent School District, | |||||||||||
5.000%, 08/01/2036 (Callable 08/01/2025)(PSF Guaranteed) | 2,000,000 | 2,405,920 | |||||||||
Dallas Independent School District: | |||||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) | 390,000 | 419,523 | |||||||||
5.000%, 02/15/2036 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 700,000 | 752,990 | |||||||||
5.000%, 02/15/2036 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 705,000 | 753,610 | |||||||||
Decatur Hospital Authority, | |||||||||||
5.750%, 09/01/2029 (ETM) | 495,000 | 608,558 | |||||||||
DeSoto Independent School District: | |||||||||||
5.000%, 08/15/2032 (Callable 08/15/2025)(Insured by BAM) | 1,080,000 | 1,285,621 | |||||||||
5.000%, 08/15/2032 (Callable 08/15/2024)(PSF Guaranteed) | 1,825,000 | 2,126,180 | |||||||||
Eagle Mountain & Saginaw Independent School District, | |||||||||||
4.000%, 08/15/2045 (Callable 08/15/2025)(PSF Guaranteed) | 675,000 | 769,338 | |||||||||
Ennis Independent School District, | |||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,145,000 | 1,398,056 | |||||||||
Forney Independent School District, | |||||||||||
5.000%, 08/15/2034 (Callable 08/15/2025)(PSF Guaranteed) | 525,000 | 629,580 | |||||||||
Fort Bend Independent School District: | |||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,655,000 | 1,963,558 | |||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 1,000,000 | 1,019,590 | |||||||||
Godley Independent School District, | |||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,445,000 | 1,615,669 | |||||||||
Harlingen Consolidated Independent School District: | |||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 2,810,000 | 3,319,987 | |||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,445,000 | 1,761,094 | |||||||||
Harris County Cultural Education Facilities Finance Corp., | |||||||||||
7.000%, 01/01/2048 (Pre-refunded to 01/01/2023) | 3,800,000 | 4,399,830 | |||||||||
Harris County Health Facilities Development Corp.: | |||||||||||
5.750%, 07/01/2027 (ETM) | 4,700,000 | 5,732,543 | |||||||||
6.250%, 07/01/2027 (ETM) | 7,540,000 | 9,395,745 | |||||||||
Harris County Toll Road Authority, | |||||||||||
5.000%, 08/15/2028 (Callable 02/15/2028) | 770,000 | 995,687 | |||||||||
Hays Consolidated Independent School District, | |||||||||||
4.000%, 02/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 880,000 | 1,032,900 | |||||||||
Honda Auto Receivables Owner Trust, | |||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,172,686 | |||||||||
Houston Higher Education Finance Corp., | |||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024)(PSF Guaranteed) | 1,795,000 | 2,004,315 | |||||||||
Humble Independent School District: | |||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,544,265 | |||||||||
5.000%, 02/15/2036 (Callable 02/15/2027)(PSF Guaranteed) | 1,000,000 | 1,231,250 | |||||||||
Irving Independent School District, | |||||||||||
5.000%, 02/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,475,187 | |||||||||
Kenedy Independent School District: | |||||||||||
4.000%, 08/15/2031 (Callable 08/15/2023)(PSF Guaranteed) | 100,000 | 109,371 | |||||||||
4.000%, 08/15/2035 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 103,454 | |||||||||
4.000%, 08/15/2036 (Callable 08/15/2021)(PSF Guaranteed) | 150,000 | 155,095 | |||||||||
4.000%, 08/15/2037 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 103,351 | |||||||||
4.000%, 08/15/2038 (Callable 08/15/2021)(PSF Guaranteed) | 100,000 | 103,283 | |||||||||
Killeen Independent School District, | |||||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,171,129 | |||||||||
Kirbyville Consolidated Independent School District, | |||||||||||
4.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 160,000 | 178,782 | |||||||||
Klein Independent School District, | |||||||||||
4.000%, 08/01/2031 (Callable 08/01/2025)(PSF Guaranteed) | 1,000,000 | 1,143,250 | |||||||||
La Joya Independent School District, | |||||||||||
4.000%, 02/15/2035 (Callable 02/15/2027)(Insured by AGM) | 910,000 | 1,027,690 | |||||||||
La Porte Independent School District, | |||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 1,080,000 | 1,297,955 | |||||||||
Leander Independent School District: | |||||||||||
0.000%, 08/15/2035 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 250,000 | 140,998 | |||||||||
0.000%, 08/15/2037 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 700,000 | 367,430 | |||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 635,000 | 286,036 | |||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 20,000 | 8,747 | |||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,915,000 | 3,556,639 | |||||||||
0.000%, 08/15/2041 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 135,000 | 57,864 | |||||||||
0.000%, 08/15/2042 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,500,000 | 565,710 | |||||||||
0.000%, 08/15/2045 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 2,000,000 | 633,160 | |||||||||
0.000%, 08/15/2048 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 750,000 | 196,995 | |||||||||
Lower Colorado River Authority: | |||||||||||
4.750%, 01/01/2028 (ETM)(Insured by AGM) | 1,655,000 | 1,916,556 | |||||||||
5.000%, 05/15/2040 (Callable 05/15/2025) | 1,970,000 | 2,281,437 | |||||||||
Lubbock Housing Finance Corp., | |||||||||||
8.000%, 10/01/2021 (ETM) | 1,980,000 | 2,160,734 | |||||||||
Luling Independent School District: | |||||||||||
4.000%, 02/15/2028 (PSF Guaranteed) | 190,000 | 228,475 | |||||||||
4.000%, 02/15/2029 (Callable 02/15/2028)(PSF Guaranteed) | 90,000 | 107,436 | |||||||||
McKinney Independent School District, | |||||||||||
4.000%, 02/15/2034 (Callable 02/15/2026)(PSF Guaranteed) | 1,325,000 | 1,511,904 | |||||||||
Melissa Independent School District, | |||||||||||
5.000%, 08/01/2036 (Callable 08/01/2026)(PSF Guaranteed) | 1,020,000 | 1,241,575 | |||||||||
Mesquite Independent School District: | |||||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,425,000 | 1,688,112 | |||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 2,615,000 | 3,204,787 | |||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,500,000 | 1,838,310 | |||||||||
Millsap Independent School District, | |||||||||||
4.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 335,000 | 373,776 | |||||||||
Montgomery County Health Facilities Development Corp., | |||||||||||
0.000%, 07/15/2023 (ETM) | 200,000 | 196,396 | |||||||||
Moulton Independent School District: | |||||||||||
4.000%, 08/15/2031 (Callable 08/15/2027)(PSF Guaranteed) | 235,000 | 278,036 | |||||||||
4.000%, 08/15/2032 (Callable 08/15/2027)(PSF Guaranteed) | 200,000 | 235,194 | |||||||||
4.000%, 08/15/2034 (Callable 08/15/2027)(PSF Guaranteed) | 225,000 | 262,498 | |||||||||
4.000%, 08/15/2035 (Callable 08/15/2027)(PSF Guaranteed) | 545,000 | 633,503 | |||||||||
4.000%, 08/15/2036 (Callable 08/15/2027)(PSF Guaranteed) | 285,000 | 330,138 | |||||||||
Navasota Independent School District, | |||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025)(PSF Guaranteed) | 6,785,000 | 7,934,379 | |||||||||
New Caney Independent School District: | |||||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 1,119,780 | |||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,030,000 | 1,197,004 | |||||||||
5.000%, 02/15/2039 (Callable 08/15/2027)(PSF Guaranteed) | 500,000 | 617,570 | |||||||||
Newark Higher Education Finance Corp.: | |||||||||||
4.000%, 08/15/2020 (PSF Guaranteed) | 355,000 | 356,501 | |||||||||
4.000%, 08/15/2022 (PSF Guaranteed) | 215,000 | 230,476 | |||||||||
North East Independent School District, | |||||||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 2,930,000 | 3,401,554 | |||||||||
North Texas Tollway Authority: | |||||||||||
0.000%, 09/01/2037 (Pre-refunded to 09/01/2031) | 2,835,000 | 1,546,662 | |||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) | 7,420,000 | 2,580,008 | |||||||||
0.000%, 09/01/2043 (Pre-refunded to 09/01/2031) (5) | 2,845,000 | 3,853,382 | |||||||||
0.000%, 09/01/2045 (Pre-refunded to 09/01/2031) (5) | 1,020,000 | 1,496,177 | |||||||||
Northside Independent School District, | |||||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,000,000 | 1,223,270 | |||||||||
Pasadena Independent School District, | |||||||||||
1.500%, 02/15/2044 (Mandatory Tender Date 08/15/2024)(PSF Guaranteed) (1) | 1,360,000 | 1,400,229 | |||||||||
Pflugerville Independent School District, | |||||||||||
5.000%, 02/15/2025 (Callable 02/15/2024)(PSF Guaranteed) | 1,020,000 | 1,185,781 | |||||||||
Princeton Independent School District, | |||||||||||
5.000%, 02/15/2032 (Callable 02/15/2025)(PSF Guaranteed) | 560,000 | 662,609 | |||||||||
Prosper Independent School District, | |||||||||||
5.000%, 02/15/2031 (Callable 02/15/2028)(PSF Guaranteed) | 1,020,000 | 1,320,686 | |||||||||
Red River Education Finance Corp., | |||||||||||
5.000%, 03/15/2043 (Pre-refunded to 03/15/2023) | 4,500,000 | 5,054,580 | |||||||||
Rockwall Independent School District, | |||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 745,000 | 748,844 | |||||||||
San Angelo Independent School District, | |||||||||||
5.000%, 02/15/2029 (Callable 02/15/2024)(PSF Guaranteed) | 1,500,000 | 1,731,510 | |||||||||
San Antonio Housing Trust Finance Corp., | |||||||||||
1.375%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 1,690,000 | 1,710,855 | |||||||||
San Antonio Public Facilities Corp., | |||||||||||
4.000%, 09/15/2034 (Callable 09/15/2022) | 1,750,000 | 1,833,860 | |||||||||
San Jacinto College District, | |||||||||||
5.000%, 02/15/2026 (Pre-refunded to 02/15/2021) | 700,000 | 720,076 | |||||||||
Sherman Independent School District, | |||||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,057,243 | |||||||||
Smithville Independent School District: | |||||||||||
4.000%, 08/15/2031 (Callable 08/15/2028)(PSF Guaranteed) | 185,000 | 223,868 | |||||||||
4.000%, 08/15/2032 (Callable 08/15/2028)(PSF Guaranteed) | 100,000 | 120,187 | |||||||||
4.000%, 08/15/2033 (Callable 08/15/2028)(PSF Guaranteed) | 110,000 | 131,493 | |||||||||
Socorro Independent School District, | |||||||||||
4.000%, 08/15/2033 (Callable 02/15/2027)(PSF Guaranteed) | 900,000 | 1,056,681 | |||||||||
State of Texas, | |||||||||||
4.000%, 04/01/2046 (Callable 04/01/2026) | 4,110,000 | 4,623,627 | |||||||||
Tarrant County Health Facilities Development Corp., | |||||||||||
6.000%, 09/01/2024 (ETM) | 4,680,000 | 5,217,498 | |||||||||
Terrell Independent School District, | |||||||||||
4.000%, 08/01/2037 (Callable 08/01/2026)(PSF Guaranteed) | 510,000 | 578,570 | |||||||||
Texas Department of Housing & Community Affairs: | |||||||||||
3.350%, 09/01/2033 (Callable 09/01/2027)(Insured by GNMA) | 1,370,000 | 1,483,820 | |||||||||
2.150%, 09/01/2035 (Callable 03/01/2029) (6) | 1,350,000 | 1,361,515 | |||||||||
4.000%, 03/01/2050 (Callable 09/01/2028)(Insured by GNMA) | 1,065,000 | 1,196,868 | |||||||||
Texas State Affordable Housing Corp., | |||||||||||
4.250%, 03/01/2049 (Callable 03/01/2029)(Insured by GNMA) | 510,000 | 566,253 | |||||||||
Texas Water Development Board: | |||||||||||
4.000%, 10/15/2033 (Callable 10/15/2027) | 600,000 | 714,678 | |||||||||
5.000%, 10/15/2033 (Callable 10/15/2025) | 1,250,000 | 1,521,213 | |||||||||
4.000%, 10/15/2034 (Callable 04/15/2028) | 2,000,000 | 2,393,580 | |||||||||
4.000%, 10/15/2034 (Callable 10/15/2028) | 975,000 | 1,178,531 | |||||||||
4.000%, 04/15/2038 (Callable 10/15/2027) | 1,900,000 | 2,233,336 | |||||||||
Town of Flower Mound TX, | |||||||||||
5.000%, 03/01/2033 (Callable 03/01/2024) | 250,000 | 288,822 | |||||||||
Travis County Health Facilities Development Corp., | |||||||||||
7.125%, 01/01/2046 (Pre-refunded to 01/01/2021) | 15,000 | 15,504 | |||||||||
Tyler Health Facilities Development Corp., | |||||||||||
5.500%, 07/01/2027 (Pre-refunded to 07/01/2021) | 600,000 | 630,360 | |||||||||
United Independent School District: | |||||||||||
5.000%, 08/15/2033 (Callable 08/15/2028)(PSF Guaranteed) | 835,000 | 1,073,718 | |||||||||
5.000%, 08/15/2038 (Callable 08/15/2027)(PSF Guaranteed) | 225,000 | 280,112 | |||||||||
Webb Consolidated Independent School District, | |||||||||||
4.000%, 02/15/2033 (Callable 02/15/2025)(PSF Guaranteed) | 250,000 | 280,093 | |||||||||
Wylie Independent School District, | |||||||||||
6.750%, 08/15/2023 (PSF Guaranteed) | 1,010,000 | 1,208,475 | |||||||||
Ysleta Independent School District: | |||||||||||
5.000%, 08/15/2023 (Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,074,009 | |||||||||
5.000%, 08/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,821,941 | |||||||||
Total Texas (Cost $252,224,057) | 267,489,130 | 19.2 | % | ||||||||
Utah | |||||||||||
Granite School District Board of Education: | |||||||||||
5.000%, 06/01/2022 (Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 3,900,000 | 4,068,987 | |||||||||
5.000%, 06/01/2023 (Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 1,750,000 | 1,825,828 | |||||||||
Timpanogos Special Service District, | |||||||||||
4.000%, 06/01/2028 (Callable 06/01/2024) | 425,000 | 472,366 | |||||||||
Utah Charter School Finance Authority: | |||||||||||
5.000%, 04/15/2024 (Insured by UT CSCE) | 235,000 | 271,164 | |||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 500,000 | 570,615 | |||||||||
Utah Housing Corp., | |||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 4,500,000 | 4,829,805 | |||||||||
Total Utah (Cost $11,735,228) | 12,038,765 | 0.9 | % | ||||||||
Vermont | |||||||||||
City of Burlington VT: | |||||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2021) | 265,000 | 278,274 | |||||||||
5.625%, 07/01/2030 (Pre-refunded to 07/01/2021) | 315,000 | 331,169 | |||||||||
5.750%, 07/01/2031 (Pre-refunded to 07/01/2021) | 460,000 | 484,182 | |||||||||
Vermont Housing Finance Agency: | |||||||||||
3.600%, 11/01/2036 (Callable 11/01/2025) | 1,560,000 | 1,668,997 | |||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 955,000 | 1,022,041 | |||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | 595,000 | 644,939 | |||||||||
Total Vermont (Cost $4,313,028) | 4,429,602 | 0.3 | % | ||||||||
�� | |||||||||||
Virginia | |||||||||||
County of Fairfax VA, | |||||||||||
5.000%, 04/01/2042 (Callable 04/01/2027) | 585,000 | 719,105 | |||||||||
Danville Industrial Development Authority, | |||||||||||
5.250%, 10/01/2028 (ETM)(Insured by AMBAC) | 1,305,000 | 1,462,357 | |||||||||
Hampton Redevelopment & Housing Authority, | |||||||||||
1.460%, 12/01/2022 (Mandatory Tender Date 12/01/2021) (1) | 2,950,000 | 2,978,763 | |||||||||
Virginia Housing Development Authority: | |||||||||||
3.700%, 03/01/2023 (Callable 03/01/2021) | 75,000 | 76,502 | |||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 7,350,000 | 7,564,620 | |||||||||
Total Virginia (Cost $12,694,849) | 12,801,347 | 0.9 | % |
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
5.000%, 11/01/2032 (Callable 11/01/2025) | 2,725,000 | 3,277,630 | ||||||||||
County of King WA, | ||||||||||||
5.000%, 07/01/2034 (Callable 01/01/2025) | 705,000 | 835,023 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2034 (Callable 07/01/2027) | 1,090,000 | 1,362,740 | ||||||||||
King County Housing Authority: | ||||||||||||
4.000%, 11/01/2034 (Callable 11/01/2029) | 1,520,000 | 1,821,416 | ||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 2,740,000 | 3,254,737 | ||||||||||
Pierce County School District No. 3, | ||||||||||||
5.000%, 12/01/2033 (Callable 06/01/2027)(Insured by SCH BD GTY) | 2,600,000 | 3,233,724 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 1,005,000 | 1,178,202 | ||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 6,005,000 | 7,039,902 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2023) | 2,755,000 | 3,105,408 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2026) | 1,225,000 | 1,477,570 | ||||||||||
Thurston & Pierce Counties Community Schools, | ||||||||||||
4.250%, 12/01/2021 (Callable 12/01/2020)(Insured by SCH BD GTY) | 2,755,000 | 2,800,430 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
5.000%, 09/01/2030 (6) | 300,000 | 389,370 | ||||||||||
5.000%, 09/01/2031 (Callable 09/01/2030) (6) | 175,000 | 225,545 | ||||||||||
6.125%, 11/15/2031 (Pre-refunded to 05/15/2021) | 620,000 | 650,994 | ||||||||||
5.000%, 09/01/2032 (Callable 09/01/2030) (6) | 185,000 | 235,769 | ||||||||||
5.000%, 09/01/2033 (Callable 09/01/2030) (6) | 190,000 | 240,259 | ||||||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 4,875,000 | 5,124,015 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
2.550%, 07/01/2022 (Mandatory Tender Date 07/01/2021) (1) | 6,250,000 | 6,343,375 | ||||||||||
5.000%, 01/01/2023 (ETM) | 385,000 | 407,022 | ||||||||||
0.660%, 12/01/2048 (SIFMA Municipal Swap Index + 0.550%) (Callable 04/01/2023)(Mandatory Tender Date 10/01/2023) (2) | 4,465,000 | 4,437,049 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 610,000 | 670,298 | ||||||||||
4.000%, 06/01/2050 (Callable 06/01/2029)(Insured by GNMA) | 1,855,000 | 2,078,732 | ||||||||||
Total Washington (Cost $48,267,440) | 50,189,210 | 3.6 | % | |||||||||
West Virginia | ||||||||||||
West Virginia Economic Development Authority, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2027) | 875,000 | 1,087,783 | ||||||||||
Total West Virginia (Cost $1,060,299) | 1,087,783 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
Baraboo School District, | ||||||||||||
4.000%, 04/01/2028 (Callable 04/01/2026)(Insured by BAM) | 550,000 | 639,061 | ||||||||||
City of Milwaukee WI, | ||||||||||||
3.000%, 06/01/2033 (Callable 06/01/2026) | 2,500,000 | 2,657,450 | ||||||||||
Mill City Mortgage Trust, | ||||||||||||
3.000%, 09/01/2023 (Pre-refunded to 09/01/2021) | 310,000 | 319,421 | ||||||||||
Public Finance Authority, | ||||||||||||
5.000%, 03/01/2025 | 535,000 | 627,705 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
5.500%, 12/15/2026 (Insured by NATL) | 1,090,000 | 1,344,373 | ||||||||||
0.000%, 12/15/2027 (ETM)(Insured by NATL) | 215,000 | 200,784 | ||||||||||
0.000%, 12/15/2028 (ETM)(Insured by NATL) | 180,000 | 165,584 | ||||||||||
0.000%, 12/15/2029 (ETM)(Insured by NATL) | 235,000 | 207,909 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 2,150,000 | 2,430,038 | ||||||||||
4.000%, 05/01/2031 (Pre-refunded to 05/01/2022) | 245,000 | 261,628 | ||||||||||
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028 (Pre-refunded to 06/01/2024) | 5,430,000 | 6,387,417 | ||||||||||
5.000%, 06/01/2030 (Pre-refunded to 06/01/2024) | 10,515,000 | 12,369,005 | ||||||||||
5.000%, 06/01/2031 (Pre-refunded to 06/01/2024) | 7,975,000 | 9,381,152 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 2,295,000 | 2,456,316 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 275,000 | 342,760 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 2,400,000 | 2,759,328 | ||||||||||
5.000%, 04/01/2048 (Callable 04/01/2028) | 1,500,000 | 1,829,475 | ||||||||||
Wisconsin Center District: | ||||||||||||
4.000%, 12/15/2029 (Callable 06/15/2026) | 1,480,000 | 1,664,748 | ||||||||||
