UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

 

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

 

Date of fiscal year end:    October 31st

 

Date of reporting period:    January 31, 2014

 

Item 1: Schedule of Investments

 

 

Vanguard Total International Bond Index Fund          
 
 
 
Schedule of Investments          
As of January 31, 2014          
 
Australia (2.6%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
  Australia & New Zealand Banking Group Ltd. 1.375% 9/4/18 EUR 2,000 2,729
  Australia & New Zealand Banking Group Ltd. 1.125% 5/13/20 EUR 2,000 2,635
  Commonwealth Bank of Australia 2.625% 1/12/17 EUR 1,000 1,427
  Commonwealth Bank of Australia 3.000% 5/3/22 EUR 1,000 1,459
  Commonwealth Bank of Australia 3.000% 9/4/26 GBP 700 1,078
  National Australia Bank Ltd. 2.250% 6/6/25 EUR 1,800 2,404
  Westpac Banking Corp. 1.375% 4/17/20 EUR 2,000 2,679
            14,411
Corporate Bonds (0.5%)          
  Asciano Finance Ltd. 5.000% 9/19/23 GBP 500 847
  Australia & New Zealand Banking Group Ltd. 3.750% 3/10/17 EUR 5,000 7,302
  BHP Billiton Finance Ltd. 6.375% 4/4/16 EUR 2,000 3,030
  BHP Billiton Finance Ltd. 2.125% 11/29/18 EUR 3,800 5,305
  BHP Billiton Finance Ltd. 2.250% 9/25/20 EUR 1,000 1,382
  BHP Billiton Finance Ltd. 3.250% 9/25/24 GBP 3,000 4,688
  BHP Billiton Finance Ltd. 3.125% 4/29/33 EUR 500 662
  Commonwealth Bank of Australia 3.875% 12/14/15 GBP 180 310
  Commonwealth Bank of Australia 4.250% 11/10/16 EUR 4,000 5,887
  Commonwealth Bank of Australia 1.625% 2/4/19 EUR 2,000 2,712
  Commonwealth Bank of Australia 4.375% 2/25/20 EUR 3,500 5,428
  Macquarie Bank Ltd. 3.000% 8/9/17 CHF 3,000 3,563
  Macquarie Bank Ltd. 6.000% 9/21/20 EUR 1,500 2,306
  National Australia Bank Ltd. 4.250% 6/24/15 CHF 1,000 1,166
  National Australia Bank Ltd. 4.750% 7/15/16 EUR 4,000 5,912
  National Australia Bank Ltd. 6.000% 2/15/17 AUD 7,500 6,996
  National Australia Bank Ltd. 4.000% 7/13/20 EUR 5,100 7,797
  Origin Energy Finance Ltd. 2.875% 10/11/19 EUR 2,000 2,777
1 Origin Energy Finance Ltd. 3.500% 10/4/21 EUR 1,500 2,106
2 QBE Capital Funding IV Ltd. 7.500% 5/24/41 GBP 1,000 1,764
  QBE Insurance Group Ltd. 6.125% 9/28/15 GBP 130 227
2 Santos Finance Ltd. 8.250% 9/22/70 EUR 750 1,128
  Telstra Corp. Ltd. 2.500% 9/15/23 EUR 3,000 4,055
  Wesfarmers Ltd. 4.750% 3/12/20 AUD 5,000 4,361
  Wesfarmers Ltd. 2.750% 8/2/22 EUR 3,000 4,168
  Westfield Retail Trust 1 3.250% 9/11/23 EUR 3,273 4,630
  Westfield UK & Europe Finance plc 4.250% 7/11/22 GBP 2,300 3,952
  Westpac Banking Corp. 1.375% 12/23/15 GBP 300 495
  Westpac Banking Corp. 4.250% 9/22/16 EUR 6,000 8,799
  Westpac Banking Corp. 7.250% 11/18/16 AUD 1,500 1,441
  Westpac Banking Corp. 6.000% 2/20/17 AUD 3,700 3,458
            108,654
Sovereign Bonds (U.S. Dollar-Denominated) (2.0%)          
  Commonwealth of Australia 6.250% 4/15/15 AUD 30,000 27,435
  Commonwealth of Australia 4.750% 10/21/15 AUD 25,000 22,689
  Commonwealth of Australia 4.750% 6/15/16 AUD 40,000 36,662
  Commonwealth of Australia 6.000% 2/15/17 AUD 35,000 33,421
  Commonwealth of Australia 4.250% 7/21/17 AUD 10,000 9,118
  Commonwealth of Australia 5.500% 1/21/18 AUD 16,000 15,254
  Commonwealth of Australia 5.250% 3/15/19 AUD 11,000 10,500
  Commonwealth of Australia 4.500% 4/15/20 AUD 22,000 20,320
  Commonwealth of Australia 5.750% 5/15/21 AUD 5,000 4,956

 

 

Commonwealth of Australia 5.500% 4/21/23 AUD 50,600 49,745
Commonwealth of Australia 2.750% 4/21/24 AUD 16,000 12,546
Commonwealth of Australia 4.750% 4/21/27 AUD 10,000 9,193
Commonwealth of Australia 3.250% 4/21/29 AUD 13,000 9,926
New South Wales Treasury Corp. 4.000% 2/20/17 AUD 11,000 9,875
New South Wales Treasury Corp. 3.500% 3/20/19 AUD 10,000 8,695
New South Wales Treasury Corp. 6.000% 3/1/22 AUD 14,000 13,759
New South Wales Treasury Corp. 6.000% 5/1/30 AUD 3,000 2,947
Queensland Treasury Corp. 6.000% 4/21/16 AUD 9,000 8,393
Queensland Treasury Corp. 3.500% 9/21/17 AUD 15,000 13,206
Queensland Treasury Corp. 6.000% 2/21/18 AUD 10,000 9,588
Queensland Treasury Corp. 6.250% 2/21/20 AUD 10,000 9,818
Queensland Treasury Corp. 5.500% 6/21/21 AUD 3,000 2,837
Queensland Treasury Corp. 6.000% 7/21/22 AUD 15,000 14,626
Queensland Treasury Corp. 4.250% 7/21/23 AUD 10,000 8,545
South Australian Government Financing          
Authority 4.750% 8/6/19 AUD 7,500 6,847
Treasury Corp. of Victoria 5.500% 11/15/18 AUD 10,000 9,471
Treasury Corp. of Victoria 6.000% 6/15/20 AUD 10,000 9,781
Treasury Corp. of Victoria 6.000% 10/17/22 AUD 7,000 6,872
Treasury Corp. of Victoria 5.500% 12/17/24 AUD 10,000 9,476
Western Australian Treasury Corp. 3.000% 6/8/16 AUD 14,000 12,250
          418,751
Total Australia (Cost $580,020)         541,816
Austria (1.4%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
BAWAG PSK Bank fuer Arbeit und Wirtschaft          
und Oesterreichische Postsparkasse AG 1.875% 9/18/19 EUR 500 690
Erste Group Bank AG 4.000% 1/20/21 EUR 2,000 3,131
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 300 398
Raiffeisenlandesbank Niederoesterreich-Wien          
AG 1.750% 10/2/20 EUR 1,700 2,331
UniCredit Bank Austria AG 2.875% 11/4/16 EUR 2,000 2,873
UniCredit Bank Austria AG 4.125% 2/24/21 EUR 2,000 3,126
          15,471
Corporate Bonds (0.1%)          
Erste Group Bank AG 3.375% 3/28/17 EUR 1,500 2,165
OMV AG 4.250% 10/12/21 EUR 1,000 1,554
2 OMV AG 6.750% 6/29/49 EUR 1,000 1,492
Raiffeisen Bank International AG 2.750% 7/10/17 EUR 1,500 2,119
Telekom Finanzmanagement GmbH 4.250% 1/27/17 EUR 634 929
Telekom Finanzmanagement GmbH 3.125% 12/3/21 EUR 5,000 6,949
UniCredit Bank Austria AG 2.625% 1/30/18 EUR 1,000 1,380
2 Vienna Insurance Group AG Wiener          
Versicherung Gruppe 5.500% 10/9/43 EUR 1,000 1,443
          18,031
Sovereign Bonds (U.S. Dollar-Denominated) (1.2%)          
Autobahnen- Und Schnellstrasen-          
Finanzierungs-AG 4.500% 10/16/17 EUR 1,000 1,539
3 Autobahnen- Und Schnellstrasen-          
Finanzierungs-AG 4.375% 7/8/19 EUR 4,000 6,307
3 Autobahnen- Und Schnellstrasen-          
Finanzierungs-AG 3.375% 9/22/25 EUR 2,000 3,000

 

 

  Autobahnen- Und Schnellstrasen-          
  Finanzierungs-AG 2.750% 6/11/32 EUR 500 682
  Autobahnen- Und Schnellstrasen-          
  Finanzierungs-AG 2.750% 6/20/33 EUR 700 944
  Erdoel-Lagergesellschaft mbH 2.750% 3/20/28 EUR 2,000 2,731
3 Hypo Alpe-Adria-Bank International AG 2.375% 12/13/22 EUR 3,000 4,018
3 OeBB Infrastruktur AG 3.500% 10/19/20 EUR 6,000 9,142
3 OeBB Infrastruktur AG 2.250% 7/4/23 EUR 1,000 1,375
3 OeBB Infrastruktur AG 3.500% 10/19/26 EUR 1,000 1,513
3 OeBB Infrastruktur AG 3.375% 5/18/32 EUR 2,000 2,961
  Oesterreichische Kontrollbank AG 3.875% 9/15/16 EUR 2,000 2,943
3 Oesterreichische Kontrollbank AG 2.125% 7/23/19 CHF 3,500 4,176
1 Republic of Austria 3.500% 7/15/15 EUR 10,000 14,137
1 Republic of Austria 4.000% 9/15/16 EUR 10,000 14,797
1 Republic of Austria 3.200% 2/20/17 EUR 20,000 29,270
1 Republic of Austria 4.650% 1/15/18 EUR 7,000 10,925
1 Republic of Austria 1.150% 10/19/18 EUR 2,000 2,739
1 Republic of Austria 4.350% 3/15/19 EUR 5,000 7,894
1 Republic of Austria 1.950% 6/18/19 EUR 10,000 14,161
1 Republic of Austria 3.900% 7/15/20 EUR 15,000 23,502
1 Republic of Austria 3.500% 9/15/21 EUR 12,000 18,459
1 Republic of Austria 3.400% 11/22/22 EUR 10,000 15,281
1,4 Republic of Austria 1.750% 10/20/23 EUR 10,000 13,288
1 Republic of Austria 4.850% 3/15/26 EUR 15,000 25,879
1 Republic of Austria 2.400% 5/23/34 EUR 4,000 5,200
1 Republic of Austria 4.150% 3/15/37 EUR 9,800 16,470
1 Republic of Austria 3.150% 6/20/44 EUR 5,000 7,298
1 Republic of Austria 3.800% 1/26/62 EUR 3,000 5,110
            265,741
Total Austria (Cost $292,683)         299,243
Belgium (2.1%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)        
  Belfius Bank SA 1.375% 6/5/20 EUR 1,500 2,010
  KBC Bank NV 1.250% 5/28/20 EUR 3,000 3,999
            6,009
Corporate Bonds (0.1%)          
  Anheuser-Busch InBev NV 8.625% 1/30/17 EUR 3,000 4,959
  Anheuser-Busch InBev NV 6.500% 6/23/17 GBP 2,280 4,320
  Anheuser-Busch InBev NV 4.000% 4/26/18 EUR 1,173 1,766
  Anheuser-Busch InBev NV 2.000% 12/16/19 EUR 750 1,037
  Anheuser-Busch InBev NV 9.750% 7/30/24 GBP 800 2,004
  BNP Paribas Fortis SA 5.757% 10/4/17 EUR 2,500 3,845
  Elia System Operator SA 5.625% 4/22/16 EUR 900 1,342
  KBC Internationale Financieringsmaatschappij          
  NV 5.000% 3/16/16 EUR 3,450 5,047
2 Solvay Finance SA 4.199% 5/29/49 EUR 2,000 2,724
            27,044
Sovereign Bonds (U.S. Dollar-Denominated) (2.0%)          
  Belgacom SA 3.875% 2/7/18 EUR 1,000 1,497
5 Dexia Credit Local SA 1.000% 7/11/16 EUR 5,000 6,818
  Eandis CVBA 4.500% 11/8/21 EUR 1,500 2,334
  Flemish Community 3.875% 7/20/16 EUR 2,000 2,918
  Flemish Community 3.000% 1/31/18 EUR 2,000 2,910
1 Kingdom of Belgium 3.500% 3/28/15 EUR 5,000 7,000
1 Kingdom of Belgium 3.750% 9/28/15 EUR 5,000 7,138

 

 

1 Kingdom of Belgium 2.750% 3/28/16 EUR 10,000 14,199
1 Kingdom of Belgium 3.250% 9/28/16 EUR 30,000 43,564
1 Kingdom of Belgium 4.000% 3/28/17 EUR 6,000 8,979
1 Kingdom of Belgium 3.500% 6/28/17 EUR 15,000 22,229
1 Kingdom of Belgium 4.000% 3/28/18 EUR 10,000 15,264
Kingdom of Belgium 1.250% 6/22/18 EUR 9,000 12,343
Kingdom of Belgium 4.000% 3/28/19 EUR 15,000 23,206
Kingdom of Belgium 3.000% 9/28/19 EUR 16,000 23,662
1 Kingdom of Belgium 3.750% 9/28/20 EUR 13,000 20,072
1 Kingdom of Belgium 4.250% 9/28/21 EUR 12,000 19,114
Kingdom of Belgium 4.000% 3/28/22 EUR 12,000 18,800
Kingdom of Belgium 4.250% 9/28/22 EUR 10,000 15,914
Kingdom of Belgium 2.250% 6/22/23 EUR 28,500 38,759
1 Kingdom of Belgium 4.500% 3/28/26 EUR 7,000 11,370
Kingdom of Belgium 5.500% 3/28/28 EUR 13,000 23,296
Kingdom of Belgium 4.000% 3/28/32 EUR 8,000 12,399
1 Kingdom of Belgium 5.000% 3/28/35 EUR 15,000 26,416
1 Kingdom of Belgium 4.250% 3/28/41 EUR 10,500 17,009
Kingdom of Belgium 3.750% 6/22/45 EUR 5,000 7,395
          404,605
Total Belgium (Cost $424,642)         437,658
Bermuda (0.0%)          
Corporate Bonds (0.0%)          
Bacardi Ltd. (Cost $2,654) 2.750% 7/3/23 EUR 2,000 2,720
Brazil (0.1%)          
Corporate Bonds (0.0%)          
Telemar Norte Leste SA 5.125% 12/15/17 EUR 500 712
Vale SA 3.750% 1/10/23 EUR 1,500 2,018
          2,730
Sovereign Bonds (U.S. Dollar-Denominated) (0.1%)          
1 Banco do Brasil SA 3.750% 7/25/18 EUR 1,000 1,372
1 Banco Nacional de Desenvolvimento          
Economico e Social 3.625% 1/21/19 EUR 1,000 1,334
Federative Republic of Brazil 7.375% 2/3/15 EUR 3,000 4,286
Petrobras Global Finance BV 2.750% 1/15/18 EUR 500 658
Petrobras Global Finance BV 3.250% 4/1/19 EUR 5,000 6,611
Petrobras Global Finance BV 3.750% 1/14/21 EUR 500 655
Petrobras Global Finance BV 4.750% 1/14/25 EUR 500 646
Petrobras International Finance Co. 6.250% 12/14/26 GBP 2,000 3,277
          18,839
Total Brazil (Cost $21,943)         21,569
Canada (5.0%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
Royal Bank of Canada 4.625% 1/22/18 EUR 3,000 4,650
Royal Bank of Canada 3.770% 3/30/18 CAD 5,000 4,826
Royal Bank of Canada 1.625% 8/4/20 EUR 1,500 2,039
          11,515
Corporate Bonds (0.8%)          
407 International Inc. 4.300% 5/26/21 CAD 1,500 1,469
407 International Inc. 4.190% 4/25/42 CAD 1,500 1,321
Bank of Montreal 1.890% 10/5/15 CAD 5,000 4,516
Bank of Montreal 2.390% 7/12/17 CAD 5,000 4,549
Bank of Montreal 2.240% 12/11/17 CAD 7,500 6,757

 

 

Bank of Montreal 6.020% 5/2/18 CAD 4,000 4,177
Bank of Nova Scotia 2.250% 5/8/15 CAD 2,000 1,814
Bank of Nova Scotia 3.610% 2/22/16 CAD 2,000 1,868
Bank of Nova Scotia 2.598% 2/27/17 CAD 2,000 1,833
Bank of Nova Scotia 2.242% 3/22/18 CAD 7,500 6,735
2 Bank of Nova Scotia 3.036% 10/18/24 CAD 5,000 4,540
Bell Canada 3.350% 6/18/19 CAD 5,000 4,585
Bell Canada 3.350% 3/22/23 CAD 5,000 4,372
Brookfield Asset Management Inc. 4.540% 3/31/23 CAD 2,000 1,854
Caisse Centrale Desjardins 2.795% 11/19/18 CAD 4,000 3,640
Canadian Imperial Bank of Commerce 2.650% 11/8/16 CAD 10,000 9,178
Canadian Imperial Bank of Commerce 2.350% 10/18/17 CAD 1,500 1,364
Canadian Imperial Bank of Commerce 2.220% 3/7/18 CAD 3,000 2,708
2 Capital Desjardins Inc. 4.954% 12/15/26 CAD 3,000 2,996
Capital Power LP 5.276% 11/16/20 CAD 4,000 3,812
CU Inc. 4.543% 10/24/41 CAD 1,000 932
Enbridge Inc. 4.530% 3/9/20 CAD 3,000 2,960
Enbridge Inc. 4.240% 8/27/42 CAD 2,000 1,712
Enbridge Pipelines Inc. 4.550% 8/17/43 CAD 1,000 936
2 Great-West Lifeco Finance Delaware LP 5.691% 6/21/67 CAD 4,000 3,960
Greater Toronto Airports Authority 5.300% 2/25/41 CAD 2,000 2,082
HSBC Bank Canada 3.558% 10/4/17 CAD 5,000 4,732
HSBC Bank Canada 2.938% 1/14/20 CAD 2,000 1,811
2 Manulife Financial Capital Trust II 7.405% 12/31/08 CAD 4,000 4,366
2 National Bank of Canada 3.261% 4/11/22 CAD 7,000 6,486
NAV Canada 1.949% 4/19/18 CAD 2,000 1,785
Rogers Communications Inc. 5.340% 3/22/21 CAD 6,000 6,092
Royal Bank of Canada 3.360% 1/11/16 CAD 7,500 6,961
Royal Bank of Canada 2.260% 3/12/18 CAD 7,500 6,730
Royal Bank of Canada 2.770% 12/11/18 CAD 3,000 2,731
2 Royal Bank of Canada 4.350% 6/15/20 CAD 2,000 1,857
2 Royal Bank of Canada 3.180% 11/2/20 CAD 2,000 1,839
2 Royal Bank of Canada 2.990% 12/6/24 CAD 4,000 3,641
Shaw Communications Inc. 6.750% 11/9/39 CAD 2,500 2,636
Sun Life Financial Inc. 4.570% 8/23/21 CAD 3,000 2,932
Talisman Energy Inc. 6.625% 12/5/17 GBP 1,350 2,510
TELUS Corp. 3.350% 4/1/24 CAD 7,500 6,456
Teranet Holdings LP 4.807% 12/16/20 CAD 4,000 3,906
Thomson Reuters Corp. 6.000% 3/31/16 CAD 3,000 2,922
Toronto-Dominion Bank 2.948% 8/2/16 CAD 2,000 1,852
Toronto-Dominion Bank 2.171% 4/2/18 CAD 7,500 6,715
TransCanada PipeLines Ltd. 4.550% 11/15/41 CAD 2,000 1,848
Wells Fargo Canada Corp. 2.944% 7/25/19 CAD 2,000 1,833
Westcoast Energy Inc. 5.600% 1/16/19 CAD 275 280
          169,591
Sovereign Bonds (U.S. Dollar-Denominated) (4.1%)          
Alberta Capital Finance Authority 3.050% 6/15/15 CAD 2,000 1,844
Canada 1.000% 2/1/15 CAD 25,000 22,461
Canada 1.000% 5/1/15 CAD 5,000 4,491
Canada 2.500% 6/1/15 CAD 35,000 32,066
Canada 1.500% 8/1/15 CAD 15,000 13,577
Canada 3.000% 12/1/15 CAD 10,000 9,308
Canada 1.250% 2/1/16 CAD 30,000 27,093
Canada 2.750% 9/1/16 CAD 25,000 23,411
Canada 1.500% 3/1/17 CAD 20,000 18,153
Canada 4.250% 6/1/18 CAD 10,000 10,038
Canada 1.250% 9/1/18 CAD 6,840 6,060

 

 

  Canada 1.750% 3/1/19 CAD 13,000 11,738
  Canada 3.500% 1/13/20 EUR 2,000 3,094
  Canada 3.500% 6/1/20 CAD 19,250 19,014
  Canada 3.250% 6/1/21 CAD 7,000 6,835
  Canada 2.750% 6/1/22 CAD 12,000 11,235
  Canada 1.500% 6/1/23 CAD 9,000 7,514
  Canada 8.000% 6/1/23 CAD 6,000 7,978
  Canada 2.500% 6/1/24 CAD 5,000 4,508
  Canada 8.000% 6/1/27 CAD 7,000 10,141
  Canada 5.750% 6/1/29 CAD 20,000 24,902
  Canada 5.750% 6/1/33 CAD 23,500 30,315
  Canada 5.000% 6/1/37 CAD 16,000 19,557
  Canada 4.000% 6/1/41 CAD 14,000 15,100
  Canada 3.500% 12/1/45 CAD 10,300 10,336
1 Canada Housing Trust No 1 2.450% 12/15/15 CAD 20,000 18,413
1 Canada Housing Trust No 1 2.750% 6/15/16 CAD 20,000 18,614
1 Canada Housing Trust No 1 1.850% 12/15/16 CAD 10,000 9,116
1 Canada Housing Trust No 1 2.050% 6/15/17 CAD 10,000 9,155
1 Canada Housing Trust No 1 1.700% 12/15/17 CAD 7,000 6,309
1 Canada Housing Trust No 1 2.050% 6/15/18 CAD 10,000 9,097
1 Canada Housing Trust No 1 2.350% 12/15/18 CAD 10,000 9,177
1,6 Canada Housing Trust No 1 4.100% 12/15/18 CAD 10,000 9,917
1 Canada Housing Trust No 1 3.800% 6/15/21 CAD 5,000 4,905
1 Canada Housing Trust No 1 2.650% 3/15/22 CAD 7,500 6,778
1 Canada Housing Trust No 1 2.400% 12/15/22 CAD 10,000 8,766
1 Canada Housing Trust No 1 3.150% 9/15/23 CAD 5,000 4,615
  CDP Financial Inc. 4.600% 7/15/20 CAD 350 351
  City of Montreal Canada 3.500% 9/1/23 CAD 2,500 2,240
  City of Toronto 5.200% 6/1/40 CAD 1,000 1,046
  Export Development Canada 0.875% 12/7/16 GBP 1,000 1,636
  Financement-Quebec 2.450% 12/1/19 CAD 9,000 8,105
  Hydro One Inc. 2.780% 10/9/18 CAD 2,000 1,834
  Hydro One Inc. 4.400% 6/1/20 CAD 3,000 2,970
  Hydro One Inc. 3.200% 1/13/22 CAD 5,000 4,544
  Hydro One Inc. 3.790% 7/31/62 CAD 2,000 1,609
  Hydro-Quebec 10.500% 10/15/21 CAD 2,000 2,727
  Hydro-Quebec 6.500% 1/16/35 CAD 280 339
  Hydro-Quebec 6.500% 2/15/35 CAD 3,000 3,658
  Hydro-Quebec 6.000% 2/15/40 CAD 1,000 1,187
  Hydro-Quebec 5.000% 2/15/45 CAD 8,500 8,962
  Hydro-Quebec 5.000% 2/15/50 CAD 6,500 6,954
1,6 Labrador-Island Link Funding Trust 3.760% 6/1/33 CAD 3,000 2,809
  Municipal Finance Authority of British          
  Columbia 3.000% 6/1/16 CAD 5,000 4,682
  Ontario Electricity Financial Corp. 10.125% 10/15/21 CAD 2,500 3,333
  Ontario Electricity Financial Corp. 8.250% 6/22/26 CAD 2,000 2,643
  Province of Alberta 1.700% 12/15/17 CAD 7,500 6,752
  Province of Alberta 2.900% 9/20/29 CAD 2,800 2,334
  Province of Alberta 3.900% 12/1/33 CAD 2,000 1,855
  Province of Alberta 3.450% 12/1/43 CAD 1,000 845
  Province of British Columbia 4.650% 12/18/18 CAD 2,000 2,011
  Province of British Columbia 4.100% 12/18/19 CAD 5,000 4,961
  Province of British Columbia 3.250% 12/18/21 CAD 5,000 4,657
  Province of British Columbia 2.700% 12/18/22 CAD 5,000 4,407
  Province of British Columbia 4.700% 6/18/37 CAD 3,300 3,410
  Province of British Columbia 3.200% 6/18/44 CAD 5,000 4,027
  Province of British Columbia 4.900% 6/18/48 CAD 3,000 3,267

 

 

