N-CSR 1 char_final.htm CHARLOTTE ANNUAL REPORT char_final.htm - Generated by SEC Publisher for SEC Filing

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: 811-22619

Name of Registrant:

Vanguard Charlotte Funds

Address of Registrant:

P.O. Box 2600

Valley Forge, PA 19482

 

Name and address of agent for service:

Heidi Stam, Esquire

P.O. Box 876

Valley Forge, PA 19482

 

Registrant’s telephone number, including area code: (610) 669-1000

Date of fiscal year end: October 31

Date of reporting period: November 1, 2012 – October 31, 2013

Item 1: Reports to Shareholders


Annual Report | October 31, 2013

Vanguard Total International Bond

Index Fund


 

Vanguard’s Principles for Investing Success

We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.

Goals. Create clear, appropriate investment goals.

Balance. Develop a suitable asset allocation using broadly diversified funds.

Cost. Minimize cost.

Discipline. Maintain perspective and long-term discipline.

A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.

Contents  
Your Fund’s Total Returns. 1
Chairman’s Letter. 2
Fund Profile. 9
Performance Summary. 11
Financial Statements. 12
Trustees Approve Advisory Arrangement. 74
Glossary. 75

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.

See the Glossary for definitions of investment terms used in this report.

About the cover: The ship's wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the
flagship for Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.

 

Your Fund’s Total Returns

Period Ended October 31, 2013        
        Returns
  30-Day SEC Income Capital Since
  Yield Returns Returns Inception
Vanguard Total International Bond Index Fund        
Investor Shares (Inception: 5/31/2013) 1.64% 0.60% -0.10% 0.50%
Admiral™ Shares (Inception: 5/31/2013) 1.67 0.62 -0.10 0.52
Institutional Shares (Inception: 5/31/2013) 1.75 0.64 -0.10 0.54
ETF Shares (Inception: 5/31/2013) 1.67      
Market Price       0.71
Net Asset Value       0.51
Barclays Global Aggregate ex-USD Float Adjusted        
RIC Capped Index (USD Hedged)       0.62
International Income Funds Average       1.09
International Income Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.    

 

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are
available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares
shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE
Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.

Your Fund’s Performance at a Glance        
Inception Through October 31, 2013        
      Distributions Per Share
  Starting Ending    
  Share Share Income Capital
  Price Price Dividends Gains
Vanguard Total International Bond Index Fund        
Investor Shares $10.00 $9.99 $0.059 $0.000
Admiral Shares 20.00 19.98 0.122 0.000
Institutional Shares 30.00 29.97 0.189 0.000
ETF Shares 49.94 49.95 0.242 0.000

 

1

 


Chairman’s Letter

Dear Shareholder,

I am pleased to present the first shareholder report for Vanguard Total International Bond Index Fund. We launched this fund to give investors a diversified, low-cost opportunity to participate in the performance of the largest investable global asset class, bonds issued outside the United States.

From its inception on May 31, 2013, through October 31, the fund returned 0.50% for Investor Shares and a bit more for other share classes. This result lagged the average return of international income funds but closely tracked the 0.62% return of the fund’s benchmark—the Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged)—which of course incurs no expenses. The fund’s close index tracking in its first few months is a testament to the skill and experience of Vanguard’s Fixed Income Group, the fund’s advisor.

Barclays constructs and manages your fund’s custom index with caps, or limits, on certain holdings. The intent is to comply with Internal Revenue Service diversification standards for regulated investment companies, or RICs, a category that includes mutual funds.

When we launched the Total International Bond Index Fund, we added it to almost all of our all-in-one funds, including the Vanguard Target Retirement Funds, to further diversify their portfolios. The addition of currency-hedged international bonds is expected to benefit all-in-one

2

 

fund investors by dampening the volatility of their returns. And shareholders of Total International Bond Index Fund benefit by having a larger initial pool of assets under management, which can facilitate the fund’s strategy of sampling the index by holding a range of securities that approximates the index’s key risk factors and characteristics—such as average duration and credit quality. Sampling is a common industry practice for bond index funds because it can be difficult and potentially costly to own all the bonds in an index—more than 7,000 bonds in the case of your fund.

This report includes a brief look at the financial markets over the full 12 months of the fund’s fiscal year, followed by a review of the fund’s performance since May 31, when it began operations.

Before moving to that discussion, however, I want to mention an important transition at Vanguard. As we announced in early November, Robert F. Auwaerter, principal and head of Vanguard Fixed Income Group, intends to retire in March 2014. At the conclusion of this letter, I’ll have more to say about the important contributions Bob has made to Vanguard in his 32-year career, and I’ll introduce his successor, Gregory Davis.

Bond returns suffered as markets
worldwide kept an eye on the Fed

With investors around the world fretting over the Federal Reserve’s next move in its stimulative bond-buying program, bonds recorded negative results for the 12 months ended October 31, 2013. Outside of the United States, bond

Market Barometer      
    Average Annual Total Returns
    Periods Ended October 31, 2013
  One Three Five
  Year Years Years
Bonds      
Barclays U.S. Aggregate Bond Index (Broad taxable      
market) -1.08% 3.02% 6.09%
Barclays Municipal Bond Index (Broad tax-exempt market) -1.72 3.60 6.37
Citigroup Three-Month U.S. Treasury Bill Index 0.06 0.07 0.12
 
Stocks      
Russell 1000 Index (Large-caps) 28.40% 16.83% 15.84%
Russell 2000 Index (Small-caps) 36.28 17.69 17.04
Russell 3000 Index (Broad U.S. market) 28.99 16.89 15.94
MSCI All Country World Index ex USA (International) 20.29 6.04 12.48
 
CPI      
Consumer Price Index 0.96% 2.21% 1.52%

 

3

 

markets (as measured by the Barclays Global Aggregate Index ex USD, unhedged for foreign currency exposure) returned –1.95%, trailing the broad U.S. taxable bond market. International bonds generally traced a bumpy path similar to that of U.S. bonds, in part reflecting the ebb and flow of concerns about when the Fed might begin to reduce, or “taper,” its bond purchases—and the implications for global economic growth.

The broad U.S. taxable bond market returned –1.08%. The yield of the 10-year Treasury note closed at 2.54%, up nearly a full percentage point from 1.69% at the end of October 2012. (Bond yields and prices move in opposite directions.) Municipal bonds returned –1.72%. The

Fed’s target for short-term interest rates remained at 0%–0.25%, severely limiting returns for money market funds and savings accounts.

Stocks in developed markets
found a path to strong returns

Stocks outside of the United States returned about 20% for the year. The developed markets of Europe and the Pacific region delivered robust gains. In Japan, the pro-growth, weaker-yen policies of Prime Minister Shinzo Abe have sparked an economic revival that helped propel the stock market to return almost 65% in yen, and about half that for U.S. dollar-based investors. Emerging-market stocks failed to keep pace with those of developed economies.

Expense Ratios          
Your Fund Compared With Its Peer Group          
 
  Investor Admiral Institutional ETF Peer Group
  Shares Shares Shares Shares Average
Total International Bond Index Fund 0.23% 0.20% 0.12% 0.20% 1.04%

 

The fund expense ratios shown are from the prospectus dated May 31, 2013, and represent estimated costs for the current fiscal year. For the
period from inception through October 31, 2013, the fund’s annualized expense ratios were 0.23% for Investor Shares, 0.20% for Admiral
Shares, 0.12% for Institutional Shares, and 0.20% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper, a
Thomson Reuters Company, and captures information through year-end 2012.

Peer group: International Income Funds.

4

 

U.S. stocks faced several challenges en route to an impressive return of about 29%. Investors’ growing appetite for risk drove the rise in stocks, as corporate profit growth, in general, wasn’t particularly tantalizing.

Although the end of the fiscal year was notable for the budget impasse that resulted in October’s 16-day partial federal government shutdown, the period as a whole was marked by uncertainties about Fed monetary policy and concern about the economy’s patchy growth. Vanguard’s chief economist, Joe Davis, recently noted that “as was the case at the start of the year, the U.S. economy continues to expand at a modest and uneven pace.”

The disparity between the performance of the U.S. economy and U.S. stocks may seem surprising—but Vanguard research has shown that over the long term, a nation’s economic growth has a weak relationship with its stock returns. (You can read more in The Outlook for Emerging Market Stocks in a Lower-Growth World, available at vanguard.com/research.)

For bonds, gains in Japan
but mixed returns across Europe

When it became clearer that the Fed was unlikely to begin curtailing its U.S. bond purchases before 2014, investors found some of the higher yields available from international bonds more attractive. While the broad U.S. bond market returned –0.19% for the five months ended October 31, many international bond markets gained ground.

As the largest regional slice of your fund and its index (almost 60% at the end of the period), Europe was a significant driver of the fund’s total return. Returns in three of the largest developed markets were mixed: France posted a modest positive return, but Germany and the United Kingdom had negative results. Ireland, Italy, and Spain, all beneficiaries of Eurozone bailouts, each posted returns of about 2% to 3%. Meanwhile, Japan, the largest single country in the fund and its index, returned about 2%.

In a single-country market such as the United States, Japan, or the United Kingdom, it can be easier to try to interpret performance based on the credit quality and maturity of a fund’s portfolio. But in a fund whose holdings span countries around the globe, many factors—in addition to each nation’s monetary policy, interest rates, and expected inflation—can influence bond prices. That said, some of the fund’s most robust returns came from lower-rated—but still investment-grade—bonds; many top-quality bonds had negative returns. Intermediate-maturity bonds generally outperformed those with shorter and longer maturities.

Although your fund has only a five-month history, we are pleased by its initial success in closely tracking its benchmark index—an accomplishment that requires skill not only in implementing the index-sampling strategy but also in hedging currency exposure. As always, however, we encourage you to evaluate results over a long-term horizon.

 

5

 

The case for adding non-U.S. bonds
in a diversified portfolio

Vanguard’s investment principles, which you can see on the inside front cover, don’t change in response to the latest fads. Occasionally, however, we do adjust our asset allocation guidelines for long-term strategic reasons, but only after formal, thorough deliberation. Our decision to launch your fund and to include it in Vanguard’s all-in-one funds is a case in point.

Bonds issued by governments, corporations, and other entities outside the United States have long been a meaningful slice of worldwide capital

markets. Consistent with Vanguard’s belief in balance, diversification, and broad market exposure, it would have been theoretically appropriate to offer an international bond fund before now. However, the many practical obstacles to buying non-U.S. bonds—including illiquidity, high trading and currency-hedging costs, and difficulties in navigating foreign credit markets—kept them absent from our fund lineup.

That changed with the recent growth and maturation of bond markets abroad, accompanied by lower currency-hedging costs, further globalization of businesses, greater capital flows, and better access

Currency hedging helps non-U.S. bonds perform like......... non-U.S. bonds
 
When a U.S.-based investor buys a bond issued in a foreign currency, interest income and
changes in the bond’s price aren’t the only drivers of its total return. Fluctuations in the
currency’s value relative to the U.S. dollar can also play a role.
 
Vanguard research shows that foreign currency exposure has added significantly to the
volatility of international bond returns, without a corresponding expectation for higher
returns. That’s why we work to hedge away currency risk in Vanguard Total International
Bond Index Fund.
 
To do so, we use short-term forward currency exchange contracts to offset the currency
exposure associated with the fund’s bonds—applying the same process Barclays uses to
construct the fund’s benchmark. That allows the fund to more closely reflect the performance
of its bonds in their local currencies, without the ups and downs of daily swings in exchange
rates. Put simply, the bonds can perform like bonds, delivering regular income with more
moderate price movements than riskier asset classes such as stocks. And because the
U.S. and international bond markets historically have had different interest rate and inflation
patterns, non-U.S. bonds can offer long-term diversification benefits.
 
To capture more of hedging’s advantage, it’s important to keep costs low. Hedging costs
have declined in recent years, and about 80% of your fund’s holdings are in highly liquid,
easily hedgeable euro, Japanese yen, and British pounds.

 

6

 

to information. In 2000, non-U.S. bonds represented less than 20% of the world’s capital markets. By year-end 2012, they had grown to approximately 33%, the largest global asset class and well ahead of international stocks (24%), U.S. bonds (22%), and U.S. stocks (21%).

Greater market size and lower barriers to access aren’t sufficient to merit adding international bonds to a portfolio. To serve as a core asset class, they should demonstrate a beneficial role.

Vanguard research has shown that international bonds—when currency exposure is hedged appropriately—have the potential to reduce the overall volatility of portfolio returns, providing a diversification benefit similar to that expected from international stocks. (You can read more in Global Fixed Income: Considerations for U.S. Investors at vanguard.com/research.)

Of course, an appropriate allocation to international bonds depends on each investor’s circumstances. We believe a suitable starting point is to consider allocating 20% of your fixed income holdings to foreign bonds.

Bob Auwaerter’s retirement
marks the end of a remarkable era

In mid-September 2008, about two weeks after I succeeded Jack Brennan as Vanguard’s chief executive officer, Lehman Brothers went bankrupt, igniting

the nation’s worst financial crisis in 70 years. It was, to put it mildly, an extremely challenging time. Through it all, I was able to depend on Bob Auwaerter’s strong command of the Fixed Income Group, which persevered under these treacherous conditions. Although that was a difficult period for Vanguard and the industry, it was far from the only time I was grateful to have Bob at the helm of our bond group.

Bob, who joined Vanguard in 1981, was an original member of the three-person Fixed Income Group, headed by Ian MacKinnon. Over the years, he held various leadership roles in the department, and he eventually succeeded Ian as its head in 2003. He earned a reputation at Vanguard and within the industry as an extremely dedicated, honest, and insightful decision-maker and leader.

The Fixed Income Group that Bob helped start had total assets of about $1.3 billion in seven funds. He tracked his positions in the two funds he managed on index cards stored in a small metal box. Thirty-two years later, the 120-person group oversees $750 billion, which represents nearly one-third of Vanguard’s assets under management.

On behalf of our clients, I thank Bob for more than three decades of exemplary service and wish him the best in his retirement.

7

 

We’re fortunate that Greg Davis will become the head of the Fixed Income Group. Greg currently serves as chief investment officer for the Asia Pacific region and as a director of Vanguard Investments Australia. He joined Vanguard in 1999 and had been head of bond indexing and a senior portfolio manager in the Fixed Income Group. Greg is an eminently qualified successor and has a strong commitment to the Vanguard way of investing. I couldn’t be more confident in his ability to lead the Fixed Income Group and its deep and talented team.

As always, thank you for investing with Vanguard.


F. William McNabb III
Chairman and Chief Executive Officer
November 19, 2013

8

 

Total International Bond Index Fund

Fund Profile
As of October 31, 2013

Share-Class Characteristics        
  Investor Admiral Institutional  
  Shares Shares Shares ETF Shares
Ticker Symbol VTIBX VTABX VTIFX BNDX
Expense Ratio1 0.23% 0.20% 0.12% 0.20%
30-Day SEC Yield 1.64% 1.67% 1.75% 1.67%

 

Financial Attributes    
 
    Barclays GA
    ex-USD
    Float Adj
    RIC Capped Idx
  Fund (USD Hedged)
 
Number of Bonds 2,077 7,409
 
Yield to Maturity    
(before expenses) 1.8% 1.8%
 
Average Coupon 3.1% 3.3%
 
Average Duration 6.7 years 6.6 years
 
Average Effective    
Maturity 8.3 years 8.2 years
 
Short-Term    
Reserves 1.3% —

 

Sector Diversification (% of portfolio)  
Asset-Backed 0.3%
Finance 6.4
Foreign 80.5
Industrial 4.9
Utilities 1.5
Other 6.4

 

The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S.
government.

Distribution by Credit Quality (% of portfolio)

Aaa 25.9%
Aa 45.1
A 10.6
Baa 18.4

 

For information about these ratings, see the Glossary entry for Credit Quality.

Distribution by Effective Maturity  
(% of portfolio)  
Under 1 Year 0.2%
1 - 3 Years 25.7
3 - 5 Years 19.5
5 - 10 Years 31.9
10 - 20 Years 13.4
20 - 30 Years 7.1
Over 30 Years 2.2

 

Investment Focus


1 The expense ratios shown are from the prospectus dated May 31, 2013, and represent estimated costs for the current fiscal year. For the period from inception through October 31, 2013, the annualized expense ratios were 0.23% for Investor Shares, 0.20% for Admiral Shares, 0.12% for Institutional Shares, and 0.20% for ETF Shares.

9

 

Total International Bond Index Fund

Market Diversification (% of portfolio )  
  Fund
Europe  
France 11.4%
Germany 11.2
United Kingdom 8.3
Italy 8.1
Spain 5.5
Netherlands 3.6
Belgium 2.1
Sweden 1.6
Switzerland 1.6
Austria 1.5
Other 3.1
Subtotal 58.0%
Pacific  
Japan 22.6%
Australia 2.6
South Korea 2.0
Other 0.8
Subtotal 28.0%
Emerging Markets 3.6%
North America  
Canada 5.5%
United States 1.7
Subtotal 7.2%
Middle East 0.2%
Other 3.0%

 

Allocation by Region (% of portfolio)


10

 

Total International Bond Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Fiscal-Year Total Returns (%): May 31, 2013, Through October 31, 2013  
        Barclays GA
        ex-USD
        Float Adj
        RIC Capped Idx
      Investor Shares (USD Hedged)
Fiscal Year Income Returns Capital Returns Total Returns Total Returns
2013 0.60% -0.10% 0.50% 0.62%

 

Total Returns: Periods Ended September 30, 2013

This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.

Securities and Exchange Commission rules require that we provide this information.

        Since Inception
  Inception Date Income Capital Total
Investor Shares 5/31/2013 0.46% -1.00% -0.54%
Admiral Shares 5/31/2013 0.49 -1.00 -0.51
Institutional Shares 5/31/2013 0.50 -0.97 -0.47
ETF Shares 5/31/2013      
Market Price       -0.28
Net Asset Value       -0.51

 

See Financial Highlights for dividend and capital gains information.

11

 

Total International Bond Index Fund

Financial Statements

Statement of Net Assets
As of October 31, 2013

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Australia (2.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
Australia & New Zealand Banking Group Ltd. 1.125% 5/13/20 EUR 2,000 2,628
Commonwealth Bank of Australia 2.625% 1/12/17 EUR 1,000 1,438
Commonwealth Bank of Australia 3.000% 9/4/26 GBP 700 1,063
National Australia Bank Ltd. 2.250% 6/6/25 EUR 1,800 2,388
Westpac Banking Corp. 1.375% 4/17/20 EUR 2,000 2,673
          10,190
Corporate Bonds (0.5%)          
Australia & New Zealand Banking Group Ltd. 3.750% 3/10/17 EUR 5,000 7,377
BHP Billiton Finance Ltd. 2.125% 11/29/18 EUR 1,800 2,529
BHP Billiton Finance Ltd. 2.250% 9/25/20 EUR 1,000 1,383
BHP Billiton Finance Ltd. 3.125% 4/29/33 EUR 500 653
BHP Billiton Finance Ltd. 3.250% 9/25/24 GBP 3,000 4,663
BHP Billiton Finance Ltd. 6.375% 4/4/16 EUR 2,000 3,083
Commonwealth Bank of Australia 1.625% 2/4/19 EUR 2,000 2,719
Commonwealth Bank of Australia 3.875% 12/14/15 GBP 180 304
Commonwealth Bank of Australia 4.375% 2/25/20 EUR 3,500 5,450
Macquarie Bank Ltd. 3.000% 8/9/17 CHF 3,000 3,562
Macquarie Bank Ltd. 6.000% 9/21/20 EUR 1,500 2,299
National Australia Bank Ltd. 4.000% 7/13/20 EUR 5,100 7,808
National Australia Bank Ltd. 4.250% 6/24/15 CHF 1,000 1,171
National Australia Bank Ltd. 4.750% 7/15/16 EUR 1,000 1,498
National Australia Bank Ltd. 5.375% 12/8/14 GBP 500 840
National Australia Bank Ltd. 6.000% 2/15/17 AUD 7,500 7,563
Origin Energy Finance Ltd. 2.875% 10/11/19 EUR 2,000 2,776
1 Origin Energy Finance Ltd. 3.500% 10/4/21 EUR 1,500 2,107
QBE Insurance Group Ltd. 6.125% 9/28/15 GBP 130 225
2 Santos Finance Ltd. 8.250% 9/22/70 EUR 750 1,133
Telstra Corp. Ltd. 2.500% 9/15/23 EUR 3,000 4,037
Wesfarmers Ltd. 2.750% 8/2/22 EUR 3,000 4,163
Wesfarmers Ltd. 4.750% 3/12/20 AUD 5,000 4,634
Westfield UK & Europe Finance plc 4.250% 7/11/22 GBP 2,300 3,888
Westpac Banking Corp. 1.375% 12/23/15 GBP 300 482
Westpac Banking Corp. 4.250% 9/22/16 EUR 3,000 4,461
Westpac Banking Corp. 6.000% 2/20/17 AUD 3,700 3,733
Westpac Banking Corp. 7.250% 11/18/16 AUD 1,500 1,560
          86,101

 

12

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Sovereign Bonds (1.9%)          
Commonwealth of Australia 2.750% 4/21/24 AUD 5,000 4,214
Commonwealth of Australia 3.250% 4/21/29 AUD 16,000 13,121
Commonwealth of Australia 4.250% 7/21/17 AUD 10,000 9,819
Commonwealth of Australia 4.500% 4/15/20 AUD 22,000 21,828
Commonwealth of Australia 4.750% 10/21/15 AUD 25,000 24,549
Commonwealth of Australia 4.750% 6/15/16 AUD 25,000 24,741
Commonwealth of Australia 4.750% 4/21/27 AUD 10,000 9,897
Commonwealth of Australia 5.250% 3/15/19 AUD 15,000 15,435
Commonwealth of Australia 5.500% 4/21/23 AUD 35,000 37,031
Commonwealth of Australia 5.750% 5/15/21 AUD 5,000 5,327
Commonwealth of Australia 6.000% 2/15/17 AUD 15,000 15,479
Commonwealth of Australia 6.250% 4/15/15 AUD 30,000 29,804
New South Wales Treasury Corp. 3.500% 3/20/19 AUD 10,000 9,311
New South Wales Treasury Corp. 4.000% 2/20/17 AUD 11,000 10,632
New South Wales Treasury Corp. 6.000% 3/1/22 AUD 14,000 14,688
Queensland Treasury Corp. 3.500% 9/21/17 AUD 15,000 14,151
Queensland Treasury Corp. 5.500% 6/21/21 AUD 3,000 3,023
Queensland Treasury Corp. 6.000% 2/21/18 AUD 10,000 10,315
Queensland Treasury Corp. 6.000% 7/21/22 AUD 15,000 15,535
Queensland Treasury Corp. 6.250% 2/21/20 AUD 10,000 10,510
South Australian Government          
Financing Authority 4.750% 8/6/19 AUD 7,500 7,312
Treasury Corp. of Victoria 5.500% 11/15/18 AUD 10,000 10,192
Treasury Corp. of Victoria 6.000% 6/15/20 AUD 10,000 10,484
Treasury Corp. of Victoria 6.000% 10/17/22 AUD 7,000 7,364
Western Australian Treasury Corp. 3.000% 6/8/16 AUD 14,000 13,185
          347,947
Total Australia (Cost $457,184)         444,238
Austria (1.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
Erste Group Bank AG 4.000% 1/20/21 EUR 2,000 3,135
HYPO NOE Gruppe Bank AG 3.000% 5/9/22 EUR 2,000 2,922
Raiffeisen-Landesbank Steiermark AG 2.375% 6/14/28 EUR 300 395
UniCredit Bank Austria AG 4.125% 2/24/21 EUR 2,000 3,135
          9,587
Corporate Bonds (0.1%)          
Erste Group Bank AG 3.375% 3/28/17 EUR 1,500 2,177
OMV AG 4.250% 10/12/21 EUR 1,000 1,562
2 OMV AG 6.750% 6/29/49 EUR 1,000 1,514
Raiffeisen Bank International AG 2.750% 7/10/17 EUR 1,500 2,130
Telekom Finanzmanagement GmbH 4.250% 1/27/17 EUR 634 935
UniCredit Bank Austria AG 2.625% 1/30/18 EUR 1,000 1,386
          9,704
Sovereign Bonds (1.3%)          
3 Autobahnen- Und          
Schnellstrasen-Finanzierungs-AG 2.750% 6/11/32 EUR 500 681
3 Autobahnen- Und          
Schnellstrasen-Finanzierungs-AG 2.750% 6/20/33 EUR 700 944
3 Autobahnen- Und          
Schnellstrasen-Finanzierungs-AG 4.375% 7/8/19 EUR 4,000 6,362
Autobahnen- Und          
Schnellstrasen-Finanzierungs-AG 4.500% 10/16/17 EUR 1,000 1,555
Erdoel-Lagergesellschaft mbH 2.750% 3/20/28 EUR 2,000 2,718

 

13

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
3 Hypo Alpe-Adria-Bank International AG 2.375% 12/13/22 EUR 3,000 4,046
3 OeBB Infrastruktur AG 2.250% 7/4/23 EUR 1,000 1,375
3 OeBB Infrastruktur AG 3.375% 5/18/32 EUR 2,000 2,955
3 OeBB Infrastruktur AG 3.500% 10/19/20 EUR 6,000 9,204
3 OeBB Infrastruktur AG 3.500% 10/19/26 EUR 1,000 1,513
3 Oesterreichische Kontrollbank AG 2.125% 7/23/19 CHF 3,500 4,162
1 Republic of Austria 1.750% 10/20/23 EUR 10,000 13,216
1 Republic of Austria 1.950% 6/18/19 EUR 10,000 14,212
1 Republic of Austria 3.150% 6/20/44 EUR 5,000 7,181
1,4 Republic of Austria 3.200% 2/20/17 EUR 15,000 22,155
1 Republic of Austria 3.400% 10/20/14 EUR 15,000 20,993
1 Republic of Austria 3.400% 11/22/22 EUR 10,000 15,290
1 Republic of Austria 3.500% 7/15/15 EUR 10,000 14,337
1 Republic of Austria 3.500% 9/15/21 EUR 10,000 15,447
1 Republic of Austria 3.900% 7/15/20 EUR 10,000 15,753
1 Republic of Austria 4.000% 9/15/16 EUR 10,000 14,982
1,4 Republic of Austria 4.150% 3/15/37 EUR 9,800 16,345
1,4 Republic of Austria 4.350% 3/15/19 EUR 5,000 7,958
1 Republic of Austria 4.650% 1/15/18 EUR 7,000 11,041
1,4 Republic of Austria 4.850% 3/15/26 EUR 15,000 25,886
            250,311
Total Austria (Cost $262,219)         269,602
Belgium (2.0%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)        
  Belfius Bank SA 1.375% 6/5/20 EUR 1,500 2,004
  KBC Bank NV 1.250% 5/28/20 EUR 3,000 3,978
            5,982
Corporate Bonds (0.2%)          
  Anheuser-Busch InBev NV 2.000% 12/16/19 EUR 750 1,037
  Anheuser-Busch InBev NV 4.000% 4/26/18 EUR 1,173 1,784
  Anheuser-Busch InBev NV 6.500% 6/23/17 GBP 2,280 4,263
  Anheuser-Busch InBev NV 8.625% 1/30/17 EUR 3,000 5,057
  Anheuser-Busch InBev NV 9.750% 7/30/24 GBP 800 1,992
  BNP Paribas Fortis SA 5.757% 10/4/17 EUR 2,500 3,876
  Elia System Operator SA / NV 5.625% 4/22/16 EUR 900 1,363
  KBC Internationale          
  Financieringsmaatschappij NV 5.000% 3/16/16 EUR 3,450 5,112
            24,484
Sovereign Bonds (1.8%)          
  Belgacom SA 3.875% 2/7/18 EUR 1,000 1,511
  Eandis CVBA 4.500% 11/8/21 EUR 1,500 2,359
  Flemish Community 3.000% 1/31/18 EUR 2,000 2,925
  Kingdom of Belgium 1.250% 6/22/18 EUR 9,000 12,303
  Kingdom of Belgium 2.250% 6/22/23 EUR 13,500 18,085
1 Kingdom of Belgium 2.750% 3/28/16 EUR 10,000 14,326
  Kingdom of Belgium 3.000% 9/28/19 EUR 10,000 14,742
1 Kingdom of Belgium 3.250% 9/28/16 EUR 30,000 43,884
1 Kingdom of Belgium 3.500% 3/28/15 EUR 5,000 7,096
1 Kingdom of Belgium 3.500% 6/28/17 EUR 10,000 14,880
1 Kingdom of Belgium 3.750% 9/28/20 EUR 8,000 12,286
  Kingdom of Belgium 3.750% 6/22/45 EUR 5,000 7,074
1 Kingdom of Belgium 4.000% 3/28/17 EUR 6,000 9,038
1 Kingdom of Belgium 4.000% 3/28/18 EUR 10,000 15,335
  Kingdom of Belgium 4.000% 3/28/19 EUR 15,000 23,230

