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This letter investigates the role of index coding in the capacity of AWGN broadcast channels with receiver message side information. We first show that index coding is unnecessary where there are two receivers; multiplexing coding and superposition coding are sufficient to achieve the capacity region. We next show that, for more than two receivers, multiplexing coding and superposition coding alone can be suboptimal. We give an example where these two coding schemes alone cannot achieve the capacity region, but adding index coding can. This demonstrates that, in contrast to the two-receiver case, multiplexing coding cannot fulfill the function of index coding where there are three or more receivers.