Province of Manitoba 5.200% 12/3/15 CAD 3,000 2,892
Province of Manitoba 4.600% 3/5/38 CAD 3,000 3,006
Province of Manitoba 4.100% 3/5/41 CAD 5,000 4,684
Province of New Brunswick 4.450% 3/26/18 CAD 2,000 1,983
Province of New Brunswick 2.850% 6/2/23 CAD 5,000 4,368
Province of New Brunswick 4.800% 6/3/41 CAD 2,750 2,808
Province of New Brunswick 3.550% 6/3/43 CAD 1,000 831
Province of Newfoundland and Labrador 6.150% 4/17/28 CAD 1,000 1,148
Province of Newfoundland and Labrador 4.650% 10/17/40 CAD 2,000 2,022
Province of Nova Scotia 4.100% 6/1/21 CAD 6,000 5,885
Province of Nova Scotia 3.500% 6/2/62 CAD 2,500 2,088
Province of Ontario 4.300% 3/8/17 CAD 5,000 4,877
Province of Ontario 1.900% 9/8/17 CAD 15,000 13,600
Province of Ontario 2.100% 9/8/18 CAD 15,000 13,543
Province of Ontario 4.200% 6/2/20 CAD 15,000 14,828
Province of Ontario 4.850% 6/2/20 CAD 10,000 10,225
Province of Ontario 3.000% 9/28/20 EUR 3,750 5,537
Province of Ontario 3.150% 6/2/22 CAD 15,000 13,660
Province of Ontario 2.850% 6/2/23 CAD 10,000 8,758
Province of Ontario 6.500% 3/8/29 CAD 4,000 4,786
Province of Ontario 5.850% 3/8/33 CAD 6,500 7,454
Province of Ontario 5.600% 6/2/35 CAD 8,000 9,014
Province of Ontario 4.700% 6/2/37 CAD 6,000 6,079
Province of Ontario 4.600% 6/2/39 CAD 15,000 15,024
Province of Ontario 4.650% 6/2/41 CAD 12,500 12,642
Province of Ontario 3.500% 6/2/43 CAD 10,000 8,340
Province of Ontario 3.450% 6/2/45 CAD 6,000 4,963
Province of Saskatchewan 4.750% 6/1/40 CAD 2,000 2,086
Province of Saskatchewan 3.400% 2/3/42 CAD 3,500 2,937
Quebec 4.500% 12/1/17 CAD 5,000 4,950
Quebec 4.500% 12/1/18 CAD 5,000 4,988
Quebec 5.000% 4/29/19 EUR 5,500 8,845
Quebec 4.500% 12/1/20 CAD 8,000 8,016
Quebec 4.250% 12/1/21 CAD 15,000 14,742
Quebec 3.000% 9/1/23 CAD 10,000 8,759
Quebec 5.350% 6/1/25 CAD 5,000 5,238
Quebec 6.000% 10/1/29 CAD 5,000 5,640
Quebec 6.250% 6/1/32 CAD 7,000 8,218
Quebec 5.750% 12/1/36 CAD 2,000 2,268
Quebec 5.000% 12/1/38 CAD 2,000 2,071
Quebec 5.000% 12/1/41 CAD 10,000 10,425
Quebec 4.250% 12/1/43 CAD 10,000 9,304
Regional Municipality of Peel Ontario 5.100% 6/29/40 CAD 1,000 1,023
          850,341
Total Canada (Cost $1,120,181)         1,031,447
China (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
1 Sinopec Group Overseas Development 2013          
Ltd. (Cost $671) 2.625% 10/17/20 EUR 500 683
Czech Republic (0.3%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.3%)          
CEZ AS 5.000% 10/19/21 EUR 2,000 3,200
CEZ AS 4.875% 4/16/25 EUR 500 795
CEZ AS 3.000% 6/5/28 EUR 500 643
Czech Republic 4.000% 4/11/17 CZK 328,000 17,771

 

 

Czech Republic 5.000% 6/11/18 EUR 2,000 3,147
Czech Republic 4.600% 8/18/18 CZK 100,000 5,686
Czech Republic 3.750% 9/12/20 CZK 100,000 5,499
Czech Republic 3.625% 4/14/21 EUR 3,000 4,468
Czech Republic 3.850% 9/29/21 CZK 80,000 4,431
Czech Republic 5.700% 5/25/24 CZK 100,000 6,405
Czech Republic 4.850% 11/26/57 CZK 50,000 2,864
Total Czech Republic (Cost $56,679)         54,909
Denmark (0.9%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
Danske Bank A/S 3.250% 3/9/16 EUR 1,000 1,428
Danske Bank A/S 4.125% 11/26/19 EUR 1,000 1,561
Danske Bank A/S 1.625% 2/28/20 EUR 4,000 5,475
Nordea Kredit Realkreditaktieselskab 2.000% 1/1/16 DKK 20,000 3,729
Nordea Kredit Realkreditaktieselskab 3.500% 10/1/44 DKK 9,861 1,769
Nykredit Realkredit A/S 3.250% 6/1/17 EUR 2,000 2,866
Nykredit Realkredit A/S 2.000% 4/1/18 DKK 30,000 5,639
Nykredit Realkredit A/S 2.000% 10/1/18 DKK 20,000 3,753
Realkredit Danmark A/S 2.000% 4/1/16 DKK 5,000 934
Realkredit Danmark A/S 4.000% 10/1/41 DKK 4,523 856
          28,010
Corporate Bonds (0.1%)          
AP Moeller - Maersk A/S 6.250% 12/16/16 NOK 5,000 870
AP Moeller - Maersk A/S 3.375% 8/28/19 EUR 2,000 2,925
AP Moeller - Maersk A/S 4.000% 4/4/25 GBP 500 809
Carlsberg Breweries A/S 7.250% 11/28/16 GBP 1,600 3,007
Carlsberg Breweries A/S 2.625% 7/3/19 EUR 3,000 4,197
Danske Bank A/S 4.000% 12/9/15 GBP 200 343
Danske Bank A/S 3.875% 5/18/16 EUR 3,000 4,324
2 Danske Bank A/S 4.878% 5/29/49 EUR 3,000 4,166
TDC A/S 4.375% 2/23/18 EUR 2,000 3,010
          23,651
Sovereign Bonds (U.S. Dollar-Denominated) (0.6%)          
DONG Energy A/S 6.500% 5/7/19 EUR 1,000 1,674
DONG Energy A/S 2.625% 9/19/22 EUR 1,000 1,369
DONG Energy A/S 4.875% 1/12/32 GBP 1,000 1,681
DONG Energy A/S 5.750% 4/9/40 GBP 1,000 1,868
DONG Energy A/S 4.875% 7/8/49 EUR 1,500 2,090
2 DONG Energy A/S 6.250% 6/26/13 EUR 1,045 1,523
Kingdom of Denmark 2.000% 11/15/14 DKK 19,700 3,621
Kingdom of Denmark 1.750% 10/5/15 EUR 5,000 6,918
Kingdom of Denmark 4.000% 11/15/17 DKK 109,800 22,563
Kingdom of Denmark 4.000% 11/15/19 DKK 80,000 17,021
Kingdom of Denmark 3.000% 11/15/21 DKK 145,000 29,495
Kingdom of Denmark 1.500% 11/15/23 DKK 35,100 6,238
Kingdom of Denmark 7.000% 11/10/24 DKK 22,600 6,245
Kingdom of Denmark 4.500% 11/15/39 DKK 100,900 25,361
          127,667
Total Denmark (Cost $175,740)         179,328
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 3,111
Nordea Bank Finland Abp 2.375% 7/17/17 EUR 5,000 7,132

 

 

  Nordea Bank Finland Abp 2.250% 5/3/19 EUR 2,000 2,848
  Nordea Bank Finland Abp 1.375% 1/15/20 EUR 6,000 8,123
  OP Mortgage Bank 1.625% 5/23/17 EUR 5,000 6,962
  OP Mortgage Bank 3.500% 7/11/18 EUR 500 750
            30,560
Corporate Bonds (0.0%)          
  Citycon Oyj 3.750% 6/24/20 EUR 500 699
  Pohjola Bank plc 3.125% 1/12/16 EUR 1,500 2,116
  Pohjola Bank plc 1.250% 5/14/18 EUR 825 1,111
  Sampo OYJ 4.250% 2/22/16 EUR 2,000 2,864
  Sampo OYJ 4.250% 2/27/17 EUR 500 731
  Teollisuuden Voima Oyj 4.625% 2/4/19 EUR 1,000 1,512
            9,033
Sovereign Bonds (U.S. Dollar-Denominated) (0.5%)          
  Fortum Oyj 6.000% 3/20/19 EUR 1,000 1,636
  Fortum Oyj 2.250% 9/6/22 EUR 1,500 1,998
  Municipality Finance plc 1.125% 12/7/17 GBP 1,500 2,427
1 Republic of Finland 1.750% 4/15/16 EUR 10,000 13,957
1 Republic of Finland 3.875% 9/15/17 EUR 10,000 15,126
  Republic of Finland 1.125% 12/7/17 GBP 200 325
1 Republic of Finland 1.125% 9/15/18 EUR 3,000 4,117
1 Republic of Finland 4.375% 7/4/19 EUR 4,000 6,369
1 Republic of Finland 3.375% 4/15/20 EUR 10,000 15,269
1 Republic of Finland 3.500% 4/15/21 EUR 3,000 4,630
1 Republic of Finland 1.500% 4/15/23 EUR 10,000 13,182
1 Republic of Finland 4.000% 7/4/25 EUR 10,000 16,113
1,4 Republic of Finland 2.750% 7/4/28 EUR 3,000 4,246
1 Republic of Finland 2.625% 7/4/42 EUR 2,000 2,709
            102,104
Total Finland (Cost $137,346)         141,697
France (11.2%)          
Asset-Backed/Commercial Mortgage-Backed Securities (1.4%)        
  AXA Bank Europe SCF 2.250% 4/19/17 EUR 2,000 2,831
  AXA Bank Europe SCF 1.875% 9/20/19 EUR 3,000 4,175
  Banque Federative du Credit Mutuel SA 4.000% 10/22/20 EUR 4,000 5,826
  BNP Paribas Home Loan SFH 3.375% 1/12/17 EUR 2,000 2,919
  BNP Paribas Home Loan SFH 1.375% 6/17/20 EUR 7,500 10,112
  BNP Paribas Home Loan SFH 3.125% 3/22/22 EUR 2,000 2,968
  BNP Paribas Public Sector SCF SA 2.250% 10/22/15 EUR 1,000 1,392
  BPCE SFH SA 3.625% 5/12/16 EUR 8,000 11,550
  BPCE SFH SA 4.000% 3/23/22 EUR 3,000 4,694
  Caisse de Refinancement de l'Habitat SA 4.100% 10/25/15 EUR 8,140 11,690
  Caisse de Refinancement de l'Habitat SA 2.600% 4/26/16 EUR 3,841 5,432
  Caisse de Refinancement de l'Habitat SA 3.500% 4/25/17 EUR 2,500 3,677
  Caisse de Refinancement de l'Habitat SA 4.000% 4/25/18 EUR 4,525 6,882
  Caisse de Refinancement de l'Habitat SA 3.600% 9/13/21 EUR 2,000 3,051
  Caisse de Refinancement de l'Habitat SA 4.000% 6/17/22 EUR 4,870 7,628
  Caisse de Refinancement de l'Habitat SA 3.300% 9/23/22 EUR 6,500 9,706
  Caisse de Refinancement de l'Habitat SA 3.600% 3/8/24 EUR 5,000 7,583
  Caisse de Refinancement de l'Habitat SA 2.400% 1/17/25 EUR 1,000 1,358
  Caisse Francaise de Financement Local 3.125% 9/15/15 EUR 1,500 2,110
  Caisse Francaise de Financement Local 2.750% 1/25/16 EUR 11,000 15,496
  Caisse Francaise de Financement Local 2.375% 2/9/16 CHF 2,000 2,307
  Caisse Francaise de Financement Local 3.500% 9/16/16 EUR 2,000 2,900
  Caisse Francaise de Financement Local 5.250% 2/6/17 EUR 3,037 4,653

 

 

Caisse Francaise de Financement Local 3.625% 2/26/18 EUR 3,000 4,478
Caisse Francaise de Financement Local 3.500% 9/24/20 EUR 3,051 4,608
Caisse Francaise de Financement Local 4.250% 1/26/22 EUR 3,000 4,740
Caisse Francaise de Financement Local 5.375% 7/8/24 EUR 4,000 6,904
Caisse Francaise de Financement Local 3.000% 10/2/28 EUR 2,000 2,775
CIF Euromortgage SA 3.750% 10/23/19 EUR 7,000 10,638
Compagnie de Financement Foncier SA 2.250% 8/21/15 EUR 5,000 6,933
Compagnie de Financement Foncier SA 4.625% 9/23/17 EUR 13,000 19,913
Compagnie de Financement Foncier SA 4.125% 10/25/17 EUR 1,500 2,266
Compagnie de Financement Foncier SA 2.375% 8/24/18 CHF 4,000 4,744
Compagnie de Financement Foncier SA 4.875% 5/25/21 EUR 11,544 18,853
Compagnie de Financement Foncier SA 5.750% 10/4/21 EUR 500 861
Compagnie de Financement Foncier SA 4.250% 1/19/22 EUR 1,000 1,580
Compagnie de Financement Foncier SA 2.375% 11/21/22 EUR 2,000 2,761
Compagnie de Financement Foncier SA 5.500% 1/26/27 GBP 350 667
Credit Agricole Home Loan SFH 4.500% 1/29/16 EUR 5,800 8,452
Credit Agricole Home Loan SFH 3.250% 3/23/17 EUR 3,000 4,371
Credit Agricole Home Loan SFH 1.750% 7/27/17 CHF 2,000 2,317
Credit Agricole Home Loan SFH 1.625% 3/11/20 EUR 2,200 3,008
Credit Agricole Home Loan SFH 3.875% 1/12/21 EUR 2,500 3,878
Credit Agricole Home Loan SFH 4.000% 7/16/25 EUR 2,000 3,117
Credit Agricole Public Sector SCF 1.875% 9/20/19 EUR 1,500 2,087
Credit Agricole Public Sector SCF 1.875% 6/7/23 EUR 1,200 1,585
Credit Mutuel - CIC Home Loan SFH 3.375% 7/18/16 EUR 4,000 5,771
Credit Mutuel - CIC Home Loan SFH 1.375% 4/22/20 EUR 6,500 8,825
Credit Mutuel Arkea Home Loans SFH 2.375% 7/11/23 EUR 2,000 2,763
HSBC SFH France SA 1.875% 10/28/20 EUR 2,000 2,763
HSBC SFH France SA 2.000% 10/16/23 EUR 2,500 3,355
Societe Generale SCF SA 4.250% 2/3/23 EUR 3,000 4,794
Societe Generale SFH 3.250% 6/6/16 EUR 5,000 7,183
Societe Generale SFH 4.000% 1/18/22 EUR 2,000 3,144
          291,074
Corporate Bonds (1.8%)          
Air Liquide SA 2.908% 10/12/18 EUR 2,800 4,078
2 Allianz France SA 4.625% 6/29/49 EUR 1,000 1,376
Alstom SA 2.875% 10/5/15 EUR 2,000 2,774
Alstom SA 4.125% 2/1/17 EUR 2,000 2,879
Alstom SA 2.250% 10/11/17 EUR 2,000 2,730
Arkema SA 3.850% 4/30/20 EUR 600 891
Autoroutes du Sud de la France SA 2.875% 1/18/23 EUR 3,000 4,132
AXA SA 7.125% 12/15/20 GBP 500 975
AXA SA 5.250% 4/16/40 EUR 1,350 1,990
2 AXA SA 5.125% 7/4/43 EUR 3,000 4,377
2 AXA SA 5.777% 7/29/49 EUR 2,000 2,820
2 AXA SA 6.667% 7/29/49 GBP 250 432
Banque Federative du Credit Mutuel SA 4.375% 5/31/16 EUR 4,000 5,822
Banque Federative du Credit Mutuel SA 2.875% 6/21/17 EUR 5,000 7,109
Banque Federative du Credit Mutuel SA 1.625% 1/11/18 EUR 1,000 1,361
BNP Paribas SA 3.500% 3/7/16 EUR 3,000 4,267
BNP Paribas SA 3.000% 2/24/17 EUR 2,000 2,856
BNP Paribas SA 2.875% 11/27/17 EUR 4,000 5,721
BNP Paribas SA 1.375% 11/21/18 EUR 4,000 5,349
BNP Paribas SA 2.375% 11/20/19 GBP 3,350 5,428
BNP Paribas SA 2.875% 9/26/23 EUR 5,000 6,881
2 BNP Paribas SA 5.019% 4/29/49 EUR 2,500 3,559
2 BNP Paribas SA 5.945% 4/29/49 GBP 550 934
Bouygues SA 6.125% 7/3/15 EUR 3,000 4,353

 

 

Bouygues SA 3.641% 10/29/19 EUR 2,500 3,696
BPCE SA 1.750% 3/14/16 EUR 5,000 6,859
BPCE SA 4.625% 7/18/23 EUR 1,500 2,166
BPCE SA 2.875% 1/16/24 EUR 3,500 4,794
2 BPCE SA 4.625% 7/29/49 EUR 600 819
2 BPCE SA 6.117% 10/29/49 EUR 1,250 1,792
Carrefour SA 1.875% 12/19/17 EUR 1,000 1,380
Carrefour SA 1.750% 5/22/19 EUR 5,420 7,301
Casino Guichard Perrachon SA 4.726% 5/26/21 EUR 1,900 2,923
Casino Guichard Perrachon SA 3.311% 1/25/23 EUR 3,000 4,125
2 CNP Assurances 6.000% 9/14/40 EUR 1,000 1,452
2 CNP Assurances 7.375% 9/30/41 GBP 1,000 1,824
Compagnie de St. Gobain SA 3.500% 9/30/15 EUR 2,500 3,523
Compagnie de St. Gobain SA 5.625% 12/15/16 GBP 300 543
Compagnie de St. Gobain SA 3.625% 3/28/22 EUR 5,000 7,258
Compagnie Financiere et Industrielle des          
Autoroutes SA 5.000% 5/24/21 EUR 1,500 2,386
Credit Agricole SA 3.625% 3/8/16 EUR 4,900 6,988
Credit Agricole SA 3.875% 2/13/19 EUR 4,000 6,001
Credit Agricole SA 5.875% 6/11/19 EUR 4,000 6,298
2 Credit Agricole SA 7.875% 10/29/49 EUR 2,000 3,125
Danone SA 1.375% 6/10/19 EUR 2,600 3,504
Danone SA 2.250% 11/15/21 EUR 2,000 2,748
Edenred 3.625% 10/6/17 EUR 1,500 2,174
Eutelsat SA 4.125% 3/27/17 EUR 2,000 2,929
GDF Suez 5.625% 1/18/16 EUR 2,000 2,958
GDF Suez 1.500% 7/20/17 EUR 2,000 2,748
GDF Suez 2.750% 10/18/17 EUR 2,000 2,867
GDF Suez 2.250% 6/1/18 EUR 3,500 4,933
GDF Suez 6.875% 1/24/19 EUR 250 424
GDF Suez 6.375% 1/18/21 EUR 4,500 7,828
GDF Suez 7.000% 10/30/28 GBP 550 1,185
2 GDF Suez 4.750% 7/29/49 EUR 1,000 1,400
GDF Suez 5.000% 10/1/60 GBP 1,650 2,881
Gecina SA 2.875% 5/30/23 EUR 2,500 3,321
Groupe Auchan SA 2.375% 12/12/22 EUR 2,000 2,734
Groupe Auchan SA 2.250% 4/6/23 EUR 2,000 2,681
Klepierre 4.000% 4/13/17 EUR 2,100 3,079
Legrand SA 4.375% 3/21/18 EUR 1,000 1,512
LVMH Moet Hennessy Louis Vuitton SA 3.375% 4/7/15 EUR 1,500 2,089
2 Natixis 6.307% 10/29/49 EUR 200 285
Orange SA 4.750% 2/21/17 EUR 4,000 5,987
Orange SA 8.000% 12/20/17 GBP 600 1,188
Orange SA 5.625% 5/22/18 EUR 2,000 3,164
Orange SA 1.875% 10/2/19 EUR 5,000 6,741
Orange SA 7.250% 11/10/20 GBP 400 805
Orange SA 3.375% 9/16/22 EUR 3,000 4,290
Orange SA 2.500% 3/1/23 EUR 100 133
Orange SA 3.125% 1/9/24 EUR 3,000 4,120
Orange SA 8.125% 11/20/28 GBP 1,000 2,243
Orange SA 5.375% 11/22/50 GBP 1,000 1,751
Pernod Ricard SA 7.000% 1/15/15 EUR 2,000 2,855
Pernod Ricard SA 5.000% 3/15/17 EUR 2,500 3,747
RCI Banque SA 4.000% 3/16/16 EUR 690 986
RCI Banque SA 1.750% 7/6/16 EUR 1,500 2,048
RCI Banque SA 2.875% 1/22/18 EUR 2,500 3,527
RCI Banque SA 3.250% 4/25/18 GBP 500 838

 

 

Sanofi 4.500% 5/18/16 EUR 2,000 2,936
Sanofi 1.000% 11/14/17 EUR 2,000 2,732
Sanofi 4.125% 10/11/19 EUR 1,000 1,551
Sanofi 1.875% 9/4/20 EUR 3,000 4,094
Schneider Electric SA 4.000% 8/11/17 EUR 4,137 6,145
2 SCOR SE 5.375% 12/29/49 CHF 2,000 2,277
Societe Des Autoroutes Paris-Rhin-Rhone 5.000% 1/12/17 EUR 2,500 3,740
Societe Des Autoroutes Paris-Rhin-Rhone 5.125% 1/18/18 EUR 1,500 2,304
Societe Des Autoroutes Paris-Rhin-Rhone 4.875% 1/21/19 EUR 1,000 1,548
Societe Generale SA 3.875% 12/17/15 GBP 50 86
Societe Generale SA 4.000% 4/20/16 EUR 1,500 2,161
Societe Generale SA 5.400% 1/30/18 GBP 700 1,253
Societe Generale SA 5.000% 12/20/18 GBP 2,790 5,101
Societe Generale SA 2.250% 1/23/20 EUR 4,000 5,499
Societe Generale SA 4.750% 3/2/21 EUR 1,000 1,582
Societe Generale SA 4.000% 6/7/23 EUR 3,700 5,119
Suez Environnement Co. 5.500% 7/22/24 EUR 2,400 4,070
2 Suez Environnement Co. 4.820% 9/29/49 EUR 500 692
Thales SA 1.625% 3/20/18 EUR 2,500 3,421
Total Capital International SA 2.125% 3/15/23 EUR 3,000 4,019
Total Capital SA 4.700% 6/6/17 EUR 3,000 4,552
Total Capital SA 4.250% 12/8/17 GBP 550 990
Transport et Infrastructures Gaz France SA 4.339% 7/7/21 EUR 2,000 2,998
Unibail-Rodamco SE 4.625% 9/23/16 EUR 3,000 4,437
Unibail-Rodamco SE 1.625% 6/26/17 EUR 1,400 1,923
Unibail-Rodamco SE 2.375% 2/25/21 EUR 2,000 2,746
Unibail-Rodamco SE 2.500% 6/12/23 EUR 800 1,081
Veolia Environnement SA 4.247% 1/6/21 EUR 3,000 4,587
Veolia Environnement SA 4.625% 3/30/27 EUR 500 756
Veolia Environnement SA 6.125% 11/25/33 EUR 1,000 1,719
Veolia Environnement SA 6.125% 10/29/37 GBP 1,000 1,906
Vinci SA 4.125% 2/20/17 EUR 2,000 2,937
Vinci SA 3.375% 3/30/20 EUR 1,500 2,186
2 Vinci SA 6.250% 11/29/49 EUR 1,000 1,435
Vivendi SA 4.250% 12/1/16 EUR 2,150 3,161
Vivendi SA 4.125% 7/18/17 EUR 900 1,328
Vivendi SA 4.750% 7/13/21 EUR 2,000 3,076
          359,198
Sovereign Bonds (U.S. Dollar-Denominated) (8.0%)          
Aeroports de Paris 3.125% 6/11/24 EUR 2,000 2,865
Aeroports de Paris 2.750% 6/5/28 EUR 1,000 1,336
Agence Francaise de Developpement 2.250% 5/27/25 EUR 10,000 13,154
Areva SA 3.500% 3/22/21 EUR 3,500 4,991
Bpifrance Financement 2.750% 10/25/25 EUR 3,000 4,124
Bpifrance Financement SA 2.000% 7/25/17 EUR 3,000 4,232
Caisse d'Amortissement de la Dette Sociale 2.250% 12/7/15 GBP 1,000 1,682
Caisse d'Amortissement de la Dette Sociale 3.000% 2/25/16 EUR 13,000 18,501
Caisse d'Amortissement de la Dette Sociale 3.625% 4/25/16 EUR 7,000 10,128
Caisse d'Amortissement de la Dette Sociale 4.125% 4/25/17 EUR 6,500 9,777
Caisse d'Amortissement de la Dette Sociale 1.000% 5/25/18 EUR 10,000 13,577
Caisse d'Amortissement de la Dette Sociale 4.250% 4/25/20 EUR 3,000 4,743
Caisse d'Amortissement de la Dette Sociale 3.750% 10/25/20 EUR 2,000 3,088
Caisse d'Amortissement de la Dette Sociale 4.375% 10/25/21 EUR 8,000 12,844
Caisse d'Amortissement de la Dette Sociale 4.125% 4/25/23 EUR 5,000 7,905
Caisse d'Amortissement de la Dette Sociale 2.375% 1/25/24 EUR 3,500 4,777
Caisse d'Amortissement de la Dette Sociale 4.000% 12/15/25 EUR 8,000 12,433
Caisse des Depots et Consignations 4.375% 4/9/18 EUR 3,000 4,625

 

 