5.000%, 12/15/2030 (Callable 06/15/2026) | 775,000 | 946,508 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 02/15/2028 (Pre-refunded to 08/15/2025) | 20,000 | 24,475 | ||||||||||
4.000%, 02/15/2033 (Pre-refunded to 08/15/2025) | 100,000 | 117,336 | ||||||||||
5.000%, 11/15/2036 (Callable 05/15/2026) | 100,000 | 117,411 | ||||||||||
4.000%, 02/15/2038 (Pre-refunded to 08/15/2025) | 275,000 | 322,674 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2027) | 2,000,000 | 2,338,520 | ||||||||||
4.000%, 11/15/2043 (Callable 11/15/2028) | 1,945,000 | 2,177,778 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046 (Callable 09/01/2025)(Insured by FNMA) | 1,230,000 | 1,303,541 | ||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 1,445,000 | 1,552,017 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 2,135,000 | 2,370,768 | ||||||||||
Total Wisconsin (Cost $54,678,609) | 57,315,182 | 4.1 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 595,000 | 631,783 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 2,990,000 | 3,277,338 | ||||||||||
Total Wyoming (Cost $3,788,232) | 3,909,121 | 0.3 | % | |||||||||
Total Long-Term Investments (Cost $1,316,486,235) | 1,384,202,399 | 99.2 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 0.03% (4) | 1,122,719 | 1,122,719 | ||||||||||
Total Short-Term Investment (Cost $1,122,719) | 1,122,719 | 0.1 | % | |||||||||
Total Investments (Cost $1,317,608,954) | 1,385,325,118 | 99.3 | % | |||||||||
Other Assets in Excess of Liabilities | 9,384,881 | 0.7 | % | |||||||||
TOTAL NET ASSETS | $ | 1,394,709,999 | 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 |
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 Credit Enhancement Program |
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 June 30, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $10,450,067, which represents 0.75% of total net assets. |
(4) | Seven-day yield. |
(5) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
Baird Core Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Community College System: | ||||||||||||
3.500%, 11/01/2024 (Insured by BAM) | $ | 1,010,000 | $ | 1,121,767 | ||||||||
3.500%, 11/01/2025 (Insured by BAM) | 1,100,000 | 1,239,645 | ||||||||||
5.000%, 10/01/2028 (Callable 10/01/2026)(Insured by AGM) | 310,000 | 379,142 | ||||||||||
Birmingham Airport Authority: | ||||||||||||
5.000%, 07/01/2027 (Insured by BAM) (6) | 500,000 | 614,785 | ||||||||||
4.000%, 07/01/2036 (Callable 07/01/2030)(Insured by BAM) (6) | 335,000 | 382,985 | ||||||||||
4.000%, 07/01/2037 (Callable 07/01/2030)(Insured by BAM) (6) | 500,000 | 570,035 | ||||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046 (Callable 03/01/2021)(Mandatory Tender Date 06/01/2021) (1) | 130,000 | 133,409 | ||||||||||
4.000%, 08/01/2047 (Callable 04/01/2022)(Mandatory Tender Date 07/01/2022) (1) | 1,005,000 | 1,062,687 | ||||||||||
Chilton County Health Care Authority, | ||||||||||||
4.000%, 11/01/2020 | 780,000 | 788,034 | ||||||||||
City of Birmingham AL: | ||||||||||||
5.000%, 03/01/2037 (Callable 03/01/2023) (7) | 30,000 | 33,054 | ||||||||||
5.000%, 03/01/2040 (Callable 09/01/2025) (7) | 185,000 | 218,224 | ||||||||||
5.000%, 03/01/2043 (Callable 03/01/2023) (7) | 1,935,000 | 2,121,283 | ||||||||||
5.000%, 03/01/2045 (Callable 09/01/2025) (7) | 1,175,000 | 1,375,784 | ||||||||||
City of Pell City AL Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,000,000 | 1,044,640 | ||||||||||
City of Troy AL, | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2025)(Insured by BAM) | 555,000 | 645,099 | ||||||||||
County of Jefferson AL: | ||||||||||||
0.000%, 10/01/2025 (Callable 10/01/2023)(Insured by AGM) | 1,000,000 | 902,330 | ||||||||||
5.000%, 09/15/2029 (Callable 03/15/2027) | 570,000 | 708,658 | ||||||||||
0.000%, 10/01/2033 (Callable 10/01/2023)(Insured by AGM) | 110,000 | 57,563 | ||||||||||
0.000%, 10/01/2034 (Callable 10/01/2023)(Insured by AGM) | 480,000 | 232,354 | ||||||||||
Homewood Educational Building Authority: | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2029) | 785,000 | 868,493 | ||||||||||
4.000%, 12/01/2034 (Callable 12/01/2029) | 255,000 | 281,094 | ||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 75,000 | 82,298 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024 (Callable 06/01/2021) | 200,000 | 208,158 | ||||||||||
Lauderdale County Agriculture Center Authority, | ||||||||||||
4.000%, 07/01/2034 (Callable 07/01/2024) | 1,235,000 | 1,302,468 | ||||||||||
Leeds Public Educational Building Authority, | ||||||||||||
4.000%, 04/01/2034 (Callable 10/01/2025)(Insured by AGM) | 450,000 | 504,517 | ||||||||||
Madison Water & Wastewater Board: | ||||||||||||
4.000%, 12/01/2037 (Callable 12/01/2029) | 530,000 | 623,593 | ||||||||||
4.000%, 12/01/2039 (Callable 12/01/2029) | 240,000 | 280,728 | ||||||||||
UAB Medicine Finance Authority, | ||||||||||||
4.000%, 09/01/2038 (Callable 09/01/2029) | 500,000 | 580,715 | ||||||||||
Total Alabama (Cost $17,814,556) | 18,363,542 | 3.0 | % | |||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
5.000%, 12/01/2029 (Callable 06/01/2024) | 225,000 | 255,924 | ||||||||||
5.000%, 12/01/2031 (Callable 06/01/2028) | 500,000 | 613,495 | ||||||||||
3.750%, 12/01/2046 (Callable 12/01/2028) | 355,000 | 378,320 | ||||||||||
Alaska Industrial Development & Export Authority: | ||||||||||||
3.500%, 12/01/2020 (Callable 07/31/2020) | 1,250,000 | 1,252,412 | ||||||||||
4.000%, 10/01/2034 (Callable 10/01/2029) | 1,585,000 | 1,788,768 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | 500,000 | 558,405 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 443,169 | ||||||||||
University of Alaska: | ||||||||||||
4.000%, 10/01/2025 | 170,000 | 178,658 | ||||||||||
4.000%, 10/01/2026 (Callable 10/01/2023) | 650,000 | 669,351 | ||||||||||
Total Alaska (Cost $5,972,256) | 6,138,502 | 1.0 | % | |||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
5.250%, 03/01/2039 (Callable 03/01/2021) | 220,000 | 223,898 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.375%, 07/01/2021 (3) | 365,000 | 366,978 | ||||||||||
2.500%, 05/01/2022 (Insured by AGM) (3) | 4,835,280 | 4,880,586 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 115,000 | 123,593 | ||||||||||
4.000%, 07/01/2023 (Insured by SD CRED PROG) | 100,000 | 107,563 | ||||||||||
4.000%, 07/01/2024 (Insured by SD CRED PROG) | 200,000 | 218,944 | ||||||||||
4.000%, 07/01/2025 (Insured by SD CRED PROG) | 100,000 | 111,314 | ||||||||||
4.000%, 07/01/2026 (Insured by SD CRED PROG) | 100,000 | 112,400 | ||||||||||
5.000%, 05/01/2028 | 270,000 | 286,127 | ||||||||||
4.625%, 08/01/2028 (3) | 1,160,000 | 1,207,978 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2029 (Callable 07/01/2024) | 150,000 | 173,814 | ||||||||||
Arizona Transportation Board, | ||||||||||||
5.000%, 07/01/2020 | 1,000,000 | 1,000,000 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026 (Callable 07/31/2020) | 400,000 | 401,432 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2032 (Callable 07/01/2025) | 500,000 | 597,710 | ||||||||||
Kyrene Elementary School District No. 28, | ||||||||||||
4.000%, 07/01/2033 (Callable 07/01/2025) | 1,500,000 | 1,677,090 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 115,000 | 114,468 | ||||||||||
Town of Marana AZ: | ||||||||||||
4.000%, 07/01/2036 (Callable 07/01/2027) | 350,000 | 400,687 | ||||||||||
4.000%, 07/01/2037 (Callable 07/01/2027) | 500,000 | 570,885 | ||||||||||
Total Arizona (Cost $12,270,024) | 12,575,467 | 2.1 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2023) | 1,025,000 | 1,091,625 | ||||||||||
City of Conway AR, | ||||||||||||
5.000%, 10/01/2035 (Callable 04/01/2024) | 185,000 | 211,364 | ||||||||||
City of Fayetteville AR: | ||||||||||||
1.750%, 11/01/2032 (Callable 11/01/2026) | 1,500,000 | 1,570,530 | ||||||||||
3.050%, 01/01/2047 (Callable 01/01/2027) | 905,000 | 939,218 | ||||||||||
City of Heber Springs AR, | ||||||||||||
3.000%, 11/01/2034 (Callable 11/01/2024)(Insured by BAM) | 685,000 | 715,496 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2030 (Callable 12/01/2023)(Insured by BAM) | 540,000 | 592,925 | ||||||||||
City of Little Rock AR: | ||||||||||||
4.000%, 10/01/2031 (Callable 10/01/2025) | 105,000 | 119,730 | ||||||||||
4.000%, 10/01/2033 (Callable 10/01/2025) | 210,000 | 235,649 | ||||||||||
City of Lonoke AR: | ||||||||||||
5.000%, 06/01/2025 | 210,000 | 252,021 | ||||||||||
4.000%, 06/01/2028 (Callable 06/01/2025) | 50,000 | 57,321 | ||||||||||
City of Magnolia AR, | ||||||||||||
3.200%, 08/01/2033 (Callable 08/01/2024)(Insured by BAM) | 1,085,000 | 1,156,512 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047 (Callable 09/01/2027) | 265,000 | 270,997 | ||||||||||
City of Maumelle AR: | ||||||||||||
4.000%, 08/01/2026 (Callable 08/01/2025) | 25,000 | 27,793 | ||||||||||
4.000%, 08/01/2028 (Callable 08/01/2025) | 290,000 | 320,496 | ||||||||||
4.000%, 08/01/2029 (Callable 08/01/2025) | 700,000 | 771,211 | ||||||||||
4.000%, 08/01/2030 (Callable 08/01/2025) | 325,000 | 356,723 | ||||||||||
City of North Little Rock AR: | ||||||||||||
4.000%, 11/01/2028 (Callable 05/01/2027) | 645,000 | 773,407 | ||||||||||
4.000%, 11/01/2030 (Callable 05/01/2027) | 650,000 | 757,789 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047 (Callable 08/01/2027)(Insured by BAM) | 820,000 | 867,380 | ||||||||||
City of Rogers AR, | ||||||||||||
3.250%, 11/01/2043 (Callable 11/01/2026) | 1,615,000 | 1,706,974 | ||||||||||
City of Russellville AR, | ||||||||||||
4.000%, 07/01/2028 (Callable 07/01/2025)(Insured by AGM) | 325,000 | 373,305 | ||||||||||
City of Sherwood AR, | ||||||||||||
3.050%, 12/01/2043 (Callable 12/01/2026) | 515,000 | 539,725 | ||||||||||
City of Springdale AR, | ||||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024)(Insured by BAM) | 1,095,000 | 1,098,318 | ||||||||||
Conway Health Facilities Board, | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 360,000 | 427,428 | ||||||||||
Jackson County Special School District, | ||||||||||||
1.500%, 02/01/2024 (Callable 08/01/2022)(Insured by ST AID) | 60,000 | 60,974 | ||||||||||
Little Rock Metrocentere Improvement District No. 1, | ||||||||||||
0.140%, 12/01/2025 (Optional Put Date 07/01/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
National Park College District, | ||||||||||||
3.000%, 05/01/2025 (Callable 11/01/2024) | 235,000 | 252,414 | ||||||||||
Southern Arkansas University: | ||||||||||||
4.000%, 03/01/2025 (Insured by AGM) | 415,000 | 474,831 | ||||||||||
4.000%, 03/01/2026 (Callable 03/01/2025)(Insured by AGM) | 520,000 | 591,240 | ||||||||||
4.000%, 03/01/2026 (Callable 03/01/2025)(Insured by AGM) | 270,000 | 305,934 | ||||||||||
4.000%, 03/01/2027 (Callable 03/01/2025)(Insured by AGM) | 545,000 | 617,109 | ||||||||||
4.000%, 03/01/2027 (Callable 03/01/2025)(Insured by AGM) | 275,000 | 310,448 | ||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 165,000 | 186,359 | ||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 100,000 | 112,460 | ||||||||||
University of Central Arkansas: | ||||||||||||
4.000%, 11/01/2027 (Callable 11/01/2025)(Insured by BAM) | 340,000 | 382,905 | ||||||||||
4.000%, 11/01/2028 (Callable 11/01/2025)(Insured by BAM) | 250,000 | 280,815 | ||||||||||
4.000%, 11/01/2031 (Callable 11/01/2025)(Insured by BAM) | 885,000 | 982,615 | ||||||||||
Total Arkansas (Cost $19,897,583) | 20,792,041 | 3.4 | % | |||||||||
California | ||||||||||||
Acalanes Union High School District: | ||||||||||||
0.000%, 08/01/2028 (7) | 105,000 | 111,869 | ||||||||||
0.000%, 08/01/2032 (7) | 365,000 | 438,683 | ||||||||||
0.000%, 08/01/2035 (Callable 08/01/2029) (7) | 150,000 | 169,149 | ||||||||||
0.000%, 08/01/2039 (Callable 08/01/2029) (7) | 125,000 | 139,451 | ||||||||||
Bay Area Toll Authority, | ||||||||||||
1.210%, 04/01/2045 (SIFMA Municipal Swap Index + 1.100%) (Callable 10/01/2023)(Mandatory Tender Date 04/01/2024) (2) | 650,000 | 648,602 | ||||||||||
Beaumont Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Pre-refunded to 08/01/2026)(Insured by AGM) (7) | 90,000 | 117,289 | ||||||||||
Burbank Unified School District, | ||||||||||||
0.000%, 02/01/2038 (Callable 08/01/2028) (7) | 210,000 | 222,096 | ||||||||||
California Health Facilities Financing Authority, | ||||||||||||
5.250%, 03/01/2041 (Callable 03/01/2021) | 135,000 | 137,642 | ||||||||||
California Municipal Finance Authority: | ||||||||||||
3.000%, 01/01/2021 | 230,000 | 229,977 | ||||||||||
5.000%, 08/01/2023 | 400,000 | 419,156 | ||||||||||
5.000%, 08/01/2024 | 400,000 | 423,244 | ||||||||||
5.000%, 10/01/2026 | 300,000 | 343,134 | ||||||||||
4.000%, 01/01/2048 (Callable 01/01/2028) | 200,000 | 226,548 | ||||||||||
California Public Finance Authority: | ||||||||||||
5.000%, 10/15/2020 | 180,000 | 182,043 | ||||||||||
5.000%, 10/15/2021 | 200,000 | 210,184 | ||||||||||
California Statewide Communities Development Authority, | ||||||||||||
0.463%, 04/01/2028 (Insured by NATL) (1)(5) | 700,000 | 700,000 | ||||||||||
Calipatria California Unified School District, | ||||||||||||
0.000%, 08/01/2026 | 100,000 | 89,917 | ||||||||||
Campbell Union School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026) (7) | 380,000 | 449,669 | ||||||||||
Carlsbad Unified School District, | ||||||||||||
0.000%, 08/01/2031 (7) | 115,000 | 154,332 | ||||||||||
Chawanakee Unified School District: | ||||||||||||
4.000%, 08/01/2026 (Insured by BAM) (7) | 110,000 | 130,093 | ||||||||||
4.000%, 08/01/2027 (Callable 08/01/2026)(Insured by BAM) (7) | 100,000 | 117,759 | ||||||||||
4.000%, 08/01/2028 (Callable 08/01/2026)(Insured by BAM) (7) | 75,000 | 87,984 | ||||||||||
4.000%, 08/01/2029 (Callable 08/01/2026)(Insured by BAM) (7) | 80,000 | 93,351 | ||||||||||
City & County of San Francisco CA, | ||||||||||||
1.300%, 07/01/2023 (Mandatory Tender Date 01/01/2023) (1) | 400,000 | 404,704 | ||||||||||
City of Redding CA, | ||||||||||||
0.460%, 07/01/2022 (ETM)(Insured by NATL) (1)(5) | 85,000 | 85,000 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2026)(Insured by AGM) (7) | 300,000 | 357,360 | ||||||||||
Denair Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Insured by AGM) (7) | 130,000 | 171,755 | ||||||||||
Desert Hot Springs Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2027)(Insured by BAM) | 300,000 | 374,133 | ||||||||||
East Bay Municipal Utility District, | ||||||||||||
5.000%, 06/01/2033 (Callable 06/01/2024) | 475,000 | 556,120 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2034 (Callable 08/01/2028)(Insured by AGM) (7) | 475,000 | 563,568 | ||||||||||
Encinitas Union School District, | ||||||||||||
0.000%, 08/01/2031 (7) | 105,000 | 136,081 | ||||||||||
Enterprise Elementary School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2031) (7) | 155,000 | 213,244 | ||||||||||
Escondido Union High School District, | ||||||||||||
0.000%, 08/01/2034 (Insured by AGC) (7) | 330,000 | 520,539 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
5.000%, 04/01/2027 (Insured by AGM) | 305,000 | 379,679 | ||||||||||
Hesperia Community Redevelopment Agency Successor Agency, | ||||||||||||
3.250%, 09/01/2036 (Callable 09/01/2028)(Insured by AGM) | 1,700,000 | 1,831,903 | ||||||||||
Imperial Community College District, | ||||||||||||
0.000%, 08/01/2040 (Pre-refunded to 08/01/2030)(Insured by AGM) (7) | 140,000 | 213,699 | ||||||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2025)(Insured by BAM) | 275,000 | 327,352 | ||||||||||
Lemoore Union High School District, | ||||||||||||
0.000%, 01/01/2021 (Insured by AMBAC) | 100,000 | 99,653 | ||||||||||
Long Beach Bond Finance Authority: | ||||||||||||
5.250%, 11/15/2023 | 90,000 | 101,063 | ||||||||||
5.000%, 11/15/2029 | 50,000 | 62,738 | ||||||||||
Los Alamitos Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Callable 08/01/2031) (7) | 500,000 | 532,605 | ||||||||||
Mount Diablo Unified School District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2025)(Insured by AGM) (7) | 175,000 | 189,728 | ||||||||||
Norwalk-La Mirada Unified School District, | ||||||||||||
0.000%, 08/01/2029 (Insured by AGC) (7) | 210,000 | 260,043 | ||||||||||
Oak Park Unified School District: | ||||||||||||
0.000%, 08/01/2031 (7) | 110,000 | 150,334 | ||||||||||
0.000%, 08/01/2038 (Callable 08/01/2031)(Insured by AGM) (7) | 110,000 | 156,442 | ||||||||||
Pajaro Valley Unified School District: | ||||||||||||
5.000%, 08/01/2032 (Callable 07/21/2020)(Insured by BAM) | 120,000 | 120,228 | ||||||||||
5.000%, 08/01/2033 (Callable 07/21/2020)(Insured by BAM) | 300,000 | 300,558 | ||||||||||
Palomar Community College District, | ||||||||||||
0.000%, 08/01/2039 (Callable 08/01/2035) (7) | 140,000 | 174,469 | ||||||||||
Redondo Beach Unified School District, | ||||||||||||
6.375%, 08/01/2034 (Callable 08/01/2026) (7) | 590,000 | 769,502 | ||||||||||
Reef-Sunset Unified School District, | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2026)(Insured by BAM) (7) | 200,000 | 219,974 | ||||||||||
Richmond Joint Powers Financing Authority, | ||||||||||||
5.500%, 11/01/2029 (Callable 11/01/2025) | 300,000 | 357,003 | ||||||||||
Rio Hondo Community College District: | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (7) | 145,000 | 185,832 | ||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) (7) | 415,000 | 539,521 | ||||||||||
Riverside County Redevelopment Successor Agency, | ||||||||||||
0.000%, 10/01/2041 (Callable 10/01/2026)(Insured by BAM) (7) | 100,000 | 108,894 | ||||||||||
Sacramento City Unified School District, | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2024) | 505,000 | 578,124 | ||||||||||
San Diego Unified School District, | ||||||||||||
4.000%, 07/01/2032 (Callable 07/01/2026) | 165,000 | 191,506 | ||||||||||
San Jacinto Unified School District, | ||||||||||||
3.000%, 09/01/2028 (Insured by BAM) | 400,000 | 422,096 | ||||||||||
San Mateo Foster City School District, | ||||||||||||
0.000%, 08/01/2026 (7) | 75,000 | 83,400 | ||||||||||
Santa Barbara Unified School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2033) (7) | 470,000 | 650,414 | ||||||||||
Santa Paula Union High School District, | ||||||||||||
0.000%, 08/01/2037 (Callable 08/01/2027) (7) | 80,000 | 87,649 | ||||||||||
Savanna School District, | ||||||||||||
0.000%, 08/01/2047 (Callable 08/01/2029)(Insured by AGM) (7) | 875,000 | 925,015 | ||||||||||
School District of Belmont-Redwood Shores CA, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) (7) | 100,000 | 120,337 | ||||||||||
Sebastopol Union School District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2031)(Insured by AGM) (7) | 135,000 | 130,259 | ||||||||||
Solano County Community College District: | ||||||||||||
0.000%, 08/01/2027 (Callable 08/01/2025) (7) | 245,000 | 258,749 | ||||||||||
0.000%, 08/01/2028 (Callable 08/01/2025) (7) | 80,000 | 84,198 | ||||||||||
0.000%, 08/01/2030 (Callable 08/01/2025) (7) | 210,000 | 218,845 | ||||||||||
0.000%, 08/01/2041 (Callable 08/01/2028) (7) | 325,000 | 356,636 | ||||||||||
South Placer Wastewater Authority, | ||||||||||||
5.000%, 11/01/2034 | 500,000 | 712,725 | ||||||||||
Summerville Union High School District, | ||||||||||||
