Russell Investment Company II plc an umbrella fund with segregated liability between sub-funds potx

2011 ANNUAL REPORT
31 March 2011 (Audited)
Russell Investment Company II plc
an umbrella fund with segregated liability between sub-funds
The Euro Fixed Income Fund
The Global Bond (Euro Hedged) Fund
The Pan European Equity Fund
The U.K. Equity Plus Fund
The U.S. Growth Fund
The U.S. Quant Fund
The U.S. Value Fund
The World Equity Fund

Russell Investment Company II plc


Contents

Contents
Administration of the Company

2



Background to the Company

5

Directors’ Report

6



Custodian and Trustee’s Report

8



Independent Auditors’ Report

9



Combined Statements

11



The Euro Fixed Income Fund

15

The Global Bond (Euro Hedged) Fund

35



The Pan European Equity Fund

69



The U.K. Equity Plus Fund

85



The U.S. Growth Fund

95



The U.S. Quant Fund

105

The U.S. Value Fund

123



The World Equity Fund

134



Notes to the Financial Statements

160



Appendix I - Total Expense Ratio (Unaudited)

218

Russell Investment Company II plc


Administration of the Company

2 Administration of the Company
Board of Directors of the Company
Promoter

Mr. James Firn (Chairman)
Frank Russell Company
Mr. James Beveridge
1301 Second Avenue, 18
th
Floor
Mr. Peter Gunning
Seattle, WA 98101
Mr. Michael Hunt
United States of America
Mr. Paul McNaughton

Mr. William Roberts
Company Secretary
Mr. Alan Schoenheimer
Bradwell Limited
Mr. David Shubotham
Arthur Cox Building
Mr. Kenneth Willman
Earlsfort Centre
Mr. Neil Jenkins - Alternate Director for Mr. Peter Gunning
Earlsfort Terrace

Dublin 2
Audit Committee Members
Ireland
Mr. David Shubotham (Chairman)

Mr. Paul McNaughton
Advisor and Distributor

Mr. William Roberts
Russell Investments Limited

Rex House
Registered Office
10 Regent Street
78 Sir John Rogerson’s Quay
London SW1Y 4PE
Dublin 2
England
Ireland


Money Managers for The Euro Fixed Income Fund
Manager
Fidelity Investments International Limited
Russell Investments Ireland Limited
Oakhill House
78 Sir John Rogerson’s Quay
130 Tonbridge Road
Dublin 2
Hildenborough
Ireland
Tonbridge

Kent TN11 9DZ
Independent Auditors
England
PricewaterhouseCoopers

Chartered Accountants and Registered Auditors
Robeco Institutional Asset Management BV
One Spencer Dock
Coolsingel 120 NL
North Wall Quay
3011 AG Rotterdam
Dublin 1
The Netherlands
Ireland


Western Asset Management
Legal Advisers
155 Bishopsgate
Arthur Cox
London EC2M 3XG
Earlsfort Centre
England
Earlsfort Terrace

Dublin 2
Money Managers for The Global Bond (Euro Hedged)
Ireland
Fund

Brookfield Investment Management Inc.
Administrator
Three World Financial Centre
State Street Fund Services (Ireland) Limited
200 Vesey Street

78 Sir John Rogerson’s Quay
New York, NY 10281-1010
Dublin 2
United States of America
Ireland


Colchester Global Investors Limited
Custodian and Trustee
Heathcoat House
State Street Custodial Services (Ireland) Limited
20 Savile Row
78 Sir John Rogerson’s Quay
London W1S 3PR
Dublin 2
England
Ireland


Frank Russell Implementation Services Inc.
Global Sub-Custodian
1301 Second Avenue, 18
th
Floor
State Street Bank and Trust Company
Seattle, WA 98101
Copley Place
United States of America
100 Huntington Avenue

Boston, MA 02116

United States of America


Russell Investment Company II plc


Administration of the Company - continued

Administration of the Company 3
Loomis, Sayles & Company, L.P.
Ignis Asset Management
One Financial Center
50 Bothwell Street
Boston, MA 02111
Glasgow G2 6HR
United States of America
Scotland


Pacific Investment Management Company, LLC
Standard Life Investments
840 Newport Centre Drive, Suite 360
1 George Street
Newport Beach, CA 92658-6430
Edinburgh EH2 2LL
United States of America
Scotland

Money Managers for The Pan European Equity Fund
Money Managers for The U.S. Growth Fund
Hermes Sourcecap Limited
Columbus Circle Investors
1 Portsoken Street
One Metro Center
London E1 8HZ
One Station Place, 8
th
Floor South
England
Stamford, CT 06902

United States of America
Invesco Asset Management Limited

30 Finsbury Square
Suffolk Capital Management, LLC
London EC2A 1AG
1633 Broadway, 40
th
Floor
England
New York, NY 10019

United States of America
Numeric Investors, L.P.

1 Memorial Drive

Sustainable Growth Advisers, L.P.
Cambridge, MA 02142
310 Tresser Boulevard, Suite 1310
United States of America
Stamford, CT 06901

United States of America
Oechsle International Advisors, LLC

1 International Place, 23
rd
Floor
Waddell and Reed
Boston, MA, 02110
6300 Lamar Avenue
United States of America
Post Office Box 29217

Shawnee Mission, KS 66201-9217
Pzena Investment Management
United States of America
120 West 45
th
Street, 20
th
Floor

New York, NY 10036
Money Managers for The U.S. Quant Fund
United States of America

Aronson and Johnson and Ortiz, L.P.

230 South Broad Street, 20
th
Floor
S. W. Mitchell Capital LLP
Philadelphia, PA 19102
52 Jermyn Street
United States of America
91 Brick Lane

London SW1Y 6LX
Enhanced Investment Technologies, LLC
England
2401 PGA Boulevard, Suite 100

Palm Beach Gardens, FL 33410
TT International
United States of America
Martin House

5 Martin Lane
Frank Russell Implementation Services Inc.
London EC4R 0DP
1301 Second Avenue, 18
th
Floor
England
Seattle, WA 98101

United States of America
Taube Hodson Stonex Partners Ltd.