Caisse Nationale des Autoroutes 6.000% 10/26/15 EUR 943 1,398
Caisse Nationale des Autoroutes 4.500% 3/28/18 EUR 3,870 5,989
2 Electricite de France 4.250% 12/29/49 EUR 4,000 5,503
Electricite de France 5.125% 9/22/50 GBP 2,000 3,427
Electricite de France SA 2.250% 9/29/17 CHF 1,000 1,177
Electricite de France SA 5.375% 5/29/20 EUR 2,000 3,279
Electricite de France SA 6.250% 1/25/21 EUR 5,000 8,597
Electricite de France SA 3.875% 1/18/22 EUR 3,000 4,517
Electricite de France SA 4.625% 9/11/24 EUR 2,000 3,161
Electricite de France SA 6.250% 5/30/28 GBP 3,000 5,861
Electricite de France SA 4.500% 11/12/40 EUR 3,900 6,025
Electricite de France SA 5.500% 10/17/41 GBP 1,000 1,800
2 Electricite de France SA 5.375% 1/29/49 EUR 3,400 4,783
2 Electricite de France SA 6.000% 12/29/49 GBP 3,800 6,333
French Republic 3.500% 4/25/15 EUR 20,000 28,064
French Republic 2.000% 7/12/15 EUR 20,000 27,685
French Republic 3.000% 10/25/15 EUR 40,000 56,575
French Republic 0.250% 11/25/15 EUR 15,000 20,255
French Republic 2.250% 2/25/16 EUR 30,000 42,166
French Republic 3.250% 4/25/16 EUR 20,000 28,783
French Republic 2.500% 7/25/16 EUR 17,000 24,199
French Republic 5.000% 10/25/16 EUR 20,000 30,419
French Republic 1.750% 2/25/17 EUR 45,000 63,228
French Republic 3.750% 4/25/17 EUR 20,000 29,845
French Republic 1.000% 7/25/17 EUR 30,000 41,150
French Republic 4.250% 10/25/17 EUR 25,000 38,303
French Republic 4.000% 4/25/18 EUR 15,000 23,012
French Republic 1.000% 5/25/18 EUR 39,000 53,182
French Republic 4.250% 10/25/18 EUR 25,000 39,042
French Republic 1.000% 11/25/18 EUR 20,000 27,113
French Republic 4.250% 4/25/19 EUR 25,000 39,316
French Republic 3.750% 10/25/19 EUR 40,000 61,831
French Republic 3.500% 4/25/20 EUR 50,000 76,486
French Republic 2.500% 10/25/20 EUR 39,000 56,364
French Republic 3.750% 4/25/21 EUR 28,000 43,551
French Republic 3.250% 10/25/21 EUR 25,000 37,676
French Republic 3.000% 4/25/22 EUR 31,000 45,804
French Republic 2.250% 10/25/22 EUR 20,000 27,782
French Republic 1.750% 5/25/23 EUR 36,000 47,510
French Republic 4.250% 10/25/23 EUR 25,000 40,144
French Republic 2.250% 5/25/24 EUR 10,000 13,509
French Republic 3.500% 4/25/26 EUR 40,000 59,735
French Republic 2.750% 10/25/27 EUR 6,500 8,882
French Republic 5.500% 4/25/29 EUR 26,000 47,217
French Republic 5.750% 10/25/32 EUR 26,500 50,706
French Republic 4.750% 4/25/35 EUR 19,300 33,344
French Republic 4.000% 10/25/38 EUR 20,000 31,408
French Republic 4.500% 4/25/41 EUR 21,500 36,527
French Republic 3.250% 5/25/45 EUR 7,000 9,582
French Republic 4.000% 4/25/55 EUR 14,000 22,192
French Republic 4.000% 4/25/60 EUR 10,000 15,897
La Poste SA 2.750% 11/26/24 EUR 4,200 5,794
Region of Ile de France 2.250% 6/10/23 EUR 900 1,221
Republic of France 6.000% 10/25/25 EUR 15,000 27,714
Reseau Ferre de France 5.500% 12/1/21 GBP 3,000 5,797
Reseau Ferre de France 4.375% 6/2/22 EUR 7,000 11,178
Reseau Ferre de France 3.125% 10/25/28 EUR 2,000 2,783

 

 

Reseau Ferre de France 5.000% 10/10/33 EUR 4,000 6,874
Reseau Ferre de France 4.830% 3/25/60 GBP 1,000 1,817
SA de Gestion de Stocks de Securite 1.750% 10/22/19 EUR 2,500 3,455
Societe Nationale des Chemins de Fer          
Francais 4.375% 7/10/18 EUR 5,000 7,739
Societe Nationale des Chemins de Fer          
Francais 4.125% 2/19/25 EUR 700 1,093
7 UNEDIC 2.125% 4/26/17 EUR 5,000 7,092
7 UNEDIC 1.250% 5/29/20 EUR 5,000 6,704
          1,664,377
Total France (Cost $2,245,642)         2,314,649
Germany (11.1%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.6%)        
Aareal Bank AG 1.375% 6/19/17 EUR 2,000 2,764
Aareal Bank AG 1.000% 6/28/18 EUR 500 679
Bayerische Landesbank 3.250% 6/8/15 EUR 1,000 1,404
Bayerische Landesbank 1.625% 4/18/23 EUR 5,000 6,661
Berlin-Hannoversche Hypothekenbank AG 1.125% 2/5/18 EUR 5,000 6,852
Deutsche Bank AG 1.375% 9/7/20 EUR 2,000 2,716
Deutsche Genossenschafts-Hypothekenbank          
AG 3.250% 6/15/15 EUR 3,000 4,211
Deutsche Genossenschafts-Hypothekenbank          
AG 4.000% 10/31/16 EUR 1,950 2,887
Deutsche Hypothekenbank AG 1.375% 6/10/20 EUR 1,500 2,027
Deutsche Pfandbriefbank AG 2.625% 10/6/16 EUR 1,253 1,782
Deutsche Pfandbriefbank AG 1.625% 7/4/17 EUR 4,800 6,675
Deutsche Pfandbriefbank AG 1.875% 12/20/19 GBP 600 945
Deutsche Pfandbriefbank AG 1.500% 3/18/20 EUR 4,000 5,437
Deutsche Pfandbriefbank AG 2.375% 5/29/28 EUR 1,000 1,321
Deutsche Postbank AG 3.375% 3/31/20 EUR 5,000 7,621
8 German Postal Pensions Securitisation 2 plc 4.375% 1/18/22 EUR 3,000 4,836
8 German Postal Pensions Securitisation plc 3.375% 1/18/16 EUR 5,000 7,123
Hypothekenbank Frankfurt AG 2.875% 1/19/16 EUR 8,637 12,216
Hypothekenbank Frankfurt AG 3.750% 5/25/16 EUR 4,491 6,516
Hypothekenbank Frankfurt International SA 2.500% 8/29/25 CHF 2,000 2,112
Landesbank Hessen-Thueringen Girozentrale 4.125% 6/8/16 EUR 5,000 7,344
Landesbank Hessen-Thueringen Girozentrale 1.000% 6/26/18 EUR 1,800 2,454
Landesbank Hessen-Thueringen Girozentrale 1.875% 6/26/23 EUR 800 1,088
Muenchener Hypothekenbank eG 2.000% 6/15/15 EUR 4,000 5,524
Muenchener Hypothekenbank eG 0.750% 9/11/17 EUR 3,000 4,078
Norddeutsche Landesbank Girozentrale 3.250% 1/18/21 EUR 4,000 6,059
UniCredit Bank AG 2.625% 5/31/17 EUR 7,000 10,066
WL BANK AG Westfaelische Landschaft          
Bodenkreditbank 1.125% 5/29/20 EUR 2,500 3,363
          126,761
Corporate Bonds (1.2%)          
Allianz Finance II BV 1.375% 3/13/18 EUR 2,100 2,877
Allianz Finance II BV 3.000% 3/13/28 EUR 2,000 2,742
2 Allianz Finance II BV 5.750% 7/8/41 EUR 3,000 4,659
Allianz Finance II BV 4.500% 3/13/43 GBP 500 852
2 Allianz Finance II BV 4.375% 12/29/49 EUR 2,000 2,817
2 Allianz SE 5.625% 10/17/42 EUR 2,000 3,086
BASF Finance Europe NV 5.125% 6/9/15 EUR 2,000 2,864
BASF SE 1.875% 2/4/21 EUR 5,000 6,804
BASF SE 2.000% 12/5/22 EUR 3,000 4,036

 

 

2 Bayer AG 5.000% 7/29/05 EUR 1,000 1,398
Bertelsmann SE & Co. KGaA 2.625% 8/2/22 EUR 1,000 1,380
BMW Finance NV 1.500% 6/5/18 EUR 1,500 2,049
BMW Finance NV 3.375% 12/14/18 GBP 950 1,643
BMW UK Capital plc 5.000% 10/2/17 GBP 500 916
BMW US Capital LLC 5.000% 5/28/15 EUR 5,000 7,131
BMW US Capital LLC 1.000% 7/18/17 EUR 10,000 13,510
Commerzbank AG 3.625% 7/10/17 EUR 4,500 6,532
Continental AG 3.000% 7/16/18 EUR 1,000 1,426
Daimler AG 1.750% 5/21/15 EUR 4,000 5,480
Daimler AG 1.000% 7/8/16 EUR 1,000 1,357
Daimler AG 2.000% 5/5/17 EUR 1,000 1,397
Daimler AG 1.750% 11/8/17 GBP 2,000 3,286
Daimler AG 1.500% 11/19/18 EUR 5,000 6,817
Daimler AG 2.000% 6/25/21 EUR 600 809
Daimler AG 2.375% 3/8/23 EUR 2,000 2,719
Deutsche Annington Finance BV 3.125% 7/25/19 EUR 2,000 2,812
Deutsche Bank AG 5.125% 8/31/17 EUR 2,000 3,083
Deutsche Bank AG 5.000% 6/24/20 EUR 1,500 2,277
Deutsche Bank AG 2.375% 1/11/23 EUR 4,000 5,435
Deutsche Boerse AG 1.125% 3/26/18 EUR 2,000 2,728
Deutsche Pfandbriefbank AG 2.000% 7/19/16 EUR 1,500 2,057
Deutsche Post AG 2.875% 12/11/24 EUR 2,000 2,787
Deutsche Telekom International Finance BV 6.000% 1/20/17 EUR 3,000 4,635
Deutsche Telekom International Finance BV 2.125% 1/18/21 EUR 2,000 2,732
Deutsche Telekom International Finance BV 6.500% 4/8/22 GBP 2,400 4,717
Deutsche Telekom International Finance BV 4.250% 7/13/22 EUR 3,000 4,615
Deutsche Telekom International Finance BV 2.750% 10/24/24 EUR 2,000 2,715
Deutsche Telekom International Finance BV 4.875% 4/22/25 EUR 3,000 4,805
DVB Bank SE 1.625% 5/28/18 EUR 2,000 2,720
E.ON International Finance BV 5.500% 10/2/17 EUR 4,000 6,253
E.ON International Finance BV 6.000% 10/30/19 GBP 1,000 1,914
E.ON International Finance BV 5.750% 5/7/20 EUR 2,000 3,325
E.ON International Finance BV 6.375% 6/7/32 GBP 2,000 4,038
Eurogrid GmbH 3.875% 10/22/20 EUR 1,000 1,508
2 Hannover Finance Luxembourg SA 5.000% 6/30/43 EUR 2,000 2,966
2 Henkel AG & Co. KGaA 5.375% 11/25/04 EUR 1,000 1,431
Linde AG 2.000% 4/18/23 EUR 2,500 3,308
2 Linde Finance BV 7.375% 7/14/66 EUR 1,000 1,517
2 Linde Finance BV 8.125% 7/14/66 GBP 400 742
MAN SE 1.000% 9/21/15 EUR 730 992
MAN SE 2.125% 3/13/17 EUR 2,000 2,796
Merck Financial Services GmbH 4.500% 3/24/20 EUR 1,000 1,566
Metro AG 3.375% 3/1/19 EUR 1,050 1,527
2 Muenchener Rueckversicherungs AG 6.000% 5/26/41 EUR 500 792
2 Muenchener Rueckversicherungs AG 6.250% 5/26/42 EUR 1,500 2,427
2 Muenchener Rueckversicherungs AG 5.767% 6/29/49 EUR 2,000 2,913
2 RWE AG 4.625% 9/29/49 EUR 1,000 1,378
RWE Finance BV 5.000% 2/10/15 EUR 3,000 4,226
RWE Finance BV 5.125% 7/23/18 EUR 1,000 1,561
RWE Finance BV 6.625% 1/31/19 EUR 1,000 1,662
RWE Finance BV 1.875% 1/30/20 EUR 4,000 5,401
RWE Finance BV 6.500% 4/20/21 GBP 1,000 1,935
RWE Finance BV 5.625% 12/6/23 GBP 1,400 2,585
RWE Finance BV 6.250% 6/3/30 GBP 1,500 2,911
RWE Finance BV 4.750% 1/31/34 GBP 1,200 1,947
Siemens Financieringsmaatschappij NV 5.625% 6/11/18 EUR 2,000 3,211

 

 

Siemens Financieringsmaatschappij NV 1.500% 3/10/20 EUR 4,000 5,380
Siemens Financieringsmaatschappij NV 2.750% 9/10/25 GBP 1,000 1,499
Siemens Financieringsmaatschappij NV 3.750% 9/10/42 GBP 1,000 1,495
2 Siemens Financieringsmaatschappij NV 5.250% 9/14/66 EUR 1,000 1,449
2 Siemens Financieringsmaatschappij NV 6.125% 9/14/66 GBP 480 852
2 Talanx Finanz Luxembourg SA 8.367% 6/15/42 EUR 200 341
Vier Gas Transport Gmbh 2.000% 6/12/20 EUR 1,500 2,039
Vier Gas Transport Gmbh 2.875% 6/12/25 EUR 1,000 1,363
Volkswagen Financial Services NV 2.000% 10/23/15 GBP 450 750
Volkswagen Financial Services NV 1.250% 5/23/16 GBP 2,800 4,591
Volkswagen Financial Services NV 1.250% 12/15/16 GBP 1,250 2,042
Volkswagen International Finance NV 1.250% 8/20/15 GBP 300 494
Volkswagen International Finance NV 1.000% 10/26/16 EUR 5,000 6,785
Volkswagen International Finance NV 2.000% 3/26/21 EUR 5,000 6,782
Volkswagen Leasing GmbH 1.500% 9/15/15 EUR 5,000 6,836
Volkswagen Leasing GmbH 3.375% 6/3/16 EUR 2,000 2,862
Wuerth Finance International BV 1.750% 5/21/20 EUR 4,130 5,558
          254,655
Sovereign Bonds (U.S. Dollar-Denominated) (9.3%)          
9 Bayerische Landesbodenkreditanstalt 1.875% 1/25/23 EUR 1,000 1,366
8 Bund Laender Anleihe 1.500% 7/15/20 EUR 5,000 6,829
Deutsche Bahn Finance BV 2.875% 6/30/16 EUR 2,000 2,841
Deutsche Bahn Finance BV 1.375% 10/30/17 GBP 1,500 2,457
Deutsche Bahn Finance BV 1.500% 12/18/17 CHF 2,000 2,319
Deutsche Bahn Finance BV 3.750% 6/1/21 EUR 2,000 3,061
Deutsche Bahn Finance BV 3.000% 3/8/24 EUR 4,000 5,732
Deutsche Bahn Finance BV 3.125% 7/24/26 GBP 500 794
2 EnBW Energie Baden-Wuerttemberg AG 7.375% 4/2/72 EUR 1,000 1,490
Erste Abwicklungsanstalt 1.125% 9/30/15 EUR 2,000 2,733
Erste Abwicklungsanstalt 1.125% 8/30/17 EUR 5,000 6,853
EWE AG 4.125% 11/4/20 EUR 2,000 3,021
Federal Republic of Germany 2.500% 2/27/15 EUR 28,000 38,732
Federal Republic of Germany 2.250% 4/10/15 EUR 47,000 65,012
Federal Republic of Germany 1.750% 10/9/15 EUR 15,000 20,800
Federal Republic of Germany 3.500% 1/4/16 EUR 50,000 71,856
Federal Republic of Germany 2.000% 2/26/16 EUR 16,000 22,435
Federal Republic of Germany 2.750% 4/8/16 EUR 127,000 181,192
Federal Republic of Germany 4.000% 7/4/16 EUR 15,000 22,125
Federal Republic of Germany 0.500% 4/7/17 EUR 25,000 34,021
Federal Republic of Germany 4.250% 7/4/17 EUR 26,000 39,836
Federal Republic of Germany 4.000% 1/4/18 EUR 18,000 27,750
Federal Republic of Germany 0.500% 2/23/18 EUR 7,000 9,481
Federal Republic of Germany 4.250% 7/4/18 EUR 17,000 26,731
Federal Republic of Germany 1.000% 10/12/18 EUR 25,000 34,411
Federal Republic of Germany 3.750% 1/4/19 EUR 55,000 85,647
Federal Republic of Germany 3.500% 7/4/19 EUR 15,000 23,264
Federal Republic of Germany 3.250% 1/4/20 EUR 18,000 27,718
Federal Republic of Germany 3.000% 7/4/20 EUR 17,000 25,936
Federal Republic of Germany 2.250% 9/4/20 EUR 31,900 46,648
Federal Republic of Germany 2.500% 1/4/21 EUR 38,000 56,317
Federal Republic of Germany 3.250% 7/4/21 EUR 10,000 15,536
Federal Republic of Germany 2.250% 9/4/21 EUR 14,000 20,385
Federal Republic of Germany 2.000% 1/4/22 EUR 4,000 5,705
Federal Republic of Germany 1.750% 7/4/22 EUR 6,000 8,358
Federal Republic of Germany 1.500% 2/15/23 EUR 8,000 10,814
Federal Republic of Germany 1.500% 5/15/23 EUR 99,000 133,186
Federal Republic of Germany 2.000% 8/15/23 EUR 32,500 45,518

 

 

Federal Republic of Germany 5.625% 1/4/28 EUR 12,000 23,123
Federal Republic of Germany 4.750% 7/4/28 EUR 1,500 2,683
Federal Republic of Germany 5.500% 1/4/31 EUR 44,000 85,956
Federal Republic of Germany 4.750% 7/4/34 EUR 4,500 8,367
Federal Republic of Germany 4.000% 1/4/37 EUR 41,000 70,265
Federal Republic of Germany 4.250% 7/4/39 EUR 14,400 25,964
Federal Republic of Germany 4.750% 7/4/40 EUR 6,000 11,671
Federal Republic of Germany 3.250% 7/4/42 EUR 1,500 2,347
Federal Republic of Germany 2.500% 7/4/44 EUR 25,000 33,883
FMS Wertmanagement AoeR 0.375% 5/22/15 EUR 5,000 6,756
FMS Wertmanagement AoeR 1.875% 8/24/15 EUR 1,500 2,074
FMS Wertmanagement AoeR 2.750% 6/3/16 EUR 1,000 1,424
FMS Wertmanagement AoeR 1.000% 7/18/17 EUR 2,000 2,738
8 FMS Wertmanagement AoeR 0.750% 12/15/17 GBP 2,000 3,198
FMS Wertmanagement AoeR 1.875% 5/9/19 EUR 6,000 8,451
FMS Wertmanagement AoeR 3.000% 9/8/21 EUR 6,000 8,978
Free and Hanseatic City of Hamburg 1.875% 9/26/22 EUR 4,000 5,479
Free State of Bavaria 3.500% 1/27/16 EUR 2,263 3,248
Free State of Bavaria 1.875% 2/7/19 EUR 3,000 4,249
Gemeinsame Deutsche Bundeslaender 2.000% 6/2/15 EUR 5,000 6,900
Gemeinsame Deutsche Bundeslaender 2.875% 2/9/16 EUR 2,100 2,978
Gemeinsame Deutsche Bundeslaender 2.625% 3/18/16 EUR 975 1,378
Gemeinsame Deutsche Bundeslaender 3.500% 10/7/19 EUR 1,500 2,285
Gemeinsame Deutsche Bundeslaender 1.375% 10/11/19 EUR 2,459 3,360
Gemeinsame Deutsche Bundeslaender 1.750% 1/31/23 EUR 3,000 4,022
8 KFW 0.625% 5/29/15 EUR 10,000 13,570
8 KFW 3.500% 7/4/15 EUR 10,000 14,118
8 KFW 4.375% 2/9/16 CAD 5,000 4,753
8 KFW 0.500% 2/26/16 EUR 20,000 27,140
8 KFW 3.125% 4/8/16 EUR 5,000 7,167
8 KFW 3.750% 9/7/16 GBP 200 351
8 KFW 1.375% 2/21/17 EUR 13,000 18,054
8 KFW 5.625% 8/25/17 GBP 1,000 1,885
8 KFW 0.875% 10/13/17 EUR 12,000 16,368
8 KFW 1.000% 12/7/17 GBP 8,000 12,915
8 KFW 0.875% 6/25/18 EUR 1,500 2,035
8 KFW 3.750% 7/18/18 AUD 10,000 8,773
8 KFW 1.125% 10/16/18 EUR 25,000 34,188
8 KFW 3.875% 1/21/19 EUR 10,000 15,434
KFW 5.000% 5/22/19 NOK 20,000 3,578
8 KFW 6.250% 12/4/19 AUD 4,000 3,900
8 KFW 1.125% 1/15/20 EUR 13,000 17,521
8 KFW 3.375% 1/18/21 EUR 10,350 15,820
8 KFW 5.550% 6/7/21 GBP 4,000 7,890
8 KFW 2.500% 1/17/22 EUR 10,000 14,456
8 KFW 2.125% 8/15/23 EUR 5,000 6,922
8 KFW 2.500% 8/25/25 CHF 2,000 2,501
8 KFW 6.000% 12/7/28 GBP 3,000 6,478
8 KFW 5.750% 6/7/32 GBP 1,000 2,151
Land Thueringen 1.625% 8/17/20 EUR 2,462 3,387
Landesbank Berlin AG 5.875% 11/25/19 EUR 1,500 2,287
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 0.750% 12/12/17 EUR 2,500 3,385
Landeskreditbank Baden-Wuerttemberg          
Foerderbank 0.875% 12/15/17 GBP 1,000 1,605
8 Landwirtschaftliche Rentenbank 1.000% 12/15/17 GBP 1,000 1,612
8 Landwirtschaftliche Rentenbank 2.250% 5/22/19 NOK 10,000 1,574

 

 

8 Landwirtschaftliche Rentenbank 5.500% 3/9/20 AUD 15,000 14,062
8 Landwirtschaftliche Rentenbank 1.875% 5/11/20 EUR 1,500 2,104
8 Landwirtschaftliche Rentenbank 2.875% 8/30/21 EUR 3,000 4,458
8 Landwirtschaftliche Rentenbank 4.250% 1/24/23 AUD 7,500 6,349
NRW Bank 1.000% 11/10/15 EUR 3,000 4,096
NRW Bank 0.625% 8/1/16 EUR 6,000 8,133
NRW Bank 0.875% 12/15/17 GBP 1,000 1,598
NRW Bank 3.875% 1/27/20 EUR 4,000 6,182
State of Baden-Wurttemberg 3.250% 1/18/16 EUR 2,000 2,853
State of Berlin 3.125% 9/14/15 EUR 4,000 5,643
State of Berlin 4.125% 5/24/16 EUR 3,000 4,394
State of Berlin 3.500% 6/22/17 EUR 5,718 8,450
State of Berlin 3.125% 8/17/21 EUR 2,300 3,440
State of Berlin 1.875% 6/12/23 EUR 800 1,079
State of Brandenburg 3.500% 6/15/21 EUR 5,000 7,662
State of Hesse 2.000% 6/16/15 EUR 5,000 6,906
State of Hesse 2.750% 5/30/16 EUR 4,975 7,083
State of Hesse 1.750% 6/19/20 EUR 2,930 4,062
State of Hesse 1.750% 1/20/23 EUR 3,000 4,043
State of Lower Saxony 3.500% 2/22/16 EUR 7,000 10,065
State of Lower Saxony 1.375% 9/26/19 EUR 7,000 9,563
State of North Rhine-Westphalia 2.625% 1/21/16 EUR 4,000 5,637
State of North Rhine-Westphalia 0.875% 12/4/17 EUR 17,000 23,043
State of North Rhine-Westphalia 2.250% 3/1/19 CHF 2,000 2,396
State of North Rhine-Westphalia 1.875% 9/15/22 EUR 5,000 6,784
State of North Rhine-Westphalia 2.000% 10/15/25 EUR 3,000 3,941
State of North Rhine-Westphalia 2.375% 5/13/33 EUR 700 899
State of Rhineland-Palatinate 2.875% 3/3/17 EUR 1,500 2,166
State of Rhineland-Palatinate 1.250% 1/16/20 EUR 2,000 2,707
State of Rhineland-Palatinate 2.375% 2/23/22 EUR 2,500 3,560
State of Saxony-Anhalt 1.625% 4/25/23 EUR 4,000 5,304
Wirtschafts- und Infrastrukturbank Hessen 1.750% 12/6/22 EUR 2,500 3,360
          1,924,527
Total Germany (Cost $2,248,142)         2,305,943
Hong Kong (0.1%)          
Corporate Bonds (0.1%)          
2 Hutchison Whampoa Europe Finance 13 Ltd. 3.750% 5/29/49 EUR 1,200 1,559
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 EUR 2,000 2,949
Hutchison Whampoa Finance 09 Ltd. 4.750% 11/14/16 EUR 5,000 7,418
          11,926
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Hong Kong Special Administrative Region 0.340% 5/9/16 HKD 35,000 4,485
Total Hong Kong (Cost $16,027)         16,411
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 3.250% 6/22/15 EUR 1,300 1,804
Bank of Ireland Mortgage Bank 2.750% 3/22/18 EUR 4,000 5,605
Depfa ACS Bank 3.875% 11/14/16 EUR 6,000 8,572
          20,147
Corporate Bonds (0.0%)          
CRH Finance Ltd. 3.125% 4/3/23 EUR 3,150 4,340
Dali Capital plc 4.799% 12/21/37 GBP 150 244