0.000%, 08/01/2033 (Callable 08/01/2028)(Insured by BAM) (7) | 25,000 | 26,505 | ||||||||||
Temecula Valley Unified School District, | ||||||||||||
4.500%, 08/01/2035 (Callable 08/01/2024)(Insured by BAM) (7) | 200,000 | 220,264 | ||||||||||
West Hills Community College District, | ||||||||||||
0.000%, 08/01/2035 (Callable 08/01/2027)(Insured by AGM) (7) | 50,000 | 55,676 | ||||||||||
Westside Union School District, | ||||||||||||
0.000%, 08/01/2028 | 160,000 | 142,906 | ||||||||||
Wiseburn School District, | ||||||||||||
0.000%, 08/01/2036 (Callable 08/01/2031)(Insured by AGM) (7) | 50,000 | 55,235 | ||||||||||
Total California (Cost $19,965,260) | 21,626,435 | 3.6 | % |
Colorado | ||||||||||||
Board of Governors of Colorado State University System, | ||||||||||||
5.000%, 03/01/2032 (Callable 03/01/2027) | 125,000 | 149,908 | ||||||||||
Boulder Valley School District No. Re-2, | ||||||||||||
5.000%, 12/01/2038 (Callable 06/01/2025)(Insured by ST AID) | 2,000,000 | 2,369,460 | ||||||||||
Bromley Park Metropolitan District No. 2, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 225,000 | 257,101 | ||||||||||
Canterberry Crossing Metropolitan District II: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 235,000 | 303,899 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 250,000 | 321,260 | ||||||||||
5.000%, 12/01/2032 (Callable 12/01/2028)(Insured by AGM) | 530,000 | 676,646 | ||||||||||
City & County of Denver CO: | ||||||||||||
0.000%, 08/01/2030 (Callable 08/01/2026) | 500,000 | 396,615 | ||||||||||
0.000%, 08/01/2031 (Callable 08/01/2026) | 150,000 | 113,364 | ||||||||||
0.000%, 08/01/2032 (Callable 08/01/2026) | 335,000 | 241,997 | ||||||||||
City of Commerce City CO: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by AGM) | 100,000 | 127,769 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2027)(Insured by AGM) | 310,000 | 394,233 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2027)(Insured by AGM) | 500,000 | 632,545 | ||||||||||
City of Fort Lupton CO: | ||||||||||||
5.000%, 12/01/2027 (Insured by AGM) | 75,000 | 96,696 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2027)(Insured by AGM) | 210,000 | 269,791 | ||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by AGM) | 250,000 | 319,697 | ||||||||||
5.000%, 12/01/2030 (Callable 12/01/2027)(Insured by AGM) | 350,000 | 445,253 | ||||||||||
City of Sheridan CO, | ||||||||||||
5.000%, 12/01/2042 (Callable 12/01/2025) | 1,130,000 | 1,350,779 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 402,908 | ||||||||||
4.000%, 11/15/2021 | 225,000 | 235,449 | ||||||||||
5.000%, 10/01/2022 | 1,300,000 | 1,372,787 | ||||||||||
4.000%, 11/15/2022 | 445,000 | 472,635 | ||||||||||
5.000%, 10/01/2023 | 700,000 | 755,034 | ||||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,400,099 | ||||||||||
4.000%, 04/01/2028 | 540,000 | 605,194 | ||||||||||
5.000%, 06/01/2029 (Callable 06/01/2024) | 120,000 | 134,555 | ||||||||||
5.000%, 08/15/2030 (Callable 08/15/2024) | 500,000 | 565,485 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 40,000 | 44,576 | ||||||||||
5.000%, 08/15/2034 (Callable 08/15/2024) | 1,000,000 | 1,117,160 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 12/01/2020 | 160,000 | 161,625 | ||||||||||
5.000%, 12/01/2023 | 90,000 | 96,889 | ||||||||||
5.000%, 02/01/2025 (Pre-refunded to 02/01/2021) | 100,000 | 102,718 | ||||||||||
5.000%, 06/01/2027 (ETM) | 750,000 | 964,950 | ||||||||||
4.500%, 12/01/2033 (Callable 07/31/2020) | 125,000 | 125,104 | ||||||||||
4.000%, 07/01/2039 (Pre-refunded to 11/09/2022) | 20,000 | 21,635 | ||||||||||
5.250%, 01/01/2040 (Pre-refunded to 01/01/2023) | 200,000 | 223,494 | ||||||||||
5.000%, 08/01/2049 (Callable 02/01/2026)(Mandatory Tender Date 08/01/2026) (1) | 3,130,000 | 3,681,913 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
4.000%, 05/01/2048 (Callable 11/01/2026)(Insured by GNMA) | 365,000 | 394,598 | ||||||||||
4.250%, 11/01/2049 (Callable 11/01/2028)(Insured by GNMA) | 2,415,000 | 2,691,469 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2027)(Insured by ST AID) | 125,000 | 159,338 | ||||||||||
County of Moffat CO, | ||||||||||||
2.000%, 03/01/2036 (Mandatory Tender Date 10/03/2022) (1) | 50,000 | 51,028 | ||||||||||
Denver City & County School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 03/01/2021) | 395,000 | 406,332 | ||||||||||
5.000%, 12/01/2031 (Callable 03/01/2021) | 595,000 | 611,910 | ||||||||||
Denver Health & Hospital Authority: | ||||||||||||
5.000%, 12/01/2025 | 400,000 | 462,708 | ||||||||||
5.000%, 12/01/2027 | 340,000 | 405,566 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2029 (Insured by NATL) | 2,550,000 | 2,204,118 | ||||||||||
1.172%, 09/01/2039 (1 Month LIBOR USD + 1.050%) (Callable 03/01/2021)(Mandatory Tender Date 09/01/2021) (2) | 500,000 | 500,155 | ||||||||||
El Paso County School District No. 3, | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2022)(Insured by ST AID) | 250,000 | 276,768 | ||||||||||
Glen Metropolitan District No. 1, | ||||||||||||
2.500%, 12/01/2025 (Insured by BAM) | 110,000 | 114,921 | ||||||||||
Glen Metropolitan District No. 2, | ||||||||||||
2.000%, 12/01/2030 (Insured by BAM) | 320,000 | 314,112 | ||||||||||
Grand River Hospital District: | ||||||||||||
5.250%, 12/01/2030 (Callable 12/01/2028)(Insured by AGM) | 350,000 | 426,815 | ||||||||||
5.250%, 12/01/2031 (Callable 12/01/2028)(Insured by AGM) | 1,190,000 | 1,432,165 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027) | 500,000 | 621,085 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 183,000 | 182,998 | ||||||||||
State of Colorado, | ||||||||||||
4.000%, 03/15/2030 (Pre-refunded to 03/15/2022) | 190,000 | 201,394 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2027 | 230,000 | 278,558 | ||||||||||
Stetson Ridge Metropolitan District No. 3, | ||||||||||||
2.000%, 12/01/2030 (Insured by AGM) | 1,000,000 | 993,600 | ||||||||||
Vauxmont Metropolitan District: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 146,562 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 146,129 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024)(Insured by AGM) | 125,000 | 145,645 | ||||||||||
5.000%, 12/15/2031 (Callable 12/15/2024)(Insured by AGM) | 135,000 | 156,727 | ||||||||||
Vista Ridge Metropolitan District: | ||||||||||||
5.000%, 12/01/2025 (Insured by BAM) | 600,000 | 725,268 | ||||||||||
5.000%, 12/01/2026 (Insured by BAM) | 460,000 | 569,751 | ||||||||||
Total Colorado (Cost $33,653,915) | 35,570,943 | 5.9 | % | |||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2023)(Insured by BAM) | 550,000 | 602,234 | ||||||||||
Connecticut Housing Finance Authority: | ||||||||||||
4.000%, 11/15/2047 (Callable 11/15/2026) | 165,000 | 177,590 | ||||||||||
4.000%, 05/15/2049 (Callable 11/15/2028) | 1,470,000 | 1,648,193 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
5.000%, 11/01/2026 | 500,000 | 601,755 | ||||||||||
5.000%, 11/01/2026 (Callable 11/01/2022) | 135,000 | 148,010 | ||||||||||
5.000%, 07/01/2030 (Callable 07/01/2021) | 50,000 | 51,221 | ||||||||||
4.250%, 07/01/2031 (Callable 07/01/2022) | 1,050,000 | 1,075,536 | ||||||||||
5.000%, 07/01/2034 (Callable 07/01/2022) | 40,000 | 41,774 | ||||||||||
Connecticut State Higher Education Supplement Loan Authority: | ||||||||||||
5.000%, 11/15/2021 (6) | 825,000 | 860,533 | ||||||||||
5.000%, 11/15/2027 (Callable 11/15/2026) | 125,000 | 146,277 | ||||||||||
3.000%, 11/15/2035 (Callable 11/15/2026) (6) | 850,000 | 838,338 | ||||||||||
State of Connecticut: | ||||||||||||
5.000%, 04/15/2024 | 175,000 | 202,640 | ||||||||||
5.000%, 10/01/2027 (Callable 10/01/2023) | 685,000 | 774,564 | ||||||||||
5.000%, 07/15/2030 (Callable 07/15/2023) | 225,000 | 249,860 | ||||||||||
5.000%, 10/15/2032 (Callable 10/15/2022) | 960,000 | 1,035,696 | ||||||||||
5.000%, 09/01/2033 (Callable 09/01/2026) | 300,000 | 357,843 | ||||||||||
5.000%, 05/01/2034 (Callable 05/01/2030) | 1,500,000 | 1,924,845 | ||||||||||
University of Connecticut: | ||||||||||||
5.000%, 01/15/2031 (Callable 01/15/2027)(Insured by AGM) | 1,000,000 | 1,216,520 | ||||||||||
5.000%, 02/15/2031 (Callable 02/15/2021) | 100,000 | 102,368 | ||||||||||
Total Connecticut (Cost $11,574,805) | 12,055,797 | 2.0 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021 (Mandatory Tender Date 09/01/2020) (1) | 825,000 | 826,774 | ||||||||||
3.500%, 06/15/2023 | 265,000 | 275,899 | ||||||||||
District of Columbia Water & Sewer Authority, | ||||||||||||
5.000%, 10/01/2037 (Callable 04/01/2026) | 275,000 | 330,701 | ||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
0.000%, 10/01/2029 (Insured by AGC) | 110,000 | 88,759 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 250,000 | 292,960 | ||||||||||
6.500%, 10/01/2041 (Callable 10/01/2026)(Insured by AGC) (7) | 355,000 | 438,049 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028) (7) | 665,000 | 859,206 | ||||||||||
6.500%, 10/01/2044 (Callable 10/01/2028)(Insured by AGM) (7) | 960,000 | 1,233,754 | ||||||||||
Total District of Columbia (Cost $4,150,433) | 4,346,102 | 0.7 | % | |||||||||
Florida | ||||||||||||
Capital Trust Agency, Inc., | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2026) | 400,000 | 445,836 | ||||||||||
City of Fort Myers FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 475,000 | 576,403 | ||||||||||
4.000%, 12/01/2037 (Callable 12/01/2025) | 1,000,000 | 1,095,740 | ||||||||||
4.000%, 12/01/2038 (Callable 12/01/2025) | 500,000 | 546,845 | ||||||||||
City of Jacksonville FL: | ||||||||||||
4.000%, 10/01/2033 (Callable 10/01/2026) | 1,895,000 | 2,120,524 | ||||||||||
0.110%, 08/01/2036 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
City of Orlando FL: | ||||||||||||
5.000%, 10/01/2027 (Pre-refunded to 10/01/2020) | 100,000 | 101,173 | ||||||||||
5.000%, 11/01/2034 (Callable 11/01/2027)(Insured by AGM) | 775,000 | 911,206 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2025) | 585,000 | 667,608 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 1,250,000 | 1,504,637 | ||||||||||
5.000%, 10/01/2034 (Callable 10/01/2024) | 500,000 | 586,800 | ||||||||||
County of Jackson FL, | ||||||||||||
0.180%, 07/01/2022 (Optional Put Date 07/01/2020) (1) | 1,630,000 | 1,630,000 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.000%, 04/01/2027 (Callable 04/01/2026) | 120,000 | 147,439 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 135,000 | 159,757 | ||||||||||
6.875%, 10/01/2034 (Callable 10/01/2029)(Insured by AGC) (7) | 255,000 | 371,874 | ||||||||||
7.000%, 10/01/2039 (Callable 10/01/2029)(Insured by AGC) (7) | 390,000 | 568,815 | ||||||||||
Florida Department of Management Services, | ||||||||||||
5.000%, 11/01/2029 | 2,000,000 | 2,670,920 | ||||||||||
Florida Development Finance Corp.: | ||||||||||||
5.000%, 04/01/2028 | 300,000 | 369,228 | ||||||||||
5.000%, 04/01/2029 | 250,000 | 311,562 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 10/01/2023 | 500,000 | 540,160 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 2,000,000 | 2,247,640 | ||||||||||
4.350%, 01/01/2046 (Callable 01/01/2024) | 380,000 | 397,571 | ||||||||||
3.800%, 07/01/2047 (Callable 01/01/2027)(Insured by GNMA) | 1,180,000 | 1,266,341 | ||||||||||
4.000%, 07/01/2047 (Callable 07/01/2025)(Insured by GNMA) | 230,000 | 244,563 | ||||||||||
4.000%, 07/01/2049 (Callable 07/01/2027)(Insured by GNMA) | 195,000 | 212,094 | ||||||||||
Florida Municipal Loan Council, | ||||||||||||
5.000%, 10/01/2026 | 90,000 | 112,371 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
4.000%, 10/01/2030 (Callable 10/01/2027) | 500,000 | 583,845 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
0.110%, 11/15/2037 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 4,000,000 | 4,000,000 | ||||||||||
Highlands County School Board, | ||||||||||||
3.625%, 03/01/2031 (Callable 03/01/2025)(Insured by BAM) | 150,000 | 162,198 | ||||||||||
Hillsborough County Aviation Authority, | ||||||||||||
5.000%, 10/01/2035 (Callable 10/01/2024) | 500,000 | 563,790 | ||||||||||
Hillsborough County Industrial Development Authority, | ||||||||||||
0.170%, 11/15/2042 (Optional Put Date 07/01/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
JEA Water & Sewer System Revenue: | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2027) | 700,000 | 895,594 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 680,000 | 852,122 | ||||||||||
Manatee County School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 101,178 | ||||||||||
Martin County Health Facilities Authority: | ||||||||||||
3.370%, 11/15/2021 (ETM) | 295,000 | 307,036 | ||||||||||
5.000%, 11/15/2023 (ETM) | 260,000 | 299,325 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 165,000 | 163,738 | ||||||||||
Miami-Dade County Expressway Authority, | ||||||||||||
5.000%, 07/01/2022 | 310,000 | 333,160 | ||||||||||
Miami-Dade County Industrial Development Authority, | ||||||||||||
5.000%, 01/15/2021 | 365,000 | 371,121 | ||||||||||
Monroe County School District, | ||||||||||||
5.000%, 10/01/2025 (Insured by AGM) | 200,000 | 243,716 | ||||||||||
Orange County Convention Center: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 1,000,000 | 1,152,780 | ||||||||||
4.000%, 10/01/2034 (Callable 10/01/2026) | 250,000 | 271,130 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 2,500,000 | 2,686,650 | ||||||||||
Orange County School Board: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2025) | 990,000 | 1,190,386 | ||||||||||
5.000%, 08/01/2033 (Callable 08/01/2026) | 150,000 | 183,963 | ||||||||||
Palm Beach County Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2023 | 1,160,000 | 1,203,848 | ||||||||||
5.000%, 05/15/2024 | 300,000 | 314,037 | ||||||||||
4.750%, 07/01/2025 (Pre-refunded to 07/01/2020)(Insured by AGM) | 130,000 | 130,000 | ||||||||||
4.000%, 05/15/2035 (Callable 05/15/2025) | 175,000 | 164,313 | ||||||||||
Pinellas County School Board, | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2027) | 515,000 | 636,365 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
4.000%, 06/01/2035 (Callable 06/01/2027) | 1,000,000 | 1,148,200 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 11/01/2030 (Callable 11/01/2024) | 185,000 | 216,720 | ||||||||||
University Park Recreation District: | ||||||||||||
2.750%, 05/01/2021 (Insured by BAM) | 260,000 | 264,100 | ||||||||||
2.750%, 05/01/2022 (Insured by BAM) | 265,000 | 273,978 | ||||||||||
2.750%, 05/01/2023 (Insured by BAM) | 270,000 | 283,719 | ||||||||||
Village Community Development District No. 13, | ||||||||||||
2.625%, 05/01/2024 | 500,000 | 497,730 | ||||||||||
Village Community Development District No. 7, | ||||||||||||
4.000%, 05/01/2021 | 220,000 | 225,146 | ||||||||||
Total Florida (Cost $39,886,342) | 41,526,995 | 6.9 | % |
Georgia | ||||||||||||
Barnesville-Lamar County Industrial Development Authority, | ||||||||||||
5.000%, 06/01/2028 | 175,000 | 217,098 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.250%, 10/01/2032 (Mandatory Tender Date 05/25/2023) (1) | 500,000 | 510,455 | ||||||||||
2.350%, 10/01/2032 (Mandatory Tender Date 12/11/2020) (1) | 100,000 | 100,509 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2025 (Callable 07/31/2020) | 225,000 | 225,855 | ||||||||||
5.500%, 11/01/2027 (Insured by AGM) | 145,000 | 181,145 | ||||||||||
5.000%, 01/01/2028 (Callable 07/31/2020) | 1,000,000 | 1,003,690 | ||||||||||
City of Dahlonega GA, | ||||||||||||
4.000%, 09/01/2021 (Insured by AGM) | 150,000 | 155,887 | ||||||||||
Clayton County Development Authority, | ||||||||||||
4.000%, 07/01/2031 (Callable 07/01/2027) | 495,000 | 555,004 | ||||||||||
Cobb County Kennestone Hospital Authority, | ||||||||||||
5.000%, 04/01/2024 (Callable 04/01/2021) | 895,000 | 921,528 | ||||||||||
Cobb-Marietta Coliseum & Exhibit Hall Authority, | ||||||||||||
4.000%, 07/01/2020 | 100,000 | 100,000 | ||||||||||
Development Authority of Bulloch County: | ||||||||||||
5.000%, 07/01/2030 | 405,000 | 515,670 | ||||||||||
5.000%, 07/01/2031 (Callable 07/01/2030) | 420,000 | 531,212 | ||||||||||
5.000%, 07/01/2032 (Callable 07/01/2030) | 445,000 | 558,333 | ||||||||||
5.000%, 07/01/2033 (Callable 07/01/2030) | 465,000 | 579,543 | ||||||||||
Gainesville & Hall County Hospital Authority: | ||||||||||||
5.000%, 02/15/2022 | 500,000 | 530,710 | ||||||||||
5.000%, 02/15/2029 (Callable 02/15/2027) | 485,000 | 590,934 | ||||||||||
Georgia Housing & Finance Authority: | ||||||||||||
3.600%, 12/01/2033 (Callable 06/01/2027) | 450,000 | 494,680 | ||||||||||
4.000%, 12/01/2039 (Callable 06/01/2026) | 540,000 | 573,124 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
0.945%, 08/01/2048 (1 Month LIBOR USD + 0.830%) (Callable 09/01/2023)(Mandatory Tender Date 12/01/2023) (2) | 2,000,000 | 1,985,680 | ||||||||||
4.000%, 08/01/2049 (Callable 09/01/2024)(Mandatory Tender Date 12/02/2024) (1) | 585,000 | 660,167 | ||||||||||
Monroe County Development Authority, | ||||||||||||
2.350%, 10/01/2048 (Mandatory Tender Date 12/11/2020) (1) | 190,000 | 191,480 | ||||||||||
Total Georgia (Cost $10,971,258) | 11,182,704 | 1.8 | % | |||||||||
Illinois | ||||||||||||
Adams & Hancock Counties Community Unit School District No. 4: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2025)(Insured by BAM) | 290,000 | 328,533 | ||||||||||
4.000%, 12/01/2029 (Callable 12/01/2025)(Insured by BAM) | 310,000 | 348,480 | ||||||||||
4.000%, 12/01/2030 (Callable 12/01/2025)(Insured by BAM) | 325,000 | 363,886 | ||||||||||
4.000%, 12/01/2032 (Callable 12/01/2025)(Insured by BAM) | 350,000 | 388,423 | ||||||||||
Bourbonnais Township Park District: | ||||||||||||
4.000%, 12/15/2023 (Insured by BAM) | 100,000 | 109,080 | ||||||||||
4.000%, 12/15/2024 (Insured by BAM) | 125,000 | 139,033 | ||||||||||
4.000%, 12/15/2025 (Insured by BAM) | 130,000 | 146,949 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
4.000%, 12/01/2031 (Callable 12/01/2027)(Insured by BAM) | 1,330,000 | 1,542,494 | ||||||||||
Chicago Board of Education, | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 1,000,000 | 1,094,050 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 205,000 | 231,843 | ||||||||||
Chicago Park District, | ||||||||||||
5.000%, 01/01/2024 | 580,000 | 643,353 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2020 | 100,000 | 100,644 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2024 | 250,000 | 263,715 | ||||||||||
5.000%, 01/01/2025 (Callable 01/01/2024)(Insured by AGM) | 110,000 | 123,287 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2024) | 250,000 | 253,927 | ||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 195,000 | 150,955 | ||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 330,000 | 270,574 | ||||||||||
5.000%, 11/01/2028 (Callable 11/01/2027)(Insured by AGM) | 625,000 | 754,625 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2024)(Insured by AGM) | 445,000 | 495,370 | ||||||||||
0.000%, 01/01/2031 (Insured by NATL) | 2,000,000 | 1,273,660 | ||||||||||
5.625%, 01/01/2031 (Callable 01/01/2027) | 250,000 | 281,987 | ||||||||||
5.000%, 11/01/2033 (Callable 11/01/2027)(Insured by AGM) | 375,000 | 439,373 | ||||||||||