Cassini House, 1
st
Floor
Jacobs Levy Equity Management Inc.
57-59, St. James’ Street
100 Campus Drive, P.O. Box 650
London SW1A 1LD
Florham Park, NJ 07932-0650
England
United States of America


Money Managers for The U.K. Equity Plus Fund
Numeric Investors, L.P.
BlackRock International Limited
1 Memorial Drive
40 Torphichen Street
Cambridge, MA 02142
Edinburgh EH3 8JB
United States of America
Scotland

Russell Investment Company II plc


Administration of the Company - continued

4 Administration of the Company
PanAgora Asset Management
MFS Investment Management
470 Atlantic Avenue
500 Boylston Street
8
th
Floor
Boston, MA 02116
Boston, MA 02210
United States of America
United States of America


Tradewinds NWQ Global Investors, LLC
Money Managers for The U.S. Value Fund
2049 Century Park East, 18
th
Floor
Armstrong Shaw Associates
Los Angeles, CA 90067
45 Grove Street
United States of America
New Canaan, CT 06840

United States of America
Paying and Information Agent in Austria

UniCredit Bank Austria AG
DePrince, Race & Zollo Inc.
Schottengasse 6-8
250 Park Avenue South, Suite 250
1010 Vienna
Winter Park, FL 32789
Austria
United States of America


Paying and Information Agent in France
Frank Russell Implementation Services Inc.
Société Générale
1301 Second Avenue, 18
th
Floor
29, boulevard Haussmann
Seattle, WA 98101
75009 Paris
United States of America
France


Snow Capital Management
Paying and Information Agent in Germany*
2100 Georgetowne Drive

Deutsche Bank AG
Suite 400
Junghofstrasse 5-9
Sewickley, PA 15143
60311 Frankfurt am Main
United States of America
Germany


Systematic Financial Management, L.P.
Representative in Italy
300 Frank W. Burr Boulevard
BNP Paribas Securities Services, Milan Branch
Glenpoint East, 7
th
Floor
Via Ansperto 5
Teaneck, NJ 07666-6703
20121 Milan
United States of America
Italy


Money Managers for The World Equity Fund
Paying Agent in Italy
Arrowstreet Capital, L.P.
SGSS S.p.A
44 Brattle Street, 5
th
Floor

Via Benigno Crespi, 19/A-MAC2
Cambridge, MA 02138
20159 Milan
United States of America
Italy


Axiom International Investors, LLC
Information Agent and Representative in the
55 Railroad Avenue, 3
rd
Floor
Netherlands
Greenwich, CT 06830
Deutsche Bank AG, Amsterdam branch
United States of America
Herengracht 450 - 454

1017 CA Amsterdam
Marisco Capital Management, LLC
The Netherlands
1200 17
th
Street, Suite 1600

Denver, CO 80202

United States of America

* The Company’s Memorandum and Articles of Association, the prospectus, the simplified prospectus, the unaudited semi-annual reports, as
well as the audited annual reports can be obtained free of charge from the office of the paying and information agent. The net asset value of
each of the Funds and the subscription and redemption prices of the shares of the Funds are published jointly and daily in the “Börsen
Zeitung” for information purposes only and do not constitute an invitation to subscribe for or repurchase the Company’s shares at those prices.

A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s
Administrator or from the paying agent or paying and information agents in each country of distribution.
Russell Investment Company II plc


Background to the Company

Background to the Company 5
Russell Investment Company II plc (the “Company”) was incorporated on 1 November 2000 and operates in Ireland as a public
limited company under the Companies Acts 1963 to 2009. It is authorised by the Central Bank of Ireland (the “Central Bank”)
and it was first authorised on 8 November 2000.

The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the
European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2003, (as amended)
(the “UCITS Regulations”).

The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 31 March 2011
has ten constituent funds (each a “Fund”, collectively the “Funds”) and various classes of shares.

Net assets under management for the Funds at 31 March 2011 amounted to EUR 3,748,815,433 (31 March 2010: EUR
3,512,930,741) broken down as follows:

Fund

Funded during

the year ended

Functional
Currency

Net Assets
31 March 2011

Net Assets
31 March 2010
The Euro Fixed Income Fund

31 March 2002

EUR

199,992,439

193,484,341









The Global Bond (Euro Hedged) Fund

31 March 2002

EUR

415,815,867

371,576,017









The Pan European Equity Fund

31 March 2002

EUR

178,529,256

135,818,171

The U.K. Equity Plus Fund

31 March 2007

GBP

133,896,751

130,885,950









The U.S. Growth Fund

31 March 2002

USD

177,803,376

191,824,259









The U.S. Quant Fund

31 March 2002

USD

169,368,501

198,425,531









The U.S. Value Fund

31 March 2002

USD

232,841,933

237,638,262









The World Equity Fund

31 March 2005

USD

3,398,055,869

2,978,555,202

The Emerging Markets Extended Opportunities Fund and The U.S. Equity Plus Fund are currently unfunded and consequently
there is no financial information pertaining to these Funds.

Introductory Manager’s Report

Russell Investments Limited (the “Advisor”) is a pioneer in the innovative approach of multi-asset, multi-style and multi-manager
diversification. The objective of these Funds is to deliver consistent and superior returns to investors using a multi-manager
approach to reduce performance volatility. The Advisor seeks to achieve this in the Funds which permanently invest in equities,
by building a portfolio where the market bets (sector, size, style and other biases) are controlled using portfolio analytics and
simulation tools to check the “fit” between managers to whom the Fund’s assets are allocated, thereby minimising costly overlap.
The main source of value-added for the equity funds is stock selection. The research of the Advisor indicates that this is the most
reliable and consistent source of outperformance. The Advisor seeks to achieve the investment objective in the Funds which
permanently invest in debt instruments by building a fund structure where the market bets (country, currency, duration, style and
other biases) are controlled, using a team of managers with distinct and complementary investment approaches. The main sources
of value-added for the bond Funds are currency and duration positions.

Russell Investment Company II plc


Directors’ Report

6 Directors’ Report
The Directors submit their report together with the audited financial statements for the year ended 31 March 2011.

Directors’ responsibilities
The Directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable Irish
law and Generally Accepted Accounting Practice in Ireland including the accounting standards issued by the Accounting
Standards Board and published by The Institute of Chartered Accountants in Ireland.

Irish company law requires the Directors to prepare financial statements for each financial year that give a true and fair view of
the state of affairs of Russell Investment Company II plc (the “Company”) and of the profit or loss of the Company for that year.
In preparing the financial statements, the Directors are required to:

 select suitable accounting policies and then apply them consistently;
 make estimates and judgements that are reasonable and prudent; and

 prepare the financial statements on a going concern basis unless it is inappropriate to presume that the Company will
continue in business.

The Directors confirm that they have complied with the above requirements in preparing the financial statements.

The Directors are responsible for the maintenance and integrity of the corporate and financial information relating to the
Company which may be included on Russell Investments Limited’s (the “Distributor”) website. Legislation in the Republic of
Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

In carrying out the above requirements, the Directors have appointed Russell Investments Ireland Limited as manager (the
“Manager”) and the Manager has appointed State Street Fund Services (Ireland) Limited to act as administrator (the
“Administrator”) of the Company.