 

 

Freshwater Finance plc 4.607% 10/17/36 GBP 125 202
          4,786
Sovereign Bonds (U.S. Dollar-Denominated) (0.6%)          
DAA Finance plc 6.587% 7/9/18 EUR 500 800
ESB Finance Ltd. 4.375% 11/21/19 EUR 2,000 3,029
Ireland 4.600% 4/18/16 EUR 10,000 14,594
Ireland 5.500% 10/18/17 EUR 10,000 15,450
Ireland 4.500% 10/18/18 EUR 10,000 15,173
Ireland 4.400% 6/18/19 EUR 10,000 15,138
Ireland 4.500% 4/18/20 EUR 12,000 18,181
Ireland 5.000% 10/18/20 EUR 5,000 7,802
Ireland 3.900% 3/20/23 EUR 7,000 10,078
Ireland 5.400% 3/13/25 EUR 10,000 15,809
Ireland Government Bond 5.900% 10/18/19 EUR 5,000 8,108
          124,162
Total Ireland (Cost $140,699)         149,095
Israel (0.2%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.2%)          
State of Israel 2.500% 5/31/16 ILS 8,000 2,342
State of Israel 5.500% 2/28/17 ILS 33,000 10,498
State of Israel 6.000% 2/28/19 ILS 28,000 9,372
State of Israel 5.500% 1/31/22 ILS 20,000 6,578
State of Israel 4.250% 3/31/23 ILS 15,000 4,498
State of Israel 6.250% 10/30/26 ILS 13,000 4,522
State of Israel 5.500% 1/31/42 ILS 6,000 1,834
Total Israel (Cost $38,636)         39,644
Italy (7.9%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
Banca Popolare di Milano Scarl 3.250% 11/16/15 EUR 2,000 2,751
Banco Popolare SC 3.625% 3/31/17 EUR 3,000 4,177
Intesa Sanpaolo SPA 4.375% 8/16/16 EUR 3,000 4,381
Intesa Sanpaolo SPA 3.750% 9/25/19 EUR 4,000 5,928
Intesa Sanpaolo SPA 3.625% 12/5/22 EUR 4,200 6,090
UniCredit SPA 2.625% 10/31/15 EUR 5,000 6,953
UniCredit SPA 4.250% 7/29/16 EUR 3,000 4,368
UniCredit SPA 1.875% 1/31/19 EUR 3,600 4,903
UniCredit SPA 2.625% 10/31/20 EUR 3,000 4,162
Unione di Banche Italiane SCPA 5.250% 1/28/21 EUR 2,500 3,966
          47,679
Corporate Bonds (0.6%)          
Assicurazioni Generali SPA 5.125% 9/16/24 EUR 1,500 2,306
2 Assicurazioni Generali SPA 10.125% 7/10/42 EUR 2,200 3,871
Atlantia SPA 5.625% 5/6/16 EUR 1,000 1,479
Atlantia SPA 3.375% 9/18/17 EUR 2,500 3,582
Atlantia SPA 4.500% 2/8/19 EUR 1,000 1,505
Atlantia SPA 4.375% 3/16/20 EUR 2,000 3,008
Atlantia SPA 6.250% 6/9/22 GBP 320 594
Enel Finance International NV 3.625% 4/17/18 EUR 104 150
Enel Finance International NV 4.875% 3/11/20 EUR 6,040 9,170
Enel Finance International NV 4.875% 4/17/23 EUR 5,000 7,542
Enel Finance International NV 5.750% 9/14/40 GBP 2,800 4,479
Eni SPA 4.750% 11/14/17 EUR 1,000 1,519
Eni SPA 3.750% 6/27/19 EUR 4,000 5,920
Eni SPA 3.250% 7/10/23 EUR 2,360 3,297

 

 

Eni SPA 3.750% 9/12/25 EUR 2,000 2,849
2 Generali Finance BV 5.317% 6/29/49 EUR 2,000 2,715
2 Generali Finance BV 6.214% 6/29/49 GBP 250 406
Intesa Sanpaolo SPA 4.875% 7/10/15 EUR 3,000 4,243
Intesa Sanpaolo SPA 4.125% 9/19/16 EUR 4,000 5,709
Intesa Sanpaolo SPA 4.000% 11/9/17 EUR 6,000 8,576
Intesa Sanpaolo SPA 4.000% 11/8/18 EUR 500 715
Intesa Sanpaolo SPA 4.125% 4/14/20 EUR 2,100 3,012
Intesa Sanpaolo SPA 5.150% 7/16/20 EUR 2,000 2,856
Luxottica Group SPA 4.000% 11/10/15 EUR 2,000 2,846
Romulus Finance Srl 5.441% 2/20/23 GBP 250 448
Snam SPA 2.000% 11/13/15 EUR 3,000 4,116
Snam SPA 3.875% 3/19/18 EUR 2,796 4,091
Snam SPA 5.000% 1/18/19 EUR 1,400 2,156
Snam SPA 3.375% 1/29/21 EUR 500 711
Snam SPA 5.250% 9/19/22 EUR 700 1,112
Terna Rete Elettrica Nazionale SPA 4.750% 3/15/21 EUR 3,000 4,683
UniCredit SPA 2.250% 12/16/16 EUR 3,000 4,084
UniCredit SPA 3.625% 1/24/19 EUR 2,000 2,791
UniCredit SPA 6.950% 10/31/22 EUR 4,000 5,948
          112,489
Sovereign Bonds (U.S. Dollar-Denominated) (7.1%)          
A2A SPA 4.500% 11/28/19 EUR 1,000 1,480
ACEA SPA 3.750% 9/12/18 EUR 2,000 2,894
ACEA SPA 4.500% 3/16/20 EUR 500 743
Cassa Depositi e Prestiti SPA 4.250% 9/14/16 EUR 500 716
City of Rome Italy 5.345% 1/27/48 EUR 1,300 1,635
Edison SPA 3.875% 11/10/17 EUR 500 739
Ferrovie dello Stato SPA 4.000% 7/22/20 EUR 2,000 2,866
Hera SPA 5.200% 1/29/28 EUR 2,000 3,071
Italy Buoni Poliennali Del Tesoro 2.750% 11/15/16 EUR 29,000 40,492
Italy Buoni Poliennali Del Tesoro 3.750% 5/1/21 EUR 5,000 7,037
Italy Buoni Poliennali Del Tesoro 4.500% 3/1/24 EUR 28,000 40,185
1 Italy Buoni Poliennali Del Tesoro 4.750% 9/1/44 EUR 12,900 17,925
Poste Italiane SPA 3.250% 6/18/18 EUR 650 918
Republic of Italy 4.250% 2/1/15 EUR 50,000 69,775
Republic of Italy 3.000% 4/15/15 EUR 15,000 20,759
Republic of Italy 3.000% 6/15/15 EUR 15,000 20,825
Republic of Italy 4.500% 7/15/15 EUR 22,000 31,212
Republic of Italy 3.750% 8/1/15 EUR 22,000 30,924
Republic of Italy 3.000% 11/1/15 EUR 15,000 20,956
Republic of Italy 2.750% 12/1/15 EUR 15,000 20,881
Republic of Italy 2.250% 5/15/16 EUR 17,000 23,455
Republic of Italy 3.750% 8/1/16 EUR 20,000 28,572
Republic of Italy 4.750% 9/15/16 EUR 10,000 14,644
Republic of Italy 4.000% 2/1/17 EUR 20,000 28,861
Republic of Italy 4.750% 5/1/17 EUR 10,000 14,748
Republic of Italy 4.750% 6/1/17 EUR 35,000 51,654
Republic of Italy 5.250% 8/1/17 EUR 15,000 22,541
Republic of Italy 3.500% 11/1/17 EUR 15,000 21,359
Republic of Italy 2.500% 1/30/18 CHF 1,000 1,139
Republic of Italy 4.500% 2/1/18 EUR 10,000 14,750
Republic of Italy 3.500% 6/1/18 EUR 41,500 59,104
Republic of Italy 4.500% 8/1/18 EUR 25,000 37,077
Republic of Italy 4.250% 2/1/19 EUR 10,000 14,713
Republic of Italy 4.500% 3/1/19 EUR 35,000 52,089
Republic of Italy 4.250% 9/1/19 EUR 25,000 36,736

 

 

Republic of Italy 4.500% 2/1/20 EUR 15,000 22,221
Republic of Italy 4.250% 3/1/20 EUR 19,000 27,796
Republic of Italy 4.000% 9/1/20 EUR 20,000 28,868
Republic of Italy 3.750% 3/1/21 EUR 20,000 28,236
Republic of Italy 3.750% 8/1/21 EUR 40,000 56,276
Republic of Italy 4.750% 9/1/21 EUR 23,500 35,021
Republic of Italy 5.000% 3/1/22 EUR 16,500 24,854
Republic of Italy 5.500% 9/1/22 EUR 22,000 34,083
Republic of Italy 5.500% 11/1/22 EUR 22,000 34,097
Republic of Italy 4.500% 5/1/23 EUR 35,000 50,532
1 Republic of Italy 4.750% 8/1/23 EUR 15,000 22,095
1 Republic of Italy 5.000% 3/1/25 EUR 15,000 22,292
Republic of Italy 4.500% 3/1/26 EUR 20,000 28,544
Republic of Italy 7.250% 11/1/26 EUR 10,000 17,818
Republic of Italy 6.500% 11/1/27 EUR 15,000 25,268
1 Republic of Italy 4.750% 9/1/28 EUR 30,000 43,233
Republic of Italy 5.250% 11/1/29 EUR 20,000 30,143
Republic of Italy 6.000% 5/1/31 EUR 30,000 48,848
Republic of Italy 5.750% 2/1/33 EUR 13,800 22,034
Republic of Italy 5.000% 8/1/34 EUR 20,000 29,283
Republic of Italy 4.000% 2/1/37 EUR 16,000 20,652
Republic of Italy 5.000% 8/1/39 EUR 17,500 25,436
Republic of Italy 5.000% 9/1/40 EUR 22,000 31,845
          1,466,950
Total Italy (Cost $1,550,299)         1,627,118
Japan (21.6%)          
Corporate Bonds (0.8%)          
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.555% 1/20/16 JPY 500,000 4,929
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.710% 4/18/16 JPY 300,000 2,969
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.460% 1/24/17 JPY 100,000 985
Bank of Tokyo-Mitsubishi UFJ Ltd. 1.560% 1/20/21 JPY 400,000 4,169
Bank of Tokyo-Mitsubishi UFJ Ltd. 1.390% 5/31/22 JPY 100,000 1,029
Kirin Holdings Co. Ltd. 1.239% 9/24/21 JPY 300,000 3,082
Mizuho Bank Ltd. 0.540% 7/20/16 JPY 1,000,000 9,855
Mizuho Bank Ltd. 2.250% 11/4/16 JPY 1,000,000 10,282
Mizuho Bank Ltd. 0.270% 1/24/18 JPY 600,000 5,862
2 MUFG Capital Finance 5 Ltd. 6.299% 1/29/49 GBP 330 586
Nippon Telegraph & Telephone Corp. 1.820% 3/20/18 JPY 100,000 1,041
Nippon Telegraph & Telephone Corp. 1.310% 12/18/20 JPY 500,000 5,179
Nippon Telegraph & Telephone Corp. 1.020% 9/17/21 JPY 500,000 5,070
Nomura Europe Finance NV 5.500% 3/23/17 GBP 300 536
Nomura Europe Finance NV 1.875% 5/29/18 EUR 3,200 4,268
Nomura Holdings Inc. 1.808% 6/24/20 JPY 600,000 6,263
Norinchukin Bank 0.750% 2/27/15 JPY 170,000 1,685
Norinchukin Bank 0.700% 3/27/15 JPY 170,000 1,686
Norinchukin Bank 0.700% 4/27/15 JPY 100,000 993
Norinchukin Bank 0.500% 9/25/15 JPY 200,000 1,989
Norinchukin Bank 0.500% 11/27/15 JPY 200,000 1,968
Norinchukin Bank 0.550% 1/27/16 JPY 180,000 1,774
Norinchukin Bank 0.400% 5/26/17 JPY 1,400,000 13,772
Norinchukin Bank 0.350% 6/27/17 JPY 700,000 6,875
Norinchukin Bank 0.300% 4/27/18 JPY 500,000 4,894
Panasonic Corp. 1.081% 3/20/18 JPY 1,400,000 14,075
Shinkin Central Bank 0.450% 11/27/15 JPY 200,000 1,967
Shinkin Central Bank 0.700% 3/25/16 JPY 200,000 1,979
Shinkin Central Bank 0.450% 9/27/16 JPY 200,000 1,971

 

 

Shinkin Central Bank 0.400% 4/27/17 JPY 700,000 6,893
Shinkin Central Bank 0.350% 5/26/17 JPY 100,000 983
Shinkin Central Bank 0.350% 6/27/17 JPY 200,000 1,966
Shinkin Central Bank 0.300% 7/27/17 JPY 200,000 1,963
Shinkin Central Bank 0.300% 9/27/17 JPY 200,000 1,962
Shinkin Central Bank 0.350% 9/27/18 JPY 500,000 4,912
Sony Corp. 2.068% 6/20/19 JPY 200,000 2,077
Sumitomo Mitsui Banking Corp. 0.280% 10/20/17 JPY 300,000 2,940
Sumitomo Mitsui Banking Corp. 1.430% 9/28/20 JPY 600,000 6,202
Sumitomo Mitsui Banking Corp. 2.250% 12/16/20 EUR 3,000 4,081
Toyota Motor Credit Corp. 1.250% 8/1/17 EUR 7,500 10,292
Toyota Motor Credit Corp. 4.000% 12/7/17 GBP 400 714
          166,718
Sovereign Bonds (U.S. Dollar-Denominated) (20.8%)          
10 Deposit Insurance Corp. of Japan 0.100% 7/11/16 JPY 800,000 7,821
10 Development Bank of Japan Inc. 1.750% 3/17/17 JPY 500,000 5,132
10 Development Bank of Japan Inc. 0.819% 9/20/22 JPY 286,000 2,859
Japan 0.100% 5/15/15 JPY 8,500,000 83,215
Japan 0.200% 6/15/15 JPY 2,300,000 22,548
Japan 0.400% 6/20/15 JPY 5,500,000 54,064
Japan 0.300% 9/20/15 JPY 4,600,000 45,178
Japan 1.400% 9/20/15 JPY 1,300,000 12,995
Japan 0.500% 12/20/15 JPY 10,200,000 100,602
Japan 0.500% 3/20/16 JPY 1,200,000 11,846
Japan 0.600% 3/20/16 JPY 900,000 8,904
Japan 1.600% 3/20/16 JPY 7,000,000 70,703
Japan 2.000% 3/20/16 JPY 900,000 9,165
Japan 0.300% 6/20/16 JPY 9,850,000 96,870
Japan 0.400% 6/20/16 JPY 9,000,000 88,718
Japan 0.400% 9/20/16 JPY 9,900,000 97,648
Japan 1.700% 12/20/16 JPY 5,000,000 51,166
Japan 1.700% 3/20/17 JPY 4,500,000 46,212
Japan 0.200% 6/20/17 JPY 15,000,000 147,161
Japan 0.200% 9/20/17 JPY 11,000,000 107,893
Japan 0.200% 12/20/17 JPY 1,200,000 11,767
Japan 0.100% 3/20/18 JPY 6,900,000 67,363
Japan 0.400% 3/20/18 JPY 3,410,000 33,702
Japan 1.700% 3/20/18 JPY 6,600,000 68,675
Japan 0.300% 6/20/18 JPY 2,500,000 24,609
Japan 0.400% 6/20/18 JPY 1,400,000 13,841
Japan 1.500% 9/20/18 JPY 12,250,000 127,198
Japan 0.200% 12/20/18 JPY 1,902,250 18,636
Japan 1.300% 12/20/18 JPY 1,800,000 18,571
Japan 1.400% 12/20/18 JPY 5,000,000 51,823
Japan 1.300% 3/20/19 JPY 5,000,000 51,699
Japan 2.600% 3/20/19 JPY 700,000 7,691
Japan 1.400% 9/20/19 JPY 4,100,000 42,791
Japan 1.300% 12/20/19 JPY 6,400,000 66,576
Japan 1.300% 3/20/20 JPY 4,400,000 45,833
Japan 1.100% 6/20/20 JPY 5,100,000 52,529
Japan 1.300% 6/20/20 JPY 1,000,000 10,423
Japan 0.800% 9/20/20 JPY 5,200,000 52,560
Japan 1.200% 12/20/20 JPY 2,837,350 29,409
Japan 1.300% 3/20/21 JPY 5,800,000 60,518
Japan 1.200% 6/20/21 JPY 5,150,000 53,377
Japan 1.100% 9/20/21 JPY 150,000 1,543
Japan 0.900% 3/20/22 JPY 1,200,000 12,146

 

 

Japan 1.000% 3/20/22 JPY 8,000,000 81,596
Japan 0.800% 6/20/22 JPY 3,500,000 35,122
Japan 0.900% 6/20/22 JPY 2,500,000 25,286
Japan 0.800% 9/20/22 JPY 6,500,000 65,157
Japan 0.700% 12/20/22 JPY 4,000,000 39,712
Japan 0.800% 12/20/22 JPY 5,500,000 55,072
Japan 1.700% 12/20/22 JPY 3,500,000 37,709
Japan 0.600% 3/20/23 JPY 4,800,000 47,177
Japan 1.000% 3/20/23 JPY 530,000 5,393
Japan 0.800% 6/20/23 JPY 400,000 3,997
Japan 0.800% 6/20/23 JPY 3,693,500 36,905
Japan 1.800% 6/20/23 JPY 2,500,000 27,210
Japan 0.800% 9/20/23 JPY 1,100,000 10,979
Japan 1.900% 9/20/23 JPY 500,000 5,493
Japan 0.600% 12/20/23 JPY 2,500,000 24,454
Japan 1.900% 12/20/23 JPY 1,800,000 19,798
Japan 1.900% 6/20/25 JPY 550,000 6,072
Japan 2.100% 6/20/25 JPY 3,000,000 33,762
Japan 2.000% 12/20/25 JPY 3,260,000 36,370
Japan 2.100% 3/20/26 JPY 330,000 3,720
Japan 2.200% 3/20/26 JPY 800,000 9,107
Japan 2.100% 12/20/26 JPY 4,800,000 54,156
Japan 2.100% 12/20/27 JPY 2,000,000 22,560
Japan 2.200% 3/20/28 JPY 2,850,000 32,509
Japan 2.400% 6/20/28 JPY 750,000 8,750
Japan 2.100% 9/20/28 JPY 6,550,000 73,801
Japan 2.200% 9/20/28 JPY 1,200,000 13,680
Japan 1.900% 12/20/28 JPY 5,360,000 58,917
Japan 2.100% 12/20/28 JPY 600,000 6,757
Japan 1.900% 3/20/29 JPY 1,150,000 12,627
Japan 2.100% 3/20/29 JPY 2,000,000 22,506
Japan 2.100% 6/20/29 JPY 1,200,000 13,489
Japan 2.100% 9/20/29 JPY 3,600,000 40,419
Japan 2.300% 5/20/30 JPY 170,000 1,951
Japan 1.600% 6/20/30 JPY 500,000 5,226
Japan 1.800% 9/20/30 JPY 300,000 3,217
Japan 1.900% 9/20/30 JPY 2,600,000 28,255
Japan 2.000% 3/20/31 JPY 2,650,000 29,080
Japan 1.900% 6/20/31 JPY 2,600,000 28,077
Japan 1.800% 9/20/31 JPY 3,400,000 36,104
Japan 1.800% 12/20/31 JPY 2,600,000 27,539
Japan 1.700% 9/20/32 JPY 3,600,000 37,231
Japan 1.700% 12/20/32 JPY 2,845,000 29,331
Japan 1.100% 3/20/33 JPY 1,200,000 11,154
Japan 1.500% 3/20/33 JPY 600,000 5,969
Japan 1.600% 3/20/33 JPY 3,000,000 30,340
Japan 1.700% 6/20/33 JPY 800,000 8,194
Japan 1.700% 6/20/33 JPY 2,150,000 22,021
Japan 1.700% 9/20/33 JPY 300,000 3,062
Japan 1.600% 12/20/33 JPY 2,100,000 21,006
Japan 2.000% 12/20/33 JPY 500,000 5,338
Japan 2.400% 3/20/34 JPY 2,000,000 22,675
Japan 2.500% 6/20/34 JPY 2,000,000 23,033
Japan 2.500% 9/20/34 JPY 400,000 4,610
Japan 2.400% 12/20/34 JPY 2,300,000 26,127
Japan 2.300% 3/20/35 JPY 2,500,000 27,975
Japan 2.500% 9/20/35 JPY 1,000,000 11,559

 

 

Japan 2.300% 12/20/35 JPY 810,000 9,075
Japan 2.500% 6/20/36 JPY 1,200,000 13,898
Japan 2.300% 12/20/36 JPY 750,000 8,414
Japan 2.400% 3/20/37 JPY 2,100,000 23,964
Japan 2.500% 3/20/38 JPY 2,800,000 32,551
Japan 2.400% 9/20/38 JPY 2,500,000 28,590
Japan 2.300% 3/20/39 JPY 3,030,000 34,060
Japan 2.300% 3/20/40 JPY 2,000,000 22,519
Japan 2.000% 9/20/40 JPY 2,000,000 21,268
Japan 2.000% 3/20/42 JPY 3,740,850 39,768
Japan 1.900% 9/20/42 JPY 200,000 2,081
Japan 1.800% 3/20/43 JPY 2,000,000 20,346
Japan 1.900% 6/20/43 JPY 1,263,200 13,134
Japan 1.800% 9/20/43 JPY 100,000 1,016
Japan 2.400% 3/20/48 JPY 800,000 9,312
Japan 2.200% 3/20/49 JPY 1,560,000 17,383
Japan 2.200% 3/20/50 JPY 800,000 8,920
Japan 2.200% 3/20/51 JPY 2,050,000 22,876
Japan 2.000% 3/20/52 JPY 1,000,000 10,617
Japan 1.900% 3/20/53 JPY 900,000 9,299
10 Japan Expressway Holding & Debt          
Repayment Agency 0.300% 11/30/15 JPY 500,000 4,962
Japan Expressway Holding & Debt          
Repayment Agency 0.360% 12/18/15 JPY 1,000,000 9,951
10 Japan Expressway Holding & Debt          
Repayment Agency 1.500% 1/29/16 JPY 200,000 2,037
Japan Expressway Holding & Debt          
Repayment Agency 2.120% 6/20/16 JPY 100,000 1,040
10 Japan Expressway Holding & Debt          
Repayment Agency 2.000% 8/31/16 JPY 229,000 2,383
10 Japan Expressway Holding & Debt          
Repayment Agency 1.900% 8/31/17 JPY 500,000 5,193
10 Japan Expressway Holding & Debt          
Repayment Agency 1.500% 12/27/17 JPY 273,000 2,807
10 Japan Expressway Holding & Debt          
Repayment Agency 1.600% 2/28/18 JPY 100,000 1,034
10 Japan Expressway Holding & Debt          
Repayment Agency 1.800% 6/29/18 JPY 400,000 4,186
10 Japan Expressway Holding & Debt          
Repayment Agency 1.700% 7/31/18 JPY 900,000 9,391
10 Japan Expressway Holding & Debt          
Repayment Agency 1.600% 10/31/18 JPY 501,000 5,221
10 Japan Expressway Holding & Debt          
Repayment Agency 1.300% 1/30/19 JPY 100,000 1,031
10 Japan Expressway Holding & Debt          
Repayment Agency 1.500% 6/28/19 JPY 301,000 3,143
10 Japan Expressway Holding & Debt          
Repayment Agency 1.400% 7/31/19 JPY 301,000 3,130
10 Japan Expressway Holding & Debt          
Repayment Agency 1.200% 12/27/19 JPY 100,000 1,032
10 Japan Expressway Holding & Debt          
Repayment Agency 1.300% 5/29/20 JPY 100,000 1,039
10 Japan Expressway Holding & Debt          
Repayment Agency 0.900% 10/30/20 JPY 1,200,000 12,159
10 Japan Expressway Holding & Debt          
Repayment Agency 0.895% 6/30/22 JPY 500,000 4,992

 

 

