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%

 

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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