 

14

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Kingdom of Belgium 4.000% 3/28/22 EUR 10,000 15,535
Kingdom of Belgium 4.000% 3/28/32 EUR 5,000 7,527
1 Kingdom of Belgium 4.250% 9/28/21 EUR 10,000 15,824
Kingdom of Belgium 4.250% 9/28/22 EUR 10,000 15,780
1 Kingdom of Belgium 4.250% 3/28/41 EUR 8,500 13,268
1 Kingdom of Belgium 4.500% 3/28/26 EUR 7,000 11,207
1 Kingdom of Belgium 5.000% 3/28/35 EUR 15,000 25,676
Kingdom of Belgium 5.500% 3/28/28 EUR 13,000 22,942
          326,833
Total Belgium (Cost $348,429)         357,299
Bermuda (0.0%)          
Corporate Bond (0.0%)          
Bacardi Ltd. (Cost $2,653) 2.750% 7/3/23 EUR 2,000 2,719
Brazil (0.1%)          
Corporate Bonds (0.0%)          
Telemar Norte Leste SA 5.125% 12/15/17 EUR 500 715
Vale SA 3.750% 1/10/23 EUR 1,500 2,083
          2,798
Sovereign Bonds (0.1%)          
1 Banco do Brasil SA 3.750% 7/25/18 EUR 1,000 1,390
Federative Republic of Brazil 7.375% 2/3/15 EUR 3,000 4,393
Petrobras Global Finance BV 3.250% 4/1/19 EUR 5,000 6,941
Petrobras International Finance Co. 6.250% 12/14/26 GBP 2,000 3,357
          16,081
Total Brazil (Cost $18,653)         18,879
Canada (5.3%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
Royal Bank of Canada 3.770% 3/30/18 CAD 5,000 5,107
Royal Bank of Canada 4.625% 1/22/18 EUR 3,000 4,697
          9,804
Corporate Bonds (0.8%)          
407 International Inc. 4.190% 4/25/42 CAD 1,500 1,372
407 International Inc. 4.300% 5/26/21 CAD 1,500 1,555
Bank of Montreal 1.890% 10/5/15 CAD 5,000 4,807
Bank of Montreal 2.240% 12/11/17 CAD 7,500 7,153
Bank of Montreal 6.020% 5/2/18 CAD 4,000 4,449
Bank of Nova Scotia 2.242% 3/22/18 CAD 7,500 7,122
Bank of Nova Scotia 2.250% 5/8/15 CAD 2,000 1,937
2 Bank of Nova Scotia 3.036% 10/18/24 CAD 5,000 4,813
Bank of Nova Scotia 3.610% 2/22/16 CAD 2,000 1,994
Bell Canada 3.350% 6/18/19 CAD 5,000 4,893
Brookfield Asset Management Inc. 4.540% 3/31/23 CAD 2,000 1,941
Canadian Imperial Bank of Commerce 2.220% 3/7/18 CAD 3,000 2,863
Canadian Imperial Bank of Commerce 2.350% 10/18/17 CAD 1,500 1,447
Canadian Imperial Bank of Commerce 2.650% 11/8/16 CAD 10,000 9,766
Capital Power LP 5.276% 11/16/20 CAD 4,000 3,960
CU Inc. 4.543% 10/24/41 CAD 1,000 972
Enbridge Inc. 4.240% 8/27/42 CAD 2,000 1,754
Enbridge Inc. 4.530% 3/9/20 CAD 3,000 3,107
2 Great-West Lifeco Finance Delaware LP 5.691% 6/21/67 CAD 4,000 4,208
Greater Toronto Airports Authority 5.300% 2/25/41 CAD 2,000 2,167
HSBC Bank Canada 2.938% 1/14/20 CAD 2,000 1,922

 

15

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
2 Manulife Financial Capital Trust II 7.405% 12/31/08 CAD 4,000 4,657
2 National Bank of Canada 3.261% 4/11/22 CAD 7,000 6,874
  Rogers Communications Inc. 5.340% 3/22/21 CAD 6,000 6,446
  Royal Bank of Canada 2.260% 3/12/18 CAD 7,500 7,125
2 Royal Bank of Canada 2.990% 12/6/24 CAD 4,000 3,752
  Royal Bank of Canada 3.360% 1/11/16 CAD 7,500 7,428
2 Royal Bank of Canada 4.350% 6/15/20 CAD 2,000 1,991
  Shaw Communications Inc. 6.750% 11/9/39 CAD 2,500 2,733
  Sun Life Financial Inc. 4.570% 8/23/21 CAD 3,000 3,144
  Talisman Energy Inc. 6.625% 12/5/17 GBP 1,350 2,492
  TELUS Corp. 3.350% 4/1/24 CAD 7,500 6,693
  Teranet Holdings LP 4.807% 12/16/20 CAD 4,000 4,074
  Toronto-Dominion Bank 2.171% 4/2/18 CAD 7,500 7,114
  Toronto-Dominion Bank 2.948% 8/2/16 CAD 2,000 1,976
  Wells Fargo Canada Corp. 2.944% 7/25/19 CAD 2,000 1,918
  Westcoast Energy Inc. 5.600% 1/16/19 CAD 275 298
            142,917
Sovereign Bonds (4.4%)          
  Alberta Capital Finance Authority 3.050% 6/15/15 CAD 2,000 1,976
  Canada 1.000% 2/1/15 CAD 25,000 23,966
  Canada 1.000% 5/1/15 CAD 5,000 4,791
  Canada 1.250% 2/1/16 CAD 30,000 28,848
  Canada 1.250% 3/1/18 CAD 25,000 23,592
  Canada 1.250% 9/1/18 CAD 9,000 8,449
  Canada 1.500% 8/1/15 CAD 15,000 14,489
  Canada 1.500% 3/1/17 CAD 20,000 19,282
  Canada 1.500% 6/1/23 CAD 20,000 17,684
  Canada 2.000% 12/1/14 CAD 15,000 14,537
  Canada 2.500% 6/1/15 CAD 35,000 34,324
  Canada 2.500% 6/1/24 CAD 5,000 4,777
  Canada 2.750% 9/1/16 CAD 25,000 24,984
  Canada 3.000% 12/1/15 CAD 10,000 9,959
  Canada 3.500% 6/1/20 CAD 20,000 20,958
  Canada 3.500% 12/1/45 CAD 1,500 1,577
  Canada 4.000% 6/1/41 CAD 12,000 13,608
  Canada 5.000% 6/1/37 CAD 16,000 20,558
  Canada 5.750% 6/1/29 CAD 20,000 26,388
  Canada 5.750% 6/1/33 CAD 20,000 27,238
  Canada 8.000% 6/1/27 CAD 7,000 10,797
1 Canada Housing Trust No 1 1.700% 12/15/17 CAD 7,000 6,690
1 Canada Housing Trust No 1 1.850% 12/15/16 CAD 10,000 9,702
1 Canada Housing Trust No 1 2.050% 6/15/17 CAD 10,000 9,732
1 Canada Housing Trust No 1 2.050% 6/15/18 CAD 10,000 9,637
1 Canada Housing Trust No 1 2.400% 12/15/22 CAD 10,000 9,256
1 Canada Housing Trust No 1 2.450% 12/15/15 CAD 20,000 19,673
1 Canada Housing Trust No 1 2.650% 3/15/22 CAD 7,500 7,142
1 Canada Housing Trust No 1 2.750% 6/15/16 CAD 20,000 19,876
1 Canada Housing Trust No 1 3.800% 6/15/21 CAD 5,000 5,192
1,5 Canada Housing Trust No 1 4.100% 12/15/18 CAD 10,000 10,529
  CDP Financial Inc. 4.600% 7/15/20 CAD 350 370
  City of Toronto 5.200% 6/1/40 CAD 1,000 1,077
  Export Development Canada 0.875% 12/7/16 GBP 1,000 1,600
  Financement-Quebec 2.450% 12/1/19 CAD 9,000 8,571
  Hydro One Inc. 3.200% 1/13/22 CAD 5,000 4,793
  Hydro One Inc. 3.790% 7/31/62 CAD 2,000 1,658
  Hydro-Quebec 5.000% 2/15/45 CAD 8,500 9,381

 

16

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Hydro-Quebec 5.000% 2/15/50 CAD 6,500 7,273
Hydro-Quebec 6.500% 1/16/35 CAD 280 356
Hydro-Quebec 6.500% 2/15/35 CAD 3,000 3,844
Hydro-Quebec 10.500% 10/15/21 CAD 2,000 2,918
Ontario Electricity Financial Corp. 8.250% 6/22/26 CAD 2,000 2,793
Ontario Electricity Financial Corp. 10.125% 10/15/21 CAD 2,500 3,549
Province of Alberta 1.700% 12/15/17 CAD 7,500 7,146
Province of Alberta 2.900% 9/20/29 CAD 2,800 2,439
Province of British Columbia 2.700% 12/18/22 CAD 5,000 4,645
Province of British Columbia 3.200% 6/18/44 CAD 5,000 4,168
Province of British Columbia 3.250% 12/18/21 CAD 5,000 4,918
Province of British Columbia 4.100% 12/18/19 CAD 5,000 5,263
Province of British Columbia 4.700% 6/18/37 CAD 3,300 3,556
Province of British Columbia 4.900% 6/18/48 CAD 3,000 3,421
Province of Manitoba 4.100% 3/5/41 CAD 5,000 4,880
Province of Manitoba 4.600% 3/5/38 CAD 3,000 3,159
Province of Manitoba 5.200% 12/3/15 CAD 3,000 3,107
Province of New Brunswick 2.850% 6/2/23 CAD 5,000 4,606
Province of New Brunswick 3.550% 6/3/43 CAD 1,000 862
Province of New Brunswick 4.450% 3/26/18 CAD 2,000 2,109
Province of New Brunswick 4.800% 6/3/41 CAD 2,750 2,917
Province of Newfoundland and Labrador 4.650% 10/17/40 CAD 2,000 2,109
Province of Newfoundland and Labrador 6.150% 4/17/28 CAD 1,000 1,219
Province of Nova Scotia 3.500% 6/2/62 CAD 2,500 2,162
Province of Nova Scotia 4.100% 6/1/21 CAD 6,000 6,219
Province of Ontario 1.900% 9/8/17 CAD 15,000 14,412
Province of Ontario 2.100% 9/8/18 CAD 15,000 14,309
Province of Ontario 2.850% 6/2/23 CAD 10,000 9,224
Province of Ontario 3.000% 9/28/20 EUR 3,750 5,541
Province of Ontario 3.150% 6/2/22 CAD 15,000 14,392
Province of Ontario 3.450% 6/2/45 CAD 2,000 1,723
Province of Ontario 3.500% 6/2/43 CAD 10,000 8,702
Province of Ontario 4.200% 6/2/20 CAD 15,000 15,698
Province of Ontario 4.300% 3/8/17 CAD 5,000 5,207
Province of Ontario 4.600% 6/2/39 CAD 15,000 15,702
Province of Ontario 4.650% 6/2/41 CAD 12,500 13,215
Province of Ontario 4.700% 6/2/37 CAD 6,000 6,359
Province of Ontario 4.850% 6/2/20 CAD 10,000 10,839
Province of Ontario 5.850% 3/8/33 CAD 3,000 3,614
Province of Ontario 6.500% 3/8/29 CAD 4,000 5,031
Province of Saskatchewan 3.400% 2/3/42 CAD 3,500 3,065
Quebec 3.000% 9/1/23 CAD 10,000 9,249
Quebec 4.250% 12/1/21 CAD 15,000 15,599
Quebec 4.250% 12/1/43 CAD 10,000 9,739
Quebec 4.500% 12/1/17 CAD 5,000 5,274
Quebec 4.500% 12/1/18 CAD 5,000 5,298
Quebec 4.500% 12/1/20 CAD 8,000 8,491
Quebec 5.000% 4/29/19 EUR 3,500 5,676
Quebec 5.000% 12/1/38 CAD 2,000 2,174
Quebec 5.000% 12/1/41 CAD 10,000 10,931
Quebec 5.350% 6/1/25 CAD 5,000 5,562
Quebec 6.000% 10/1/29 CAD 5,000 5,981
          808,306
Total Canada (Cost $1,002,647)         961,027

 

17

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Czech Republic (0.3%)          
Sovereign Bonds (0.3%)          
CEZ AS 3.000% 6/5/28 EUR 500 658
CEZ AS 4.875% 4/16/25 EUR 500 803
CEZ AS 5.000% 10/19/21 EUR 2,000 3,223
Czech Republic 3.625% 4/14/21 EUR 3,000 4,482
Czech Republic 3.750% 9/12/20 CZK 100,000 5,914
Czech Republic 3.850% 9/29/21 CZK 80,000 4,776
Czech Republic 4.000% 4/11/17 CZK 100,000 5,850
Czech Republic 4.500% 11/5/14 EUR 3,000 4,233
Czech Republic 4.600% 8/18/18 CZK 100,000 6,126
Czech Republic 4.850% 11/26/57 CZK 50,000 3,022
Czech Republic 5.000% 6/11/18 EUR 2,000 3,167
Czech Republic 5.700% 5/25/24 CZK 100,000 6,956
Total Czech Republic (Cost $48,640)         49,210
Denmark (0.9%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
Danske Bank A/S 1.625% 2/28/20 EUR 4,000 5,478
Danske Bank A/S 4.125% 11/26/19 EUR 1,000 1,571
Nordea Kredit Realkreditaktieselskab 2.000% 1/1/16 DKK 20,000 3,762
Nordea Kredit Realkreditaktieselskab 3.500% 10/1/44 DKK 9,916 1,767
Nykredit Realkredit A/S 2.000% 4/1/18 DKK 30,000 5,641
Nykredit Realkredit A/S 3.250% 6/1/17 EUR 2,000 2,892
Realkredit Danmark A/S 2.000% 4/1/16 DKK 5,000 942
Realkredit Danmark A/S 4.000% 10/1/41 DKK 4,674 881
          22,934
Corporate Bonds (0.1%)          
AP Moeller - Maersk A/S 3.375% 8/28/19 EUR 2,000 2,919
Carlsberg Breweries A/S 2.625% 7/3/19 EUR 3,000 4,213
Carlsberg Breweries A/S 7.250% 11/28/16 GBP 1,600 2,969
Danske Bank A/S 3.875% 5/18/16 EUR 3,000 4,361
Danske Bank A/S 4.000% 12/9/15 GBP 200 336
2 Danske Bank A/S 4.878% 5/29/49 EUR 1,000 1,379
          16,177
Sovereign Bonds (0.7%)          
DONG Energy A/S 2.625% 9/19/22 EUR 1,000 1,357
DONG Energy A/S 4.875% 1/12/32 GBP 1,000 1,678
DONG Energy A/S 5.750% 4/9/40 GBP 1,000 1,875
2 DONG Energy A/S 6.250% 6/26/13 EUR 1,045 1,518
DONG Energy A/S 6.500% 5/7/19 EUR 1,000 1,691
4 Kingdom of Denmark 1.500% 11/15/23 DKK 30,000 5,313
Kingdom of Denmark 2.000% 11/15/14 DKK 74,700 13,866
Kingdom of Denmark 3.000% 11/15/21 DKK 145,000 29,572
Kingdom of Denmark 4.000% 11/15/17 DKK 109,800 22,765
Kingdom of Denmark 4.000% 11/15/19 DKK 25,000 5,347
Kingdom of Denmark 4.500% 11/15/39 DKK 89,600 22,351
Kingdom of Denmark 7.000% 11/10/24 DKK 20,000 5,562
Kommunekredit 1.375% 1/21/15 CHF 3,000 3,361
          116,256
Total Denmark (Cost $151,569)         155,367

 

18

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
Finland (0.7%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
  Aktia Bank plc 1.125% 6/25/18 EUR 1,200 1,634
  Danske Bank Oyj 3.875% 6/21/21 EUR 2,000 3,113
  Nordea Bank Finland Abp 1.375% 1/15/20 EUR 6,000 8,113
  Nordea Bank Finland Abp 2.250% 5/3/19 EUR 2,000 2,854
  Nordea Bank Finland Abp 2.375% 7/17/17 EUR 5,000 7,173
  OP Mortgage Bank 1.625% 5/23/17 EUR 5,000 7,001
  OP Mortgage Bank 3.500% 7/11/18 EUR 500 756
            30,644
Corporate Bonds (0.1%)          
  Citycon Oyj 3.750% 6/24/20 EUR 500 691
  Pohjola Bank plc 1.250% 5/14/18 EUR 825 1,113
  Pohjola Bank plc 3.125% 1/12/16 EUR 1,500 2,138
  Sampo Oyj 4.250% 2/22/16 EUR 2,000 2,884
  Sampo Oyj 4.250% 2/27/17 EUR 500 736
  Teollisuuden Voima Oyj 4.625% 2/4/19 EUR 1,000 1,522
            9,084
Sovereign Bonds (0.4%)          
  Fortum Oyj 2.250% 9/6/22 EUR 1,500 1,995
  Fortum Oyj 6.000% 3/20/19 EUR 1,000 1,651
  Municipality Finance plc 1.125% 12/7/17 GBP 1,500 2,381
  Republic of Finland 1.125% 12/7/17 GBP 200 320
1 Republic of Finland 1.500% 4/15/23 EUR 5,000 6,572
1 Republic of Finland 1.750% 4/15/16 EUR 10,000 14,088
1 Republic of Finland 2.625% 7/4/42 EUR 2,000 2,672
1,4 Republic of Finland 3.375% 4/15/20 EUR 10,000 15,372
1 Republic of Finland 3.875% 9/15/17 EUR 10,000 15,273
1 Republic of Finland 4.000% 7/4/25 EUR 10,000 16,103
1 Republic of Finland 4.375% 7/4/19 EUR 4,000 6,428
            82,855
Total Finland (Cost $118,305)         122,583
France (11.1%)          
Asset-Backed/Commercial Mortgage-Backed Securities (1.4%)        
  AXA Bank Europe SCF 2.250% 4/19/17 EUR 2,000 2,849
  BNP Paribas Home Loan SFH 1.375% 6/17/20 EUR 7,500 10,098
  BNP Paribas Home Loan SFH 3.125% 3/22/22 EUR 2,000 2,973
  BNP Paribas Home Loan SFH 3.375% 1/12/17 EUR 2,000 2,946
  BNP Paribas Public Sector SCF SA 2.250% 10/22/15 EUR 1,000 1,405
  BPCE SFH SA 3.625% 5/12/16 EUR 8,000 11,682
  BPCE SFH SA 4.000% 3/23/22 EUR 3,000 4,682
  Caisse de Refinancement de l’Habitat SA 2.400% 1/17/25 EUR 1,000 1,357
  Caisse de Refinancement de l’Habitat SA 2.600% 4/26/16 EUR 3,841 5,480
  Caisse de Refinancement de l’Habitat SA 3.300% 9/23/22 EUR 6,500 9,697
  Caisse de Refinancement de l’Habitat SA 3.600% 9/13/21 EUR 1,000 1,529
  Caisse de Refinancement de l’Habitat SA 3.600% 3/8/24 EUR 5,000 7,604
  Caisse de Refinancement de l’Habitat SA 4.000% 4/25/18 EUR 4,525 6,937
  Caisse de Refinancement de l’Habitat SA 4.000% 6/17/22 EUR 4,870 7,637
  Caisse de Refinancement de l’Habitat SA 4.100% 10/25/15 EUR 8,140 11,851
  Caisse Francaise de Financement Local 2.750% 1/25/16 EUR 11,000 15,655
  Caisse Francaise de Financement Local 3.125% 9/15/15 EUR 1,500 2,136
  Caisse Francaise de Financement Local 3.500% 9/16/16 EUR 2,000 2,929
  Caisse Francaise de Financement Local 3.500% 9/24/20 EUR 3,051 4,617
  Caisse Francaise de Financement Local 3.625% 2/26/18 EUR 1,000 1,500

 

19

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Caisse Francaise de Financement Local 4.250% 1/26/22 EUR 3,000 4,742
Caisse Francaise de Financement Local 5.250% 2/6/17 EUR 3,037 4,706
Caisse Francaise de Financement Local 5.375% 7/8/24 EUR 1,000 1,738
Cie de Financement Foncier SA 2.250% 8/21/15 EUR 5,000 7,001
Cie de Financement Foncier SA 2.375% 8/24/18 CHF 4,000 4,734
Cie de Financement Foncier SA 4.250% 1/19/22 EUR 1,000 1,581
Cie de Financement Foncier SA 4.625% 9/23/17 EUR 13,000 20,113
Cie de Financement Foncier SA 4.875% 5/25/21 EUR 11,544 18,946
Cie de Financement Foncier SA 5.500% 1/26/27 GBP 350 653
Cie de Financement Foncier SA 5.750% 10/4/21 EUR 500 863
CIF Euromortgage SA 3.750% 10/23/19 EUR 7,000 10,663
Credit Agricole Home Loan SFH 1.625% 3/11/20 EUR 2,200 3,011
Credit Agricole Home Loan SFH 1.750% 7/27/17 CHF 2,000 2,311
Credit Agricole Home Loan SFH 3.875% 1/12/21 EUR 2,500 3,892
Credit Agricole Home Loan SFH 4.000% 7/16/25 EUR 2,000 3,119
Credit Agricole Home Loan SFH 4.500% 1/29/16 EUR 5,800 8,570
Credit Agricole Public Sector SCF 1.875% 9/20/19 EUR 1,500 2,089
Credit Agricole Public Sector SCF 1.875% 6/7/23 EUR 1,200 1,579
Credit Mutuel - CIC Home Loan SFH 1.375% 4/22/20 EUR 6,500 8,741
Credit Mutuel - CIC Home Loan SFH 3.125% 1/21/15 EUR 3,000 4,210
Credit Mutuel - CIC Home Loan SFH 3.375% 7/18/16 EUR 4,000 5,833
Credit Mutuel Arkea Home Loans SFH 2.375% 7/11/23 EUR 2,000 2,759
HSBC SFH France SA 2.000% 10/16/23 EUR 2,500 3,345
Societe Generale SCF SA 4.250% 2/3/23 EUR 3,000 4,799
Societe Generale SFH 3.250% 6/6/16 EUR 5,000 7,257
Societe Generale SFH 4.000% 1/18/22 EUR 2,000 3,146
          255,965
Corporate Bonds (1.9%)          
Air Liquide SA 2.908% 10/12/18 EUR 2,800 4,111
2 Allianz France SA 4.625% 6/29/49 EUR 1,000 1,378
Alstom SA 2.250% 10/11/17 EUR 2,000 2,775
Alstom SA 2.875% 10/5/15 EUR 2,000 2,810
Alstom SA 4.125% 2/1/17 EUR 2,000 2,936
Arkema SA 3.850% 4/30/20 EUR 600 888
Autoroutes du Sud de la France SA 2.875% 1/18/23 EUR 3,000 4,161
2 AXA SA 5.125% 7/4/43 EUR 3,000 4,406
AXA SA 5.250% 4/16/40 EUR 1,350 1,998
2 AXA SA 5.777% 7/29/49 EUR 2,000 2,836
2 AXA SA 6.667% 7/29/49 GBP 250 421
AXA SA 7.125% 12/15/20 GBP 500 973
Banque Federative du Credit Mutuel SA 1.625% 1/11/18 EUR 1,000 1,364
Banque Federative du Credit Mutuel SA 2.875% 6/21/17 EUR 5,000 7,156
Banque Federative du Credit Mutuel SA 4.000% 10/22/20 EUR 4,000 5,801
BNP Paribas SA 1.375% 11/21/18 EUR 4,000 5,369
BNP Paribas SA 2.375% 11/20/19 GBP 1,000 1,588
BNP Paribas SA 2.875% 11/27/17 EUR 4,000 5,748
BNP Paribas SA 2.875% 9/26/23 EUR 5,000 6,887
BNP Paribas SA 3.000% 2/24/17 EUR 2,000 2,879
BNP Paribas SA 3.500% 3/7/16 EUR 3,000 4,317
2 BNP Paribas SA 5.019% 4/29/49 EUR 2,500 3,508
2 BNP Paribas SA 5.945% 4/29/49 GBP 550 894
Bouygues SA 3.641% 10/29/19 EUR 2,500 3,713
BPCE SA 1.750% 3/14/16 EUR 5,000 6,907
BPCE SA 2.875% 1/16/24 EUR 3,500 4,820
BPCE SA 4.625% 7/18/23 EUR 1,500 2,114
2 BPCE SA 4.625% 7/29/49 EUR 600 823

 

20

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
2 BPCE SA 6.117% 10/29/49 EUR 1,250 1,761
Carrefour SA 1.750% 5/22/19 EUR 5,420 7,310
Carrefour SA 1.875% 12/19/17 EUR 1,000 1,387
Casino Guichard Perrachon SA 3.311% 1/25/23 EUR 1,000 1,381
Casino Guichard Perrachon SA 4.726% 5/26/21 EUR 1,900 2,934
Cie de St-Gobain 3.500% 9/30/15 EUR 2,500 3,562
Cie de St-Gobain 3.625% 3/28/22 EUR 5,000 7,175
Cie de St-Gobain 5.625% 12/15/16 GBP 300 532
Cie Financiere et Industrielle des          
Autoroutes SA 5.000% 5/24/21 EUR 1,500 2,412
2 CNP Assurances 6.000% 9/14/40 EUR 1,000 1,459
2 CNP Assurances 7.375% 9/30/41 GBP 1,000 1,801
Credit Agricole SA 3.625% 3/8/16 EUR 4,900 7,070
Credit Agricole SA 3.875% 2/13/19 EUR 4,000 5,973
Credit Agricole SA 5.875% 6/11/19 EUR 4,000 6,294
2 Credit Agricole SA 7.875% 10/29/49 EUR 2,000 3,042
Danone SA 1.375% 6/10/19 EUR 2,600 3,512
Edenred 3.625% 10/6/17 EUR 1,500 2,194
Eutelsat SA 4.125% 3/27/17 EUR 2,000 2,949
GDF Suez 1.500% 7/20/17 EUR 2,000 2,767
GDF Suez 2.250% 6/1/18 EUR 3,500 4,962
GDF Suez 2.750% 10/18/17 EUR 2,000 2,898
2 GDF Suez 4.750% 7/29/49 EUR 1,000 1,399
GDF Suez 5.000% 10/1/60 GBP 1,650 2,925
GDF Suez 5.625% 1/18/16 EUR 2,000 3,009
GDF Suez 6.375% 1/18/21 EUR 4,500 7,906
GDF Suez 6.875% 1/24/19 EUR 250 431
GDF Suez 7.000% 10/30/28 GBP 50 108
Gecina SA 2.875% 5/30/23 EUR 2,500 3,275
Groupe Auchan SA 2.250% 4/6/23 EUR 2,000 2,672
Groupe Auchan SA 2.375% 12/12/22 EUR 2,000 2,727
Klepierre 4.000% 4/13/17 EUR 2,100 3,097
Legrand SA 4.375% 3/21/18 EUR 1,000 1,527
LVMH Moet Hennessy Louis Vuitton SA 3.375% 4/7/15 EUR 1,500 2,117
2 Natixis 6.307% 10/29/49 EUR 200 281
Orange SA 2.500% 3/1/23 EUR 100 134
Orange SA 3.375% 9/16/22 EUR 3,000 4,326
Orange SA 4.750% 2/21/17 EUR 4,000 6,059
Orange SA 5.375% 11/22/50 GBP 1,000 1,723
Orange SA 5.625% 5/22/18 EUR 2,000 3,207
Orange SA 7.250% 11/10/20 GBP 400 804
Orange SA 8.000% 12/20/17 GBP 600 1,181
Orange SA 8.125% 11/20/28 GBP 1,000 2,236
Pernod Ricard SA 5.000% 3/15/17 EUR 2,500 3,795
Pernod Ricard SA 7.000% 1/15/15 EUR 2,000 2,915
RCI Banque SA 1.750% 7/6/16 EUR 1,500 2,060
RCI Banque SA 2.875% 1/22/18 EUR 2,500 3,533
RCI Banque SA 3.250% 4/25/18 GBP 500 817
RCI Banque SA 4.000% 3/16/16 EUR 690 995
Sanofi 1.000% 11/14/17 EUR 2,000 2,726
Sanofi 4.125% 10/11/19 EUR 1,000 1,557
Sanofi 4.500% 5/18/16 EUR 2,000 2,974
Schneider Electric SA 4.000% 8/11/17 EUR 4,137 6,207
Societe Des Autoroutes Paris-Rhin-Rhone 4.875% 1/21/19 EUR 1,000 1,551
Societe Des Autoroutes Paris-Rhin-Rhone 5.000% 1/12/17 EUR 2,500 3,765
Societe Des Autoroutes Paris-Rhin-Rhone 5.125% 1/18/18 EUR 1,500 2,315