10 Japan Expressway Holding & Debt          
Repayment Agency 0.839% 7/29/22 JPY 500,000 4,968
Japan Expressway Holding & Debt          
Repayment Agency 0.765% 9/20/22 JPY 200,000 1,974
Japan Expressway Holding & Debt          
Repayment Agency 0.796% 9/20/22 JPY 300,000 2,968
10 Japan Expressway Holding & Debt          
Repayment Agency 0.834% 1/31/23 JPY 800,000 7,991
10 Japan Expressway Holding & Debt          
Repayment Agency 0.815% 2/28/23 JPY 500,000 4,984
10 Japan Expressway Holding & Debt          
Repayment Agency 0.668% 3/17/23 JPY 800,000 7,870
Japan Expressway Holding & Debt          
Repayment Agency 2.340% 10/20/27 JPY 700,000 7,937
10 Japan Expressway Holding & Debt          
Repayment Agency 2.100% 12/28/29 JPY 500,000 5,550
Japan Expressway Holding & Debt          
Repayment Agency 0.500% 9/17/38 JPY 200,000 1,389
Japan Expressway Holding & Debt          
Repayment Agency 0.500% 3/18/39 JPY 200,000 1,385
10 Japan Expressway Holding & Debt          
Repayment Agency 2.300% 2/29/40 JPY 200,000 2,211
Japan Expressway Holding & Debt          
Repayment Agency 2.960% 3/19/46 JPY 250,000 2,888
Japan Expressway Holding & Debt          
Repayment Agency 2.870% 12/20/46 JPY 80,000 911
10 Japan Expressway Holding and Debt          
Repayment Agency 1.500% 5/31/19 JPY 75,000 783
Japan Expressway Holding and Debt          
Repayment Agency 2.700% 3/20/48 JPY 200,000 2,200
10 Japan Finance Organization for Municipalities 1.300% 5/25/15 JPY 1,000,000 9,937
Japan Finance Organization for Municipalities 1.570% 9/24/15 JPY 180,000 1,803
10 Japan Finance Organization for Municipalities 2.000% 5/9/16 JPY 1,500,000 15,282
Japan Finance Organization for Municipalities 1.970% 6/20/18 JPY 500,000 5,267
10 Japan Finance Organization for Municipalities 1.900% 6/22/18 JPY 500,000 5,242
Japan Finance Organization for Municipalities 1.770% 9/25/18 JPY 400,000 4,194
10 Japan Finance Organization for Municipalities 1.600% 10/16/18 JPY 200,000 2,078
10 Japan Finance Organization for Municipalities 0.250% 10/29/18 JPY 300,000 2,932
10 Japan Finance Organization for Municipalities 0.900% 11/17/20 JPY 100,000 1,012
10 Japan Finance Organization for Municipalities 0.576% 9/24/21 JPY 600,000 5,915
10 Japan Finance Organization for Municipalities 0.900% 3/14/22 JPY 600,000 6,043
10 Japan Finance Organization for Municipalities 0.668% 3/17/23 JPY 370,000 3,620
Japan Finance Organization for Municipalities 0.678% 3/28/23 JPY 500,000 4,895
Japan Finance Organization for Municipalities 0.576% 4/28/23 JPY 800,000 7,755
Japan Government Five Year Bond 0.400% 12/20/16 JPY 1,500,000 14,803
Japan Government Ten Year Bond 1.000% 12/20/21 JPY 3,000,000 30,621
Japan Government Thirty Year Bond 2.300% 6/20/35 JPY 580,000 6,493
Japan Government Thirty Year Bond 2.500% 3/20/36 JPY 700,000 8,103
Japan Government Thirty Year Bond 1.700% 12/20/43 JPY 2,300,000 22,836
Japan Government Twenty Year Bond 2.100% 9/20/24 JPY 1,150,000 12,910
Japan Government Twenty Year Bond 2.000% 3/20/27 JPY 500,000 5,581
Japan Government Twenty Year Bond 2.100% 12/20/29 JPY 3,000,000 33,640
Japan Highway Public Corp. 1.540% 12/20/22 JPY 500,000 5,295
Major Joint Local Government Bond 1.300% 6/25/15 JPY 200,000 1,988
Major Joint Local Government Bond 1.400% 8/25/15 JPY 200,000 1,996
Major Joint Local Government Bond 1.300% 9/25/15 JPY 100,000 997
Major Joint Local Government Bond 1.500% 10/23/15 JPY 700,000 7,009

 

 

Major Joint Local Government Bond 1.600% 11/25/15 JPY 315,800 3,173
Major Joint Local Government Bond 1.600% 12/25/15 JPY 112,800 1,134
Major Joint Local Government Bond 1.600% 2/25/16 JPY 150,000 1,501
Major Joint Local Government Bond 1.800% 1/25/17 JPY 509,000 5,226
Major Joint Local Government Bond 1.900% 6/23/17 JPY 200,000 2,070
Major Joint Local Government Bond 1.570% 2/23/18 JPY 500,000 5,161
Major Joint Local Government Bond 1.550% 9/25/18 JPY 100,000 1,038
Major Joint Local Government Bond 1.500% 10/25/18 JPY 100,000 1,037
Major Joint Local Government Bond 1.570% 5/24/19 JPY 453,900 4,748
Major Joint Local Government Bond 1.640% 6/25/19 JPY 100,000 1,051
Major Joint Local Government Bond 1.400% 7/25/19 JPY 300,000 3,116
Major Joint Local Government Bond 1.540% 8/23/19 JPY 100,000 1,047
Major Joint Local Government Bond 1.340% 10/25/19 JPY 300,000 3,112
Major Joint Local Government Bond 1.320% 12/25/19 JPY 100,000 1,037
Major Joint Local Government Bond 1.380% 3/25/20 JPY 100,000 1,042
Major Joint Local Government Bond 1.440% 4/24/20 JPY 200,000 2,092
Major Joint Local Government Bond 1.290% 6/25/20 JPY 130,000 1,348
Major Joint Local Government Bond 1.170% 7/24/20 JPY 1,100,000 11,327
Major Joint Local Government Bond 0.900% 10/23/20 JPY 300,000 3,036
Major Joint Local Government Bond 1.280% 2/25/21 JPY 200,000 2,074
Major Joint Local Government Bond 1.050% 8/25/21 JPY 500,000 5,098
Major Joint Local Government Bond 1.030% 9/24/21 JPY 400,000 4,072
Major Joint Local Government Bond 1.030% 11/25/21 JPY 200,000 2,034
Major Joint Local Government Bond 1.070% 12/24/21 JPY 400,000 4,079
Major Joint Local Government Bond 0.890% 6/24/22 JPY 800,000 8,033
Major Joint Local Government Bond 0.680% 3/24/23 JPY 700,000 6,878
Major Joint Local Government Bond 0.760% 1/25/24 JPY 1,500,000 14,760
Shoko Chukin Bank 0.200% 10/27/15 JPY 500,000 4,951
Shoko Chukin Bank 0.150% 2/26/16 JPY 500,000 4,890
Shoko Chukin Bank 0.250% 4/27/16 JPY 100,000 980
Shoko Chukin Bank 0.550% 6/27/16 JPY 100,000 987
Shoko Chukin Bank 0.250% 7/27/16 JPY 1,500,000 14,701
Shoko Chukin Bank 0.400% 4/27/17 JPY 500,000 4,922
Shoko Chukin Bank 0.350% 6/27/17 JPY 300,000 2,948
Tokyo Metropolitan Government 1.530% 3/20/15 JPY 600,000 5,962
Tokyo Metropolitan Government 0.360% 6/19/15 JPY 100,000 982
Tokyo Metropolitan Government 1.730% 3/18/16 JPY 200,000 2,023
Tokyo Metropolitan Government 1.970% 3/18/16 JPY 1,503,000 15,283
Tokyo Metropolitan Government 2.000% 6/20/16 JPY 150,000 1,532
Tokyo Metropolitan Government 1.830% 9/20/16 JPY 101,000 1,033
Tokyo Metropolitan Government 1.840% 12/20/16 JPY 100,000 1,026
Tokyo Metropolitan Government 1.580% 6/20/19 JPY 200,000 2,095
Tokyo Metropolitan Government 1.380% 9/20/19 JPY 400,000 4,157
Tokyo Metropolitan Government 1.400% 3/19/20 JPY 400,000 4,175
Tokyo Metropolitan Government 0.990% 9/17/21 JPY 200,000 2,030
Tokyo Metropolitan Government 1.020% 9/17/21 JPY 500,000 5,087
Tokyo Metropolitan Government 0.770% 9/20/22 JPY 300,000 2,981
Tokyo Metropolitan Government 0.760% 12/20/22 JPY 185,000 1,835
Tokyo Metropolitan Government 1.980% 6/20/31 JPY 100,000 1,079
          4,307,377
Total Japan (Cost $4,446,232)         4,474,095
Latvia (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Republic of Latvia 5.500% 3/5/18 EUR 500 783
1 Republic of Latvia 2.625% 1/21/21 EUR 1,000 1,345

 

 

Total Latvia (Cost $2,147)         2,128
Lithuania (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Republic of Lithuania (Cost $4,370) 4.850% 2/7/18 EUR 3,000 4,487
Luxembourg (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Grand Duchy of Luxembourg (Cost $3,955) 2.250% 3/19/28 EUR 3,000 3,955
Malaysia (0.3%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.3%)          
Federation of Malaysia 4.262% 9/15/16 MYR 80,000 24,406
11 Federation of Malaysia 3.260% 3/1/18 MYR 30,000 8,807
Federation of Malaysia 4.378% 11/29/19 MYR 40,000 12,167
Federation of Malaysia 3.418% 8/15/22 MYR 15,000 4,205
Federation of Malaysia 3.480% 3/15/23 MYR 20,000 5,624
Federation of Malaysia 4.392% 4/15/26 MYR 10,000 2,970
Federation of Malaysia 4.127% 4/15/32 MYR 25,000 6,913
Total Malaysia (Cost $74,711)         65,092
Mexico (0.8%)          
Corporate Bonds (0.1%)          
America Movil SAB de CV 3.750% 6/28/17 EUR 3,500 5,097
America Movil SAB de CV 3.000% 7/12/21 EUR 2,500 3,459
America Movil SAB de CV 5.000% 10/27/26 GBP 1,500 2,631
2 America Movil SAB de CV 5.125% 9/6/73 EUR 2,000 2,774
          13,961
Sovereign Bonds (U.S. Dollar-Denominated) (0.7%)          
Pemex Project Funding Master Trust 6.375% 8/5/16 EUR 1,000 1,507
Pemex Project Funding Master Trust 5.500% 2/24/25 EUR 2,000 3,075
Petroleos Mexicanos 5.500% 1/9/17 EUR 1,500 2,240
1 Petroleos Mexicanos 3.125% 11/27/20 EUR 1,000 1,347
Petroleos Mexicanos 8.250% 6/2/22 GBP 2,250 4,629
United Mexican States 6.000% 6/18/15 MXN 240,000 18,439
United Mexican States 6.250% 6/16/16 MXN 80,000 6,268
United Mexican States 1.160% 8/8/16 JPY 300,000 2,955
United Mexican States 7.250% 12/15/16 MXN 100,000 8,023
United Mexican States 5.000% 6/15/17 MXN 181,000 13,651
United Mexican States 4.750% 6/14/18 MXN 40,000 2,929
United Mexican States 8.000% 6/11/20 MXN 60,000 4,963
United Mexican States 6.500% 6/10/21 MXN 90,000 6,829
United Mexican States 6.500% 6/9/22 MXN 80,000 6,000
United Mexican States 2.750% 4/22/23 EUR 3,000 3,896
United Mexican States 8.000% 12/7/23 MXN 147,600 12,123
United Mexican States 10.000% 12/5/24 MXN 111,000 10,413
United Mexican States 7.500% 6/3/27 MXN 50,000 3,901
United Mexican States 8.500% 5/31/29 MXN 90,000 7,479
United Mexican States 7.750% 5/29/31 MXN 70,000 5,374
United Mexican States 10.000% 11/20/36 MXN 55,000 5,105
United Mexican States 8.500% 11/18/38 MXN 105,000 8,494
United Mexican States 7.750% 11/13/42 MXN 48,000 3,584
          143,224
Total Mexico (Cost $177,861)         157,185
Morocco (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Kingdom of Morocco (Cost $2,976) 5.375% 6/27/17 EUR 2,000 2,971

 

 

Netherlands (3.6%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.3%)        
ABN AMRO Bank NV 3.500% 1/12/18 EUR 2,000 2,976
ABN AMRO Bank NV 1.875% 7/31/19 EUR 4,500 6,276
ABN AMRO Bank NV 4.250% 4/6/21 EUR 5,000 7,909
ABN AMRO Bank NV 3.500% 1/18/22 EUR 3,000 4,536
ABN AMRO Bank NV 2.500% 9/5/23 EUR 2,000 2,782
ING Bank NV 3.250% 3/3/16 EUR 3,000 4,283
ING Bank NV 3.375% 1/11/18 EUR 5,000 7,397
ING Bank NV 1.875% 5/22/23 EUR 10,400 13,795
SNS Bank NV 2.125% 8/30/17 EUR 5,350 7,494
          57,448
Corporate Bonds (0.9%)          
ABN AMRO Bank NV 4.250% 4/11/16 EUR 4,000 5,788
ABN AMRO Bank NV 6.375% 4/27/21 EUR 500 792
ABN AMRO Bank NV 4.125% 3/28/22 EUR 1,500 2,269
ABN AMRO Bank NV 7.125% 7/6/22 EUR 1,500 2,467
ABN AMRO Bank NV 2.500% 11/29/23 EUR 3,000 3,967
2 Achmea BV 6.000% 4/4/43 EUR 2,000 2,947
Achmea Hypotheekbank NV 2.000% 1/23/18 EUR 2,000 2,727
Aegon NV 3.000% 7/18/17 EUR 300 429
Aegon NV 6.625% 12/16/39 GBP 1,000 2,144
Ahold Finance USA LLC 6.500% 3/14/17 GBP 400 745
Akzo Nobel NV 8.000% 4/6/16 GBP 200 373
Akzo Nobel NV 4.000% 12/17/18 EUR 2,500 3,763
ASML Holding NV 3.375% 9/19/23 EUR 1,000 1,400
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 3.000% 2/16/15 EUR 10,000 13,839
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.000% 9/10/15 GBP 1,550 2,661
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 0.487% 5/24/16 JPY 500,000 4,914
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.250% 1/16/17 EUR 10,000 14,753
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 2.125% 10/11/17 CHF 2,000 2,337
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 7.250% 4/20/18 AUD 5,250 5,116
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 2.000% 2/6/19 CHF 1,000 1,170
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 3.625% 7/2/19 CHF 2,500 3,156
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.125% 1/12/21 EUR 5,000 7,588
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 2.000% 9/16/21 CHF 2,000 2,319
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.125% 9/14/22 EUR 3,000 4,306
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.000% 9/19/22 GBP 1,187 2,042
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 2.375% 5/22/23 EUR 5,000 6,646
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 4.125% 7/14/25 EUR 5,000 7,606
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 3.125% 9/15/26 CHF 1,000 1,250

 

 

Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 5.250% 9/14/27 GBP 1,250 2,142
Cooperatieve Centrale Raiffeisen-          
Boerenleenbank BA 5.250% 5/23/41 GBP 800 1,462
Corio NV 3.250% 2/26/21 EUR 2,000 2,764
Delta Lloyd NV 4.250% 11/17/17 EUR 500 731
F Van Lanschot Bankiers NV 3.125% 6/5/18 EUR 1,000 1,398
Heineken NV 2.000% 4/6/21 EUR 1,000 1,338
Heineken NV 2.875% 8/4/25 EUR 2,000 2,703
ING Bank NV 3.875% 5/24/16 EUR 1,500 2,160
ING Bank NV 3.875% 12/23/16 GBP 90 157
ING Bank NV 1.875% 2/27/18 EUR 9,000 12,379
ING Bank NV 4.875% 1/18/21 EUR 1,000 1,589
ING Bank NV 4.500% 2/21/22 EUR 2,500 3,890
2 ING Bank NV 6.875% 5/29/23 GBP 2,000 3,675
ING Groep NV 4.125% 3/23/15 EUR 2,000 2,798
ING Groep NV 4.750% 5/31/17 EUR 2,000 3,000
Koninklijke KPN NV 6.500% 1/15/16 EUR 1,700 2,533
Koninklijke KPN NV 5.750% 3/18/16 GBP 550 976
Koninklijke KPN NV 4.750% 1/17/17 EUR 1,000 1,483
Koninklijke KPN NV 6.000% 5/29/19 GBP 400 743
Koninklijke KPN NV 3.750% 9/21/20 EUR 1,200 1,744
Koninklijke KPN NV 3.250% 2/1/21 EUR 5,630 7,872
Koninklijke KPN NV 5.750% 9/17/29 GBP 1,000 1,797
LeasePlan Corp. NV 3.875% 9/16/15 EUR 2,000 2,828
LeasePlan Corp. NV 2.500% 9/19/16 EUR 500 698
PostNL NV 7.500% 8/14/18 GBP 2,580 5,007
Robert Bosch Investment Nederland BV 1.625% 5/24/21 EUR 800 1,067
Robert Bosch Investment Nederland BV 2.625% 5/24/28 EUR 1,000 1,345
Shell International Finance BV 4.625% 5/22/17 EUR 5,000 7,591
Shell International Finance BV 4.375% 5/14/18 EUR 1,000 1,537
Unilever NV 1.750% 8/5/20 EUR 2,000 2,720
Unilever plc 4.750% 6/16/17 GBP 650 1,179
Wolters Kluwer NV 2.875% 3/21/23 EUR 2,000 2,753
          195,573
Sovereign Bonds (U.S. Dollar-Denominated) (2.4%)          
Alliander NV 5.500% 4/20/16 EUR 1,000 1,492
Alliander NV 2.875% 6/14/24 EUR 500 700
Bank Nederlandse Gemeenten 2.125% 7/14/15 EUR 6,000 8,305
Bank Nederlandse Gemeenten 2.250% 8/24/16 EUR 5,000 7,047
Bank Nederlandse Gemeenten 0.750% 5/21/18 EUR 14,600 19,579
Bank Nederlandse Gemeenten 1.875% 12/7/18 GBP 2,000 3,250
Bank Nederlandse Gemeenten 1.875% 6/6/19 EUR 3,000 4,184
Bank Nederlandse Gemeenten 2.250% 10/14/20 CHF 4,000 4,818
Bank Nederlandse Gemeenten 3.875% 5/26/23 EUR 3,000 4,673
Bank Nederlandse Gemeenten 5.200% 12/7/28 GBP 700 1,327
Enbw International Finance BV 6.125% 7/7/39 EUR 1,000 1,845
Enexis Holding NV 1.875% 11/13/20 EUR 1,500 2,037
Kingdom of Netherlands 0.750% 4/15/15 EUR 40,000 54,350
1 Kingdom of Netherlands 3.250% 7/15/15 EUR 10,000 14,093
1 Kingdom of Netherlands 4.000% 7/15/16 EUR 25,000 36,803
1 Kingdom of Netherlands 2.500% 1/15/17 EUR 35,000 50,208
1 Kingdom of Netherlands 4.000% 7/15/18 EUR 15,000 23,135
1 Kingdom of Netherlands 1.250% 1/15/19 EUR 20,000 27,495
1 Kingdom of Netherlands 4.000% 7/15/19 EUR 5,000 7,825
1 Kingdom of Netherlands 3.500% 7/15/20 EUR 15,000 23,089
1 Kingdom of Netherlands 3.250% 7/15/21 EUR 9,400 14,277

 

 

1 Kingdom of Netherlands 2.250% 7/15/22 EUR 25,000 35,242
1 Kingdom of Netherlands 3.750% 1/15/23 EUR 10,000 15,726
1 Kingdom of Netherlands 1.750% 7/15/23 EUR 12,000 16,013
1 Kingdom of Netherlands 5.500% 1/15/28 EUR 10,000 18,626
1 Kingdom of Netherlands 2.500% 1/15/33 EUR 11,400 15,259
1 Kingdom of Netherlands 4.000% 1/15/37 EUR 11,500 19,265
1 Kingdom of Netherlands 3.750% 1/15/42 EUR 14,000 23,095
Nederlandse Gasunie NV 4.250% 6/20/16 EUR 2,000 2,921
Nederlandse Gasunie NV 3.625% 10/13/21 EUR 1,500 2,252
Nederlandse Gasunie NV 2.625% 7/13/22 EUR 1,500 2,092
Nederlandse Waterschapsbank NV 2.500% 4/20/15 CHF 2,500 2,850
Nederlandse Waterschapsbank NV 2.375% 6/4/15 EUR 4,000 5,546
Nederlandse Waterschapsbank NV 1.750% 7/22/16 CHF 2,000 2,308
Nederlandse Waterschapsbank NV 2.125% 9/7/16 GBP 500 841
Nederlandse Waterschapsbank NV 3.375% 4/3/17 NOK 20,000 3,290
Nederlandse Waterschapsbank NV 1.625% 8/23/19 EUR 4,000 5,506
Nederlandse Waterschapsbank NV 3.500% 1/14/21 EUR 5,000 7,578
TenneT Holding BV 3.875% 2/21/18 EUR 540 808
TenneT Holding BV 4.500% 2/9/22 EUR 1,500 2,356
          492,106
Total Netherlands (Cost $724,134)         745,127
New Zealand (0.3%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
ANZ New Zealand Int'l Ltd. 3.000% 10/20/16 EUR 5,000 7,179
Westpac Securities NZ Ltd. 3.500% 6/16/16 EUR 5,000 7,210
          14,389
Corporate Bonds (0.0%)          
ANZ New Zealand Int'l Ltd. 1.500% 12/17/15 GBP 450 745
BNZ International Funding Ltd. 1.250% 5/23/18 EUR 2,800 3,763
          4,508
Sovereign Bonds (U.S. Dollar-Denominated) (0.2%)          
New Zealand 6.000% 4/15/15 NZD 9,000 7,508
New Zealand 6.000% 12/15/17 NZD 7,500 6,522
New Zealand 5.000% 3/15/19 NZD 15,000 12,642
New Zealand 3.000% 4/15/20 NZD 7,500 5,646
New Zealand 6.000% 5/15/21 NZD 7,500 6,674
New Zealand 5.500% 4/15/23 NZD 7,500 6,494
          45,486
Total New Zealand (Cost $67,035)         64,383
Norway (0.6%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)        
DNB Boligkreditt AS 2.375% 4/11/17 EUR 6,000 8,530
DNB Boligkreditt AS 1.000% 1/22/18 EUR 6,000 8,148
DNB Boligkreditt AS 1.125% 11/12/18 EUR 5,000 6,765
DNB Boligkreditt AS 2.750% 3/21/22 EUR 3,500 5,062
Eika Boligkreditt AS 2.125% 1/30/23 EUR 2,000 2,711
Nordea Eiendomskreditt AS 4.050% 6/21/17 NOK 5,000 842
SpareBank 1 Boligkreditt AS 2.375% 11/22/16 EUR 5,000 7,079
SpareBank 1 Boligkreditt AS 1.500% 6/12/20 EUR 6,000 8,099
          47,236
Corporate Bonds (0.1%)          
2 DNB Bank ASA 7.250% 6/23/20 GBP 75 132
DNB Bank ASA 4.375% 2/24/21 EUR 3,000 4,656
2 DNB Bank ASA 4.750% 3/8/22 EUR 4,000 5,827

 

 

2 DNB Bank ASA 3.000% 9/26/23 EUR 3,000 4,154
SpareBank 1 SR Bank ASA 2.125% 2/3/20 EUR 1,500 2,033
          16,802
Sovereign Bonds (U.S. Dollar-Denominated) (0.3%)          
Kingdom of Norway 5.000% 5/15/15 NOK 79,300 13,219
Kingdom of Norway 4.500% 5/22/19 NOK 20,300 3,621
Kingdom of Norway 3.750% 5/25/21 NOK 39,100 6,763
Kingdom of Norway 2.000% 5/24/23 NOK 85,000 12,742
Kommunalbanken AS 1.125% 12/15/16 GBP 3,000 4,917
Kommunalbanken AS 1.125% 12/15/17 GBP 500 809
Statkraft AS 5.000% 11/10/16 NOK 2,500 424
Statkraft AS 6.625% 4/2/19 EUR 2,950 4,955
Statoil ASA 5.625% 3/11/21 EUR 4,700 7,956
Statoil ASA 6.875% 3/11/31 GBP 750 1,672
Telenor ASA 2.500% 5/22/25 EUR 2,400 3,178
          60,256
Total Norway (Cost $125,699)         124,294
Poland (0.7%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.7%)          
Republic of Poland 5.500% 4/25/15 PLN 39,300 12,853
Republic of Poland 3.625% 2/1/16 EUR 5,000 7,144
Republic of Poland 5.000% 4/25/16 PLN 54,100 17,771
Republic of Poland 4.750% 4/25/17 PLN 32,100 10,502
Republic of Poland 5.250% 10/25/17 PLN 15,000 4,985
Republic of Poland 3.750% 4/25/18 PLN 15,000 4,714
Republic of Poland 2.250% 5/15/18 CHF 3,000 3,515
Republic of Poland 2.500% 7/25/18 PLN 35,000 10,406
Republic of Poland 1.625% 1/15/19 EUR 8,000 10,846
Republic of Poland 5.500% 10/25/19 PLN 18,000 6,061
Republic of Poland 4.200% 4/15/20 EUR 8,000 12,203
Republic of Poland 5.250% 10/25/20 PLN 15,000 4,983
Republic of Poland 5.750% 10/25/21 PLN 50,100 17,071
Republic of Poland 4.000% 10/25/23 PLN 27,500 8,254
Republic of Poland 3.375% 7/9/24 EUR 5,000 6,986
Republic of Poland 5.750% 4/25/29 PLN 8,000 2,757
Total Poland (Cost $143,902)         141,051
Portugal (0.0%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)        
Caixa Geral de Depositos SA (Cost $4,660) 3.750% 1/18/18 EUR 3,500 4,988
Romania (0.1%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.1%)          
Republic of Romania 5.250% 6/17/16 EUR 3,000 4,341
Republic of Romania 4.875% 11/7/19 EUR 2,000 2,886
Republic of Romania 4.625% 9/18/20 EUR 2,000 2,817
Total Romania (Cost $9,816)         10,044
Russia (0.1%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.1%)          
Gazprom OAO Via Gaz Capital SA 3.755% 3/15/17 EUR 3,000 4,202
Gazprom OAO Via Gaz Capital SA 3.389% 3/20/20 EUR 3,000 4,006
Gazprom OAO Via Gaz Capital SA 5.338% 9/25/20 GBP 1,000 1,733
Gazprom OAO Via Gaz Capital SA 4.364% 3/21/25 EUR 300 404
Russian Federation 3.625% 9/16/20 EUR 1,000 1,389
Russian Railways via RZD Capital plc 2.177% 2/26/18 CHF 3,000 3,321

 

 