Books of account
The Directors are responsible for keeping proper books of account which disclose with reasonable accuracy at any time the
financial position of the Company and enable them to ensure that the financial statements are prepared in accordance with
accounting standards generally accepted in Ireland and comply with the Companies Acts, 1963 to 2009 and the European
Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2003, (as amended). They are
responsible for safeguarding the assets of the Company. In this regard they have entrusted the assets of the Company to State
Street Custodial Services (Ireland) Limited (the “Custodian and Trustee”) who has been appointed as custodian and trustee to the
Company pursuant to the terms of a custodian agreement. The Directors have a general responsibility for taking such steps as are
reasonably open to them to prevent and detect fraud and other irregularities. The Directors believe that they have complied with
the requirements of section 202 of the Companies Act, 1990, with regard to books of account by employing an experienced
administrator with appropriate expertise and by providing adequate resources to the financial function. The books of account of
the Company are maintained by the Administrator at 78 Sir John Rogerson’s Quay, Dublin 2, Ireland.

Distribution policy
The Company pursues a distribution policy so that it will be able to obtain certification as a “distributing fund” under the United
Kingdom Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation. Each distribution shall be at least such
minimal amount (if any) as shall be necessary for the Company to achieve “distributable status” for U.K. tax purposes.

With the exception of Roll-Up Class Shares, the distribution policy of each Fund is to distribute out of net income. Roll-Up Share
Classes do not declare or distribute net income and their net asset value reflects the net income position. Accumulation Share
Classes declare a distribution but the net income is reinvested in the capital of the relevant Fund on the distribution date. Income
Share Classes distribute net income from time to time at the Directors’ discretion. Net income includes all interest, dividends and
other amounts deemed by the Manager to be in the nature of income less the estimated expenses of that Fund applicable to that
dividend year.

Review of performance of the business and future developments of the business
A detailed performance review of the business and future developments is included in the Manager’s Report for each Fund.

Principal risks
A detailed analysis of the risks facing each Fund is included in Note 11 to the financial statements.

Results and dividends
The results for the year are set out in the Profit and Loss Account for each Fund. Dividends were declared during the year as
detailed in Note 16 to the financial statements.
Russell Investment Company II plc


Directors’ Report - continued

Directors’ Report 7
Significant events during the year
Significant events during the year are described in Note 17 to the financial statements.

Significant events since the year end
There have been no significant events affecting the Company other than those detailed in Note 18 to the financial statements.

Directors

The name and nationality of persons who were Directors at any time during the year ended 31 March 2011 are set out below. All
Directors are non-executive directors. All acted as Directors for the year.

Mr. James Firn (American) (Chairman)
Mr. James Beveridge (British)
Mr. Peter Gunning (Australian)
Mr. Michael Hunt (Irish and British resident)
Mr. Paul McNaughton (Irish)
Mr. William Roberts (British and Irish resident)
Mr. Alan Schoenheimer (Australian)
Mr. David Shubotham (Irish)
Mr. Kenneth Willman (American and British)
Mr. Neil Jenkins (British) - Alternate Director for Mr. Peter Gunning

Directors’ and Secretary’s interests
None of the Directors, their families or the Secretary hold or held any beneficial interest in the shares of the Company during the
year. Each of the Directors is a member of the personnel of Russell Investments entities except for Mr. Paul McNaughton, Mr.
William Roberts and Mr. David Shubotham who are independent of Russell Investments.

No Director had, at any time during the year or at the year end, a material interest in any contract of significance in relation to the
business of the Company.

Independent Auditors
The Auditors, PricewaterhouseCoopers, will be re-appointed in accordance with section 160(2) of the Companies Act, 1963.


On behalf of the Board
Mr. William Roberts Mr. Paul McNaughton
7 July 2011

Russell Investment Company II plc


Custodian and Trustee’s Report

8 Custodian and Trustee’s Report
We have enquired into the conduct of Russell Investment Company II plc (the “Company”) for the year ended 31 March 2011, in
our capacity as Custodian and Trustee to the Company.

This report including the opinion has been prepared for and solely for the shareholders in the Company, in accordance with the
Central Bank’s UCITS Notice 4, and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for
any other purpose or to any other person to whom this report is shown.

Responsibilities of the Custodian and Trustee
Our duties and responsibilities are outlined in the Central Bank’s UCITS Notice 4. One of those duties is to enquire into the
conduct of the Company in each annual accounting period and report thereon to the shareholders.

Our report shall state whether, in our opinion, the Company has been managed in that period in accordance with the provisions of
the Company’s Memorandum and Articles of Association and the European Communities (Undertakings for Collective
Investment in Transferable Securities) Regulations 2003, as amended (the “UCITS Regulations”). It is the overall responsibility
of the Company to comply with these provisions. If the Company has not so complied, we as Custodian and Trustee must state
why this is the case and outline the steps which we have taken to rectify the situation.

Basis of Custodian and Trustee Opinion
The Custodian and Trustee conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its
duties as outlined in UCITS Notice 4 and to ensure that, in all material respects, the Company has been managed (i) in accordance
with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and
the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation and the appropriate
regulations.

Opinion
In our opinion, the Company has been managed during the year, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the
Memorandum and Articles of Association and by the UCITS Regulations and

(ii) otherwise in accordance with the provisions of the Memorandum and Articles of Association and the UCITS
Regulations.



State Street Custodial Services (Ireland) Limited
78 Sir John Rogerson’s Quay
Dublin 2
Ireland

7 July 2011




Independent Auditors’ Report to the members of Russell Investment Company II plc (the
“Company”)

Independent Auditors’ Report 9
We have audited the Company’s financial statements for the year ended 31 March 2011 which comprise the Combined Balance
Sheet, Combined Profit and Loss Account, Combined Statement of Changes in Net Assets Attributable to Redeemable
Participating Shareholders and related notes and, for each of the Funds, the Balance Sheet, Profit and Loss Account, Statement of
Changes in Net Assets Attributable to Redeemable Participating Shareholders, the Schedule of Investments and the related notes.
These financial statements have been prepared under the accounting policies set out herein.

Respective responsibilities of directors and auditors
The Directors’ responsibilities for preparing the Annual Report and the financial statements in accordance with applicable Irish
law and the accounting standards issued by the Accounting Standards Board and published by the Institute of Chartered
Accountants in Ireland (Generally Accepted Accounting Practice in Ireland) are set out in the Directors’ Report.