 

21

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Societe Generale SA 2.250% 1/23/20 EUR 4,000 5,494
Societe Generale SA 3.875% 12/17/15 GBP 50 84
Societe Generale SA 4.000% 4/20/16 EUR 1,500 2,187
Societe Generale SA 4.000% 6/7/23 EUR 3,700 5,013
Societe Generale SA 4.750% 3/2/21 EUR 1,000 1,581
Societe Generale SA 5.000% 12/20/18 GBP 2,790 4,990
Societe Generale SA 5.400% 1/30/18 GBP 700 1,222
2 Suez Environnement Co. 4.820% 9/29/49 EUR 500 700
Suez Environnement Co. 5.500% 7/22/24 EUR 2,400 4,095
Thales SA 1.625% 3/20/18 EUR 2,500 3,438
Total Capital International SA 2.125% 3/15/23 EUR 3,000 4,036
Total Capital SA 4.250% 12/8/17 GBP 550 973
Total Capital SA 4.700% 6/6/17 EUR 3,000 4,606
Transport et Infrastructures Gaz France SA 4.339% 7/7/21 EUR 2,000 3,005
Unibail-Rodamco SE 2.375% 2/25/21 EUR 2,000 2,728
Unibail-Rodamco SE 2.500% 6/12/23 EUR 800 1,074
Unibail-Rodamco SE 4.625% 9/23/16 EUR 3,000 4,482
Veolia Environnement SA 4.247% 1/6/21 EUR 3,000 4,582
Veolia Environnement SA 4.375% 1/16/17 EUR 1,000 1,501
2 Veolia Environnement SA 4.450% 1/29/49 EUR 1,000 1,356
Veolia Environnement SA 4.625% 3/30/27 EUR 500 758
2 Veolia Environnement SA 4.850% 1/29/49 GBP 1,100 1,753
Veolia Environnement SA 6.125% 11/25/33 EUR 1,000 1,712
Veolia Environnement SA 6.125% 10/29/37 GBP 1,000 1,926
Vinci SA 3.375% 3/30/20 EUR 1,500 2,196
Vinci SA 4.125% 2/20/17 EUR 2,000 2,970
Vivendi SA 4.125% 7/18/17 EUR 900 1,337
Vivendi SA 4.250% 12/1/16 EUR 2,150 3,194
Vivendi SA 4.750% 7/13/21 EUR 2,000 3,053
          329,356
Sovereign Bonds (7.8%)          
Aeroports de Paris 2.750% 6/5/28 EUR 1,000 1,338
Agence Francaise de Developpement 2.250% 5/27/25 EUR 10,000 13,088
Areva SA 3.500% 3/22/21 EUR 3,500 4,934
BPIFrance Financement 2.750% 10/25/25 EUR 3,000 4,101
Caisse d’Amortissement de la Dette Sociale 1.000% 5/25/18 EUR 10,000 13,593
Caisse d’Amortissement de la Dette Sociale 2.250% 12/7/15 GBP 1,000 1,647
Caisse d’Amortissement de la Dette Sociale 2.375% 1/25/24 EUR 3,500 4,772
Caisse d’Amortissement de la Dette Sociale 3.000% 2/25/16 EUR 13,000 18,680
Caisse d’Amortissement de la Dette Sociale 3.625% 4/25/16 EUR 7,000 10,235
Caisse d’Amortissement de la Dette Sociale 3.750% 10/25/20 EUR 2,000 3,104
Caisse d’Amortissement de la Dette Sociale 4.000% 12/15/25 EUR 5,000 7,783
Caisse d’Amortissement de la Dette Sociale 4.125% 4/25/17 EUR 6,500 9,857
Caisse d’Amortissement de la Dette Sociale 4.125% 4/25/23 EUR 5,000 7,894
Caisse d’Amortissement de la Dette Sociale 4.375% 10/25/21 EUR 8,000 12,890
Caisse Nationale des Autoroutes 4.500% 3/28/18 EUR 3,870 6,039
Caisse Nationale des Autoroutes 6.000% 10/26/15 EUR 943 1,422
Electricite de France SA 2.250% 9/29/17 CHF 1,000 1,180
Electricite de France SA 3.875% 1/18/22 EUR 3,000 4,530
Electricite de France SA 4.500% 11/12/40 EUR 3,900 5,923
Electricite de France SA 4.625% 9/11/24 EUR 2,000 3,197
Electricite de France SA 5.375% 5/29/20 EUR 2,000 3,309
2 Electricite de France SA 5.375% 1/29/49 EUR 3,400 4,866
Electricite de France SA 5.500% 10/17/41 GBP 1,000 1,831
2 Electricite de France SA 6.000% 12/29/49 GBP 800 1,336
Electricite de France SA 6.250% 1/25/21 EUR 5,000 8,654

 

22

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Electricite de France SA 6.250% 5/30/28 GBP 3,000 5,856
French Republic 0.250% 11/25/15 EUR 15,000 20,348
French Republic 1.000% 7/25/17 EUR 15,000 20,620
French Republic 1.000% 5/25/18 EUR 30,000 40,968
French Republic 1.000% 11/25/18 EUR 8,000 10,854
French Republic 1.750% 2/25/17 EUR 15,000 21,171
French Republic 1.750% 5/25/23 EUR 26,000 34,076
French Republic 2.000% 7/12/15 EUR 20,000 27,960
French Republic 2.250% 2/25/16 EUR 30,000 42,520
French Republic 2.250% 10/25/22 EUR 20,000 27,654
French Republic 2.500% 1/15/15 EUR 20,000 27,905
French Republic 2.500% 7/25/16 EUR 17,000 24,393
French Republic 2.500% 10/25/20 EUR 29,000 42,018
French Republic 2.750% 10/25/27 EUR 2,000 2,720
French Republic 3.000% 10/25/15 EUR 40,000 57,232
French Republic 3.000% 4/25/22 EUR 31,000 45,744
French Republic 3.250% 4/25/16 EUR 20,000 29,092
French Republic 3.250% 10/25/21 EUR 25,000 37,700
French Republic 3.250% 5/25/45 EUR 3,000 4,022
French Republic 3.500% 4/25/15 EUR 20,000 28,461
French Republic 3.500% 4/25/20 EUR 35,000 53,834
French Republic 3.500% 4/25/26 EUR 40,000 59,515
French Republic 3.750% 4/25/17 EUR 20,000 30,109
French Republic 3.750% 10/25/19 EUR 20,000 31,066
French Republic 3.750% 4/25/21 EUR 28,000 43,716
French Republic 4.000% 4/25/18 EUR 15,000 23,208
French Republic 4.000% 10/25/38 EUR 20,000 30,981
French Republic 4.000% 4/25/55 EUR 10,000 15,493
French Republic 4.000% 4/25/60 EUR 10,000 15,552
French Republic 4.250% 10/25/17 EUR 25,000 38,658
French Republic 4.250% 10/25/18 EUR 25,000 39,380
French Republic 4.250% 4/25/19 EUR 25,000 39,627
French Republic 4.250% 10/25/23 EUR 25,000 40,006
French Republic 4.500% 4/25/41 EUR 21,500 35,956
French Republic 4.750% 4/25/35 EUR 19,300 33,067
French Republic 5.000% 10/25/16 EUR 20,000 30,808
French Republic 5.500% 4/25/29 EUR 26,000 47,109
French Republic 5.750% 10/25/32 EUR 26,500 50,431
La Poste SA 2.750% 11/26/24 EUR 4,200 5,808
Region of Ile de France 2.250% 6/10/23 EUR 900 1,211
Reseau Ferre de France 4.375% 6/2/22 EUR 7,000 11,199
Reseau Ferre de France 4.830% 3/25/60 GBP 1,000 1,707
Reseau Ferre de France 5.000% 10/10/33 EUR 4,000 6,867
Reseau Ferre de France 5.500% 12/1/21 GBP 3,000 5,644
SA de Gestion de Stocks de Securitee 1.750% 10/22/19 EUR 2,500 3,455
6 UNEDIC 1.250% 5/29/20 EUR 5,000 6,683
6 UNEDIC 2.125% 4/26/17 EUR 5,000 7,122
          1,415,729
Total France (Cost $1,934,009)         2,001,050
Germany (11.0%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.7%)        
Aareal Bank AG 1.000% 6/28/18 EUR 500 680
Aareal Bank AG 1.375% 6/19/17 EUR 2,000 2,777
Bayerische Landesbank 1.625% 4/18/23 EUR 5,000 6,637
Berlin-Hannoversche Hypothekenbank AG 1.125% 2/5/18 EUR 5,000 6,867

 

23

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Deutsche Bank AG 1.375% 9/7/20 EUR 2,000 2,712
Deutsche Genossenschafts-          
Hypothekenbank AG 3.250% 6/15/15 EUR 3,000 4,267
Deutsche Genossenschafts-          
Hypothekenbank AG 4.000% 10/31/16 EUR 1,950 2,920
Deutsche Hypothekenbank AG 1.375% 6/10/20 EUR 1,500 2,026
Deutsche Pfandbriefbank AG 1.500% 3/18/20 EUR 4,000 5,432
Deutsche Pfandbriefbank AG 1.625% 7/4/17 EUR 4,800 6,702
Deutsche Pfandbriefbank AG 1.875% 12/20/19 GBP 600 930
Deutsche Pfandbriefbank AG 2.375% 5/29/28 EUR 1,000 1,322
Deutsche Pfandbriefbank AG 2.625% 10/6/16 EUR 1,253 1,796
Deutsche Postbank AG 3.375% 3/31/20 EUR 5,000 7,645
7 German Postal Pensions Securitisation 2 plc 4.375% 1/18/22 EUR 3,000 4,865
7 German Postal Pensions Securitisation plc 3.375% 1/18/16 EUR 5,000 7,207
Hypothekenbank Frankfurt AG 2.875% 1/19/16 EUR 8,637 12,338
Hypothekenbank Frankfurt AG 3.750% 5/25/16 EUR 4,491 6,588
Hypothekenbank Frankfurt International SA 2.500% 8/29/25 CHF 2,000 2,003
Landesbank Hessen-Thueringen Girozentrale 1.000% 6/26/18 EUR 1,800 2,460
Landesbank Hessen-Thueringen Girozentrale 1.875% 6/26/23 EUR 800 1,086
Landesbank Hessen-Thueringen Girozentrale 4.125% 6/8/16 EUR 5,000 7,426
Muenchener Hypothekenbank eG 0.750% 9/11/17 EUR 3,000 4,088
Muenchener Hypothekenbank eG 2.000% 6/15/15 EUR 4,000 5,580
Norddeutsche Landesbank Girozentrale 3.250% 1/18/21 EUR 4,000 6,080
UniCredit Bank AG 2.625% 5/31/17 EUR 7,000 10,114
WL BANK AG Westfaelische Landschaft          
Bodenkreditbank 1.125% 5/29/20 EUR 2,500 3,354
          125,902
Corporate Bonds (1.2%)          
Allianz Finance II BV 1.375% 3/13/18 EUR 2,100 2,883
Allianz Finance II BV 4.500% 3/13/43 GBP 500 839
2 Allianz Finance II BV 5.750% 7/8/41 EUR 3,000 4,645
2 Allianz SE 5.625% 10/17/42 EUR 2,000 3,080
BASF Finance Europe NV 5.125% 6/9/15 EUR 2,000 2,916
BASF SE 1.875% 2/4/21 EUR 5,000 6,776
BASF SE 2.000% 12/5/22 EUR 3,000 4,015
2 Bayer AG 5.000% 7/29/05 EUR 1,000 1,412
Bertelsmann SE & Co. KGaA 2.625% 8/2/22 EUR 1,000 1,369
BMW Finance NV 1.500% 6/5/18 EUR 1,500 2,058
BMW Finance NV 3.375% 12/14/18 GBP 950 1,610
BMW UK Capital plc 5.000% 10/2/17 GBP 500 901
BMW US Capital LLC 1.000% 7/18/17 EUR 10,000 13,537
BMW US Capital LLC 5.000% 5/28/15 EUR 5,000 7,250
Commerzbank AG 3.625% 7/10/17 EUR 4,500 6,567
Continental AG 3.000% 7/16/18 EUR 1,000 1,418
Daimler AG 1.000% 7/8/16 EUR 1,000 1,365
Daimler AG 1.750% 5/21/15 EUR 4,000 5,530
Daimler AG 2.000% 5/5/17 EUR 1,000 1,403
Daimler AG 2.000% 6/25/21 EUR 600 808
Daimler AG 2.375% 3/8/23 EUR 2,000 2,695
Deutsche Bank AG 2.375% 1/11/23 EUR 4,000 5,441
Deutsche Bank AG 5.000% 6/24/20 EUR 1,500 2,262
Deutsche Boerse AG 1.125% 3/26/18 EUR 2,000 2,720
Deutsche Pfandbriefbank AG 2.000% 7/19/16 EUR 1,500 2,062
Deutsche Post AG 2.875% 12/11/24 EUR 2,000 2,770
Deutsche Telekom International Finance BV 2.125% 1/18/21 EUR 2,000 2,716
Deutsche Telekom International Finance BV 2.750% 10/24/24 EUR 2,000 2,708

 

24

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Deutsche Telekom International Finance BV 4.250% 7/13/22 EUR 3,000 4,607
Deutsche Telekom International Finance BV 4.875% 4/22/25 EUR 3,000 4,805
Deutsche Telekom International Finance BV 6.500% 4/8/22 GBP 2,400 4,683
DVB Bank SE 1.625% 5/28/18 EUR 2,000 2,725
E.ON International Finance BV 5.500% 10/2/17 EUR 4,000 6,340
E.ON International Finance BV 5.750% 5/7/20 EUR 2,000 3,371
Eurogrid GmbH 3.875% 10/22/20 EUR 1,000 1,508
2 Henkel AG & Co. KGaA 5.375% 11/25/04 EUR 1,000 1,441
K&S AG 3.000% 6/20/22 EUR 500 653
Linde AG 2.000% 4/18/23 EUR 2,500 3,306
2 Linde Finance BV 7.375% 7/14/66 EUR 1,000 1,533
2 Linde Finance BV 8.125% 7/14/66 GBP 400 728
MAN SE 1.000% 9/21/15 EUR 730 998
MAN SE 2.125% 3/13/17 EUR 2,000 2,817
Merck Financial Services GmbH 4.500% 3/24/20 EUR 1,000 1,577
Metro AG 3.375% 3/1/19 EUR 1,050 1,523
2 Muenchener Rueckversicherungs AG 5.767% 6/29/49 EUR 2,000 2,891
2 Muenchener Rueckversicherungs AG 6.000% 5/26/41 EUR 500 797
2 Muenchener Rueckversicherungs AG 6.250% 5/26/42 EUR 1,500 2,440
2 RWE AG 4.625% 9/29/49 EUR 1,000 1,377
RWE Finance BV 1.875% 1/30/20 EUR 4,000 5,395
RWE Finance BV 4.750% 1/31/34 GBP 1,200 1,950
RWE Finance BV 5.000% 2/10/15 EUR 3,000 4,297
RWE Finance BV 5.125% 7/23/18 EUR 1,000 1,575
RWE Finance BV 5.625% 12/6/23 GBP 1,400 2,567
RWE Finance BV 6.250% 6/3/30 GBP 1,500 2,866
RWE Finance BV 6.500% 4/20/21 GBP 1,000 1,922
RWE Finance BV 6.625% 1/31/19 EUR 1,000 1,682
Siemens Financieringsmaatschappij NV 1.500% 3/10/20 EUR 4,000 5,366
Siemens Financieringsmaatschappij NV 2.750% 9/10/25 GBP 1,000 1,480
Siemens Financieringsmaatschappij NV 3.750% 9/10/42 GBP 1,000 1,480
2 Siemens Financieringsmaatschappij NV 5.250% 9/14/66 EUR 1,000 1,461
Siemens Financieringsmaatschappij NV 5.625% 6/11/18 EUR 2,000 3,251
2 Siemens Financieringsmaatschappij NV 6.125% 9/14/66 GBP 480 835
Vier Gas Transport Gmbh 2.000% 6/12/20 EUR 1,500 2,047
Vier Gas Transport Gmbh 2.875% 6/12/25 EUR 1,000 1,368
Volkswagen Financial Services NV 1.250% 5/23/16 GBP 2,800 4,486
Volkswagen Financial Services NV 1.250% 12/15/16 GBP 1,250 1,993
Volkswagen Financial Services NV 2.000% 10/23/15 GBP 450 733
Volkswagen International Finance NV 1.000% 10/26/16 EUR 5,000 6,817
Volkswagen International Finance NV 1.250% 8/20/15 GBP 300 482
Volkswagen International Finance NV 2.000% 3/26/21 EUR 5,000 6,740
Volkswagen Leasing GmbH 1.500% 9/15/15 EUR 5,000 6,883
Volkswagen Leasing GmbH 3.375% 6/3/16 EUR 2,000 2,890
Wuerth Finance International BV 1.750% 5/21/20 EUR 4,130 5,566
          220,008
Sovereign Bonds (9.1%)          
Bayerische Landesbodenkreditanstalt 1.875% 1/25/23 EUR 1,000 1,349
Deutsche Bahn Finance BV 1.375% 10/30/17 GBP 1,500 2,415
Deutsche Bahn Finance BV 3.000% 3/8/24 EUR 4,000 5,772
Deutsche Bahn Finance BV 3.750% 6/1/21 EUR 2,000 3,081
2 EnBW Energie Baden-Wuerttemberg AG 7.375% 4/2/72 EUR 1,000 1,498
Erste Abwicklungsanstalt 1.125% 9/30/15 EUR 2,000 2,755
Erste Abwicklungsanstalt 1.125% 8/30/17 EUR 5,000 6,878
EWE AG 4.125% 11/4/20 EUR 2,000 3,030
Federal Republic of Germany 0.500% 2/23/18 EUR 7,000 9,513

 

25

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Federal Republic of Germany 1.500% 2/15/23 EUR 8,000 10,808
Federal Republic of Germany 1.500% 5/15/23 EUR 24,000 32,248
Federal Republic of Germany 1.750% 10/9/15 EUR 25,000 35,019
Federal Republic of Germany 1.750% 7/4/22 EUR 6,000 8,366
Federal Republic of Germany 2.000% 2/26/16 EUR 50,000 70,814
Federal Republic of Germany 2.000% 1/4/22 EUR 4,000 5,724
Federal Republic of Germany 2.000% 8/15/23 EUR 32,000 44,678
Federal Republic of Germany 2.250% 4/10/15 EUR 47,000 65,766
Federal Republic of Germany 2.250% 9/4/20 EUR 20,000 29,354
Federal Republic of Germany 2.500% 2/27/15 EUR 33,000 46,226
Federal Republic of Germany 2.500% 1/4/21 EUR 17,000 25,318
Federal Republic of Germany 2.500% 7/4/44 EUR 25,000 33,419
Federal Republic of Germany 2.750% 4/8/16 EUR 140,000 202,052
Federal Republic of Germany 3.000% 7/4/20 EUR 17,000 26,113
Federal Republic of Germany 3.250% 1/4/20 EUR 18,000 27,937
Federal Republic of Germany 3.250% 7/4/21 EUR 6,000 9,385
Federal Republic of Germany 3.500% 1/4/16 EUR 50,000 72,860
Federal Republic of Germany 3.500% 7/4/19 EUR 15,000 23,470
Federal Republic of Germany 3.750% 1/4/19 EUR 55,000 86,483
Federal Republic of Germany 4.000% 7/4/16 EUR 15,000 22,426
Federal Republic of Germany 4.000% 1/4/18 EUR 18,000 28,074
Federal Republic of Germany 4.000% 1/4/37 EUR 41,000 69,602
Federal Republic of Germany 4.250% 7/4/17 EUR 20,000 31,047
Federal Republic of Germany 4.250% 7/4/18 EUR 12,000 19,096
Federal Republic of Germany 4.250% 7/4/39 EUR 2,400 4,291
Federal Republic of Germany 4.750% 7/4/28 EUR 1,500 2,678
Federal Republic of Germany 4.750% 7/4/34 EUR 4,500 8,314
Federal Republic of Germany 4.750% 7/4/40 EUR 1,500 2,894
Federal Republic of Germany 5.500% 1/4/31 EUR 44,000 85,702
Federal Republic of Germany 5.625% 1/4/28 EUR 14,000 26,978
7 FMS Wertmanagement AoeR 0.750% 12/15/17 GBP 2,000 3,134
FMS Wertmanagement AoeR 1.000% 7/18/17 EUR 2,000 2,751
FMS Wertmanagement AoeR 1.375% 1/16/15 EUR 6,000 8,259
FMS Wertmanagement AoeR 1.875% 8/24/15 EUR 1,500 2,095
FMS Wertmanagement AoeR 1.875% 5/9/19 EUR 6,000 8,483
FMS Wertmanagement AoeR 3.000% 9/8/21 EUR 6,000 9,000
Free State of Bavaria 1.875% 2/7/19 EUR 3,000 4,233
Free State of Bavaria 3.500% 1/27/16 EUR 2,263 3,289
Gemeinsame Deutsche Bundeslaender 1.375% 10/11/19 EUR 2,459 3,356
Gemeinsame Deutsche Bundeslaender 1.750% 1/31/23 EUR 3,000 4,016
Gemeinsame Deutsche Bundeslaender 2.000% 6/2/15 EUR 5,000 6,972
Gemeinsame Deutsche Bundeslaender 2.625% 3/18/16 EUR 975 1,393
Gemeinsame Deutsche Bundeslaender 2.875% 2/9/16 EUR 2,100 3,011
Gemeinsame Deutsche Bundeslaender 3.500% 10/7/19 EUR 1,500 2,293
7 KFW 0.500% 2/26/16 EUR 20,000 27,293
7 KFW 0.625% 5/29/15 EUR 10,000 13,672
7 KFW 0.875% 10/13/17 EUR 12,000 16,434
7 KFW 0.875% 6/25/18 EUR 1,500 2,041
7 KFW 1.000% 12/7/17 GBP 6,500 10,270
7 KFW 1.125% 1/15/20 EUR 13,000 17,565
7 KFW 1.375% 2/21/17 EUR 13,000 18,155
7 KFW 2.500% 1/17/22 EUR 10,000 14,490
7 KFW 2.500% 8/25/25 CHF 2,000 2,455
7 KFW 3.125% 4/8/16 EUR 5,000 7,250
7 KFW 3.375% 1/18/21 EUR 10,350 15,905
7 KFW 3.500% 7/4/15 EUR 10,000 14,323

 

26

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
7 KFW 3.750% 9/7/16 GBP 200 345
7 KFW 3.750% 7/18/18 AUD 10,000 9,382
7 KFW 3.875% 1/21/19 EUR 10,000 15,563
7 KFW 4.375% 2/9/16 CAD 5,000 5,091
7 KFW 5.550% 6/7/21 GBP 4,000 7,763
7 KFW 5.625% 8/25/17 GBP 1,000 1,861
7 KFW 5.750% 6/7/32 GBP 1,000 2,116
7 KFW 6.000% 12/7/28 GBP 3,000 6,377
7 KFW 6.250% 12/4/19 AUD 4,000 4,188
Land Thueringen 1.625% 8/17/20 EUR 2,462 3,348
Landesbank Berlin AG 5.875% 11/25/19 EUR 1,500 2,272
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 0.750% 12/12/17 EUR 2,500 3,394
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 0.875% 12/15/17 GBP 1,000 1,572
7 Landwirtschaftliche Rentenbank 1.000% 12/15/17 GBP 1,000 1,584
7 Landwirtschaftliche Rentenbank 1.875% 5/11/20 EUR 1,500 2,107
7 Landwirtschaftliche Rentenbank 2.250% 5/22/19 NOK 10,000 1,628
7 Landwirtschaftliche Rentenbank 2.875% 8/30/21 EUR 3,000 4,464
7 Landwirtschaftliche Rentenbank 4.250% 1/24/23 AUD 7,500 6,759
7 Landwirtschaftliche Rentenbank 5.500% 3/9/20 AUD 15,000 15,032
NRW Bank 0.625% 8/1/16 EUR 6,000 8,163
NRW Bank 0.875% 12/15/17 GBP 1,000 1,565
NRW Bank 1.000% 11/10/15 EUR 3,000 4,123
NRW Bank 3.875% 1/27/20 EUR 4,000 6,208
State of Baden-Wurttemberg 3.250% 1/18/16 EUR 2,000 2,893
State of Berlin 1.875% 6/12/23 EUR 800 1,075
State of Berlin 3.125% 9/14/15 EUR 4,000 5,711
State of Berlin 3.125% 8/17/21 EUR 2,300 3,440
State of Berlin 3.500% 6/22/17 EUR 5,718 8,517
State of Berlin 4.125% 5/24/16 EUR 2,000 2,965
State of Brandenburg 3.500% 6/15/21 EUR 5,000 7,669
State of Hesse 1.750% 6/19/20 EUR 2,930 4,057
State of Hesse 1.750% 1/20/23 EUR 3,000 4,024
State of Hesse 2.000% 6/16/15 EUR 5,000 6,977
State of Hesse 2.750% 5/30/16 EUR 4,975 7,152
State of Lower Saxony 1.375% 9/26/19 EUR 7,000 9,554
State of Lower Saxony 3.500% 2/22/16 EUR 2,000 2,906
State of North Rhine-Westphalia 0.875% 12/4/17 EUR 17,000 23,122
State of North Rhine-Westphalia 1.875% 9/15/22 EUR 5,000 6,768
State of North Rhine-Westphalia 2.000% 10/15/25 EUR 3,000 3,925
State of North Rhine-Westphalia 2.250% 3/1/19 CHF 2,000 2,380
State of North Rhine-Westphalia 2.375% 5/13/33 EUR 700 894
State of Rhineland-Palatinate 1.250% 1/16/20 EUR 2,000 2,699
State of Rhineland-Palatinate 2.375% 2/23/22 EUR 2,500 3,554
State of Rhineland-Palatinate 2.875% 3/3/17 EUR 1,500 2,180
State of Saxony-Anhalt 1.625% 4/25/23 EUR 4,000 5,286
Wirtschafts- und Infrastrukturbank Hessen 1.750% 12/6/22 EUR 2,500 3,351
          1,651,575
Total Germany (Cost $1,934,331)         1,997,485

 

27

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Hong Kong (0.1%)          
Corporate Bonds (0.1%)          
2 Hutchison Whampoa Europe Finance 13 Ltd. 3.750% 5/29/49 EUR 1,200 1,575
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 EUR 2,000 2,978
Hutchison Whampoa Finance 09 Ltd. 4.750% 11/14/16 EUR 5,000 7,492
          12,045
Sovereign Bond (0.0%)          
Hong Kong Special Administrative Region 0.340% 5/9/16 HKD 35,000 4,493
Total Hong Kong (Cost $16,109)         16,538
Ireland (0.7%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
AIB Mortgage Bank 2.625% 7/29/16 EUR 3,000 4,166
Bank of Ireland Mortgage Bank 2.750% 3/22/18 EUR 4,000 5,520
Bank of Ireland Mortgage Bank 3.250% 6/22/15 EUR 1,300 1,819
Depfa ACS Bank 3.875% 11/14/16 EUR 5,000 7,203
          18,708
Corporate Bonds (0.1%)          
CRH Finance Ltd. 3.125% 4/3/23 EUR 3,150 4,306
Dali Capital plc 4.799% 12/21/37 GBP 150 239
Freshwater Finance plc 4.607% 10/17/36 GBP 125 195
GE Capital UK Funding 2.250% 9/8/15 GBP 450 734
Willow No.2 Ireland plc for Zurich          
            Insurance Co. Ltd. 3.375% 6/27/22 EUR 1,000 1,444
          6,918
Sovereign Bonds (0.5%)          
DAA Finance plc 6.587% 7/9/18 EUR 500 799
ESB Finance Ltd. 4.375% 11/21/19 EUR 2,000 3,009
Ireland 3.900% 3/20/23 EUR 6,000 8,400
Ireland 4.400% 6/18/19 EUR 10,000 14,738
Ireland 4.500% 10/18/18 EUR 10,000 14,872
Ireland 4.500% 4/18/20 EUR 12,000 17,557
Ireland 4.600% 4/18/16 EUR 10,000 14,675
Ireland 5.000% 10/18/20 EUR 5,000 7,511
Ireland 5.400% 3/13/25 EUR 10,000 15,361
          96,922
Total Ireland (Cost $116,936)         122,548
Israel (0.2%)          
Sovereign Bonds (0.2%)          
State of Israel 2.500% 5/31/16 ILS 8,000 2,335
State of Israel 4.250% 3/31/23 ILS 15,000 4,464
State of Israel 5.500% 2/28/17 ILS 33,000 10,508
State of Israel 5.500% 1/31/22 ILS 20,000 6,521
State of Israel 5.500% 1/31/42 ILS 6,000 1,813
State of Israel 6.000% 2/28/19 ILS 28,000 9,338
Total Israel (Cost $34,274)         34,979
Italy (7.8%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
Banca Carige SPA 4.250% 3/25/15 EUR 1,500 2,087
Banca Popolare di Milano Scarl 3.250% 11/16/15 EUR 2,000 2,763
Banco Popolare SC 3.625% 3/31/17 EUR 3,000 4,152
Intesa Sanpaolo SPA 3.625% 12/5/22 EUR 4,200 5,967
Intesa Sanpaolo SPA 4.375% 8/16/16 EUR 3,000 4,402