Russian Railways via RZD Capital plc 3.374% 5/20/21 EUR 2,000 2,585
Vnesheconombank Via VEB Finance plc 3.035% 2/21/18 EUR 2,000 2,681
Total Russia (Cost $20,007)         20,321
Singapore (0.3%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.3%)          
Republic of Singapore 0.250% 2/1/15 SGD 10,000 7,828
Republic of Singapore 0.500% 4/1/18 SGD 35,000 26,855
Republic of Singapore 2.250% 6/1/21 SGD 10,000 7,906
Republic of Singapore 3.500% 3/1/27 SGD 13,000 10,910
Republic of Singapore 2.750% 4/1/42 SGD 3,700 2,686
Total Singapore (Cost $58,974)         56,185
Slovakia (0.1%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.1%)          
Republic of Slovakia 4.625% 1/19/17 EUR 3,000 4,483
Republic of Slovakia 4.000% 4/27/20 EUR 7,750 11,765
Republic of Slovakia 4.350% 10/14/25 EUR 5,000 7,657
Slovak Republic 1.375% 10/16/19 CHF 2,000 2,249
Total Slovakia (Cost $25,551)         26,154
Slovenia (0.1%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.1%)          
Republic of Slovenia 2.750% 3/17/15 EUR 2,000 2,729
Republic of Slovenia 4.375% 2/6/19 EUR 2,000 2,784
Republic of Slovenia 4.125% 1/26/20 EUR 2,000 2,691
Republic of Slovenia 4.625% 9/9/24 EUR 4,000 5,279
Total Slovenia (Cost $12,558)         13,483
South Africa (0.4%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.4%)          
Eskom Holdings SOC Ltd. 10.000% 1/25/23 ZAR 15,000 1,417
Republic of South Africa 13.500% 9/15/15 ZAR 150,000 14,743
Republic of South Africa 8.250% 9/15/17 ZAR 50,000 4,545
Republic of South Africa 8.000% 12/21/18 ZAR 50,000 4,469
Republic of South Africa 7.250% 1/15/20 ZAR 100,000 8,521
Republic of South Africa 6.750% 3/31/21 ZAR 190,000 15,508
Republic of South Africa 10.500% 12/21/26 ZAR 100,000 10,142
Republic of South Africa 8.000% 1/31/30 ZAR 60,000 4,846
Republic of South Africa 7.000% 2/28/31 ZAR 60,000 4,355
Republic of South Africa 6.250% 3/31/36 ZAR 70,000 4,502
Republic of South Africa 8.500% 1/31/37 ZAR 25,000 2,066
Republic of South Africa 6.500% 2/28/41 ZAR 50,000 3,224
Republic of South Africa 8.750% 2/28/48 ZAR 50,000 4,176
Total South Africa (Cost $107,023)         82,514
South Korea (1.9%)          
Sovereign Bonds (U.S. Dollar-Denominated) (1.9%)          
Bank of Korea 2.840% 12/2/14 KRW 26,140,000 24,455
Bank of Korea 2.470% 4/2/15 KRW 20,000,000 18,635
Export-Import Bank of Korea 2.000% 4/30/20 EUR 1,800 2,406
Korea Development Bank 1.500% 5/30/18 EUR 600 805
Republic of Korea 4.500% 3/10/15 KRW 30,000,000 28,573
Republic of Korea 2.750% 12/10/15 KRW 45,000,000 42,008
Republic of Korea 4.000% 3/10/16 KRW 14,000,000 13,388
Republic of Korea 3.500% 9/10/16 KRW 43,000,000 40,787
Republic of Korea 2.750% 3/10/18 KRW 54,000,000 49,670
Republic of Korea 2.500% 4/30/18 KRW 20,000,000 18,111

 

 

Republic of Korea 5.000% 6/10/20 KRW 46,500,000 47,371
Republic of Korea 3.000% 3/10/23 KRW 34,000,000 30,350
Republic of Korea 5.750% 3/10/26 KRW 14,000,000 15,676
Republic of Korea 5.250% 3/10/27 KRW 4,500,000 4,859
Republic of Korea 5.500% 3/10/28 KRW 20,000,000 22,202
Republic of Korea 4.750% 12/10/30 KRW 4,000,000 4,169
Republic of Korea 4.000% 12/10/31 KRW 25,000,000 23,884
Republic of Korea 3.000% 12/10/42 KRW 10,500,000 8,232
Total South Korea (Cost $390,517)         395,581
Spain (5.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (1.0%)        
AyT Cedulas Cajas Fondo de Titulizacion 4.500% 12/2/19 EUR 5,000 7,224
Ayt Cedulas Cajas Global 4.000% 3/24/21 EUR 1,000 1,393
Ayt Cedulas Cajas Global 3.750% 12/14/22 EUR 800 1,078
Ayt Cedulas Cajas Global 4.750% 5/25/27 EUR 2,000 2,707
AyT Cedulas Cajas IX Fondo de Titulizacion 3.750% 3/31/15 EUR 5,000 6,926
AyT Cedulas Cajas IX Fondo de Titulizacion 4.000% 3/31/20 EUR 5,000 7,073
AyT Cedulas Cajas X Fondo de Titulizacion 3.750% 6/30/25 EUR 1,300 1,622
Banco Bilbao Vizcaya Argentaria SA 4.250% 3/30/15 EUR 5,000 7,002
Banco Bilbao Vizcaya Argentaria SA 4.750% 2/10/16 EUR 6,300 9,125
Banco Bilbao Vizcaya Argentaria SA 3.625% 1/18/17 EUR 3,000 4,327
Banco Bilbao Vizcaya Argentaria SA 3.500% 10/7/20 EUR 1,000 1,468
Banco Bilbao Vizcaya Argentaria SA 3.500% 1/24/21 EUR 1,000 1,464
Banco Bilbao Vizcaya Argentaria SA 3.875% 1/30/23 EUR 5,000 7,482
Banco Bilbao Vizcaya Argentaria SA 4.000% 2/25/25 EUR 2,100 3,145
Banco de Sabadell SA 3.625% 2/16/15 EUR 4,500 6,235
Banco de Sabadell SA 3.375% 1/23/18 EUR 4,000 5,713
Banco Espanol de Credito SA 4.625% 3/30/15 EUR 1,100 1,546
Banco Espanol de Credito SA 3.625% 9/7/15 EUR 3,000 4,213
Banco Espanol de Credito SA 3.500% 1/18/16 EUR 1,100 1,553
Banco Espanol de Credito SA 3.750% 6/17/16 EUR 6,700 9,587
Banco Espanol de Credito SA 4.750% 1/24/17 EUR 6,300 9,369
Banco Popular Espanol SA 4.125% 3/30/17 EUR 4,500 6,519
Banco Popular Espanol SA 3.750% 1/22/19 EUR 5,000 7,193
Banco Santander SA 3.125% 9/28/15 EUR 1,500 2,093
Banco Santander SA 4.625% 1/20/16 EUR 1,400 2,018
Banco Santander SA 4.125% 1/9/17 EUR 1,000 1,462
Banco Santander SA 2.875% 1/30/18 EUR 5,500 7,839
Bankia SA 3.500% 12/14/15 EUR 600 840
Bankia SA 5.750% 6/29/16 EUR 1,000 1,478
Bankia SA 4.250% 7/5/16 EUR 950 1,359
Bankia SA 3.625% 10/5/16 EUR 4,350 6,154
Bankia SA 4.250% 5/25/18 EUR 1,450 2,119
Bankia SA 4.500% 4/26/22 EUR 2,050 2,987
Bankia SA 4.000% 2/3/25 EUR 1,600 2,175
Bankia SA 4.125% 3/24/36 EUR 1,700 2,133
Bankinter SA 2.750% 7/26/16 EUR 3,300 4,614
CaixaBank 3.500% 3/31/16 EUR 4,500 6,375
CaixaBank 5.125% 4/27/16 EUR 10,000 14,660
CaixaBank 4.625% 6/4/19 EUR 5,400 8,258
CaixaBank 3.875% 2/17/25 EUR 2,000 2,910
Caja Rural de Navarra 2.875% 6/11/18 EUR 1,700 2,380
Cajas Rurales Unidas 3.375% 5/16/16 EUR 2,000 2,763
Cedulas TDA 4.125% 4/10/21 EUR 1,500 2,091
Cedulas TDA 6 Fondo de Titulizacion de          
Activos 3.875% 5/23/25 EUR 5,000 6,474

 

 

Cedulas TDA 6 Fondo de Titulizacion de          
Activos 4.250% 4/10/31 EUR 3,000 3,738
IM Cedulas 10 4.500% 2/21/22 EUR 1,300 1,788
IM Cedulas 6-M1 - Fondo de Titulizacion 3.500% 12/2/15 EUR 3,500 4,846
Kutxabank SA 3.000% 2/1/17 EUR 2,500 3,540
Santander Consumer Finance SA 3.875% 3/23/16 EUR 1,400 1,996
          213,054
Corporate Bonds (0.5%)          
Abertis Infraestructuras SA 4.750% 10/25/19 EUR 3,500 5,303
Abertis Infraestructuras SA 3.750% 6/20/23 EUR 1,000 1,391
Bankinter SA 4.125% 3/22/17 EUR 1,500 2,194
BBVA Senior Finance SAU 3.250% 3/21/16 EUR 5,000 7,004
BBVA Senior Finance SAU 3.750% 1/17/18 EUR 3,500 5,047
CaixaBank SA 2.500% 4/18/17 EUR 3,000 4,128
Ferrovial Emisiones SA 3.375% 6/7/21 EUR 700 970
Gas Natural Capital Markets SA 5.625% 2/9/17 EUR 3,000 4,549
Gas Natural Capital Markets SA 5.375% 5/24/19 EUR 2,600 4,077
Gas Natural Fenosa Finance BV 3.875% 4/11/22 EUR 2,000 2,880
Iberdrola Finanzas SAU 4.750% 1/25/16 EUR 2,500 3,627
Iberdrola International BV 4.500% 9/21/17 EUR 600 895
Iberdrola International BV 4.250% 10/11/18 EUR 1,000 1,494
Iberdrola International BV 3.500% 2/1/21 EUR 3,000 4,279
2 Iberdrola International BV 5.750% 2/27/49 EUR 1,000 1,406
Red Electrica Financiaciones SA Unipersonal 3.500% 10/7/16 EUR 2,500 3,585
Red Electrica Financiaciones SA Unipersonal 2.375% 5/31/19 EUR 800 1,103
Red Electrica Financiaciones SA Unipersonal 4.875% 4/29/20 EUR 2,000 3,112
Repsol International Finance BV 4.250% 2/12/16 EUR 3,500 5,012
Repsol International Finance BV 2.625% 5/28/20 EUR 3,500 4,723
Santander International Debt SAU 4.625% 3/21/16 EUR 4,000 5,756
Santander International Debt SAU 4.000% 3/27/17 EUR 1,000 1,442
Santander International Debt SAU 4.000% 1/24/20 EUR 3,500 5,103
Telefonica Emisiones SAU 4.375% 2/2/16 EUR 7,000 10,021
Telefonica Emisiones SAU 2.736% 5/29/19 EUR 6,000 8,272
Telefonica Emisiones SAU 4.693% 11/11/19 EUR 2,000 3,005
Telefonica Emisiones SAU 5.289% 12/9/22 GBP 1,000 1,735
Telefonica Emisiones SAU 3.987% 1/23/23 EUR 4,300 6,013
          108,126
Sovereign Bonds (U.S. Dollar-Denominated) (4.0%)          
Autonomous Community of Madrid Spain 4.622% 6/23/15 EUR 2,250 3,169
Autonomous Community of Madrid Spain 4.300% 9/15/26 EUR 2,800 3,691
FADE - Fondo de Amortizacion del Deficit          
Electrico 4.000% 12/17/15 EUR 3,000 4,253
FADE - Fondo de Amortizacion del Deficit          
Electrico 2.875% 9/17/16 EUR 5,000 6,975
FADE - Fondo de Amortizacion del Deficit          
Electrico 3.875% 3/17/18 EUR 2,000 2,886
12 FADE - Fondo de Amortizacion del Deficit          
Electrico 3.375% 3/17/19 EUR 5,000 7,034
12 FADE - Fondo de Amortizacion del Deficit          
Electrico 5.900% 3/17/21 EUR 2,000 3,146
12 Instituto de Credito Oficial 2.375% 10/31/15 EUR 10,000 13,761
12 Instituto de Credito Oficial 5.125% 1/25/16 EUR 11,000 15,942
12 Instituto de Credito Oficial 5.000% 7/5/16 EUR 2,000 2,925
12 Instituto de Credito Oficial 4.125% 9/28/17 EUR 3,000 4,361
12 Instituto de Credito Oficial 4.750% 4/30/20 EUR 9,000 13,470
IPIC GMTN Ltd. 5.875% 3/14/21 EUR 3,000 4,815

 

 

Kingdom of Spain 3.000% 4/30/15 EUR 25,000 34,616
Kingdom of Spain 4.000% 7/30/15 EUR 25,000 35,267
Kingdom of Spain 3.750% 10/31/15 EUR 26,000 36,754
Kingdom of Spain 3.150% 1/31/16 EUR 10,000 14,040
Kingdom of Spain 3.250% 4/30/16 EUR 20,000 28,181
Kingdom of Spain 3.300% 7/30/16 EUR 16,000 22,605
Kingdom of Spain 4.250% 10/31/16 EUR 20,000 29,021
Kingdom of Spain 3.800% 1/31/17 EUR 25,000 36,001
Kingdom of Spain 5.500% 7/30/17 EUR 15,000 22,795
Kingdom of Spain 4.500% 1/31/18 EUR 26,000 38,480
Kingdom of Spain 4.100% 7/30/18 EUR 8,000 11,720
Kingdom of Spain 3.750% 10/31/18 EUR 13,000 18,746
Kingdom of Spain 4.600% 7/30/19 EUR 30,000 45,009
Kingdom of Spain 4.300% 10/31/19 EUR 10,000 14,795
Kingdom of Spain 4.000% 4/30/20 EUR 18,000 26,073
Kingdom of Spain 4.850% 10/31/20 EUR 14,000 21,098
Kingdom of Spain 5.500% 4/30/21 EUR 21,000 32,702
Kingdom of Spain 5.850% 1/31/22 EUR 10,000 15,848
1 Kingdom of Spain 5.400% 1/31/23 EUR 30,000 46,112
1 Kingdom of Spain 4.400% 10/31/23 EUR 18,000 25,713
Kingdom of Spain 4.800% 1/31/24 EUR 10,000 14,709
Kingdom of Spain 4.650% 7/30/25 EUR 10,000 14,453
Kingdom of Spain 5.900% 7/30/26 EUR 10,000 16,040
1 Kingdom of Spain 5.150% 10/31/28 EUR 14,000 20,891
Kingdom of Spain 6.000% 1/31/29 EUR 10,000 16,194
Kingdom of Spain 5.750% 7/30/32 EUR 20,000 32,013
Kingdom of Spain 4.200% 1/31/37 EUR 15,000 19,405
Kingdom of Spain 4.900% 7/30/40 EUR 7,000 9,931
Kingdom of Spain 4.700% 7/30/41 EUR 12,000 16,494
1 Spain Government Bond 5.150% 10/31/44 EUR 9,000 13,092
          815,226
Total Spain (Cost $1,075,730)         1,136,406
Supranational (3.1%)          
Sovereign Bonds (U.S. Dollar-Denominated) (3.1%)          
African Development Bank 0.500% 6/22/15 CAD 1,550 1,365
Asian Development Bank 0.000% 2/7/16 CHF 2,000 2,207
Asian Development Bank 1.000% 12/15/16 GBP 1,500 2,461
Asian Development Bank 3.500% 7/25/18 AUD 8,850 7,687
Council Of Europe Development Bank 1.750% 12/19/16 GBP 1,000 1,671
Council Of Europe Development Bank 1.125% 10/22/18 EUR 5,000 6,821
Council Of Europe Development Bank 3.000% 7/13/20 EUR 1,000 1,482
EUROFIMA 3.000% 5/15/26 CHF 4,500 5,671
EUROFIMA 4.550% 3/30/27 CAD 655 602
European Bank for Reconstruction &          
Development 5.625% 12/7/28 GBP 1,000 2,042
5 European Financial Stability Facility 1.125% 6/1/15 EUR 13,000 17,747
5 European Financial Stability Facility 0.500% 3/7/16 EUR 3,000 4,063
5 European Financial Stability Facility 2.750% 7/18/16 EUR 5,000 7,129
5 European Financial Stability Facility 0.750% 6/5/17 EUR 2,500 3,386
5 European Financial Stability Facility 1.625% 9/15/17 EUR 2,500 3,483
5 European Financial Stability Facility 1.125% 11/30/17 EUR 5,000 6,839
5 European Financial Stability Facility 1.250% 2/5/18 EUR 5,000 6,865
5 European Financial Stability Facility 0.875% 4/16/18 EUR 20,000 27,007
5 European Financial Stability Facility 2.625% 5/2/19 EUR 10,000 14,495
5 European Financial Stability Facility 1.500% 1/22/20 EUR 7,600 10,321
5 European Financial Stability Facility 1.625% 7/17/20 EUR 16,000 21,752

 

 

5 European Financial Stability Facility 2.250% 9/5/22 EUR 3,000 4,171
5 European Financial Stability Facility 1.875% 5/23/23 EUR 15,000 20,031
5 European Financial Stability Facility 3.000% 9/4/34 EUR 5,000 6,988
5 European Financial Stability Facility 3.375% 4/3/37 EUR 3,000 4,452
European Investment Bank 4.250% 2/4/15 NOK 6,700 1,095
European Investment Bank 4.375% 7/8/15 GBP 5,400 9,330
European Investment Bank 2.500% 7/22/15 CHF 2,000 2,293
European Investment Bank 3.125% 10/15/15 EUR 8,000 11,320
European Investment Bank 3.000% 12/7/15 GBP 1,000 1,709
European Investment Bank 3.500% 4/15/16 EUR 15,000 21,658
European Investment Bank 4.000% 7/12/16 SEK 25,000 4,062
European Investment Bank 1.750% 4/21/17 CHF 2,000 2,319
European Investment Bank 4.250% 5/19/17 NOK 20,000 3,404
European Investment Bank 1.400% 6/20/17 JPY 1,100,000 11,221
European Investment Bank 4.750% 10/15/17 EUR 20,000 31,079
European Investment Bank 1.375% 1/15/18 GBP 5,500 8,934
European Investment Bank 2.625% 3/15/18 EUR 5,000 7,274
European Investment Bank 1.000% 7/13/18 EUR 12,000 16,338
European Investment Bank 1.500% 2/1/19 GBP 5,000 7,989
1 European Investment Bank 2.125% 2/4/19 CAD 2,000 1,799
European Investment Bank 1.250% 8/2/19 CHF 3,000 3,434
European Investment Bank 6.500% 8/7/19 AUD 8,000 7,827
European Investment Bank 4.625% 4/15/20 EUR 20,000 32,258
European Investment Bank 2.375% 7/10/20 CHF 2,500 3,044
European Investment Bank 6.000% 8/6/20 AUD 12,000 11,478
European Investment Bank 1.375% 9/15/20 EUR 4,000 5,381
European Investment Bank 5.000% 12/1/20 SEK 25,000 4,339
European Investment Bank 2.250% 10/14/22 EUR 7,000 9,730
European Investment Bank 2.500% 10/31/22 GBP 5,500 8,712
European Investment Bank 2.000% 4/14/23 EUR 5,000 6,774
European Investment Bank 2.125% 1/15/24 EUR 2,000 2,703
European Investment Bank 4.500% 10/15/25 EUR 15,000 24,800
European Investment Bank 3.500% 4/15/27 EUR 5,000 7,557
European Investment Bank 3.750% 12/7/27 GBP 3,800 6,416
European Investment Bank 6.000% 12/7/28 GBP 1,000 2,094
European Investment Bank 4.000% 4/15/30 EUR 7,000 11,123
European Investment Bank 3.000% 10/14/33 EUR 3,000 4,196
European Investment Bank 3.125% 6/30/36 CHF 1,000 1,352
European Investment Bank 3.875% 6/8/37 GBP 3,300 5,501
European Investment Bank 4.000% 10/15/37 EUR 5,000 8,175
European Investment Bank 5.000% 4/15/39 GBP 2,000 3,932
European Investment Bank 2.750% 3/15/40 EUR 3,000 4,018
European Stability Mechanism 1.250% 10/15/18 EUR 15,000 20,471
European Union 2.500% 12/4/15 EUR 18,000 25,296
European Union 3.625% 4/6/16 EUR 2,000 2,895
European Union 2.375% 10/4/18 EUR 5,000 7,239
European Union 3.500% 6/4/21 EUR 5,000 7,662
European Union 3.000% 9/4/26 EUR 7,000 10,161
European Union 2.875% 4/4/28 EUR 5,000 7,097
European Union 3.375% 4/4/32 EUR 3,000 4,498
European Union 3.375% 4/4/38 EUR 2,000 3,005
European Union 3.750% 4/4/42 EUR 3,000 4,795
Inter-American Development Bank 0.625% 12/15/15 GBP 5,000 8,192
International Bank for Reconstruction &          
Development 1.250% 10/2/17 GBP 5,000 8,190
International Bank for Reconstruction &          
Development 3.875% 5/20/19 EUR 6,000 9,299

 

 

International Bank for Reconstruction &          
Development 5.750% 10/21/19 AUD 7,000 6,683
International Bank for Reconstruction &          
Development 5.400% 6/7/21 GBP 200 393
International Bank for Reconstruction &          
Development 5.750% 6/7/32 GBP 1,000 2,148
International Finance Corp. 0.625% 12/15/15 GBP 3,000 4,917
Nordic Investment Bank 2.125% 8/9/17 NOK 10,000 1,590
Total Supranational (Cost $630,722)         641,937
Sweden (1.7%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%)        
Lansforsakringar Hypotek AB 4.000% 3/15/16 SEK 40,000 6,459
Nordea Hypotek AB 3.250% 6/17/15 SEK 73,000 11,486
Nordea Hypotek AB 3.000% 6/21/17 SEK 51,000 8,116
Nordea Hypotek AB 2.000% 6/20/18 SEK 40,000 6,100
Skandinaviska Enskilda Banken AB 2.500% 6/17/15 EUR 2,000 2,777
Skandinaviska Enskilda Banken AB 4.250% 6/15/16 SEK 50,000 8,168
Skandinaviska Enskilda Banken AB 3.000% 6/21/17 SEK 50,000 7,906
Skandinaviska Enskilda Banken AB 1.500% 2/25/20 EUR 5,000 6,822
Stadshypotek AB 6.000% 3/18/15 SEK 90,000 14,519
Stadshypotek AB 6.000% 9/21/16 SEK 50,000 8,534
Stadshypotek AB 3.000% 3/21/18 SEK 65,000 10,335
Stadshypotek AB 1.000% 6/19/18 EUR 5,000 6,775
Stadshypotek AB 3.000% 12/19/18 SEK 50,000 7,846
Sveriges Sakerstallda Obligationer AB 3.375% 4/20/16 EUR 3,000 4,303
Sveriges Sakerstallda Obligationer AB 3.250% 3/30/17 EUR 1,200 1,750
Swedbank Hypotek AB 3.750% 3/18/15 SEK 60,000 9,447
Swedbank Hypotek AB 2.500% 6/15/15 EUR 2,000 2,776
Swedbank Hypotek AB 3.750% 6/15/16 SEK 75,000 12,110
Swedbank Hypotek AB 3.750% 3/15/17 SEK 75,000 12,194
Swedbank Hypotek AB 3.750% 12/20/17 SEK 40,000 6,533
Swedbank Hypotek AB 1.125% 5/7/20 EUR 5,000 6,666
          161,622
Corporate Bonds (0.3%)          
Atlas Copco AB 2.500% 2/28/23 EUR 1,500 2,048
Investor AB 4.000% 3/14/16 EUR 1,000 1,443
Investor AB 4.500% 5/12/23 EUR 2,000 3,164
Nordea Bank AB 3.875% 12/15/15 GBP 300 516
Nordea Bank AB 3.625% 2/11/16 EUR 5,000 7,140
Nordea Bank AB 3.750% 2/24/17 EUR 2,000 2,926
Nordea Bank AB 4.500% 3/26/20 EUR 2,000 2,997
Nordea Bank AB 4.000% 6/29/20 EUR 3,743 5,708
2 Nordea Bank AB 4.625% 2/15/22 EUR 500 727
Skandinaviska Enskilda Banken AB 1.875% 11/14/19 EUR 2,620 3,563
2 Skandinaviska Enskilda Banken AB 4.000% 9/12/22 EUR 3,500 5,050
Svenska Cellulosa AB 2.500% 6/9/23 EUR 700 944
Svenska Handelsbanken AB 1.500% 7/6/15 EUR 2,000 2,737
Svenska Handelsbanken AB 3.750% 2/24/17 EUR 2,500 3,655
Svenska Handelsbanken AB 2.250% 6/14/18 EUR 2,500 3,512
Svenska Handelsbanken AB 4.000% 1/18/19 GBP 1,000 1,750
Svenska Handelsbanken AB 2.250% 8/27/20 EUR 5,000 6,885
Svenska Handelsbanken AB 4.375% 10/20/21 EUR 180 282
Swedbank AB 1.750% 6/18/15 EUR 3,500 4,798
Swedbank AB 2.375% 4/4/16 EUR 2,000 2,790
Swedish Match AB 3.875% 11/24/17 EUR 500 736
Telefonaktiebolaget LM Ericsson 5.375% 6/27/17 EUR 1,000 1,537

 

 

