form11k0610.htm


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

 


FORM 11-K



 


(Mark One)

[X]
ANNUAL REPORT PURSUANT TO SECTION 15(d)
 
OF THE SECURITIES EXCHANGE ACT OF 1934

For the year ended December 31, 2009

OR

[  ]
TRANSITION REPORT PURSUANT TO SECTION  15(d)
 
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                       to

 
 

 
AMERICAN ELECTRIC POWER SYSTEM
RETIREMENT SAVINGS PLAN
(Full title of the plan)
 

 

AMERICAN ELECTRIC POWER COMPANY, INC.
1 Riverside Plaza, Columbus, Ohio 43215
(Name of issuer of the securities held
pursuant to the plan and the address
of its principal executive office)
 
 

 
 

 


TABLE OF CONTENTS
 
Signatures
 
Report of Independent Registered Public Accounting Firm
 
Financial Statements
Statements of Net Assets Available for Benefits as of December 31, 2009 and 2008
Statements of Changes in Net Assets Available for Benefits for the Years Ended December 31, 2009 and 2008
Notes to Financial Statements
 
Supplemental Schedules
Schedule of Assets (Held at End of Year) as of December 31, 2009
Schedule of Assets (Acquired and Disposed of Within Year) for the Year Ended December 31, 2009
Schedule of Nonexempt Transactions
 
Exhibits
Exhibit Index
 
Consent of Independent Registered Public Accounting Firm
 
 










 
 

 


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Benefits Finance Committee has duly caused this annual report to be signed by the undersigned thereunto duly authorized.


    By:         /s/ Stephan T. Haynes            
Stephan T. Haynes, Secretary

 

Date:  June 21, 2010




 
 

 


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Participants of American Electric Power System Retirement Savings Plan:

We have audited the accompanying statements of net assets available for benefits of the American Electric Power System Retirement Savings Plan (the Plan) as of December 31, 2009 and 2008, and the related statements of changes in net assets available for benefits for the years then ended.  These financial statements are the responsibility of the Plan's management.  Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.  The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting.  Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting.  Accordingly, we express no such opinion.  An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.  We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2009 and 2008, and the changes in net assets available for benefits for the years then ended in conformity with accounting principles generally accepted in the United States of America.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole.  The supplemental schedules of (1) assets held as of December 31, 2009, (2) assets acquired and disposed in 2009, and (3) schedule for nonexempt transaction, are presented for the purpose of additional analysis and are not a required part of the basic financial statements, but are supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. These schedules are the responsibility of the Plan's management. Such schedules have been subjected to the auditing procedures applied in our audit of the basic 2009 financial statements and, in our opinion, are fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.

/s/ Deloitte & Touche LLP

Columbus, Ohio
June 21, 2010

 
 

 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
 
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2009 and 2008

   
2009
   
2008
 
ASSETS
           
Investments at Fair Value:
           
Participant Directed Investments
  $ 2,914,481,843     $ 2,379,889,312  
Wrapper Contracts
    1,332,221       1,712,868  
Participant Loans
    66,455,396       60,521,812  
NET ASSETS AVAILABLE FOR BENEFITS AT FAIR VALUE
    2,982,269,460       2,442,123,992  
                 
Adjustment from Fair Value to Contract Value for Fully Benefit
Responsive Investment Contracts
    49,132,012       106,018,835  
                 
NET ASSETS AVAILABLE FOR BENEFITS
  $ 3,031,401,472     $ 2,548,142,827  
                 
See Notes to Financial Statements.
               


 
 

 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
 
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
For the Years Ended December 31, 2009 and 2008

   
2009
   
2008
 
INVESTMENT INCOME (LOSS)
           
Net Appreciation (Depreciation) in Fair Value of Investments
  $ 349,619,288     $ (737,313,772 )
Interest
    32,432,036       43,946,885  
Dividends
    17,454,018       18,372,332  
Total Investment Income (Loss)
    399,505,342       (674,994,555 )
                 
CONTRIBUTIONS
               
Participants
    165,891,106       168,414,794  
Employer
    72,023,354       68,725,459  
Total Contributions
    237,914,460       237,140,253  
 
DISTRIBUTIONS TO PARTICIPANTS
    (148,134,967 )     (193,748,297 )
                 
ADMINISTRATIVE AND MANAGEMENT FEES
               
Professional Fees
    (779,070 )     (571,150 )
Investment Advisory and Management Fees
    (4,770,852 )     (5,342,141 )
Other Fees
    (476,268 )     (448,638 )
Total Administrative and Management Fees
    (6,026,190 )     (6,361,929 )
                 
INCREASE (DECREASE) IN NET ASSETS
    483,258,645       (637,964,528 )
                 
NET ASSETS AVAILABLE FOR BENEFITS BEGINNING OF YEAR
    2,548,142,827       3,186,107,355  
                 
NET ASSETS AVAILABLE FOR BENEFITS END OF YEAR
  $ 3,031,401,472     $ 2,548,142,827  
                 
See Notes to Financial Statements.
               

 
 

 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
 
NOTES TO FINANCIAL STATEMENTS
 
FOR THE YEARS ENDED DECEMBER 31, 2009 AND 2008

1.
PLAN DESCRIPTION

The following description of the American Electric Power System Retirement Savings Plan (the Plan) is provided for general information purposes only.  Participants should refer to the Plan documents for more complete information.

General

The Plan is a defined contribution plan that became effective and commenced operations on January 1, 1978.  The Plan covers eligible regularly-scheduled full-time and part-time employees of the participating subsidiaries of American Electric Power Company, Inc. (AEP or the Company).  American Electric Power Service Corporation (AEPSC) is the plan administrator (Plan Administrator) and plan sponsor (Plan Sponsor).  AEPSC is a wholly-owned subsidiary of AEP.  JP Morgan Chase Bank N.A. is the custodian and trustee and JP Morgan Retirement Plan Services LLC is the record keeper with respect to the Plan.

Contributions

Eligible employees will be automatically enrolled in the Plan with a 3% pretax deferral unless they elect to opt out of the automatic enrollment or revise their elections within a reasonable period of time after they are notified of their right not to have such pretax deferrals made on their behalf (or to have such pretax contributions made at a different percentage) and how their account will be invested in the absence of an investment election  The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (ERISA).  Generally, eligible employees participating in the Plan may make contributions (pre-tax, after-tax or designated Roth 401(k) contributions) in 1% increments up to 50% of their eligible pay (within IRS limits).  Participants who are age 50 and older are able to save additional pre-tax or Roth 401(k) amounts as catch up contributions.  The catch-up contribution limit was $5,500 for 2009 and $5,000 for 2008.  The Company contributes to the Plan, on behalf of each participant, an amount equal to 100% of the participant’s contributions up to 1% of the participant’s eligible compensation for each payroll period, plus 70% of the participant’s contributions from the next 5% of the participant’s eligible compensation for each payroll period, subject to certain limitations.  All contributions are deposited to the American Electric Power System Retirement Savings Plan Trust after each pay period.  The Plan, in a manner consistent with the requirements under section 401 of the Internal Revenue Code, restricts the amount that certain participants who are deemed highly compensated may contribute to the Plan, provided that it is AEPSC’s intent that the Plan include a “qualified automatic contribution arrangement” (as defined in Section 401(k)(13) of the Internal Revenue Code) effective beginning January 1, 2009, such that the pre-tax, the Roth 401(k) and Company matching contributions to the Plan during the year for such highly compensated participants are no longer subject to such restrictions.

Investments

The investment options offered by the Plan are a series of separately managed accounts, interests in commingled and collective trusts and self-directed mutual fund brokerage accounts for which JP Morgan affiliates provide custody, trustee, recordkeeping and other services.

Participant Accounts

Individual accounts are maintained for each Plan participant.  Each participant’s account is credited with the participant’s contributions, the Company’s matching contributions, and the Plan earnings and charged with benefit payments and allocations of Plan losses.  The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.

Participants may transfer the value of their cumulative contributions, in any whole percentage or dollar amount, among investments, and change their investment elections on a daily basis.  Participants may change their payroll contribution elections coinciding with the Company’s payroll periods. Excluding their pre-tax and Roth 401(k) contributions and post-2008 Company matching contributions, participants may make an unlimited number of withdrawals of their interest in the Plan, including their pre-2009 Company matching contributions, which are immediately vested.  Pre-tax and Roth 401(k) and post-2008 Company matching contributions are not eligible for withdrawal by participants until age 59-1/2, except under hardship (as defined by the Plan) or termination of employment.  Pre-tax and Roth 401(k) contributions also are eligible for withdrawal upon hardship (as defined by the Plan).

Vesting and Distribution

Participants are immediately vested in their pre-tax, after-tax, Roth 401(k) and the Company matching contributions, including earnings thereon.  The AEP Stock Fund, a Plan investment option, is an Employee Stock Ownership Plan (“ESOP”).  As a result, participants can elect to have dividends generated from their AEP Stock Fund holdings paid out in cash, rather than automatically reinvested in the fund.  The dividend payouts are made periodically (at least annually) and are treated as ordinary income for tax purposes.  The 10 percent early withdrawal penalty for individuals under age 59-1/2 does not apply to these dividend payouts.

Participant Loans

Participants may borrow from their savings plan accounts a minimum of $1,000 but no more than the lesser of $50,000 or 50% of their account balance.  Loan terms range from 12 months to 60 months (or up to 180 months for certain residential loans), or any monthly increment in-between.  Interest rates, fixed for the life of the loan, are calculated by adding 1% to the prime rate, as reported in the Wall Street Journal.  For loans taken before July 1, 2006, the interest rate is in effect as of the first business day of the calendar quarter in which the loan is taken.  For loans taken after July 1, 2006, the interest rate is in effect as of the first business day of the calendar month in which the loan is taken.  Active employees repay principal and interest payments through payroll deductions.

Retirees/surviving spouses may make monthly loan payments using a coupon book or through automatic withdrawal from their bank account.  Participant loans and the accrued interest are collateralized by the account balance, and upon default, the outstanding balance is subject to income taxes and possible tax penalty.

2.
ACCOUNTING POLICIES

Basis of Accounting

The accompanying financial statements are prepared on an accrual basis of accounting, in conformity with accounting principles generally accepted in the United States of America.

Investment Valuation and Income Recognition

Participants direct the investment of their contributions into various investment options offered by the Plan.  Investments are reported in the Statements of Net Assets Available for Benefits at fair value, except for the benefit responsive investment contracts, which are stated at contract value.  Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants at the measurement date.

Purchases and sales of securities have been recorded on a trade-date basis.  Interest income is recorded on an accrual basis.  Dividends are recorded on the ex-dividend date.  These amounts are reinvested by the Trustee in the funds that generated such income with the exception of the AEP Stock Fund, which pays or reinvests dividends at the direction of each participant.

Administrative Expenses and Management Fees

Administrative and Management Fees paid to JPMorgan during 2009 and 2008 totaled $3,066,704 and $3,008,464, respectively.  The Plan directly pays for administrative, recordkeeping and management fees.

Distributions to Participants

Benefits are recorded when paid.  There were no material amounts of distributions due to participants who requested distributions from the Plan as of December 31, 2009 and 2008.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of net assets available for benefits and changes therein and disclosure of contingent assets.  Actual results could differ from the estimates.

Subsequent Events

The Plan has evaluated subsequent events through the date the financial statements were available to be issued.

Fair Value Measurements of Assets

The accounting guidance for “Fair Value Measurements and Disclosures” establishes a hierarchy that prioritizes the inputs used to measure fair value.  The hierarchy gives the highest priority to securities with unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement).  Securities that are fair valued using unobservable inputs into their fair value pricing are considered to be Level 3 measurements.
 
 In the case of securities for which quoted market prices are not available, pricing may be estimated using comparable securities, dealer values, operating data and general market conditions to determine fair value.  Valuation models for these securities utilize various inputs such as commodity values, interest rates and, to a lesser degree, volatility and credit ratings.  Models may include quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in inactive markets, market corroborated inputs (i.e. inputs derived principally from, or correlated to, observable market data) and other observable inputs for the asset or liability.  Securities for which market quoted prices are not available but are valued by other observable methods are considered Level 2 in the fair value measurement hierarchy.

We utilize our trustee’s external pricing service in our estimate of the fair value of the underlying investments held in the Retirement Savings Plan.  Our investment managers review and validate the prices utilized by the trustee to determine fair value.  We perform our own valuation testing to verify the fair values of the securities.  We receive audit reports of our trustee’s operating controls and valuation processes.  The trustee uses multiple pricing vendors for the assets held in the trusts.  Equities are classified as Level 1 holdings if they are actively traded on exchanges.  Fixed income securities do not trade on an exchange and do not have an official closing price.  Pricing vendors calculate bond valuations using financial models and matrices.  Fixed income securities are typically classified as Level 2 holdings because their valuation inputs are based on observable market data.  Observable inputs used for valuing fixed income securities include benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, reference data, and economic events.  Other securities with model-derived valuation inputs that are observable are also classified as Level 2 investments.  Investments with unobservable valuation inputs are classified as Level 3 investments.

Equities and Registered Investment Companies are valued based on observable inputs, primarily unadjusted quoted prices in active markets for identical assets.

The individual fixed income securities are valued using models with input data as follows:

   
Type of Fixed Income Security
   
Government
 
Corporate
 
Mortgage Backed
Type of Input
 
Bonds
 
Debt
 
Securities
             
Benchmark Yields
 
X
 
X
 
X
Broker Quotes
 
X
 
X
 
X
Discount Margins
 
X
 
X
   
Treasury Market Update
 
X
       
Base Spread
 
X
 
X
 
X
Corporate Actions
     
X
   
Ratings Agency Updates
     
X
 
X
Prepayment Schedule and History
         
X
Yield Adjustments
 
X
       

Common Collective Trusts and the Managed Income Fund are valued at the net asset value per share (NAV).  The basis of the reported NAV is the total fair value of all underlying holdings minus expenses and liabilities.  The value of each unit is determined by dividing the net asset value of the Fund by the number of applicable units outstanding on the valuation date.  They are categorized as Level 2, if the investment can be redeemed at the NAV price.  The JP Morgan Strategic Property Fund at December 31, 2009 did not have sufficient liquidity to meet all investor withdrawal requests.  That fund has been categorized as Level 3, since we do not have the ability to redeem our investment in the near term. JP Morgan Emerging Markets Fund securities are classified as Level 3 holdings because their valuation is based on foreign stock exchanges with limited liquidity.  Over 80% of the holdings in the JP Morgan Emerging Markets Fund are equity securities, but traded on exchanges in emerging nations.

Wrapper Contracts are valued at replacement cost using current contract re-pricing less actual cost.  The replacement cost wrap fees are the current pricing from vendor for a similar instrument or based on other contract re-prices.

Participant Loans are valued at amortized cost, which approximates fair value.

JP Morgan Liquidity Fund and Cash Equivalents

The objective of this fund is to provide liquidity and meet short-term cash needs. Cash equivalent funds are used to provide diversification and preserve principal.  The underlying holdings in the cash funds are investment grade money market instruments including commercial paper, certificates of deposit, treasury bills and other types of investment grade short-term debt securities. The cash funds are valued each business day and provide daily liquidity.

Mellon Capital Small Cap Stock Index Fund

The objective of this fund is to track the performance of the Russell 2000 Index.  The underlying equity holdings of this Fund are actively traded on the major domestic stock exchanges and have readily available market quotes.

Mellon Capital Stock Index Fund

The objective of this fund is to track the performance of the S&P 500 index.  The underlying equity holdings of this Fund are actively traded on the major domestic stock exchanges and have readily available market quotes.

Mellon Capital International Stock Index Fund

The objective of this fund is to track the performance of the MSCI EAFE International Index.  The underlying equity holdings of this Fund are actively traded on the major non-U.S stock exchanges and have readily available market quotes

Alliance Bernstein International Style Blend

The objective of this fund is to exceed the performance of the MSCI EAFE InternationalIndex.  The underlying equity holdings of this Fund are actively traded on major non-U.S stock exchanges and have readily available market quotes.

JP Morgan US Real Estate Securities Fund

The objective of this fund is to exceed the performance of the MSCI U.S. REIT Index.  The underlying REIT equity holdings of this Fund are actively traded on the major domestic stock exchanges and have readily available market quotes.

Managed Income Fund

The JPMorgan Managed Income Fund is invested in the JPMorgan Intermediate Bond Fund and the JPMorgan Liquidity Fund.  The objective of the Fund is to exceed the return of the average money market fund and maintain an NAV of $1.  We use four Wrap Contracts to provide a crediting rate to participants and to mitigate risk of contract issuer default.  The underlying holdings in the Fund are fixed income securities   The Fund is diversified and has sufficient liquidity to transact at the reported NAV.

Mellon Capital Aggregate Bond Index Fund

The objective of this fund is to track the performance of the Barclays Capital U.S. Aggregate Index.  Fixed income securities do not trade on an exchange and do not have an official closing price.

JP Morgan Strategic Property Fund

The objective of this fund is to exceed the performance of the NCREIF Property Index.  The underlying holdings in the Fund are diversified real estate assets.  This diversified Fund consists of multiple properties and no single asset, tenant, or location has undue influence over the Fund’s value or performance.   The Fund’s diversified holdings help mitigate the risk of default and concentration risk.  However, the Fund is currently illiquid.