 

28

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
UniCredit SPA 1.875% 1/31/19 EUR 3,600 4,838
UniCredit SPA 2.625% 10/31/15 EUR 5,000 6,995
UniCredit SPA 2.625% 10/31/20 EUR 2,000 2,737
UniCredit SPA 4.250% 7/29/16 EUR 3,000 4,394
Unione di Banche Italiane SCPA 5.250% 1/28/21 EUR 2,500 3,903
          42,238
Corporate Bonds (0.6%)          
Assicurazioni Generali SPA 5.125% 9/16/24 EUR 1,000 1,523
2 Assicurazioni Generali SPA 10.125% 7/10/42 EUR 2,200 3,794
Atlantia SPA 3.375% 9/18/17 EUR 2,500 3,598
Atlantia SPA 4.500% 2/8/19 EUR 1,000 1,505
Atlantia SPA 5.625% 5/6/16 EUR 1,000 1,499
Atlantia SPA 6.250% 6/9/22 GBP 320 575
Enel Finance International NV 3.625% 4/17/18 EUR 104 150
Enel Finance International NV 4.875% 3/11/20 EUR 6,040 9,164
Enel Finance International NV 4.875% 4/17/23 EUR 5,000 7,479
Enel Finance International NV 5.750% 9/14/40 GBP 2,800 4,242
Eni SPA 3.750% 6/27/19 EUR 4,000 5,945
Eni SPA 4.750% 11/14/17 EUR 1,000 1,538
2 Generali Finance BV 5.317% 6/29/49 EUR 2,000 2,675
2 Generali Finance BV 6.214% 6/29/49 GBP 250 393
Intesa Sanpaolo SPA 4.000% 11/9/17 EUR 6,000 8,573
Intesa Sanpaolo SPA 4.000% 11/8/18 EUR 500 716
Intesa Sanpaolo SPA 4.125% 9/19/16 EUR 4,000 5,714
Intesa Sanpaolo SPA 4.125% 4/14/20 EUR 2,100 2,999
Intesa Sanpaolo SPA 4.875% 7/10/15 EUR 3,000 4,287
Intesa Sanpaolo SPA 5.150% 7/16/20 EUR 2,000 2,805
Luxottica Group SPA 4.000% 11/10/15 EUR 2,000 2,880
Snam SPA 2.000% 11/13/15 EUR 3,000 4,143
Snam SPA 3.375% 1/29/21 EUR 500 700
Snam SPA 3.875% 3/19/18 EUR 2,796 4,097
Snam SPA 5.000% 1/18/19 EUR 1,400 2,151
Snam SPA 5.250% 9/19/22 EUR 700 1,096
Telecom Italia SPA 4.000% 1/21/20 EUR 6,700 8,883
Telecom Italia SPA 5.875% 5/19/23 GBP 2,150 3,346
Telecom Italia SPA 7.000% 1/20/17 EUR 2,000 3,015
Telecom Italia SPA 7.375% 12/15/17 GBP 150 264
Terna Rete Elettrica Nazionale SPA 4.750% 3/15/21 EUR 3,000 4,644
UniCredit SPA 6.950% 10/31/22 EUR 4,000 5,867
          110,260
Sovereign Bonds (7.0%)          
A2A SPA 4.500% 11/28/19 EUR 1,000 1,456
ACEA SPA 4.500% 3/16/20 EUR 500 724
Cassa Depositi e Prestiti SPA 4.250% 9/14/16 EUR 500 713
Edison SPA 3.875% 11/10/17 EUR 500 741
Ferrovie dello Stato SPA 4.000% 7/22/20 EUR 2,000 2,858
Poste Italiane SPA 3.250% 6/18/18 EUR 650 911
Republic of Italy 2.250% 5/15/16 EUR 17,000 23,346
Republic of Italy 2.500% 1/30/18 CHF 1,000 1,125
Republic of Italy 2.750% 12/1/15 EUR 15,000 20,876
Republic of Italy 3.000% 4/15/15 EUR 15,000 20,893
Republic of Italy 3.000% 6/15/15 EUR 15,000 20,912
Republic of Italy 3.000% 11/1/15 EUR 15,000 20,980
Republic of Italy 3.500% 11/1/17 EUR 15,000 21,111
Republic of Italy 3.500% 6/1/18 EUR 41,500 58,208
Republic of Italy 3.750% 8/1/15 EUR 22,000 31,068

 

29

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Republic of Italy 3.750% 8/1/16 EUR 20,000 28,510
Republic of Italy 3.750% 3/1/21 EUR 20,000 27,786
Republic of Italy 3.750% 8/1/21 EUR 20,000 27,728
Republic of Italy 4.000% 2/1/17 EUR 20,000 28,689
Republic of Italy 4.000% 9/1/20 EUR 20,000 28,337
Republic of Italy 4.000% 2/1/37 EUR 16,000 19,789
Republic of Italy 4.250% 8/1/14 EUR 15,000 20,881
Republic of Italy 4.250% 2/1/15 EUR 50,000 70,614
Republic of Italy 4.250% 2/1/19 EUR 10,000 14,435
Republic of Italy 4.250% 9/1/19 EUR 25,000 36,049
Republic of Italy 4.250% 3/1/20 EUR 19,000 27,229
Republic of Italy 4.500% 7/15/15 EUR 22,000 31,421
Republic of Italy 4.500% 2/1/18 EUR 10,000 14,613
Republic of Italy 4.500% 8/1/18 EUR 25,000 36,575
Republic of Italy 4.500% 3/1/19 EUR 30,000 43,744
Republic of Italy 4.500% 2/1/20 EUR 15,000 21,779
Republic of Italy 4.500% 5/1/23 EUR 35,000 49,688
Republic of Italy 4.500% 3/1/26 EUR 20,000 28,015
Republic of Italy 4.750% 9/15/16 EUR 10,000 14,630
Republic of Italy 4.750% 5/1/17 EUR 10,000 14,649
Republic of Italy 4.750% 6/1/17 EUR 15,000 21,983
Republic of Italy 4.750% 9/1/21 EUR 16,500 24,198
1 Republic of Italy 4.750% 8/1/23 EUR 15,000 21,835
1 Republic of Italy 4.750% 9/1/28 EUR 20,000 28,041
1 Republic of Italy 4.750% 9/1/44 EUR 10,900 14,469
Republic of Italy 5.000% 3/1/22 EUR 16,500 24,467
1 Republic of Italy 5.000% 3/1/25 EUR 15,000 21,890
Republic of Italy 5.000% 8/1/34 EUR 20,000 28,299
Republic of Italy 5.000% 8/1/39 EUR 12,500 17,425
Republic of Italy 5.000% 9/1/40 EUR 22,000 30,481
Republic of Italy 5.250% 8/1/17 EUR 15,000 22,395
Republic of Italy 5.250% 11/1/29 EUR 20,000 29,274
Republic of Italy 5.500% 9/1/22 EUR 22,000 33,527
Republic of Italy 5.500% 11/1/22 EUR 22,000 33,497
Republic of Italy 5.750% 2/1/33 EUR 7,800 12,002
Republic of Italy 6.000% 5/1/31 EUR 30,000 47,265
Republic of Italy 6.500% 11/1/27 EUR 15,000 24,694
Republic of Italy 7.250% 11/1/26 EUR 10,000 17,484
          1,264,309
Total Italy (Cost $1,363,524)         1,416,807
Japan (22.2%)          
Corporate Bonds (0.6%)          
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.460% 1/24/17 JPY 100,000 1,024
Bank of Tokyo-Mitsubishi UFJ Ltd. 1.390% 5/31/22 JPY 100,000 1,070
Bank of Tokyo-Mitsubishi UFJ Ltd. 1.560% 1/20/21 JPY 400,000 4,333
Mizuho Bank Ltd. 0.270% 1/24/18 JPY 600,000 6,092
Mizuho Bank Ltd. 0.540% 7/20/16 JPY 1,000,000 10,240
Mizuho Bank Ltd. 2.250% 11/4/16 JPY 1,000,000 10,725
2 MUFG Capital Finance 5 Ltd. 6.299% 1/29/49 GBP 330 587
Nippon Telegraph & Telephone Corp. 1.310% 12/18/20 JPY 500,000 5,381
Nomura Europe Finance NV 1.875% 5/29/18 EUR 3,200 4,280
Nomura Europe Finance NV 5.500% 3/23/17 GBP 300 525
Norinchukin Bank 0.300% 4/27/18 JPY 500,000 5,089
Norinchukin Bank 0.350% 6/27/17 JPY 700,000 7,144
Norinchukin Bank 0.400% 5/26/17 JPY 1,400,000 14,312

 

30

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Norinchukin Bank 0.500% 9/25/15 JPY 200,000 2,045
Norinchukin Bank 0.500% 11/27/15 JPY 200,000 2,046
Norinchukin Bank 0.550% 1/27/16 JPY 180,000 1,844
Norinchukin Bank 0.700% 3/27/15 JPY 170,000 1,741
Norinchukin Bank 0.700% 4/27/15 JPY 100,000 1,025
Norinchukin Bank 0.750% 2/27/15 JPY 170,000 1,740
Shinkin Central Bank 0.300% 7/27/17 JPY 200,000 2,039
Shinkin Central Bank 0.300% 9/27/17 JPY 200,000 2,039
Shinkin Central Bank 0.350% 5/26/17 JPY 100,000 1,021
Shinkin Central Bank 0.350% 6/27/17 JPY 200,000 2,043
Shinkin Central Bank 0.400% 4/27/17 JPY 700,000 7,161
Shinkin Central Bank 0.450% 11/27/15 JPY 200,000 2,045
Shinkin Central Bank 0.450% 9/27/16 JPY 200,000 2,048
Shinkin Central Bank 0.700% 3/25/16 JPY 200,000 2,058
Sumitomo Mitsui Banking Corp. 1.430% 9/28/20 JPY 600,000 6,435
Toyota Motor Credit Corp. 4.000% 12/7/17 GBP 400 703
          108,835
Sovereign Bonds (21.6%)          
8 Deposit Insurance Corp. of Japan 0.100% 7/11/16 JPY 800,000 8,119
8 Development Bank of Japan Inc. 0.819% 9/20/22 JPY 286,000 2,967
8 Development Bank of Japan Inc. 1.750% 3/17/17 JPY 500,000 5,352
Japan 0.100% 11/15/14 JPY 13,580,650 138,140
Japan 0.100% 5/15/15 JPY 6,000,000 61,030
Japan 0.100% 3/20/18 JPY 6,900,000 69,952
Japan 0.200% 6/15/15 JPY 2,300,000 23,432
Japan 0.200% 6/20/17 JPY 13,200,000 134,493
Japan 0.200% 9/20/17 JPY 11,000,000 112,051
Japan 0.200% 12/20/17 JPY 1,200,000 12,221
Japan 0.300% 9/20/15 JPY 4,600,000 46,961
Japan 0.300% 6/20/16 JPY 9,850,000 100,664
Japan 0.300% 6/20/18 JPY 2,500,000 25,567
Japan 0.400% 6/20/15 JPY 5,000,000 51,104
Japan 0.400% 6/20/16 JPY 9,000,000 92,213
Japan 0.400% 3/20/18 JPY 2,860,000 29,375
Japan 0.400% 6/20/18 JPY 1,400,000 14,383
Japan 0.500% 3/20/15 JPY 10,700,000 109,435
Japan 0.500% 12/20/15 JPY 10,200,000 104,610
Japan 0.500% 3/20/16 JPY 1,200,000 12,317
Japan 0.600% 3/20/16 JPY 900,000 9,260
Japan 0.600% 3/20/23 JPY 4,800,000 49,011
Japan 0.700% 12/20/22 JPY 4,000,000 41,255
Japan 0.800% 9/20/20 JPY 5,200,000 54,583
Japan 0.800% 6/20/22 JPY 3,500,000 36,489
Japan 0.800% 9/20/22 JPY 6,500,000 67,693
Japan 0.800% 12/20/22 JPY 5,500,000 57,222
Japan 0.800% 6/20/23 JPY 3,693,500 38,373
Japan 0.800% 6/20/23 JPY 400,000 4,155
Japan 0.800% 9/20/23 JPY 200,000 2,073
Japan 0.900% 6/20/22 JPY 2,500,000 26,277
Japan 1.000% 3/20/22 JPY 8,000,000 84,824
Japan 1.100% 6/20/20 JPY 5,100,000 54,579
Japan 1.100% 9/20/21 JPY 650,000 6,950
Japan 1.100% 3/20/33 JPY 1,200,000 11,469
Japan 1.200% 6/20/21 JPY 5,150,000 55,485
Japan 1.300% 12/20/18 JPY 1,800,000 19,336
Japan 1.300% 12/20/19 JPY 8,200,000 88,711

 

31

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Japan 1.300% 3/20/20 JPY 3,400,000 36,815
Japan 1.300% 6/20/20 JPY 1,600,000 17,336
Japan 1.300% 3/20/21 JPY 2,000,000 21,699
Japan 1.400% 9/20/15 JPY 1,300,000 13,543
Japan 1.400% 12/20/18 JPY 5,000,000 53,969
Japan 1.400% 9/20/19 JPY 4,100,000 44,537
Japan 1.500% 3/20/33 JPY 600,000 6,144
Japan 1.600% 6/20/30 JPY 500,000 5,384
Japan 1.600% 3/20/33 JPY 3,000,000 31,235
Japan 1.700% 3/20/18 JPY 6,600,000 71,581
Japan 1.700% 9/20/32 JPY 3,600,000 38,346
Japan 1.700% 12/20/32 JPY 2,845,000 30,206
Japan 1.700% 6/20/33 JPY 800,000 8,437
Japan 1.800% 6/20/23 JPY 2,500,000 28,344
Japan 1.800% 9/20/30 JPY 300,000 3,315
Japan 1.800% 9/20/31 JPY 3,400,000 37,201
Japan 1.800% 12/20/31 JPY 2,600,000 28,366
Japan 1.800% 3/20/43 JPY 2,000,000 21,123
Japan 1.900% 9/20/23 JPY 500,000 5,724
Japan 1.900% 12/20/28 JPY 5,000,000 56,707
Japan 1.900% 9/20/30 JPY 2,600,000 29,130
Japan 1.900% 6/20/31 JPY 2,600,000 28,934
Japan 1.900% 9/20/42 JPY 200,000 2,160
Japan 1.900% 6/20/43 JPY 1,263,200 13,642
Japan 1.900% 3/20/53 JPY 800,000 8,586
Japan 2.000% 3/20/16 JPY 900,000 9,563
Japan 2.000% 12/20/25 JPY 3,360,000 38,925
Japan 2.000% 3/20/31 JPY 2,650,000 29,979
Japan 2.000% 9/20/40 JPY 2,000,000 22,052
Japan 2.000% 3/20/42 JPY 2,940,850 32,446
Japan 2.000% 3/20/52 JPY 1,000,000 11,032
Japan 2.100% 6/20/25 JPY 3,000,000 35,096
Japan 2.100% 12/20/26 JPY 4,100,000 47,949
Japan 2.100% 9/20/28 JPY 6,550,000 76,227
Japan 2.100% 3/20/29 JPY 2,000,000 23,224
Japan 2.100% 6/20/29 JPY 200,000 2,320
Japan 2.100% 9/20/29 JPY 3,600,000 41,697
Japan 2.200% 3/20/26 JPY 800,000 9,458
Japan 2.200% 3/20/28 JPY 2,850,000 33,618
Japan 2.200% 9/20/28 JPY 1,200,000 14,132
Japan 2.200% 3/20/49 JPY 1,560,000 18,070
Japan 2.200% 3/20/51 JPY 1,400,000 16,238
Japan 2.300% 5/20/30 JPY 170,000 2,013
Japan 2.300% 3/20/35 JPY 1,500,000 17,363
Japan 2.300% 12/20/35 JPY 810,000 9,389
Japan 2.300% 12/20/36 JPY 400,000 4,644
Japan 2.300% 3/20/40 JPY 2,000,000 23,351
Japan 2.400% 3/20/34 JPY 2,000,000 23,453
Japan 2.400% 12/20/34 JPY 2,300,000 27,028
Japan 2.400% 3/20/37 JPY 2,100,000 24,809
Japan 2.400% 9/20/38 JPY 2,300,000 27,244
Japan 2.400% 3/20/48 JPY 1,000,000 12,105
Japan 2.500% 9/20/34 JPY 400,000 4,770
Japan 2.500% 9/20/35 JPY 500,000 5,981
Japan 2.500% 6/20/36 JPY 1,200,000 14,385
Japan 2.600% 3/20/19 JPY 700,000 8,028

 

32

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
8 Japan Expressway Holding &          
Debt Repayment Agency 0.300% 11/30/15 JPY 500,000 5,093
Japan Expressway Holding &          
Debt Repayment Agency 0.360% 12/18/15 JPY 1,000,000 10,212
Japan Expressway Holding &          
Debt Repayment Agency 0.500% 9/17/38 JPY 200,000 1,431
Japan Expressway Holding &          
Debt Repayment Agency 0.500% 3/18/39 JPY 200,000 1,425
8 Japan Expressway Holding &          
Debt Repayment Agency 0.668% 3/17/23 JPY 800,000 8,165
Japan Expressway Holding &          
Debt Repayment Agency 0.765% 9/20/22 JPY 200,000 2,051
Japan Expressway Holding &          
Debt Repayment Agency 0.796% 9/20/22 JPY 300,000 3,084
8 Japan Expressway Holding &          
Debt Repayment Agency 0.815% 2/28/23 JPY 500,000 5,173
8 Japan Expressway Holding &          
Debt Repayment Agency 0.834% 1/31/23 JPY 800,000 8,294
8 Japan Expressway Holding &          
Debt Repayment Agency 0.839% 7/29/22 JPY 500,000 5,163
8 Japan Expressway Holding &          
Debt Repayment Agency 0.895% 6/30/22 JPY 500,000 5,189
8 Japan Expressway Holding &          
Debt Repayment Agency 0.900% 10/30/20 JPY 1,200,000 12,628
8 Japan Expressway Holding &          
Debt Repayment Agency 1.200% 12/27/19 JPY 100,000 1,072
8 Japan Expressway Holding &          
Debt Repayment Agency 1.300% 1/30/19 JPY 100,000 1,072
8 Japan Expressway Holding &          
Debt Repayment Agency 1.300% 5/29/20 JPY 100,000 1,079
8 Japan Expressway Holding &          
Debt Repayment Agency 1.400% 7/31/19 JPY 301,000 3,256
8 Japan Expressway Holding &          
Debt Repayment Agency 1.500% 1/29/16 JPY 200,000 2,094
8 Japan Expressway Holding &          
Debt Repayment Agency 1.500% 12/27/17 JPY 273,000 2,922
8 Japan Expressway Holding &          
Debt Repayment Agency 1.500% 6/28/19 JPY 301,000 3,270
8 Japan Expressway Holding &          
Debt Repayment Agency 1.600% 2/28/18 JPY 100,000 1,077
8 Japan Expressway Holding &          
Debt Repayment Agency 1.600% 10/31/18 JPY 501,000 5,437
8 Japan Expressway Holding &          
Debt Repayment Agency 1.700% 7/31/18 JPY 900,000 9,783
8 Japan Expressway Holding &          
Debt Repayment Agency 1.800% 6/29/18 JPY 400,000 4,362
8 Japan Expressway Holding &          
Debt Repayment Agency 1.900% 8/31/17 JPY 500,000 5,412
8 Japan Expressway Holding &          
Debt Repayment Agency 2.000% 8/31/16 JPY 229,000 2,448
8 Japan Expressway Holding &          
Debt Repayment Agency 2.100% 12/28/29 JPY 500,000 5,713
Japan Expressway Holding &          
Debt Repayment Agency 2.120% 6/20/16 JPY 100,000 1,069
8 Japan Expressway Holding &          
Debt Repayment Agency 2.300% 2/29/40 JPY 200,000 2,285

 

33

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Japan Expressway Holding &          
Debt Repayment Agency 2.340% 10/20/27 JPY 700,000 8,204
Japan Expressway Holding &          
Debt Repayment Agency 2.870% 12/20/46 JPY 80,000 946
Japan Expressway Holding &          
Debt Repayment Agency 2.960% 3/19/46 JPY 250,000 2,981
8 Japan Finance Organization for Municipalities 0.250% 10/29/18 JPY 300,000 3,048
8 Japan Finance Organization for Municipalities 0.576% 9/24/21 JPY 600,000 6,156
Japan Finance Organization for Municipalities 0.576% 4/28/23 JPY 800,000 8,071
8 Japan Finance Organization for Municipalities 0.668% 3/17/23 JPY 370,000 3,769
Japan Finance Organization for Municipalities 0.678% 3/28/23 JPY 500,000 5,096
8 Japan Finance Organization for Municipalities 0.900% 11/17/20 JPY 100,000 1,052
8 Japan Finance Organization for Municipalities 0.900% 3/14/22 JPY 600,000 6,282
8 Japan Finance Organization for Municipalities 1.300% 5/25/15 JPY 1,000,000 10,352
Japan Finance Organization for Municipalities 1.570% 9/24/15 JPY 180,000 1,879
8 Japan Finance Organization for Municipalities 1.600% 10/16/18 JPY 200,000 2,167
Japan Finance Organization for Municipalities 1.770% 9/25/18 JPY 400,000 4,370
8 Japan Finance Organization for Municipalities 1.900% 6/22/18 JPY 500,000 5,484
Japan Finance Organization for Municipalities 1.970% 6/20/18 JPY 500,000 5,490
Japan Government Five Year Bond 0.400% 9/20/16 JPY 9,900,000 101,487
Japan Government Forty Year Bond 2.200% 3/20/50 JPY 700,000 8,114
Japan Government Ten Year Bond 1.200% 12/20/20 JPY 2,387,350 25,723
Japan Government Ten Year Bond 1.500% 9/20/18 JPY 7,950,000 85,997
Japan Government Ten Year Bond 1.700% 3/20/17 JPY 2,400,000 25,687
Japan Government Thirty Year Bond 2.000% 12/20/33 JPY 500,000 5,507
Japan Government Thirty Year Bond 2.300% 3/20/39 JPY 1,030,000 11,999
Japan Government Thirty Year Bond 2.500% 3/20/38 JPY 2,800,000 33,712
Japan Government Twenty Year Bond 1.700% 6/20/33 JPY 1,300,000 13,715
Japan Government Twenty Year Bond 1.900% 12/20/23 JPY 1,800,000 20,625
Japan Government Twenty Year Bond 2.100% 12/20/28 JPY 600,000 6,975
Japan Government Twenty Year Bond 2.400% 6/20/28 JPY 500,000 6,031
Japan Highway Public Corp. 1.540% 12/20/22 JPY 500,000 5,505
Major Joint Local Government Bond 0.680% 3/24/23 JPY 700,000 7,138
Major Joint Local Government Bond 0.890% 6/24/22 JPY 800,000 8,346
Major Joint Local Government Bond 0.900% 10/23/20 JPY 300,000 3,153
Major Joint Local Government Bond 1.030% 9/24/21 JPY 400,000 4,232
Major Joint Local Government Bond 1.030% 11/25/21 JPY 200,000 2,115
Major Joint Local Government Bond 1.050% 8/25/21 JPY 500,000 5,298
Major Joint Local Government Bond 1.070% 12/24/21 JPY 400,000 4,241
Major Joint Local Government Bond 1.170% 7/24/20 JPY 1,100,000 11,767
Major Joint Local Government Bond 1.280% 2/25/21 JPY 200,000 2,156
Major Joint Local Government Bond 1.290% 6/25/20 JPY 130,000 1,401
Major Joint Local Government Bond 1.300% 6/25/15 JPY 200,000 2,073
Major Joint Local Government Bond 1.300% 9/25/15 JPY 100,000 1,039
Major Joint Local Government Bond 1.320% 12/25/19 JPY 100,000 1,078
Major Joint Local Government Bond 1.340% 10/25/19 JPY 300,000 3,236
Major Joint Local Government Bond 1.380% 3/25/20 JPY 100,000 1,083
Major Joint Local Government Bond 1.400% 8/25/15 JPY 200,000 2,079
Major Joint Local Government Bond 1.400% 7/25/19 JPY 300,000 3,242
Major Joint Local Government Bond 1.440% 4/24/20 JPY 200,000 2,174
Major Joint Local Government Bond 1.500% 10/23/15 JPY 700,000 7,310
Major Joint Local Government Bond 1.500% 10/25/18 JPY 100,000 1,080
Major Joint Local Government Bond 1.540% 8/23/19 JPY 100,000 1,089
Major Joint Local Government Bond 1.550% 9/25/18 JPY 100,000 1,082
Major Joint Local Government Bond 1.570% 2/23/18 JPY 500,000 5,374
Major Joint Local Government Bond 1.570% 5/24/19 JPY 453,900 4,943

 

34

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Major Joint Local Government Bond 1.600% 11/25/15 JPY 315,800 3,307
Major Joint Local Government Bond 1.600% 12/25/15 JPY 112,800 1,182
Major Joint Local Government Bond 1.600% 2/25/16 JPY 150,000 1,575
Major Joint Local Government Bond 1.640% 6/25/19 JPY 100,000 1,094
Major Joint Local Government Bond 1.800% 1/25/17 JPY 109,000 1,165
Major Joint Local Government Bond 1.900% 6/23/17 JPY 200,000 2,157
Shoko Chukin Bank 0.150% 2/26/16 JPY 500,000 5,078
Shoko Chukin Bank 0.200% 10/27/15 JPY 500,000 5,085
Shoko Chukin Bank 0.250% 4/27/16 JPY 100,000 1,018
Shoko Chukin Bank 0.250% 7/27/16 JPY 1,500,000 15,277
Shoko Chukin Bank 0.350% 6/27/17 JPY 300,000 3,061
Shoko Chukin Bank 0.400% 4/27/17 JPY 500,000 5,111
Shoko Chukin Bank 0.550% 6/27/16 JPY 100,000 1,026
Tokyo Metropolitan Government 0.360% 6/19/15 JPY 100,000 1,020
Tokyo Metropolitan Government 0.760% 12/20/22 JPY 100,000 1,030
Tokyo Metropolitan Government 0.770% 9/20/22 JPY 300,000 3,096
Tokyo Metropolitan Government 0.990% 9/17/21 JPY 200,000 2,111
Tokyo Metropolitan Government 1.020% 9/17/21 JPY 500,000 5,288
Tokyo Metropolitan Government 1.380% 9/20/19 JPY 400,000 4,324
Tokyo Metropolitan Government 1.400% 3/19/20 JPY 400,000 4,339
Tokyo Metropolitan Government 1.530% 3/20/15 JPY 600,000 6,215
Tokyo Metropolitan Government 1.580% 6/20/19 JPY 200,000 2,181
Tokyo Metropolitan Government 1.730% 3/18/16 JPY 200,000 2,109
Tokyo Metropolitan Government 1.830% 9/20/16 JPY 101,000 1,076
Tokyo Metropolitan Government 1.840% 12/20/16 JPY 100,000 1,069
Tokyo Metropolitan Government 1.970% 3/18/16 JPY 1,503,000 15,937
Tokyo Metropolitan Government 1.980% 6/20/31 JPY 100,000 1,106
Tokyo Metropolitan Government 2.000% 6/20/16 JPY 150,000 1,598
          3,903,231
Total Japan (Cost $3,858,507)         4,012,066
Jersey, C.I. (0.0%)          
Corporate Bonds (0.0%)          
Heathrow Funding Ltd. 3.000% 6/8/15 GBP 400 659
2 Heathrow Funding Ltd. 4.375% 1/25/19 EUR 2,000 2,982
Total Jersey, C.I. (Cost $3,450)         3,641
Lithuania (0.0%)          
Sovereign Bond (0.0%)          
Republic of Lithuania (Cost $4,397) 4.850% 2/7/18 EUR 3,000 4,496
Luxembourg (0.0%)          
Corporate Bond (0.0%)          
2 Talanx Finanz Luxembourg SA 8.367% 6/15/42 EUR 200 336
 
