Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
March 31 2014 - 1:31PM
Edgar (US Regulatory)
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
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By:
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/s/ F. WILLIAM MCNABB III*
|
|
F. WILLIAM MCNABB III
|
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CHIEF EXECUTIVE OFFICER
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Date: March 19, 2014
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|
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VANGUARD CHARLOTTE FUNDS
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By:
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/s/ THOMAS J. HIGGINS*
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THOMAS J. HIGGINS
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CHIEF FINANCIAL OFFICER
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Date: March 19, 2014
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* 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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