JP Morgan Emerging Markets Fund

The objective of this fund is to exceed the performance of the MSCI EM Free Index.  The majority of the underlying holdings of this Fund are traded on foreign stock exchanges in emerging markets.  The securities in these economies are typically less efficient and less liquid than those in developed markets.

3.
PLAN TERMINATION

Although it has not expressed any intent to do so, the Company has the right to discontinue its contributions to the Plan at any time and to terminate the Plan subject to the provisions of ERISA.  In the event of Plan termination, participants remain 100 percent vested in their accounts.

4.
INVESTMENTS

The Plan utilizes various investment instruments, including common stock, bonds, commingled funds, managed income funds, and investment contracts.  The financial statements include investments in commingled funds valued at $1,197 million (39% of net assets) and $889 million (35% of net assets) as of December 31, 2009 and 2008, respectively.  Of these balances, $20 million and $31 million were invested as of December 31, 2009 and 2008, respectively, in the JP Morgan Strategic Property Fund a real estate investment fund.  The remaining portion of the commingled funds’ underlying investments were funds invested in equity securities and bonds.  Additionally, the financial statements include investments in the Managed Income Fund valued at $887 million (29% of net assets) and $888 million (35% of net assets) as of December 31, 2009 and 2008, respectively.  This fund invests in bond funds and guaranteed investment contracts whose fair values have been estimated by management in the absence of readily determinable fair values.  Management’s estimates regarding the fair value of these commingled and managed income funds are based on information provided by the fund managers.

5.
INVESTMENT CONTRACTS

At December 31, 2009, the Managed Income Fund provides a self managed stable value investment option to participants that includes synthetic guaranteed investment contracts (GIC) which simulates the performance of a guaranteed investment contract through an issuer’s guarantee of a specific interest rate (the wrapper contract) and a portfolio of financial instruments that are owned by the Plan.  The Plan entered into four synthetic GIC contracts in July 2006.  The synthetic GIC contracts include underlying assets, which are held in a trust owned by the Plan and utilize benefit-responsive wrapper contracts issued by four banking institutions. The contracts provide that participants execute plan transactions at contract value. Contract value represents contributions made to the fund, plus earnings, less participant withdrawals. The interest rates are reset quarterly based on market rates of other similar investments, the current yield of the underlying investments and the spread between the market value and contract value.  The rate cannot be less than 0%. Certain events, such as plan termination or a plan merger initiated by the Plan Sponsor, may limit the ability of the Plan to transact at contract value or may allow for the termination of the wrapper contract at less than contract value. The Plan Sponsor does not believe that any events that may limit the ability of the plan to transact at contract value are probable.  During the year ended December 31, 2009, the credited rate and the average yield based on annualized earnings and interest credited to participants were 1.86% and 2.03%, respectively.  During the year ended December 31, 2008 the credited rate and average yield based on annualized earnings and interest credited to participants were 4.69% and 4.75%, respectively.

6.
INVESTMENTS EXCEEDING 5% OF NET PLAN NET ASSETS

Investments exceeding five percent of the Plan’s net assets were as follows:
 
   
December 31,
 
   
2009
   
2008
 
American Electric Power Company, Inc. Common Stock
  $ 290,349,477     $ 267,992,159  
Mellon Capital Aggregate Bond Index Fund
    320,369,946       267,155,971  
Mellon Capital Stock Index Fund
    384,825,849       277,166,824  
Mellon Capital International Stock Index Fund
    243,903,092       164,647,256  
Intermediate Term Bond Fund
    803,613,204       728,654,801  

7.
NET APPRECIATION (DEPRECIATION) OF INVESTMENTS

During 2009 and 2008, the Plan's investments (including investments purchased, sold and held during the year) appreciated (depreciated) in value as follows:
 
   
Years Ended December 31,
 
   
2009
   
2008
 
American Electric Power Company, Inc. - Common Stock
  $ 15,124,119     $ (99,973,910 )
Participant Loans
    182,114       104,604  
Common/Collective Trusts
    198,567,573       (361,388,798 )
Corporate Stock
    133,656,423       (255,804,906 )
Fixed Income Securities
    2,198,623       (7,479,660 )
Registered Investment Companies
    (109,564 )     (12,771,102 )
Net Appreciation (Depreciation) in Fair Value of Investments
  $ 349,619,288     $ (737,313,772 )

8.
PARTY-IN-INTEREST TRANSACTIONS

Certain transactions involving the Plan and its assets involved parties in interest with respect to the Plan, but those transactions were not prohibited transactions under ERISA because of the applicability of one or more exemptions.  The exempt party-in-interest transactions involving the Plan included the following:  JPMorgan Chase Bank, N.A., has been acting as trustee and custodian under the Plan, while its affiliates have been acting as (a) investment manager for a number of the Plan’s investment options, (b) the Plan’s record keeper and (c) investment advisor or investment manager for a number of plan participants with respect to the amounts held in their Plan accounts.

At December 31, 2009 and 2008, the Plan held 8,345,774 and 8,052,649 shares, respectively, of common stock of American Electric Power Company, Inc., the Plan Sponsor, with a cost basis of $285,828,645 and $290,548,737, respectively.  During the years ended December 31, 2009 and 2008, the Plan recorded dividend income of $14,017,339 and $12,960,231, respectively, related to this investment.

The Plan entered into a non-exempt prohibited transaction when it issued a $21,000 loan to a participant, who, as an employee of the Company, was a party-in-interest with respect to the Plan.  Exemption under ERISA 408(b)(1) requires that the loan be made in accordance with specific plan provisions, but the $21,000 loan was issued on April 9, 2008, when the participant’s highest outstanding loan balance in the preceding 12 months was approximately $32,500.  In the aggregate, these two loan balances exceeded the $50,000 limit imposed under the terms of the Plan by $3,500.  The Company undertook steps with the participant and appropriate government agencies to remediate the prohibited transaction, but such steps had not been completed by December 31, 2009.  Because the participant is not a “disqualified person” for purposes of Section 4975 of the Internal Revenue Code, Form 5330 is not required in connection with this transaction.

9.
FAIR VALUE MEASUREMENTS

The following tables set forth, by level within the fair value hierarchy, our financial assets and liabilities that were accounted for at fair value on a recurring basis as of December 31, 2009 and 2008.  As required by the accounting guidance for “Fair Value Measurements and Disclosures,” financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.  Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.  There have not been any significant changes in AEP’s valuation techniques.
 
Fair Value Measurements at December 31, 2009
 
   
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Equities
     
Corporate Stock – Domestic
  $ 471,790,974     $ -     $ -     $ 471,790,974  
AEP Stock Fund
    292,902,705       -       -       292,902,705  
Subtotal Equities
    764,693,679       -       -       764,693,679  
                                 
Fixed Income
                               
Government Bonds
    -       17,891,351       -       17,891,351  
Corporate Debt Securities
    -       7,778,197       -       7,778,197  
Mortgage Backed Securities
    -       22,055,886       -       22,055,886  
Subtotal Fixed Income
    -       47,725,434       -       47,725,434  
                                 
Common/Collective Trusts
                               
JPMCB Liquidity Fund
    -       10,075,323       -       10,075,323  
Mellon Capital Small Cap Stock Index Fund
    -       120,246,768       -       120,246,768  
Mellon Capital Stock Index Fund
    -       384,825,849       -       384,825,849  
Mellon Capital International Stock Index Fund
    -       243,903,092       -       243,903,092  
Alliance Bernstein International Style Blend
    -       70,450,436       -       70,450,436  
JP Morgan US Real Estate Securities Fund
    -       13,030,934       -       13,030,934  
Mellon Capital Aggregate Bond Index Fund
    -       320,369,946       -       320,369,946  
JP Morgan Strategic Property Fund
    -       -       20,401,736       20,401,736  
JP Morgan Emerging Markets Fund
    -       -       13,745,305       13,745,305  
Subtotal Common Collective Trusts
    -       1,162,902,348       34,147,041       1,197,049,389  
                                 
Registered Investment Companies
    47,703,075       -       -       47,703,075  
Cash Equivalents
    -       11,546,014       -       11,546,014  
Stable Value Fund
    -       836,434,950       -       836,434,950  
Participant Loans
    -       -       66,455,396       66,455,396  
Wrapper Contracts
                    1,332,221       1,332,221  
Accrued Items and Unsettled Trades
    2,923,100       6,406,202       -       9,329,302  
                                 
Total Assets
  $ 815,319,854     $ 2,065,014,948     $ 101,934,658     $ 2,982,269,460  

Fair Value Estimated Using Net Asset Value per Share as of December 31, 2009
 
   
Fair Value
 
Redemption Frequency
(If currently eligible)
Redemption Notice Period
           
JP Morgan Liquidity Fund
 
$
10,075,323 
 
Daily
1 Day
Mellon Capital Small Cap Stock Index Fund
   
120,246,768 
 
Daily
Trade Date + 1
Mellon Capital Stock Index Fund
   
384,825,849 
 
Daily
Trade Date + 1
Mellon Capital International Stock Index Fund
   
243,903,092 
 
Daily
Trade Date + 1
Alliance Bernstein International Style Blend
   
70,450,436 
 
Daily
1-30 Days
JP Morgan US Real Estate Securities Fund
   
13,030,934 
 
Daily
1 Day
Mellon Capital Aggregate Bond Index Fund
   
320,369,946 
 
Daily
Trade Date + 1
JP Morgan Strategic Property Fund
   
20,401,735 
 
Daily
45 Days
JP Morgan Emerging Markets Fund
   
13,745,306 
 
Daily
1 Day
Stable Value Fund
   
836,434,950 
 
Daily
1 Day
Total Assets
 
$
2,033,484,339 
     

Fair Value Measurements at December 31, 2008
 
   
   
Level 1
   
Level 2
   
Level 3
   
Total
 
       
Corporate Stock
  $ 345,027,766     $ -     $ -     $ 345,027,766  
Corporate Debt
    -       28,808,270       -       28,808,270  
Mortgage Backed Securities
    -       9,848,119       -       9,848,119  
Government Bonds
    -       11,441,975       -       11,441,975  
Common Collective Trust:
                               
Equities
    -       581,443,853       -       581,443,853  
Debt
    -       267,155,971       -       267,155,971  
Strategic Property
    -       -       31,212,837       31,212,837  
Emerging Markets
    -       -       8,764,187       8,764,187  
Cash Equivalents
    -       19,167,024       -       19,167,024  
Registered Investment Companies
    33,465,370       -       -       33,465,370  
Stable Value
    -       779,958,193       -       779,958,193  
Wrapper Contracts
                    1,712,868       1,712,868  
AEP Stock Fund
    270,663,162       -       -       270,663,162  
Participant Loans
    -       -       60,521,812       60,521,812  
Unsettled Trades
    3,226,069       (10,293,484 )     -       (7,067,415 )
Total Assets
  $ 652,382,367     $ 1,687,529,921     $ 102,211,704     $ 2,442,123,992  

The following tables set forth a reconciliation of changes in the fair value of investments classified as Level 3 in the fair value hierarchy:

Changes in Fair Value Measurements for the Year Ended December 31, 2009
 
   
   
Strategic
Property
Fund
   
Emerging
Markets
Fund
   
Wrapper
Contracts
   
Participant
Loans
   
Total
 
Balance at Beginning of Year
  $ 31,212,837     $ 8,764,187     $ 1,712,868     $ 60,521,812     $ 102,211,704  
                                         
Realized Gains (Losses)
    (846,000 )     319,435       -       -       (119,214 )
Unrealized Gains (Losses)
    (7,507,188 )     6,662,133       (380,647 )     -       (1,633,053 )
Purchases, Sales, Issuances, and Settlements (Net)
    (2,457,913 )     (2,000,450 )     -       5,933,584       1,475,221  
Balance at End of Year
  $ 20,401,736     $ 13,745,305     $ 1,332,221     $ 66,455,396     $ 101,934,658  

Changes in Fair Value Measurements for the Year Ended December 31, 2008
 
   
   
Strategic
Property
Fund
   
Emerging
Markets
Fund
   
Wrapper
Contracts
   
Participant
Loans
   
Total
 
Balance at Beginning of Year
  $ 53,073,359     $ 15,647,202     $ -     $ 58,519,891     $ 127,240,452  
                                         
Realized Gains
    2,233,758       820,004       -       -       3,053,762  
Unrealized Gains (Losses)
    (4,040,239 )     (6,571,629 )     1,712,868       -       (8,899,000 )
Purchases, Sales, Issuances, and Settlements (Net)
    (20,054,041 )     (1,131,390 )     -       2,001,921       (19,183,510 )
Balance at End of Year
  $ 31,212,837     $ 8,764,187     $ 1,712,868     $ 60,521,812     $ 102,211,704  

10.
RISK AND UNCERTAINITIES

The Plan utilizes various investment instruments, including common stock, bonds, commingled funds and investment contracts.  Investment securities are exposed to various risks, such as interest rate, credit and market volatility.  Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

11.
FEDERAL INCOME TAX

The Internal Revenue Service (IRS) has determined that the Plan meets the requirements of Section 401(a) of the Internal Revenue Code (the Code) and recognizes the exempt status of the Plan’s Trust pursuant to Section 501(a) of the Code.  By letter dated October 14, 2008, the IRS made a favorable determination on the Plan as amended by the various amendments described in the letter.

The Plan has been amended subsequent to the issuance of the IRS determination letter.  Management believes that the Company and Plan are currently designed and operated in compliance with the applicable requirements of the Code and that the Plan’s Trust continues to be tax-exempt.  Therefore, no provision for income taxes has been included in the Plan’s financial statements.

12.
LEGAL ISSUES

In 2002 and 2003, three putative class action lawsuits were filed in Federal District Court in Columbus, Ohio against AEP, certain executives and AEP’s ERISA Plan Administrator alleging violations of ERISA in the selection of AEP stock as an investment alternative and in the allocation of assets to AEP stock.  The plaintiffs sought recovery of an unstated amount of compensatory damages, attorney fees and costs.  Two of the three actions were dropped voluntarily by the plaintiffs in those cases.  In 2008, the trial court denied the plaintiff’s motion for class certification and ordered briefing on whether the plaintiff may maintain an ERISA claim on behalf of the Plan in the absence of class certification.  In February 2010, the plaintiff settled his individual claim and the parties agreed to the dismissal of the remaining case.

13.
RECONCILIATION OF FINANCIAL STATEMENTS TO THE FORM 5500

Due to changes in the IRS Form 5500 filing requirements, the income statement at Schedule H, Part II, now is required to separately report certain deemed distributions of participant loans, whether or not those loans may otherwise remain collectible and would still be (and are) reflected as assets on the accompanying financial statements, which are prepared on the accrual basis of accounting.  Because loans deemed distributed are no longer to be carried as assets of the Plan unless and until the participant actually undertakes the repayment, amounts reported on the Schedule H as Participant loans as of the beginning and ending of the year were adjusted so that prospectively the amounts reported on the Schedule H, Part I, Line 1c(8), columns (a) and (b) are in conformity with the 5500 filing requirements, but differ from those reported in the accompanying financial statements.

   
January 1,
Participant Loans – Schedule H, Part I, line 1c(8), Column (a)
 
2009
 
2008
Beginning Balance per Financial Statements
 
$
60,521,812 
 
$
58,519,891 
Less: Loans Deemed Distributed with No Post-Default Payments
   
(510,538)
   
(472,366)
Balance Reported on Form 5500
 
$
60,011,274 
 
$
58,047,525 

   
December 31,
Participant Loans – Schedule H, Part I, Line 1c(8), Column (b)
 
2009
 
2008
Ending Balance per Financial Statements
 
$
66,455,396 
 
$
60,521,812 
Less: Assets and Activity Related to Loans Deemed Distributed with No Payments Post-Default
   
(766,983)
   
(510,538)
Balance Reported on Form 5500
 
$
65,688,413 
 
$
60,011,274 

As a result of these changes, beginning and ending Net Assets available for benefits as well as Increase (Decrease) in Net Assets will differ from those totals reported on the Financial Statements.
   