Sovereign Bond (0.0%)          
Gazprom OAO Via Gaz Capital SA 4.364% 3/21/25 EUR 300 416
Total Luxembourg (Cost $729)         752
Malaysia (0.3%)          
Sovereign Bonds (0.3%)          
Federation of Malaysia 3.418% 8/15/22 MYR 15,000 4,671
Federation of Malaysia 3.480% 3/15/23 MYR 10,000 3,135
Federation of Malaysia 4.127% 4/15/32 MYR 25,000 8,006

 

35

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Federation of Malaysia 4.262% 9/15/16 MYR 80,000 26,144
Federation of Malaysia 4.378% 11/29/19 MYR 40,000 13,249
Federation of Malaysia 4.392% 4/15/26 MYR 10,000 3,313
Total Malaysia (Cost $62,374)         58,518
Mexico (0.8%)          
Corporate Bonds (0.1%)          
America Movil SAB de CV 3.000% 7/12/21 EUR 2,500 3,516
America Movil SAB de CV 3.750% 6/28/17 EUR 1,500 2,214
America Movil SAB de CV 5.000% 10/27/26 GBP 1,500 2,622
2 America Movil SAB de CV 5.125% 9/6/73 EUR 2,000 2,788
          11,140
Sovereign Bonds (0.7%)          
Pemex Project Funding Master Trust 5.500% 2/24/25 EUR 2,000 3,106
Pemex Project Funding Master Trust 6.375% 8/5/16 EUR 1,000 1,544
Petroleos Mexicanos 5.500% 1/9/17 EUR 1,500 2,279
Petroleos Mexicanos 8.250% 6/2/22 GBP 2,250 4,476
United Mexican States 1.160% 8/8/16 JPY 300,000 3,061
United Mexican States 2.750% 4/22/23 EUR 3,000 3,928
United Mexican States 4.750% 6/14/18 MXN 40,000 3,034
United Mexican States 5.000% 6/15/17 MXN 181,000 14,043
United Mexican States 6.000% 6/18/15 MXN 240,000 19,000
United Mexican States 6.250% 6/16/16 MXN 80,000 6,453
United Mexican States 6.500% 6/10/21 MXN 90,000 7,262
United Mexican States 6.500% 6/9/22 MXN 80,000 6,444
United Mexican States 7.500% 6/3/27 MXN 50,000 4,192
United Mexican States 7.750% 5/29/31 MXN 70,000 5,821
United Mexican States 7.750% 11/13/42 MXN 48,000 3,850
United Mexican States 8.000% 6/11/20 MXN 60,000 5,268
United Mexican States 8.000% 12/7/23 MXN 147,600 12,992
United Mexican States 8.500% 5/31/29 MXN 40,000 3,575
United Mexican States 8.500% 11/18/38 MXN 105,000 9,262
United Mexican States 10.000% 12/5/24 MXN 111,000 11,337
United Mexican States 10.000% 11/20/36 MXN 10,000 1,001
          131,928
Total Mexico (Cost $157,221)         143,068
Morocco (0.0%)          
Sovereign Bond (0.0%)          
Kingdom of Morocco (Cost $2,994) 5.375% 6/27/17 EUR 2,000 2,978
Netherlands (3.6%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.3%)        
ABN AMRO Bank NV 1.875% 7/31/19 EUR 4,500 6,282
ABN AMRO Bank NV 3.500% 1/12/18 EUR 2,000 2,998
ABN AMRO Bank NV 3.500% 1/18/22 EUR 3,000 4,542
ING Bank NV 1.875% 5/22/23 EUR 10,400 13,737
ING Bank NV 3.250% 3/3/16 EUR 3,000 4,326
ING Bank NV 3.375% 1/11/18 EUR 5,000 7,480
SNS Bank NV 2.125% 8/30/17 EUR 5,350 7,491
          46,856
Corporate Bonds (1.0%)          
ABN AMRO Bank NV 2.500% 11/29/23 EUR 3,000 3,977
ABN AMRO Bank NV 4.125% 3/28/22 EUR 1,500 2,301
ABN AMRO Bank NV 4.250% 4/11/16 EUR 4,000 5,862
ABN AMRO Bank NV 6.375% 4/27/21 EUR 500 780

 

36

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
ABN AMRO Bank NV 7.125% 7/6/22 EUR 1,500 2,434
      2 Achmea BV 6.000% 4/4/43 EUR 2,000 2,892
Achmea Hypotheekbank NV 2.000% 1/23/18 EUR 2,000 2,715
Aegon NV 3.000% 7/18/17 EUR 300 433
Aegon NV 6.625% 12/16/39 GBP 1,000 2,088
Ahold Finance USA LLC 6.500% 3/14/17 GBP 400 734
Akzo Nobel NV 4.000% 12/17/18 EUR 2,500 3,772
Akzo Nobel NV 8.000% 4/6/16 GBP 200 368
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 2.000% 2/6/19 CHF 1,000 1,164
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 2.000% 9/16/21 CHF 2,000 2,315
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 2.375% 5/22/23 EUR 5,000 6,682
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 3.000% 2/16/15 EUR 10,000 14,014
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 3.625% 7/2/19 CHF 2,500 3,148
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.000% 9/10/15 GBP 1,550 2,609
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.000% 9/19/22 GBP 1,187 2,002
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.125% 1/12/21 EUR 5,000 7,643
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.125% 9/14/22 EUR 3,000 4,298
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.125% 7/14/25 EUR 5,000 7,651
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 4.250% 1/16/17 EUR 10,000 14,928
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 5.250% 9/14/27 GBP 1,250 2,126
Cooperatieve Centrale          
Raiffeisen-Boerenleenbank BA 5.250% 5/23/41 GBP 800 1,430
E.ON International Finance BV 6.000% 10/30/19 GBP 1,000 1,898
E.ON International Finance BV 6.375% 6/7/32 GBP 2,000 4,042
F Van Lanschot Bankiers NV 3.125% 6/5/18 EUR 1,000 1,376
Gas Natural Fenosa Finance BV 3.875% 4/11/22 EUR 2,000 2,833
Heineken NV 2.000% 4/6/21 EUR 1,000 1,337
Heineken NV 2.875% 8/4/25 EUR 2,000 2,704
ING Bank NV 1.875% 2/27/18 EUR 9,000 12,451
ING Bank NV 3.875% 5/24/16 EUR 1,500 2,184
ING Bank NV 3.875% 12/23/16 GBP 90 153
ING Bank NV 4.500% 2/21/22 EUR 2,500 3,927
ING Bank NV 4.875% 1/18/21 EUR 1,000 1,596
ING Groep NV 4.125% 3/23/15 EUR 2,000 2,836
ING Groep NV 4.750% 5/31/17 EUR 2,000 3,032
Koninklijke KPN NV 3.250% 2/1/21 EUR 5,630 7,884
Koninklijke KPN NV 3.750% 9/21/20 EUR 1,200 1,744
Koninklijke KPN NV 4.750% 1/17/17 EUR 1,000 1,496
Koninklijke KPN NV 5.750% 3/18/16 GBP 550 962
Koninklijke KPN NV 5.750% 9/17/29 GBP 1,000 1,792
Koninklijke KPN NV 6.000% 5/29/19 GBP 400 733
Koninklijke KPN NV 6.500% 1/15/16 EUR 1,700 2,576
LeasePlan Corp. NV 2.500% 9/19/16 EUR 500 701
LeasePlan Corp. NV 3.875% 9/16/15 EUR 2,000 2,858

 

37

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
  PostNL NV 7.500% 8/14/18 GBP 1,200 2,237
  Repsol International Finance BV 4.250% 2/12/16 EUR 3,500 5,062
  Robert Bosch Investment Nederland BV 1.625% 5/24/21 EUR 800 1,069
  Robert Bosch Investment Nederland BV 2.625% 5/24/28 EUR 1,000 1,348
  Shell International Finance BV 4.375% 5/14/18 EUR 1,000 1,553
  Shell International Finance BV 4.625% 5/22/17 EUR 5,000 7,672
  Unilever plc 4.750% 6/16/17 GBP 650 1,162
  Wolters Kluwer NV 2.875% 3/21/23 EUR 2,000 2,747
            182,331
Sovereign Bonds (2.3%)          
  Alliander NV 2.875% 6/14/24 EUR 500 701
2 Alliander NV 4.875% 11/29/49 EUR 500 705
  Alliander NV 5.500% 4/20/16 EUR 1,000 1,513
  Bank Nederlandse Gemeenten 0.750% 5/21/18 EUR 14,600 19,581
  Bank Nederlandse Gemeenten 1.875% 12/7/18 GBP 2,000 3,201
  Bank Nederlandse Gemeenten 1.875% 6/6/19 EUR 3,000 4,187
  Bank Nederlandse Gemeenten 2.125% 7/14/15 EUR 6,000 8,390
  Bank Nederlandse Gemeenten 2.250% 10/14/20 CHF 4,000 4,751
  Bank Nederlandse Gemeenten 3.875% 5/26/23 EUR 3,000 4,682
  Bank Nederlandse Gemeenten 5.200% 12/7/28 GBP 700 1,310
  Deutsche Bahn Finance BV 1.500% 12/18/17 CHF 2,000 2,307
  Enbw International Finance BV 6.125% 7/7/39 EUR 1,000 1,816
  Enexis Holding NV 1.875% 11/13/20 EUR 1,500 2,029
  Kingdom of Netherlands 0.750% 4/15/15 EUR 40,000 54,760
1 Kingdom of Netherlands 1.250% 1/15/19 EUR 5,000 6,875
1 Kingdom of Netherlands 1.750% 7/15/23 EUR 5,000 6,634
1,4 Kingdom of Netherlands 2.250% 7/15/22 EUR 25,000 35,167
1 Kingdom of Netherlands 2.500% 1/15/17 EUR 30,000 43,331
1,4 Kingdom of Netherlands 2.500% 1/15/33 EUR 7,500 9,915
1 Kingdom of Netherlands 3.250% 7/15/15 EUR 10,000 14,279
1 Kingdom of Netherlands 3.250% 7/15/21 EUR 3,400 5,174
1 Kingdom of Netherlands 3.500% 7/15/20 EUR 15,000 23,182
1 Kingdom of Netherlands 3.750% 1/15/23 EUR 10,000 15,723
1 Kingdom of Netherlands 3.750% 1/15/42 EUR 14,000 22,814
1,4 Kingdom of Netherlands 4.000% 7/15/16 EUR 25,000 37,247
1 Kingdom of Netherlands 4.000% 7/15/18 EUR 15,000 23,315
1,4 Kingdom of Netherlands 4.000% 1/15/37 EUR 11,500 19,079
1 Kingdom of Netherlands 5.500% 1/15/28 EUR 10,000 18,496
  Nederlandse Gasunie NV 2.625% 7/13/22 EUR 1,500 2,096
  Nederlandse Gasunie NV 3.625% 10/13/21 EUR 1,500 2,266
  Nederlandse Gasunie NV 4.250% 6/20/16 EUR 2,000 2,957
  Nederlandse Waterschapsbank NV 1.625% 8/23/19 EUR 4,000 5,508
  Nederlandse Waterschapsbank NV 1.750% 7/22/16 CHF 2,000 2,299
  Nederlandse Waterschapsbank NV 2.125% 9/7/16 GBP 500 825
  Nederlandse Waterschapsbank NV 2.375% 6/4/15 EUR 4,000 5,605
  Nederlandse Waterschapsbank NV 2.500% 4/20/15 CHF 2,500 2,854
  Nederlandse Waterschapsbank NV 3.500% 1/14/21 EUR 5,000 7,588
  TenneT Holding BV 3.875% 2/21/18 EUR 540 811
  TenneT Holding BV 4.500% 2/9/22 EUR 1,500 2,364
            426,337
Total Netherlands (Cost $635,196)         655,524

 

38

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
New Zealand (0.3%)          
Asset-Backed/Commercial Mortgage-Backed Security (0.0%)        
Westpac Securities NZ Ltd. 3.500% 6/16/16 EUR 5,000 7,292
 
Corporate Bonds (0.0%)          
ANZ New Zealand Int’l Ltd. 1.500% 12/17/15 GBP 450 726
BNZ International Funding Ltd. 1.250% 5/23/18 EUR 2,800 3,759
          4,485
Sovereign Bonds (0.3%)          
New Zealand 3.000% 4/15/20 NZD 7,500 5,742
New Zealand 5.000% 3/15/19 NZD 15,000 12,913
New Zealand 5.500% 4/15/23 NZD 7,500 6,632
New Zealand 6.000% 4/15/15 NZD 9,000 7,739
New Zealand 6.000% 12/15/17 NZD 7,500 6,693
New Zealand 6.000% 5/15/21 NZD 7,500 6,824
          46,543
Total New Zealand (Cost $60,101)         58,320
Norway (0.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
DNB Boligkreditt AS 1.000% 1/22/18 EUR 6,000 8,163
DNB Boligkreditt AS 2.375% 4/11/17 EUR 6,000 8,586
DNB Boligkreditt AS 2.750% 3/21/22 EUR 3,500 5,065
Eika Boligkreditt AS 2.125% 1/30/23 EUR 2,000 2,708
SpareBank 1 Boligkreditt AS 1.500% 6/12/20 EUR 6,000 8,103
          32,625
Corporate Bonds (0.0%)          
2 DNB Bank ASA 4.750% 3/8/22 EUR 4,000 5,834
2 DNB Bank ASA 7.250% 6/23/20 GBP 75 130
SpareBank 1 SR Bank ASA 2.125% 2/3/20 EUR 1,500 2,026
          7,990
Sovereign Bonds (0.3%)          
Kingdom of Norway 2.000% 5/24/23 NOK 85,000 13,327
Kingdom of Norway 3.750% 5/25/21 NOK 39,100 7,083
Kingdom of Norway 4.500% 5/22/19 NOK 20,300 3,794
4 Kingdom of Norway 5.000% 5/15/15 NOK 79,300 13,990
Kommunalbanken AS 1.125% 12/15/17 GBP 500 794
Statkraft AS 6.625% 4/2/19 EUR 2,950 5,008
Statoil ASA 5.625% 3/11/21 EUR 4,700 8,046
Statoil ASA 6.875% 3/11/31 GBP 750 1,655
Telenor ASA 2.500% 5/22/25 EUR 2,400 3,176
          56,873
Total Norway (Cost $97,207)         97,488
Poland (0.8%)          
Sovereign Bonds (0.8%)          
Republic of Poland 1.625% 1/15/19 EUR 8,000 10,816
Republic of Poland 2.250% 5/15/18 CHF 3,000 3,496
Republic of Poland 3.375% 7/9/24 EUR 5,000 7,087
Republic of Poland 3.625% 2/1/16 EUR 5,000 7,229
Republic of Poland 3.750% 4/25/18 PLN 15,000 4,935
Republic of Poland 4.000% 10/25/23 PLN 27,500 8,835
Republic of Poland 4.200% 4/15/20 EUR 8,000 12,248
Republic of Poland 4.750% 4/25/17 PLN 32,100 10,939

 

39

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Republic of Poland 5.000% 4/25/16 PLN 54,100 18,394
Republic of Poland 5.250% 10/25/17 PLN 15,000 5,214
Republic of Poland 5.250% 10/25/20 PLN 15,000 5,287
Republic of Poland 5.500% 4/25/15 PLN 39,300 13,264
Republic of Poland 5.500% 10/25/19 PLN 18,000 6,407
Republic of Poland 5.750% 10/25/21 PLN 50,100 18,197
Republic of Poland 5.750% 4/25/29 PLN 8,000 2,944
Total Poland (Cost $133,686)         135,292
Portugal (0.0%)          
Asset-Backed/Commercial Mortgage-Backed Security (0.0%)        
Caixa Geral de Depositos SA (Cost $4,669) 3.750% 1/18/18 EUR 3,500 4,821
Romania (0.0%)          
Sovereign Bonds (0.0%)          
Republic of Romania 4.875% 11/7/19 EUR 2,000 2,863
Republic of Romania 5.250% 6/17/16 EUR 3,000 4,372
Total Romania (Cost $7,087)         7,235
Russia (0.1%)          
Sovereign Bonds (0.1%)          
Gazprom OAO Via Gaz Capital SA 3.389% 3/20/20 EUR 3,000 4,054
Gazprom OAO Via Gaz Capital SA 3.755% 3/15/17 EUR 3,000 4,256
Russian Railways via RZD Capital plc 2.177% 2/26/18 CHF 3,000 3,343
Russian Railways via RZD Capital plc 3.374% 5/20/21 EUR 2,000 2,590
Vnesheconombank Via VEB Finance plc 3.035% 2/21/18 EUR 2,000 2,709
Total Russia (Cost $16,509)         16,952
Singapore (0.3%)          
Sovereign Bonds (0.3%)          
Republic of Singapore 0.250% 2/1/15 SGD 10,000 8,046
Republic of Singapore 0.500% 4/1/18 SGD 35,000 27,947
Republic of Singapore 2.250% 6/1/21 SGD 10,000 8,300
Republic of Singapore 2.750% 4/1/42 SGD 3,700 2,916
Republic of Singapore 3.500% 3/1/27 SGD 13,000 11,531
Total Singapore (Cost $59,002)         58,740
Slovakia (0.1%)          
Sovereign Bonds (0.1%)          
Republic of Slovakia 1.375% 10/16/19 CHF 2,000 2,235
Republic of Slovakia 4.000% 4/27/20 EUR 5,750 8,755
Republic of Slovakia 4.350% 10/14/25 EUR 5,000 7,591
Republic of Slovakia 4.625% 1/19/17 EUR 3,000 4,522
Total Slovakia (Cost $22,570)         23,103
Slovenia (0.0%)          
Sovereign Bonds (0.0%)          
Republic of Slovenia 2.750% 3/17/15 EUR 2,000 2,700
Republic of Slovenia 4.125% 1/26/20 EUR 2,000 2,504
Republic of Slovenia 4.375% 2/6/19 EUR 2,000 2,596
Total Slovenia (Cost $7,500)         7,800
South Africa (0.5%)          
Sovereign Bonds (0.5%)          
Republic of South Africa 6.250% 3/31/36 ZAR 70,000 5,210
Republic of South Africa 6.500% 2/28/41 ZAR 50,000 3,729
Republic of South Africa 6.750% 3/31/21 ZAR 190,000 18,371

 

40

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Republic of South Africa 7.000% 2/28/31 ZAR 60,000 5,164
Republic of South Africa 7.250% 1/15/20 ZAR 100,000 10,063
Republic of South Africa 8.000% 12/21/18 ZAR 50,000 5,232
Republic of South Africa 8.250% 9/15/17 ZAR 50,000 5,268
Republic of South Africa 8.750% 2/28/48 ZAR 50,000 4,813
Republic of South Africa 10.500% 12/21/26 ZAR 100,000 11,930
Republic of South Africa 13.500% 9/15/15 ZAR 150,000 16,928
Total South Africa (Cost $98,044)         86,708
South Korea (2.0%)          
Sovereign Bonds (2.0%)          
Bank of Korea 2.470% 4/2/15 KRW 20,000,000 18,790
Bank of Korea 2.840% 12/2/14 KRW 26,140,000 24,684
Export-Import Bank of Korea 2.000% 4/30/20 EUR 1,800 2,385
Korea Development Bank 1.500% 5/30/18 EUR 600 807
Republic of Korea 2.500% 4/30/18 KRW 20,000,000 18,281
Republic of Korea 2.750% 12/10/15 KRW 25,000,000 23,567
Republic of Korea 2.750% 3/10/18 KRW 54,000,000 50,377
Republic of Korea 3.000% 3/10/23 KRW 34,000,000 31,161
Republic of Korea 3.000% 12/10/42 KRW 10,500,000 8,605
Republic of Korea 3.500% 9/10/16 KRW 43,000,000 41,257
Republic of Korea 4.000% 3/10/16 KRW 14,000,000 13,559
Republic of Korea 4.000% 12/10/31 KRW 22,000,000 21,810
Republic of Korea 4.500% 3/10/15 KRW 38,000,000 36,672
Republic of Korea 4.750% 12/10/30 KRW 4,000,000 4,315
Republic of Korea 5.000% 6/10/20 KRW 36,500,000 38,062
Republic of Korea 5.250% 3/10/27 KRW 4,500,000 5,021
Republic of Korea 5.500% 3/10/28 KRW 20,000,000 22,965
Republic of Korea 5.750% 3/10/26 KRW 3,500,000 4,030
Total South Korea (Cost $354,610)         366,348
Spain (5.3%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%)        
Ayt Cedulas Cajas Fondo de Titulizacion 4.500% 12/2/19 EUR 5,000 6,820
Ayt Cedulas Cajas Global 3.750% 12/14/22 EUR 800 1,017
Ayt Cedulas Cajas Global 4.000% 3/24/21 EUR 1,000 1,336
Ayt Cedulas Cajas Global 4.750% 5/25/27 EUR 2,000 2,432
AyT Cedulas Cajas IX Fondo de Titulizacion 3.750% 3/31/15 EUR 5,000 6,958
AyT Cedulas Cajas IX Fondo de Titulizacion 4.000% 3/31/20 EUR 5,000 6,790
AyT Cedulas Cajas VIII Fondo de Titulizacion          
de Activos 4.000% 11/18/14 EUR 2,300 3,197
Banco Bilbao Vizcaya Argentaria SA 3.500% 10/7/20 EUR 1,000 1,436
Banco Bilbao Vizcaya Argentaria SA 3.500% 1/24/21 EUR 1,000 1,432
Banco Bilbao Vizcaya Argentaria SA 3.625% 1/18/17 EUR 1,000 1,444
Banco Bilbao Vizcaya Argentaria SA 3.875% 1/30/23 EUR 5,000 7,280
Banco Bilbao Vizcaya Argentaria SA 4.250% 3/30/15 EUR 5,000 7,085
Banco Bilbao Vizcaya Argentaria SA 4.750% 2/10/16 EUR 6,300 9,194
Banco de Sabadell SA 3.375% 1/23/18 EUR 4,000 5,635
Banco de Sabadell SA 3.625% 2/16/15 EUR 4,500 6,283
Banco Espanol de Credito SA 3.500% 1/27/15 EUR 3,400 4,752
Banco Espanol de Credito SA 3.500% 1/18/16 EUR 1,100 1,565
Banco Espanol de Credito SA 3.625% 9/7/15 EUR 3,000 4,251
Banco Espanol de Credito SA 3.750% 6/17/16 EUR 5,000 7,195
Banco Espanol de Credito SA 4.625% 3/30/15 EUR 1,100 1,566
Banco Espanol de Credito SA 4.750% 1/24/17 EUR 3,000 4,478
Banco Popular Espanol SA 3.750% 1/22/19 EUR 3,000 4,231

 

41

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Banco Popular Espanol SA 4.125% 3/30/17 EUR 4,500 6,472
Banco Santander SA 2.875% 1/30/18 EUR 5,500 7,797
Banco Santander SA 3.125% 9/28/15 EUR 1,500 2,108
Banco Santander SA 4.125% 1/9/17 EUR 1,000 1,466
Banco Santander SA 4.625% 1/20/16 EUR 1,400 2,036
Bankinter SA 2.750% 7/26/16 EUR 2,600 3,636
CaixaBank 3.500% 3/31/16 EUR 1,500 2,133
CaixaBank 3.875% 2/17/25 EUR 2,000 2,823
CaixaBank 4.625% 6/4/19 EUR 5,400 8,126
CaixaBank 5.125% 4/27/16 EUR 10,000 14,765
Caja Rural de Navarra 2.875% 6/11/18 EUR 700 959
Cedulas TDA 4.125% 4/10/21 EUR 1,500 2,012
Cedulas TDA 6 Fondo de Titulizacion de Activos 3.875% 5/23/25 EUR 5,000 5,871
Cedulas TDA 6 Fondo de Titulizacion de Activos 4.250% 4/10/31 EUR 3,000 3,362
IM Cedulas 10 4.500% 2/21/22 EUR 1,300 1,694
IM Cedulas 6-M1 - Fondo de Titulizacion 3.500% 12/2/15 EUR 3,500 4,825
Kutxabank SA 3.000% 2/1/17 EUR 2,500 3,511
Santander Consumer Finance SA 3.875% 3/23/16 EUR 1,400 2,007
          171,980
Corporate Bonds (0.5%)          
Abertis Infraestructuras SA 3.750% 6/20/23 EUR 1,000 1,380
Abertis Infraestructuras SA 4.750% 10/25/19 EUR 3,500 5,304
BBVA Senior Finance SAU 3.250% 3/21/16 EUR 5,000 7,022
BBVA Senior Finance SAU 3.750% 1/17/18 EUR 500 715
Ferrovial Emisiones SA 3.375% 6/7/21 EUR 700 961
Gas Natural Capital Markets SA 5.375% 5/24/19 EUR 2,600 4,048
Gas Natural Capital Markets SA 5.625% 2/9/17 EUR 3,000 4,593
Iberdrola Finanzas SAU 4.750% 1/25/16 EUR 2,500 3,668
Iberdrola International BV 3.500% 2/1/21 EUR 3,000 4,268
Iberdrola International BV 4.250% 10/11/18 EUR 1,000 1,499
Iberdrola International BV 4.500% 9/21/17 EUR 600 899
2 Iberdrola International BV 5.750% 2/27/49 EUR 1,000 1,412
Red Electrica Financiaciones SA Unipersonal 2.375% 5/31/19 EUR 800 1,090
Red Electrica Financiaciones SA Unipersonal 3.500% 10/7/16 EUR 2,500 3,600
Red Electrica Financiaciones SA Unipersonal 4.875% 4/29/20 EUR 2,000 3,061
Repsol International Finance BV 2.625% 5/28/20 EUR 3,500 4,708
Santander International Debt SAU 4.000% 3/27/17 EUR 1,000 1,449
Santander International Debt SAU 4.000% 1/24/20 EUR 3,500 5,078
Santander International Debt SAU 4.625% 3/21/16 EUR 4,000 5,787
Telefonica Emisiones SAU 2.736% 5/29/19 EUR 6,000 8,239
Telefonica Emisiones SAU 3.987% 1/23/23 EUR 4,300 5,973
Telefonica Emisiones SAU 4.375% 2/2/16 EUR 4,000 5,777
Telefonica Emisiones SAU 4.693% 11/11/19 EUR 2,000 2,997
          83,528
Sovereign Bonds (3.9%)          
9 FADE - Fondo de Amortizacion del          
Deficit Electrico 2.875% 9/17/16 EUR 5,000 6,921
9 FADE - Fondo de Amortizacion del          
Deficit Electrico 3.875% 3/17/18 EUR 2,000 2,846
9 FADE - Fondo de Amortizacion del          
Deficit Electrico 5.900% 3/17/21 EUR 2,000 3,091
9 Instituto de Credito Oficial 4.750% 4/30/20 EUR 7,000 10,227
9 Instituto de Credito Oficial 5.125% 1/25/16 EUR 5,000 7,265
IPIC GMTN Ltd. 5.875% 3/14/21 EUR 3,000 4,836
Kingdom of Spain 3.000% 4/30/15 EUR 25,000 34,810
Kingdom of Spain 3.150% 1/31/16 EUR 10,000 14,012

 