Our responsibility is to audit the financial statements in accordance with relevant legal and regulatory requirements and
International Standards on Auditing (U.K. and Ireland). This report, including the opinion, has been prepared for and only for the
Company’s members as a body in accordance with Section 193 of the Companies Act, 1990 and for no other purpose. We do not,
in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown
or into whose hands it may come save where expressly agreed by our prior consent in writing.

We report to you our opinion as to whether the financial statements give a true and fair view in accordance with Generally
Accepted Accounting Practice in Ireland, and are properly prepared in accordance with Irish statute comprising the Companies
Acts, 1963 to 2009 and the European Communities (Undertakings for Collective Investment in Transferable Securities)
Regulations 2003 (as amended). We state whether we have obtained all the information and explanations we consider necessary
for the purposes of our audit, and whether the financial statements are in agreement with the books of account. We also report to
you our opinion as to:

 whether the Company has kept proper books of account; and
 whether the Directors’ Report is consistent with the financial statements.

We also report to you if, in our opinion, any information specified by law regarding directors’ remuneration and directors’
transactions is not disclosed and where practicable, include such information in our report.

We read the other information contained in the Annual Report, and consider whether it is consistent with the audited financial
statements. We consider the implications for our report if we become aware of any apparent misstatements or material
inconsistencies with the financial statements. Our responsibilities do not extend to any other information.

Basis of audit opinion

We conducted our audit in accordance with International Standards on Auditing (U.K. and Ireland) issued by the Auditing
Practices Board. An audit includes examination, on a test basis, of evidence relevant to the amounts and disclosures in the
financial statements. It also includes an assessment of the significant estimates and judgements made by the directors in the
preparation of the financial statements, and of whether the accounting policies are appropriate to the Company’s circumstances,
consistently applied and adequately disclosed.

We planned and performed our audit so as to obtain all the information and explanations which we considered necessary in order
to provide us with sufficient evidence to give reasonable assurance that the financial statements are free from material
misstatement, whether caused by fraud or other irregularity or error. In forming our opinion we also evaluated the overall
adequacy of the presentation of information in the financial statements.

Opinion
In our opinion the financial statements

 give a true and fair view in accordance with Generally Accepted Accounting Practice in Ireland, of the state of the
Company’s affairs at 31 March 2011 and of its results for the year then ended; and
 have been properly prepared in accordance with the requirements of the Companies Acts, 1963 to 2009 and the
European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2003 (as
amended).

We have obtained all the information and explanations we consider necessary for the purposes of our audit. In our opinion proper
books of account have been kept by the Company. The Company’s financial statements are in agreement with the books of
account.




Independent Auditors’ Report to the members of Russell Investment Company II plc (the
“Company”) - continued

10 Independent Auditors’ Report
In our opinion the information given in the Directors’ Report is consistent with the financial statements.



PricewaterhouseCoopers
Chartered Accountants and Registered Auditors
Dublin
Ireland

25 July 2011

Russell Investment Company II plc


Combined Balance Sheet

As at 31 March 2011

The accompanying notes are an integral part of the financial statements.

Combined Balance Sheet 11


Total
31 March 2011
EUR

Total
31 March 2010

EUR
Assets




Financial assets at fair value through profit or loss:




Investments at fair value

3,657,174,267

3,341,771,009
Unrealised gain on open futures contracts

3,475,833

9,487,144
Unrealised gain on forward foreign currency exchange contracts

22,433,946

9,804,150
Options purchased at fair value

400

1,307
Interest rate swaps at fair value

172,141

506,061
Credit default swaps at fair value

314,266

108,030


3,683,570,853

3,361,677,701





Cash at bank

22,433,055

160,898,441
Cash held with brokers and counterparties for open derivative positions

12,947,248

12,094,268
Consolidated eSec SFT Fund and SFT Managed Account at fair value

454,051

7,234,822
Cash received as collateral and invested relating to securities lending transactions

200,586,567

616,805,742
Broker cash held as collateral for financial derivative instruments transactions

1,944,895

206,932





Debtors:




Receivable for investments sold

23,784,796

14,181,680
Receivable on fund shares issued

41,989,858

387,771
Dividends receivable

5,107,675

6,094,918
Interest receivable

8,023,226

8,311,063


4,000,842,224

4,187,893,338
Liabilities




Financial liabilities at fair value through profit or loss:

Unrealised loss on open futures contracts

(883,412)

(925,059)
Unrealised loss on forward foreign currency exchange contracts

(19,827,863)

(14,687,986)
Options written at fair value

(111,409)

(60,380)
Swaptions written at fair value

(310,576)

(33,217)
Interest rate swaps at fair value

(147,919)

(20,601)
Credit default swaps at fair value

(274,772)

(644,033)


(21,555,951)

(16,371,276)
Creditors – amounts falling due within one year:




Cash due to brokers and counterparties for open derivative positions

(552,214)

(6,806,339)
Cash invested in SFT Collective Investment Fund due to counterparties for
securities lending transactions

-

(10,137,969)
Cash due to counterparties for securities lending transactions

(200,586,567)

(616,805,742)
Broker cash due to counterparties for financial derivative instruments

(1,944,895)

(206,932)
Payable to Lehman

-

(3,050,082)
Payable for investments purchased

(23,606,690)

(20,186,611)
Payable on fund shares redeemed

(1,296,047)

(881,061)
Management fees payable

(2,916,089)

(2,699,210)
Performance fees payable

(1,483,660)

(761,695)
Custodian and Trustee fees payable

(37,510)

(35,699)
Sub-custodian fees payable

(158,451)

(244,707)
Administration fees payable

(71,193)

(66,559)
Interest payable

-

(11,372)
Miscellaneous fees payable

(264,688)

(276,141)


(254,473,955)

(678,541,395)

Russell Investment Company II plc

Combined Balance Sheet - continued

As at 31 March 2011

The accompanying notes are an integral part of the financial statements.

12 Combined Balance Sheet


Total
31 March 2011
EUR

Total
31 March 2010
EUR
Net assets attributable to redeemable participating shareholders (at bid market
prices)

3,746,368,269

3,509,351,943





Adjustment from bid market prices to last traded market prices

2,447,164

3,578,798





Net assets attributable to redeemable participating shareholders (at last traded
market prices)

3,748,815,433

3,512,930,741


On behalf of the Board
Mr. William Roberts Mr. Paul McNaughton
7 July 2011

Russell Investment Company II plc


Combined Profit and Loss Account

For the year ended 31 March 2011

The accompanying notes are an integral part of the financial statements.