City of Decatur IL: | ||||||||||||
4.250%, 03/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 276,607 | ||||||||||
5.000%, 03/01/2034 (Callable 03/01/2026)(Insured by BAM) | 855,000 | 1,008,900 | ||||||||||
City of Kankakee IL, | ||||||||||||
4.500%, 05/01/2031 (Callable 05/01/2025)(Insured by AGM) | 135,000 | 151,771 | ||||||||||
City of Rockford IL, | ||||||||||||
3.000%, 12/15/2022 (Insured by AGM) | 150,000 | 157,356 | ||||||||||
Cook & Will Counties Community College District No. 515, | ||||||||||||
4.000%, 12/01/2021 (Callable 07/02/2020)(Insured by AGM) | 690,000 | 690,000 | ||||||||||
Cook & Will Counties School District No. 194: | ||||||||||||
4.000%, 12/01/2025 (Callable 12/01/2024)(Insured by BAM) | 160,000 | 177,850 | ||||||||||
4.000%, 12/01/2026 (Callable 12/01/2024)(Insured by BAM) | 130,000 | 143,872 | ||||||||||
Cook County Community Consolidated School District No. 65, | ||||||||||||
0.000%, 12/01/2023 | 200,000 | 192,136 | ||||||||||
Cook County School District No. 130: | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2025)(Insured by AGM) | 1,195,000 | 1,452,929 | ||||||||||
5.000%, 12/01/2028 (Callable 12/01/2025)(Insured by AGM) | 1,000,000 | 1,213,480 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2025 (Insured by BAM) | 430,000 | 536,292 | ||||||||||
6.000%, 12/15/2027 (Insured by BAM) | 1,150,000 | 1,514,389 | ||||||||||
Cook County School District No. 83, | ||||||||||||
5.625%, 06/01/2033 | 775,000 | 1,023,101 | ||||||||||
Darien Park District, | ||||||||||||
4.150%, 12/15/2026 (Callable 07/31/2020) | 200,000 | 200,540 | ||||||||||
DeKalb County Community Unit School District No. 428, | ||||||||||||
0.000%, 01/01/2030 (Callable 07/01/2020) | 300,000 | 171,087 | ||||||||||
DuPage County High School District No. 87, | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025) | 315,000 | 374,321 | ||||||||||
Ford, Champaign Counties Community Unit School District No. 10, | ||||||||||||
5.000%, 12/01/2027 (Callable 12/01/2026)(Insured by AGM) | 600,000 | 749,892 | ||||||||||
Governors State University, | ||||||||||||
5.000%, 07/01/2020 (Insured by BAM) | 190,000 | 190,000 | ||||||||||
Hampshire Special Service Area No. 13: | ||||||||||||
3.000%, 03/01/2027 (Insured by BAM) | 130,000 | 139,728 | ||||||||||
3.000%, 03/01/2028 (Callable 03/01/2027)(Insured by BAM) | 140,000 | 149,398 | ||||||||||
3.000%, 03/01/2029 (Callable 03/01/2027)(Insured by BAM) | 100,000 | 105,814 | ||||||||||
3.250%, 03/01/2032 (Callable 03/01/2027)(Insured by BAM) | 165,000 | 174,192 | ||||||||||
3.300%, 03/01/2033 (Callable 03/01/2027)(Insured by BAM) | 175,000 | 184,209 | ||||||||||
3.350%, 03/01/2034 (Callable 03/01/2027)(Insured by BAM) | 185,000 | 194,579 | ||||||||||
3.400%, 03/01/2035 (Callable 03/01/2027)(Insured by BAM) | 195,000 | 205,060 | ||||||||||
3.450%, 03/01/2036 (Callable 03/01/2027)(Insured by BAM) | 205,000 | 215,336 | ||||||||||
3.500%, 03/01/2037 (Callable 03/01/2027)(Insured by BAM) | 215,000 | 225,989 | ||||||||||
Henry & Whiteside Counties Community Unit School District No. 228, | ||||||||||||
5.000%, 08/15/2031 (Callable 08/15/2025)(Insured by AGM) | 270,000 | 322,742 | ||||||||||
Huntley Area Public Library District, | ||||||||||||
5.000%, 02/01/2037 (Callable 02/01/2029) | 500,000 | 626,045 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023 (ETM) | 180,000 | 176,756 | ||||||||||
2.450%, 11/15/2039 (Mandatory Tender Date 03/03/2026) (1) | 1,000,000 | 1,061,070 | ||||||||||
Illinois Educational Facilities Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2022) | 645,000 | 688,325 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 102,652 | ||||||||||
5.000%, 10/01/2021 | 170,000 | 174,631 | ||||||||||
5.000%, 10/01/2023 | 105,000 | 110,400 | ||||||||||
5.000%, 11/01/2024 | 1,100,000 | 1,213,135 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2027) | 475,000 | 568,437 | ||||||||||
5.000%, 02/15/2029 (Callable 02/15/2027) | 3,275,000 | 4,034,374 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2027) | 90,000 | 107,014 | ||||||||||
5.000%, 08/01/2030 (Pre-refunded to 08/01/2024) | 1,065,000 | 1,258,340 | ||||||||||
4.000%, 05/15/2034 (Callable 05/15/2026) | 200,000 | 216,632 | ||||||||||
1.470%, 05/01/2036 (1 Month LIBOR USD + 1.350%) (Callable 11/01/2020)(Mandatory Tender Date 05/01/2021) (2) | 300,000 | 300,135 | ||||||||||
4.000%, 12/01/2040 (Callable 12/01/2027) | 270,000 | 301,144 | ||||||||||
4.000%, 12/01/2042 (Callable 12/01/2027) | 275,000 | 305,256 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.500%, 08/01/2031 (Callable 08/01/2027)(Insured by GNMA) | 465,000 | 516,852 | ||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 935,000 | 986,116 | ||||||||||
2.450%, 06/01/2043 (Callable 01/01/2023)(Insured by GNMA) | 572,148 | 580,072 | ||||||||||
4.250%, 10/01/2049 (Callable 04/01/2028) | 1,905,000 | 2,113,331 | ||||||||||
Illinois Sports Facilities Authority: | ||||||||||||
5.000%, 06/15/2029 (Insured by BAM) | 2,500,000 | 2,985,125 | ||||||||||
5.000%, 06/15/2030 (Callable 06/15/2029)(Insured by BAM) | 1,155,000 | 1,369,934 | ||||||||||
Illinois State University, | ||||||||||||
5.000%, 04/01/2031 (Callable 04/01/2028)(Insured by AGM) | 500,000 | 585,380 | ||||||||||
Joliet Park District: | ||||||||||||
4.000%, 02/01/2030 (Callable 02/01/2024)(Insured by BAM) | 250,000 | 265,935 | ||||||||||
4.000%, 02/01/2033 (Callable 02/01/2023)(Insured by AGM) | 365,000 | 379,501 | ||||||||||
Kankakee County School District No. 111, | ||||||||||||
4.000%, 01/01/2025 (Insured by BAM) | 480,000 | 537,211 | ||||||||||
Kendall & Kane Counties Community Unit School District No. 115, | ||||||||||||
0.000%, 01/01/2022 (Insured by NATL) | 1,090,000 | 1,077,269 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308: | ||||||||||||
4.000%, 02/01/2030 (Callable 02/01/2025) | 2,050,000 | 2,173,984 | ||||||||||
4.750%, 10/01/2031 (Callable 10/01/2023) | 1,000,000 | 1,089,280 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205: | ||||||||||||
6.000%, 01/01/2030 (Callable 01/01/2021) | 285,000 | 292,701 | ||||||||||
6.125%, 01/01/2036 (Callable 01/01/2021) | 1,400,000 | 1,438,850 | ||||||||||
Macoupin, Sangaman & Montgomery Government Bonds, | ||||||||||||
4.250%, 12/01/2032 (Callable 12/01/2023)(Insured by AGM) | 685,000 | 746,766 | ||||||||||
Medinah Park District, | ||||||||||||
4.250%, 01/01/2028 (Callable 01/01/2024) | 190,000 | 207,915 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
5.500%, 12/15/2023 (Insured by NATL) | 110,000 | 117,944 | ||||||||||
5.700%, 06/15/2025 (Pre-refunded to 06/15/2022)(Insured by NATL) (7) | 15,000 | 16,669 | ||||||||||
5.700%, 06/15/2025 (Callable 06/15/2022)(Insured by NATL) (7) | 50,000 | 53,786 | ||||||||||
0.000%, 06/15/2029 (Insured by NATL) | 1,700,000 | 1,259,224 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,010,000 | 1,061,510 | ||||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 1,500,000 | 1,753,575 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2021 (Insured by BAM) | 100,000 | 103,574 | ||||||||||
Ogle & Winnebago Counties Community Unit School District No. 223: | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 415,000 | 472,548 | ||||||||||
5.000%, 12/01/2024 (Insured by BAM) | 100,000 | 116,912 | ||||||||||
Peoria City School District No. 150, | ||||||||||||
5.000%, 01/01/2026 (Insured by BAM) | 330,000 | 397,960 | ||||||||||
Peoria County Community Unit School District No. 323, | ||||||||||||
4.250%, 04/01/2032 (Callable 04/01/2022) | 415,000 | 434,380 | ||||||||||
Richland County Community Unit School District No. 1: | ||||||||||||
5.000%, 12/01/2030 (Callable 12/01/2024)(Insured by AGM) | 155,000 | 181,945 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2024)(Insured by AGM) | 1,750,000 | 1,906,258 | ||||||||||
Shelby Christian Macon Counties Community School District No. 21, | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 155,000 | 168,876 | ||||||||||
St. Clair County Community Consolidated School District, | ||||||||||||
0.000%, 12/01/2021 | 200,000 | 197,240 | ||||||||||
St. Clair County Community Unit School District No. 187, | ||||||||||||
4.000%, 01/01/2028 (Insured by AGM) | 175,000 | 204,242 | ||||||||||
St. Clair County School District No. 118: | ||||||||||||
0.000%, 12/01/2020 (ETM)(Insured by NATL) | 115,000 | 114,805 | ||||||||||
0.000%, 12/01/2020 (Insured by NATL) | 170,000 | 169,412 | ||||||||||
State of Illinois: | ||||||||||||
5.000%, 08/01/2020 | 1,650,000 | 1,653,118 | ||||||||||
4.875%, 05/01/2021 | 1,000,000 | 1,018,460 | ||||||||||
5.000%, 01/01/2022 (Callable 07/31/2020) | 220,000 | 220,370 | ||||||||||
5.000%, 02/01/2024 | 460,000 | 489,192 | ||||||||||
5.000%, 04/01/2024 | 450,000 | 479,569 | ||||||||||
6.000%, 06/15/2024 (Insured by NATL) | 100,000 | 112,483 | ||||||||||
5.000%, 05/01/2027 (Callable 05/01/2024) | 650,000 | 685,679 | ||||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,528,620 | ||||||||||
5.250%, 07/01/2028 (Callable 07/01/2023) | 175,000 | 183,300 | ||||||||||
5.500%, 07/01/2033 (Callable 07/01/2023) | 410,000 | 429,926 | ||||||||||
4.000%, 06/15/2038 (Callable 06/15/2028)(Insured by BAM) | 2,500,000 | 2,561,600 | ||||||||||
Tazewell County School District No. 51, | ||||||||||||
9.000%, 12/01/2026 (Insured by NATL) | 1,060,000 | 1,562,928 | ||||||||||
University of Illinois, | ||||||||||||
5.000%, 10/01/2021 | 700,000 | 735,056 | ||||||||||
Upper Illinois River Valley Development Authority: | ||||||||||||
5.000%, 12/01/2023 | 600,000 | 678,432 | ||||||||||
5.000%, 12/01/2024 | 485,000 | 563,153 | ||||||||||
4.000%, 01/01/2031 (Callable 01/01/2027) (3) | 170,000 | 167,280 | ||||||||||
Village of Crestwood IL: | ||||||||||||
4.000%, 12/15/2021 (Insured by BAM) | 250,000 | 261,792 | ||||||||||
4.500%, 12/15/2026 (Callable 12/15/2022)(Insured by BAM) | 200,000 | 216,836 | ||||||||||
4.000%, 12/15/2027 (Callable 12/15/2025)(Insured by BAM) | 330,000 | 369,333 | ||||||||||
Village of Franklin Park IL: | ||||||||||||
5.000%, 04/01/2023 (Insured by BAM) | 460,000 | 509,289 | ||||||||||
4.000%, 07/01/2029 (Callable 07/01/2025)(Insured by AGM) | 450,000 | 507,825 | ||||||||||
Village of River Grove IL: | ||||||||||||
4.000%, 12/15/2027 (Callable 12/15/2026)(Insured by BAM) | 135,000 | 153,001 | ||||||||||
4.000%, 12/15/2028 (Callable 12/15/2026)(Insured by BAM) | 205,000 | 231,588 | ||||||||||
Village of Stone Park IL: | ||||||||||||
4.750%, 02/01/2029 (Callable 02/01/2023)(Insured by BAM) | 230,000 | 244,237 | ||||||||||
4.750%, 02/01/2031 (Callable 02/01/2023)(Insured by BAM) | 310,000 | 327,940 | ||||||||||
4.750%, 02/01/2032 (Callable 02/01/2023)(Insured by BAM) | 275,000 | 290,268 | ||||||||||
4.750%, 02/01/2033 (Callable 02/01/2023)(Insured by BAM) | 190,000 | 200,116 | ||||||||||
5.000%, 02/01/2035 (Callable 02/01/2029)(Insured by BAM) | 300,000 | 352,329 | ||||||||||
5.000%, 02/01/2036 (Callable 02/01/2029)(Insured by BAM) | 225,000 | 263,169 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2029)(Insured by BAM) | 185,000 | 201,618 | ||||||||||
4.000%, 02/01/2038 (Callable 02/01/2029)(Insured by BAM) | 150,000 | 162,984 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
0.000%, 01/01/2023 (Insured by AGM) | 140,000 | 134,827 | ||||||||||
0.000%, 01/01/2026 (Insured by AGM) | 265,000 | 238,367 | ||||||||||
0.000%, 01/01/2027 (Insured by BAM) | 1,120,000 | 977,883 | ||||||||||
0.000%, 01/01/2027 (Insured by AGM) | 115,000 | 100,408 | ||||||||||
0.000%, 01/01/2028 (Insured by BAM) | 1,140,000 | 967,974 | ||||||||||
0.000%, 01/01/2028 (Insured by AGM) | 180,000 | 152,838 | ||||||||||
0.000%, 01/01/2029 | 40,000 | 30,262 | ||||||||||
0.000%, 01/01/2033 (Insured by BAM) | 175,000 | 123,391 | ||||||||||
3.375%, 01/01/2033 (Callable 01/01/2023) | 80,000 | 80,361 | ||||||||||
4.000%, 01/01/2034 (Callable 01/01/2029)(Insured by AGM) | 400,000 | 439,404 | ||||||||||
Will County Community Unit School District No. 365, | ||||||||||||
0.000%, 11/01/2021 (Insured by AGM) | 505,000 | 501,627 | ||||||||||
Will County Township High School District No. 204: | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 143,869 | ||||||||||
6.250%, 01/01/2031 (Callable 01/01/2021) | 300,000 | 308,631 | ||||||||||
Total Illinois (Cost $76,868,918) | 80,768,572 | 13.4 | % |
Indiana | ||||||||||||
Bloomington Redevelopment District: | ||||||||||||
5.000%, 02/01/2025 | 325,000 | 380,624 | ||||||||||
5.000%, 08/01/2025 | 335,000 | 395,678 | ||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2022) | 250,000 | 262,860 | ||||||||||
City of Jeffersonville IN, | ||||||||||||
5.000%, 01/01/2030 (Callable 01/01/2028)(Insured by BAM) | 325,000 | 417,216 | ||||||||||
City of Lawrence IN, | ||||||||||||
5.000%, 01/01/2027 (Insured by BAM) | 385,000 | 478,370 | ||||||||||
East Allen Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2023)(Insured by ST AID) | 165,000 | 183,622 | ||||||||||
Evansville Park District: | ||||||||||||
5.000%, 08/15/2035 (Callable 02/15/2028)(Insured by BAM) | 150,000 | 188,164 | ||||||||||
5.000%, 08/15/2036 (Callable 02/15/2028)(Insured by BAM) | 1,335,000 | 1,666,494 | ||||||||||
Franklin Township Community School Corp., | ||||||||||||
5.000%, 01/15/2035 (Callable 01/15/2023)(Insured by ST AID) | 845,000 | 920,636 | ||||||||||
Hammond Local Public Improvement Bond Bank, | ||||||||||||
2.375%, 12/31/2020 | 1,000,000 | 1,006,260 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
4.500%, 07/15/2026 (Callable 01/15/2024)(Insured by ST AID) | 625,000 | 705,181 | ||||||||||
Hammond Sanitary District: | ||||||||||||
5.000%, 01/15/2022 (Insured by BAM) | 285,000 | 305,514 | ||||||||||
5.000%, 07/15/2026 (Insured by BAM) | 610,000 | 750,483 | ||||||||||
5.000%, 01/15/2028 (Callable 07/15/2027)(Insured by BAM) | 295,000 | 369,160 | ||||||||||
Indiana Bond Bank: | ||||||||||||
0.770%, 10/15/2022 (SIFMA Municipal Swap Index + 0.660%) (2) | 125,000 | 123,360 | ||||||||||
1.787%, 10/15/2022 (3 Month LIBOR USD + 0.970%) (2) | 510,000 | 507,011 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.000%, 10/01/2023 | 180,000 | 198,295 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 3,520,000 | 3,566,605 | ||||||||||
4.000%, 05/01/2035 (Callable 05/01/2023) | 290,000 | 303,244 | ||||||||||
3.750%, 10/01/2037 (Callable 10/01/2023) | 215,000 | 180,856 | ||||||||||
0.200%, 11/01/2037 (Optional Put Date 07/01/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
3.750%, 10/01/2042 (Callable 10/01/2023) | 140,000 | 111,367 | ||||||||||
5.500%, 08/15/2045 (Callable 08/15/2020) | 225,000 | 225,630 | ||||||||||
Indiana Health & Educational Facilities Financing Authority: | ||||||||||||
1.750%, 11/15/2031 (Pre-refunded to 11/02/2021) (1) | 10,000 | 10,176 | ||||||||||
1.750%, 11/15/2031 (Mandatory Tender Date 11/02/2021) (1) | 765,000 | 776,460 | ||||||||||
Indiana Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2032 (Callable 01/01/2025) | 1,000,000 | 1,168,010 | ||||||||||
Indiana University, | ||||||||||||
4.000%, 08/01/2035 (Callable 08/01/2027) | 80,000 | 92,938 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2025) | 500,000 | 588,325 | ||||||||||
IPS Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2026 (Callable 01/15/2025)(Insured by ST AID) | 925,000 | 1,098,539 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Insured by ST AID) | 1,000,000 | 1,321,390 | ||||||||||
Loogootee School Building Corp., | ||||||||||||
4.000%, 07/15/2026 (Insured by ST AID) | 135,000 | 157,699 | ||||||||||
Munster School Building Corp.: | ||||||||||||
5.000%, 07/15/2021 (Insured by ST AID) | 130,000 | 135,802 | ||||||||||
4.000%, 07/15/2024 (Insured by ST AID) | 170,000 | 190,618 | ||||||||||
North Montgomery High School Building Corp., | ||||||||||||
5.000%, 07/15/2033 (Callable 07/15/2026)(Insured by ST AID) | 165,000 | 200,137 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 01/15/2029 (Callable 07/15/2026)(Insured by ST AID) | 220,000 | 272,538 | ||||||||||
Taylor Community School Building Corp., | ||||||||||||
0.000%, 07/15/2029 (Callable 07/15/2025)(Insured by ST AID) | 360,000 | 290,992 | ||||||||||
Tipton County Jail Building Corp., | ||||||||||||
5.000%, 01/15/2027 (Insured by ST AID) | 245,000 | 304,702 | ||||||||||
Tri-Creek 2002 High School Building Corp., | ||||||||||||
4.000%, 07/15/2039 (Callable 07/15/2028)(Insured by ST AID) | 345,000 | 393,800 | ||||||||||
Westfield High School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 (Callable 01/15/2026)(Insured by ST AID) | 250,000 | 304,732 | ||||||||||
5.000%, 01/15/2030 (Callable 01/15/2026)(Insured by ST AID) | 300,000 | 364,521 | ||||||||||
5.000%, 07/15/2031 (Callable 01/15/2026)(Insured by ST AID) | 150,000 | 181,514 | ||||||||||
Total Indiana (Cost $21,214,921) | 22,099,523 | 3.7 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 05/01/2022 | 100,000 | 101,621 | ||||||||||
City of Greenfield IA, | ||||||||||||
4.000%, 09/01/2036 (Callable 09/01/2026)(Insured by AGM) | 200,000 | 232,192 | ||||||||||
County of Carroll IA, | ||||||||||||
5.000%, 06/01/2035 (Callable 06/01/2027) | 645,000 | 788,583 | ||||||||||
Iowa Finance Authority: | ||||||||||||
4.000%, 07/01/2047 (Callable 07/01/2028)(Insured by GNMA) | 1,965,000 | 2,206,106 | ||||||||||
2.875%, 05/15/2049 (Callable 11/15/2020) | 450,000 | 436,437 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
3.750%, 05/19/2021 | 2,000,000 | 2,023,060 | ||||||||||
Total Iowa (Cost $5,667,013) | 5,787,999 | 0.9 | % | |||||||||
Kansas | ||||||||||||
City of Derby KS, | ||||||||||||
3.900%, 03/01/2037 (Callable 03/01/2025) | 525,000 | 498,792 | ||||||||||
City of Hutchinson KS: | ||||||||||||
4.000%, 12/01/2020 | 330,000 | 332,687 | ||||||||||
4.000%, 12/01/2021 | 360,000 | 368,431 | ||||||||||
5.000%, 12/01/2022 | 140,000 | 148,586 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | 415,000 | 419,934 | ||||||||||
Kansas Independent College Finance Authority, | ||||||||||||
5.000%, 05/01/2021 | 1,600,000 | 1,629,264 | ||||||||||
Total Kansas (Cost $3,372,029) | 3,397,694 | 0.6 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
0.000%, 10/01/2025 (Insured by NATL) | 420,000 | 375,917 | ||||||||||
0.000%, 10/01/2026 (Insured by NATL) | 475,000 | 411,022 | ||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 350,000 | 293,338 | ||||||||||
0.000%, 10/01/2028 (Insured by NATL) | 250,000 | 202,953 | ||||||||||
Kentucky Public Energy Authority: | ||||||||||||
4.000%, 01/01/2049 (Callable 10/01/2024)(Mandatory Tender Date 01/01/2025) (1) | 500,000 | 550,720 | ||||||||||
1.415%, 12/01/2049 (1 Month LIBOR USD + 1.300%) (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (2) | 2,000,000 | 1,979,200 | ||||||||||
4.000%, 12/01/2049 (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (1) | 2,865,000 | 3,217,195 | ||||||||||
Paducah Electric Plant Board, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026)(Insured by AGM) | 1,000,000 | 1,196,410 | ||||||||||
Total Kentucky (Cost $7,579,346) | 8,226,755 | 1.4 | % | |||||||||
Louisiana | ||||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023 (Insured by BAM) | 350,000 | 390,320 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