42

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Kingdom of Spain 3.250% 4/30/16 EUR 20,000 28,136
Kingdom of Spain 3.300% 7/30/16 EUR 16,000 22,519
Kingdom of Spain 3.750% 10/31/15 EUR 26,000 36,817
Kingdom of Spain 3.800% 1/31/17 EUR 25,000 35,727
Kingdom of Spain 4.000% 7/30/15 EUR 25,000 35,434
Kingdom of Spain 4.000% 4/30/20 EUR 18,000 25,475
Kingdom of Spain 4.100% 7/30/18 EUR 8,000 11,582
Kingdom of Spain 4.200% 1/31/37 EUR 15,000 18,410
Kingdom of Spain 4.250% 10/31/16 EUR 20,000 28,898
Kingdom of Spain 4.300% 10/31/19 EUR 10,000 14,473
Kingdom of Spain 4.400% 1/31/15 EUR 15,000 21,224
1 Kingdom of Spain 4.400% 10/31/23 EUR 5,000 6,989
Kingdom of Spain 4.500% 1/31/18 EUR 26,000 38,101
Kingdom of Spain 4.600% 7/30/19 EUR 30,000 44,164
Kingdom of Spain 4.650% 7/30/25 EUR 10,000 14,085
Kingdom of Spain 4.700% 7/30/41 EUR 10,000 13,117
Kingdom of Spain 4.800% 1/31/24 EUR 10,000 14,380
Kingdom of Spain 4.850% 10/31/20 EUR 14,000 20,695
Kingdom of Spain 4.900% 7/30/40 EUR 7,000 9,475
1 Kingdom of Spain 5.150% 10/31/28 EUR 4,000 5,780
1 Kingdom of Spain 5.400% 1/31/23 EUR 30,000 45,190
Kingdom of Spain 5.500% 7/30/17 EUR 15,000 22,670
Kingdom of Spain 5.500% 4/30/21 EUR 16,000 24,524
Kingdom of Spain 5.750% 7/30/32 EUR 20,000 30,688
Kingdom of Spain 5.850% 1/31/22 EUR 10,000 15,565
Kingdom of Spain 5.900% 7/30/26 EUR 10,000 15,651
Kingdom of Spain 6.000% 1/31/29 EUR 10,000 15,661
          699,438
Total Spain (Cost $909,454)         954,946
Supranational (2.9%)          
Sovereign Bonds (2.9%)          
Asian Development Bank 0.000% 2/7/16 CHF 2,000 2,201
Asian Development Bank 1.000% 12/15/16 GBP 1,500 2,405
Asian Development Bank 3.500% 7/25/18 AUD 8,850 8,249
Council Of Europe Development Bank 1.750% 12/19/16 GBP 1,000 1,635
Council Of Europe Development Bank 3.000% 7/13/20 EUR 1,000 1,486
EUROFIMA 3.000% 5/15/26 CHF 1,500 1,876
EUROFIMA 4.550% 3/30/27 CAD 655 643
European Bank for Reconstruction &          
Development 5.625% 12/7/28 GBP 1,000 2,007
European Financial Stability Facility 0.500% 3/7/16 EUR 3,000 4,085
European Financial Stability Facility 0.750% 6/5/17 EUR 2,500 3,398
European Financial Stability Facility 0.875% 4/16/18 EUR 20,000 27,040
European Financial Stability Facility 1.125% 6/1/15 EUR 13,000 17,892
European Financial Stability Facility 1.250% 2/5/18 EUR 5,000 6,883
European Financial Stability Facility 1.500% 1/22/20 EUR 7,600 10,332
European Financial Stability Facility 1.625% 9/15/17 EUR 2,500 3,499
European Financial Stability Facility 1.625% 7/17/20 EUR 1,000 1,361
European Financial Stability Facility 1.875% 5/23/23 EUR 15,000 19,976
European Financial Stability Facility 2.250% 9/5/22 EUR 3,000 4,167
European Financial Stability Facility 2.625% 5/2/19 EUR 10,000 14,558
European Financial Stability Facility 2.750% 7/18/16 EUR 5,000 7,206
European Financial Stability Facility 3.375% 4/3/37 EUR 3,000 4,422
European Investment Bank 1.000% 7/13/18 EUR 12,000 16,390
European Investment Bank 1.250% 8/2/19 CHF 3,000 3,411

 

43

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
European Investment Bank 1.375% 1/15/18 GBP 5,500 8,745
European Investment Bank 1.400% 6/20/17 JPY 1,100,000 11,684
European Investment Bank 1.500% 2/1/19 GBP 5,000 7,830
European Investment Bank 1.750% 4/21/17 CHF 2,000 2,318
European Investment Bank 2.250% 10/14/22 EUR 7,000 9,721
European Investment Bank 2.375% 7/10/20 CHF 2,500 3,022
European Investment Bank 2.500% 7/22/15 CHF 2,000 2,300
European Investment Bank 2.500% 10/31/22 GBP 5,500 8,583
European Investment Bank 2.625% 3/15/18 EUR 5,000 7,323
European Investment Bank 2.750% 3/15/40 EUR 1,000 1,327
European Investment Bank 3.000% 12/7/15 GBP 1,000 1,675
European Investment Bank 3.125% 10/15/15 EUR 8,000 11,473
European Investment Bank 3.125% 6/30/36 CHF 1,000 1,344
European Investment Bank 3.500% 4/15/16 EUR 15,000 21,936
European Investment Bank 3.500% 4/15/27 EUR 5,000 7,535
European Investment Bank 3.750% 12/7/27 GBP 1,500 2,469
European Investment Bank 3.875% 6/8/37 GBP 3,300 5,367
European Investment Bank 4.000% 7/12/16 SEK 25,000 4,073
European Investment Bank 4.000% 4/15/30 EUR 7,000 11,132
European Investment Bank 4.000% 10/15/37 EUR 5,000 8,144
European Investment Bank 4.250% 2/4/15 NOK 6,700 1,159
European Investment Bank 4.250% 5/19/17 NOK 20,000 3,563
European Investment Bank 4.375% 7/8/15 GBP 5,400 9,178
European Investment Bank 4.500% 10/15/25 EUR 15,000 24,817
European Investment Bank 4.625% 4/15/20 EUR 20,000 32,476
European Investment Bank 4.750% 10/15/17 EUR 20,000 31,449
European Investment Bank 5.000% 12/1/20 SEK 25,000 4,366
European Investment Bank 5.000% 4/15/39 GBP 2,000 3,835
European Investment Bank 6.000% 8/6/20 AUD 12,000 12,239
European Investment Bank 6.000% 12/7/28 GBP 1,000 2,044
European Union 2.500% 12/4/15 EUR 18,000 25,580
European Union 2.875% 4/4/28 EUR 5,000 7,069
European Union 3.000% 9/4/26 EUR 7,000 10,151
European Union 3.375% 4/4/32 EUR 3,000 4,478
European Union 3.375% 4/4/38 EUR 2,000 2,974
European Union 3.500% 6/4/21 EUR 5,000 7,699
European Union 3.625% 4/6/16 EUR 2,000 2,932
European Union 3.750% 4/4/42 EUR 3,000 4,767
Inter-American Development Bank 0.625% 12/15/15 GBP 5,000 8,000
International Bank for Reconstruction &          
Development 3.875% 5/20/19 EUR 6,000 9,372
International Bank for Reconstruction &          
Development 5.400% 6/7/21 GBP 200 389
International Bank for Reconstruction &          
Development 5.750% 10/21/19 AUD 7,000 7,174
International Bank for Reconstruction &          
Development 5.750% 6/7/32 GBP 1,000 2,117
International Finance Corp. 0.625% 12/15/15 GBP 3,000 4,804
Total Supranational (Cost $513,412)         525,755
Sweden (1.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.7%)        
Lansforsakringar Hypotek AB 4.000% 3/15/16 SEK 40,000 6,474
Nordea Hypotek AB 2.000% 6/20/18 SEK 40,000 6,063
Nordea Hypotek AB 3.000% 6/21/17 SEK 51,000 8,121
Nordea Hypotek AB 3.250% 6/17/15 SEK 73,000 11,606

 

44

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Skandinaviska Enskilda Banken AB 1.500% 2/25/20 EUR 5,000 6,816
Skandinaviska Enskilda Banken AB 2.500% 6/17/15 EUR 2,000 2,807
Skandinaviska Enskilda Banken AB 3.000% 6/21/17 SEK 50,000 7,868
Skandinaviska Enskilda Banken AB 4.250% 6/15/16 SEK 50,000 8,217
Stadshypotek AB 1.000% 6/19/18 EUR 5,000 6,783
Stadshypotek AB 3.000% 3/21/18 SEK 65,000 10,301
Stadshypotek AB 6.000% 3/18/15 SEK 90,000 14,768
Stadshypotek AB 6.000% 9/21/16 SEK 50,000 8,613
Sveriges Sakerstallda Obligationer AB 3.375% 4/20/16 EUR 1,000 1,450
Swedbank Hypotek AB 1.125% 5/7/20 EUR 5,000 6,652
Swedbank Hypotek AB 2.500% 6/15/15 EUR 2,000 2,807
Swedbank Hypotek AB 3.750% 3/18/15 SEK 60,000 9,555
Swedbank Hypotek AB 3.750% 6/15/16 SEK 75,000 12,177
Swedbank Hypotek AB 3.750% 12/20/17 SEK 40,000 6,539
          137,617
Corporate Bonds (0.3%)          
Atlas Copco AB 2.500% 2/28/23 EUR 1,500 2,064
Investor AB 4.000% 3/14/16 EUR 1,000 1,458
Nordea Bank AB 3.750% 2/24/17 EUR 2,000 2,953
Nordea Bank AB 3.875% 12/15/15 GBP 300 507
Nordea Bank AB 4.000% 6/29/20 EUR 3,743 5,729
Nordea Bank AB 4.500% 3/26/20 EUR 2,000 2,988
2 Nordea Bank AB 4.625% 2/15/22 EUR 500 728
Skandinaviska Enskilda Banken AB 1.875% 11/14/19 EUR 2,620 3,584
2 Skandinaviska Enskilda Banken AB 4.000% 9/12/22 EUR 3,500 5,017
Svenska Cellulosa AB 2.500% 6/9/23 EUR 700 940
Svenska Handelsbanken AB 2.250% 6/14/18 EUR 2,500 3,517
Svenska Handelsbanken AB 3.750% 2/24/17 EUR 2,500 3,683
Svenska Handelsbanken AB 4.000% 1/18/19 GBP 1,000 1,731
Svenska Handelsbanken AB 4.375% 10/20/21 EUR 180 283
Swedbank AB 1.750% 6/18/15 EUR 3,500 4,835
Swedbank AB 2.375% 4/4/16 EUR 2,000 2,813
Swedish Match AB 3.875% 11/24/17 EUR 500 741
Telefonaktiebolaget LM Ericsson 5.375% 6/27/17 EUR 1,000 1,554
TeliaSonera AB 4.750% 11/16/21 EUR 3,000 4,853
Volvo Treasury AB 5.000% 5/31/17 EUR 600 916
          50,894
Sovereign Bonds (0.5%)          
Kingdom of Sweden 0.875% 1/31/18 EUR 3,000 4,108
Kingdom of Sweden 1.500% 11/13/23 SEK 128,900 18,585
Kingdom of Sweden 3.500% 6/1/22 SEK 15,000 2,573
Kingdom of Sweden 3.500% 3/30/39 SEK 35,000 5,962
Kingdom of Sweden 4.250% 3/12/19 SEK 147,000 25,700
Kingdom of Sweden 4.500% 8/12/15 SEK 21,400 3,505
Kingdom of Sweden 5.000% 12/1/20 SEK 25,000 4,645
Kommuninvest I Sverige AB 2.750% 8/12/15 SEK 20,000 3,148
Kommuninvest I Sverige AB 4.000% 8/12/17 SEK 35,000 5,786
SBAB Bank AB 1.375% 5/2/18 EUR 3,600 4,855
Svensk Exportkredit AB 1.125% 12/15/16 GBP 500 801
2 Vattenfall AB 5.250% 6/29/49 EUR 1,000 1,413
Vattenfall AB 6.125% 12/16/19 GBP 1,000 1,925
Vattenfall AB 6.250% 3/17/21 EUR 2,000 3,471

 

45

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Vattenfall AB 6.750% 1/31/19 EUR 1,000 1,699
Vattenfall AB 6.875% 4/15/39 GBP 500 1,106
          89,282
Total Sweden (Cost $274,565)         277,793
Switzerland (1.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.4%)        
Credit Suisse AG 2.625% 12/1/15 EUR 5,000 7,082
Credit Suisse AG 2.875% 10/18/18 EUR 500 738
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.000% 8/13/21 CHF 2,000 2,184
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.625% 3/15/22 CHF 2,000 2,268
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.875% 9/28/15 CHF 1,000 1,137
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.375% 1/27/21 CHF 5,000 6,021
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 4/10/15 CHF 5,000 5,695
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 3/30/26 CHF 1,000 1,203
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 2/16/27 CHF 2,000 2,402
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.750% 12/15/26 CHF 3,000 3,699
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.875% 2/14/22 CHF 3,000 3,739
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 3.000% 6/27/17 CHF 1,000 1,209
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 0.875% 12/3/18 CHF 800 893
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 0.875% 4/16/21 CHF 2,000 2,174
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.250% 2/3/22 CHF 4,000 4,427
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.375% 11/5/27 CHF 3,000 3,159
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.750% 4/12/17 CHF 1,000 1,157
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 2.500% 6/30/15 CHF 1,380 1,579
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 2.625% 3/15/15 CHF 3,000 3,413
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 3.500% 6/21/18 CHF 500 626
UBS AG 2.250% 1/10/17 EUR 6,000 8,538
          63,343
Corporate Bonds (0.4%)          
ABB Finance BV 2.625% 3/26/19 EUR 1,000 1,428
2 Aquarius & Investments plc for          
Zurich Insurance Co. Ltd. 4.250% 10/2/43 EUR 1,310 1,805
2 Cloverie plc for Swiss Reinsurance Co. Ltd. 6.625% 9/1/42 EUR 1,000 1,650
Coca-Cola HBC Finance BV 2.375% 6/18/20 EUR 500 682
Credit Suisse AG 2.125% 2/5/15 CHF 4,000 4,508
Credit Suisse AG 2.875% 9/24/15 EUR 7,500 10,587
Credit Suisse AG 4.750% 8/5/19 EUR 1,000 1,575

 

46

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
  Elsevier Finance SA Via ELM BV 2.500% 9/24/20 EUR 1,000 1,385
  Glencore Finance Europe SA 2.625% 12/3/18 CHF 1,000 1,119
  Glencore Finance Europe SA 4.625% 4/3/18 EUR 2,500 3,750
  Holcim GB Finance Ltd. 8.750% 4/24/17 GBP 550 1,069
  Holcim Ltd. 3.000% 11/22/22 CHF 3,000 3,542
  Nestle Finance International Ltd. 0.750% 10/17/16 EUR 2,000 2,732
  Nestle Finance International Ltd. 1.750% 9/12/22 EUR 1,100 1,458
  Nestle Finance International Ltd. 2.250% 11/30/23 GBP 600 896
  Roche Finance Europe BV 2.000% 6/25/18 EUR 1,000 1,418
  Roche Kapitalmarkt AG 4.500% 3/23/17 CHF 5,000 6,270
  Swiss Reinsurance Co. Ltd. 2.125% 9/22/17 CHF 2,000 2,340
2 Swiss Reinsurance Co. via ELM BV 5.252% 5/29/49 EUR 250 353
2 Swiss Reinsurance Co. via ELM BV 6.302% 3/29/49 GBP 500 861
  Syngenta Finance NV 4.125% 4/22/15 EUR 2,000 2,856
  UBS AG 3.125% 1/18/16 EUR 5,000 7,121
  UBS AG 3.500% 7/15/15 EUR 470 668
2 UBS AG 5.250% 6/21/21 GBP 450 773
  UBS AG 6.375% 7/20/16 GBP 400 723
  UBS AG 6.625% 4/11/18 GBP 1,250 2,383
  Xstrata Canada Financial Corp. 6.250% 5/27/15 EUR 4,000 5,863
  Xstrata Canada Financial Corp. 7.375% 5/27/20 GBP 850 1,651
  Xstrata Finance Dubai Ltd. 2.625% 11/19/18 EUR 2,500 3,451
2 Zurich Insurance Co. Ltd. 4.625% 5/29/49 CHF 2,000 2,316
            77,233
Sovereign Bonds (0.7%)          
  Canton of Zurich 0.500% 12/3/20 CHF 2,595 2,789
  Canton of Zurich 2.375% 2/3/16 CHF 1,000 1,159
  Swiss Confederation 1.250% 6/11/24 CHF 3,000 3,361
  Swiss Confederation 1.250% 6/27/37 CHF 5,000 5,205
  Swiss Confederation 1.500% 4/30/42 CHF 9,200 10,054
  Swiss Confederation 2.000% 10/12/16 CHF 2,100 2,450
  Swiss Confederation 2.000% 4/28/21 CHF 6,000 7,229
  Swiss Confederation 2.000% 5/25/22 CHF 1,000 1,205
  Swiss Confederation 2.500% 3/12/16 CHF 21,000 24,520
  Swiss Confederation 3.000% 1/8/18 CHF 15,100 18,622
10 Swiss Confederation 3.000% 5/12/19 CHF 1,000 1,261
  Swiss Confederation 3.250% 6/27/27 CHF 8,000 10,953
  Swiss Confederation 3.500% 4/8/33 CHF 1,600 2,351
  Swiss Confederation 3.750% 6/10/15 CHF 10,831 12,660
  Swiss Confederation 4.250% 6/5/17 CHF 17,000 21,538
  Swisscom AG 1.750% 7/10/24 CHF 2,000 2,234
  Swisscom AG 2.625% 8/31/22 CHF 1,000 1,206
  Zuercher Kantonalbank 2.125% 2/5/18 CHF 3,500 4,117
            132,914
Total Switzerland (Cost $264,204)         273,490
Thailand (0.5%)          
Sovereign Bonds (0.5%)          
  Kingdom of Thailand 3.250% 6/16/17 THB 500,000 16,127
  Kingdom of Thailand 3.580% 12/17/27 THB 277,000 8,444
  Kingdom of Thailand 3.625% 5/22/15 THB 800,000 26,059
  Kingdom of Thailand 3.625% 6/16/23 THB 400,000 12,618
  Kingdom of Thailand 3.775% 6/25/32 THB 100,000 2,976
  Kingdom of Thailand 3.800% 6/14/41 THB 150,000 4,229
  Kingdom of Thailand 3.875% 6/13/19 THB 500,000 16,409
Total Thailand (Cost $90,674)         86,862

 

47

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
Turkey (0.0%)          
Sovereign Bonds (0.0%)          
  Republic of Turkey 5.000% 3/1/16 EUR 1,000 1,446
  Republic of Turkey 5.125% 5/18/20 EUR 3,000 4,315
Total Turkey (Cost $5,701)         5,761
United Arab Emirates (0.0%)          
  IPIC GMTN Ltd. (Cost $1,206) 6.875% 3/14/26   640 1,249
United Kingdom (8.0%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%)        
2 Abbey National Treasury Services plc 3.375% 6/8/16 EUR 1,900 2,697
  Abbey National Treasury Services plc 3.625% 9/8/16 EUR 11,100 16,320
  Abbey National Treasury Services plc 4.375% 1/24/18 EUR 1,000 1,544
  Abbey National Treasury Services plc 5.250% 2/16/29 GBP 758 1,419
2 Abbey National Treasury Services plc 5.750% 3/2/27 GBP 3,855 7,546
  Annington Finance No 4 plc 0.000% 12/7/22 GBP 1,740 2,064
  Annington Finance No 4 plc 0.000% 1/10/23 GBP 1,000 1,144
  Annington Repackaging No 1 Ltd. 5.324% 1/10/23 GBP 400 712
  Arqiva Financing plc 4.882% 12/31/32 GBP 1,200 1,997
  Artesian Finance II plc 6.000% 9/30/33 GBP 1,000 1,876
  Aspire Defence Finance plc 4.674% 3/31/40 GBP 1,000 1,642
  Aspire Defence Finance plc 4.674% 3/31/40 GBP 800 1,314
  Bank of Scotland plc 4.500% 7/13/21 EUR 1,160 1,878
  Bank of Scotland plc 4.750% 6/8/22 EUR 1,840 3,049
  Bank of Scotland plc 4.875% 12/20/24 GBP 1,000 1,819
2 Barclays Bank plc 2.250% 2/22/18 EUR 5,000 7,126
  Barclays Bank plc 3.625% 4/13/16 EUR 5,000 7,292
  Barclays Bank plc 4.250% 1/12/22 GBP 1,000 1,752
2 Broadgate Financing plc 4.999% 10/5/33 GBP 1,000 1,761
2 Canary Wharf Finance II plc 6.455% 10/22/33 GBP 923 1,829
  Clydesdale Bank plc 4.625% 6/8/26 GBP 1,000 1,733
11 CTRL Section 1 Finance plc 5.234% 5/2/35 GBP 1,000 1,870
  Delamare Finance plc 5.546% 2/19/29 GBP 900 1,608
  Derby Healthcare plc 5.564% 6/30/41 GBP 349 621
  Dwr Cymru Financing Ltd. 6.907% 3/31/21 GBP 567 1,136
2 Fosse Master Issuer plc 4.635% 10/18/54 GBP 350 611
  Greene King Finance plc 5.318% 9/15/31 GBP 1,166 2,091
  Highbury Finance BV 7.017% 3/20/23 GBP 768 1,486
  Integrated Accommodation Services plc 6.480% 3/31/29 GBP 161 319
  Juturna European Loan Conduit No 16 plc 5.064% 8/10/33 GBP 953 1,695
  Leeds Building Society 4.250% 12/17/18 GBP 1,000 1,779
  Lloyds Bank plc 3.500% 1/11/17 EUR 7,500 11,059
  Lloyds Bank plc 4.125% 4/6/16 EUR 7,500 11,044
  Lloyds Bank plc 4.875% 3/30/27 GBP 3,081 5,588
  Lloyds Bank plc 5.125% 3/7/25 GBP 500 933
2 Longstone Finance plc 4.791% 4/19/36 GBP 1,029 1,830
  Mitchells & Butlers Finance plc 5.574% 12/15/30 GBP 531 968
  Nationwide Building Society 3.125% 10/13/16 EUR 5,500 8,006
  Nationwide Building Society 4.625% 2/8/21 EUR 1,000 1,636
  Nationwide Building Society 5.625% 1/28/26 GBP 1,500 2,913
  Nats En Route plc 5.250% 3/31/26 GBP 226 413
2 Northern Rock Asset Management plc 4.125% 3/27/18 EUR 3,000 4,507
2 Octagon Healthcare Funding plc 5.333% 6/30/36 GBP 911 1,614
  RMPA Services plc 5.337% 9/30/38 GBP 311 554
2 Royal Bank of Scotland plc 3.875% 10/13/17 EUR 4,000 6,213

 

48

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Royal Bank of Scotland plc 4.125% 1/15/18 EUR 1,500 2,297
Royal Bank of Scotland plc 5.125% 1/13/24 GBP 500 919
RSL Finance No 1 plc 6.625% 3/31/38 GBP 678 1,371
Sceptre Funding No. 1 plc 5.253% 2/9/27 GBP 126 231
South East Water Finance Ltd. 5.658% 9/30/19 GBP 400 724
2 Telereal Securitisation plc 5.389% 12/10/33 GBP 1,610 2,989
Tesco Property Finance 2 plc 6.052% 10/13/39 GBP 475 885
Tesco Property Finance 3 plc 5.744% 4/13/40 GBP 3,762 6,725
Yorkshire Building Society 4.750% 4/12/18 GBP 1,300 2,303
          157,452
Corporate Bonds (2.3%)          
Abbey National Treasury Services plc 1.750% 1/15/18 EUR 2,000 2,738
Affinity Sutton Capital Markets plc 5.981% 9/17/38 GBP 300 616
2 Amlin plc 6.500% 12/19/26 GBP 350 574
Anglian Water Services Financing plc 5.250% 10/30/15 GBP 1,100 1,899
Anglian Water Services Financing plc 6.250% 6/27/16 EUR 2,000 3,092
Anglo American Capital plc 2.500% 4/29/21 EUR 2,400 3,159
2 Aviva plc 4.729% 11/29/49 EUR 1,300 1,774
2 Aviva plc 6.875% 5/22/38 EUR 2,030 3,088
2 Aviva plc 6.875% 5/20/58 GBP 2,327 4,274
Aviva plc 9.500% 6/20/16 GBP 150 288
AWG Parent Co. Ltd. 6.625% 1/15/29 GBP 615 1,273
Bank of Scotland plc 9.375% 5/15/21 GBP 1,620 3,326
Barclays Bank plc 2.500% 3/29/16 CHF 1,500 1,741
Barclays Bank plc 4.000% 1/20/17 EUR 5,000 7,404
Barclays Bank plc 4.125% 3/15/16 EUR 1,000 1,459
Barclays Bank plc 5.750% 9/14/26 GBP 1,300 2,280
Barclays Bank plc 6.000% 1/14/21 EUR 2,500 3,877
2 Barclays Bank plc 6.750% 1/16/23 GBP 350 622
Barclays Bank plc 10.000% 5/21/21 GBP 2,533 5,416
BAT International Finance plc 2.750% 3/25/25 EUR 2,500 3,374
BAT International Finance plc 5.375% 6/29/17 EUR 3,000 4,690
BG Energy Capital plc 3.625% 7/16/19 EUR 1,000 1,495
BG Energy Capital plc 5.125% 12/1/25 GBP 3,000 5,454
2 BG Energy Capital plc 6.500% 11/30/72 GBP 300 526
2 BG Energy Capital plc 6.500% 11/30/72 EUR 500 759
BP Capital Markets plc 2.177% 2/16/16 EUR 7,500 10,500
BP Capital Markets plc 2.994% 2/18/19 EUR 650 944
BP Capital Markets plc 4.000% 12/29/14 GBP 50 83
BP Capital Markets plc 4.154% 6/1/20 EUR 1,600 2,464
British American Tobacco Holdings          
     The Netherlands BV 5.500% 9/15/16 GBP 600 1,067
British Telecommunications plc 6.375% 6/23/37 GBP 1,500 3,022
British Telecommunications plc 6.500% 7/7/15 EUR 3,500 5,207
British Telecommunications plc 8.500% 12/7/16 GBP 380 730
BSKYB Finance UK plc 5.750% 10/20/17 GBP 200 366
BUPA Finance plc 7.500% 7/4/16 GBP 730 1,340
Centrica plc 4.250% 9/12/44 GBP 750 1,152
Centrica plc 5.125% 12/10/14 GBP 450 753
Centrica plc 5.500% 10/24/16 GBP 650 1,158
Centrica plc 7.000% 9/19/18 GBP 1,000 1,949
Centrica plc 7.000% 9/19/33 GBP 1,000 2,172
Circle Anglia Social Housing plc 7.250% 11/12/38 GBP 650 1,501
Close Brothers Group plc 6.500% 2/10/17 GBP 300 517
Community Finance Co. 1 plc 5.017% 7/31/34 GBP 400 724
Compass Group plc 3.125% 2/13/19 EUR 1,000 1,454

 

49

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Compass Group plc 7.000% 12/8/14 GBP 300 511
2 CPUK Finance Ltd. 7.239% 2/28/42 GBP 1,000 1,982
Crh Finance UK plc 8.250% 4/24/15 GBP 200 351
Eastern Power Networks plc 4.750% 9/30/21 GBP 1,000 1,767
Eastern Power Networks plc 8.500% 3/31/25 GBP 1,000 2,261
ENW Capital Finance plc 6.750% 6/20/15 GBP 200 347
Eversholt Funding plc 5.831% 12/2/20 GBP 800 1,493
Eversholt Funding plc 6.359% 12/2/25 GBP 500 971
Eversholt Funding plc 6.697% 2/22/35 GBP 1,000 1,989
Experian Finance plc 4.750% 11/23/18 GBP 700 1,247
Experian Finance plc 4.750% 2/4/20 EUR 2,000 3,129
FCE Bank plc 1.750% 5/21/18 EUR 1,060 1,438
FCE Bank plc 4.825% 2/15/17 GBP 650 1,133
FCE Bank plc 5.125% 11/16/15 GBP 100 171
Firstgroup plc 5.250% 11/29/22 GBP 2,000 3,380
2 Friends Life Group plc 6.292% 6/29/49 GBP 600 938
G4S International Finance plc 2.875% 5/2/17 EUR 2,000 2,788
2 Gatwick Funding Ltd. 5.250% 1/23/26 GBP 1,000 1,778
GlaxoSmithKline Capital plc 3.375% 12/20/27 GBP 2,000 3,049
GlaxoSmithKline Capital plc 3.875% 7/6/15 EUR 5,000 7,159
GlaxoSmithKline Capital plc 6.375% 3/9/39 GBP 845 1,810
Go-Ahead Group plc 5.375% 9/29/17 GBP 450 791
Great Rolling Stock Co. plc 6.250% 7/27/20 GBP 1,200 2,272
Heathrow Funding Ltd. 4.125% 10/12/16 EUR 2,200 3,239
Heathrow Funding Ltd. 6.450% 12/10/31 GBP 500 1,007
Heathrow Funding Ltd. 7.125% 2/14/24 GBP 2,620 5,115
Heathrow Funding Ltd. 12.450% 3/31/16 GBP 650 1,298
2 HSBC Bank Capital Funding Sterling 1 LP 5.844% 11/29/49 GBP 250 406
HSBC Bank plc 2.375% 4/4/18 CHF 1,000 1,183
HSBC Bank plc 3.125% 11/15/17 EUR 3,000 4,382
HSBC Bank plc 3.750% 11/30/16 EUR 1,500 2,210
HSBC Bank plc 4.000% 1/15/21 EUR 4,500 6,936
2 HSBC Bank plc 5.000% 3/20/23 GBP 1,680 2,901
HSBC Bank plc 6.250% 1/30/41 GBP 66 130
2 HSBC Capital Funding LP 8.208% 6/29/49 GBP 250 437
HSBC Holdings plc 6.000% 6/10/19 EUR 2,000 3,202
HSBC Holdings plc 6.000% 3/29/40 GBP 2,250 4,231
2 HSBC Holdings plc 6.375% 10/18/22 GBP 3,750 6,754
HSBC Holdings plc 6.750% 9/11/28 GBP 1,750 3,477
Hyde Housing Assn. Ltd. 5.125% 7/23/40 GBP 275 501
Imperial Tobacco Finance plc 4.500% 7/5/18 EUR 2,000 3,054
Imperial Tobacco Finance plc 5.500% 11/22/16 GBP 250 444
Imperial Tobacco Finance plc 9.000% 2/17/22 GBP 2,500 5,481
InterContinental Hotels Group plc 3.875% 11/28/22 GBP 1,500 2,448
InterContinental Hotels Group plc 6.000% 12/9/16 GBP 400 720
2 Intu SGS Finance plc 3.875% 3/17/28 GBP 1,100 1,775
2 Land Securities Capital Markets plc 4.875% 11/7/19 GBP 550 986
2 Land Securities Capital Markets plc 4.875% 9/29/25 GBP 300 545
2 Land Securities Capital Markets plc 5.391% 3/31/27 GBP 614 1,150
2 Land Securities Capital Markets plc 5.396% 7/31/32 GBP 400 751
2 Legal & General Group plc 6.385% 5/29/49 GBP 3,450 5,921
Linde Finance BV 6.500% 1/29/16 GBP 250 446
2 Liverpool Victoria Friendly Society Ltd. 6.500% 5/22/43 GBP 600 937
Lloyds Bank plc 2.500% 3/23/15 CHF 1,500 1,700
Lloyds Bank plc 4.625% 2/2/17 EUR 4,500 6,749
2 Lloyds Bank plc 5.750% 7/9/25 GBP 300 501