January 1,
Net Assets – Schedule H, Part I, Line 1L, Column (a)
 
2009
 
2008
Beginning Balance per Financial Statements
 
$
2,548,142,827 
 
$
3,186,107,355 
Less: Loans Deemed Distributed with No Post-Default Payments
   
(510,538)
   
(472,366)
Less: Adjustment from Contract Value to Fair Value
   
(106,018,835)
   
Beginning Balance Reported on Form 5500
 
$
2,441,613,454 
 
$
3,185,634,989 

   
December 31,
Net Assets – Schedule H, Part I, Line 1L, Column (b)
 
2009
 
2008
Ending Balance per Financial Statements
 
$
3,031,401,472 
 
$
2,548,142,827 
Less: Adjustment from Contract Value to Fair Value
   
(49,132,012)
   
(106,018,835)
Less: Assets and Activity Related to Loans Deemed Distributed with No Payments Post-Default
   
(766,983)
   
(510,538)
Balance Reported on Form 5500
 
$
2,981,502,477 
 
$
2,441,613,454 

   
December 31,
Increase (Decrease) in Net Assets – Schedule H, Part II, Line 2k
 
2009
 
2008
Balance per Financial Statements
 
$
483,258,645 
 
$
(637,964,528)
Less: Loans Deemed Distributed
   
(256,445)
   
(38,172)
Less: Adjustment from Contract Value to Fair Value
    56,886,823     
(106,018,835)
Balance Reported on Form 5500
 
$
539,889,023 
 
$
(744,021,535)

 
 

 
 
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
 
SUPPLEMENTAL SCHEDULE OF ASSETS HELD AS OF DECEMBER 31, 2009
 
             
Identity of Issuer, Borrower, Lessor or Similar Party
 
Number of Shares/Units
   
Fair Value
 
Investment Contracts:
           
Stable Value Wrap
    -     $ 665,710  
  Bank of America
  variable annual yield  (2.00% at December 31, 2009)
  with an indeterminate maturity date
Stable Value Wrap
    -       -  
  ING
  variable annual yield (2.00% at December 31, 2009)
  with an indeterminate maturity date
Stable Value Wrap
    -       -  
  IXIS
  variable annual yield (2.00% at December 31, 2009)
  with an indeterminate maturity date
Stable Value Wrap
    -       666,511  
  State Street Bank
  variable annual yield (2.00% at December 31, 2009)
   with an indeterminate maturity date
Subtotal Wrapper Contracts
          $ 1,332,221  
                 
Intermediate Bond Fund-
          $ 803,613,204  
   JPMorgan Chase Bank
U.S. Treasury Notes
            95,271  
   (2.000%, due at February 28, 2010)
U.S. Treasury Notes
            110,709  
   (2.125%, due at April 30, 2010)
U.S. Treasury Notes
            252,471  
   (2.625%, due at May 31, 2010)
U.S. Treasury Notes
            582,614  
   (2.375%, due at August 31, 2010)
U.S. Treasury Notes
            1,371,091  
   (2.000%, due at September 30, 2010)
JPMorgan Chase Bank
            30,409,590  
   Liquidity Fund
Subtotal Stable Value
      836,434,950  
                 
TOTAL - INVESTMENT CONTRACTS
            837,767,171  
ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE
            49,132,012  
TOTAL - INVESTMENT CONTRACTS AT CONTRACT VALUE
          $ 886,899,183  

 
 

 

 
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
         
SUPPLEMENTAL SCHEDULE OF ASSETS HELD AS OF DECEMBER 31, 2009 (continued)
         
Identity of Issuer, Borrower, Lessor or Similar Party
Number of Shares/Units
 Fair Value
Cash Equivalents
       
(VAN 2) JPMORGAN DOMESTIC LIQUIDITY
      9,898,391
Units
$
           9,900,598
CASH
           12,034
Units
 
               12,034
CASH - COMMINGLED FUNDS
      1,633,382
Units
 
           1,633,382
Total Cash Equivalents
   
$
         11,546,014
         
Common / Collective Trusts
       
JP Morgan Liquidity Fund
     10,075,323
Units
 
         10,075,323
Mellon Capital Small Cap Stock Index Fund
      1,181,717
Units
 
       120,246,768
Mellon Capital Stock Index Fund
      3,737,298
Units
 
       384,825,849
Mellon Capital International Stock Index Fund
      2,443,307
Units
 
       243,903,092
Alliance Bernstein Internatinal Style Blend
      7,247,987
Units
$
         70,450,436
JP Morgan US Real Estate Securities Fund
         474,715
Units
 
         13,030,934
Mellon Capital Aggregate Bond Index Fund
      3,034,898
Units
 
       320,369,946
JP Morgan Emerging Markets Fund
         299,658
Units
 
         13,745,305
JP Morgan Strategic Property Fund
           16,129
Units
 
         20,401,736
         
Total Common / Collective Trusts
   
$
     1,197,049,389
         
AEP Stock Fund
       
American Electric Power Company, Inc.   Common Stock $6.50 par value
      8,345,774
Units
$
       290,349,477
       JP Morgan Liquid Assets Money Market Fund
      2,553,228
Units
 
           2,553,228
Total AEP Stock Fund
   
$
       292,902,705
         
Corporate Stock - Domestic
       
3M CO COM STK USD0.01
           12,000
Units
$
             992,040
AARONS INC COM
            5,100
Units
 
             141,515
ABBOTT LABORATORIES COM STK NPV
           62,500
Units
 
           3,374,375
ABM INDUSTRIES INC COM STK USD0.01
           10,435
Units
 
             215,587
ACE LIMITED CHF32.51
           20,100
Units
 
           1,013,040
ACUITY BRANDS INC COM STK USD0.01
            8,615
Units
 
             307,039
ADOBE SYSTEMS INC COM STK USD0.0001
         141,000
Units
 
           5,185,980
ADVANCE AUTO PARTS INC COM STK USD0.0001
            2,725
Units
 
             110,472
AEROPOSTALE INC COM STK USD0.01
           49,500
Units
 
           1,685,475
AFC ENTERPRISES INC COM STK USD0.001
            7,700
Units
 
               62,832
AFFILIATED MANAGERS GROUP INC COM STK USD0.01
            7,530
Units
 
             507,146
AGILENT TECHNOLOGIES INC COM STK USD0.01
           42,278
Units
 
           1,313,577
AIR METHODS CORP COM STK USD0.06
            8,100
Units
 
             272,322
AIR PRODUCTS & CHEMICALS INC COM STK USD1
            4,100
Units
 
             334,191
AKAMAI TECHNOLOGIES COM STK USD0.01
           28,900
Units
 
             732,037
ALCON INC CHF0.20
           25,900
Units
 
           4,256,665
ALEXANDRIA REAL ESTATE EQUITIES INC COM STK
            1,100
Units
 
               71,104
ALLEGHENY TECHNOLOGIES INC COM STK USD0.10
           10,510
Units
 
             470,533
ALLIANCE DATA SYSTEM COM STK USD0.01
           17,100
Units
 
           1,104,489
ALLIANCE HEALTHCARE SERVICES INC COM STK USD0.01
           10,005
Units
 
               57,129
ALLIANT TECHSYSTEMS INC COM STK USD0.01
           14,900
Units
 
           1,315,223
ALLSTATE CORP COM STK USD0.01
           64,600
Units
 
           1,953,504
ALTERA CORP COM STK USD0.001
           85,100
Units
 
           1,925,813
ALTRIA GROUP INC COM STK USD0.333
           49,600
Units
 
             990,512
AMAZON COM INC COM STK USD0.01
           43,700
Units
 
           5,878,524
AMEDISYS INC COM STK USD0.001
            4,870
Units
 
             236,487
AMEREN CORP COM STK USD0.01
           14,300
Units
 
             399,685
AMERICAN EAGLE OUTFITTER COM STK USD0.01
            9,855
Units
 
             168,323
AMERIPRISE FINANCIAL INC COM STK USD0.01
           73,000
Units
 
           2,833,860
AMERISOURCEBERGEN CORP COM STK NPV
           48,845
Units
 
           1,273,389
AMGEN INC COM STK USD0.0001
           16,900
Units
 
             956,033
AMPHENOL CORP CLASS'A'COM STK USD0.001
           27,800
Units
 
           1,284,221
AMR CORP COM STK USD1
           72,200
Units
 
             558,106
AMSURG CORP COM STK NPV
            5,835
Units
 
             128,487
ANALOG DEVICES INC COM STK USD0.16 2/3
           80,900
Units
 
           2,554,822
ANNTAYLOR STORES CORP COM STK USD0.0068
           48,600
Units
 
             662,904
ANWORTH MORTGAGE ASSET CORP COM STK USD0.01
           47,155
Units
 
             343,288
APACHE CORP COM STK USD1.25
           11,400
Units
 
           1,176,138
APOLLO INVESTMENT CORP COM STK USD0.001
           27,040
Units
 
             265,262
APPLE INC COM STK NPV
           35,700
Units
 
           7,527,702
APTARGROUP INC COM STK USD0.01
           22,700
Units
 
             811,298
ARBITRON INC COM STK USD0.50
            6,510
Units
 
             153,115
ARCH CAPITAL GROUP COM STK USD0.01
            6,200
Units
 
             443,610
ARCHER DANIELS MIDLAND CO COM STK NPV
           11,100
Units
 
             347,541
ARES CAPITAL CORP COM STK USD0.001
           37,400
Units
 
             465,630
ARGO GROUP INTL HLDGS COM STK USD0.01
            7,919
Units
 
             230,760
ARKANSAS BEST CORP COM STK USD0.01
            5,415
Units
 
             159,363
ARRIS GROUP INC COM STK USD0.01
           70,700
Units
 
             808,101
ARROW ELECTRONICS INC COM STK USD1
           37,185
Units
 
           1,101,048
ASBURY AUTOMOTIVE GROUP INC COM STK USD0.01
           21,575
Units
 
             248,760
ASCENT MEDIA CORPORATION SER'A'USD0.01
            2,905
Units
 
               74,165
ASHLAND INC COM STK USD1
           15,450
Units
 
             612,129
ASML HOLDING NV EUR0.09(NY REG)
           37,900
Units
 
           1,292,011
ASPEN INSURANCE HLDGS COM STK USD0.15144558
            5,800
Units
 
             147,610
ASSURANT INC COM STK USD0.01
           48,175
Units
 
           1,420,199
ASSURED GUARANTY LTD COM STK USD0.01
           77,200
Units
 
           1,679,872
ASTRAZENECA PLC ADR EACH REP 1 ORD USD0.25(MGT)
           20,200
Units
 
             948,188
ATHEROS COMMUNICATIONS INC COM STK USD0.0005
           41,200
Units
 
           1,410,688
ATMEL CORP COM STK USD0.001
         243,093
Units
 
           1,120,659
ATWOOD OCEANICS INC COM STK USD1
           20,800
Units
 
             745,680
AUTONATION INC COM STK USD0.01
           49,300
Units
 
             944,095
AVNET INC COM STK USD1
           44,625
Units
 
           1,345,890
AVON PRODUCTS INC COM STK USD0.25
           33,700
Units
 
           1,061,550
BAIDU INC ADS EACH REPR 1 ORD CLS'A'SHS
            2,200
Units
 
             904,706
BALL CORP COM STK NPV
            6,800
Units
 
             351,560
BANK OF AMERICA CORP COM EQV SECS(CONS DEP SHS &
           37,600
Units
 
             560,992
BANK OF AMERICA CORP COM STK USD0.01
           57,100
Units
 
             859,926
BANK OF HAWAII CORP COM STK USD2
           18,500
Units
 
             870,610
BAXTER INTERNATIONAL INC COM STK USD1
           54,800
Units
 
           3,231,556
BE AEROSPACE INC COM STK USD0.01
           31,600
Units
 
             742,600
BEACON ROOFING SUPPLY INC COM STK USD0.01 CLS'A'
            7,330
Units
 
             117,280
BECKMAN COULTER INC COM STK USD0.10
           24,386
Units
 
           1,595,820
BED BATH AND BEYOND COM STK USD0.01
           22,600
Units
 
             873,038
BEL FUSE INC CLASS'B'SHS USD0.1
            4,000
Units
 
               85,960
BELDEN INC COM STK USD0.01
           19,045
Units
 
             418,419
BELO CORP CLASS'A'COM STK USD1.67
           76,900
Units
 
             418,336
BERKSHIRE HILLS BANCORP INC COM STK USD0.01
            1,500
Units
 
               31,020
BIG LOTS INC COM STK USD0.01
           29,466
Units
 
             853,925
BILL BARRETT CORP COM NPV
           14,500
Units
 
             451,095
BIO RAD LABORATORIES INC CLASS'A'COM STK USD0.0001
            1,100
Units
 
             106,106
BJ SERVICES COM STK USD0.10
           37,600
Units
 
             701,240
BJS WHOLESALE CLUB INC COM STK USD0.01
           34,365
Units
 
           1,124,079
BLACK BOX CORP COM STK USD0.001
            4,700
Units
 
             133,480
BLOCK(H & R) INC COM STK NPV
           11,980
Units
 
             272,785
BMC SOFTWARE INC COM STK USD0.01
           32,300
Units
 
           1,295,230
BORG-WARNER INC COM STK USD0.01
           16,500
Units
 
             548,130
BOWNE & CO INC USD0.01
           32,940
Units
 
             220,039
BP AMOCO P.L.C ADR-EACH CNV INTO 6 ORD USD0.25
           18,000
Units
 
           1,043,460
BRADY CORP 'A'NON.V USD0.01
            5,375
Units
 
             161,304
BRINK'S COMPANY BRINKS GROUP COM USD1
           12,885
Units
 
             313,621
BRISTOW GROUP INC COM STK USD0.01
           13,720
Units
 
             527,534
BROCADE COMM USD0.001
         116,900
Units
 
             891,947
BROOKS AUTOMATION INC
           59,400
Units
 
             509,652
BROWN & BROWN INC COM STK USD0.10
            3,700
Units
 
               66,489
BROWN SHOE CO INC COM STK USD3.75
           19,230
Units
 
             191,146
BUCKLE COM STK USD0.05
           38,450
Units
 
           1,125,816
BUCYRUS INTERNATIONAL INC COM STK USD0.01
           35,700
Units
 
           2,012,409
BUNGE LTD COM STK USD0.01
            5,500
Units
 
             351,065
CABLEVISION SYSTEMS CORP NY GROUP COM STK USD0.01
           60,400
Units
 
           1,559,528
CABOT CORP COM STK USD1
            3,272
Units
 
               85,825
CACI INTL INC CLASS A COM
            3,900
Units
 
             190,515
CAE INC COM NPV
         112,700
Units
 
             927,521
CALLAWAY GOLF CO COM STK USD0.01
           18,110
Units
 
             136,549
CAMBREX CORP COM STK USD0.10
            9,700
Units
 
               54,126
CAMECO CORP COM NPV
           71,300
Units
 
           2,297,765
CAMPBELL SOUP CO CAP STK USD0.0375
           26,900
Units
 
             916,618
CAPITALSOURCE INC COM STK USD0.01
           37,865
Units
 
             150,324
CAPSTEAD MTGE.CORP COM STK USD0.01
           15,265
Units
 
             216,610
CARLISLE COS INC COM STK USD1
           14,499
Units
 
             496,736
CEC ENTERTAINMENT COM STK USD0.10
            7,400
Units
 
             236,208
CELANESE CORP COM STK USD0.0001 CLS'A'
           10,949
Units
 
             351,463
CELGENE CORP COM STK USD0.01
           45,900
Units
 
           2,555,712
CENOVUS ENERGY INC NPV
           16,400
Units
 
             413,280
CENTENE CORP(DEL) COM STK USD0.001
            8,435
Units
 
             178,569
CEPHALON INC COM STK USD0.01
           15,300
Units
 
             954,873
CHARMING SHOPPES INC COM STK USD0.10
           39,735
Units
 
             257,085
CHECKPOINT SYSTEMS COM STK USD0.10
            7,645
Units
 
             116,586
CHEVRON CORP COM STK USD0.75
           13,100
Units
 
           1,008,569
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)
           22,700
Units
 