4.500%, 12/01/2047 (Callable 12/01/2027) | 195,000 | 216,347 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.000%, 10/01/2023 (Insured by BAM) | 200,000 | 223,894 | ||||||||||
5.000%, 10/01/2024 (Insured by BAM) | 100,000 | 114,831 | ||||||||||
Louisiana Stadium & Exposition District, | ||||||||||||
5.000%, 07/03/2023 (Callable 01/01/2023) | 1,000,000 | 1,066,810 | ||||||||||
St. Tammany Parish Wide School District No. 12: | ||||||||||||
4.000%, 03/01/2035 (Callable 03/01/2027) | 100,000 | 115,024 | ||||||||||
4.000%, 03/01/2036 (Callable 03/01/2027) | 115,000 | 131,830 | ||||||||||
Terrebonne Parish Consolidated Government, | ||||||||||||
0.000%, 04/01/2034 (Insured by AGM) | 715,000 | 526,090 | ||||||||||
Total Louisiana (Cost $2,615,607) | 2,785,146 | 0.5 | % | |||||||||
Maine | ||||||||||||
Maine Health & Higher Educational Facilities Authority, | ||||||||||||
4.000%, 07/01/2037 (Callable 07/01/2029) | 230,000 | 264,801 | ||||||||||
Maine State Housing Authority: | ||||||||||||
4.250%, 11/15/2040 (Callable 11/15/2024) | 500,000 | 536,700 | ||||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 140,000 | 146,685 | ||||||||||
4.000%, 11/15/2045 (Callable 11/15/2025) | 315,000 | 333,049 | ||||||||||
3.500%, 11/15/2046 (Callable 11/15/2025) | 30,000 | 31,283 | ||||||||||
3.500%, 11/15/2047 (Callable 11/15/2026) | 755,000 | 803,426 | ||||||||||
4.000%, 11/15/2049 (Callable 05/15/2028) | 490,000 | 537,452 | ||||||||||
4.000%, 11/15/2050 (Callable 05/15/2029) | 1,010,000 | 1,130,685 | ||||||||||
Total Maine (Cost $3,692,024) | 3,784,081 | 0.6 | % | |||||||||
Maryland | ||||||||||||
County of Baltimore MD: | ||||||||||||
3.000%, 09/01/2027 (Callable 09/01/2022) | 1,000,000 | 1,037,500 | ||||||||||
3.000%, 09/01/2029 (Callable 09/01/2022) | 1,150,000 | 1,190,146 | ||||||||||
Maryland Community Development Administration, | ||||||||||||
3.500%, 03/01/2050 (Callable 03/01/2029) | 605,000 | 658,192 | ||||||||||
Total Maryland (Cost $2,845,007) | 2,885,838 | 0.5 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 09/01/2035 (Callable 09/01/2020) | 300,000 | 302,331 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2028 (Callable 06/01/2023) | 1,000,000 | 1,070,860 | ||||||||||
4.500%, 12/01/2048 (Callable 12/01/2027) | 1,895,000 | 2,103,602 | ||||||||||
4.000%, 06/01/2049 (Callable 12/01/2028) | 980,000 | 1,079,068 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021 (Callable 07/31/2020)(Insured by AGC) | 700,000 | 702,086 | ||||||||||
University of Massachusetts Building Authority: | ||||||||||||
5.000%, 11/01/2039 (Pre-refunded to 11/01/2024) | 55,000 | 65,982 | ||||||||||
5.000%, 11/01/2039 (Callable 11/01/2024) | 270,000 | 309,849 | ||||||||||
Total Massachusetts (Cost $5,452,440) | 5,633,778 | 0.9 | % | |||||||||
Michigan | ||||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2039 (Pre-refunded to 07/01/2022)(Insured by AGM) | 185,000 | 202,146 | ||||||||||
5.250%, 07/01/2041 (Pre-refunded to 07/01/2021) | 50,000 | 52,483 | ||||||||||
City of Monroe MI, | ||||||||||||
4.000%, 05/01/2031 (Callable 05/01/2024) | 150,000 | 164,184 | ||||||||||
City of Wyandotte MI, | ||||||||||||
5.000%, 10/01/2023 (Insured by BAM) | 25,000 | 28,303 | ||||||||||
Detroit Michigan School District, | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2022)(Insured by Q-SBLF) | 1,000,000 | 1,063,300 | ||||||||||
Eastern Michigan University, | ||||||||||||
4.000%, 03/01/2034 (Callable 03/01/2027)(Insured by BAM) | 985,000 | 1,101,358 | ||||||||||
Flint Hospital Building Authority, | ||||||||||||
7.375%, 07/01/2035 (Callable 07/01/2020) | 180,000 | 180,000 | ||||||||||
Flushing Community Schools, | ||||||||||||
4.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 220,000 | 266,226 | ||||||||||
Michigan Finance Authority: | ||||||||||||
5.000%, 12/01/2021 | 265,000 | 273,544 | ||||||||||
4.000%, 10/01/2024 | 650,000 | 679,380 | ||||||||||
5.000%, 09/01/2029 | 400,000 | 493,340 | ||||||||||
5.000%, 09/01/2030 (Callable 03/01/2030) | 440,000 | 544,205 | ||||||||||
5.000%, 07/01/2034 (Callable 07/01/2025) | 250,000 | 288,287 | ||||||||||
5.000%, 07/01/2036 (Callable 07/01/2024)(Insured by NATL) | 500,000 | 567,705 | ||||||||||
5.000%, 07/01/2044 (Callable 07/01/2024) | 100,000 | 105,305 | ||||||||||
4.000%, 09/01/2045 (Callable 03/01/2030) | 925,000 | 997,964 | ||||||||||
4.000%, 09/01/2050 (Callable 03/01/2030) | 1,000,000 | 1,074,300 | ||||||||||
Michigan State Housing Development Authority: | ||||||||||||
4.250%, 12/01/2049 (Callable 06/01/2028) | 1,910,000 | 2,122,449 | ||||||||||
3.500%, 12/01/2050 (Callable 06/01/2029) | 2,000,000 | 2,196,140 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2033 (Callable 05/01/2026)(Insured by Q-SBLF) | 750,000 | 890,115 | ||||||||||
Romeo Community School District, | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2026)(Insured by Q-SBLF) | 1,000,000 | 1,231,220 | ||||||||||
Roseville Community Schools, | ||||||||||||
5.000%, 05/01/2026 (Insured by Q-SBLF) | 400,000 | 495,564 | ||||||||||
Swartz Creek Community Schools, | ||||||||||||
5.000%, 05/01/2039 (Callable 05/01/2029)(Insured by Q-SBLF) | 815,000 | 1,021,586 | ||||||||||
Trenton Public Schools School District: | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028)(Insured by Q-SBLF) | 135,000 | 175,780 | ||||||||||
5.000%, 05/01/2030 (Callable 05/01/2028)(Insured by Q-SBLF) | 300,000 | 388,566 | ||||||||||
Warren Consolidated Schools, | ||||||||||||
5.000%, 05/01/2025 (Insured by BAM) | 300,000 | 365,682 | ||||||||||
Wayne County Airport Authority: | ||||||||||||
5.000%, 12/01/2026 | 185,000 | 224,923 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2027) | 375,000 | 453,668 | ||||||||||
Wayne-Westland Community Schools, | ||||||||||||
4.000%, 11/01/2038 (Callable 05/01/2029)(Insured by Q-SBLF) | 500,000 | 573,425 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2029 (Callable 05/15/2025) | 250,000 | 297,530 | ||||||||||
Total Michigan (Cost $17,772,674) | 18,518,678 | 3.1 | % | |||||||||
Minnesota | ||||||||||||
City of Maple Grove MN: | ||||||||||||
5.000%, 05/01/2027 | 200,000 | 236,770 | ||||||||||
5.000%, 05/01/2031 (Callable 05/01/2027) | 520,000 | 606,024 | ||||||||||
Maple River Independent School District No. 2135: | ||||||||||||
4.000%, 02/01/2037 (Callable 02/01/2030)(Insured by SD CRED PROG) | 970,000 | 1,160,401 | ||||||||||
4.000%, 02/01/2038 (Callable 02/01/2030)(Insured by SD CRED PROG) | 700,000 | 834,603 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.375%, 07/01/2026 (Callable 07/01/2021)(Insured by GNMA) | 120,000 | 123,403 | ||||||||||
3.300%, 07/01/2029 (Callable 07/01/2025) | 435,000 | 477,769 | ||||||||||
3.600%, 07/01/2033 (Callable 01/01/2023)(Insured by GNMA) | 655,000 | 682,248 | ||||||||||
4.000%, 01/01/2038 (Callable 01/01/2024) | 635,000 | 676,980 | ||||||||||
3.800%, 07/01/2038 (Callable 01/01/2023)(Insured by GNMA) | 205,000 | 213,071 | ||||||||||
4.000%, 01/01/2047 (Callable 01/01/2026)(Insured by GNMA) | 600,000 | 640,224 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 02/01/2027 | 200,000 | 238,032 | ||||||||||
4.000%, 02/01/2028 (Callable 02/01/2027) | 350,000 | 412,611 | ||||||||||
4.000%, 02/01/2037 (Callable 02/01/2027) | 250,000 | 282,098 | ||||||||||
Western Minnesota Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2046 (Pre-refunded to 01/01/2024) | 480,000 | 556,603 | ||||||||||
Total Minnesota (Cost $6,861,204) | 7,140,837 | 1.2 | % | |||||||||
Mississippi | ||||||||||||
Biloxi Public School District, | ||||||||||||
5.000%, 04/01/2026 (Insured by BAM) | 500,000 | 609,315 | ||||||||||
City of Gulfport MS, | ||||||||||||
5.000%, 07/01/2027 (Callable 07/01/2026) | 500,000 | 565,055 | ||||||||||
Copiah-Lincoln Community College District, | ||||||||||||
2.500%, 09/01/2021 (Insured by MAC) | 175,000 | 178,768 | ||||||||||
Medical Center Educational Building Corp., | ||||||||||||
5.000%, 06/01/2042 (Callable 06/01/2027) | 500,000 | 596,790 | ||||||||||
Mississippi Development Bank, | ||||||||||||
5.250%, 03/01/2034 (Callable 03/01/2028) | 490,000 | 613,637 | ||||||||||
State of Mississippi: | ||||||||||||
5.000%, 10/15/2028 (Callable 10/15/2025) | 1,175,000 | 1,353,717 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2027) | 215,000 | 271,115 | ||||||||||
5.000%, 10/15/2034 (Callable 10/15/2025) | 1,000,000 | 1,123,000 | ||||||||||
West Rankin Utility Authority: | ||||||||||||
5.000%, 01/01/2028 (Callable 01/01/2025)(Insured by AGM) | 110,000 | 128,490 | ||||||||||
5.000%, 01/01/2029 (Callable 01/01/2025)(Insured by AGM) | 275,000 | 320,480 | ||||||||||
5.000%, 01/01/2030 (Callable 01/01/2025)(Insured by AGM) | 590,000 | 685,509 | ||||||||||
Total Mississippi (Cost $6,047,877) | 6,445,876 | 1.1 | % | |||||||||
Missouri | ||||||||||||
Center School District No. 58: | ||||||||||||
4.000%, 04/15/2030 (Callable 04/15/2027) | 210,000 | 241,735 | ||||||||||
4.000%, 04/15/2031 (Callable 04/15/2027) | 220,000 | 251,702 | ||||||||||
City of Dardenne Prairie MO, | ||||||||||||
4.000%, 08/01/2028 | 945,000 | 1,046,616 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||||||
5.000%, 02/01/2025 (Callable 02/01/2024) | 45,000 | 47,391 | ||||||||||
5.000%, 09/01/2025 | 365,000 | 421,484 | ||||||||||
5.000%, 09/01/2026 | 410,000 | 480,664 | ||||||||||
5.000%, 09/01/2027 | 280,000 | 334,398 | ||||||||||
5.000%, 06/01/2031 (Callable 06/01/2024) | 50,000 | 56,122 | ||||||||||
5.000%, 02/01/2035 (Callable 02/01/2024) | 200,000 | 205,864 | ||||||||||
5.250%, 10/01/2041 (Pre-refunded to 10/01/2021) | 100,000 | 106,209 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
4.750%, 11/15/2047 (Callable 11/15/2026) | 500,000 | 424,750 | ||||||||||
Jackson County School District No. R-IV, | ||||||||||||
6.000%, 03/01/2038 (Callable 03/01/2029)(Insured by ST AID) | 1,005,000 | 1,386,016 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.700%, 11/01/2035 (Callable 05/01/2025)(Insured by GNMA) | 110,000 | 118,298 | ||||||||||
3.950%, 11/01/2040 (Callable 05/01/2025)(Insured by GNMA) | 605,000 | 625,667 | ||||||||||
Missouri Southern State University: | ||||||||||||
5.000%, 10/01/2028 (Insured by AGM) | 100,000 | 122,411 | ||||||||||
5.000%, 10/01/2029 (Insured by AGM) | 105,000 | 130,431 | ||||||||||
5.000%, 10/01/2030 (Callable 10/01/2029)(Insured by AGM) | 135,000 | 166,659 | ||||||||||
5.000%, 10/01/2031 (Callable 10/01/2029)(Insured by AGM) | 145,000 | 177,834 | ||||||||||
5.000%, 10/01/2032 (Callable 10/01/2029)(Insured by AGM) | 155,000 | 188,737 | ||||||||||
4.000%, 10/01/2033 (Callable 10/01/2029)(Insured by AGM) | 110,000 | 123,681 | ||||||||||
4.000%, 10/01/2034 (Callable 10/01/2029)(Insured by AGM) | 115,000 | 128,873 | ||||||||||
4.000%, 10/01/2035 (Callable 10/01/2029)(Insured by AGM) | 125,000 | 139,446 | ||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029)(Insured by AGM) | 150,000 | 166,641 | ||||||||||
4.000%, 10/01/2038 (Callable 10/01/2029)(Insured by AGM) | 140,000 | 154,550 | ||||||||||
4.000%, 10/01/2039 (Callable 10/01/2029)(Insured by AGM) | 110,000 | 121,095 | ||||||||||
Missouri State Board of Public Buildings, | ||||||||||||
3.000%, 10/01/2026 (Callable 10/01/2020) | 300,000 | 301,671 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029 (Callable 06/01/2026) | 295,000 | 316,697 | ||||||||||
Public Water Supply District No. 1, | ||||||||||||
4.000%, 07/01/2029 (Callable 07/01/2026) | 145,000 | 167,124 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority, | ||||||||||||
5.000%, 10/01/2035 (Callable 10/01/2029) (7) | 400,000 | 351,720 | ||||||||||
Total Missouri (Cost $8,313,423) | 8,504,486 | 1.4 | % |
Montana | ||||||||||||
Montana Board of Housing: | ||||||||||||
3.600%, 12/01/2030 (Callable 06/01/2022) | 375,000 | 388,054 | ||||||||||
3.750%, 12/01/2038 (Callable 12/01/2027)(Insured by FHA) | 480,000 | 525,921 | ||||||||||
Yellowstone County School District No. 8, | ||||||||||||
5.000%, 07/01/2027 | 225,000 | 286,025 | ||||||||||
Total Montana (Cost $1,115,040) | 1,200,000 | 0.2 | % | |||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2027 (Callable 09/01/2022) | 340,000 | 363,732 | ||||||||||
5.000%, 09/01/2042 (Callable 09/01/2022) | 585,000 | 625,833 | ||||||||||
5.000%, 03/01/2050 (Callable 10/01/2023)(Mandatory Tender Date 01/01/2024) (1) | 550,000 | 617,776 | ||||||||||
Colfax County School District No. 123, | ||||||||||||
4.000%, 12/15/2030 (Callable 05/22/2024) | 225,000 | 250,846 | ||||||||||
Lincoln County Hospital Authority No. 1, | ||||||||||||
4.000%, 11/01/2037 (Pre-refunded to 11/01/2021) | 150,000 | 157,035 | ||||||||||
Nebraska Investment Finance Authority: | ||||||||||||
3.500%, 09/01/2036 (Callable 03/01/2025) | 395,000 | 415,374 | ||||||||||
3.500%, 09/01/2046 (Callable 03/01/2025) | 120,000 | 126,786 | ||||||||||
Papio-Missouri River Natural Resource District: | ||||||||||||
4.000%, 12/15/2027 (Pre-refunded to 06/15/2022) | 150,000 | 160,858 | ||||||||||
4.000%, 12/15/2028 (Pre-refunded to 06/15/2022) | 210,000 | 225,202 | ||||||||||
Scotts Bluff County School District No. 16: | ||||||||||||
5.000%, 12/01/2033 (Pre-refunded to 05/30/2022) | 430,000 | 468,223 | ||||||||||
5.000%, 12/01/2034 (Pre-refunded to 05/30/2022) | 300,000 | 326,667 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 1,675,000 | 1,903,403 | ||||||||||
Total Nebraska (Cost $5,282,632) | 5,641,735 | 0.9 | % | |||||||||
Nevada | ||||||||||||
City of Carson City NV, | ||||||||||||
5.000%, 09/01/2033 (Callable 09/01/2027) | 250,000 | 289,282 | ||||||||||
City of Las Vegas NV Special Improvement District No. 815: | ||||||||||||
4.000%, 12/01/2020 (6) | 75,000 | 75,605 | ||||||||||
4.000%, 12/01/2021 (6) | 100,000 | 102,624 | ||||||||||
3.000%, 12/01/2022 (6) | 100,000 | 101,784 | ||||||||||
Clark County School District, | ||||||||||||
5.000%, 06/15/2032 (Callable 06/15/2027)(Insured by BAM) | 450,000 | 548,618 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029 (Callable 10/01/2021)(Insured by GNMA) | 435,000 | 450,647 | ||||||||||
4.000%, 04/01/2049 (Callable 10/01/2028)(Insured by GNMA) | 1,960,000 | 2,163,350 | ||||||||||
State of Nevada, | ||||||||||||
5.000%, 06/01/2033 (Callable 12/01/2023) | 300,000 | 338,679 | ||||||||||
Washoe County School District, | ||||||||||||
5.000%, 05/01/2030 (Callable 05/01/2027) | 525,000 | 647,273 | ||||||||||
Total Nevada (Cost $4,543,222) | 4,717,862 | 0.8 | % | |||||||||
New Jersey | ||||||||||||
Atlantic City Board of Education, | ||||||||||||
3.400%, 08/15/2027 (3) | 3,293,000 | 3,629,084 | ||||||||||
City of Atlantic City NJ, | ||||||||||||
5.000%, 03/01/2021 (Insured by BAM) | 100,000 | 102,815 | ||||||||||
City of Trenton NJ, | ||||||||||||
4.000%, 07/15/2023 (Insured by AGM) | 400,000 | 440,636 | ||||||||||
City of Union City NJ, | ||||||||||||
5.000%, 11/01/2023 (Insured by ST AID) | 440,000 | 487,696 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2020 | 100,000 | 100,149 | ||||||||||
4.000%, 06/15/2022 | 775,000 | 800,312 | ||||||||||
5.000%, 06/15/2023 (Insured by BAM) | 295,000 | 320,641 | ||||||||||
5.000%, 03/01/2024 (Callable 03/01/2023) | 150,000 | 160,019 | ||||||||||
4.000%, 11/01/2027 | 1,100,000 | 1,180,751 | ||||||||||
3.125%, 07/01/2029 (Callable 07/01/2027) | 145,000 | 144,350 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
5.000%, 07/01/2025 (Insured by AGM) | 150,000 | 170,457 | ||||||||||
4.500%, 11/15/2025 (Pre-refunded to 11/15/2020) | 150,000 | 152,323 | ||||||||||
4.000%, 07/01/2026 (Callable 07/01/2022) | 1,000,000 | 1,051,060 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2025)(Insured by AGM) | 175,000 | 197,778 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
2.375%, 12/01/2029 (Callable 06/01/2028) | 1,525,000 | 1,502,171 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
1.500%, 09/01/2022 (Mandatory Tender Date 09/01/2021) (1) | 575,000 | 580,376 | ||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,395,000 | 1,557,392 | ||||||||||
4.750%, 10/01/2050 (Callable 04/01/2028) | 465,000 | 524,404 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
0.000%, 12/15/2024 (Insured by BHAC) | 605,000 | 564,780 | ||||||||||
5.000%, 12/15/2028 | 660,000 | 767,824 | ||||||||||
5.000%, 06/15/2029 (Callable 06/15/2026) | 775,000 | 866,047 | ||||||||||
4.000%, 12/15/2037 (Callable 12/15/2028)(Insured by BAM) | 500,000 | 553,355 | ||||||||||
5.000%, 06/15/2042 (Callable 06/15/2022) | 225,000 | 230,760 | ||||||||||
New Jersey Turnpike Authority: | ||||||||||||
5.000%, 01/01/2029 (Callable 01/01/2028) | 50,000 | 62,605 | ||||||||||
0.870%, 01/01/2030 (1 Month LIBOR USD + 0.750%) (Callable 07/01/2022)(Mandatory Tender Date 01/01/2023) (2) | 850,000 | 846,081 | ||||||||||
Newark Housing Authority, | ||||||||||||
5.000%, 01/01/2032 (Insured by NATL) | 495,000 | 570,849 | ||||||||||
Passaic Valley Sewerage Commission, | ||||||||||||
5.750%, 12/01/2022 | 550,000 | 617,072 | ||||||||||
Total New Jersey (Cost $17,767,779) | 18,181,787 | 3.0 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 400,000 | 413,064 | ||||||||||
New Mexico Institute of Mining & Technology: | ||||||||||||
4.000%, 12/01/2028 (Insured by AGM) | 300,000 | 351,441 | ||||||||||
4.000%, 12/01/2029 (Insured by AGM) | 335,000 | 390,389 | ||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
3.500%, 09/01/2041 (Callable 03/01/2026) | 885,000 | 933,011 | ||||||||||
Total New Mexico (Cost $2,077,462) | 2,087,905 | 0.3 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 755,000 | 668,401 | ||||||||||
BluePath TE Trust, | ||||||||||||
2.750%, 09/01/2026 (Callable 08/27/2021) (3) | 851,905 | 877,458 | ||||||||||
City of New York NY: | ||||||||||||
5.250%, 07/01/2029 (Callable 07/01/2023) | 250,000 | 281,188 | ||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,153,640 | ||||||||||
County of Suffolk NY, | ||||||||||||
5.000%, 05/01/2022 | 990,000 | 1,031,273 | ||||||||||
Geneva Development Corp., | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2023) | 185,000 | 200,288 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
5.000%, 09/01/2021 | 350,000 | 359,751 | ||||||||||
4.000%, 02/01/2022 | 800,000 | 819,904 | ||||||||||
5.000%, 05/15/2022 | 280,000 | 292,379 | ||||||||||
5.000%, 09/01/2022 | 1,750,000 | 1,838,900 | ||||||||||
5.000%, 11/15/2038 (Callable 11/15/2023) | 500,000 | 530,980 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 08/01/2031 (Callable 08/01/2028) | 50,000 | 63,643 | ||||||||||
5.000%, 08/01/2034 (Callable 08/01/2026) | 650,000 | 784,017 | ||||||||||
5.000%, 08/01/2038 (Callable 08/01/2028) | 1,295,000 | 1,602,614 | ||||||||||
5.000%, 08/01/2039 (Callable 08/01/2024) | 105,000 | 120,186 | ||||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2036 (Callable 06/15/2024) | 1,000,000 | 1,153,640 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.600%, 11/01/2024 (Callable 12/01/2021) | 2,000,000 | 2,015,140 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
5.000%, 09/01/2031 (Callable 09/01/2024) | 270,000 | 309,612 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043 (Callable 04/01/2023) | 205,000 | 214,824 | ||||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 02/01/2022 | 1,775,000 | 1,808,938 | ||||||||||