 

50

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Lloyds Bank plc 6.500% 3/24/20 EUR 2,000 3,165
Lloyds Bank plc 6.500% 9/17/40 GBP 1,250 2,575
Lloyds Bank plc 6.625% 3/30/15 GBP 480 814
2 Lloyds Bank plc 6.963% 5/29/20 GBP 561 947
2 Lloyds Bank plc 10.125% 12/16/21 CAD 2,406 2,659
2 Lloyds Bank plc 10.750% 12/16/21 GBP 900 1,737
London & Quadrant Housing Trust 4.625% 12/5/33 GBP 100 172
London & Quadrant Housing Trust 5.500% 1/27/40 GBP 400 774
London Power Networks plc 5.375% 11/11/16 GBP 700 1,245
London Stock Exchange Group plc 6.125% 7/7/16 GBP 400 704
Marks & Spencer plc 4.750% 6/12/25 GBP 1,500 2,466
Mondelez International Inc. 5.375% 12/11/14 GBP 500 834
Mondi Finance plc 5.750% 4/3/17 EUR 1,000 1,534
Motability Operations Group plc 4.375% 2/8/27 GBP 2,000 3,369
Motability Operations Group plc 5.250% 9/28/16 GBP 100 177
Motability Operations Group plc 6.625% 12/10/19 GBP 1,000 1,970
National Express Group plc 6.250% 1/13/17 GBP 130 231
National Grid Electricity Transmission plc 6.500% 7/27/28 GBP 1,694 3,468
National Grid Gas plc 6.000% 6/7/17 GBP 500 919
National Grid Gas plc 6.375% 3/3/20 GBP 500 967
National Grid plc 4.375% 3/10/20 EUR 1,000 1,563
2 Nationwide Building Society 4.125% 3/20/23 EUR 2,600 3,573
Nationwide Building Society 6.750% 7/22/20 EUR 500 792
Nationwide Building Society 7.971% 9/29/49 GBP 350 579
Next plc 5.875% 10/12/16 GBP 650 1,161
2 NGG Finance plc 4.250% 6/18/76 EUR 1,000 1,365
2 NGG Finance plc 5.625% 6/18/73 GBP 500 810
Northern Gas Networks Finance plc 4.875% 6/30/27 GBP 300 519
Northern Gas Networks Finance plc 5.875% 7/8/19 GBP 750 1,402
Northern Powergrid Holdings Co. 7.250% 12/15/22 GBP 250 496
Northern Powergrid Yorkshire plc 5.125% 5/4/35 GBP 354 619
Northumbrian Water Finance plc 5.125% 1/23/42 GBP 350 622
Northumbrian Water Finance plc 6.000% 10/11/17 GBP 700 1,296
Notting Hill Housing Trust 3.750% 12/20/32 GBP 600 914
Pearson Funding One plc 6.000% 12/15/15 GBP 800 1,402
Phoenix Natural Gas Finance plc 5.500% 7/10/17 GBP 350 620
Porterbrook Rail Finance Ltd. 6.500% 10/20/20 GBP 1,000 1,935
Prudential plc 1.250% 11/16/15 GBP 600 962
Prudential plc 6.125% 12/19/31 GBP 1,000 1,860
Reed Elsevier Investments plc 5.625% 10/20/16 GBP 100 178
Reed Elsevier Investments plc 7.000% 12/11/17 GBP 600 1,147
Rentokil Initial plc 3.375% 9/24/19 EUR 1,000 1,419
Rentokil Initial plc 5.750% 3/31/16 GBP 550 955
2 RL Finance Bonds plc 6.125% 12/29/49 GBP 50 78
Rolls-Royce plc 2.125% 6/18/21 EUR 500 683
Rolls-Royce plc 3.375% 6/18/26 GBP 2,000 3,147
Rolls-Royce plc 7.375% 6/14/16 GBP 450 833
Royal Bank of Scotland plc 4.750% 5/18/16 EUR 6,000 8,886
Royal Bank of Scotland plc 4.875% 1/20/17 EUR 1,000 1,508
Royal Bank of Scotland plc 6.000% 5/17/17 GBP 50 90
Royal Bank of Scotland plc 6.625% 9/17/18 GBP 800 1,517
Royal Bank of Scotland plc 6.875% 5/17/25 GBP 2,376 4,714
Royal Bank of Scotland plc 6.934% 4/9/18 EUR 3,500 5,351
Royal Bank of Scotland plc 9.625% 6/22/15 GBP 650 1,154
2 RSA Insurance Group plc 6.701% 5/29/49 GBP 90 152
2 RSA Insurance Group plc 8.500% 7/29/49 GBP 230 391

 

51

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
2 RSA Insurance Group plc 9.375% 5/20/39 GBP 3,000 6,071
SABMiller plc 4.500% 1/20/15 EUR 2,000 2,843
Safeway Ltd. 6.000% 1/10/17 GBP 425 761
Sanctuary Capital plc 5.000% 4/26/47 GBP 190 342
Saxon Weald Capital plc 5.375% 6/6/42 GBP 296 544
Scotland Gas Networks plc 4.750% 2/21/17 GBP 450 786
Scotland Gas Networks plc 4.875% 12/21/34 GBP 1,000 1,722
Scottish Power UK plc 8.375% 2/20/17 GBP 550 1,050
2 Scottish Widows plc 5.125% 9/29/49 GBP 270 429
Scottish Widows plc 5.500% 6/16/23 GBP 2,500 4,107
Severn Trent Utilities Finance plc 6.000% 1/22/18 GBP 1,650 3,041
2 Society of Lloyd’s 7.421% 6/29/49 GBP 300 520
South Eastern Power Networks plc 5.625% 9/30/30 GBP 1,350 2,509
Southern Electric Power Distribution plc 5.500% 6/7/32 GBP 206 388
2 Southern Water Services Finance Ltd. 4.500% 3/31/38 GBP 1,000 1,622
Southern Water Services Finance Ltd. 5.000% 3/31/21 GBP 1,000 1,766
SPD Finance UK plc 5.875% 7/17/26 GBP 1,000 1,853
SSE plc 2.000% 6/17/20 EUR 7,200 9,836
SSE plc 5.000% 10/1/18 GBP 1,000 1,810
2 SSE plc 5.025% 10/29/49 EUR 1,000 1,413
2 SSE plc 5.453% 9/29/49 GBP 980 1,627
Stagecoach Group plc 5.750% 12/16/16 GBP 100 177
2 Standard Chartered Bank 5.375% 6/29/49 GBP 1,000 1,619
Standard Chartered Bank 7.750% 4/3/18 GBP 250 477
2 Standard Chartered Bank 8.103% 5/29/49 GBP 200 354
Standard Chartered plc 1.750% 10/29/17 EUR 5,000 6,883
Standard Chartered plc 3.625% 11/23/22 EUR 1,500 2,014
Standard Chartered plc 4.375% 1/18/38 GBP 1,080 1,700
2 Standard Life plc 5.500% 12/4/42 GBP 500 850
Tesco plc 5.000% 3/24/23 GBP 1,000 1,731
Tesco plc 5.200% 3/5/57 GBP 1,000 1,661
Tesco plc 6.125% 2/24/22 GBP 2,000 3,762
Thames Water Utilities Cayman Finance Ltd. 4.375% 7/3/34 GBP 945 1,526
2 Thames Water Utilities Cayman Finance Ltd. 5.375% 7/21/25 GBP 1,030 1,808
Thames Water Utilities Cayman Finance Ltd. 5.500% 2/11/41 GBP 1,175 2,198
Thames Water Utilities Cayman Finance Ltd. 7.241% 4/9/58 GBP 750 1,428
THFC Funding No 3 plc 5.200% 10/11/43 GBP 1,000 1,783
UBM plc 6.500% 11/23/16 GBP 400 718
2 UNITE USAF II plc 3.374% 6/30/28 GBP 500 785
United Utilities Water plc 4.250% 1/24/20 EUR 3,000 4,563
United Utilities Water plc 5.625% 12/20/27 GBP 500 935
United Utilities Water plc 6.125% 12/29/15 GBP 420 740
Urenco Finance NV 4.000% 5/5/17 EUR 700 1,025
Vodafone Group plc 5.375% 12/5/17 GBP 2,150 3,905
Vodafone Group plc 5.900% 11/26/32 GBP 1,000 1,907
Vodafone Group plc 6.250% 1/15/16 EUR 4,000 6,081
Wales & West Utilities Finance plc 5.125% 12/2/16 GBP 150 265
Wales & West Utilities Finance plc 6.250% 11/30/21 GBP 1,000 1,952
Western Power Distribution East Midlands plc 5.250% 1/17/23 GBP 2,500 4,516
Western Power Distribution South Wales plc 5.750% 3/23/40 GBP 450 863
Western Power Distribution South West plc 5.750% 3/23/40 GBP 200 383
WM Morrison Supermarkets plc 2.250% 6/19/20 EUR 300 407
WPP Finance SA 6.375% 11/6/20 GBP 3,000 5,785
WPP plc 6.000% 4/4/17 GBP 50 91
WPP plc 6.625% 5/12/16 EUR 1,000 1,549

 

52

 

Total International Bond Index Fund          
 
 
 
          Face Market
      Maturity   Amount Value
    Coupon Date Currency  (000) ($000)
  Yorkshire Water Services Bradford Finance Ltd. 3.625% 8/1/29 GBP 500 775
2 Yorkshire Water Services Bradford Finance Ltd. 6.000% 4/24/25 GBP 180 320
            424,069
Sovereign Bonds (4.8%)          
  Barclays Bank plc 1.500% 4/4/17 GBP 1,000 1,621
11 LCR Finance plc 4.500% 12/7/28 GBP 2,000 3,566
11 LCR Finance plc 4.500% 12/7/38 GBP 1,100 1,988
11 Network Rail Infrastructure Finance plc 1.000% 12/7/17 GBP 3,000 4,760
11 Network Rail Infrastructure Finance plc 4.375% 12/9/30 GBP 2,500 4,441
  Transport for London 2.250% 8/9/22 GBP 700 1,068
  Transport for London 3.625% 5/15/45 GBP 1,500 2,244
  Transport for London 3.875% 7/23/42 GBP 400 626
  United Kingdom 1.750% 1/22/17 GBP 5,000 8,239
  United Kingdom 1.750% 9/7/22 GBP 23,000 34,891
  United Kingdom 2.250% 9/7/23 GBP 7,000 10,884
  United Kingdom 2.750% 1/22/15 GBP 13,000 21,444
  United Kingdom 3.250% 1/22/44 GBP 25,000 38,536
  United Kingdom 3.500% 7/22/68 GBP 7,300 11,969
  United Kingdom 3.750% 9/7/20 GBP 20,000 35,762
  United Kingdom 3.750% 9/7/21 GBP 20,000 35,705
  United Kingdom 3.750% 7/22/52 GBP 15,000 25,696
  United Kingdom 4.000% 9/7/16 GBP 3,000 5,260
  United Kingdom 4.250% 12/7/27 GBP 14,000 25,691
  United Kingdom 4.250% 6/7/32 GBP 20,000 36,720
  United Kingdom 4.250% 3/7/36 GBP 16,000 29,401
  United Kingdom 4.250% 9/7/39 GBP 23,000 42,435
  United Kingdom 4.250% 12/7/55 GBP 9,700 18,492
  United Kingdom 4.500% 9/7/34 GBP 20,000 37,924
  United Kingdom 4.750% 9/7/15 GBP 13,000 22,509
  United Kingdom 4.750% 3/7/20 GBP 35,000 65,956
  United Kingdom 5.000% 3/7/25 GBP 11,000 21,544
  United Kingdom Gilt 1.000% 9/7/17 GBP 30,000 47,888
  United Kingdom Gilt 1.250% 7/22/18 GBP 30,000 47,711
  United Kingdom Gilt 2.000% 1/22/16 GBP 49,500 81,889
  United Kingdom Gilt 4.000% 1/22/60 GBP 7,700 14,054
  United Kingdom Gilt 4.250% 12/7/40 GBP 15,600 28,749
  United Kingdom Gilt 4.250% 12/7/46 GBP 3,600 6,694
  United Kingdom Gilt 4.250% 12/7/49 GBP 11,700 21,951
  United Kingdom Gilt 4.500% 12/7/42 GBP 18,100 34,858
  United Kingdom Gilt 4.750% 12/7/30 GBP 16,500 32,067
            865,233
Total United Kingdom (Cost $1,408,178)         1,446,754
United States (1.7%)          
Asset-Backed/Commercial Mortgage-Backed Security (0.0%)        
  BA Covered Bond Issuer 4.250% 4/5/17 EUR 2,000 2,995
 
Corporate Bonds (1.7%)          
2 American International Group Inc. 4.875% 3/15/67 EUR 1,000 1,331
2 American International Group Inc. 5.750% 3/15/67 GBP 450 701
  American International Group Inc. 6.765% 11/15/17 GBP 720 1,350
2 American International Group Inc. 8.625% 5/22/68 GBP 2,000 3,745
  Amgen Inc. 2.125% 9/13/19 EUR 2,000 2,755
  AT&T Inc. 2.500% 3/15/23 EUR 2,000 2,662
  AT&T Inc. 3.550% 12/17/32 EUR 500 661

 

53

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
AT&T Inc. 4.250% 6/1/43 GBP 1,000 1,456
AT&T Inc. 4.875% 6/1/44 GBP 2,000 3,221
AT&T Inc. 5.875% 4/28/17 GBP 100 181
AT&T Inc. 6.125% 4/2/15 EUR 3,100 4,530
Bank of America Corp. 2.500% 7/27/20 EUR 500 683
Bank of America Corp. 4.625% 2/7/17 EUR 500 728
Bank of America Corp. 4.625% 8/7/17 EUR 1,450 2,192
Bank of America Corp. 4.750% 4/3/17 EUR 4,000 6,032
Bank of America Corp. 5.250% 11/9/16 GBP 250 437
Bank of America Corp. 7.000% 6/15/16 EUR 2,500 3,902
Bank of America Corp. 7.000% 7/31/28 GBP 2,350 4,909
Brookfield Infrastructure Finance Pty Ltd. 3.455% 10/10/17 CAD 5,000 4,865
Cargill Inc. 1.875% 9/4/19 EUR 600 822
Citigroup Inc. 1.750% 1/29/18 EUR 1,000 1,370
Citigroup Inc. 3.000% 3/21/19 CHF 1,000 1,187
Citigroup Inc. 4.500% 3/3/31 GBP 1,000 1,554
Citigroup Inc. 5.000% 8/2/19 EUR 5,000 7,866
Citigroup Inc. 5.125% 12/12/18 GBP 6,000 10,568
2 Citigroup Inc. 5.160% 5/24/27 CAD 1,000 948
Citigroup Inc. 5.500% 11/18/15 GBP 750 1,302
Citigroup Inc. 7.375% 9/4/19 EUR 1,000 1,748
Citigroup Inc. 7.375% 9/1/39 GBP 400 925
Coca-Cola Enterprises Inc. 2.000% 12/5/19 EUR 1,000 1,363
Digital Stout Holding LLC 4.250% 1/17/25 GBP 2,000 3,125
DIRECTV Holdings LLC /          
     DIRECTV Financing Co. Inc. 2.750% 5/19/23 EUR 1,600 2,070
FCE Bank plc 1.875% 5/12/16 EUR 1,650 2,274
GE Capital Canada Funding Co. 4.600% 1/26/22 CAD 6,500 6,808
GE Capital European Funding 1.625% 3/15/18 EUR 8,000 10,955
GE Capital European Funding 2.000% 2/27/15 EUR 4,000 5,523
GE Capital European Funding 5.250% 5/18/15 EUR 6,000 8,705
GE Capital European Funding 6.025% 3/1/38 EUR 1,500 2,712
GE Capital UK Funding 4.125% 9/28/17 GBP 4,500 7,781
GE Capital UK Funding 4.375% 7/31/19 GBP 1,000 1,740
GE Capital UK Funding 4.625% 1/18/16 GBP 80 137
GE Capital UK Funding 5.625% 12/12/14 GBP 1,650 2,779
GE Capital UK Funding 6.250% 5/5/38 GBP 1,414 2,829
General Electric Capital Corp. 2.500% 2/8/18 CHF 3,000 3,535
General Electric Capital Corp. 4.125% 9/19/35 EUR 1,700 2,346
General Electric Capital Corp. 4.875% 9/18/37 GBP 800 1,295
2 General Electric Capital Corp. 5.500% 9/15/66 GBP 1,400 2,307
2 General Electric Capital Corp. 5.500% 9/15/67 EUR 2,000 2,846
General Electric Capital Corp. 6.250% 12/15/17 GBP 100 187
Goldman Sachs Group Inc. 3.250% 2/1/23 EUR 4,000 5,585
Goldman Sachs Group Inc. 4.375% 3/16/17 EUR 5,950 8,842
Goldman Sachs Group Inc. 4.500% 5/9/16 EUR 1,500 2,200
Goldman Sachs Group Inc. 5.250% 12/15/15 GBP 800 1,378
Goldman Sachs Group Inc. 5.500% 10/12/21 GBP 2,800 4,889
Goldman Sachs Group Inc. 6.125% 5/14/17 GBP 800 1,431
Goldman Sachs Group Inc. 7.250% 4/10/28 GBP 300 629
HSBC Finance Corp. 4.500% 6/14/16 EUR 2,000 2,953
International Business Machines Corp. 1.375% 11/19/19 EUR 3,000 4,010
John Deere Bank SA 3.250% 6/22/16 EUR 300 432
JPMorgan Chase & Co. 1.875% 11/21/19 EUR 5,622 7,562
JPMorgan Chase & Co. 2.750% 2/1/23 EUR 2,000 2,734
JPMorgan Chase & Co. 2.875% 5/24/28 EUR 2,500 3,254

 

54

 

Total International Bond Index Fund          
 
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
JPMorgan Chase & Co. 3.750% 6/15/16 EUR 1,500 2,182
JPMorgan Chase Bank NA 5.375% 9/28/16 GBP 1,100 1,935
McDonald’s Corp. 2.000% 6/1/23 EUR 1,500 1,972
Merrill Lynch & Co. Inc. 4.625% 9/14/18 EUR 1,500 2,189
Merrill Lynch & Co. Inc. 5.500% 11/22/21 GBP 800 1,431
Merrill Lynch & Co. Inc. 5.750% 12/12/14 GBP 380 639
MetLife Inc. 5.375% 12/9/24 GBP 350 641
Metropolitan Life Global Funding I 2.375% 1/11/23 EUR 500 669
Morgan Stanley 2.250% 3/12/18 EUR 5,000 6,901
Morgan Stanley 3.750% 9/21/17 EUR 2,000 2,920
Morgan Stanley 4.500% 2/23/16 EUR 3,000 4,369
Morgan Stanley 5.125% 11/30/15 GBP 1,100 1,890
Morgan Stanley 5.500% 10/2/17 EUR 1,000 1,549
Morgan Stanley 5.750% 2/14/17 GBP 50 89
National Grid North America Inc. 1.750% 2/20/18 EUR 1,400 1,933
Pfizer Inc. 4.550% 5/15/17 EUR 1,820 2,780
Pfizer Inc. 4.750% 6/3/16 EUR 4,500 6,737
Pfizer Inc. 6.500% 6/3/38 GBP 2,000 4,349
Philip Morris International Inc. 1.000% 12/6/16 CHF 2,000 2,242
Philip Morris International Inc. 1.750% 3/19/20 EUR 2,500 3,370
Philip Morris International Inc. 2.125% 5/30/19 EUR 1,000 1,391
Philip Morris International Inc. 3.125% 6/3/33 EUR 1,000 1,321
Procter & Gamble Co. 2.000% 11/5/21 EUR 2,800 3,811
Procter & Gamble Co. 2.000% 8/16/22 EUR 3,080 4,124
Roche Holdings Inc. 5.500% 3/4/15 GBP 150 255
Roche Holdings Inc. 6.500% 3/4/21 EUR 3,595 6,415
Time Warner Cable Inc. 5.250% 7/15/42 GBP 800 1,060
Time Warner Cable Inc. 5.750% 6/2/31 GBP 700 1,030
Toyota Motor Credit Corp. 1.250% 8/1/17 EUR 7,500 10,307
Wal-Mart Stores Inc. 4.875% 9/21/29 EUR 500 829
Wal-Mart Stores Inc. 4.875% 1/19/39 GBP 1,400 2,540
Wal-Mart Stores Inc. 5.625% 3/27/34 GBP 3,000 5,953
Wells Fargo & Co. 2.250% 5/2/23 EUR 2,000 2,648
Wells Fargo & Co. 3.500% 9/12/29 GBP 1,330 2,019
Wells Fargo & Co. 4.375% 8/1/16 EUR 5,000 7,407
Wells Fargo Bank NA 5.250% 8/1/23 GBP 1,650 2,964
          296,708
U.S. Government and Agency Obligations (0.0%)          
12 Tennessee Valley Authority 5.625% 6/7/32 GBP 1,400 2,760
Total United States (Cost $297,145)         302,463
Virgin Islands (0.0%)          
Sovereign Bond (0.0%)          
1 Sinopec Group Overseas Development          
2013 Ltd. (Cost $671) 2.625% 10/17/20 EUR 500 683
Temporary Cash Investments (1.3%)          
Time Deposits (1.0%)          
Australian Dollar Time Deposits 2.004% 11/1/13 AUD 19,941 18,847
British Pound Sterling Time Deposits 0.076% 11/1/13 GBP 4,021 6,448
Canadian Dollar Time Deposits 0.509% 11/1/13 CAD 30,518 29,269
Danish Krone Time Deposits 0.000% 11/1/13 DKK 45,479 8,279
Euro Time Deposits 0.017% 11/1/13 EUR 52,491 71,270
Hong Kong Dollar Time Deposits 0.005% 11/1/13 HKD 4,998 645
Japanese Yen Time Deposits 0.005% 11/1/13 JPY 1,568,267 15,949
New Zealand Dollar Time Deposits 2.000% 11/1/13 NZD 7,155 5,910

 

55

 

Total International Bond Index Fund          
 
 
        Face Market
    Maturity   Amount Value
  Coupon Date Currency  (000) ($000)
Norwegian Krone Time Deposits 0.878% 11/1/13 NOK 77,248 12,976
Singapore Dollar Time Deposits 0.005% 11/1/13 SGD 1,271 1,023
South African Rand Time Deposits 3.900% 11/1/13 ZAR 774 77
Swedish Krona Time Deposits 0.510% 11/1/13 SEK 50,227 7,751
Switzerland Dollar Time Deposits 0.001% 11/1/13 CHF 2,172 2,394
United States Dollar Time Deposits 0.030% 11/1/13 USD 1,170 1,170
          182,008
 
        Shares  
Money Market Fund (0.3%)          
13 Vanguard Market Liquidity Fund 0.120%     45,949,256 45,949
Total Temporary Cash Investments (Cost $227,957)       227,957
Total Investments (98.4%) (Cost $17,388,502)         17,817,894
Other Assets and Liabilities (1.6%)          
Other Assets         1,001,226
Liabilities         (703,043)
          298,183
Net Assets (100%)         18,116,077
 
 
At October 31, 2013, net assets consisted of:          
          Amount
          ($000)
Paid-in Capital         18,379,237
Undistributed Net Investment Income         2,724
Accumulated Net Realized Losses         (680,089)
Unrealized Appreciation (Depreciation)          
Investment Securities         429,392
Futures Contracts         (11)
Foreign Currency Contracts         24,662
Foreign Currencies         (39,838)
Net Assets         18,116,077
 
Investor Shares—Net Assets          
Applicable to 1,246,726,384 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)         12,454,304
Net Asset Value Per Share—Investor Shares         $9.99
 
Admiral Shares—Net Assets          
Applicable to 81,905,526 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)         1,636,327
Net Asset Value Per Share—Admiral Shares         $19.98
 
Institutional Shares—Net Assets          
Applicable to 112,124,106 outstanding $.001 par value shares of      
beneficial interest (unlimited authorization)         3,360,849
Net Asset Value Per Share—Institutional Shares         $29.97

 

56

 

Total International Bond Index Fund  
 
 
 
  Amount
  ($000)
ETF Shares—Net Assets  
Applicable to 13,306,022 outstanding $.001 par value shares of  
beneficial interest (unlimited authorization) 664,597
Net Asset Value Per Share—ETF Shares $49.95

 

See Note A in Notes to Financial Statements.
1 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At October 31, 2013, the aggregate value of these securities was $1,011,158,000,
representing 5.6% of net assets.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
3 Guaranteed by the Republic of Austria.
4 Securities with a value of $167,321,000 have been segregated as collateral for open forward currency contracts.
5 Guaranteed by the Government of Canada.
6 Guaranteed by the Republic of France.
7 Guaranteed by the Federal Republic of Germany.
8 Guaranteed by the Government of Japan.
9 Guaranteed by the Kingdom of Spain.
10 Securities with a value of $1,210,000 have been segregated as initial margin for open futures contracts.
11 Guaranteed by the Government of the United Kingdom.
12 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
AUD—Australian dollar.
CAD—Canadian dollar.
CHF—Swiss franc.
CZK—Czechoslovakian koruna.
DKK—Danish Krone.
EUR—Euro.
GBP—British pound.
HKD—Hong Kong dollar.
ILS—Israel Shekel.
JPY—Japanese yen.
KRW—South Korean won.
MXN—Mexican peso.
MYR—Malaysian ringgit.
NOK—Norwegian krone.
NZD—New Zealand dollar.
PLN—Polish new zloty.
SEK—Swedish krona.
SGD—Singapore dollar.
THB—Thailand baht.
USD—U.S. dollar.
ZAR—South African rand.
See accompanying Notes, which are an integral part of the Financial Statements.

57

 

Total International Bond Index Fund  
 
 
 
Statement of Assets and Liabilities  
As of October 31, 2013  
 
  Amount
  ($000)
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers 17,771,945
Affiliated Issuers 45,949
Total Investments in Securities 17,817,894
Receivables for Investment Securities Sold 269,235
Receivables for Capital Shares Issued 439,459
Receivables for Accrued Income 192,205
Other Assets 100,327
Total Assets 18,819,120
Liabilities  
Payables for Investment Securities Purchased 629,187
Other Liabilities 73,856
Total Liabilities 703,043
Net Assets 18,116,077

 

See accompanying Notes, which are an integral part of the Financial Statements.