             458,994
CHICOS FAS INC COM STK USD0.01
           13,300
Units
 
             186,865
CHINA MEDICAL TECHNOLOGIES INC ADR EACH REP 10 ORD
           17,100
Units
 
             240,255
CHUBB CORP COM STK USD1
           19,200
Units
 
             950,976
CIBER INC COM STK USD0.01
           23,100
Units
 
               79,695
CIGNA CORP COM STK USD0.25
           50,255
Units
 
           1,772,494
CINCINNATI BELL NC USD0.01
         237,100
Units
 
             817,995
CISCO SYSTEMS INC COM STK USD0.001
         200,400
Units
 
           4,797,576
CITY HLDG CO COM STK USD2.50
            3,000
Units
 
               96,990
CLIFFS NATURAL RESOURCES INC COM STK USD0.125
           20,500
Units
 
             944,845
CMS ENERGY CORP COM STK USD0.01
           26,400
Units
 
             413,424
COACH INC COM STK USD0.01
           48,520
Units
 
           1,772,436
COGNEX CORP COM STK USD0.002
           40,500
Units
 
             717,660
COGNIZANT TECHNOLOGY SOLUTIONS CORP COM STK
           19,000
Units
 
             860,700
COLGATE-PALMOLIVE CO COM STK USD1
           30,900
Units
 
           2,538,435
COLONY FINANCIAL INC USD0.01
            6,100
Units
 
             124,684
COMMERCE BANCSHARES INC COM STK USD5
            1,575
Units
 
               60,984
COMPUTER SCIENCES CORP COM STK USD1
           38,910
Units
 
           2,238,492
COMTECH TELECOMMUNICATIONS COM STK USD0.10
           21,657
Units
 
             759,078
CONMED CORP COM STK USD0.01
           11,280
Units
 
             257,184
CONOCOPHILLIPS COM STK USD1.25
           19,100
Units
 
             975,437
CONSOL ENERGY INC COM STK USD0.01
           13,900
Units
 
             692,220
CONSTELLATION ENERGY GROUP INC COM STK NPV
           11,000
Units
 
             389,510
CONVERGYS CORP COM STK NPV
           16,800
Units
 
             180,600
CORE LABORATORIES NV EUR0.01
            1,200
Units
 
             141,744
CORPORATE EXECUTIVE BOARD CO COM STK USD0.01
           10,410
Units
 
             237,556
COSTCO WHOLESALE CORP COM STK USD0.005
           46,000
Units
 
           2,721,820
COVANCE INC COM STK USD0.01
            5,502
Units
 
             300,244
CRA INTERNATIONAL INC COM
            3,569
Units
 
               95,114
CRACKER BARREL OLD COUNTRY STORE INC
           25,400
Units
 
             964,946
CREDIT SUISSE GROUP ADR-EACH REPR 1 ORD(DT
           20,600
Units
 
           1,012,696
CREE INC COM STK USD0.005
           18,000
Units
 
           1,014,660
CROWN MEDIA HOLDINGS CLASS'A'COM STK USD0.01
           41,400
Units
 
               60,030
CUMMINS INC COM STK USD2.50
           71,000
Units
 
           3,256,060
CVB FINANCIAL NPV
           14,811
Units
 
             129,226
CYTEC INDUSTRIES INC COM STK USD0.01
            5,155
Units
 
             187,745
DARDEN RESTAURANTS INC COM STK NPV
           12,900
Units
 
             452,403
DAVITA INC COM STK USD0.001
            9,910
Units
 
             582,113
DECKERS OUTDOOR CORP COM STK USD0.01
            3,700
Units
 
             376,364
DELPHI FINANCIAL GROUP INC CLASS'A'COM STK USD0.01
           10,600
Units
 
             237,122
DIEBOLD INC COM STK USD1.25
           25,875
Units
 
             736,144
DISCOVERY COMMUNICATIONS INC CLS 'A' USD0.01
           29,050
Units
 
             890,964
DISCOVERY COMMUNICATIONS INC CLS 'C' USD0.01
           29,050
Units
 
             770,406
DOLBY LABORATORIES INC COM STK USD0.001 CLASS 'A'
           29,000
Units
 
           1,384,170
DOLE FOOD CO INC USD0.001
           43,910
Units
 
             544,923
DOLLAR TREE INC COM STK USD0.01
           18,800
Units
 
             908,040
DONNELLEY(R.R.)& SONS CO COM STK USD1.25
           43,336
Units
 
             965,093
DOVER CORP COM STK USD1
           17,800
Units
 
             740,658
DOW CHEMICAL CO COM STK USD2.50
           12,400
Units
 
             344,472
DRESS BARN INC COM STK USD0.05
            6,555
Units
 
             151,421
DTE ENERGY CO COM STK NPV
            9,000
Units
 
             397,080
DU PONT(E.I.)DE NEMOURS & CO COM STK USD0.30
           10,600
Units
 
             356,902
DUKE REALTY CORP COM STK USD0.01
           68,379
Units
 
             832,172
DYNCORP INTERNATIONAL INC COM STK USD0.01
           64,300
Units
 
             922,705
E TRADE FINANCIAL CORP COM STK USD0.01
         262,860
Units
 
             460,005
EARTHLINK INC COM STK USD0.01
           26,355
Units
 
             219,010
EAST WEST BANCORP INC COM STK USD0.01
           28,310
Units
 
             447,298
EASTMAN CHEMICAL CO COM STK USD0.01
            5,500
Units
 
             333,740
EATON CORP COM USD0.50
           14,100
Units
 
             897,042
EBIX. COM INC USD0.10
            3,900
Units
 
             190,437
EDISON INTERNATIONAL COM STK NPV
           10,400
Units
 
             364,988
EL PASO ELECTRIC CO COM STK NPV
           16,400
Units
 
             332,592
ELECTRONICS FOR IMAGING INC COM STK USD0.01
           11,860
Units
 
             154,299
EMULEX CORP COM STK USD0.10
           19,999
Units
 
             217,989
ENCANA CORP COM NPV
           16,400
Units
 
             531,196
ENDURANCE SPECIALTY HLDGS LTD USD1
           19,500
Units
 
             725,985
ENERGEN CORP COM STK USD0.01
           18,900
Units
 
             884,520
ENERSYS COM USD0.01
           18,605
Units
 
             406,891
ENI ADR EACH REP 2 ORD (MGT)
           18,800
Units
 
             951,468
ENSCO PLC
           21,100
Units
 
             842,734
ENSTAR GROUP LIMITED SHS
               800
Units
 
               58,416
EQUIFAX INC COM STK USD1.25
           15,785
Units
 
             487,599
EXPRESS SCRIPTS INC COM STK USD0.01
           14,400
Units
 
           1,244,880
EXXON MOBIL CORP COM STK NPV
           13,800
Units
 
             941,022
FAMILY DOLLAR STORES INC COM STK USD0.10
            8,100
Units
 
             226,517
FBR CAPITAL MARKETS COM STK USD0.001
           37,540
Units
 
             231,997
FEDERATED INVESTORS INC COM STK CLASS'B'USD0.01
            6,780
Units
 
             186,450
FIDELITY NATIONAL FINANCIAL INC CLASS 'A' COM STK
           13,850
Units
 
             186,421
FIFTH STREET FINANCE CORP USD0.01
           19,245
Units
 
             206,691
FINISH LINE INC CLASS'A'COM STK USD0.01
           13,680
Units
 
             171,684
FIRST AMERICAN CORP COM STK USD1
            6,180
Units
 
             205,979
FIRST CITIZENS BANCSHARES INC NRTH CLASS'A'SHS
            1,495
Units
 
             245,643
FIRST MIDWEST BANCORP COM STK USD0.01
           15,219
Units
 
             165,887
FIRSTENERGY CORP COM STK USD0.10
            8,700
Units
 
             404,115
FLOWSERVE CORP COM STK USD1.25
           14,000
Units
 
           1,327,092
FLUOR CORP(NEW) COM STK USD0.01
                 -
Units
 
                 2,263
FLUSHING FINANCIAL CORP COM STK USD0.01
           49,300
Units
 
             555,118
FNB CORP PA COM STK USD0.01
           24,352
Units
 
             165,350
FOOT LOCKER INC COM STK USD0.01
           20,430
Units
 
             227,590
FORD MOTOR CO COM STK USD0.01
           95,800
Units
 
             958,000
FOREST LABORATORIES INC COM STK USD0.10
           30,718
Units
 
             986,355
FRANKLIN RESOURCES INC COM STK USD0.10
            9,700
Units
 
           1,024,029
FRESH DEL MONTE PRODUCE NV COM STK USD0.01
           12,075
Units
 
             266,858
FTI CONSULTING INC COM STK USD0.01
            9,360
Units
 
             441,418
FULLER(H.B.)CO COM STK USD1
           12,400
Units
 
             282,100
G & K SERVICES INC CLASS'A'COM STK USD0.50
            7,580
Units
 
             190,485
GAMESTOP CORPORATION NEW CLASS 'A' COM USD0.001
           48,809
Units
 
           1,070,869
GANNETT CO INC COM STK USD1
           37,700
Units
 
             561,353
GAP INC COM STK USD0.05
           40,800
Units
 
             854,760
GARDNER DENVER INC COM STK USD0.01
            6,050
Units
 
             257,428
GENCORP INC COM STK USD0.10
           65,400
Units
 
             457,800
GENERAL CABLE CORP COM STK USD0.01
           18,600
Units
 
             547,212
GILEAD SCIENCES INC COM STK USD0.001
         112,000
Units
 
           4,847,360
GLAXOSMITHKLINE ADR EACH REPR 2 ORD GBP0.25
           22,502
Units
 
             963,402
GLOBAL PAYMENTS INC COM STK USD0.001
            8,755
Units
 
             471,544
GOLDMAN SACHS GROUP INC COM STK USD0.01
           29,400
Units
 
           4,963,896
GOODRICH CORP COM STK USD5
           26,700
Units
 
           1,722,684
GOODRICH PETROLEUM CORPORATION COM STK USD0.20
           35,700
Units
 
             869,295
GOOGLE INC COM STK USD0.001 CLS'A'
           12,619
Units
 
           7,823,528
GRACO INC COM STK USD1
            5,000
Units
 
             142,850
GRANITE CONSTRUCTION COM STK USD0.01
            3,710
Units
 
             125,361
GREATBATCH INC COM STK USD0.001
            2,261
Units
 
               43,479
GREIF INC COM STK CLASS'A' NPV
            2,400
Units
 
             130,464
GRIFFON CORP COM STK USD0.25
           33,101
Units
 
             404,494
GROUP 1 AUTOMOTIVE INC COM STK NPV
            5,245
Units
 
             148,696
GUESS INC COM STK USD0.01
           11,100
Units
 
             469,530
GYMBOREE CORP COM STK USD0.001
            3,415
Units
 
             148,518
HAEMONETICS CORP COM STK USD0.01
            4,785
Units
 
             263,893
HANGER ORTHOPEDICCOM USD0.01
            8,660
Units
 
             119,768
HANOVER INSURANCE GROUP INC COM STK USD0.01
           10,330
Units
 
             458,962
HARMONIC INC COM STK USD0.001
         157,400
Units
 
             996,342
HARRIS CORP COM STK USD1
           11,340
Units
 
             539,217
HARRIS STRATEX NETWORKS INC COM STK USD0.01
           26,500
Units
 
             183,115
HARSCO CORP COM STK USD1.25
           37,293
Units
 
           1,201,953
HARTE-HANKS INC COM STK USD1
            9,829
Units
 
             105,957
HARTFORD FINANCIAL SERVICES GRP INC COM STK
           55,200
Units
 
           1,286,187
HATTERAS FINANCIAL CORP USD0.001
            6,360
Units
 
             185,458
HCC INSURANCE HLDG COM STK USD1
           29,600
Units
 
             831,908
HEALTH CARE REIT INC COM STK USD1
            1,020
Units
 
               45,206
HEARTLAND PAYMENT SYSTEMS INC COM STK USD0.001
           12,525
Units
 
             164,453
HEIDRICK & STRUGGLES COM STK USD0.01
           31,805
Units
 
             993,588
HEINZ(H.J.)CO COM STK USD0.25
           22,800
Units
 
             984,504
HELIX ENERGY SOLUTIONS GROUP INC COM STK NPV
           24,055
Units
 
             282,646
HELMERICH & PAYNE INC COM STK USD0.10
           35,200
Units
 
           1,403,776
HERBALIFE LTD
           23,200
Units
 
             941,224
HEWITT ASSOCIATES COM USD0.01 CLASS A
            7,515
Units
 
             317,584
HEWLETT-PACKARD CO COM STK USD0.01
         110,800
Units
 
           5,715,564
HEXCEL CORP COM STK USD0.01
           57,000
Units
 
             739,860
HILLENBRAND INC NPV
           19,070
Units
 
             359,279
HORACE MANN EDUCATORS CORP COM STK USD0.001
            7,370
Units
 
               92,125
HORNBECK OFFSHORE SERVICES INC COM STK USD0.01
            3,171
Units
 
               73,821
HOSPIRA INC COM STK USD0.01
           14,900
Units
 
             759,900
HUMANA INC COM STK USD0.166
           26,900
Units
 
           1,180,641
IAC/INTERACTIVE CORP COM STK USD0.01
           20,500
Units
 
             419,840
ICT GROUP INC COM STK USD0.01
            6,300
Units
 
             102,879
ILLUMINA INC COM STK USD0.01
           24,600
Units
 
             753,990
IMATION CORP COM STK USD0.01
           14,280
Units
 
             124,522
INDEPENDENT BANK CORP(MASS) COM STK USD0.01
            2,500
Units
 
               52,675
INFINITY PROPERTY & CASUALTY CORP COM NPV
            3,150
Units
 
             128,016
INGRAM MICRO INC CLASS'A'COM STK USD0.01
           21,915
Units
 
             382,417
INSIGHT ENTERPRISE INC COM STK USD0.01
           25,445
Units
 
             290,582
INTEGRATED DEVICE TECHNOLOGY INC COM STK USD0.001
           95,311
Units
 
             616,662
INTEGRYS ENERGY GROUP INC COM STK USD1
            9,842
Units
 
             413,266
INTEL CORP COM STK USD0.001
         153,300
Units
 
           3,127,320
INTERACTIVE DATA CORP COM STK NPV
            7,600
Units
 
             192,280
INTERMEC INC COM STK USD0.01
           48,700
Units
 
             626,282
INTERNATIONAL BUS MACH CORP COM STK USD0.20
            9,600
Units
 
           1,256,640
INTERNATIONAL PAPER CO COM STK USD1
           13,200
Units
 
             353,496
INTERNATIONAL SPEEDWAY CORP CLASS'A'COM STK
           11,835
Units
 
             336,706
INVACARE CORP COM STK NPV
            5,380
Units
 
             134,244
INVENTIV HEALTH INC COM STK USD0.001
            8,200
Units
 
             132,594
ION GEOPHYSICAL CORPORATION COM STK USD0.01
           84,900
Units
 
             502,608
ISIS PHARMACEUTICAL COM STK USD0.001
           62,000
Units
 
             688,200
ITT EDUCATIONAL SERVICES INC COM STK USD0.01
           26,200
Units
 
           2,514,152
JACK IN THE BOX INC COM STK USD0.01
            8,900
Units
 
             175,063
JACKSON HEWITT TAX SERVICE INC COM STK USD0.01
           17,700
Units
 
               77,880
JOHNSON & JOHNSON COM STK USD1
           14,800
Units
 
             953,268
JOHNSON CONTROLS INC COM STK USD0.01388
           71,800
Units
 
           1,965,166
JONES LANG LASALLE INC COM STK USD0.01
            7,965
Units
 
             481,086
JOY GLOBAL INC COM STK USD1
           24,100
Units
 
           1,243,319
JPMORGAN CHASE & CO COM STK USD1
           81,900
Units
 
           3,412,773
JUNIPER NETWORKS COM STK USD0.00001
           70,300
Units
 
           1,874,901
KANSAS CITY SOUTHERN COM STK USD0.01
           25,200
Units
 
             838,908
KB HOME COM STK USD1
           40,800
Units
 
             558,144
KBR INC COM STK USD0.001
           50,400
Units
 
             959,860
KENNAMETAL INC CAP STK USD1.25
            7,400
Units
 
             191,808
KFORCE INC COM STK USD0.01
            5,092
Units
 
               63,650
KIMBERLY-CLARK CORP COM STK USD1.25
           14,500
Units
 
             932,495
KINDRED HEALTHCARE INC COM STK USD0.25
           21,215
Units
 
             391,629
KINROSS GOLD CORP COM STK NPV
           38,300
Units
 
             704,720
KNIGHT CAPITAL GROUP INC CLASS'A' COM STK USD0.01
           29,605
Units
 
             455,917
KNOLL INC COM STK USD1
           19,720
Units
 
             203,708
KNOLL INC COM STK USD1
           16,555
Units
 
             171,013
KOHLS CORP COM STK USD0.01
           33,000
Units
 
           1,779,690
L-1 IDENTITY SOLUTIONS INC COM STK USD0.001
           47,400
Units
 
             355,026
LAM RESEARCH CORP COM STK USD0.001
           34,000
Units
 
           1,333,140
LANCE INC COM STK USD0.833
            6,200
Units
 
             163,060
LANDSTAR SYSTEMS INC COM STK USD0.01
            6,740
Units
 
             261,310
LAS VEGAS SANDS CORP COM STK USD0.001
           72,400
Units
 
           1,081,656
LAZARD LTD COM STK CLASS 'A' USD0.01
           36,460
Units
 
           1,384,386
LENNAR CORP COM STK USD0.10
           26,340
Units
 
             336,362
LENNOX INTERNATIONAL INC COM STK USD0.01
            4,970
Units
 
             194,725