Utility Debt Securitization Authority, | ||||||||||||
5.000%, 12/15/2033 (Callable 12/15/2025) | 1,175,000 | 1,414,759 | ||||||||||
Total New York (Cost $16,851,162) | 17,541,535 | 2.9 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 (Insured by AGC) | 150,000 | 159,456 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2047 (Callable 01/01/2027) | 620,000 | 670,034 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.000%, 06/01/2025 (Pre-refunded to 06/01/2022) | 385,000 | 418,884 | ||||||||||
North Carolina Turnpike Authority, | ||||||||||||
4.000%, 01/01/2041 (Callable 01/01/2029)(Insured by AGM) | 1,000,000 | 1,097,160 | ||||||||||
Total North Carolina (Cost $2,198,839) | 2,345,534 | 0.4 | % | |||||||||
North Dakota | ||||||||||||
City of Dickinson ND, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 825,000 | 847,729 | ||||||||||
City of Horace ND, | ||||||||||||
2.500%, 08/01/2021 (Callable 08/01/2020) | 2,000,000 | 2,002,820 | ||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041 (Callable 07/31/2020) | 875,000 | 884,730 | ||||||||||
City of Williston ND: | ||||||||||||
4.250%, 07/15/2025 (Callable 07/15/2022) | 1,750,000 | 1,850,187 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2023) | 480,000 | 532,210 | ||||||||||
County of Burleigh ND: | ||||||||||||
4.000%, 11/01/2021 | 525,000 | 545,832 | ||||||||||
4.000%, 11/01/2029 (Callable 11/01/2022)(Insured by AGM) | 850,000 | 905,326 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035 (Callable 07/16/2020) | 1,300,000 | 1,308,814 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.350%, 07/01/2031 (Callable 01/01/2027) | 925,000 | 1,015,141 | ||||||||||
3.000%, 07/01/2034 (Callable 07/01/2028) | 100,000 | 107,943 | ||||||||||
3.500%, 07/01/2046 (Callable 01/01/2026) | 325,000 | 346,967 | ||||||||||
4.000%, 01/01/2050 (Callable 07/01/2028) | 1,000,000 | 1,123,580 | ||||||||||
State Board of Higher Education of the State of North Dakota: | ||||||||||||
5.000%, 04/01/2027 (Insured by AGM) | 205,000 | 258,526 | ||||||||||
5.000%, 04/01/2028 (Insured by AGM) | 100,000 | 129,352 | ||||||||||
Total North Dakota (Cost $11,516,439) | 11,859,157 | 2.0 | % | |||||||||
Ohio | ||||||||||||
American Municipal Power, Inc., | ||||||||||||
2.250%, 08/13/2020 | 500,000 | 501,135 | ||||||||||
City of Akron OH, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2026) | 125,000 | 143,611 | ||||||||||
Clermont County Port Authority, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 310,000 | 356,264 | ||||||||||
Columbus-Franklin County Finance Authority: | ||||||||||||
3.820%, 11/15/2036 (Callable 11/15/2021) | 470,000 | 477,369 | ||||||||||
4.000%, 11/15/2038 (Callable 05/15/2022) | 335,000 | 342,722 | ||||||||||
County of Franklin OH, | ||||||||||||
0.540%, 05/15/2050 (SIFMA Municipal Swap Index + 0.430%) (Callable 05/15/2021)(Mandatory Tender Date 11/15/2021) (2) | 1,000,000 | 998,060 | ||||||||||
County of Hamilton OH, | ||||||||||||
0.000%, 12/01/2027 (Insured by AMBAC) | 75,000 | 65,430 | ||||||||||
County of Licking OH, | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2021) | 250,000 | 260,880 | ||||||||||
County of Lorain OH: | ||||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023) | 180,000 | 196,459 | ||||||||||
5.000%, 12/01/2031 (Callable 12/01/2023) | 480,000 | 542,746 | ||||||||||
Euclid City School District, | ||||||||||||
4.000%, 12/01/2037 (Callable 06/01/2027)(Insured by BAM) | 160,000 | 178,390 | ||||||||||
Little Miami Local School District, | ||||||||||||
5.000%, 11/01/2036 (Callable 11/01/2025)(Insured by SD CRED PROG) | 1,845,000 | 2,213,852 | ||||||||||
New Riegel Local School District, | ||||||||||||
4.000%, 12/01/2033 (Callable 12/01/2020)(Insured by BAM) | 215,000 | 217,554 | ||||||||||
Ohio Air Quality Development Authority, | ||||||||||||
2.400%, 12/01/2038 (Callable 10/01/2024)(Mandatory Tender Date 10/01/2029) (1) | 500,000 | 507,550 | ||||||||||
Ohio Higher Educational Facility Commission: | ||||||||||||
5.000%, 03/01/2025 | 690,000 | 739,777 | ||||||||||
5.000%, 05/01/2026 | 200,000 | 232,286 | ||||||||||
5.000%, 05/01/2027 (Callable 05/01/2026) | 610,000 | 705,264 | ||||||||||
5.000%, 05/01/2028 (Callable 05/01/2026) | 475,000 | 547,684 | ||||||||||
0.190%, 01/01/2043 (Optional Put Date 07/01/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.200%, 09/01/2036 (Callable 09/01/2025)(Insured by GNMA) | 1,005,000 | 1,064,074 | ||||||||||
4.000%, 03/01/2047 (Callable 09/01/2025)(Insured by GNMA) | 230,000 | 245,776 | ||||||||||
Ohio Turnpike & Infrastructure Commission: | ||||||||||||
0.000%, 02/15/2034 (Callable 02/15/2031) (7) | 1,750,000 | 2,111,480 | ||||||||||
0.000%, 02/15/2036 (Callable 02/15/2031) (7) | 335,000 | 402,506 | ||||||||||
Port of Greater Cincinnati Development Authority: | ||||||||||||
5.000%, 04/01/2028 (6) | 230,000 | 275,441 | ||||||||||
5.000%, 04/01/2030 (6) | 230,000 | 280,400 | ||||||||||
Spencerville Local School District, | ||||||||||||
0.000%, 12/01/2020 (Insured by AMBAC) | 270,000 | 268,920 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 11/15/2028 (Callable 05/15/2023) | 225,000 | 252,857 | ||||||||||
0.200%, 01/15/2046 (Optional Put Date 07/01/2020) (1) | 1,000,000 | 1,000,000 | ||||||||||
Streetsboro City School District, | ||||||||||||
4.500%, 12/01/2044 (Callable 12/01/2026) | 725,000 | 843,806 | ||||||||||
Village of Bratenahl OH, | ||||||||||||
2.500%, 08/13/2020 | 750,000 | 751,808 | ||||||||||
Warren City School District: | ||||||||||||
4.000%, 12/01/2030 (Callable 12/01/2026)(Insured by SD CRED PROG) | 1,215,000 | 1,413,106 | ||||||||||
4.000%, 12/01/2031 (Callable 12/01/2026)(Insured by SD CRED PROG) | 695,000 | 800,988 | ||||||||||
4.000%, 12/01/2036 (Callable 12/01/2026)(Insured by SD CRED PROG) | 460,000 | 518,162 | ||||||||||
Warrensville Heights City School District: | ||||||||||||
4.000%, 11/01/2035 (Callable 11/01/2024)(Insured by BAM) | 200,000 | 217,714 | ||||||||||
4.000%, 11/01/2037 (Callable 11/01/2024)(Insured by BAM) | 500,000 | 542,025 | ||||||||||
Total Ohio (Cost $20,286,015) | 21,216,096 | 3.5 | % | |||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028 (Callable 10/01/2026) | 275,000 | 262,493 | ||||||||||
Kingfisher County Educational Facilities Authority, | ||||||||||||
3.000%, 03/01/2022 | 165,000 | 171,770 | ||||||||||
Oklahoma Development Finance Authority: | ||||||||||||
3.000%, 08/01/2020 | 490,000 | 490,377 | ||||||||||
2.600%, 03/01/2024 | 425,000 | 418,991 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
3.300%, 03/01/2031 (Callable 03/01/2022)(Insured by GNMA) | 285,000 | 286,650 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 10/01/2028 (Callable 10/01/2024) | 180,000 | 213,212 | ||||||||||
Total Oklahoma (Cost $1,843,915) | 1,843,493 | 0.3 | % |
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
5.000%, 06/15/2040 (Callable 06/15/2027) (7) | 475,000 | 575,980 | ||||||||||
Clackamas County School District No. 12, | ||||||||||||
5.000%, 06/15/2037 (Callable 06/15/2027)(Insured by SCH BD GTY) | 25,000 | 30,886 | ||||||||||
Clatsop County School District No. 30, | ||||||||||||
0.000%, 06/15/2038 (Callable 06/15/2029)(Insured by SCH BD GTY) | 425,000 | 236,551 | ||||||||||
Multnomah & Clackamas Counties School District No. 10JT, | ||||||||||||
0.000%, 06/15/2031 (Callable 06/15/2029)(Insured by SCH BD GTY) | 100,000 | 80,590 | ||||||||||
Oregon State Facilities Authority: | ||||||||||||
5.000%, 10/01/2024 (6) | 200,000 | 228,858 | ||||||||||
5.000%, 10/01/2026 (6) | 100,000 | 119,312 | ||||||||||
5.000%, 10/01/2027 (6) | 150,000 | 181,940 | ||||||||||
Salem Hospital Facility Authority: | ||||||||||||
5.000%, 05/15/2033 (Callable 05/15/2026) | 105,000 | 110,791 | ||||||||||
5.000%, 05/15/2035 (Callable 05/15/2026) | 500,000 | 584,940 | ||||||||||
State of Oregon Department of Transportation, | ||||||||||||
5.000%, 11/15/2038 (Pre-refunded to 11/15/2023) | 300,000 | 344,832 | ||||||||||
Umatilla County School District No. 6R: | ||||||||||||
0.000%, 06/15/2028 (Callable 06/15/2027)(Insured by SCH BD GTY) (7) | 100,000 | 110,625 | ||||||||||
0.000%, 06/15/2030 (Callable 06/15/2027)(Insured by SCH BD GTY) (7) | 100,000 | 109,566 | ||||||||||
0.000%, 06/15/2033 (Callable 06/15/2027)(Insured by SCH BD GTY) (7) | 200,000 | 215,374 | ||||||||||
0.000%, 06/15/2035 (Callable 06/15/2027)(Insured by SCH BD GTY) (7) | 540,000 | 575,915 | ||||||||||
Washington Clackamas & Yamhill Counties School District No. 88J, | ||||||||||||
0.000%, 06/15/2046 (Callable 06/15/2028)(Insured by SCH BD GTY) | 500,000 | 191,870 | ||||||||||
Total Oregon (Cost $3,378,556) | 3,698,030 | 0.6 | % | |||||||||
Pennsylvania | ||||||||||||
Bloomsburg PA Area School District, | ||||||||||||
4.000%, 09/01/2030 (Callable 03/01/2024)(Insured by BAM) | 250,000 | 273,995 | ||||||||||
Central Bradford Progress Authority, | ||||||||||||
5.500%, 12/01/2031 (Pre-refunded to 12/01/2021) | 800,000 | 857,344 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 750,000 | 808,635 | ||||||||||
4.000%, 06/01/2039 (Callable 06/01/2028)(Insured by AGM) | 1,525,000 | 1,698,133 | ||||||||||
Deer Lakes School District, | ||||||||||||
5.000%, 10/01/2020 (Insured by AGM) | 100,000 | 101,125 | ||||||||||
Lycoming County Authority, | ||||||||||||
4.000%, 11/01/2043 (Mandatory Tender Date 05/01/2024) (1) | 500,000 | 525,530 | ||||||||||
Mid Valley School District: | ||||||||||||
4.000%, 03/15/2033 (Callable 03/15/2025)(Insured by BAM) | 115,000 | 127,659 | ||||||||||
4.000%, 03/15/2034 (Callable 03/15/2025)(Insured by BAM) | 650,000 | 719,368 | ||||||||||
4.000%, 03/15/2035 (Callable 03/15/2025)(Insured by BAM) | 835,000 | 921,623 | ||||||||||
Montgomery County Higher Education & Health Authority: | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 245,000 | 247,999 | ||||||||||
4.000%, 05/01/2036 (Mandatory Tender Date 05/01/2022) (1) | 610,000 | 624,933 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
4.000%, 11/15/2034 (Callable 11/15/2027) | 1,000,000 | 1,115,640 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 05/01/2026 | 75,000 | 87,691 | ||||||||||
0.160%, 05/01/2030 (Optional Put Date 07/01/2020) (1) | 640,000 | 640,000 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.500%, 10/01/2046 (Callable 10/01/2025) | 375,000 | 393,712 | ||||||||||
4.000%, 10/01/2049 (Callable 10/01/2028) | 1,895,000 | 2,056,852 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2030 (Callable 12/01/2025) | 280,000 | 325,427 | ||||||||||
6.000%, 12/01/2030 (Callable 12/01/2027)(Insured by BAM) (7) | 205,000 | 267,677 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026)(Insured by AGM) (7) | 155,000 | 170,878 | ||||||||||
0.000%, 12/01/2037 (Callable 12/01/2026) (7) | 445,000 | 484,734 | ||||||||||
5.000%, 12/01/2038 (Callable 12/01/2028) (7) | 715,000 | 845,287 | ||||||||||
6.375%, 12/01/2038 (Callable 12/01/2027) (7) | 745,000 | 934,834 | ||||||||||
Reading School District, | ||||||||||||
5.000%, 02/01/2023 (Insured by AGM) | 230,000 | 255,581 | ||||||||||
Ridley School District, | ||||||||||||
4.000%, 09/15/2031 (Callable 03/15/2025)(Insured by ST AID) | 830,000 | 934,862 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 09/01/2023 (Insured by ST AID) | 55,000 | 61,985 | ||||||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County: | ||||||||||||
5.000%, 12/15/2028 (Callable 12/15/2027)(Insured by BAM) | 500,000 | 639,670 | ||||||||||
5.000%, 02/01/2031 (Callable 08/01/2020)(Insured by AGM) | 500,000 | 501,015 | ||||||||||
State Public School Building Authority, | ||||||||||||
0.000%, 05/15/2027 | 160,000 | 142,632 | ||||||||||
Upper Moreland Township School District, | ||||||||||||
5.000%, 10/01/2030 (Callable 04/01/2025)(Insured by ST AID) | 250,000 | 298,825 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020 (Insured by BAM) | 125,000 | 125,348 | ||||||||||
York Suburban School District, | ||||||||||||
4.000%, 05/01/2030 (Callable 05/01/2024)(Insured by BAM) | 1,780,000 | 1,968,075 | ||||||||||
Total Pennsylvania (Cost $18,360,722) | 19,157,069 | 3.2 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Sales Tax Financing Corp., | ||||||||||||
0.000%, 07/01/2024 | 841,000 | 757,758 | ||||||||||
Total Puerto Rico (Cost $729,832) | 757,758 | 0.1 | % | |||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | 20,000 | 20,841 | ||||||||||
Rhode Island Commerce Corp., | ||||||||||||
5.000%, 07/01/2033 (Callable 07/01/2028)(Insured by BAM) | 950,000 | 1,126,738 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp.: | ||||||||||||
3.950%, 10/01/2043 (Callable 04/01/2028)(Insured by GNMA) | 395,000 | 434,298 | ||||||||||
3.500%, 10/01/2046 (Callable 04/01/2025) | 70,000 | 72,372 | ||||||||||
Total Rhode Island (Cost $1,542,246) | 1,654,249 | 0.3 | % | |||||||||
South Carolina | ||||||||||||
City of Walhalla SC, | ||||||||||||
5.000%, 06/01/2025 (Insured by BAM) | 185,000 | 222,118 | ||||||||||
County of Florence SC, | ||||||||||||
5.000%, 11/01/2033 (Callable 11/01/2024) | 250,000 | 282,857 | ||||||||||
Scago Educational Facilities Corp. for Union School District, | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 500,000 | 570,060 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2028) | 1,055,000 | 1,269,545 | ||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 270,000 | 283,835 | ||||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 2,500,000 | 2,763,500 | ||||||||||
0.770%, 05/01/2048 (Callable 07/01/2020)(Optional Put Date 07/07/2020) (1) | 5,075,000 | 5,075,000 | ||||||||||
South Carolina State Housing Finance & Development Authority: | ||||||||||||
3.800%, 07/01/2034 (Callable 07/01/2024)(Insured by GNMA) | 1,340,000 | 1,428,306 | ||||||||||
3.800%, 01/01/2049 (Callable 07/01/2027) | 500,000 | 536,620 | ||||||||||
4.000%, 07/01/2050 (Callable 07/01/2029) | 3,000,000 | 3,371,310 | ||||||||||
Spartanburg Regional Health Services District: | ||||||||||||
4.000%, 04/15/2036 (Callable 04/15/2030)(Insured by AGM) (6) | 445,000 | 510,949 | ||||||||||
4.000%, 04/15/2037 (Callable 04/15/2030)(Insured by AGM) (6) | 500,000 | 571,935 | ||||||||||
4.000%, 04/15/2038 (Callable 04/15/2030)(Insured by AGM) (6) | 500,000 | 570,040 | ||||||||||
Sumter Two School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2023 (Insured by BAM) | 200,000 | 227,662 | ||||||||||
Total South Carolina (Cost $17,334,234) | 17,683,737 | 2.9 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 3,260,000 | 3,554,671 | ||||||||||
South Dakota Board of Regents Housing & Auxiliary Facilities System, | ||||||||||||
4.375%, 04/01/2036 (Callable 04/01/2021)(Partially Pre-refunded) | 150,000 | 152,811 | ||||||||||
South Dakota Health & Educational Facilities Authority, | ||||||||||||
4.000%, 11/01/2040 (Callable 11/01/2025) | 115,000 | 123,823 | ||||||||||
South Dakota Housing Development Authority: | ||||||||||||
3.375%, 05/01/2033 (Callable 05/01/2022) | 350,000 | 359,412 | ||||||||||
4.000%, 05/01/2049 (Callable 05/01/2028) | 2,430,000 | 2,667,824 | ||||||||||
Total South Dakota (Cost $6,704,827) | 6,858,541 | 1.1 | % | |||||||||
Tennessee | ||||||||||||
Chattanooga Health Educational & Housing Facility Board, | ||||||||||||
5.250%, 01/01/2045 (Pre-refunded to 01/01/2023) | 385,000 | 430,226 | ||||||||||
City of Jackson TN: | ||||||||||||
5.000%, 04/01/2029 (Callable 04/01/2025) | 555,000 | 640,176 | ||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 3,920,000 | 4,426,268 | ||||||||||
City of Memphis TN: | ||||||||||||
5.000%, 12/01/2032 (Callable 12/01/2024) | 530,000 | 622,384 | ||||||||||
4.000%, 12/01/2033 (Callable 12/01/2027) | 480,000 | 563,823 | ||||||||||
County of Warren TN, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2026)(Insured by AGM) | 150,000 | 174,953 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
5.000%, 04/01/2022 | 200,000 | 211,310 | ||||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 145,000 | 158,080 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
3.000%, 10/01/2024 | 340,000 | 341,748 | ||||||||||
1.550%, 11/15/2030 (Mandatory Tender Date 11/03/2020) (1) | 255,000 | 255,966 | ||||||||||
Shelby County Health Educational & Housing Facilities Board, | ||||||||||||
4.000%, 05/01/2037 (Callable 05/01/2027) | 250,000 | 275,805 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.625%, 09/01/2026 | 75,000 | 90,149 | ||||||||||
5.000%, 02/01/2027 | 85,000 | 99,811 | ||||||||||
4.000%, 11/01/2049 (Callable 08/01/2025)(Mandatory Tender Date 11/01/2025) (1) | 785,000 | 888,816 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.600%, 01/01/2031 (Callable 01/01/2023) | 1,675,000 | 1,749,755 | ||||||||||
3.550%, 07/01/2039 (Callable 07/01/2024) | 260,000 | 271,755 | ||||||||||
4.000%, 01/01/2042 (Callable 07/01/2026) | 220,000 | 238,225 | ||||||||||
3.800%, 07/01/2043 (Callable 01/01/2022) | 225,000 | 230,645 | ||||||||||
4.000%, 07/01/2043 (Callable 01/01/2023) | 165,000 | 173,998 | ||||||||||
4.000%, 07/01/2045 (Callable 01/01/2025) | 120,000 | 127,685 | ||||||||||
3.500%, 01/01/2047 (Callable 01/01/2026) | 80,000 | 85,126 | ||||||||||
4.500%, 07/01/2049 (Callable 01/01/2028) | 920,000 | 1,022,644 | ||||||||||
4.250%, 01/01/2050 (Callable 07/01/2028) | 965,000 | 1,069,374 | ||||||||||
Total Tennessee (Cost $13,894,233) | 14,148,722 | 2.3 | % | |||||||||
Texas | ||||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2026)(PSF Guaranteed) | 250,000 | 287,422 | ||||||||||
4.000%, 08/01/2033 (Callable 08/01/2028)(PSF Guaranteed) | 180,000 | 212,179 | ||||||||||
5.000%, 02/15/2038 (Callable 02/15/2025)(PSF Guaranteed) | 295,000 | 338,389 | ||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
5.000%, 07/15/2021 | 145,000 | 146,808 | ||||||||||
5.000%, 07/15/2021 | 250,000 | 253,117 | ||||||||||
5.000%, 07/15/2022 | 235,000 | 240,288 | ||||||||||
Brazoria County Toll Road Authority, | ||||||||||||
0.000%, 03/01/2043 (Callable 03/01/2030) (7) | 305,000 | 293,084 | ||||||||||
Burleson Independent School District, | ||||||||||||
2.500%, 02/01/2047 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 675,000 | 696,269 | ||||||||||
Cinco Municipal Utility District, | ||||||||||||
4.000%, 12/01/2021 (Insured by AGM) | 375,000 | 393,139 | ||||||||||
City of Brownsville TX, | ||||||||||||
4.000%, 09/01/2029 (Callable 09/01/2026)(Insured by AGM) | 170,000 | 195,986 | ||||||||||
City of Greenville TX: | ||||||||||||
5.000%, 02/15/2034 (Callable 02/15/2024) | 200,000 | 228,166 | ||||||||||
5.000%, 02/15/2035 (Callable 02/15/2024) | 175,000 | 199,311 | ||||||||||
City of Houston TX, | ||||||||||||
5.500%, 12/01/2029 (ETM)(Insured by NATL) | 500,000 | 648,640 | ||||||||||
City of Round Rock TX, | ||||||||||||
4.000%, 12/01/2024 | 205,000 | 232,847 | ||||||||||
City of San Antonio TX, | ||||||||||||
2.750%, 02/01/2048 (Mandatory Tender Date 12/01/2022) (1) | 1,500,000 | 1,577,175 | ||||||||||
City of Tyler TX, | ||||||||||||
5.000%, 09/01/2029 (Callable 09/01/2025) | 150,000 | 182,025 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026)(PSF Guaranteed) | 700,000 | 808,640 | ||||||||||