58

 

Total International Bond Index Fund  
 
 
Statement of Operations  
 
  April 30, 20131 to
  October 31, 2013
  ($000)
Investment Income  
Income  
Interest2,3 124,172
Total Income 124,172
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 177
Management and Administrative—Investor Shares 10,396
Management and Administrative—Admiral Shares 678
Management and Administrative—Institutional Shares 1,223
Management and Administrative—ETF Shares 350
Management and Administrative—Transition Shares 1,332
Marketing and Distribution—Investor Shares 390
Marketing and Distribution—Admiral Shares 15
Marketing and Distribution—Institutional Shares 117
Marketing and Distribution—ETF Shares 15
Custodian Fees 433
Auditing Fees 44
Shareholders’ Reports—Investor Shares 1
Shareholders’ Reports—Admiral Shares 3
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 5
Total Expenses 15,179
Net Investment Income 108,993
Realized Net Gain (Loss)  
Investment Securities Sold (135,624)
Futures Contracts (9,237)
Foreign Currencies and Forward Currency Contracts (535,228)
Realized Net Gain (Loss) (680,089)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 429,392
Futures Contracts (11)
Foreign Currencies and Forward Currency Contracts (15,176)
Change in Unrealized Appreciation (Depreciation) 414,205
Net Increase (Decrease) in Net Assets Resulting from Operations (156,891)

1 Commencement of Transition Period. See Notes to Financial Statements.
2 Interest income from an affiliated company of the fund was $271,000.
3 Interest income is net of foreign withholding taxes of $740,000.


See accompanying Notes, which are an integral part of the Financial Statements.

59

 

Total International Bond Index Fund  
 
 
Statement of Changes in Net Assets  
 
  April 30, 20131 to
  October 31, 2013
  ($000)
Increase (Decrease) in Net Assets  
Operations  
Net Investment Income 108,993
Realized Net Gain (Loss) (680,089)
Change in Unrealized Appreciation (Depreciation) 414,205
Net Increase (Decrease) in Net Assets Resulting from Operations (156,891)
Distributions  
Net Investment Income  
Investor Shares (69,814)
Admiral Shares (6,369)
Institutional Shares (18,529)
ETF Shares (2,463)
Transition Shares (9,094)
Realized Capital Gain  
Investor Shares —
Admiral Shares —
Institutional Shares —
ETF Shares —
Transition Shares —
Total Distributions (106,269)
Capital Share Transactions  
Investor Shares 12,467,965
Admiral Shares 1,621,818
Institutional Shares 3,355,980
ETF Shares 656,499
Transition Shares 276,875
Net Increase (Decrease) from Capital Share Transactions 18,379,137
Total Increase (Decrease) 18,115,977
Net Assets  
Beginning of Period 100
End of Period2 18,116,077

1 Commencement of Transition Period. See Notes to Financial Statements.
2 Net Assets—End of Period includes undistributed net investment income of $2,724,000.

 

See accompanying Notes, which are an integral part of the Financial Statements.

60

 

Total International Bond Index Fund  
 
 
Financial Highlights  
 
 
Investor Shares  
  May 31, 20131 to
For a Share Outstanding Throughout the Period October 31, 2013
Net Asset Value, Beginning of Period $10.00
Investment Operations  
Net Investment Income .060
Net Realized and Unrealized Gain (Loss) on Investments (.011)
Total from Investment Operations .049
Distributions  
Dividends from Net Investment Income (.059)
Distributions from Realized Capital Gains —
Total Distributions (.059)
Net Asset Value, End of Period $9.99
 
Total Return2 0.50%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $12,454
Ratio of Total Expenses to Average Net Assets 0.23%3
Ratio of Net Investment Income to Average Net Assets 1.44%3
Portfolio Turnover Rate4 31%5

1 Inception.
2 Total returns do not include account service fees that may have applied in the period shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
5 Excludes trading activity during the Transition Period; see Notes to Financial Statements. Portfolio Turnover including trading activity during
the Transition Period was 128%.

 

See accompanying Notes, which are an integral part of the Financial Statements.

61

 

Total International Bond Index Fund  
 
 
Financial Highlights  
 
 
Admiral Shares  
  May 31, 20131 to
For a Share Outstanding Throughout the Period October 31, 2013
Net Asset Value, Beginning of Period $20.00
Investment Operations  
Net Investment Income .125
Net Realized and Unrealized Gain (Loss) on Investments (.023)
Total from Investment Operations .102
Distributions  
Dividends from Net Investment Income (.122)
Distributions from Realized Capital Gains —
Total Distributions (.122)
Net Asset Value, End of Period $19.98
 
Total Return2 0.52%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $1,636
Ratio of Total Expenses to Average Net Assets 0.20%3
Ratio of Net Investment Income to Average Net Assets 1.49%3
Portfolio Turnover Rate4 31%5

1 Inception.
2 Total returns do not include account service fees that may have applied in the period shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
5 Excludes trading activity during the Transition Period; see Notes to Financial Statements. Portfolio Turnover including trading activity during
the Transition Period was 128%.

 

See accompanying Notes, which are an integral part of the Financial Statements.

62

 

Total International Bond Index Fund  
 
 
Financial Highlights  
 
 
Institutional Shares  
  May 31, 20131 to
For a Share Outstanding Throughout the Period October 31, 2013
Net Asset Value, Beginning of Period $30.00
Investment Operations  
Net Investment Income .193
Net Realized and Unrealized Gain (Loss) on Investments (.034)
Total from Investment Operations .159
Distributions  
Dividends from Net Investment Income (.189)
Distributions from Realized Capital Gains —
Total Distributions (.189)
Net Asset Value, End of Period $29.97
 
Total Return 0.54%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $3,361
Ratio of Total Expenses to Average Net Assets 0.12%2
Ratio of Net Investment Income to Average Net Assets 1.55%2
Portfolio Turnover Rate3 31%4

1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Excludes trading activity during the Transition Period; see Notes to Financial Statements. Portfolio Turnover including trading activity during
the Transition Period was 128%.

 

See accompanying Notes, which are an integral part of the Financial Statements.

63

 

Total International Bond Index Fund  
 
 
Financial Highlights  
 
 
ETF Shares  
  May 31, 20131 to
For a Share Outstanding Throughout the Period October 31, 2013
Net Asset Value, Beginning of Period $49.94
Investment Operations  
Net Investment Income .306
Net Realized and Unrealized Gain (Loss) on Investments (.054)
Total from Investment Operations .252
Distributions  
Dividends from Net Investment Income (.242)
Distributions from Realized Capital Gains —
Total Distributions (.242)
Net Asset Value, End of Period $49.95
 
Total Return 0.51%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) $665
Ratio of Total Expenses to Average Net Assets 0.20%2
Ratio of Net Investment Income to Average Net Assets 1.48%2
Portfolio Turnover Rate3 31%4

1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Excludes trading activity during the Transition Period; see Notes to Financial Statements. Portfolio Turnover including trading activity during
the Transition Period was 128%.

 

See accompanying Notes, which are an integral part of the Financial Statements.

64

 

Total International Bond Index Fund  
 
 
Financial Highlights  
 
 
Transition Shares  
  April 30, 20131 to
For a Share Outstanding Throughout the Period May 31, 2013
Net Asset Value, Beginning of Period $30.00
Investment Operations  
Net Investment Income .019
Net Realized and Unrealized Gain (Loss) on Investments (.590)
Total from Investment Operations (.571)
Distributions  
Dividends from Net Investment Income (.019)
Distributions from Realized Capital Gains —
Total Distributions (.019)
Net Asset Value, End of Period2 $29.41
 
Total Return -1.90%
 
Ratios/Supplemental Data  
Net Assets, End of Period (Millions) —
Ratio of Total Expenses to Average Net Assets 0.12%3
Ratio of Net Investment Income to Average Net Assets 0.97%3
Portfolio Turnover Rate4 112%5

1 Commencement of Transition Period. See Notes to Financial Statements.

2 Represents Net Asset Value at which all shares were converted to other classes at the end of the Transition Period. 3 Annualized.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

5 Represents trading activity during the Transition Period only; see Notes to Financial Statements. Portfolio Turnover including trading activity after the Transition Period was 128%.

See accompanying Notes, which are an integral part of the Financial Statements.

65

 

Total International Bond Index Fund

Notes to Financial Statements

Vanguard Total International Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in bonds denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

The fund was organized on September 28, 2011, and its operations up to April 30, 2013, were limited to the sale and issuance of 3,333 Transition Shares of beneficial interest at an aggregate cost of $100,000 to a subsidiary of The Vanguard Group. On May 1, 2013, the fund issued Transition Shares to other Vanguard funds and collective trusts in exchange for U.S. bonds transferred in-kind. The other Vanguard funds and trusts held and traded Transition Shares between May 1, 2013, and May 30, 2013, (the “Transition Period”). During the Transition Period, the fund sold the U.S. bonds it received in-kind and used the proceeds to purchase international bonds consistent with its stated investment objective. The fund offered only Transition Shares during the Transition Period, ensuring that the transaction costs related to the bond sales and purchases were borne solely by the shareholders who caused the fund to incur those costs. All Transition Shares were converted to Investor Shares, Admiral Shares, or Institutional Shares on May 31, 2013. The fund no longer offers Transition Shares.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

66

 

Total International Bond Index Fund

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund may use futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the period ended October 31, 2013, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on quarterly average aggregate settlement values.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

67

 

Total International Bond Index Fund

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the period ended October 31, 2013, the fund’s average investment in forward currency contracts represented 99% of net assets, based on quarterly average notional amounts.

5. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended October 31, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At October 31, 2013, the fund had contributed capital of $2,025,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.81% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).

68

 

Total International Bond Index Fund

The following table summarizes the market value of the fund’s investments as of October 31, 2013, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,760 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,156,935 —
Corporate Bonds — 2,223,761 —
Sovereign Bonds — 14,206,481 —
Temporary Cash Investments 227,957 — —
Futures Contracts—Liabilities1 (11) — —
Forward Currency Contracts—Assets — 26,385 —
Forward Currency Contracts—Liabilities — (1,723) —
Total 227,946 17,614,599 —

1 Represents variation margin on the last day of the reporting period.

At October 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
Euro-Bund December 2013 440 84,833 (11)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

At October 31, 2013, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.

            Unrealized
  Contract         Appreciation
  Settlement     Contract Amount (000) (Depreciation)
Counterparty Date   Receive   Deliver ($000)
BNPSW 12/3/13 USD 4,655,889 EUR 3,424,420 6,367
JPM 12/3/13 USD 4,556,540 EUR 3,351,420 6,133
BNPSW 12/3/13 USD 2,061,425 JPY 202,226,000 4,820
HSBC 12/3/13 USD 2,025,815 JPY 198,726,000 4,804
BNPSW 12/3/13 USD 977,175 CAD 1,019,790 (900)
BNPSW 12/3/13 USD 816,526 GBP 508,350 1,431
HSBC 12/3/13 USD 805,296 GBP 501,350 1,425

 

69

 

Total International Bond Index Fund

            Unrealized
  Contract         Appreciation
  Settlement     Contract Amount (000) (Depreciation)
Counterparty Date   Receive   Deliver ($000)
HSBC 12/3/13 USD 465,831 AUD 492,860 3
BOA 12/3/13 USD 366,887 KRW 389,707,450 (502)
MS 12/3/13 USD 294,584 CHF 266,700 651
BNPSW 12/3/13 USD 201,781 SEK 1,306,640 141
HSBC 12/3/13 USD 128,866 DKK 706,830 194
HSBC 12/3/13 USD 122,028 MXN 1,590,000 163
MS 12/3/13 USD 98,949 PLN 305,000 (66)
HSBC 12/3/13 USD 88,946 ZAR 893,610 (70)
MS 12/3/13 USD 88,133 THB 2,748,510 (172)
HSBC 12/3/13 USD 60,081 SGD 74,520 91
BOA 12/3/13 USD 59,584 MYR 188,030 (3)
HSBC 12/3/13 USD 58,221 NOK 346,650 (10)
MS 12/3/13 USD 53,194 NZD 64,390 8
HSBC 12/3/13 USD 43,574 ILS 153,430 63
HSBC 12/3/13 USD 37,890 CZK 718,310 91
HSBC 12/3/13 USD 5,145 HKD 39,890 —
            24,662

BNPSW—BNP Paribas.
BOA—Bank of America.
HSBC—HSBC Holdings.
MS—Morgan Stanley.
JPM—JP Morgan.

At October 31, 2013, counterparties had deposited in segregated accounts securities with a value of $18,794,000 in connection with open forward currency contracts.

D. At October 31, 2013, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

  Interest Rate Currency  
  Contracts Contracts Total
Statement of Net Assets Caption ($000) ($000) ($000)
Other Assets — 26,385 26,385
Liabilities (11) (1,723) (1,734)

 

70

 

Total International Bond Index Fund

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended October 31, 2013, were:

Interest Rate Currency  
  Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000)
Futures Contracts (9,237) — (9,237)
Forward Currency Contracts — (511,018) (511,018)
Realized Net Gain (Loss) on Derivatives (9,237) (511,018) (520,255)
 
Change in Unrealized Appreciation (Depreciation) on Derivatives      
Futures Contracts (11) — (11)
Forward Currency Contracts — 24,662 24,662
Change in Unrealized Appreciation (Depreciation) on Derivatives (11) 24,662 24,651

 

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

The fund had realized foreign currency losses (included in accumulated net realized losses for financial reporting purposes) totaling $500,547,000 through October 31, 2013, which, as part of the fund’s currency hedge, are deferred for tax purposes. These currency losses are deferred until such time as they are used to offset other currency-related gains (primarily the currency component of unrealized gains on investment securities) that are not yet realized for financial reporting or tax purposes.

For tax purposes, at October 31, 2013, the fund had $201,000 of ordinary income available for distribution. The fund had available capital losses totaling $175,789,000 that may be carried forward indefinitely to offset future net capital gains.

At October 31, 2013, the cost of investment securities for tax purposes was $17,388,916,000. Net unrealized appreciation of investment securities for tax purposes was $428,978,000, consisting of unrealized gains of $550,345,000 on securities that had risen in value since their purchase and $121,367,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the period ended October 31, 2013, the fund purchased $17,810,854,000 of investment securities and sold $2,641,168,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $15,277,089,000 and $15,113,417,000, respectively. Total purchases and sales include $10,565,954,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

71

 

Total International Bond Index Fund    
 
 
 
 
G. Capital share transactions for each class of shares were:    
    Period Ended
  October 31, 2013
  Amount Shares
  ($000) (000)
Investor Shares1    
Issued 12,613,415 1,261,422
Issued in Lieu of Cash Distributions 69,809 7,049
Redeemed (215,259) (21,745)
Net Increase (Decrease)—Investor Shares 12,467,965 1,246,726
Admiral Shares1    
Issued 1,662,591 83,968
Issued in Lieu of Cash Distributions 6,134 309
Redeemed (46,907) (2,371)
Net Increase (Decrease)—Admiral Shares 1,621,818 81,906
Institutional Shares1    
Issued 3,342,098 111,654
Issued in Lieu of Cash Distributions 18,502 622
Redeemed (4,620) (152)
Net Increase (Decrease) —Institutional Shares 3,355,980 112,124
ETF Shares1    
Issued 656,499 13,306
Issued in Lieu of Cash Distributions — —
Redeemed — —
Net Increase (Decrease)—ETF Shares 656,499 13,306
Transition Shares2    
Issued 14,364,752 478,993
Issued in Lieu of Cash Distributions 9,094 309
Redeemed (14,096,971) (479,305)
Net Increase (Decrease)—Transition Shares 276,875 (3)

1 Inception date was May 31, 2013.

2 Commencement of the Transition Period was April 30, 2013. Effective May 31, 2013, all Transition Shares were converted to Investor Shares, Admiral Shares, or Institutional Shares. The fund no longer offers Transition Shares.

H. Management has determined that no material events or transactions occurred subsequent to October 31, 2013, that would require recognition or disclosure in these financial statements.

72

 

Report of Independent Registered
Public Accounting Firm

To the Trustees of Vanguard Charlotte Funds and the Shareholders of Vanguard Total International Bond Index Fund: In our opinion, the accompanying statement of net assets, statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total International Bond Index Fund (constituting a separate portfolio of Vanguard Charlotte Funds, hereafter referred to as the “Fund”) at October 31, 2013, and the results of its operations, the changes in its net assets, and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2013 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provides a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2013

73

 

Trustees Approve Advisory Arrangement

The board of trustees approved the launch of Vanguard Total International Bond Index Fund with an internalized management structure whereby The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group—would provide investment advisory services to the fund at cost. The board determined that the investment advisory arrangement with Vanguard was in the best interests of the fund and its prospective shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board considered the quality of the investment management services to be provided to the fund and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.

Investment performance

The board could not consider the performance of the fund because it was newly launched. However, the board determined that, in its management of other Vanguard index funds, the Fixed Income Group has a track record of consistent performance and disciplined investment processes. Information about the fund’s performance since inception can be found in the Performance Summary section of this report.

Cost

The board considered the cost of services to be provided and concluded that the fund’s expense ratio would be below the average expense ratio charged by funds in its peer group. Information about the fund’s expense ratio appears in the Financial Statements section.

The board did not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.

The benefit of economies of scale

The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement again after a one-year period.

74

 

Glossary

30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.

Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.

Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.

Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.

Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays using ratings generally derived from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating is shown.

Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.

Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.

75

 

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 181 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

InterestedTrustee1 and Delphi Automotive LLP (automotive components);
  Senior Advisor at New Mountain Capital; Trustee of
F. William McNabb III The Conference Board.
Born 1957. Trustee Since July 2009. Chairman of the  
Board. Principal Occupation(s) During the Past Five Amy Gutmann
Years: Chairman of the Board of The Vanguard Group, Born 1949. Trustee Since June 2006. Principal
Inc., and of each of the investment companies served Occupation(s) During the Past Five Years: President
by The Vanguard Group, since January 2010; Director of the University of Pennsylvania; Christopher H.
of The Vanguard Group since 2008; Chief Executive Browne Distinguished Professor of Political Science
Officer and President of The Vanguard Group and of in the School of Arts and Sciences with secondary
each of the investment companies served by The appointments at the Annenberg School for
Vanguard Group since 2008; Director of Vanguard Communication and the Graduate School of Education
Marketing Corporation; Managing Director of The of the University of Pennsylvania; Member of the
Vanguard Group (1995–2008). National Commission on the Humanities and Social
  Sciences; Trustee of Carnegie Corporation of New
  York and of the National Constitution Center; Chair
IndependentTrustees of the U.S. Presidential Commission for the Study
Emerson U. Fullwood of Bioethical Issues.
Born 1948. Trustee Since January 2008. Principal  
Occupation(s) During the Past Five Years: Executive JoAnn Heffernan Heisen
Chief Staff and Marketing Officer for North America Born 1950. Trustee Since July 1998. Principal 
and Corporate Vice President (retired 2008) of Xerox Occupation(s) During the Past Five Years: Corporate 
Corporation (document management products and Vice President and Chief Global Diversity Officer 
services); Executive in Residence and 2010  (retired 2008) and Member of the Executive 
Distinguished Minett Professor at the Rochester Committee (1997–2008) of Johnson & Johnson
Institute of Technology; Director of SPX Corporation (pharmaceuticals/medical devices/consumer 
(multi-industry manufacturing), the United Way of products); Director of Skytop Lodge Corporation 
Rochester, Amerigroup Corporation (managed health (hotels), the University Medical Center at Princeton, 
care), the University of Rochester Medical Center, the Robert Wood Johnson Foundation, and the Center 
Monroe Community College Foundation, and North for Talent Innovation; Member of the Advisory Board 
Carolina A&T University. of the Maxwell School of Citizenship and Public Affairs 
at Syracuse University. 
Rajiv L. Gupta  
Born 1945. Trustee Since December 2001.2  F. Joseph Loughrey
Principal Occupation(s) During the Past Five Years:  Born 1949. Trustee Since October 2009. Principal
Chairman and Chief Executive Officer (retired 2009)  Occupation(s) During the Past Five Years: President
 and President (2006–2008) of Rohm and Haas Co and Chief Operating Officer (retired 2009) of Cummins
.(chemicals); Director of Tyco International, Ltd.  Inc. (industrial machinery); Chairman of the Board of
 (diversified manufacturing and services), Hewlett- Hillenbrand, Inc. (specialized consumer services) and
 Packard Co. (electronic computer manufacturing), of Oxfam America; Director of SKF AB (industrial

 

 

machinery), Hyster-Yale Materials Handling, Inc. Executive Officers  
(forklift trucks), and the Lumina Foundation for    
Education; Member of the Advisory Council for the Glenn Booraem  
College of Arts and Letters and of the Advisory Board Born 1967. Controller Since July 2010. Principal
to the Kellogg Institute for International Studies, both Occupation(s) During the Past Five Years: Principal
at the University of Notre Dame. of The Vanguard Group, Inc.; Controller of each of
  the investment companies served by The Vanguard
Mark Loughridge Group; Assistant Controller of each of the investment
Born 1953. Trustee Since March 2012. Principal companies served by The Vanguard Group (2001–2010).
Occupation(s) During the Past Five Years: Senior Vice    
President and Chief Financial Officer at IBM (information Thomas J. Higgins  
technology services); Fiduciary Member of IBM’s Born 1957. Chief Financial Officer Since September
Retirement Plan Committee. 2008. Principal Occupation(s) During the Past Five
  Years: Principal of The Vanguard Group, Inc.; Chief
Scott C. Malpass Financial Officer of each of the investment companies
Born 1962. Trustee Since March 2012. Principal served by The Vanguard Group; Treasurer of each of
Occupation(s) During the Past Five Years: Chief the investment companies served by The Vanguard
Investment Officer and Vice President at the University Group (1998–2008).  
of Notre Dame; Assistant Professor of Finance at the    
Mendoza College of Business at Notre Dame; Member Kathryn J. Hyatt  
of the Notre Dame 403(b) Investment Committee; Born 1955. Treasurer Since November 2008. Principal
Director of TIFF Advisory Services, Inc. (investment Occupation(s) During the Past Five Years: Principal of
advisor); Member of the Investment Advisory The Vanguard Group, Inc.; Treasurer of each of the
Committees of the Financial Industry Regulatory investment companies served by The Vanguard
Authority (FINRA) and of Major League Baseball. Group; Assistant Treasurer of each of the investment
  companies served by The Vanguard Group (1988–2008).
André F. Perold    
Born 1952. Trustee Since December 2004. Principal Heidi Stam  
Occupation(s) During the Past Five Years: George Born 1956. Secretary Since July 2005. Principal
Gund Professor of Finance and Banking at the Harvard Occupation(s) During the Past Five Years: Managing
Business School (retired 2011); Chief Investment Director of The Vanguard Group, Inc.; General Counsel
Officer and Managing Partner of HighVista Strategies of The Vanguard Group; Secretary of The Vanguard
LLC (private investment firm); Director of Rand Group and of each of the investment companies
Merchant Bank; Overseer of the Museum of Fine served by The Vanguard Group; Director and Senior
Arts Boston. Vice President of Vanguard Marketing Corporation.
 
   
Alfred M. Rankin, Jr.  Vanguard Senior ManagementTeam
Born 1941. Trustee Since January 1993. Principal    
Occupation(s) During the Past Five Years: Chairman, Mortimer J. Buckley Chris D. McIsaac
President, and Chief Executive Officer of NACCO Kathleen C. Gubanich Michael S. Miller
Industries, Inc. (housewares/lignite) and of Hyster-Yale Paul A. Heller James M. Norris
Materials Handling, Inc. (forklift trucks); Director of Martha G. King Glenn W. Reed
the National Association of Manufacturers; Chairman John T. Marcante  
of the Board of University Hospitals of Cleveland;    
Advisory Chairman of the Board of The Cleveland    
Museum of Art.  Chairman Emeritus and Senior Advisor
  John J. Brennan  
Peter F. Volanakis  Chairman, 1996–2009  
Born 1955. Trustee Since July 2009. Principal Chief Executive Officer and President, 1996–2008
Occupation(s) During the Past Five Years: President    
and Chief Operating Officer (retired 2010) of Corning    
Incorporated (communications equipment); Director Founder  
of SPX Corporation (multi-industry manufacturing); John C. Bogle   
Overseer of the Amos Tuck School of Business Chairman and Chief Executive Officer, 1974–1996
Administration at Dartmouth College; Advisor to the    
Norris Cotton Cancer Center.    

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.

 

 

P.O. Box 2600
Valley Forge, PA 19482-2600

Connect with Vanguard® > vanguard.com

Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
With Hearing Impairment > 800-749-7273
 
This material may be used in conjunction
with the offering of shares of any Vanguard
fund only if preceded or accompanied by
the fund’s current prospectus.
 
All comparative mutual fund data are from Lipper, a
Thomson Reuters Company, or Morningstar, Inc., unless
otherwise noted.
 
You can obtain a free copy of Vanguard’s proxy voting
guidelines by visiting vanguard.com/proxyreporting or by
calling Vanguard at 800-662-2739. The guidelines are
also available from the SEC’s website, sec.gov. In
addition, you may obtain a free report on how your fund
voted the proxies for securities it owned during the 12
months ended June 30. To get the report, visit either
vanguard.com/proxyreporting or sec.gov.
 
You can review and copy information about your fund at
the SEC’s Public Reference Room in Washington, D.C. To
find out more about this public service, call the SEC at
202-551-8090. Information about your fund is also
available on the SEC’s website, and you can receive
copies of this information, for a fee, by sending a
request in either of two ways: via e-mail addressed to
publicinfo@sec.gov or via regular mail addressed to the
Public Reference Section, Securities and Exchange
Commission, Washington, DC 20549-1520.

 

                                                                                                                      © 2013 The Vanguard Group, Inc.
                                                                                                                      All rights reserved.
                                                                                                                      Vanguard Marketing Corporation, Distributor.

                                                                                                                       Q12310 122013


Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s
principal executive officer, principal financial officer, principal accounting officer or controller or
persons performing similar functions. The Code of Ethics was amended during the reporting
period covered by this report to make certain technical, non-material changes.

Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have
been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts
serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn
Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and
Alfred M. Rankin, Jr.

Item 4: Principal Accountant Fees and Services.

(a) Audit Fees.

Audit Fees of the Registrant

Fiscal Year Ended October 31, 2013: $44,000
Fiscal Year Ended October 31, 2012: N/A

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended October 31, 2013: $5,714,113
Fiscal Year Ended October 31, 2012: $4,809,780

Includes fees billed in connection with audits of the Registrant and other registered
investment companies in the Vanguard complex. Also includes fees billed in connection
with audits of The Vanguard Group, Inc. and Vanguard Marketing Corporation for Fiscal
Year Ended October 31, 2013.

(b) Audit-Related Fees.

Fiscal Year Ended October 31, 2013: $1,552,950
Fiscal Year Ended October 31, 2012: $1,812,565

Includes fees billed in connection with assurance and related services provided to the
Registrant, other registered investment companies in the Vanguard complex, The Vanguard
Group, Inc., and Vanguard Marketing Corporation.

(c) Tax Fees.

Fiscal Year Ended October 31, 2013: $110,000
Fiscal Year Ended October 31, 2012: $490,518

 

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation. Also includes fees billed in connection with certain tax services related to audits of the Registrant and other registered investment companies in the Vanguard complex for Fiscal Year Ended October 31, 2012.

(d) All Other Fees.

Fiscal Year Ended October 31, 2013: $132,000

Fiscal Year Ended October 31, 2012: $16,000

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

     In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

     The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

     (2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.

 

(g) Aggregate Non-Audit Fees.

Fiscal Year Ended October 31, 2013: $242,000
Fiscal Year Ended October 31, 2012: $506,518

Includes fees billed for non-audit services provided to the Registrant, other registered
investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard
Marketing Corporation.

(h) For the most recent fiscal year, the Audit Committee has determined that the provision
of all non-audit services was consistent with maintaining the principal accountant’s
independence.

Item 5: Audit Committee of Listed Registrants.

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of
1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit
committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan
Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, Alfred M.
Rankin, Jr., and Peter F. Volanakis.

Item 6: Investments.

Not Applicable.

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.

Not Applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not Applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.

Not Applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not Applicable.

Item 11: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial
Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective
based on their evaluation of the Disclosure Controls and Procedures as of a date within 90
days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in
Registrant’s Internal Control Over Financial Reporting or in other factors that could
significantly affect this control subsequent to the date of the evaluation, including any
corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Exhibits.

(a) Code of Ethics.
(b) Certifications.

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.

  VANGUARD CHARLOTTE FUNDS
 
BY: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: December 19, 2013  

 

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.

  VANGUARD CHARLOTTE FUNDS
 
BY: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 19, 2013  

 

 

  VANGUARD CHARLOTTE FUNDS
 
BY: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: December 19, 2013  

 

* By: /s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number
2-11444, Incorporated by Reference.