LEXMARK INTERNATIONAL INC CLASS'A'COM STK USD0.01
            7,175
Units
 
             186,407
LIBERTY MEDIA HOLDING COM STK NPV CAP'A' WI
           13,200
Units
 
             315,216
LIFE TECHNOLOGIES CORP COM
           16,100
Units
 
             840,903
LIFE TIME FITNESS INC COM STK USD0.02
            4,457
Units
 
             111,113
LIFEPOINT HOSPITALS INC COM STK USD0.01
            8,770
Units
 
             285,113
LILLY(ELI)& CO COM STK NPV
           26,000
Units
 
             928,460
LIN TV CORP COM STK USD0.01
           86,100
Units
 
             384,006
LINCARE HLDGS INC COM STK USD0.01
           11,570
Units
 
             429,478
LINCOLN ELECTRIC HLDGS INC COM STK NPV
           15,970
Units
 
             858,060
LINCOLN NATIONAL CORP COM STK USD1.25
           34,805
Units
 
             865,948
LIVE NATION ENTERTAINMENT INC COM STK USD0.01
           56,125
Units
 
             477,624
LODGENET INTERATIVE CORP
           45,200
Units
 
             249,956
LONGTOP FINANCIAL TECHNOLOGIES ADR EACH REPR 1 ORD
           13,500
Units
 
             499,770
LSI CORPORATION COM STK USD0.01
         123,700
Units
 
             743,437
LUBRIZOL CORP COM STK NPV
            4,900
Units
 
             357,455
MACK CALI REALTY CORP COM STK USD0.01
            2,500
Units
 
               86,425
MANPOWER INC COM STK USD0.01
            5,530
Units
 
             301,827
MANTECH INTERNATIONAL CORP COM STK USD0.01
           19,500
Units
 
             941,460
MARATHON OIL CORP COM STK USD1
           28,900
Units
 
             902,258
MARRIOTT INTERNATIONAL INC COM STK USD0.01 CL'A'
           58,283
Units
 
           1,588,206
MARSHALL & ILSLEY CORP NEW COM STK USD1
           47,300
Units
 
             257,785
MASTERCARD INC COM STK
           17,300
Units
 
           4,428,454
MATTHEWS INTL CORP CLASS'A'COM STK USD1
            5,120
Units
 
             181,402
MAX CAPITAL GROUP COM STK USD1
           30,930
Units
 
             689,739
MAXIM INTEGRATED PRODUCTS COM STK USD0.001
           66,000
Units
 
           1,339,800
MAXIMUS INC COM STK NPV
            7,196
Units
 
             359,800
MB FINANCIAL INC COM STK USD0.01
            2,376
Units
 
               46,855
MCDONALD'S CORP COM STK USD0.01
           13,400
Units
 
             836,696
MCKESSON CORP COM STK USD0.01
           15,100
Units
 
             945,562
MDC HLDGS INC COM STK USD0.01
            3,920
Units
 
             121,677
MEADWESTVACO CORPORATION COM NPV
           31,700
Units
 
             907,571
MEDCO HEALTH SOLUTIONS INC COM STK USD0.01
           68,600
Units
 
           4,384,226
MEDTRONIC INC COM STK USD0.10
           21,500
Units
 
             945,570
MENS WEARHOUSE INC COM STK USD0.01
            8,375
Units
 
             176,378
METLIFE INC COM STK USD0.01
           28,100
Units
 
             993,335
METTLER TOLEDO COM STK USD0.01
            4,400
Units
 
             461,956
MFA FINANCIAL INC COM STK USD0.01
           96,080
Units
 
             732,130
MICROCHIP TECHNOLOGY COM STK USD0.001
           25,200
Units
 
             732,312
MICROSOFT CORP COM STK USD0.00000625
           83,200
Units
 
           2,536,768
MICROSTRATEGY INC.
            1,600
Units
 
             150,432
MILLER(HERMAN) INC COM STK USD0.20
           74,200
Units
 
           1,187,179
MINERALS TECHNOLOGIES INC COM STK USD0.10
            1,900
Units
 
             103,493
MOLINA HEALTHCARE INC COM STK USD0.001
            3,000
Units
 
               68,610
MONRO MUFFLER BRAKE INC COM STK USD0.01
            3,840
Units
 
             128,410
MONSANTO CO COM STK USD0.01
               900
Units
 
               73,575
MONSTER WORLDWIDE INC COM STK USD0.001
           14,120
Units
 
             245,688
MOOG INC CLASS'A'(LIM.V)USD1
            7,000
Units
 
             204,610
MPS GROUP INC COM STK USD0.01
           18,910
Units
 
             259,823
MUELLER INDUSTRIES INC COM STK USD0.01
            5,185
Units
 
             128,795
MUELLER WATER PRODUCTS INC COM STK USD0.01 SER'A'
           28,355
Units
 
             147,446
MYERS INDUSTRIES INC COM STK NPV
            6,200
Units
 
               56,792
MYLAN INC COM STK USD0.50
           64,300
Units
 
           1,185,049
MYRIAD GENETICS INC COM STK USD0.01
           76,000
Units
 
           1,983,600
NATIONAL PENN BANCSHARES COM STK NPV
           23,164
Units
 
             134,120
NATIONWIDE HEALTH PROPERTIES INC COM STK USD0.10
            5,400
Units
 
             189,972
NAVIGANT CONSULTING INC COM STK USD0.001
           21,935
Units
 
             325,954
NAVIGATORS GROUP INC COM STK USD0.10
               900
Units
 
               42,399
NBTY INC COM STK USD0.008
           12,859
Units
 
             559,881
NETAPP INC COM
         119,100
Units
 
           4,095,849
NEW YORK TIMES CO COM CLASS'A'STK USD0.10
           37,000
Units
 
             457,320
NII HOLDINGS INC COM STK USD0.001
           11,400
Units
 
             382,812
NIKE INC CLASS'B'COM STK NPV
           44,000
Units
 
           2,918,960
NISOURCE INC COM STK NPV
           25,700
Units
 
             395,266
NOBLE CORPORATION CHF0.01
           53,500
Units
 
           2,177,450
NOBLE ENERGY INC COM STK USD3.33 1/3
           10,300
Units
 
             733,566
NORDSTROM INC COM STK NPV
           28,800
Units
 
           1,082,304
NORTHWEST NATURAL GAS CO COM STK USD3.167
            3,900
Units
 
             175,656
NOVELLUS SYSTEMS INC COM STK NPV
           46,900
Units
 
           1,094,646
NU SKIN ENTERPRISES INC CLASS'A'COM STK USD0.001
           17,925
Units
 
             481,645
NUANCE COMMUNICATIONS INC COM STK USD0.001
           11,400
Units
 
             177,156
NV ENERGY INC COM STK USD0.01
           45,775
Units
 
             566,695
NVR INC COM STK USD0.01
            2,697
Units
 
           1,916,785
OCCIDENTAL PETROLEUM CORP COM USD0.20
           50,600
Units
 
           4,133,008
OCEANEERING INTERNATIONAL INC COM STK USD0.25
            3,000
Units
 
             175,560
OLD DOMINION FREIGHT LINE INC COM STK USD0.10
            4,000
Units
 
             122,800
OLIN CORP COM STK USD1
            8,280
Units
 
             145,066
OMNICARE INC COM STK USD1
           27,980
Units
 
             676,556
ONYX PHARMACEUTICALS COM STK USD0.001
           21,800
Units
 
             639,612
ORACLE CORP COM STK USD0.01
           56,500
Units
 
           1,386,510
O'REILLY AUTOMOTIVE INC COM STK USD0.01
           30,000
Units
 
           1,143,600
ORIENT EXPRESS HOTELS LTD CLS'A'COM STK USD0.01
           74,100
Units
 
             751,374
OSHKOSH CORPORATION
            6,185
Units
 
             229,031
OSI PHARMACEUTICALS INC COM STK USD0.01
           23,100
Units
 
             716,793
OXFORD INDUSTRIES INC COM STK USD1
            3,000
Units
 
               62,040
PACTIV CORP COM STK USD0.01
           54,400
Units
 
           1,313,216
PALL CORP COM STK USD0.10
           41,800
Units
 
           1,513,160
PALM INC COM STK USD0.001
           61,900
Units
 
             621,476
PANTRY INC COM STK USD0.01
            3,900
Units
 
               53,001
PARAMETRIC TECHNOLOGY CORP NEW COM STK USD0.01
           13,315
Units
 
             217,567
PARKER-HANNIFIN CORP COM STK USD0.50
           16,850
Units
 
             907,878
PARTNERRE COM STK USD1
            5,240
Units
 
             391,218
PDL BIOPHARMA INC COM STK USD0.01
           73,500
Units
 
             504,210
PEPSICO INC CAP STK USD0.0166
           28,600
Units
 
           1,755,350
PERRIGO CO COM STK NPV
            5,710
Units
 
             227,486
PETROLEO BRASILEIRO SA PETROBRAS ADS EACH REP 2
           30,600
Units
 
           1,464,978
PFIZER INC COM STK USD0.05
         135,600
Units
 
           2,466,564
PG&E CORP COM STK NPV
           15,400
Units
 
             694,078
PHARMERICA CORPORATION COM STK USD0.01
            5,745
Units
 
               91,231
PHH CORP COM STK NPV
           26,470
Units
 
             426,432
PHILIP MORRIS INTERNATIONAL INC NPV
           18,700
Units
 
             911,999
PINNACLE WEST CAPITAL CORP COM STK USD2.50
           30,000
Units
 
           1,097,400
PITNEY BOWES INC COM STK USD1
           40,200
Units
 
             914,952
PLATINUM UNDERWRITERS HLDGS LTD SHS
           16,610
Units
 
             635,997
PNM RESOURCES INC COM STK USD5
           33,160
Units
 
             419,474
PPG INDUSTRIES INC COM STK USD1.666
            5,700
Units
 
             333,678
PRAXAIR INC COM STK USD0.01
           15,200
Units
 
           1,220,712
PRECISION CASTPARTS CORP COM NPV
           44,930
Units
 
           4,958,026
PRICE T ROWE GROUP INC COM STK USD0.20
           20,500
Units
 
           1,091,625
PRICELINE.COM INC COM STK USD0.008
            5,800
Units
 
           1,267,300
PROASSURANCE CORP COM STK USD0.01
            2,015
Units
 
             108,226
PROCTER & GAMBLE CO COM STK NPV
           15,100
Units
 
             915,513
PROGRESS SOFTWARE CORP COM STK USD0.01
            7,171
Units
 
             209,465
PROSPERITY BANCSHARES INC COM STK USD1
            5,000
Units
 
             203,125
PRUDENTIAL FINANCIAL INC COM STK USD0.01
           20,200
Units
 
           1,005,152
PSYCHIATRIC SOLUTIONS INC COM STK USD0.01
            6,205
Units
 
             131,174
PULTE GROUP INC COM STK USD0.01
           30,335
Units
 
             303,350
QUALCOMM INC COM STK USD0.0001
         138,400
Units
 
           6,402,384
QUESTAR CORP COM STK NPV
           10,500
Units
 
             436,485
QWEST COMMUNICATIONS INTL INC COM STK USD0.01
           92,100
Units
 
             387,741
RAMCO-GERSHENSON PROPERTIES TRUST SBI USD0.01
           10,456
Units
 
             101,457
RAYMOND JAMES FINANCIAL INC COM STK USD0.01
           40,000
Units
 
             955,200
RAYONIER INC COM STK NPV
            5,100
Units
 
             215,016
RC2 CORP COM STK USD0.01
           24,815
Units
 
             366,021
REDWOOD TRUST INC COM STK USD0.01
           22,035
Units
 
             324,135
REGENCY CENTERS CORP COM STK USD0.01
            3,055
Units
 
             107,108
REGENERON PHARMACEUTICALS INC COM STK USD0.001
           50,700
Units
 
           1,225,926
REGIS CORP COM STK USD0.05
           18,990
Units
 
             295,674
REHABCARE GROUP INC COM
            5,705
Units
 
             173,603
REINSURANCE GROUP OF AMERICA USD0.01
           19,120
Units
 
             911,068
RELIANCE STEEL & ALUMINIUM COM STK NPV
            8,500
Units
 
             368,220
RENAISSANCERE HLDGS COM STK USD1
            3,320
Units
 
             176,458
RENT-A-CENTER INC COM STK USD0.01
           17,820
Units
 
             315,770
REYNOLDS AMERICAN INC COM STK USD0.0001
           17,700
Units
 
             955,839
RF MICRO DEVICES INC COM STK NPV
         140,800
Units
 
             671,616
ROBERT HALF INTERNATIONAL INC COM STK USD1
           30,400
Units
 
             812,592
ROCHE HLDG AG ADR-REPR GENUS PTG CERT NPV
           41,100
Units
 
           1,747,371
ROCK-TENN CO CLASS'A'COM STK USD0.01
            2,620
Units
 
             132,074
ROSETTA RESOURCES INC COM STK USD0.01
            8,580
Units
 
             170,999
ROSS STORES INC COM STK USD0.01
           20,000
Units
 
             854,200
ROWAN COS INC COM STK USD0.125
           23,900
Units
 
             541,096
ROYAL CARIBBEAN CRUISES COM STK USD0.01
           35,400
Units
 
             894,912
ROYAL DUTCH SHELL ADR EACH REPR 2'A'SHS
           16,200
Units
 
             973,782
RTI INTERNATIONAL METALS INC COM STK USD0.01
           54,830
Units
 
           1,380,071
RUDDICK CORP COM STK USD1
           16,000
Units
 
             413,600
RYDER SYSTEM INC COM STK USD0.50
            1,000
Units
 
               41,170
S & T BANCORP INC COM STK USD2.50
            5,314
Units
 
               90,391
SAKS INC COM STK USD0.10
           78,000
Units
 
             511,680
SALESFORCE.COM INC COM STK USD0.001
           30,200
Units
 
           2,227,854
SANOFI-AVENTIS ADR ECH REP 1/2 ORD EUR2 SPON
           24,000
Units
 
             942,480
SAP AG ADR EACH 1 REP 1 COM NPV(SPONS)LEVEL II
           44,700
Units
 
           2,092,407
SARA LEE CORP COM STK USD0.01
           64,400
Units
 
             791,476
SCHLUMBERGER COM STK USD0.01
           45,500
Units
 
           2,971,150
SCHOLASTIC CORP COM STK USD0.01
            1,700
Units
 
               50,711
SCHWAB(CHARLES)CORP COM STK USD0.01
         196,800
Units
 
           3,703,776
SCOTTS MIRACLE-GRO CO CLASS'A'COM STK NPV
           13,505
Units
 
             530,882
SEABRIGHT INSURANCE HLDGS INC COM STK USD0.01
            7,400
Units
 
               85,026
SEACHANGE INTERNATIONAL INC COM STK USD0.01
           82,600
Units
 
             542,682
SEAGATE TECHNOLOGY HLDGS COM STK USD0.00001
           20,500
Units
 
             372,895
SEATTLE GENETICS INC COM STK USD0.01
           59,600
Units
 
             605,536
SELECT MEDICAL HLDGS CORP NPV
           41,990
Units
 
             445,934
SEMPRA ENERGY CORP COM STK NPV
            6,600
Units
 
             372,042
SENSIENT TECHNOLOGIES CORP COM STK USD0.10
            7,420
Units
 
             195,146
SERVICE CORPORATION INTERNATIONAL COM STK USD1
           55,460
Units
 
             454,217
SHIRE PLC
           28,780
Units
 
           1,689,386
SIMON PPTY GROUP INC NEW COM
           11,045
Units
 
             881,391
SINCLAIR BROADCAST GROUP INC CLASS'A'COM STK
           60,000
Units
 
             241,800
SKECHERS USA INC CLASS'A'COM STK USD0.001
           15,345
Units
 
             451,296
SKYWEST INC COM STK NPV
            3,000
Units
 
               50,880
SKYWORKS SOLUTIONS INCCOM
           57,300
Units
 
             813,087
SLM CORP COM STK USD0.20
           75,900
Units
 
             855,393
SONOCO PRODUCTS CO COM STK NPV
           31,200
Units
 
             912,600
SOUTHWESTERN ENERGY CO COM STK USD0.10
           55,600
Units
 
           2,679,920
SPARTAN STORES INC COM STK USD0.01
           12,300
Units
 
             175,767
ST MARY LAND & EXPLORATION COM STK USD0.01
            5,200
Units
 
             178,048
ST.JUDE MEDICAL INC COM STK USD0.10
           42,000
Units
 
           1,544,760
STANCORP FINANCIAL GROUP COM STK NPV
            1,300
Units
 
               52,026
STANDEX INTERNATIONAL CORP COM STK USD1.5
            9,100
Units
 
             182,819
STAPLES INC COM STK USD0.0006
           32,000
Units
 
             786,880
STARBUCKS CORP COM STK NPV
           43,100
Units
 
             993,886
STATE AUTO FINANCIAL CORP COM STK NPV
            5,390
Units
 
               99,715
STEEL DYNAMICS INC COM STK USD0.01
           58,200
Units
 
           1,035,669
STEELCASE INC COM STK NPV
           71,100
Units
 
             455,040
STERIS CORP COM STK NPV
            3,500
Units
 
               97,895
STIFEL FINANCIAL CORP COM STK USD0.15
            2,650
Units
 
             156,986
STILLWATER MINING CO COM STK USD0.01
         107,100
Units
 
           1,015,308
SUNOCO INC COM STK USD1
           27,900
Units
 
             728,190
SVB FINANCIAL GROUP COM STK USD0.001
            8,865
Units
 
             369,582
SY BANCORP INC COM STK NPV
            1,400
Units
 
               30,128
SYBASE INC COM STK USD0.001
           13,674
Units
 
             593,452
SYKES ENTERPRISES INC COM STK USD0.01
            6,900
Units
 
             175,743
SYMMETRY MEDICAL INC COM STK USD0.0001