Combined Profit and Loss Account 13

Total
2011
EUR

Total
2010
EUR
Income




Dividends

57,731,641

56,320,902
Bond interest

21,561,377

23,997,586
Bank and short term investment interest

27,420

56,324
Securities lending income

2,080,755

2,542,492
Miscellaneous income

252,071

346,538


81,653,264

83,263,842





Net gain (loss) on investment activities

394,333,023

1,160,114,175





Total investment income (expense)

475,986,287

1,243,378,017





Expenses




Management fees

(32,761,973)

(29,589,822)
Performance fees

(889,199)

(574,239)
Custodian and Trustee fees

(624,097)

(800,648)
Sub-custodian fees

(1,086,329)

(1,040,933)
Administration fees

(1,359,168)

(1,587,655)
Audit fees

(163,824)

(162,510)
Professional fees

(292,161)

(185,724)
Registration, reporting and compliance fees

(232,921)

(155,893)
Marketing fees

(407,483)

(486,115)
Transfer agency fees

(246,954)

(350,551)
Miscellaneous fees

(170,050)

(605,670)
Total operating expenses

(38,234,159)

(35,539,760)





Net income (expense)

437,752,128

1,207,838,257





Finance costs

Distributions

(35,938,633)

(43,565,426)
Interest expense

(35,256)

(271,266)
Profit (loss) for the financial year before taxation

401,778,239

1,164,001,565





Taxation




Capital gains tax

(205,863)

(82,659)
Withholding tax

(10,114,803)

(9,830,608)
Profit (loss) for the financial year after taxation

391,457,573

1,154,088,298





Movement in adjustment from bid market prices to last traded market prices

(1,131,634)

(2,263,775)





Increase (decrease) in net assets attributable to redeemable participating

shareholders resulting from operations

390,325,939

1,151,824,523

All amounts arose solely from continuing operations. There are no gains or losses other than those dealt with in the Profit and Loss Account.


On behalf of the Board
Mr. William Roberts Mr. Paul McNaughton
7 July 2011

Russell Investment Company II plc


Combined Statement of Changes in Net Assets Attributable to Redeemable Participating
Shareholders

For the year ended 31 March 2011

The accompanying notes are an integral part of the financial statements.

14 Combined Statement of Net Assets Attributable to Redeemable Participating Shareholders


Total
2011
EUR

Total
2010
EUR
Increase (decrease) in net assets attributable to redeemable participating
shareholders resulting from operations

390,325,939

1,151,824,523





Share transactions




Net increase (decrease) in net assets resulting from redeemable participating share
transactions

(44,232,369)

(582,624,384)
Reinvestment of deemed distributions on accumulation shares

30,486,055

36,581,961

Total net increase (decrease) in net assets attributable to redeemable
participating shareholders

376,579,625

605,782,100





Currency translation (Note 2)

(140,694,933)

3,841,004





Net assets attributable to redeemable participating shareholders

Beginning of year

3,512,930,741

2,903,307,637





End of year

3,748,815,433

3,512,930,741

Russell Investment Company II plc
The Euro Fixed Income Fund

Manager’s Report

The Euro Fixed Income Fund 15
Money Managers
Fidelity Investments International Limited
Robeco Institutional Asset Management BV
Western Asset Management

Investment Objective
The investment objective of The Euro Fixed Income Fund (the “Fund”) is to provide income and capital growth by investing

primarily in Euro denominated transferable debt instruments, which include, but are not limited to, municipal and government
bonds, agency debt (being that issued by local authorities or public international bodies of which one or more states is a member),
mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for Economic
Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance
The Fund returned 0.3 per cent on a gross of fees basis during the 12 month period under review, versus the benchmark* return of
-1.2 per cent.

Market Comment
The Citigroup EuroBig Index made modest gains over the second quarter of 2010, as risk aversion escalated, to the detriment of
non-government assets. The majority of the period was dominated by the sovereign debt crisis in Europe, amid fears that
uncoordinated policy responses could undermine economic recovery. Concerns that the contagion could spread saw Europe‟s
financial institutions grow increasingly wary of lending to each other, restricting liquidity and complicating the European Central
Bank‟s (the “ECB”) withdrawal of its stimulus measures. Credit markets faltered as corporate bond sales fell to the lowest in a
decade and issuance levels plummeted. High yield bonds underperformed government assets markedly as spreads hit their widest
levels in a year and issuance slowed sharply from the record pace of the first quarter. The majority of government bond markets
responded well, notably German bunds, after the sovereign debt crisis boosted demand for the safest of assets. However, bonds of
the troubled peripheral Euro area nations saw yields rise.

European bonds enjoyed a positive third quarter, and with concerns easing over the outlook for the economic recovery, it was
again the higher risk sectors that outperformed. High yield and emerging market debt were the best-performing sectors as
investors were buoyed by the International Monetary Fund‟s (the “IMF”) decision to raise its global growth forecast and by
second-quarter earnings releases from a number of the world‟s biggest companies that were well in excess of expectations. Gains
were reinforced by more upbeat news from Europe, where the results of the stress tests on banks were largely welcomed. The
majority of government bond markets strengthened, after signs of a slowdown in global economic recovery and speculation over
a return to quantitative easing in most major economies boosted demand for safer assets. U.S. Treasuries enjoyed a third
consecutive quarter of gains, but were outperformed by German bunds and U.K. gilts. In contrast, spreads widened on debt issued
by some of the eurozone‟s more troubled peripheral members amid renewed concern that their finances were deteriorating at a
rate that would force them to activate an E.U. led bailout.

European bonds then fell over the fourth quarter after speculation that the global economic recovery was becoming more
sustainable enabled equity markets to build on September‟s risk rally. The generally upbeat sentiment was underpinned by a
burgeoning recovery in the U.S., strong growth in China and speculation that the Federal Reserve‟s decision to sanction a second
round of quantitative easing would help global growth accelerate. A very positive third-quarter earnings season and central bank
intervention in Europe helped firm up the belief that the threat of a double-dip recession was receding and that a “worst case
scenario” had been prevented. High yield debt was the best performing sector over the final quarter, as investors speculated that
the risk of a double-dip recession had receded, allowing the neediest borrowers to access capital more readily. In government
bond markets, U.K. gilts outperformed U.S. Treasuries and German bunds over the quarter, as demand was fuelled by what
investors perceived to be a credible fiscal plan to reduce the country‟s deficit and by the sovereign debt crisis in Europe. Despite
the sustained efforts of eurozone policymakers, the year drew to a close with considerable questions about the solvency of several
of the region‟s peripheral economies, and even the long-term viability of the single currency area in its current form.