5.000%, 08/15/2034 (Callable 08/15/2026)(PSF Guaranteed) | 1,000,000 | 1,213,750 | ||||||||||
County of Harris TX, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2022) | 150,000 | 163,119 | ||||||||||
County of Williamson TX, | ||||||||||||
5.000%, 02/15/2028 (Callable 02/15/2025) | 90,000 | 107,890 | ||||||||||
Crane County Water District, | ||||||||||||
5.000%, 02/15/2023 | 250,000 | 278,762 | ||||||||||
Danbury Higher Education Authority, Inc.: | ||||||||||||
4.000%, 02/15/2027 (PSF Guaranteed) | 200,000 | 233,868 | ||||||||||
4.000%, 02/15/2028 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 237,494 | ||||||||||
4.000%, 02/15/2030 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 234,220 | ||||||||||
4.000%, 02/15/2031 (Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 232,820 | ||||||||||
5.000%, 02/15/2047 (Callable 02/15/2022)(PSF Guaranteed) | 500,000 | 532,730 | ||||||||||
DeSoto Independent School District, | ||||||||||||
0.000%, 08/15/2029 (Callable 08/15/2020)(PSF Guaranteed) | 75,000 | 48,750 | ||||||||||
Ferris Independent School District, | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2026)(PSF Guaranteed) | 560,000 | 692,306 | ||||||||||
Fort Bend County Municipal Utility District No. 155, | ||||||||||||
4.000%, 09/01/2033 (Callable 09/01/2023)(Insured by AGM) | 230,000 | 242,995 | ||||||||||
Fort Bend County Municipal Utility District No. 30, | ||||||||||||
4.000%, 09/01/2023 (Insured by BAM) | 295,000 | 324,066 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
5.000%, 08/15/2030 (Callable 08/15/2026)(PSF Guaranteed) | 100,000 | 124,297 | ||||||||||
1.350%, 08/01/2042 (Mandatory Tender Date 08/01/2020)(PSF Guaranteed) (1) | 950,000 | 950,627 | ||||||||||
1.950%, 08/01/2049 (Mandatory Tender Date 08/01/2022)(PSF Guaranteed) (1) | 500,000 | 509,795 | ||||||||||
Grand Parkway Transportation Corp.: | ||||||||||||
0.000%, 10/01/2034 (Callable 10/01/2028) (7) | 40,000 | 45,862 | ||||||||||
0.000%, 10/01/2036 (Callable 10/01/2028) (7) | 305,000 | 347,413 | ||||||||||
0.000%, 10/01/2046 (Callable 10/01/2028) (7) | 785,000 | 883,415 | ||||||||||
0.000%, 10/01/2047 (Callable 10/01/2028) (7) | 1,340,000 | 1,509,845 | ||||||||||
0.000%, 10/01/2048 (Callable 10/01/2028) (7) | 370,000 | 416,335 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 12/01/2026 (Callable 12/01/2024) | 100,000 | 115,668 | ||||||||||
5.000%, 12/01/2035 (Pre-refunded to 12/01/2022) | 495,000 | 549,643 | ||||||||||
Harris County Municipal Utility District No. 371, | ||||||||||||
4.000%, 09/01/2032 (Callable 09/01/2023)(Insured by BAM) | 370,000 | 392,355 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
3.000%, 12/01/2022 (Insured by AGM) | 175,000 | 184,921 | ||||||||||
Harris County Municipal Utility District No. 71, | ||||||||||||
4.000%, 09/01/2028 (Callable 09/01/2023)(Insured by BAM) | 250,000 | 275,045 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2026 (Callable 11/15/2024)(Insured by AGM) | 135,000 | 151,324 | ||||||||||
Lake Travis Independent School District: | ||||||||||||
2.280%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 35,000 | 36,273 | ||||||||||
2.280%, 02/15/2048 (Mandatory Tender Date 02/15/2022)(PSF Guaranteed) (1) | 165,000 | 170,079 | ||||||||||
2.625%, 02/15/2048 (Pre-refunded to 02/15/2022)(PSF Guaranteed) (1) | 25,000 | 25,909 | ||||||||||
Laredo Community College District, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2027)(Insured by BAM) | 350,000 | 442,102 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2040 (Pre-refunded to 08/15/2024)(PSF Guaranteed) | 180,000 | 81,081 | ||||||||||
0.000%, 08/15/2040 (Callable 08/15/2024)(PSF Guaranteed) | 20,000 | 8,747 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 800,000 | 816,960 | ||||||||||
Matagorda County Navigation District No. 1, | ||||||||||||
4.400%, 05/01/2030 (Insured by AMBAC) | 375,000 | 439,567 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2023 (Insured by BAM) | 200,000 | 217,734 | ||||||||||
4.000%, 04/01/2024 (Insured by BAM) | 200,000 | 222,900 | ||||||||||
Navasota Independent School District, | ||||||||||||
5.000%, 02/15/2048 (Callable 02/15/2025)(PSF Guaranteed) | 2,100,000 | 2,455,740 | ||||||||||
New Hope Cultural Education Facilities Finance Corp., | ||||||||||||
3.625%, 08/15/2022 (Callable 08/15/2021) (3) | 215,000 | 215,052 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2024 | 100,000 | 114,473 | ||||||||||
5.000%, 01/01/2033 (Callable 01/01/2026) | 675,000 | 795,481 | ||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 95,000 | 108,496 | ||||||||||
5.500%, 09/01/2041 (Pre-refunded to 09/01/2021) | 280,000 | 296,699 | ||||||||||
0.000%, 09/01/2045 (Pre-refunded to 09/01/2031) (7) | 40,000 | 58,673 | ||||||||||
Northeast Travis County Utility District: | ||||||||||||
0.000%, 09/01/2023 (Insured by BAM) | 275,000 | 266,139 | ||||||||||
3.000%, 09/01/2027 (Insured by BAM) | 170,000 | 189,117 | ||||||||||
Rio Vista Independent School District, | ||||||||||||
4.000%, 08/15/2028 (Callable 08/15/2025)(Insured by BAM) | 125,000 | 143,408 | ||||||||||
Rosebud-Lott Independent School District: | ||||||||||||
5.500%, 02/15/2030 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 121,286 | ||||||||||
5.500%, 02/15/2031 (Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 120,982 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040 (Callable 08/01/2020)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed) (1) | 400,000 | 400,312 | ||||||||||
Royse City Independent School District: | ||||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 105,000 | 105,589 | ||||||||||
5.000%, 02/15/2038 (Callable 08/15/2020)(PSF Guaranteed) | 95,000 | 95,484 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2022 | 160,000 | 172,592 | ||||||||||
San Antonio Public Facilities Corp., | ||||||||||||
4.000%, 09/15/2034 (Callable 09/15/2022) | 1,370,000 | 1,435,650 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 190,000 | 191,051 | ||||||||||
Sedona Lakes Municipal Utility District No. 1, | ||||||||||||
4.000%, 09/01/2026 (Callable 09/01/2025)(Insured by BAM) | 85,000 | 96,597 | ||||||||||
Southwest Houston Redevelopment Authority, | ||||||||||||
5.000%, 09/01/2027 (Insured by AGM) (6) | 250,000 | 305,550 | ||||||||||
Sterling Independent School District, | ||||||||||||
3.000%, 02/15/2028 (Callable 02/15/2024)(PSF Guaranteed) | 190,000 | 202,776 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.750%, 01/01/2049 (Callable 07/01/2028) | 4,225,000 | 4,755,069 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
1.660%, 12/15/2026 (3 Month LIBOR USD + 1.450%) (Callable 07/01/2020) (2) | 3,000,000 | 2,862,000 | ||||||||||
6.250%, 12/15/2026 | 1,510,000 | 1,754,982 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2026 (Callable 12/15/2022) | 190,000 | 204,020 | ||||||||||
5.000%, 12/15/2028 (Callable 12/15/2022) | 575,000 | 615,262 | ||||||||||
5.000%, 12/15/2029 (Callable 12/15/2022) | 1,000,000 | 1,067,470 | ||||||||||
Texas Municipal Power Agency, | ||||||||||||
5.000%, 09/01/2047 (Callable 09/01/2020) | 500,000 | 503,110 | ||||||||||
Tioga Independent School District Public Facility Corp.: | ||||||||||||
3.250%, 08/15/2027 (Callable 08/15/2024) | 200,000 | 195,264 | ||||||||||
4.000%, 08/15/2041 (Callable 08/15/2024) | 825,000 | 798,641 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2025 (Insured by BAM) | 105,000 | 119,210 | ||||||||||
Travis County Municipal Utility District No. 4, | ||||||||||||
4.000%, 09/01/2035 (Callable 09/01/2022)(Insured by AGM) | 615,000 | 652,755 | ||||||||||
Upper Trinity Regional Water District, | ||||||||||||
5.000%, 08/01/2032 (Callable 08/01/2028)(Insured by BAM) | 240,000 | 303,458 | ||||||||||
Viridian Municipal Management District: | ||||||||||||
4.000%, 12/01/2027 (Callable 12/01/2023)(Insured by AGM) | 315,000 | 346,097 | ||||||||||
4.000%, 12/01/2028 (Callable 12/01/2023)(Insured by AGM) | 470,000 | 513,912 | ||||||||||
6.000%, 12/01/2035 (Callable 12/01/2024)(Insured by BAM) | 90,000 | 109,831 | ||||||||||
Washington County Junior College District, | ||||||||||||
5.000%, 10/01/2028 (Callable 04/01/2026)(Insured by BAM) | 500,000 | 596,795 | ||||||||||
Wimberley Independent School District, | ||||||||||||
4.000%, 08/15/2031 (Callable 08/15/2027)(PSF Guaranteed) | 330,000 | 392,162 | ||||||||||
Total Texas (Cost $42,357,314) | 44,075,337 | 7.3 | % |
Utah | ||||||||||||
Jordan Valley Water Conservancy District: | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2026) | 250,000 | 308,720 | ||||||||||
5.000%, 10/01/2033 (Callable 10/01/2026) | 350,000 | 431,018 | ||||||||||
Midvale Utah Redevelopment Agency, | ||||||||||||
5.000%, 05/01/2027 | 290,000 | 369,332 | ||||||||||
Salt Lake City Corp.: | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2027) | 155,000 | 191,552 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2027) | 2,725,000 | 3,240,379 | ||||||||||
South Ogden Conservation District, | ||||||||||||
4.000%, 02/01/2031 (Callable 02/01/2022)(Insured by MAC) | 295,000 | 307,266 | ||||||||||
Timpanogos Special Service District, | ||||||||||||
4.000%, 06/01/2029 (Callable 06/01/2024) | 50,000 | 55,361 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2027 (Callable 04/15/2026)(Insured by UT CSCE) | 365,000 | 440,876 | ||||||||||
5.000%, 04/15/2028 (Callable 04/15/2026)(Insured by UT CSCE) | 720,000 | 865,663 | ||||||||||
5.000%, 10/15/2036 (Callable 04/15/2023)(Insured by UT CSCE) | 700,000 | 766,892 | ||||||||||
5.000%, 04/15/2037 (Callable 04/15/2026)(Insured by UT CSCE) | 520,000 | 593,440 | ||||||||||
5.000%, 10/15/2043 (Callable 10/15/2027)(Insured by UT CSCE) | 1,000,000 | 1,172,890 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026)(Insured by FHA) | 275,000 | 295,155 | ||||||||||
Utah Infrastructure Agency: | ||||||||||||
5.000%, 10/15/2026 | 140,000 | 172,379 | ||||||||||
5.000%, 10/15/2027 | 125,000 | 157,607 | ||||||||||
Utah Transit Authority, | ||||||||||||
5.000%, 12/15/2029 (Callable 06/15/2028) | 75,000 | 93,145 | ||||||||||
Total Utah (Cost $9,047,673) | 9,461,675 | 1.6 | % | |||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2028 (Callable 07/01/2027) | 275,000 | 346,244 | ||||||||||
Vermont Educational & Health Buildings Financing Agency, | ||||||||||||
5.000%, 12/01/2035 (Callable 06/01/2026) | 710,000 | 808,435 | ||||||||||
Vermont Housing Finance Agency, | ||||||||||||
3.650%, 11/01/2032 (Callable 11/01/2024) | 120,000 | 128,264 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
4.000%, 07/01/2020 | 335,000 | 335,000 | ||||||||||
Total Vermont (Cost $1,579,354) | 1,617,943 | 0.3 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 (3) | 400,000 | 400,704 | ||||||||||
Total Virgin Islands (Cost $401,959) | 400,704 | 0.1 | % | |||||||||
Virginia | ||||||||||||
City of Norfolk VA, | ||||||||||||
2.500%, 10/01/2046 (Pre-refunded to 10/01/2022) (1) | 25,000 | 26,196 | ||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025 (Callable 11/01/2022)(Insured by ST AID) | 340,000 | 353,940 | ||||||||||
Salem Economic Development Authority, | ||||||||||||
5.000%, 04/01/2021 | 250,000 | 255,640 | ||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.450%, 04/01/2038 (Callable 10/01/2022) | 3,000,000 | 3,087,600 | ||||||||||
Total Virginia (Cost $3,676,142) | 3,723,376 | 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 | 193,131 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2030 (Callable 07/01/2028) | 600,000 | 785,388 | ||||||||||
King County Housing Authority, | ||||||||||||
5.000%, 12/01/2030 | 1,125,000 | 1,319,164 | ||||||||||
King County Public Hospital District No. 1, | ||||||||||||
5.000%, 12/01/2029 (Callable 12/01/2028) | 680,000 | 823,922 | ||||||||||
Lewis County School District No. 302, | ||||||||||||
5.000%, 12/01/2031 (Callable 06/01/2025)(Insured by SCH BD GTY) | 235,000 | 282,275 | ||||||||||
Pacific County School District No. 118, | ||||||||||||
4.000%, 12/01/2025 (Insured by SCH BD GTY) | 215,000 | 250,195 | ||||||||||
Pend Oreille County Public Utility District No. 1, | ||||||||||||
5.000%, 01/01/2022 | 500,000 | 523,785 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 02/01/2029 (Callable 02/01/2022) | 160,000 | 171,274 | ||||||||||
5.000%, 02/01/2038 (Callable 02/01/2024) | 645,000 | 730,824 | ||||||||||
5.000%, 07/01/2042 (Callable 07/01/2028) | 1,330,000 | 1,638,839 | ||||||||||
Washington Biomedical Research Properties 3.2, | ||||||||||||
5.000%, 01/01/2037 (Callable 07/01/2025) | 100,000 | 118,682 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
3.700%, 12/01/2033 (Callable 06/01/2024) | 85,000 | 85,937 | ||||||||||
3.700%, 12/01/2034 (Callable 06/01/2025) | 45,000 | 48,676 | ||||||||||
4.000%, 06/01/2049 (Callable 06/01/2028) | 485,000 | 532,942 | ||||||||||
Total Washington (Cost $7,084,705) | 7,505,034 | 1.2 | % | |||||||||
Wisconsin | ||||||||||||
Milwaukee Redevelopment Authority: | ||||||||||||
5.000%, 11/15/2030 (Callable 11/15/2026) | 225,000 | 275,740 | ||||||||||
5.000%, 11/15/2032 (Callable 11/15/2026) | 175,000 | 213,507 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 (3) | 650,000 | 652,359 | ||||||||||
4.000%, 01/01/2021 | 435,000 | 435,231 | ||||||||||
5.000%, 10/01/2023 (3) | 2,125,000 | 2,231,165 | ||||||||||
5.000%, 10/01/2024 (3) | 875,000 | 928,996 | ||||||||||
3.000%, 04/01/2025 (3) | 425,000 | 409,806 | ||||||||||
5.000%, 06/15/2025 | 220,000 | 251,766 | ||||||||||
0.000%, 09/01/2028 (Pre-refunded to 09/01/2026) | 75,000 | 65,225 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2023 (ETM)(Insured by NATL) | 25,000 | 24,446 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038 (Callable 04/01/2023) | 830,000 | 888,341 | ||||||||||
Village of Mount Pleasant WI: | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2028) | 1,000,000 | 1,246,400 | ||||||||||
4.000%, 04/01/2037 (Callable 04/01/2028) | 1,000,000 | 1,149,720 | ||||||||||
5.000%, 04/01/2048 (Callable 04/01/2028) | 1,435,000 | 1,750,198 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.250%, 12/15/2023 (ETM)(Insured by AGM) | 180,000 | 194,992 | ||||||||||
5.250%, 12/15/2023 (Insured by AGM) | 75,000 | 85,082 | ||||||||||
0.000%, 12/15/2027 (Insured by NATL) | 220,000 | 187,702 | ||||||||||
5.000%, 12/15/2027 (Callable 06/15/2026) | 500,000 | 614,205 | ||||||||||
5.250%, 12/15/2027 (ETM)(Insured by AGM) | 60,000 | 75,328 | ||||||||||
5.250%, 12/15/2027 (Insured by AGM) | 195,000 | 243,309 | ||||||||||
5.000%, 12/15/2028 (Callable 06/15/2026) | 185,000 | 226,897 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 395,000 | 421,635 | ||||||||||
5.000%, 12/15/2031 (Callable 06/15/2026) | 300,000 | 365,811 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
5.000%, 03/01/2021 | 150,000 | 152,930 | ||||||||||
5.000%, 03/01/2022 | 125,000 | 131,190 | ||||||||||
5.000%, 11/01/2022 | 120,000 | 122,880 | ||||||||||
5.000%, 07/01/2023 | 165,000 | 183,954 | ||||||||||
5.000%, 11/01/2023 | 125,000 | 128,934 | ||||||||||
5.000%, 07/01/2024 | 250,000 | 286,892 | ||||||||||
5.000%, 11/01/2024 | 155,000 | 160,850 | ||||||||||
4.000%, 09/15/2025 (Callable 09/15/2023) | 225,000 | 226,537 | ||||||||||
5.000%, 11/01/2025 | 245,000 | 255,329 | ||||||||||
5.000%, 07/01/2026 (Callable 07/01/2024) | 50,000 | 56,872 | ||||||||||
2.250%, 11/01/2026 (Callable 11/01/2021) | 750,000 | 700,822 | ||||||||||
5.000%, 02/15/2027 (Pre-refunded to 08/15/2025) | 100,000 | 122,376 | ||||||||||
4.000%, 07/15/2028 (Pre-refunded to 07/15/2021) | 185,000 | 192,056 | ||||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | 1,000,000 | 1,109,950 | ||||||||||
5.000%, 12/01/2028 (Callable 11/01/2026) | 45,000 | 55,409 | ||||||||||
5.000%, 08/15/2029 (Callable 08/15/2027) | 170,000 | 212,199 | ||||||||||
5.000%, 10/01/2029 | 505,000 | 632,613 | ||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 480,000 | 550,718 | ||||||||||
5.000%, 02/15/2032 (Callable 02/15/2022) | 670,000 | 701,115 | ||||||||||
5.000%, 04/01/2032 (Callable 10/01/2022) | 290,000 | 311,138 | ||||||||||
5.250%, 10/15/2039 (Callable 10/15/2021) | 460,000 | 478,469 | ||||||||||
5.000%, 11/15/2044 (Callable 11/15/2022) | 330,000 | 350,948 | ||||||||||
5.000%, 02/15/2051 (Callable 08/15/2026)(Mandatory Tender Date 02/15/2027) (1) | 700,000 | 832,853 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
4.000%, 03/01/2048 (Callable 03/01/2027)(Insured by FNMA) | 1,520,000 | 1,632,571 | ||||||||||
4.250%, 03/01/2049 (Callable 09/01/2028) | 1,920,000 | 2,132,026 | ||||||||||
Total Wisconsin (Cost $23,926,780) | 24,659,492 | 4.1 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority: | ||||||||||||
3.000%, 12/01/2044 (Callable 06/01/2024) | 80,000 | 82,731 | ||||||||||
4.000%, 12/01/2048 (Callable 06/01/2028) | 1,890,000 | 2,071,629 | ||||||||||
Total Wyoming (Cost $2,084,729) | 2,154,360 | 0.3 | % | |||||||||
Total Long-Term Investments (Cost $580,044,726) | 604,348,922 | 100.0 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 0.03% (4) | 327,759 | 327,759 | ||||||||||
Total Short-Term Investment (Cost $327,759) | 327,759 | 0.1 | % | |||||||||
Total Investments (Cost $580,372,485) | 604,676,681 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (898,143 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 603,778,538 | 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 |
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 Credit Enhancement Program |
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 June 30, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $15,967,446, which represents 2.64% of total net assets. |
(4) | Seven-day yield. |
(5) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
Baird Municipal Bond Fund | ||||||||||||
Schedule of Investments, June 30, 2020 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Community College System, | ||||||||||||
3.500%, 11/01/2025 (Insured by BAM) | $ | 100,000 | $ | 112,695 | ||||||||
Alabama Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 06/01/2026 (Callable 06/01/2025) | 110,000 | 128,920 | ||||||||||
Black Belt Energy Gas District, | ||||||||||||
4.000%, 12/01/2049 (Callable 09/01/2025)(Mandatory Tender Date 12/01/2025) (1) | 45,000 | 51,179 | ||||||||||
Homewood Educational Building Authority, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 50,000 | 54,865 | ||||||||||
University of West Alabama: | ||||||||||||
4.000%, 01/01/2040 (Callable 01/01/2030)(Insured by AGM) | 50,000 | 55,569 | ||||||||||
4.000%, 01/01/2041 (Callable 01/01/2030)(Insured by AGM) | 100,000 | 110,808 | ||||||||||
Total Alabama (Cost $500,907) | 514,036 | 4.0 | % | |||||||||
Alaska | ||||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020 (Callable 07/31/2020) | 100,000 | 100,193 | ||||||||||
Total Alaska (Cost $99,553) | 100,193 | 0.8 | % | |||||||||
Arizona | ||||||||||||
Arizona Industrial Development Authority, | ||||||||||||
5.000%, 10/01/2030 (Callable 10/01/2026) (3) | 100,000 | 99,754 | ||||||||||
Industrial Development Authority of the County of Pima, | ||||||||||||
4.000%, 07/01/2029 | 25,000 | 27,700 | ||||||||||