           17,000
Units
 
             137,020
TALISMAN ENERGY INC COM NPV
           53,800
Units
 
           1,002,832
TARGET CORP COM STK USD0.0833
           40,700
Units
 
           1,968,659
TAUBMAN CENTRES INC COM STK USD0.01
            1,500
Units
 
               53,865
TCF FINANCIAL COM STK USD0.01
            9,700
Units
 
             132,114
TECHNITROL INC COM STK USD0.125
           17,970
Units
 
               79,158
TECO ENERGY INC COM STK USD1
           24,500
Units
 
             397,390
TELEDYNE TECHNOLOGIES INC COM STK USD0.01
           23,100
Units
 
             886,116
TEMPUR PEDIC INTERNATIONAL INC COM STK USD0.01
           18,640
Units
 
             440,463
TENCENT HLDGS LIMITED UNSP ADR EACH REPR 1SH
           55,000
Units
 
           1,190,750
TERADATA CORP DEL COM
            8,100
Units
 
             254,583
TERADYNE INC COM STK USD0.125
           15,025
Units
 
             161,218
TEVA PHARMACEUTICAL INDUSTRIES ADR EACH CNV INTO 1
           52,400
Units
 
           2,943,832
TEXAS INSTRUMENTS INC COM STK USD1
           47,500
Units
 
           1,237,850
THE MOSAIC COMPANY
           22,500
Units
 
           1,343,925
TIFFANY & CO COM STK USD0.01
           24,300
Units
 
           1,048,895
TJX COS INC COM STK USD1
           49,100
Units
 
           1,794,605
TOLL BROS INC COM STK USD0.01
           14,495
Units
 
             272,651
TORO CO COM STK USD1
            5,375
Units
 
             225,696
TOTAL S A SPONSORED ADR(CNV 1/2 SHS EUR10)
           15,900
Units
 
           1,018,236
TOWER GROUP INC COM STK USD0.01
            2,380
Units
 
               55,716
TRANSDIGM INC USD0.01
           16,196
Units
 
             769,148
TRAVELERS COS INC/THE
           20,000
Units
 
             997,200
TRIMBLE NAVIGATION COM STK NPV
           41,800
Units
 
           1,053,360
TRIQUINT SEMI CONDUCTOR INC COM STK USD0.001
         155,800
Units
 
             934,800
TRUE RELIGION APPAREL INC COM STK USD0.00001
           40,900
Units
 
             756,241
TRUSTMARK CORP COM STK NPV
               699
Units
 
               15,755
TUTOR PERINI CORP COM STK USD1
            6,105
Units
 
             110,378
TW TELECOM INC CLS'A'COM STK USD0.01
           72,200
Units
 
           1,237,508
ULTRA PETROLEUM CORP COM NPV
           15,700
Units
 
             782,802
UNIFI INC COM STK USD0.10
           95,000
Units
 
             368,600
UNILEVER ADS-EACH REPR 1 ORD(JPM)
           79,840
Units
 
           2,546,896
UNION PACIFIC CORP COM STK USD2.50
           26,600
Units
 
           1,706,922
UNITED AMERICA INDEMNITY LTD COM STK
            7,519
Units
 
               59,550
UNITED BANKSHARES INC COM STK USD2.50
            3,700
Units
 
               74,999
UNITED RENTALS INC COM STK USD0.01
           66,966
Units
 
             656,936
UNITED STATES CELLULAR CORP COM STK USD1
           19,900
Units
 
             843,959
UNITED STATES STEEL CORP COM STK USD1
            4,100
Units
 
             225,992
UNITED STATIONERS INC COM STK USD0.10
            8,200
Units
 
             466,170
UNITED TECHNOLOGIES CORP COM STK USD1
           22,310
Units
 
           1,548,537
UNITEDHEALTH GROUP INC COM STK USD0.01
           29,000
Units
 
             883,920
UNIVERSAL CORP COM STK NPV
            5,120
Units
 
             233,523
URS CORP COM STK USD0.01
            9,900
Units
 
             440,748
USEC INC COM STK USD0.10
           83,290
Units
 
             320,667
UTI WORLDWIDE INC ORD NPV
           31,200
Units
 
             446,784
VALIDUS HOLDING LTD COM STK USD0.175
           27,824
Units
 
             749,589
VALLEY NATIONAL BANCORP COM STK NPV
            3,780
Units
 
               54,130
VALMONT INDUSTRIES INC COM STK USD1
           13,200
Units
 
           1,037,520
VALSPAR CORP COM STK USD0.50
           41,800
Units
 
           1,141,140
VCA ANTECH INC COM STK USD0.01
            9,265
Units
 
             230,884
VECTREN CORP COM NPV
           12,200
Units
 
             301,096
VERISIGN COM STK USD0.001
           41,600
Units
 
           1,008,384
VERTEX PHARMACEUTICAL COM STK USD0.01
           25,800
Units
 
           1,105,530
VF CORP COM STK NPV
            9,400
Units
 
             688,456
VIAD CORP COM STOCK USD1.5
            8,300
Units
 
             171,561
VISA INC USD0.0001 'A'
           63,000
Units
 
           5,509,980
VISHAY INTL USD0.10
           89,900
Units
 
             750,665
VMWARE INC CLS'A'COM STK USD0.01
           13,200
Units
 
             559,416
WADDELL & REED FINL INC CL A
           77,800
Units
 
           2,390,794
WALT DISNEY(HLDG)CO DISNEY COM STK USD0.01
         101,100
Units
 
           3,295,860
WARNACO GROUP INC CLS'A'COM STK USD0.01
            2,770
Units
 
             116,866
WATERS CORP COM STK USD0.01
           21,500
Units
 
           1,332,140
WATSON WYATT WORLDWIDE INC CLASS'A'COM STK USD0.01
           10,520
Units
 
             500,699
WELLPOINT INC COM STK USD0.01
           15,700
Units
 
             915,153
WERNER ENTERPRISES INC COM STK USD0.01
           41,100
Units
 
             813,369
WESCO INTERNATIONAL INC COM STK USD0.01
           50,635
Units
 
           1,367,651
WESTAMERICA BANCORP COM STK NPV
            3,100
Units
 
             171,647
WESTERN DIGITAL CORP COM STK USD0.01
           29,400
Units
 
           1,298,010
WESTERN UNION COMPANY (THE) COM STK USD0.01
         115,500
Units
 
           2,177,175
WHIRLPOOL CORP COM STK USD1
           10,200
Units
 
             822,732
WHITING PETROLEUM CORP COM STK USD0.001
            3,600
Units
 
             257,220
WILLIS GROUP HOLDINGS COM STK USD0.000115
           18,253
Units
 
             486,260
WILMINGTON TRUST CORP COM STK NPV
           11,285
Units
 
             139,257
WORLD FUEL SERVICES CORP COM STK USD0.01
           12,060
Units
 
             323,540
ZIMMER HOLDINGS INC COM STK USD0.01
           10,600
Units
 
             626,566
ZOLL MEDICAL CORP COM STK USD0.01
            5,755
Units
 
             153,774
ZORAN CORP COM STK USD0.001
           13,085
Units
 
             144,589
Total Corporate Stock - Domestic
   
$
       471,790,974
         
Corporate Debt Securities
       
         
3M CO 5.7% NTS 15/MAR/2037 USD2000
           50,000
Units
 
               53,018
ABBOTT LABORATORIES 5.125% SRN 01/APR/2019 USD2000
           75,000
Units
 
               79,409
ALABAMA POWER CO 6% SR NTS 01/MAR/2039 USD1000
           50,000
Units
 
               53,697
ALTRIA GROUP INC 8.5% NTS 10/NOV/2013 USD1000
         125,000
Units
 
             145,959
AMERICAN EXPRESS CO 7.25% LN STK 20/MAY/2014
         100,000
Units
 
             113,663
ANADARKO PETROLEUM CORP 5.95% SNR NTS 15/SEP/2016
           50,000
Units
 
               54,961
ARCELORMITTAL SA 9% LN STK 15/FEB/2015 USD1000
           75,000
Units
 
               91,132
AT&T WIRELESS SERVICES INC 8.75% SNR NTS
         100,000
Units
 
             132,148
BANC OF AMERICA COMMERCIAL MORTGAGE 5.8379% BDS
           90,000
Units
 
               88,336
BANK OF AMERICA CORP 5.65% BDS 01/MAY/2018 USD5000
         150,000
Units
 
             153,754
BANK OF NEW YORK MELLON CORP 4.95% BDS 01/NOV/2012
         125,000
Units
 
             135,654
BARCLAYS BANK PLC 5.00% 22/SEP/2016
           75,000
Units
 
               77,667
BAYVIEW COMMERCIAL ASSET TRUST 2005-3A A1 VAR
         263,552
Units
 
             166,033
BAYVIEW COMMERCIAL ASSET TRUST 2005-4 A-2 14
         152,966
Units
 
               96,270
BEAR STEARNS CO 7.25% BDS 01/FEB/2018 USD1000
         125,000
Units
 
             147,258
BERKSHIRE HATHAWAY FINANCE CORP 5% GTD SNR NTS
         125,000
Units
 
             136,774
BERKSHIRE HATHAWAY FINANCE CORP 5.4% SNR NOTE
           25,000
Units
 
               26,292
BOSTON PROPERTIES INC 5.875% BDS 15/OCT/2019
           50,000
Units
 
               50,826
BRITISH TELECOMMUNICATIONS 5.95% SNR NTS
         125,000
Units
 
             130,474
CISCO SYSTEMS INC 5.5% BDS 22/FEB/2016 USD1000
         150,000
Units
 
             167,641
CITIGROUP INC 6.125% NTS 15/MAY/2018 USD1000
         125,000
Units
 
             126,654
CITIGROUP INC 8.50% BDS 22/MAY/2019 USD1000
           25,000
Units
 
               29,099
COCA-COLA ENTERPRISES INC 7.375% NTS 03/MAR/2014
           75,000
Units
 
               88,783
COMCAST CORP 5.875% BD15/FEB/2018 USD1000
           75,000
Units
 
               81,283
CONOCOPHILLIPS 6.5% NTS 01/FEB/2039 USD1000
           75,000
Units
 
               85,269
COVIDIEN INTERNATIONAL FINANCE 6% GTD SNR NTS
           58,000
Units
 
               63,424
CREDIT SUISSE NEW YORK BRANCH SR NT 5.5%
         125,000
Units
 
             136,796
CVS CAREMARK CORP 6.6% BDS 15/MAR/2019 USD1000
         125,000
Units
 
             139,215
DAIMLERCHRYSLER NA HOLDINGS CORPORATION 6.5%
           75,000
Units
 
               82,841
DOW CHEMICAL CO 7.6% BDS 15/MAY/2014 USD1000
           75,000
Units
 
               86,070
GENERAL ELECTRIC CAPITAL CORP 4.8% MTN 01/MAY/2013
         150,000
Units
 
             157,991
GENERAL MILLS INC 5.65% NTS 10/SEP/2012 USD1000
           25,000
Units
 
               27,632
GENERAL MILLS INC 6% NOTES 15/FEB/2012 USD1000
           50,000
Units
 
               55,117
GEORGIA POWER COMPANY 5.95% 01/FEB/2039
           25,000
Units
 
               26,716
GOLDMAN SACHS GROUP INC 6.15% BDS 01/APR/2018
         125,000
Units
 
             135,734
GOLDMAN SACHS GROUP INC 7.5% SRN 15/FEB/2019
           25,000
Units
 
               29,853
HALLIBURTON CO 6.15% BDS 15/SEP/2019 USD1000
           75,000
Units
 
               85,111
HYDRO-QUEBEC 6.3% NTS 11/MAY/2011 USD1000
           50,000
Units
 
               53,843
ISRAEL ST BD DTD 13/JUN/2003 DUE 15/JUN/2013
           75,000
Units
 
               79,632
JOHN DEERE CAPITAL CORP 4.9% MTN 09/SEP/2013
           75,000
Units
 
               81,776
KELLOGG CO 7.45% BDS 01/APR/2031 USD1000
           50,000
Units
 
               61,552
KINDER MORGAN ENERGY PARTNERS 6.95% BDS
           75,000
Units
 
               82,336
KONINKLIJKE KPN NV 8.375% BDS 01/OCT/2030 USD1000
           50,000
Units
 
               63,696
KOREA DEVELOPMENT BANK 8% BDS 23/JAN/2014 USD1000
         150,000
Units
 
             178,125
KROGER CO 7.5% BDS 15/JAN/2014 USD1000
           75,000
Units
 
               88,190
LILLY(ELI)& CO BDS 15/MAR/2017 USD1000
           75,000
Units
 
               80,560
MARATHON OIL CORP 7.50% BDS 15/FEB/2019 USD1000
           75,000
Units
 
               88,684
MCKESSON HBOC INC 5.7% BDS 01/MAR/2017 USD1000
           75,000
Units
 
               80,091
MEDCO HEALTH SOLUTIONS INC 7.125% BDS 15/MAR/2018
           25,000
Units
 
               28,628
METLIFE INC 6.5% DUE 15/DEC/2032
           75,000
Units
 
               80,157
MEXICO(UNITED MEXICAN STATES) 5.625% NTS
           75,000
Units
 
               80,133
MIDAMERICAN ENERGY HLDGS 6.125% BDS 01/APR/2036
           75,000
Units
 
               77,963
MORGAN STANLEY 6.6250% 01/APR/2018
         125,000
Units
 
             137,216
MORGAN STANLEY 7.3% BDS 13/MAY/2019 USD100000
           25,000
Units
 
               28,317
NATIONAL RURAL UTILITIES CO-OP 8% NTS 01/MAR/2032
           25,000
Units
 
               30,563
NATIONAL RURAL UTILS COOP FIN BD 10.375%
           25,000
Units
 
               33,559
NEWS AMERICA INC 6.15% SNR NTS 01/MAR/2037 USD1000
           25,000
Units
 
               25,385
NEWS AMERICA INC 6.4% SNR NTS 15/DEC/2035 USD1000
           50,000
Units
 
               51,484
NORTHROP GRUMMAN CORP 7.75% DEB 15/FEB/2031
           50,000
Units
 
               63,241
NOVARTIS SECURITIES INVESTMENT LTD 5.125% BDS
           75,000
Units
 
               80,295
ONTARIO(PROVINCE OF) 5.45% BDS 27/APR/2016 USD5000
           50,000
Units
 
               54,898
ORACLE CORP 5% LN STK 08/JUL/2019 USD1000
           75,000
Units
 
               79,149
PACIFIC GAS & ELECTRIC CO 8.25% SNR NTS
           75,000
Units
 
               92,885
PEPSICO INC 7.9% SNR UNSEC NTS 01/NOV/2018 USD1000
         100,000
Units
 
             124,042
PETROBRAS INTERNATIONAL FINANCE 7.875% GTD BDS
           75,000
Units
 
               88,200
PROCTER & GAMBLE CO 5.55% NTS 05/MAR/2037 USD1000
           75,000
Units
 
               78,799
REPUBLIC OF POLAND 6.25% DUE 03/JUL/2012
         125,000
Units
 
             139,024
RIO TINTO FINANCE LTD 5.875% BDS 15/JUL/2013
           75,000
Units
 
               82,960
SAFEWAY INC 5.8% 15/AUG/2012
           75,000
Units
 
               82,647
SIMON PROPERTY GROUP INC 5.1% NTS 15/JUN/2015
           25,000
Units
 
               24,752
SIMON PROPERTY GROUP INC 5.875% BDS 01/MAR/2017
         125,000
Units
 
             127,623
SMITH INTERNATIONAL INC 9.75% BDS 15/MAR/2019
         100,000
Units
 
             129,544
SOUTHERN POWER COMPANIES 4.875% NTS 15/JUL/2015
           75,000
Units
 
               79,747
TIME WARNER CABLE INC 6.2% BDS 01/JUL/2013 USD1000
           50,000
Units
 
               56,473
TIME WARNER CABLE INC SR NT 7.5% 01/APR/2014
           25,000
Units
 
               29,273
TIME WARNER ENT 8.375% SUB NTS 15/JUL/2033 USD1000
           50,000
Units
 
               61,703
UNITED PARCEL SERVICE INC 5.5% SNR NTS 15/JAN/2018
           50,000
Units
$
               55,163
US BANCORP 4.2% NTS 15/MAY/2014 USD1000
         125,000
Units
 
             130,426
VALERO ENERGY CORP 9.375% BDS 15/MAR/2019 USD1000
         125,000
Units
 
             152,125
VERIZON COMMUNICATIONS INC 6.9% BDS 15/APR/2038
           75,000
Units
 
               84,218
VIACOM INC 6.25% 30/APR/2016
           75,000
Units
 
               82,535
WACHOVIA CORP 5.5% MTN 01/MAY/2013 USD1000 TR'33'
         100,000
Units
 
             107,150
WAL-MART STORES INC 5.8% NTS 15/FEB/2018 USD1000
         110,000
Units
 
             124,483
WASTE MANAGEMENT INC 7% SNR NOTES 13/JUL/2028
         100,000
Units
 
             110,929
WELLPOINT INC 7.00% BDS 15/FEB/2019 USD1000
           75,000
Units
 
               85,865
WELLS FARGO COMPANY 4.375% 31/JAN/2013
           50,000
Units
 
               52,852
XEROX CORP 5.5% SNR NTS 15/MAY/2012 USD1000
         100,000
Units
 
             106,385
XTO ENERGY INC 5.5% SNR NTS 15/JUN/2018 USD1000
         150,000
Units
 
             160,367
Total Corporate Debt Securities
   
$
           7,778,197
         
Government Bonds
       
UNITED STATES OF AMER TREAS NOTES 0% TREAS NTS
         525,000
Units
 
             521,922
UNITED STATES OF AMER TREAS NOTES 2.375%
      2,000,000
Units
 
           2,001,452
UNITED STATES TREAS NTS 1% 31/AUG/2011
      7,200,000
Units
 
           7,228,122
UNITED STATES TREAS NTS 3.5% 15/FEB/2018
      2,900,000
Units
 
           2,914,550
USA TREASURY BDS 4.5% DEB 15/FEB/2036 USD1000
         400,000
Units
 
             400,799
USA TREASURY BDS 5.25% BDS 15/NOV/2028 USD1000
         400,000
Units
 
             436,164
USA TREASURY BDS 8.125% BDS15/AUG/2019 USD1000
         430,000
Units
 
             591,950
US Treasury Note - 4.625%, 2/28.2008 (912828EY)
      3,790,000
Units
 
           3,796,392
Total Government Bonds
   
$
         17,891,351
         
Mortgage Backed Securities
       
3197 DZ 0.000% 15/AUG/2036
         590,476
Units
$
             585,655
FANNIE MAE 2004-97 ZH 4.500% 25/JAN/2035
      1,251,796
Units
$
           1,160,807
FEDERAL AGRIC MTG CORP MNTS B FR 3.875%19/AUG/2011
           70,000
Units
 