Losses continued into the first quarter of 2011 after risk assets extended their rally as central banks maintained their highly
accommodative monetary policy. This prolonged risk rally saw investors shrug off ongoing geopolitical and macroeconomic risk,
with economic data indicating that the global recovery was broadening out. For the most part riskier, higher yielding debt
continued to outperform with investors speculating that default risk had receded given the breadth of the recovery. These bonds
enjoyed their best start to a year since 2003, while emerging market debt rallied very strongly in March after the violence in the
Middle East and fears over inflation, particularly in Latin America and Asia, had initially weighed on sentiment. Most European
government bonds retreated, notably among safer havens including the German bund, as the economic outlook brightened and the
ECB prepared to tighten its ultra-loose policy. On the periphery, Spanish bond yields fell as the economy strengthened, but Irish
debt struggled after the country‟s government was toppled at a general election while the yield on Portuguese ten year debt
touched a succession of Euro-era highs, prompting the ECB to intervene to reassure the markets.

Russell Investment Company II plc
The Euro Fixed Income Fund

Manager’s Report - continued

16 The Euro Fixed Income Fund

General Comment on Money Manager/Performance
The Fund outperformed, with each of the managers finishing ahead of the benchmark over the period. The Fund outperformed
over the second quarter, driven by a variety of sources including interest rate, country and currency positioning, as the broader
credit market faltered. The overweight to spread sectors had added value earlier in the period, as risk appetite remained elevated
but, as market conditions reversed, the Fund‟s multi-manager structure and inherent diversity proved very beneficial. Fidelity
Investments International Limited outperformed the benchmark and its peers in the Fund, as its exposures to government-
sponsored assets and underweight to peripheral European government debt added good value. The Fund also outperformed over
the third quarter, with each of the underlying managers finishing ahead. The gains were largely driven by successful sector
positioning (overweights to high yield, subordinated financial debt and Asset Backed Securities (the “ABS”) in an environment
which ultimately favoured risk. Western Asset Management was the best-performing manager, having enjoyed a particularly
strong month in September, when its preference for lower quality assets proved beneficial.

The Fund underperformed over the fourth quarter as each of the managers finished behind the benchmark. Sector positioning
proved to be the key detractor for much of the period, as an overweight to subordinated financial debt and general preference for
credit over government issues weighed on returns, particularly earlier in the period. Yield curve and interest rate positioning was
also modestly negative for much of the quarter while the short to the Euro, which had proved beneficial in November, has
weighed on returns more latterly as the currency rallied on speculation the sell-off in Europe had been overdone given the
strength of the German economy. The Fund then outperformed over the first quarter of 2011, maintaining its strong run year-to-
date, as each of the underlying managers continued to deliver returns in excess of the benchmark. The Fund‟s sector positioning
was the key driver, notably through its overweights to subordinated and higher quality financial debt and high yield. The overall
preference for credit assets over government issues also added value as did short duration positioning in Ireland and Portugal.

Outlook
The dominant characteristic of capital markets in 2010 was the tug-of-war between headline grabbing risks and the less
sensational, but far from trivial, global economic expansion and corporate earnings growth story. At Russell Investments, we
think it is reasonable to expect a similar pattern in 2011. Our forecasts continue to suggest a slow, grinding economic recovery
that will be the backdrop for strength in global corporate profits and strong corporate balance sheets. But we also expect periodic
headline risks to cause volatility spikes, and that these are likely to punctuate capital market moves.

For 2011, we have identified a central (highest probability) scenario; the „square root sign-shaped recovery‟ is likely to continue.

We expect equity valuations to support some modest upside, with risky assets having a moderate year. We expect the risk of
inflation in the United States to remain relatively benign, and that quantitative easing in late 2010 will succeed in avoiding
deflation. And with deflation mostly off the table, we also expect that bond markets in the core will experience a mild sell-off.

Past performance is no indication of current or future performance.

* Benchmark Source: Citigroup EuroBig Index

Russell Investments Ireland Limited
May 2011

Russell Investment Company II plc
The Euro Fixed Income Fund

Balance Sheet

As at 31 March 2011

The accompanying notes are an integral part of the financial statements.

The Euro Fixed Income Fund 17


31 March 2011
EUR

31 March 2010
EUR
Assets

Financial assets at fair value through profit or loss (Note 1)




Investments at fair value

188,415,055

181,759,431
Unrealised gain on open futures contracts

126,878

114,380
Unrealised gain on forward foreign currency exchange contracts

1,532,312

1,033,722
Interest rate swaps at fair value

-

300,180
Credit default swaps at fair value

14,232

-


190,088,477

183,207,713





Cash at bank (Note 5)

4,604,848

6,712,897
Cash held with brokers and counterparties for open derivative positions (Note 5)

658,237

722,216
Cash received as collateral and invested relating to securities lending transactions
(Note 4)

22,922,921

54,497,675

Debtors:




Receivable for investments sold

3,891,886

3,939,311
Receivable on fund shares issued

2,315,523

16,334
Interest receivable

2,989,430

3,682,911


227,471,322

252,779,057
Liabilities

Financial liabilities at fair value through profit or loss: (Note 1)




Unrealised loss on open futures contracts

(60,549)

(222,807)
Unrealised loss on forward foreign currency exchange contracts

(1,168,903)

(1,124,827)
Credit default swaps at fair value

(22,062)

(302,764)


(1,251,514)

(1,650,398)
Creditors – amounts falling due within one year:

Cash due to brokers and counterparties for open derivative positions (Note 5)

(2,695)

(2,780)
Cash due to counterparties for securities lending transactions (Note 4)

(22,922,921)

(54,497,675)
Payable for investments purchased

(3,293,609)

(3,229,957)
Payable on fund shares redeemed

(94,154)

(89,288)
Management fees payable

(109,898)

(110,102)
Custodian and Trustee fees payable

(2,509)

(2,535)
Sub-custodian fees payable

(10,618)

(10,513)
Administration fees payable

(4,182)

(4,224)
Interest payable

-

(11,375)
Miscellaneous fees payable

(21,628)

(21,837)


(27,713,728)

(59,630,684)

Net assets attributable to redeemable participating shareholders (at bid market
prices)

199,757,594

193,148,373





Adjustment from bid market prices to last traded market prices.

234,845

335,968





Net assets attributable to redeemable participating shareholders (at last traded
market prices)

199,992,439

193,484,341







Net asset value per share*






Class B (EUR 71,078,779 divided by 51,577 shares in issue)

EUR
1,378.11

EUR
1,387.69
Class F (EUR 120,141 divided by 97 shares in issue)

EUR
1,238.57

EUR
1,257.20

Russell Investment Company II plc
The Euro Fixed Income Fund

Balance Sheet - continued

As at 31 March 2011

The accompanying notes are an integral part of the financial statements.