TeliaSonera AB 4.750% 11/16/21 EUR 3,000 4,829
TeliaSonera AB 3.875% 10/1/25 EUR 2,000 2,989
Volvo Treasury AB 5.000% 5/31/17 EUR 600 905
          73,631
Sovereign Bonds (U.S. Dollar-Denominated) (0.6%)          
Kingdom of Sweden 4.500% 8/12/15 SEK 21,400 3,453
Kingdom of Sweden 3.000% 7/12/16 SEK 50,000 8,021
Kingdom of Sweden 3.750% 8/12/17 SEK 70,000 11,625
4 Kingdom of Sweden 0.875% 1/31/18 EUR 3,000 4,099
Kingdom of Sweden 4.250% 3/12/19 SEK 147,000 25,435
Kingdom of Sweden 5.000% 12/1/20 SEK 25,000 4,587
Kingdom of Sweden 3.500% 6/1/22 SEK 15,000 2,544
Kingdom of Sweden 1.500% 11/13/23 SEK 128,900 18,471
Kingdom of Sweden 2.250% 6/1/32 SEK 20,000 2,848
Kingdom of Sweden 3.500% 3/30/39 SEK 35,000 5,918
Kommuninvest I Sverige AB 2.750% 8/12/15 SEK 20,000 3,120
Kommuninvest I Sverige AB 4.000% 8/12/17 SEK 35,000 5,736
SBAB Bank AB 1.375% 5/2/18 EUR 3,600 4,855
Svensk Exportkredit AB 1.125% 12/15/16 GBP 500 819
Svensk Exportkredit AB 1.125% 11/20/18 EUR 5,000 6,773
Vattenfall AB 6.750% 1/31/19 EUR 1,000 1,679
Vattenfall AB 6.125% 12/16/19 GBP 1,000 1,941
Vattenfall AB 6.250% 3/17/21 EUR 2,000 3,443
Vattenfall AB 6.875% 4/15/39 GBP 500 1,111
2 Vattenfall AB 5.250% 6/29/49 EUR 1,000 1,396
          117,874
Total Sweden (Cost $349,969)         353,127
Switzerland (1.5%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.4%)        
Credit Suisse AG 2.625% 12/1/15 EUR 5,000 7,019
Credit Suisse AG 2.875% 10/18/18 EUR 500 733
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 4/10/15 CHF 5,000 5,681
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.875% 9/28/15 CHF 1,000 1,137
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 3.000% 6/27/17 CHF 1,000 1,208
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.375% 1/27/21 CHF 5,000 6,050
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.000% 8/13/21 CHF 14,000 15,390
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.875% 2/14/22 CHF 3,000 3,743
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 1.625% 3/15/22 CHF 2,000 2,268
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 3/30/26 CHF 1,000 1,209
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.750% 12/15/26 CHF 3,000 3,715
Pfandbriefbank der schweizerischen          
Hypothekarinstitute AG 2.500% 2/16/27 CHF 2,000 2,424
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 2.625% 3/15/15 CHF 3,000 3,407
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 2.500% 6/30/15 CHF 1,380 1,574

 

 

Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.750% 4/12/17 CHF 1,000 1,156
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 3.500% 6/21/18 CHF 500 624
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 0.875% 12/3/18 CHF 800 897
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 0.875% 4/16/21 CHF 2,000 2,193
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.250% 2/3/22 CHF 4,000 4,453
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.000% 9/9/22 CHF 8,500 9,226
Pfandbriefzentrale der Schweizerischen          
Kantonalbanken AG 1.375% 11/5/27 CHF 3,000 3,171
UBS AG 2.250% 1/10/17 EUR 6,000 8,483
          85,761
Corporate Bonds (0.4%)          
ABB Finance BV 2.625% 3/26/19 EUR 1,000 1,427
2 Aquarius and Investments plc for Zurich          
Insurance Co. Ltd. 4.250% 10/2/43 EUR 1,310 1,835
2 Cloverie plc for Swiss Reinsurance Co. Ltd. 6.625% 9/1/42 EUR 1,000 1,666
Coca-Cola HBC Finance BV 2.375% 6/18/20 EUR 500 686
Credit Suisse AG 2.125% 2/5/15 CHF 4,000 4,497
Credit Suisse AG 2.875% 9/24/15 EUR 7,500 10,480
Credit Suisse AG 4.750% 8/5/19 EUR 1,000 1,564
Flughafen Zuerich AG 1.500% 4/17/23 CHF 3,000 3,316
Glencore Finance Europe SA 4.625% 4/3/18 EUR 2,500 3,717
Glencore Finance Europe SA 2.625% 12/3/18 CHF 1,000 1,149
Holcim GB Finance Ltd. 8.750% 4/24/17 GBP 550 1,084
Holcim Ltd. 3.000% 11/22/22 CHF 3,000 3,584
Holcim Overseas Finance Ltd. 3.375% 6/10/21 CHF 2,000 2,464
Nestle Finance International Ltd. 0.750% 10/17/16 EUR 2,000 2,724
Nestle Finance International Ltd. 1.750% 9/12/22 EUR 1,100 1,468
Nestle Finance International Ltd. 2.250% 11/30/23 GBP 600 915
Roche Finance Europe BV 2.000% 6/25/18 EUR 1,000 1,411
Roche Finance Europe BV 5.375% 8/29/23 GBP 1,000 1,939
Roche Kapitalmarkt AG 4.500% 3/23/17 CHF 5,000 6,239
Swiss Reinsurance Co. Ltd. 2.125% 9/22/17 CHF 2,000 2,345
2 Swiss Reinsurance Co. via ELM BV 6.302% 3/29/49 GBP 500 894
2 Swiss Reinsurance Co. via ELM BV 5.252% 5/29/49 EUR 250 352
Syngenta Finance NV 4.125% 4/22/15 EUR 2,000 2,814
UBS AG 3.500% 7/15/15 EUR 470 660
UBS AG 3.125% 1/18/16 EUR 5,000 7,069
UBS AG 6.375% 7/20/16 GBP 400 734
UBS AG 6.625% 4/11/18 GBP 1,250 2,417
2 UBS AG 5.250% 6/21/21 GBP 450 789
Willow No.2 Ireland PLC for Zurich Insurance          
Co. Ltd. 3.375% 6/27/22 EUR 1,000 1,463
Xstrata Canada Financial Corp. 6.250% 5/27/15 EUR 4,000 5,763
Xstrata Canada Financial Corp. 7.375% 5/27/20 GBP 850 1,670
Xstrata Finance Dubai Ltd. 2.625% 11/19/18 EUR 2,500 3,446
2 Zurich Insurance Co. Ltd. 4.625% 5/29/49 CHF 3,000 3,486
          86,067
Sovereign Bonds (U.S. Dollar-Denominated) (0.7%)          
Canton of Zurich 2.375% 2/3/16 CHF 1,000 1,154
Canton of Zurich 0.500% 12/3/20 CHF 2,595 2,834

 

 

Swiss Confederation 3.750% 6/10/15 CHF 10,831 12,583
Swiss Confederation 2.500% 3/12/16 CHF 21,000 24,463
Swiss Confederation 2.000% 10/12/16 CHF 2,100 2,448
Swiss Confederation 4.250% 6/5/17 CHF 17,000 21,443
Swiss Confederation 3.000% 1/8/18 CHF 15,100 18,606
Swiss Confederation 3.000% 5/12/19 CHF 1,000 1,266
Swiss Confederation 2.000% 4/28/21 CHF 6,000 7,298
Swiss Confederation 2.000% 5/25/22 CHF 1,000 1,216
Swiss Confederation 1.250% 6/11/24 CHF 3,000 3,389
Swiss Confederation 3.250% 6/27/27 CHF 8,000 10,988
Swiss Confederation 2.250% 6/22/31 CHF 4,500 5,571
Swiss Confederation 3.500% 4/8/33 CHF 1,600 2,350
Swiss Confederation 1.250% 6/27/37 CHF 5,000 5,219
Swiss Confederation 1.500% 4/30/42 CHF 9,200 10,060
Swisscom AG 2.625% 8/31/22 CHF 1,000 1,205
Swisscom AG 1.750% 7/10/24 CHF 2,000 2,251
Zuercher Kantonalbank 2.125% 2/5/18 CHF 3,500 4,138
          138,482
Total Switzerland (Cost $299,671)         310,310
Thailand (0.5%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.5%)          
Kingdom of Thailand 3.625% 5/22/15 THB 800,000 24,634
Kingdom of Thailand 3.250% 6/16/17 THB 500,000 15,340
Kingdom of Thailand 3.875% 6/13/19 THB 850,000 26,440
Kingdom of Thailand 3.625% 6/16/23 THB 400,000 11,799
Kingdom of Thailand 3.580% 12/17/27 THB 277,000 7,847
Kingdom of Thailand 3.775% 6/25/32 THB 100,000 2,791
Kingdom of Thailand 3.800% 6/14/41 THB 150,000 4,020
Total Thailand (Cost $101,423)         92,871
Turkey (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
Republic of Turkey 5.000% 3/1/16 EUR 1,000 1,419
Republic of Turkey 5.125% 5/18/20 EUR 3,000 4,199
Republic of Turkey 4.350% 11/12/21 EUR 2,100 2,780
Total Turkey (Cost $8,488)         8,398
United Arab Emirates (0.0%)          
Sovereign Bonds (U.S. Dollar-Denominated) (0.0%)          
IPIC GMTN Ltd. (Cost $1,202) 6.875% 3/14/26 GBP 640 1,288
United Kingdom (8.1%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%)        
2 Abbey National Treasury Services plc 3.375% 6/8/16 EUR 1,900 2,663
Abbey National Treasury Services plc 3.625% 9/8/16 EUR 11,100 16,145
Abbey National Treasury Services plc 4.375% 1/24/18 EUR 1,000 1,531
2 Abbey National Treasury Services plc 5.750% 3/2/27 GBP 3,855 7,660
2 Abbey National Treasury Services plc 5.250% 2/16/30 GBP 758 1,439
Annington Finance No 4 plc 0.000% 12/7/22 GBP 3,740 4,572
Annington Finance No 4 plc 0.000% 1/10/23 GBP 1,000 1,174
Annington Repackaging No 1 Ltd. 5.324% 1/10/23 GBP 400 731
Arqiva Financing plc 4.882% 12/31/32 GBP 1,200 2,015
Artesian Finance II plc 6.000% 9/30/33 GBP 1,000 1,935
Aspire Defence Finance plc 4.674% 3/31/40 GBP 1,000 1,684
Aspire Defence Finance plc 4.674% 3/31/40 GBP 800 1,328
Bank of Scotland plc 4.875% 6/4/19 EUR 1,000 1,603
Bank of Scotland plc 4.500% 7/13/21 EUR 1,160 1,870

 

 

  Bank of Scotland plc 4.750% 6/8/22 EUR 1,840 3,036
  Bank of Scotland plc 4.875% 12/20/24 GBP 1,000 1,846
  Barclays Bank plc 3.625% 4/13/16 EUR 5,000 7,208
2 Barclays Bank plc 2.250% 2/22/18 EUR 5,000 7,073
  Barclays Bank plc 4.000% 1/12/21 EUR 500 784
  Barclays Bank plc 4.250% 1/12/22 GBP 1,000 1,773
  Bradford & Bingley plc 4.250% 5/4/16 EUR 2,000 2,915
2 Broadgate Financing plc 4.999% 10/5/33 GBP 1,000 1,814
2 Canary Wharf Finance II plc 6.455% 10/22/33 GBP 909 1,835
  Clydesdale Bank plc 4.625% 6/8/26 GBP 1,000 1,765
13 CTRL Section 1 Finance plc 5.234% 5/2/35 GBP 1,000 1,897
  Delamare Finance plc 5.546% 2/19/29 GBP 900 1,628
  Derby Healthcare plc 5.564% 6/30/41 GBP 349 644
  Dwr Cymru Financing Ltd. 6.907% 3/31/21 GBP 567 1,139
2 Fosse Master Issuer plc 4.635% 10/18/54 GBP 1,350 2,394
  Great Rolling Stock Co. PLC 6.875% 7/27/35 GBP 960 1,932
  Greene King Finance plc 5.318% 9/15/31 GBP 1,161 2,138
  Highbury Finance BV 7.017% 3/20/23 GBP 768 1,500
  Integrated Accommodation Services plc 6.480% 3/31/29 GBP 161 324
  Juturna European Loan Conduit No 16 plc 5.064% 8/10/33 GBP 949 1,731
  Leeds Building Society 4.250% 12/17/18 GBP 1,000 1,802
  Lloyds Bank plc 4.125% 4/6/16 EUR 7,500 10,907
  Lloyds Bank plc 3.500% 1/11/17 EUR 7,500 10,964
  Lloyds Bank plc 4.000% 6/25/18 EUR 500 763
  Lloyds Bank plc 5.125% 3/7/25 GBP 500 942
  Lloyds Bank plc 4.875% 3/30/27 GBP 3,081 5,666
2 Longstone Finance plc 4.791% 4/19/36 GBP 1,018 1,846
  Mitchells & Butlers Finance plc 5.574% 12/15/30 GBP 525 979
  Nationwide Building Society 3.125% 10/13/16 EUR 5,500 7,935
  Nationwide Building Society 4.625% 2/8/21 EUR 1,000 1,628
  Nationwide Building Society 4.375% 2/28/22 EUR 2,000 3,237
  Nationwide Building Society 5.625% 1/28/26 GBP 1,500 2,960
  Nats En Route plc 5.250% 3/31/26 GBP 226 416
2 Northern Rock Asset Management plc 4.125% 3/27/18 EUR 3,000 4,463
2 Octagon Healthcare Funding plc 5.333% 12/31/35 GBP 903 1,625
  RMPA Services plc 5.337% 9/30/38 GBP 311 562
  Royal Bank of Scotland plc 4.125% 1/15/18 EUR 1,500 2,282
2 Royal Bank of Scotland plc 3.875% 10/19/20 EUR 4,000 6,194
  Royal Bank of Scotland plc 5.125% 1/13/24 GBP 500 939
  RSL Finance No 1 plc 6.625% 3/31/38 GBP 678 1,401
  Sceptre Funding No. 1 PLC 5.253% 2/9/27 GBP 124 233
  South East Water Finance Ltd. 5.658% 9/30/19 GBP 400 731
2 Telereal Securitisation plc 5.389% 12/10/33 GBP 1,597 2,985
  Tesco Property Finance 2 plc 6.052% 10/13/39 GBP 473 892
  Tesco Property Finance 3 plc 5.744% 4/13/40 GBP 3,759 6,728
  Yorkshire Building Society 4.750% 4/12/18 GBP 1,300 2,339
            173,145
Corporate Bonds (2.3%)          
  Abbey National Treasury Services plc 1.750% 1/15/18 EUR 2,000 2,718
  Affinity Sutton Capital Markets plc 5.981% 9/17/38 GBP 300 624
2 Amlin plc 6.500% 12/19/26 GBP 350 595
  Anglian Water Services Financing plc 5.250% 10/30/15 GBP 1,100 1,926
  Anglian Water Services Financing plc 6.250% 6/27/16 EUR 2,000 3,047
  Anglo American Capital plc 1.750% 11/20/17 EUR 5,000 6,757
  Anglo American Capital plc 2.500% 4/29/21 EUR 2,400 3,147
  Aviva plc 9.500% 6/20/16 GBP 150 291
2 Aviva plc 6.875% 5/22/38 EUR 2,030 3,128

 

 

2 Aviva plc 6.875% 5/20/58 GBP 2,327 4,329
AWG Parent Co. Ltd. 6.625% 1/15/29 GBP 615 1,280
Bank of Scotland plc 9.375% 5/15/21 GBP 1,620 3,410
Barclays Bank plc 4.125% 3/15/16 EUR 1,000 1,442
Barclays Bank plc 2.500% 3/29/16 CHF 1,500 1,726
Barclays Bank plc 4.000% 1/20/17 EUR 5,000 7,320
Barclays Bank plc 6.000% 1/14/21 EUR 2,500 3,880
Barclays Bank plc 10.000% 5/21/21 GBP 2,533 5,474
2 Barclays Bank plc 6.750% 1/16/23 GBP 350 639
Barclays Bank plc 5.750% 9/14/26 GBP 1,300 2,329
BAT International Finance plc 5.375% 6/29/17 EUR 3,000 4,633
BAT International Finance plc 2.750% 3/25/25 EUR 2,500 3,380
BAT International Finance plc 4.000% 9/4/26 GBP 1,500 2,495
BG Energy Capital plc 3.625% 7/16/19 EUR 1,000 1,486
BG Energy Capital plc 5.125% 12/1/25 GBP 3,000 5,430
2 BG Energy Capital plc 6.500% 11/30/72 GBP 300 531
2 BG Energy Capital plc 6.500% 11/30/72 EUR 500 744
BP Capital Markets plc 2.177% 2/16/16 EUR 7,500 10,418
BP Capital Markets plc 2.994% 2/18/19 EUR 650 939
BP Capital Markets plc 4.154% 6/1/20 EUR 1,600 2,456
BP Capital Markets plc 3.497% 11/9/20 CAD 750 685
British American Tobacco Holdings The          
Netherlands BV 5.500% 9/15/16 GBP 600 1,086
British Telecommunications plc 6.500% 7/7/15 EUR 3,500 5,108
British Telecommunications plc 8.500% 12/7/16 GBP 380 737
British Telecommunications plc 5.750% 12/7/28 GBP 1,390 2,591
British Telecommunications plc 6.375% 6/23/37 GBP 1,500 3,009
BSKYB Finance UK plc 5.750% 10/20/17 GBP 200 371
BUPA Finance plc 7.500% 7/4/16 GBP 730 1,361
Centrica plc 5.500% 10/24/16 GBP 650 1,175
Centrica plc 7.000% 9/19/18 GBP 1,000 1,966
Centrica plc 4.375% 3/13/29 GBP 3,000 4,948
Centrica plc 7.000% 9/19/33 GBP 1,000 2,156
Centrica plc 4.250% 9/12/44 GBP 750 1,143
Circle Anglia Social Housing plc 7.250% 11/12/38 GBP 650 1,548
Close Brothers Group plc 6.500% 2/10/17 GBP 300 534
Community Finance Co. 1 plc 5.017% 7/31/34 GBP 400 741
Compass Group plc 3.125% 2/13/19 EUR 1,000 1,449
Coventry Building Society 2.500% 11/18/20 EUR 1,500 2,032
2 CPUK Finance Ltd. 7.239% 2/28/42 GBP 1,000 2,016
Crh Finance UK plc 8.250% 4/24/15 GBP 200 354
Dwr Cymru Financing Ltd. 6.015% 3/31/28 GBP 500 986
Eastern Power Networks plc 4.750% 9/30/21 GBP 1,000 1,789
Eastern Power Networks plc 8.500% 3/31/25 GBP 1,000 2,281
EE Finance plc 4.375% 3/28/19 GBP 1,000 1,717
Elsevier Finance SA Via ELM BV 2.500% 9/24/20 EUR 1,000 1,388
ENW Capital Finance plc 6.750% 6/20/15 GBP 200 351
Eversholt Funding plc 5.831% 12/2/20 GBP 800 1,502
Eversholt Funding plc 6.359% 12/2/25 GBP 500 982
Eversholt Funding plc 6.697% 2/22/35 GBP 1,000 2,008
Experian Finance plc 4.750% 11/23/18 GBP 700 1,267
Experian Finance plc 4.750% 2/4/20 EUR 2,000 3,111
FCE Bank plc 5.125% 11/16/15 GBP 100 174
FCE Bank plc 1.875% 5/12/16 EUR 1,650 2,265
FCE Bank plc 4.825% 2/15/17 GBP 650 1,152
FCE Bank plc 1.750% 5/21/18 EUR 1,060 1,439
Firstgroup plc 5.250% 11/29/22 GBP 2,000 3,439

 

 

2 Friends Life Group plc 6.292% 6/29/49 GBP 600 973
G4S International Finance plc 2.875% 5/2/17 EUR 2,000 2,791
2 Gatwick Funding Ltd. 5.250% 1/23/26 GBP 1,000 1,804
GlaxoSmithKline Capital plc 3.875% 7/6/15 EUR 5,000 7,062
GlaxoSmithKline Capital plc 3.375% 12/20/27 GBP 3,000 4,613
GlaxoSmithKline Capital plc 6.375% 3/9/39 GBP 845 1,818
Go-Ahead Group plc 5.375% 9/29/17 GBP 450 807
Great Rolling Stock Co. plc 6.250% 7/27/20 GBP 1,200 2,285
Hammerson plc 7.250% 4/21/28 GBP 1,000 2,131
Heathrow Funding Ltd. 3.000% 6/8/15 GBP 400 672
Heathrow Funding Ltd. 12.450% 3/31/16 GBP 650 1,304
Heathrow Funding Ltd. 4.125% 10/12/16 EUR 2,200 3,198
2 Heathrow Funding Ltd. 4.375% 1/25/19 EUR 2,000 2,937
Heathrow Funding Ltd. 7.125% 2/14/24 GBP 2,620 5,153
Heathrow Funding Ltd. 6.450% 12/10/31 GBP 500 1,014
2 HSBC Bank Capital Funding Sterling 1 LP 5.844% 11/29/49 GBP 250 423
HSBC Bank plc 3.750% 11/30/16 EUR 1,500 2,191
HSBC Bank plc 3.125% 11/15/17 EUR 3,000 4,346
HSBC Bank plc 2.375% 4/4/18 CHF 1,000 1,182
HSBC Bank plc 4.000% 1/15/21 EUR 4,500 6,937
2 HSBC Bank plc 5.000% 3/20/23 GBP 1,680 2,929
HSBC Bank plc 6.250% 1/30/41 GBP 66 128
2 HSBC Capital Funding LP 5.130% 3/29/49 EUR 1,000 1,419
2 HSBC Capital Funding LP 8.208% 6/29/49 GBP 250 437
HSBC Holdings plc 3.875% 3/16/16 EUR 3,000 4,308
HSBC Holdings plc 6.000% 6/10/19 EUR 2,000 3,155
2 HSBC Holdings plc 6.375% 10/18/22 GBP 3,750 6,846
HSBC Holdings plc 6.750% 9/11/28 GBP 1,750 3,458
HSBC Holdings plc 6.000% 3/29/40 GBP 2,250 4,145
Hyde Housing Association Ltd. 5.125% 7/23/40 GBP 275 508
Imperial Tobacco Finance plc 5.500% 11/22/16 GBP 250 452
Imperial Tobacco Finance plc 4.500% 7/5/18 EUR 2,000 3,032
Imperial Tobacco Finance plc 9.000% 2/17/22 GBP 2,500 5,527
InterContinental Hotels Group plc 6.000% 12/9/16 GBP 400 730
InterContinental Hotels Group plc 3.875% 11/28/22 GBP 1,500 2,473
2 Intu SGS Finance plc 3.875% 3/17/28 GBP 1,100 1,783
2 Land Securities Capital Markets plc 4.875% 11/7/19 GBP 550 1,004
2 Land Securities Capital Markets plc 4.875% 9/29/25 GBP 300 549
2 Land Securities Capital Markets plc 5.391% 3/31/27 GBP 614 1,170
2 Land Securities Capital Markets plc 5.396% 7/31/32 GBP 400 765
2 Legal & General Group plc 6.385% 5/29/49 GBP 3,450 6,018
Linde Finance BV 6.500% 1/29/16 GBP 250 452
2 Liverpool Victoria Friendly Society Ltd. 6.500% 5/22/43 GBP 600 954
Lloyds Bank plc 2.500% 3/23/15 CHF 1,500 1,696
Lloyds Bank plc 6.625% 3/30/15 GBP 480 827
Lloyds Bank plc 4.625% 2/2/17 EUR 4,500 6,701
Lloyds Bank plc 6.500% 3/24/20 EUR 2,000 3,172
2 Lloyds Bank plc 6.963% 5/29/20 GBP 561 961
2 Lloyds Bank plc 10.125% 12/16/21 CAD 2,406 2,538
2 Lloyds Bank plc 10.750% 12/16/21 GBP 900 1,772
2 Lloyds Bank plc 5.750% 7/9/25 GBP 300 524
Lloyds Bank plc 6.500% 9/17/40 GBP 1,250 2,598
London & Quadrant Housing Trust 4.625% 12/5/33 GBP 500 877
London & Quadrant Housing Trust 5.500% 1/27/40 GBP 400 786
London Power Networks plc 5.375% 11/11/16 GBP 700 1,264
London Stock Exchange Group plc 6.125% 7/7/16 GBP 400 717
Marks & Spencer plc 4.750% 6/12/25 GBP 1,500 2,486

 

 