               74,147
FEDERAL HOME LOAN MORTGAGE CORP 1.75% NTS
         800,000
Units
 
             804,165
FEDERAL NATIONAL MORTGAGE ASSOC 2.75% NTS
         800,000
Units
 
             813,394
FEDERAL NATIONAL MORTGAGE ASSOC 2.875% BDS
         650,000
Units
 
             664,052
FEDERAL NATIONAL MORTGAGE ASSOC 5% MBPT
         897,909
Units
 
             928,915
FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.0% POOL
         668,687
Units
 
             691,777
FEDERAL NATL MTG ASSN PRIN ST PRINPMT 01/FEB/2019
           30,000
Units
 
               17,609
FHLMC MORTPASS ARM 01/APR/2037 1N PN# 1N1454
         276,487
Units
 
             297,059
FHLMC MORTPASS ARM 01/FEB/2037 1G PN# 1G2628
         284,717
Units
 
             304,804
FHLMC MORTPASS ARM 01/SEP/2037 1G PN# 1G2201
         146,459
Units
 
             157,586
FHLMCGLD MORTPASS 5.5% 01/JAN/2038 G0 PN# G03696
         868,798
Units
 
             915,089
FHLMCGLD MORTPASS 5.5% 01/NOV/2035 A3 PN# A39803
         196,516
Units
 
             207,509
FHLMCGLD MORTPASS 5.5% 01/NOV/2037 G0 PN# G03695
         793,489
Units
 
             836,387
FHLMCGLD MORTPASS 6.5% 01/MAY/2034 P5 PN# P50216
         667,841
Units
 
             722,167
FNMA MORTPASS 4% 01/AUG/2029 CT PN# MA0142
         984,309
Units
 
             968,617
FNMA MORTPASS 4.5% 01/JUL/2029 CT PN# MA0115
      1,465,011
Units
 
           1,476,327
FNMA MORTPASS 4.5% 01/MAY/2048 CZ PN# 257280
         897,724
Units
 
             891,365
FNMA MORTPASS 4.5% 01/SEP/2039 CK PN# MA0181
         993,038
Units
 
             988,176
FNMA MORTPASS 5% 01/AUG/2047 CZ PN# 995963
         953,762
Units
 
             974,784
FNMA MORTPASS 5% 01/SEP/2033 CL PN# 738567
         858,485
Units
 
             888,129
FNMA MORTPASS 5.5% 01/FEB/2036 CL PN# 852523
         238,423
Units
 
             251,126
FNMA MORTPASS 5.5% 01/JUL/2037 CL PN# 928470
           30,321
Units
 
               31,913
FNMA MORTPASS 5.5% 01/JUN/2036 CL PN# 889745
         232,085
Units
 
             244,994
FNMA MORTPASS 5.5% 01/JUN/2037 CL PN# 899569
         379,256
Units
 
             399,167
FNMA MORTPASS 5.5% 01/NOV/2036 CL PN# 745959
         394,552
Units
 
             415,575
FNMA MORTPASS 6.5% 01/AUG/2037 CL PN# 936879
         431,594
Units
 
             465,020
FNMA MORTPASS 6.5% 01/NOV/2037 CL PN# 956793
         175,269
Units
 
             188,843
FREDDIE MAC 2825 PZ 5.500% 15/JUL/2034
         673,066
Units
 
             682,623
FREDDIE MAC 3048 QJ 5.000% 15/OCT/2025
      1,400,000
Units
 
           1,431,810
FREDDIE MAC 3406 B 6.000% 15/JAN/2038
      1,000,000
Units
 
           1,075,313
FREDDIE MAC 3552 CB 4.500% 15/JUL/2029
      1,500,000
Units
 
           1,500,982
Total Mortgage Backed Securities
   
$
         22,055,886
         
Registered Investment Companies
       
ABERDEEN INTL EQUITY CLASS A
               548
Units
$
                 6,689
ACADIAN EMERGING MARKETS PORT INSTL
               181
Units
 