18 The Euro Fixed Income Fund


31 March 2011

31 March 2010
Class I (GBP 57,349,921 divided by 2,914,122 shares in issue)

GBP
19.68

GBP
19.93
Class I Income (GBP 33,896,845 divided by 2,388,784 shares in issue)

GBP
14.19

GBP
14.86
Class MZ Income (EUR 21,221,186 divided by 2,048,377 shares in issue)

EUR
10.36

EUR
10.74
Class P Income (GBP 2,731,692 divided by 245,435 shares in issue)

GBP
11.13

GBP
11.70
Class S (EUR 1,426,566 divided by 13,107 shares in issue)

EUR
108.84

EUR
109.82

* See Note 14 for comparative net assets

Russell Investment Company II plc
The Euro Fixed Income Fund

Profit and Loss Account

For the year ended 31 March 2011

The accompanying notes are an integral part of the financial statements.

The Euro Fixed Income Fund 19


2011
EUR

2010
EUR
Income




Dividends

9,274

39,668
Bond interest

6,639,997

8,756,987
Bank and short term investment interest

16,005

4,569

Securities lending income (Note 4)

66,949

79,125
Miscellaneous income

6,812

17,602


6,739,037

8,897,951





Net gain (loss) on investment activities (Note 8)

(5,697,992)

29,524,219

Total investment income (expense)

1,041,045

38,422,170





Expenses




Management fees (Note 3):




Class A

(174)

(373)
Class B

(479,675)

(632,933)

Class F

(1,968)

(4,924)
Class I

(390,119)

(354,593)
Class I Income

(242,218)

(241,436)
Class MZ Income

(78,616)

(134,272)
Class P Income

(34,361)

(29,678)
Class R Roll-Up

(11,042)

(55,776)

Custodian and Trustee fees (Note 3)

(38,980)

(62,474)
Sub-custodian fees (Note 3)

(81,081)

(66,776)
Administration fees (Note 3)

(77,669)

(117,732)
Audit fees (Note 3)

(16,668)

(16,585)
Professional fees

(18,172)

(16,763)
Registration, reporting and compliance fees

(13,219)

(10,313)

Marketing fees

(22,697)

(34,348)
Transfer agency fees

(26,880)

(36,010)
Miscellaneous fees

(17,326)

(69,464)
Total operating expenses

(1,550,865)

(1,884,450)





Net income (expense)

(509,820)

36,537,720

Finance costs




Distributions (Note 16)

(6,218,998)

(8,662,283)
Interest expense

(10,782)

(6,908)
Profit (loss) for the financial year before withholding tax

(6,739,600)

27,868,529

Taxation




Withholding tax (Note 7)

(4,275)

(95,852)
Profit (loss) for the financial year after withholding tax

(6,743,875)

27,772,677





Movement in adjustment from bid market prices to last traded market prices

(101,123)

(1,063,853)

Increase (decrease) in net assets attributable to redeemable participating
shareholders resulting from operations

(6,844,998)

26,708,824

Russell Investment Company II plc
The Euro Fixed Income Fund

Profit and Loss Account - continued

For the year ended 31 March 2011

The accompanying notes are an integral part of the financial statements.

20 The Euro Fixed Income Fund
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss
Account.

Russell Investment Company II plc
The Euro Fixed Income Fund

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

For the year ended 31 March 2011

The accompanying notes are an integral part of the financial statements.

The Euro Fixed Income Fund 21

2011
EUR

2010
EUR
Increase (decrease) in net assets attributable to redeemable participating
shareholders resulting from operations

(6,844,998)

26,708,824





Share transactions




Net increase (decrease) in net assets resulting from redeemable participating share
transactions (Note 6)

9,262,419

(62,917,695)
Reinvestment of deemed distributions on accumulation shares (Note 16)

4,090,677

5,585,554





Total net increase (decrease) in net assets attributable to redeemable
participating shareholders

6,508,098

(30,623,317)





Net assets attributable to redeemable participating shareholders




Beginning of year

193,484,341

224,107,658

End of year

199,992,439

193,484,341

Russell Investment Company II plc
The Euro Fixed Income Fund

Schedule of Investments

31 March 2011

The accompanying notes are an integral part of the financial statements.

22 The Euro Fixed Income Fund
Principal
Amount


Fair Value
EUR

Fund
%

Transferable Securities (89.04%)



Long Term Bonds and Notes (87.18%)



Australia (0.23%)



Commonwealth Bank of
Australia



EUR
250,000

5.500% due 06/08/19
255,789

0.13

Westfield Group




200,000

3.625% due 27/06/12
201,947

0.10




457,736

0.23



Austria (1.01%)



Austria, Republic of

800,000

4.000% due 15/09/16
834,072

0.42

375,000

4.650% due 15/01/18
403,057

0.20

700,000

3.650% due 20/04/22
687,272

0.34

100,000

4.150% due 15/03/37
98,938

0.05

2,023,339

1.01



Belgium (3.54%)



Anheuser-Busch Inbev NV




150,000

8.625% due 30/01/17
185,444

0.09

50,000

4.000% due 26/04/18
49,888

0.03

Belgium, Kingdom of




350,000

4.000% due 28/03/13
361,501

0.18

700,000

3.500% due 28/03/15
706,823

0.35

2,960,000

2.750% due 28/03/16
2,852,951

1.43

450,000

4.000% due 28/03/19
449,074

0.23

1,350,000

3.750% due 28/09/20
1,303,369

0.65

350,000

5.500% due 28/03/28
388,201

0.19



Fortis Bank Belgium NV




200,000

6.500% due 29/09/49
196,252

0.10

650,000

4.625% due 29/10/49
577,338

0.29




7,070,841

3.54



Brazil (0.20%)



Banco do Brasil SA




100,000

4.500% due 20/01/16
98,800

0.05



Telemar Norte Leste SA




150,000

5.125% due 15/12/17
145,875

0.07



Vale SA




150,000

4.375% due 24/03/18
150,086

0.08




394,761

0.20



Canada (0.25%)



Teck Resources Ltd



USD
2,000

9.750% due 15/05/14
1,712

0.00

3,000

10.250% due 15/05/16
2,542

0.00



Xstrata Finance Canada Ltd



EUR
480,000

5.250% due 13/06/17
502,597

0.25




506,851

0.25



Cayman Islands (0.01%)

Intelsat Jackson Holdings
SA



USD
15,000

8.500% due 01/11/19
11,363

0.01







Principal
Amount


Fair Value
EUR

Fund
%

Cayman Islands (0.51%)