Mondi Finance plc 5.750% 4/3/17 EUR 1,000 1,520
Motability Operations Group plc 5.250% 9/28/16 GBP 100 179
Motability Operations Group plc 6.625% 12/10/19 GBP 1,000 1,981
Motability Operations Group plc 4.375% 2/8/27 GBP 2,000 3,389
National Express Group plc 6.250% 1/13/17 GBP 130 235
National Grid Electricity Transmission plc 6.500% 7/27/28 GBP 1,694 3,484
National Grid Gas plc 6.000% 6/7/17 GBP 500 932
National Grid Gas plc 6.375% 3/3/20 GBP 500 974
National Grid plc 4.375% 3/10/20 EUR 1,000 1,551
Nationwide Building Society 6.750% 7/22/20 EUR 500 796
2 Nationwide Building Society 4.125% 3/20/23 EUR 2,600 3,629
Nationwide Building Society 7.971% 9/29/49 GBP 350 595
Next plc 5.875% 10/12/16 GBP 650 1,183
2 NGG Finance plc 5.625% 6/18/73 GBP 500 824
2 NGG Finance plc 4.250% 6/18/76 EUR 1,000 1,358
Northern Gas Networks Finance plc 5.875% 7/8/19 GBP 750 1,414
Northern Gas Networks Finance plc 4.875% 6/30/27 GBP 300 523
Northern Powergrid Holdings Co. 7.250% 12/15/22 GBP 250 500
Northern Powergrid Yorkshire plc 5.125% 5/4/35 GBP 354 628
Northumbrian Water Finance plc 6.000% 10/11/17 GBP 700 1,311
Northumbrian Water Finance plc 5.125% 1/23/42 GBP 350 627
Notting Hill Housing Trust 3.750% 12/20/32 GBP 2,200 3,441
Pearson Funding One plc 6.000% 12/15/15 GBP 800 1,422
Phoenix Natural Gas Finance plc 5.500% 7/10/17 GBP 350 633
Porterbrook Rail Finance Ltd. 6.500% 10/20/20 GBP 1,000 1,938
Prudential plc 1.250% 11/16/15 GBP 600 985
Prudential plc 6.125% 12/19/31 GBP 1,000 1,873
2 Prudential plc 5.700% 12/19/63 GBP 1,000 1,672
Reed Elsevier Investments plc 5.625% 10/20/16 GBP 100 181
Reed Elsevier Investments plc 7.000% 12/11/17 GBP 600 1,160
Rentokil Initial plc 5.750% 3/31/16 GBP 550 977
Rentokil Initial plc 3.375% 9/24/19 EUR 1,000 1,422
2 RL Finance Bonds plc 6.125% 12/29/49 GBP 1,200 1,989
Rolls-Royce plc 7.375% 6/14/16 GBP 450 840
Rolls-Royce plc 2.125% 6/18/21 EUR 500 680
Rolls-Royce plc 3.375% 6/18/26 GBP 2,000 3,152
Royal Bank of Scotland plc 9.625% 6/22/15 GBP 650 1,170
Royal Bank of Scotland plc 4.750% 5/18/16 EUR 6,000 8,789
Royal Bank of Scotland plc 4.875% 1/20/17 EUR 1,000 1,489
Royal Bank of Scotland plc 6.000% 5/17/17 GBP 50 92
Royal Bank of Scotland plc 6.934% 4/9/18 EUR 3,500 5,357
Royal Bank of Scotland plc 6.625% 9/17/18 GBP 800 1,546
Royal Bank of Scotland plc 6.875% 5/17/25 GBP 2,376 4,876
2 RSA Insurance Group plc 9.375% 5/20/39 GBP 3,000 5,960
2 RSA Insurance Group plc 6.701% 5/29/49 GBP 90 153
Safeway Ltd. 6.000% 1/10/17 GBP 425 772
Sanctuary Capital plc 5.000% 4/26/47 GBP 190 352
Saxon Weald Capital plc 5.375% 6/6/42 GBP 296 535
Scotland Gas Networks plc 4.750% 2/21/17 GBP 450 797
Scotland Gas Networks plc 4.875% 12/21/34 GBP 1,000 1,730
Scottish Power UK plc 8.375% 2/20/17 GBP 550 1,064
Scottish Widows plc 5.500% 6/16/23 GBP 2,500 4,216
2 Scottish Widows plc 5.125% 9/29/49 GBP 270 443
Severn Trent Utilities Finance plc 6.000% 1/22/18 GBP 1,650 3,081
Severn Trent Utilities Finance plc 3.625% 1/16/26 GBP 2,500 3,985
2 Society of Lloyd's 7.421% 6/21/49 GBP 300 534
South Eastern Power Networks plc 5.625% 9/30/30 GBP 2,350 4,438

 

 

  Southern Electric Power Distribution plc 5.500% 6/7/32 GBP 206 388
  Southern Water Services Finance Ltd. 5.000% 3/31/21 GBP 1,000 1,791
2 Southern Water Services Finance Ltd. 4.500% 3/31/38 GBP 1,000 1,648
  SPD Finance UK plc 5.875% 7/17/26 GBP 1,000 1,885
  SSE plc 5.000% 10/1/18 GBP 1,000 1,837
  SSE plc 2.000% 6/17/20 EUR 7,200 9,807
2 SSE plc 5.453% 9/29/49 GBP 980 1,663
2 SSE plc 5.025% 10/29/49 EUR 1,000 1,391
  Stagecoach Group plc 5.750% 12/16/16 GBP 100 181
  Standard Chartered Bank 7.750% 4/3/18 GBP 250 481
2 Standard Chartered Bank 8.103% 5/29/49 GBP 200 359
2 Standard Chartered Bank 5.375% 6/29/49 GBP 1,000 1,664
  Standard Chartered plc 1.750% 10/29/17 EUR 5,000 6,857
  Standard Chartered plc 3.625% 11/23/22 EUR 1,500 2,013
  Standard Chartered plc 4.375% 1/18/38 GBP 1,080 1,695
2 Standard Life plc 5.500% 12/4/42 GBP 1,500 2,587
  Tesco plc 6.125% 2/24/22 GBP 2,000 3,768
  Tesco plc 5.000% 3/24/23 GBP 1,000 1,734
  Tesco plc 5.200% 3/5/57 GBP 1,000 1,654
2 Thames Water Utilities Cayman Finance Ltd. 5.375% 7/21/25 GBP 1,030 1,832
  Thames Water Utilities Cayman Finance Ltd. 4.375% 7/3/34 GBP 945 1,529
  Thames Water Utilities Cayman Finance Ltd. 5.500% 2/11/41 GBP 1,175 2,193
  Thames Water Utilities Cayman Finance Ltd. 7.241% 4/9/58 GBP 750 1,439
  THFC Funding No 3 plc 5.200% 10/11/43 GBP 1,000 1,847
  UBM plc 6.500% 11/23/16 GBP 400 729
2 UNITE USAF II plc 3.374% 6/30/28 GBP 500 792
  United Utilities Water plc 6.125% 12/29/15 GBP 420 750
  United Utilities Water plc 4.250% 1/24/20 EUR 3,000 4,546
  United Utilities Water plc 5.750% 3/25/22 GBP 2,250 4,280
  United Utilities Water plc 5.625% 12/20/27 GBP 500 945
  Urenco Finance NV 4.000% 5/5/17 EUR 700 1,021
  Vodafone Group plc 6.250% 1/15/16 EUR 4,000 5,969
  Vodafone Group plc 5.375% 12/5/17 GBP 2,150 3,954
  Vodafone Group plc 5.900% 11/26/32 GBP 1,000 1,911
  Wales & West Utilities Finance plc 5.125% 12/2/16 GBP 150 269
  Wales & West Utilities Finance plc 6.250% 11/30/21 GBP 1,000 1,960
  Western Power Distribution East Midlands plc 5.250% 1/17/23 GBP 2,500 4,546
  Western Power Distribution South Wales plc 5.750% 3/23/40 GBP 450 862
  Western Power Distribution South West plc 5.750% 3/23/40 GBP 200 383
  WM Morrison Supermarkets plc 2.250% 6/19/20 EUR 300 398
  WPP Finance SA 6.375% 11/6/20 GBP 3,000 5,850
  WPP plc 6.625% 5/12/16 EUR 1,000 1,522
  WPP plc 6.000% 4/4/17 GBP 50 92
2 Yorkshire Water Services Bradford Finance          
  Ltd. 6.000% 4/24/25 GBP 180 324
  Yorkshire Water Services Bradford Finance          
  Ltd. 3.625% 8/1/29 GBP 500 769
            475,729
Sovereign Bonds (U.S. Dollar-Denominated) (5.0%)          
  Barclays Bank plc 1.500% 4/4/17 GBP 1,000 1,652
13 LCR Finance plc 4.500% 12/7/28 GBP 2,000 3,655
13 LCR Finance plc 4.500% 12/7/38 GBP 1,100 2,032
13 LCR Finance plc 5.100% 3/7/51 GBP 200 428
13 Network Rail Infrastructure Finance plc 1.000% 12/7/17 GBP 3,200 5,176
13 Network Rail Infrastructure Finance plc 4.625% 7/21/20 GBP 200 372
13 Network Rail Infrastructure Finance plc 4.375% 12/9/30 GBP 2,500 4,519
13 Network Rail Infrastructure Finance plc 4.750% 11/29/35 GBP 200 378

 

 

Transport for London 2.250% 8/9/22 GBP 900 1,386
Transport for London 3.875% 7/23/42 GBP 400 635
Transport for London 3.625% 5/15/45 GBP 1,600 2,438
United Kingdom 4.750% 9/7/15 GBP 18,000 31,574
United Kingdom 2.000% 1/22/16 GBP 49,500 83,541
United Kingdom 4.000% 9/7/16 GBP 3,000 5,336
United Kingdom 1.750% 1/22/17 GBP 10,000 16,794
United Kingdom 1.000% 9/7/17 GBP 30,000 48,798
United Kingdom 5.000% 3/7/18 GBP 10,000 18,749
United Kingdom 1.250% 7/22/18 GBP 30,000 48,505
United Kingdom 4.500% 3/7/19 GBP 5,800 10,782
United Kingdom 4.750% 3/7/20 GBP 39,000 73,996
United Kingdom 3.750% 9/7/20 GBP 27,500 49,582
United Kingdom 3.750% 9/7/21 GBP 20,000 36,053
United Kingdom 4.000% 3/7/22 GBP 2,800 5,134
United Kingdom 1.750% 9/7/22 GBP 29,800 45,932
United Kingdom 2.250% 9/7/23 GBP 16,000 25,275
United Kingdom 5.000% 3/7/25 GBP 11,000 21,839
United Kingdom 4.250% 12/7/27 GBP 20,900 38,878
United Kingdom 4.750% 12/7/30 GBP 17,300 33,954
United Kingdom 4.250% 6/7/32 GBP 22,500 41,752
United Kingdom 4.500% 9/7/34 GBP 20,000 38,357
United Kingdom 4.250% 3/7/36 GBP 16,000 29,695
United Kingdom 4.750% 12/7/38 GBP 9,000 18,032
United Kingdom 4.250% 9/7/39 GBP 28,000 52,162
United Kingdom 4.250% 12/7/40 GBP 15,600 29,103
United Kingdom 4.500% 12/7/42 GBP 19,600 38,256
United Kingdom 3.250% 1/22/44 GBP 27,900 43,671
United Kingdom 4.250% 12/7/46 GBP 3,600 6,814
United Kingdom 4.250% 12/7/49 GBP 11,700 22,379
United Kingdom 3.750% 7/22/52 GBP 16,800 29,253
United Kingdom 4.250% 12/7/55 GBP 11,200 21,733
United Kingdom 4.000% 1/22/60 GBP 15,700 29,210
United Kingdom 3.500% 7/22/68 GBP 9,000 14,980
          1,032,790
Total United Kingdom (Cost $1,623,595)         1,681,664
United States (1.6%)          
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)        
BA Covered Bond Issuer 4.250% 4/5/17 EUR 2,000 2,968
Corporate Bonds (1.6%)          
American Express Canada Credit Corp. 2.310% 3/29/18 CAD 4,000 3,587
American International Group Inc. 6.765% 11/15/17 GBP 720 1,373
2 American International Group Inc. 4.875% 3/15/67 EUR 1,000 1,349
2 American International Group Inc. 5.750% 3/15/67 GBP 450 733
2 American International Group Inc. 8.625% 5/22/68 GBP 2,000 3,843
Amgen Inc. 2.125% 9/13/19 EUR 2,000 2,758
Amgen Inc. 4.000% 9/13/29 GBP 1,000 1,573
AT&T Inc. 6.125% 4/2/15 EUR 3,100 4,446
AT&T Inc. 5.875% 4/28/17 GBP 1,000 1,833
AT&T Inc. 2.500% 3/15/23 EUR 2,000 2,673
AT&T Inc. 3.550% 12/17/32 EUR 500 665
AT&T Inc. 4.250% 6/1/43 GBP 1,000 1,456
AT&T Inc. 4.875% 6/1/44 GBP 2,000 3,222
Bank of America Corp. 7.000% 6/15/16 EUR 2,500 3,836
Bank of America Corp. 5.250% 11/9/16 GBP 250 446
Bank of America Corp. 4.625% 2/7/17 EUR 500 724

 

 

Bank of America Corp. 4.750% 4/3/17 EUR 5,000 7,471
Bank of America Corp. 4.625% 8/7/17 EUR 1,450 2,174
Bank of America Corp. 2.500% 7/27/20 EUR 500 688
Bank of America Corp. 7.000% 7/31/28 GBP 2,350 5,046
Brookfield Infrastructure Finance Pty Ltd. 3.455% 10/10/17 CAD 5,000 4,607
Cargill Inc. 1.875% 9/4/19 EUR 600 818
Citigroup Inc. 5.500% 11/18/15 GBP 750 1,321
Citigroup Inc. 1.750% 1/29/18 EUR 1,000 1,370
Citigroup Inc. 5.125% 12/12/18 GBP 6,000 10,694
Citigroup Inc. 3.000% 3/21/19 CHF 1,000 1,193
Citigroup Inc. 5.000% 8/2/19 EUR 5,000 7,874
Citigroup Inc. 7.375% 9/4/19 EUR 1,000 1,743
Citigroup Inc. 2.400% 10/31/25 JPY 500,000 5,046
2 Citigroup Inc. 5.160% 5/24/27 CAD 1,000 911
Citigroup Inc. 4.500% 3/3/31 GBP 1,000 1,548
Citigroup Inc. 7.375% 9/1/39 GBP 400 941
Coca-Cola Enterprises Inc. 2.000% 12/5/19 EUR 1,000 1,357
Digital Stout Holding LLC 4.250% 1/17/25 GBP 2,000 3,168
DIRECTV Holdings LLC / DIRECTV Financing          
Co. Inc. 2.750% 5/19/23 EUR 1,600 2,093
Ford Credit Canada Ltd. 4.875% 2/8/17 CAD 4,000 3,858
GE Capital Canada Funding Co. 4.600% 1/26/22 CAD 6,500 6,387
GE Capital European Funding 2.000% 2/27/15 EUR 4,000 5,478
GE Capital European Funding 5.250% 5/18/15 EUR 6,000 8,569
GE Capital European Funding 1.625% 3/15/18 EUR 8,000 10,943
GE Capital European Funding 5.375% 1/23/20 EUR 2,300 3,718
GE Capital European Funding 6.025% 3/1/38 EUR 1,500 2,780
GE Capital UK Funding 2.250% 9/8/15 GBP 450 751
GE Capital UK Funding 4.625% 1/18/16 GBP 80 140
GE Capital UK Funding 4.125% 9/28/17 GBP 4,500 7,947
GE Capital UK Funding 4.375% 7/31/19 GBP 1,000 1,776
GE Capital UK Funding 4.125% 9/13/23 GBP 3,000 5,151
GE Capital UK Funding 6.250% 5/5/38 GBP 1,414 2,939
General Electric Capital Corp. 6.250% 12/15/17 GBP 100 190
General Electric Capital Corp. 2.500% 2/8/18 CHF 3,000 3,558
General Electric Capital Corp. 4.125% 9/19/35 EUR 1,700 2,420
General Electric Capital Corp. 4.875% 9/18/37 GBP 800 1,354
2 General Electric Capital Corp. 5.500% 9/15/66 GBP 1,400 2,390
2 General Electric Capital Corp. 5.500% 9/15/67 EUR 2,000 2,856
General Mills Inc. 2.100% 11/16/20 EUR 1,000 1,367
Goldman Sachs Group Inc. 5.250% 12/15/15 GBP 800 1,403
Goldman Sachs Group Inc. 4.500% 5/9/16 EUR 1,500 2,174
Goldman Sachs Group Inc. 4.500% 5/23/16 EUR 1,000 1,451
Goldman Sachs Group Inc. 4.375% 3/16/17 EUR 5,950 8,757
Goldman Sachs Group Inc. 6.125% 5/14/17 GBP 800 1,454
Goldman Sachs Group Inc. 5.500% 10/12/21 GBP 2,800 4,987
Goldman Sachs Group Inc. 3.250% 2/1/23 EUR 4,000 5,573
Goldman Sachs Group Inc. 7.250% 4/10/28 GBP 300 644
Health Care REIT Inc. 4.800% 11/20/28 GBP 500 828
HSBC Finance Corp. 4.500% 6/14/16 EUR 2,000 2,918
International Business Machines Corp. 1.375% 11/19/19 EUR 3,000 4,018
International Business Machines Corp. 2.750% 12/21/20 GBP 1,000 1,635
John Deere Bank SA 3.250% 6/22/16 EUR 300 428
JPMorgan Chase & Co. 3.750% 6/15/16 EUR 1,500 2,160
JPMorgan Chase & Co. 1.875% 11/21/19 EUR 5,622 7,624
JPMorgan Chase & Co. 3.875% 9/23/20 EUR 1,000 1,501
JPMorgan Chase & Co. 2.750% 2/1/23 EUR 2,000 2,771

 

 

JPMorgan Chase & Co. 2.875% 5/24/28 EUR 2,500 3,354
JPMorgan Chase Bank NA 5.375% 9/28/16 GBP 1,100 1,971
McDonald's Corp. 2.000% 6/1/23 EUR 1,500 1,963
Merrill Lynch & Co. Inc. 4.625% 9/14/18 EUR 1,500 2,206
Merrill Lynch & Co. Inc. 5.500% 11/22/21 GBP 800 1,447
MetLife Inc. 5.375% 12/9/24 GBP 350 657
Metropolitan Life Global Funding I 2.375% 1/11/23 EUR 500 670
Metropolitan Life Global Funding I 2.875% 1/11/23 GBP 2,000 3,154
Microsoft Corp. 2.125% 12/6/21 EUR 2,000 2,732
Microsoft Corp. 3.125% 12/6/28 EUR 1,200 1,669
Mondelez International Inc. 1.125% 1/26/17 EUR 1,200 1,622
Mondelez International Inc. 2.375% 1/26/21 EUR 1,200 1,634
Morgan Stanley 5.125% 11/30/15 GBP 1,100 1,922
Morgan Stanley 4.500% 2/23/16 EUR 4,000 5,769
Morgan Stanley 5.750% 2/14/17 GBP 50 91
Morgan Stanley 3.750% 9/21/17 EUR 2,000 2,917
Morgan Stanley 5.500% 10/2/17 EUR 1,000 1,542
Morgan Stanley 2.250% 3/12/18 EUR 5,000 6,929
National Grid North America Inc. 1.750% 2/20/18 EUR 1,400 1,920
Oracle Corp. 3.125% 7/10/25 EUR 1,000 1,405
Pfizer Inc. 4.750% 6/3/16 EUR 4,500 6,646
Pfizer Inc. 4.550% 5/15/17 EUR 1,820 2,747
Pfizer Inc. 6.500% 6/3/38 GBP 2,000 4,375
Philip Morris International Inc. 1.000% 12/6/16 CHF 2,000 2,253
Philip Morris International Inc. 2.125% 5/30/19 EUR 1,000 1,387
Philip Morris International Inc. 1.750% 3/19/20 EUR 2,500 3,363
Philip Morris International Inc. 3.125% 6/3/33 EUR 1,000 1,331
Procter & Gamble Co. 4.125% 12/7/20 EUR 2,150 3,366
Procter & Gamble Co. 2.000% 11/5/21 EUR 2,800 3,807
Procter & Gamble Co. 2.000% 8/16/22 EUR 3,080 4,147
Roche Holdings Inc. 5.500% 3/4/15 GBP 150 259
Roche Holdings Inc. 6.500% 3/4/21 EUR 3,595 6,350
Time Warner Cable Inc. 5.750% 6/2/31 GBP 700 1,039
Time Warner Cable Inc. 5.250% 7/15/42 GBP 800 1,064
United Parcel Service Inc. 5.125% 2/12/50 GBP 500 997
Wal-Mart Stores Inc. 0.940% 7/28/15 JPY 100,000 988
Wal-Mart Stores Inc. 4.875% 9/21/29 EUR 500 834
Wal-Mart Stores Inc. 5.625% 3/27/34 GBP 3,000 6,024
Wal-Mart Stores Inc. 4.875% 1/19/39 GBP 1,400 2,565
Wells Fargo & Co. 4.375% 8/1/16 EUR 5,000 7,332
Wells Fargo & Co. 2.250% 5/2/23 EUR 2,000 2,666
Wells Fargo & Co. 3.500% 9/12/29 GBP 1,330 2,064
Wells Fargo Bank NA 5.250% 8/1/23 GBP 1,650 2,966
          333,622
U.S. Government and Agency Obligations (0.0%)          
14 Tennessee Valley Authority 5.625% 6/7/32 GBP 1,400 2,809
Total United States (Cost $333,541)         339,399
Temporary Cash Investments (1.2%)          
Time Deposits (0.7%)          
Australian Dollar Time Deposits 2.148% 2/3/14 AUD 4,658 4,076
British Pound Sterling Time Deposits 0.076% 2/3/14 GBP 8,932 14,684
Canadian Dollar Time Deposits 0.433% 2/3/14 CAD 17,573 15,778
Danish Krone Time Deposits 0.000% 2/3/14 DKK 540 98
Euro Time Deposits 0.019% 2/3/14 EUR 53,099 71,616
Hong Kong Dollar Time Deposits 0.005% 2/4/14 HKD 5,058 652
Japanese Yen Time Deposits 0.005% 2/3/14 JPY 1,551,713 15,188

 

 

New Zealand Dollar Time Deposits 1.900% 2/3/14 NZD 11,548 9,337
Norwegian Krone Time Deposits 0.850% 2/3/14 NOK 29,776 4,743
Singapore Dollar Time Deposits 0.005% 2/3/14 SGD 1,383 1,083
South African Rand Time Deposits 4.451% 2/3/14 ZAR 21,710 1,954
Swedish Krona Time Deposits 0.150% 2/3/14 SEK 15,672 2,392
Switzerland Dollar Time Deposits 0.001% 2/3/14 CHF 1,966 2,168
United States Dollar Time Deposits 0.030% 2/3/14 USD 2,650 2,650
          146,419
        Shares  
Money Market Fund (0.5%)          
15 Vanguard Market Liquidity Fund 0.130%     105,494,957 105,495
Total Temporary Cash Investments (Cost $251,914)         251,914
Total Investments (98.4%) (Cost $20,130,387)         20,375,282
Other Assets and Liabilities-Net (1.6%)         322,040
Net Assets (100%)         20,697,322

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 January 31, 2014, the
aggregate value of these securities was $1,211,643,000, representing 5.9% 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 $12,414,000 have been segregated as collateral for open forward currency contracts.
5 Guaranteed by multiple countries.
6 Guaranteed by the Government of Canada.
7 Guaranteed by the Republic of France.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the Free State of Bavaria.
10 Guaranteed by the Government of Japan.
11 Guaranteed by the Federation of Malaysia
12 Guaranteed by the Kingdom of Spain.
13 Guaranteed by the Government of the United Kingdom.
14 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.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
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.

A. 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.

B. 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).

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).

The following table summarizes the market value of the fund's investments as of January 31, 2014, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,809 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,352,248 —

 

 

Corporate Bonds — 2,579,245 —
Sovereign Bonds — 16,189,066 —
Temporary Cash Investments 105,495 146,419 —
Forward Currency Contracts—Assets — 10,088 —
Forward Currency Contracts—Liabilities — (9,923) —
Total 105,495 20,269,952 —

 

D. 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 Schedule of Investments. 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.

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 Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).

At January 31, 2014, 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.

    Contract Amount (000)  
  Contract       Unrealized Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
BOA 3/4/14 USD 5,288,220 EUR 3,921,401 (606)
JPM 3/4/14 USD 5,288,209 EUR 3,921,401 (618)
BOA 3/4/14 USD 2,309,476 JPY 235,500,000 4,494
JPM 3/4/14 USD 2,309,469 JPY 235,500,000 4,487
MS 3/4/14 USD 1,052,591 CAD 1,174,350 (1,819)
BNPSW 3/4/14 USD 930,718 GBP 566,437 (462)
JPM 3/4/14 USD 930,717 GBP 566,437 (463)
BOA 3/4/14 USD 502,579 AUD 577,110 (2,479)
JPM 3/4/14 USD 395,248 KRW 424,200,000 (1,071)

 

 

MS 3/4/14 USD 334,465 CHF 302,840 444
MS 3/4/14 USD 250,411 SEK 1,640,000 83
BOA 3/4/14 USD 131,218 MXN 1,760,000 (380)
MS 3/4/14 USD 129,842 DKK 718,240 18
BNPSW 3/4/14 USD 118,687 PLN 374,820 (228)
MS 3/4/14 USD 92,253 THB 3,059,580 (433)
BOA 3/4/14 USD 87,831 ZAR 985,230 (837)
JPM 3/4/14 USD 73,750 MYR 245,300 450
MS 3/4/14 USD 63,835 NOK 401,920 (191)
MS 3/4/14 USD 61,305 SGD 78,360 (70)
MS 3/4/14 USD 59,288 NZD 73,450 (104)
JPM 3/4/14 USD 48,556 ILS 171,020 (87)
JPM 3/4/14 USD 45,741 CZK 934,860 (50)
JPM 3/4/14 USD 24,389 EUR 18,000 112
BOA 3/4/14 USD 13,485 EUR 10,000 (2)
BOA 3/4/14 USD 8,731 AUD 10,000 (21)
MS 3/4/14 USD 7,326 HKD 56,880 (1)
BOA 3/4/14 USD 1,643 GBP 1,000 (1)
            165
BNPSW—BNP Paribas.
BOA—Bank of America.
HSBC—HSBC Holdings.
MS—Morgan Stanely.
JPM—JP Morgan.

 

At January 31, 2014, counterparties had deposited in segregated accounts securities with a value of $56,143,000 in connection with open forward currency contracts.

E. At January 31, 2014, the cost of investment securities for tax purposes was $20,130,387,000. Net unrealized appreciation of investment securities for tax purposes was $244,895,000, consisting of unrealized gains of $514,481,000 on securities that had risen in value since their purchase and $269,586,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Item 2: 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. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD CHARLOTTE FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: March 19, 2014  

 

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: March 19, 2014

 
  VANGUARD CHARLOTTE FUNDS

 

By:

/s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER

 

Date: March 19, 2014

 

 

* 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.

 
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