Total Arizona (Cost $127,023) | 127,454 | 1.0 | % | |||||||||
Arkansas | ||||||||||||
Southern Arkansas University, | ||||||||||||
4.000%, 03/01/2028 (Callable 03/01/2025)(Insured by AGM) | 130,000 | 146,828 | ||||||||||
Total Arkansas (Cost $141,833) | 146,828 | 1.1 | % | |||||||||
California | ||||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
0.496%, 08/01/2047 (1 Month LIBOR USD + 0.380%) (Callable 02/01/2021)(Mandatory Tender Date 08/01/2021) (2) | 75,000 | 74,495 | ||||||||||
California Municipal Finance Authority, | ||||||||||||
5.000%, 10/01/2023 | 85,000 | 92,851 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2031 (Callable 08/01/2028)(Insured by AGM) (5) | 115,000 | 138,040 | ||||||||||
Los Alamitos Unified School District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2029) (5) | 105,000 | 114,856 | ||||||||||
Los Angeles Regional Airports Improvement Corp., | ||||||||||||
4.500%, 01/01/2027 (Callable 01/01/2022) | 125,000 | 128,212 | ||||||||||
Modesto Irrigation District, | ||||||||||||
0.814%, 09/01/2027 (3 Month LIBOR USD + 0.580%) (Callable 07/31/2020)(Insured by NATL) (2) | 60,000 | 58,768 | ||||||||||
Morongo Unified School District, | ||||||||||||
0.000%, 08/01/2041 (Callable 08/01/2030) (5) | 25,000 | 26,007 | ||||||||||
Newport Mesa Unified School District, | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2031) (5) | 35,000 | 47,360 | ||||||||||
Oak Park Unified School District, | ||||||||||||
0.000%, 08/01/2038 (Callable 08/01/2031)(Insured by AGM) (5) | 50,000 | 71,110 | ||||||||||
Oxnard School District, | ||||||||||||
2.000%, 08/01/2045 (Callable 08/01/2026)(Insured by BAM) (5) | 150,000 | 163,577 | ||||||||||
Total California (Cost $881,816) | 915,276 | 7.0 | % | |||||||||
Colorado | ||||||||||||
City & County of Denver CO: | ||||||||||||
5.500%, 11/15/2025 (Callable 11/15/2023) | 85,000 | 97,108 | ||||||||||
5.000%, 08/01/2041 (Callable 08/01/2026) | 115,000 | 136,573 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
0.000%, 09/01/2029 (Insured by NATL) | 125,000 | 108,045 | ||||||||||
Vauxmont Metropolitan District, | ||||||||||||
5.000%, 12/15/2032 (Callable 12/15/2024)(Insured by AGM) | 25,000 | 28,917 | ||||||||||
Total Colorado (Cost $345,223) | 370,643 | 2.9 | % | |||||||||
Connecticut | ||||||||||||
Connecticut State Higher Education Supplement Loan Authority, | ||||||||||||
3.000%, 11/15/2035 (Callable 11/15/2026) (6) | 150,000 | 147,942 | ||||||||||
Total Connecticut (Cost $146,754) | 147,942 | 1.1 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.200%, 01/01/2045 (Callable 01/01/2028)(Insured by GNMA) | 150,000 | 168,573 | ||||||||||
Miami Health Facilities Authority, | ||||||||||||
5.000%, 07/01/2021 | 25,000 | 24,809 | ||||||||||
Orange County Convention Center, | ||||||||||||
4.000%, 10/01/2034 (Callable 10/01/2026) | 150,000 | 162,678 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
5.000%, 08/01/2028 (Callable 08/01/2024) | 200,000 | 214,932 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2023 | 200,000 | 207,560 | ||||||||||
University of West Florida, | ||||||||||||
4.000%, 06/01/2034 (Callable 06/01/2026) | 50,000 | 54,586 | ||||||||||
Total Florida (Cost $837,062) | 833,138 | 6.4 | % | |||||||||
Georgia | ||||||||||||
Burke County Development Authority, | ||||||||||||
0.320%, 11/01/2052 (Optional Put Date 07/01/2020) (1) | 200,000 | 200,000 | ||||||||||
Total Georgia (Cost $200,000) | 200,000 | 1.5 | % | |||||||||
Illinois | ||||||||||||
Chicago Board of Education, | ||||||||||||
5.500%, 12/01/2026 (Insured by NATL) | 60,000 | 66,431 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2034 (Callable 01/01/2025) | 75,000 | 84,820 | ||||||||||
Chicago Park District, | ||||||||||||
5.000%, 01/01/2022 | 85,000 | 89,337 | ||||||||||
City of Chicago IL: | ||||||||||||
0.000%, 01/01/2027 (Insured by NATL) | 100,000 | 77,413 | ||||||||||
0.000%, 01/01/2031 (Insured by NATL) | 200,000 | 127,366 | ||||||||||
Cook County Community College District No. 508, | ||||||||||||
5.250%, 12/01/2028 (Callable 12/01/2023) | 75,000 | 77,030 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.125%, 05/15/2035 (Callable 07/31/2020) | 25,000 | 25,062 | ||||||||||
4.125%, 11/15/2037 (Callable 11/15/2025) | 30,000 | 32,205 | ||||||||||
Joliet Park District, | ||||||||||||
4.000%, 02/01/2033 (Callable 02/01/2023)(Insured by AGM) | 100,000 | 103,973 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
0.000%, 06/15/2029 (Insured by NATL) | 100,000 | 74,072 | ||||||||||
Southern Illinois University, | ||||||||||||
5.000%, 04/01/2021 | 95,000 | 96,495 | ||||||||||
State of Illinois, | ||||||||||||
5.500%, 05/01/2030 | 100,000 | 114,008 | ||||||||||
Upper Illinois River Valley Development Authority, | ||||||||||||
5.000%, 01/01/2045 (Callable 01/01/2027) (3) | 100,000 | 100,275 | ||||||||||
Village of Crestwood IL, | ||||||||||||
4.000%, 12/15/2027 (Callable 12/15/2025)(Insured by BAM) | 100,000 | 111,919 | ||||||||||
Will County Community High School District No. 210, | ||||||||||||
4.000%, 01/01/2034 (Callable 01/01/2029)(Insured by AGM) | 100,000 | 109,851 | ||||||||||
Total Illinois (Cost $1,260,330) | 1,290,257 | 9.9 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority, | ||||||||||||
5.000%, 10/01/2032 (Callable 10/01/2023) | 150,000 | 151,986 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2026) | 100,000 | 117,429 | ||||||||||
St. Joseph County Airport Authority, | ||||||||||||
0.010%, 07/01/2028 | 155,000 | 136,811 | ||||||||||
Total Indiana (Cost $384,398) | 406,226 | 3.1 | % | |||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2025 (Callable 06/01/2024) | 100,000 | 100,195 | ||||||||||
Total Iowa (Cost $99,375) | 100,195 | 0.8 | % | |||||||||
Kansas | ||||||||||||
City of Coffeyville KS, | ||||||||||||
5.000%, 06/01/2025 (Insured by NATL) (3) | 100,000 | 107,910 | ||||||||||
City of Derby KS, | ||||||||||||
3.900%, 03/01/2037 (Callable 03/01/2025) | 25,000 | 23,752 | ||||||||||
Total Kansas (Cost $129,401) | 131,662 | 1.0 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority, | ||||||||||||
0.000%, 10/01/2027 (Insured by NATL) | 90,000 | 75,430 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
1.235%, 12/01/2049 (1 Month LIBOR USD + 1.120%) (Callable 03/01/2025)(Mandatory Tender Date 06/01/2025) (2) | 50,000 | 49,056 | ||||||||||
Total Kentucky (Cost $122,249) | 124,486 | 1.0 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, | ||||||||||||
6.500%, 11/01/2035 (Callable 11/01/2020) | 50,000 | 50,664 | ||||||||||
Total Louisiana (Cost $50,000) | 50,664 | 0.4 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
3.500%, 10/01/2022 (3) | 60,000 | 60,127 | ||||||||||
Total Massachusetts (Cost $57,848) | 60,127 | 0.5 | % | |||||||||
Minnesota | ||||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2037 (Callable 05/01/2027) | 50,000 | 53,241 | ||||||||||
Total Minnesota (Cost $54,783) | 53,241 | 0.4 | % | |||||||||
Missouri | ||||||||||||
Health & Educational Facilities Authority of the State of Missouri, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 100,550 | ||||||||||
Industrial Development Authority of the City of St. Louis, | ||||||||||||
3.875%, 11/15/2029 (Callable 11/15/2026) | 100,000 | 89,537 | ||||||||||
Missouri Southern State University, | ||||||||||||
4.000%, 10/01/2037 (Callable 10/01/2029)(Insured by AGM) | 65,000 | 71,973 | ||||||||||
St. Joseph Industrial Development Authority, | ||||||||||||
2.950%, 01/01/2022 | 100,000 | 98,077 | ||||||||||
St. Louis Land Clearance for Redevelopment Authority: | ||||||||||||
4.250%, 06/01/2026 | 125,000 | 133,975 | ||||||||||
5.000%, 10/01/2035 (Callable 10/01/2029) (5) | 175,000 | 153,878 | ||||||||||
Total Missouri (Cost $667,545) | 647,990 | 5.0 | % | |||||||||
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 100,000 | 113,636 | ||||||||||
Total Nebraska (Cost $100,000) | 113,636 | 0.9 | % | |||||||||
Nevada | ||||||||||||
City of Sparks NV, | ||||||||||||
2.500%, 06/15/2024 (3) | 50,000 | 49,075 | ||||||||||
Total Nevada (Cost $45,047) | 49,075 | 0.4 | % |
New Jersey | ||||||||||||
Atlantic City Board of Education, | ||||||||||||
3.400%, 08/15/2024 (3) | 85,000 | 91,430 | ||||||||||
Borough of Woodbury Heights NJ, | ||||||||||||
4.000%, 12/01/2024 (Callable 07/31/2020)(Insured by AGC) | 20,000 | 20,058 | ||||||||||
Essex County Improvement Authority, | ||||||||||||
5.000%, 11/01/2027 | 100,000 | 123,226 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
5.000%, 03/01/2029 (Callable 03/01/2023) | 300,000 | 316,593 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
0.000%, 12/15/2026 (Insured by AMBAC) | 35,000 | 28,362 | ||||||||||
5.000%, 12/15/2028 | 200,000 | 232,674 | ||||||||||
South Jersey Port Corp., | ||||||||||||
5.000%, 01/01/2025 | 100,000 | 108,505 | ||||||||||
Total New Jersey (Cost $894,658) | 920,848 | 7.1 | % | |||||||||
New York | ||||||||||||
Albany County Capital Resource Corp., | ||||||||||||
3.100%, 07/01/2030 | 100,000 | 88,530 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 05/15/2022 | 25,000 | 26,105 | ||||||||||
Middletown City School District, | ||||||||||||
3.000%, 06/15/2034 (Callable 06/15/2024)(Insured by ST AID) | 110,000 | 115,564 | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
4.000%, 07/15/2040 (Callable 07/15/2029)(Insured by ST AID) | 150,000 | 172,237 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 07/01/2031 (Callable 07/01/2026) | 55,000 | 65,148 | ||||||||||
5.000%, 03/15/2048 (Callable 09/15/2028) | 250,000 | 306,632 | ||||||||||
New York Transportation Development Corp.: | ||||||||||||
5.000%, 01/01/2021 | 75,000 | 75,590 | ||||||||||
5.000%, 01/01/2024 | 75,000 | 79,088 | ||||||||||
Onondaga Civic Development Corp., | ||||||||||||
5.000%, 10/01/2023 | 100,000 | 103,566 | ||||||||||
Town of Ramapo NY: | ||||||||||||
3.250%, 05/15/2023 | 100,000 | 96,749 | ||||||||||
3.750%, 03/01/2030 (Callable 03/01/2023) | 50,000 | 46,462 | ||||||||||
Total New York (Cost $1,130,285) | 1,175,671 | 9.0 | % | |||||||||
North Carolina | ||||||||||||
Winston-Salem State University, | ||||||||||||
4.250%, 06/01/2032 (Callable 06/01/2024) | 75,000 | 76,361 | ||||||||||
Total North Carolina (Cost $81,920) | 76,361 | 0.6 | % | |||||||||
North Dakota | ||||||||||||
City of Dickinson ND, | ||||||||||||
5.000%, 10/01/2025 (Callable 10/01/2021) | 100,000 | 102,755 | ||||||||||
County of Burleigh ND, | ||||||||||||
3.000%, 11/01/2021 (Callable 02/18/2021) | 100,000 | 97,265 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
3.350%, 07/01/2031 (Callable 01/01/2027) | 150,000 | 164,617 | ||||||||||
Total North Dakota (Cost $362,055) | 364,637 | 2.8 | % | |||||||||
Ohio | ||||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
2.659%, 12/01/2023 (1) | 170,000 | 168,163 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
3.750%, 09/01/2050 (Callable 03/01/2029)(Insured by GNMA) | 65,000 | 72,281 | ||||||||||
Ohio Turnpike & Infrastructure Commission, | ||||||||||||
0.000%, 02/15/2034 (Callable 02/15/2031) (5) | 70,000 | 84,459 | ||||||||||
Port of Greater Cincinnati Development Authority: | ||||||||||||
3.000%, 05/01/2023 (Callable 05/01/2022) | 100,000 | 99,818 | ||||||||||
5.000%, 04/01/2030 (6) | 125,000 | 152,391 | ||||||||||
Total Ohio (Cost $575,819) | 577,112 | 4.4 | % | |||||||||
Oklahoma | ||||||||||||
Norman Regional Hospital Authority, | ||||||||||||
5.000%, 09/01/2037 (Callable 09/01/2027) | 25,000 | 28,566 | ||||||||||
Tulsa Industrial Authority: | ||||||||||||
5.000%, 10/01/2022 | 100,000 | 104,889 | ||||||||||
5.000%, 10/01/2023 | 25,000 | 26,687 | ||||||||||
Total Oklahoma (Cost $162,272) | 160,142 | 1.2 | % | |||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
5.000%, 06/15/2038 (Callable 06/15/2027) (5) | 100,000 | 121,772 | ||||||||||
Salem Hospital Facility Authority, | ||||||||||||
5.000%, 05/15/2034 (Callable 05/15/2029) | 50,000 | 62,139 | ||||||||||
Total Oregon (Cost $169,994) | 183,911 | 1.4 | % | |||||||||
Pennsylvania | ||||||||||||
City of Philadelphia PA, | ||||||||||||
5.250%, 06/15/2030 (Callable 07/31/2020) | 100,000 | 100,751 | ||||||||||
East Hempfield Township Industrial Development Authority, | ||||||||||||
5.000%, 07/01/2025 | 150,000 | 150,775 | ||||||||||
Montgomery County Higher Education & Health Authority, | ||||||||||||
3.000%, 05/01/2036 (Mandatory Tender Date 05/01/2021) (1) | 100,000 | 101,224 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.000%, 05/01/2031 (Callable 05/01/2026) | 25,000 | 28,498 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
0.000%, 12/01/2040 (Callable 06/01/2029) (5) | 75,000 | 76,660 | ||||||||||
5.000%, 12/01/2048 (Callable 12/01/2028) | 40,000 | 48,406 | ||||||||||
Total Pennsylvania (Cost $503,181) | 506,314 | 3.9 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Turnpike & Bridge Authority, | ||||||||||||
4.000%, 10/01/2036 (Callable 10/01/2029) | 125,000 | 140,395 | ||||||||||
Total Rhode Island (Cost $139,845) | 140,395 | 1.1 | % | |||||||||
South Carolina | ||||||||||||
Florence-Darlington Commission for Technical Education, | ||||||||||||
5.000%, 03/01/2024 (Callable 09/01/2023) | 100,000 | 106,147 | ||||||||||
Patriots Energy Group Financing Agency, | ||||||||||||
4.000%, 10/01/2048 (Callable 11/01/2023)(Mandatory Tender Date 02/01/2024) (1) | 65,000 | 71,397 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
4.000%, 08/15/2030 (Callable 08/15/2026) | 100,000 | 105,124 | ||||||||||
5.250%, 08/15/2033 (Callable 08/15/2026) | 150,000 | 165,810 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
3.800%, 07/01/2034 (Callable 07/01/2024)(Insured by GNMA) | 95,000 | 101,260 | ||||||||||
Total South Carolina (Cost $548,185) | 549,738 | 4.2 | % | |||||||||
South Dakota | ||||||||||||
City of Rapid City SD, | ||||||||||||
4.000%, 12/01/2035 (Callable 12/01/2029) | 125,000 | 136,299 | ||||||||||
Total South Dakota (Cost $134,232) | 136,299 | 1.0 | % | |||||||||
Tennessee | ||||||||||||
City of Jackson TN, | ||||||||||||
5.000%, 04/01/2036 (Callable 04/01/2025) | 125,000 | 141,144 | ||||||||||
Total Tennessee (Cost $143,504) | 141,144 | 1.1 | % | |||||||||
Texas | ||||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/01/2033 (Callable 08/01/2028)(PSF Guaranteed) | 125,000 | 147,346 | ||||||||||
Brazoria County Toll Road Authority, | ||||||||||||
0.000%, 03/01/2038 (Callable 03/01/2030) (5) | 55,000 | 54,031 | ||||||||||
Brazos Higher Education Authority, Inc., | ||||||||||||
2.350%, 04/01/2040 (Callable 04/01/2030) | 100,000 | 97,409 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
0.680%, 12/01/2049 (SIFMA Municipal Swap Index + 0.570%) (Callable 06/01/2024)(Mandatory Tender Date 12/04/2024) (2) | 40,000 | 38,759 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
5.000%, 05/15/2040 (Callable 05/15/2025) | 75,000 | 86,857 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I, | ||||||||||||
6.250%, 12/15/2026 | 100,000 | 116,224 | ||||||||||
Total Texas (Cost $526,573) | 540,626 | 4.2 | % | |||||||||
Utah | ||||||||||||
Weber Basin Water Conservancy District, | ||||||||||||
5.000%, 10/01/2050 (Callable 10/01/2029) | 205,000 | 258,761 | ||||||||||
Total Utah (Cost $255,328) | 258,761 | 2.0 | % | |||||||||
Washington | ||||||||||||
King County Housing Authority, | ||||||||||||
4.000%, 11/01/2036 (Callable 11/01/2029) | 200,000 | 237,572 | ||||||||||
Washington Health Care Facilities Authority, | ||||||||||||
1.510%, 01/01/2035 (SIFMA Municipal Swap Index + 1.400%) (Callable 07/01/2024)(Mandatory Tender Date 01/01/2025) (2) | 90,000 | 88,105 | ||||||||||
Total Washington (Cost $310,565) | 325,677 | 2.5 | % | |||||||||
Wisconsin | ||||||||||||
Green Bay Housing Authority, | ||||||||||||
2.000%, 04/01/2030 (Callable 04/01/2025) | 140,000 | 142,393 | ||||||||||
Palmyra-Eagle Area School District, | ||||||||||||
3.000%, 03/01/2025 (Callable 03/01/2023) | 75,000 | 71,554 | ||||||||||
Public Finance Authority: | ||||||||||||
5.000%, 07/01/2022 | 100,000 | 101,913 | ||||||||||
5.000%, 10/01/2023 (3) | 75,000 | 78,747 | ||||||||||
Wisconsin Health & Educational Facilities Authority, | ||||||||||||
4.000%, 05/01/2038 (Callable 05/01/2025) | 100,000 | 80,252 | ||||||||||
Wisconsin Housing & Economic Development Authority, | ||||||||||||
3.500%, 07/01/2025 (6) | 100,000 | 100,089 | ||||||||||
Total Wisconsin (Cost $564,281) | 574,948 | 4.4 | % | |||||||||
Total Long-Term Investments (Cost $12,753,844) | 13,015,653 | 100.1 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Federated Institutional Tax-Free Cash Trust, Premier Shares, 0.03% (4) | 62,793 | 62,793 | ||||||||||
Total Short-Term Investment (Cost $62,793) | 62,793 | 0.5 | % | |||||||||
Total Investments (Cost $12,816,637) | 13,078,446 | 100.6 | % | |||||||||
Liabilities in Excess of Other Assets | (79,825 | ) | (0.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 12,998,621 | 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. |
GNMA | Government National Mortgage Association |
NATL | National Public Finance Guarantee Corp. |
ST AID | State Aid Intercept/Withholding |
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 June 30, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2020. |
(3) | Security issued under Rule 144A under the Securities Act of 1933 and classified as liquid under the Fund’s liquidity risk management program. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2020, the value of these securities total $587,318, which represents 4.52% of total net assets. |
(4) | Seven-day yield. |
(5) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2020. |
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(b) Not Applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable because the Registrant is not a closed-end management investment company.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The Registrant’s management, with the participation of its principal executive and principal financial officers, has evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), as of a date within 90 days prior to the filing date of this Form N-CSR, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on such evaluation, the Registrant's principal executive and principal financial officers have concluded that the design and operation of the Registrant's disclosure controls and procedures are effective in providing reasonable assurance that the information required to be disclosed on Form N-CSR is recorded, processed, summarized and reported within the applicable time periods. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable because the Registrant is not a closed-end management investment company.
Item 13. Exhibits.
(a) | (1) Code of ethics Not applicable - only required for annual reports on Form N-CSR. |
(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. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) BAIRD FUNDS, INC.
By (Signature and Title) /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date September 3, 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 September 3, 2020
By (Signature and Title) /s/Heidi Schneider
Heidi Schneider, Treasurer
Date September 3, 2020