IPIC GMTN



EUR
150,000

4.875% due 14/05/16
148,602

0.07



Thames Water Utilities
Cayman Finance




480,000

6.125% due 04/02/13

507,420

0.25

300,000

3.250% due 09/11/16
290,029

0.15



UPCB Finance III



USD
40,000

6.625% due 01/07/20
27,623

0.01



Voto-Votorantim Ltd

EUR
50,000

5.250% due 28/04/17
49,710

0.03




1,023,384

0.51



Czech Republic (0.02%)



CEZ




50,000

4.875% due 16/04/25

46,847

0.02










Denmark (0.25%)



TDC




100,000

3.500% due 23/02/15
99,319

0.05

400,000

4.375% due 23/02/18
399,522

0.20




498,841

0.25



Finland (0.61%)



Finland Government Bond




700,000

3.500% due 15/04/21
690,289

0.34

200,000

4.000% due 04/07/25
202,950

0.10



Nordea Bank Finland Plc




350,000

2.250% due 16/11/15
333,557

0.17




1,226,796

0.61

France (10.60%)



Alstom SA




50,000

4.125% due 01/02/17
49,389

0.02

200,000

3.625% due 05/10/18
186,904

0.09

200,000

4.500% due 18/03/20
194,555

0.10

AXA SA




770,000

6.211% due 29/10/49
690,111

0.34



Banque PSA Finance




50,000

3.250% due 26/11/12
50,176

0.02

150,000

4.000% due 19/07/13
151,649

0.08



BNP Paribas



USD
125,000

3.250% due 11/03/15
88,949

0.04
EUR
50,000

4.375% due 22/01/19
50,029

0.02

100,000

3.750% due 25/11/20

94,708

0.05

150,000

5.019% due 29/04/49
134,812

0.07



BNP Paribas Home Loan
Covered Bonds




150,000

4.125% due 15/01/14
154,717

0.08



BNP Paribas Public Sector
SCF

300,000

2.250% due 22/10/15
286,502

0.14

Russell Investment Company II plc
The Euro Fixed Income Fund

Schedule of Investments - continued

31 March 2011

The accompanying notes are an integral part of the financial statements.

The Euro Fixed Income Fund 23
Principal
Amount


Fair Value
EUR

Fund
%

BPCE SA




50,000

12.500% due 30/09/49
57,069

0.03

50,000

4.750% due 29/12/49
42,509

0.02

250,000

9.000% due 31/12/49
256,875

0.13

Caisse Refinancement de
l'Habitat




370,000

5.000% due 08/04/19
394,183

0.20

150,000

4.300% due 24/02/23
147,326

0.07



Carrefour




250,000

3.875% due 25/04/21
235,433

0.12



Casino Guichard Perrachon




100,000

6.375% due 04/04/13
106,431

0.05

50,000

5.500% due 30/01/15
52,991

0.03

100,000

4.481% due 12/11/18
99,351

0.05



Cie de Saint-Gobain




50,000

4.750% due 11/04/17
51,404

0.03



CM-CIC Covered Bonds




400,000

3.125% due 21/01/15
395,769

0.20

200,000

4.375% due 17/03/21
198,661

0.10



Compagnie de Financement
Foncier




440,000

4.875% due 25/05/21
456,991

0.23



Compagnie Generale De
Geophysique

USD
10,000

7.500% due 15/05/15
7,240

0.00



Credit Agricole



EUR
150,000

3.900% due 19/04/21
133,322

0.07



Credit Agricole Covered
Bonds

200,000

3.500% due 21/07/14
202,127

0.10



Credit Agricole SA



GBP
100,000

7.375% due 18/12/23
118,818

0.06
EUR
100,000

7.875% due 29/10/49
103,541

0.05

350,000

4.130% due 29/11/49
299,578

0.15



CSE Natle CSE Epargne




50,000

4.625% due 29/07/49
43,607

0.02



EDF




250,000

4.625% due 26/04/30
229,875

0.11



Eutelsat SA




200,000

4.125% due 27/03/17
197,660

0.10



FCC Proudreed Properties




241,095

1.319% due 18/08/17
223,495

0.11

France Government Bond
OAT




900,000

4.500% due 25/04/41
946,723

0.47

290,000

4.000% due 25/04/60
278,316

0.14



France OAT

2,360,000

4.000% due 25/04/18
2,457,999

1.23

1,275,000

2.500% due 25/10/20
1,152,757

0.58

750,000

6.000% due 25/10/25
917,699

0.46



France Telecom




28,000

7.250% due 28/01/13
30,316

0.01

50,000

5.625% due 22/05/18
54,890

0.03
Principal
Amount


Fair Value
EUR

Fund
%

450,000

3.875% due 09/04/20
436,613

0.22

France, Republic of




950,000

3.750% due 12/01/13
981,645

0.49

350,000

4.250% due 25/04/19
367,899

0.18

250,000

4.250% due 25/10/23
259,345

0.13

2,890,000

4.750% due 25/04/35
3,137,620

1.57

1,250,000

4.000% due 25/04/55
1,200,340

0.60



GCE Covered Bonds




100,000

2.750% due 14/01/15
97,496

0.05



GDF Suez

70,000

5.625% due 18/01/16
76,482

0.04

150,000

3.500% due 18/10/22
137,433

0.07

300,000

5.950% due 16/03/11
292,901

0.15



HSBC Covered Bonds
France

300,000

3.375% due 20/01/17
294,359

0.15



Legrand




200,000

4.375% due 21/03/18
199,238

0.10



LVMH Moet Hennessy
Louis




100,000

3.375% due 07/04/15
99,483

0.05



RCI Banque




100,000

3.250% due 17/01/14
98,545

0.05



Rhodia SA




63,982

3.748% due 15/10/13

63,833

0.03



RTE EDF Transport




200,000

4.125% due 03/02/21
197,423

0.10



Safran SA




200,000

4.000% due 26/11/14
200,264

0.10



Societe Generale SCF




100,000

3.000% due 31/03/15
97,822

0.05

200,000

4.250% due 03/02/23
199,059

0.10

100,000

6.999% due 29/12/49
98,979

0.05

Sparc Europe




100,000

1.962% due 15/07/13
98,500

0.05



Suez Environnement




50,000

6.250% due 08/04/19
57,270

0.03

50,000

4.820% due 31/12/49
48,580

0.02



Total Capital



USD
250,000

2.300% due 15/03/16
171,560

0.09



Veolia Environnement



EUR
50,000

6.750% due 24/04/19
58,115

0.03

100,000

5.125% due 24/05/22
103,329

0.05

50,000

6.125% due 25/11/33
53,644

0.03



Vinci




50,000

6.250% due 28/02/49
50,800

0.02

21,204,034

10.60



Germany (27.84%)



Bayerische Landesbank




300,000

2.750% due 23/01/12
303,075

0.15