                 3,007
AIM CHINA FD CLASS A
                 43
Units
 
                   844
AIM ENERGY CLASS B
               150
Units
 
                 4,925
AIM ENERGY INVESTOR CLASS
               834
Units
 
               29,523
AIM EUROPEAN GROWTH INVESTORS
               219
Units
 
                 6,034
AIM FINANCIAL SERVICES INV CLASS
               172
Units
 
                 1,299
AIM GLOBAL HEALTH CARE INVESTOR CL
               143
Units
 
                 3,663
AIM GOLD & PRECIOUS METALS INV CLASS
            6,492
Units
 
               52,264
AIM INTERNATIONAL CORE EQUITY INV CL
            5,495
Units
 
               59,674
AIM REAL ESTATE INVESTOR CLASS
               121
Units
 
                 2,139
AKRE FOCUS FUND RETAIL
            1,499
Units
 
               15,225
ALLIANCEBER GLOBAL BOND CLASS A
            9,162
Units
 
               72,746
ALLIANCEBER INTL VALUE ADVISOR
            1,434
Units
 
               19,946
ALLIANCEBERNSTEIN HIGH INCOME CLASS C
            1,195
Units
 
               10,167
ALLIANZ NFJ DIVIDEND VALUE FD CL D
            1,503
Units
 
               15,621
ALLIANZ NFJ INTL VALUE FD CLASS D
            3,500
Units
 
               66,644
ALLIANZ NFJ SMALL CAP VALUE CLASS D
               492
Units
 
               11,667
ALLIANZ RCM TECHNOLOGY CL A
               227
Units
 
                 8,369
ALLIANZ RCM TECHNOLOGY CL D
            1,561
Units
 
               56,856
ALLIANZ RCM WELLNESS FD CL D
               564
Units
 
               13,358
ALPINE DYNAMIC DIVID FUND
           15,306
Units
 
               77,602
ALPINE INTERNATIONAL REAL ESTATE EQUITY Y
            2,589
Units
 
               58,794
ALPINE REALTY INCOME & GROWTH Y
               248
Units
 
                 3,045
AMANA MUTUAL FUND TRUST GROWTH
           35,996
Units
 
             767,799
AMANA MUTUAL FUND TRUST INCOME
            4,502
Units
 
             129,167
AMER CENTURY TARGET MATURITIES TR 2010
               974
Units
 
             102,689
AMER CENTURY TARGET MATURITIES TR 2015
               112
Units
 
               10,790
AMER CENTURY TARGET MATURITIES TR 2025
                 51
Units
 
                 2,848
AMERICAN AMCAP CLASS A
               851
Units
 
               14,135
AMERICAN BALANCED CL R5
            1,693
Units
 
               27,454
AMERICAN BALANCED CLASS R3
               243
Units
 
                 3,928
AMERICAN BEACON BALANCED INVST
            1,896
Units
 
               21,069
AMERICAN BEACON EMRG MARKETS INVESTOR
            2,513
Units
 
               31,794
AMERICAN BEACON LARGE CAP INVESTOR
            4,777
Units
 
               78,445
AMERICAN BOND FUND OF AMERICA CL R3
            5,419
Units
 
               63,940
AMERICAN CAPITAL INCOME BUILDER CL A
            2,765
Units
 
             132,428
AMERICAN CAPITAL INCOME BUILDER CL F1
               350
Units
 
               16,769
AMERICAN CAPITAL INCOME BUILDER CL R3
               244
Units
 
               11,708
AMERICAN CAPITAL INCOME BUILDER R5
               571
Units
 
               27,353
AMERICAN CAPITAL WOR LD BOND FD R5
            2,461
Units
 
               49,392
AMERICAN CAPITAL WORLD GRTH & INC A
               504
Units
 
               17,173
AMERICAN CAPITAL WORLD GRWTH & INC F1
               305
Units
 
               10,365
AMERICAN CAPITAL WORLD GRWTH & INC R5
            1,079
Units
 
               36,763
AMERICAN CENTURY CAPITAL PRESERVATION
         253,139
Units
 
             253,139
AMERICAN CENTURY CAPITAL VAL INV SHR
            3,046
Units
 
               16,843
AMERICAN CENTURY DIVERSIFIED BOND
            1,005
Units
 
               10,614
AMERICAN CENTURY EMERGING MARKETS INV
           15,060
Units
 
             114,757
AMERICAN CENTURY EQUITY GROWTH
               912
Units
 
               16,770
AMERICAN CENTURY EQUITY INCOME
           54,491
Units
 
             357,462
AMERICAN CENTURY GLOBAL GOLD
            7,952
Units
 
             161,109
AMERICAN CENTURY HERITAGE
            3,012
Units
 
               48,103
AMERICAN CENTURY HIGH YIELD INV FD
               451
Units
 
                 2,627
AMERICAN CENTURY INFLATION ADJ TREAS
           19,195
Units
 
             220,737
AMERICAN CENTURY INTERNATIONAL BOND
            5,822
Units
 
               84,013
AMERICAN CENTURY LIVESTRONG 2025 INV
            3,846
Units
 
               40,542
AMERICAN CENTURY MID CAP VALUE INV SHS
               389
Units
 
                 4,176
AMERICAN CENTURY ONE CHOICE VERY AGGR INV
               239
Units
 
                 2,504
AMERICAN CENTURY REAL ESTATE
               425
Units
 
                 6,134
AMERICAN CENTURY TAX FREE BOND
               778
Units
 
                 8,513
AMERICAN CENTURY UTILITIES
            3,752
Units
 
               51,933
AMERICAN CENTURY VISTA
           10,113
Units
 
             136,422
AMERICAN EUROPACIFIC GROWTH CL R5
               717
Units
 
               27,439
AMERICAN EUROPACIFIC GROWTH CLASS A
               358
Units
 
               13,713
AMERICAN EUROPACIFIC GROWTH CLASS F1
               186
Units
 
                 7,110
AMERICAN EUROPACIFIC GROWTH FUND CL F2
            8,940
Units
 
             342,501
AMERICAN FUNDAMENTAL INVESTORS CL F1
               930
Units
 
               30,417
AMERICAN FUNDAMENTAL INVESTORS R5
            3,394
Units
 
             111,123
AMERICAN GROWTH FUND OF AMERICA CL R3
               141
Units
 
                 3,801
AMERICAN GROWTH FUND OF AMERICA CL R5
            7,188
Units
 
             196,094
AMERICAN GROWTH FUND OF AMERICA CLASS A
               615
Units
 
               16,796
AMERICAN GROWTH FUND OF AMERICA CLASS F1
            3,903
Units
 
             105,955
AMERICAN HIGH INCOME TRUST CLASS R5
               170
Units
 
                 1,805
AMERICAN HIGH INCOME TRUST R3
            4,639
Units
 
               49,220
AMERICAN INCOME FUND OF AMER R1
               284
Units
 
                 4,389
AMERICAN INCOME FUND OF AMERICA CLASS A
            5,943
Units
 
               92,050
AMERICAN INCOME FUND OF AMERICA R5
               547
Units
 
                 8,474
AMERICAN INTERNATL GROWTH & INCOME CL A
               166
Units
 
                 4,939
AMERICAN INVESTMENT CO OF AMERICA CL F1
               528
Units
 
               13,691
AMERICAN MONEY MARKET CLASS A
            7,642
Units
 
                 7,642
AMERICAN NEW PERSPECTIVE CL F2
               417
Units
 
               10,675
AMERICAN NEW PERSPECTIVE CLASS A
            4,569
Units
 
             117,151
AMERICAN SMALLCAP WORLD CLASS C
               394
Units
 
               11,716
AMERICAN SMALLCAP WORLD CLASS F1
               644
Units
 
               20,137
AMERICAN WORLD GROWTH INCOME CL R3
            1,065
Units
 
               36,129
ANALYTIC SHORT TERM GOVERMENT INSTL
               496
Units
 
                 5,000
ARIEL APPRECIATION
                 50
Units
 
                 1,755
ARIEL FUND
               181
Units
 
                 6,985
ARTIO GLOBAL EQUITY FUND CL A
               128
Units
 
                 4,417
ARTIO INTERNATIONAL EQUITY FUND II CL A
            3,045
Units
 
               35,661
ARTIO TOTAL RETURN BOND FUND CL A
               841
Units
 
               11,325
ARTIO US SMALLCAP FUND CL A
            1,410
Units
 
               13,029
ARTISAN INTERNAT'L INVESTOR CLASS
            1,746
Units
 
               36,078
ARTISAN INTL VALUE FUND  INV CL
               210
Units
 
                 4,861
ARTISAN OPPORTUNISTIC VALUE
            1,007
Units
 
                 8,710
ASTON/OPTIMUM MID CAP CL N
            1,150
Units
 
               30,000
ASTON/TAMRO    ALL CAP FUND CL N
            1,552
Units
 
               16,557
BANKS ULTRA SECTOR PRO FUND INVESTOR
                 47
Units
 
                   286
BARON ASSET
            1,502
Units
 
               69,392
BARON GROWTH
               563
Units
 
               23,252
BARON PARTNERS FUND
            4,955
Units
 
               77,497
BARON SMALL CAP FD
            1,627
Units
 
               31,344
BEAR PRO FUND INVESTORS SHARES
            1,118
Units
 
               27,246
BERWYN INCOME FUND
            3,949
Units
 
               50,424
BLACK ROCK ALL CAP ENERGY & RESOURCES A
                 33
Units
 
                   442
BLACK ROCK ALL CAP ENERGY & RESOURCES C
               782
Units
 
               10,042
BLACKROCK ENERGY & RESOURCES A
               801
Units
 
               25,520
BLACKROCK ENERGY & RESOURCES PORT CL C
               699
Units
 
               16,665
BLACKROCK EQUITY DIVIDEND FD SRV CL
            2,194
Units
 
               34,685
BLACKROCK GLOBAL ALLOCATION CL A
               231
Units
 
                 4,134
BLACKROCK GLOBAL ALLOCATION FD CL C
               506
Units
 
                 8,473
BLACKROCK HEALTH SCIENCES OPP PRT A
               176
Units
 
                 4,870
BLACKROCK LATIN AMERICA FD CL A
                 50
Units
 
                 3,210
BLACKROCK LATIN AMERICA FD CL C
                 49
Units
 
                 2,887
BLACKROCK NATURAL RESOURCES TR CL A
                 84
Units
 
                 4,519
BOSTON PARTNERS LONG SHORT EQUITY FD
            1,581
Units
 
               26,091
BRANDYWINE
               847
Units
 
               18,576
BRANDYWINE BLUE
            5,533
Units
 
             119,456
BRIDGEWAY AGGRESSIVE INVESTOR 2
            8,364
Units
 
             105,884
BRIDGEWAY LARGE CAP GROWTH CL N
            1,769
Units
 
               19,498
BRIDGEWAY SMALL CAP GROWTH CL N
            3,784
Units
 
               37,385
BRIDGEWAY SMALL CAP VALUE FUND CL N
               614
Units
 
                 7,234
BRIDGEWAY ULTRA SMALL CO MARKET
            3,467
Units
 
               41,428
BROWN CAPITAL MGMT SMALL COMPANY INST.
            2,713
Units
 
               97,233
BUFFALO BALANCED FUND
            1,369
Units
 
               14,077
BUFFALO JAYHAWK CHINA FUND
               333
Units
 
                 2,585
BUFFALO MID CAP FUND
            5,122
Units
 
               69,665
BUFFALO SMALL CAP GROWTH
               651
Units
 
               14,637
CALAMOS CONVERTIBLE CLASS A
            1,668
Units
 
               31,345
CLIPPER
               294
Units
 
               16,024
COHEN & STEERS REALTY SHARES
            1,455
Units
 
               68,493
COLUMBIA ACORN CLASS Z
            3,135
Units
 
               77,366
COLUMBIA ACORN INTERNATIONAL CL Z
                 83
Units
 
                 2,849
COLUMBIA ACORN SELECT CLASS Z
               326
Units
 
                 7,617
COLUMBIA EMERGING MARKETS CLASS Z
            1,110
Units
 
               12,190
COLUMBIA ENERGY AND NATURAL RESOURCES Z
               836
Units
 
               16,548
COLUMBIA GREATER CHINA FD CL Z
                 98
Units
 
                 5,253
COLUMBIA INTL GROWTH CLASS Z
            1,689
Units
 
               21,912
COLUMBIA MID CAP CORE FD CL Z
            1,064
Units
 
               14,773
COLUMBIA MID CAP GROWTH CL Z
            1,005
Units
 
               20,611
COLUMBIA SELECT LRG CAP GROWTH CLASS Z
            1,744
Units
 
               17,681
COLUMBIA SMALL CAP GROWTH I CL Z
               520
Units
 
               12,527
COLUMBIA SMALL CAP VALUE FD II Z
            2,400
Units
 
               26,376
COLUMBIA SMALL CAP VALUE II CL A
               212
Units
 
                 2,320
COLUMBIA STRATEGIC INCOME FD CL Z
               553
Units
 
                 3,199
COLUMBIA VALUE AND RESTRUCTURING CL Z
            9,639
Units
 
             412,450
COMMONWEALTH NEW ZEALAND
               241
Units
 
                 2,457
CROFT VALUE FUND
            1,108
Units
 
               22,381
DAVIS NEW YORK VENTURE CLASS A
            1,441
Units
 
               44,640
DAVIS NEW YORK VENTURE INSTL CL Y
            5,336
Units
 
             166,964
DIAMOND HILL FINANCIAL LONG/SHT A
               751
Units
 
                 7,838
DIAMOND HILL LARGE CAP CLASS A
            2,366
Units
 
               32,229
DIAMOND HILL LONG SHORT CLASS A
            2,680
Units
 
               43,717
DIAMOND HILL LONG SHORT CLASS C
            1,109
Units
 
               17,228
DIREIXION MONTHLY CHINA BULL 2X INV
               429
Units
 
               21,581
DIREXION MONTHLY COM BULL 2X INVT
               246
Units
 
               12,183
DIREXION MONTHLY DEV MKT BEAR 2X INV
                 95
Units
 
                   537
DIREXION MONTHLY DOLLAR BEAR 2.5X INV
               315
Units
 
                 6,999
DIREXION MONTHLY DOLLAR BULL 2.5X INV
               443
Units
 
               12,255
DIREXION MONTHLY EME MKTS BULL 2XINVST
            1,430
Units
 
               88,926
DIREXION MONTHLY EMERG MKRTS BEAR 2X
               290
Units
 
                   432
DIREXION MONTHLY LATIN AM BULL X2 INV
            3,076
Units
 
             175,673
DIREXION MONTHLY NAS BULL 2.5X INVT
               936
Units
 
               55,802
DIREXION MONTHLY SM CAP BULL 2.5X INV
               173
Units
 
                 5,177
DODGE & COX BALANCE
               119
Units
 
                 7,631
DODGE & COX GLOBAL STOCK FUND
            1,105
Units
 
                 8,741
DODGE & COX INCOME
           15,534
Units
 
             201,324
DODGE & COX INTERNATL STOCK FUND
           21,728
Units
 
             692,030
DODGE & COX STOCK
               702
Units
 
               67,499
DREYFUS BOND MARKET INDEX INVS
               507
Units
 
                 5,226
DREYFUS GREATER CHINA CL C
            1,846
Units
 
               78,249
DREYFUS GREATER CHINA CL I
            1,984
Units
 
               93,867
DREYFUS INTERNTL BOND FD C
               114
Units
 
                 1,792
DREYFUS S&P  STARS OPPR CL A
               129
Units
 
                 2,374
DREYFUS SMALL COMPANY VALUE FUND
            3,694
Units
 
               85,599
DRIEHAUS EMERGING MARKETS
               340
Units
 
                 9,942
DWS DREMAN SMALL CAP VALUE CL S
               147
Units
 
                 4,615
DWS GLOBAL BOND CLASS S
            1,946
Units
 
               20,275
DWS GOLD & PRECIOUS METALS CL S
            1,127
Units
 
               21,682
DWS SHORT DURATION PLUS FUND CL S
            1,060
Units
 
               10,032
EATON VANCE GREATER INDIA FUND CLASS B
                 88
Units
 
                 1,863
EATON VANCE LARGE-CAP VALUE CL A
            1,160
Units
 
               19,421
EATON VANCE TAX MNGD EMERGING MKTS INSTL
            1,413
Units
 
               59,596
EMBARCADERO ALL-CAP GROWTH
            1,072
Units
 
                 4,587
EMBARCADERO SMALL CAP GROWTH
            2,353
Units
 
                 4,846
EVERGREEN EMERG MKTS GROWTH FUND CLASS C
               965
Units
 
               15,682
EVERGREEN GLOBAL OPPORTUNITIES CL C
               729
Units
 
               15,983
EVERGREEN PRECIOUS METALS CLASS A
               213
Units
 
               15,306
FAIRHOLME FUND
           28,005
Units
 
             842,674
FAM VALUE
               216
Units
 
                 8,488
FBR FOCUS FUND
               899
Units
 
               37,222
FBR LARGE CAP FINANCIAL
               166
Units
 
                 2,172
FBR SMALL CAP FINANCIAL
            2,510
Units
 
               42,928
FEDERATED HIGH YIELD INSTL FUND
            7,359
Units
 
               40,180
FEDERATED PRUDENT BEAR FUND CLASS A
            1,626
Units
 
                 8,859
FEDERATED PRUDENT GLOBAL INC FD A
            1,616
Units
 
               20,506
FIDELITY ADVISOR EMERGING ASIA CL I
               684
Units
 
               19,750
FIDELITY ADVISOR FOCUS ENERGY CL I
               109
Units
 
                 3,423
FIDELITY ADVISOR HIGH INCOME ADV CL I
               176
Units
 
                 1,515
FIDELITY BALANCED
            1,074
Units
 
               17,564
FIDELITY BLUE CHIP GROWTH
               227
Units
 
                 8,603
FIDELITY CANADA
            4,603
Units
 
             223,165
FIDELITY CAPITAL & INCOME
           13,422
Units
 
             115,699
FIDELITY CAPITAL APPRECIATION
               152
Units
 
                 3,251
FIDELITY CASH RESERVES
           61,599
Units
 
               61,599
FIDELITY CHINA REGION
            6,021
Units
 
             167,928
FIDELITY CONTRAFUND
            1,318
Units
 
               76,797
FIDELITY DISCIPLINED EQUITY
               274
Units
 
                 5,767
FIDELITY DIVERSIFIED INTERNATIONAL
               785
Units
 
               21,978
FIDELITY DIVIDEND GROWTH
               173
Units
 
                 4,093
FIDELITY EMERGING MARKETS
            3,021
Units
 
               68,299
FIDELITY EQUITY INCOME
               120
Units
 
                 4,702
FIDELITY EUROPE
               931
Units
 
               27,434
FIDELITY EUROPE CAPITAL APPRECIATION
               269
Units
 
                 4,778
FIDELITY EXPORT & MULTINATIONAL
               532
Units
 
               10,444
FIDELITY FREEDOM 2020
               979
Units
 
               12,286
FIDELITY GLOBAL COMMODITY STOCK FUND
            1,700
Units
 
               25,005
FIDELITY GNMA FUND
            1,459
Units
 
               16,555
FIDELITY GOVERNMENT INCOME
            4,798
Units
 
               49,855
FIDELITY HIGH INCOME
               248
Units
 
                 2,098
FIDELITY INDEPENDENCE
               262
Units
 
                 5,217
FIDELITY INFLATION PROTECTED BOND
               236
Units
 
                 2,647
FIDELITY INT'L DISCOVERY
               329
Units
 
                 9,986
FIDELITY INTL SMALL CAP OPP FUND
               288
Units
 
                 2,473
FIDELITY LARGE CAP STOCK
            4,183
Units
 
               62,700
FIDELITY LATIN AMERICA
            2,675
Units
 
             138,702
FIDELITY LEVERAGED COMPANY STOCK
            8,903
Units
 
             204,051
FIDELITY LOW PRICED STOCK
            3,607
Units
 
             115,206
FIDELITY NEW MARKETS INCOME
            5,367
Units
 
               80,659
FIDELITY NORDIC
               426
Units
 
               11,675
FIDELITY OTC PORT
               507
Units
 
               23,179
FIDELITY OVERSEAS
               298
Units
 
                 9,222
FIDELITY PURITAN
            6,157
Units
 
               98,883
FIDELITY REAL ESTATE INVESTMENT
            2,806
Units
 
               56,570
FIDELITY SELECT AUTOMOTIVE
               274
Units
 
                 8,634
FIDELITY SELECT BANKING PORTFOLIO
            2,588
Units
 
               39,460
FIDELITY SELECT BROKERAGE & INVS MGT
            2,207
Units
 
             104,745
FIDELITY SELECT CHEMICALS
            1,328
Units
 
               99,922
FIDELITY SELECT COMPUTERS
               256
Units
 
               11,683
FIDELITY SELECT CONSTRUCTN & HOUSING
               353
Units
 
               10,270
FIDELITY SELECT CONSUMER STPLES PORT
               403
Units
 
               24,495
FIDELITY SELECT DEFENSE & AEROSPACE
               532
Units
 
               32,135
FIDELITY SELECT ELECTRONICS
               187
Units
 
                 7,757
FIDELITY SELECT ENERGY
            3,380
Units
 
             149,238
FIDELITY SELECT ENERGY SERVICE
               488
Units
 
               28,345
FIDELITY SELECT ENVIRONMENTAL SVCS
               851
Units
 
               13,233
FIDELITY SELECT GOLD
            1,655
Units
 
               70,871
FIDELITY SELECT HEALTH CARE
                 16
Units
 
                 1,742
FIDELITY SELECT INDUSTRIAL EQUIPMENT
            2,481
Units
 
               63,140
FIDELITY SELECT INDUSTRIALS PORT
            1,624
Units
 
               29,444
FIDELITY SELECT LEISURE
            1,131
Units
 
               75,184
FIDELITY SELECT MATERIALS PORTFOLIO
            2,443
Units
 
             131,892
FIDELITY SELECT MEDICAL DELIVERY
                 10
Units
 
                   442
FIDELITY SELECT MEDICAL EQUIP&SYSTEM
            1,211
Units
 
               29,632
FIDELITY SELECT MONEY MARKET
            1,900
Units
 
                 1,900
FIDELITY SELECT NATURAL GAS
            4,658
Units
 
             146,863
FIDELITY SELECT NATURAL RESOURCES
            3,061
Units
 
               87,099
FIDELITY SELECT PHARMACEUTICAL
               501
Units
 
                 5,449
FIDELITY SELECT SOFTWARE & COMPUTER
               742
Units
 
               56,309
FIDELITY SELECT TECHNOLOGY
            1,000
Units
 
               75,450
FIDELITY SELECT TRANSPORT
                 13
Units
 
                   530
FIDELITY SELECT WIRELESS PORTFOLIOS
            1,323
Units
 
                 8,947
FIDELITY SMALL CAP GROWTH
               417
Units
 
                 5,184
FIDELITY SMALL CAP VALUE
               303
Units
 
                 3,837
FIDELITY SOUTHEAST ASIA
               902
Units
 
               22,942
FIDELITY STRATEGIC INCOME
           10,259
Units
 
             110,901
FIDELITY STRATEGIC REAL RETURN
               667
Units
 
                 5,673
FIDELITY TELECOM AND UTILITIES FUND
               791
Units
 
               11,089
FIDELITY US BOND INDEX
            7,783
Units
 
               86,082
FIDELITY US TREASURY MONEY MARKET
           52,687
Units
 
               52,687
FIDELITY VALUE
               198
Units
 
               11,283
FIRST EAGLE GLOBAL  CLASS A
               131
Units
 
                 5,252
FIRST EAGLE GOLD FUND CLASS C
               490
Units
 
               12,775
FIRSTHAND ALTERNATIVE ENERGY
            2,646
Units
 
               21,192
FMI COMMON STOCK
            1,924
Units
 
               40,918
FMI FOCUS FUND
                 43
Units
 
                 1,000
FMI LARGE CAP FUND
            6,132
Units
 
               86,702
FMI PROVIDENT TRUST STRATEGY FUND
           35,110
Units
 
             266,837
FORWARD INTERNTL SMALL CO INVESTOR CL
            1,092
Units
 
               13,267
FORWARD SMALL CAP EQUITY INV CL
               278
Units
 
                 4,019
FPA CRESCENT INSTL
            2,667
Units
 
               66,183
FPA NEW INCOME
           11,071
Units
 
             120,890
FRANKLIN GOLD AND PRECIOUS METALS CL C
               178
Units
 
                 6,813
FRANKLIN INCOME CLASS C
           14,027
Units
 
               29,316
FRANKLIN STRATEGIC INCOME C
            4,721
Units
 
               46,829
GABELLI ASSET FUND
            1,125
Units
 
               45,239
GABELLI EQUITY INCOME FUND
               943
Units
 
               16,827
GABELLI SMALL CAP GROWTH
               103
Units
 
                 2,748
GABELLI UTILITIES
            4,239
Units
 
               27,386
GAMCO GOLD FUND
            3,109
Units
 
               93,190
GAMCO WESTWOOD BALANCED FD CL AAA
            9,738
Units
 
               96,603
GLOBAL EMERGING MARKETS
            1,005
Units
 
                 7,988
GLOBAL MEGA TRENDS
            3,506
Units
 
               28,574
GOLDMAN SACHS ASSET ALLOC GRWTH STRAT A
           11,390
Units
 
             112,417
GOLDMAN SACHS COMMODITY STRAT FD A
               439
Units
 
                 2,716
GOLDMAN SACHS SHORT DURATION GOV'T SCVS
               492
Units
 
                 5,049
GREENSPRING FUND
            1,101
Units
 
               24,984
GRUBB & ELLIS AGA INTERNATL REALTY A
               196
Units
 
                 3,195
GUINNESS ATKINSON ALTERNATIVE ENERGY
            3,238
Units
 
               21,436
GUINNESS ATKINSON ASIA FOCUS
            2,326
Units
 
               41,008
GUINNESS ATKINSON ASIA PACIFIC DIV
            1,073
Units
 
               11,838
GUINNESS ATKINSON GLOBAL ENERGY
            2,638
Units
 
               67,540
HARBOR BOND INST
           33,417
Units
 
             405,677
HARBOR CAPITAL APPRECIATION INV CL
            1,522
Units
 
               49,767
HARBOR HIGH YIELD BD INST.
            3,528
Units
 
               36,971
HARBOR HIGH YIELD BOND INVESTOR FD
            1,121
Units
 
               11,763
HARBOR INTERNATIONAL GROWTH INSTITUTIONAL
            1,536
Units
 
               17,009
HARBOR INTERNATIONAL INSTITUTIONAL FD
            1,669
Units
 
               91,567
HARBOR INTERNATIONAL INVESTOR SHARES
            5,068
Units
 
             275,623
HARBOR REAL RETURN FD INSTL CLASS SHS
            4,267
Units
 
               43,348
HARTFORD CAPITAL APPRECIATION CL A
            2,436
Units
 
               74,727
HARTFORD CAPITAL APPRECIATION CL B
               137
Units
 
                 3,739
HARTFORD CAPITAL APPRECIATION CL C
               842
Units
 
               23,084
HARTFORD GLOBAL HEALTH CL C
            1,426
Units
 
               19,297
HEARTLAND SELECT VALUE
            2,104
Units
 
               52,413
HEARTLAND VALUE
                  0
Units
 
                     18
HEARTLAND VALUE PLUS
               419
Units
 
                 9,817
HENDERSON INTERNAT'L OPPORTUNTIES CLASS A
               200
Units
 
                 4,018
HENNESSY BALANCED
               427
Units
 
                 4,236
HENNESSY CORNERSTONE GROWTH
               514
Units
 
                 4,961
HENNESSY FOCUS 30 FUND
            2,232
Units
 
               21,204
HIGHMARK LARGE CAP VALUE CLASS C
               292
Units
 
                 2,976
HODGES FUND
            3,314
Units
 
               61,776
HUSSMAN STRATEGIC TOTAL RETURN
            1,306
Units
 
               15,627
ICON ENERGY
            6,005
Units
 
             103,344
ICON EQUITY INCOME CLASS I
               176
Units
 
                 1,845
ICON FINANCIAL FUND
               504
Units
 
                 2,841
ICON HEALTHCARE
            1,110
Units
 
               14,621
ICON MATERIALS
            3,981
Units
 
               36,744
INDUSTRY LEADERS FUND CL I
               460
Units
 
                 4,253
ING CORPORATE LEADER TRUST
            3,036
Units
 
               52,642
ING REAL ESTATE FUND CLASS C
               107
Units
 
                 1,203
ING RUSSIA CL A
               809
Units
 
               25,836
INTREPID SMALL CAP FUND
            1,076
Units
 
               15,619
IVY GLOBAL NATURAL RESOURCES CLASS B
                 51
Units
 
                   846
IVY GLOBAL NATURAL RESOURCES FD CL I
               651
Units
 
               12,222
IVY INTERNATIONAL GROWTH FUND CL Y
               164
Units
 
                 4,669
JAMES ADVANTAGE SMALL CAP
            1,793
Units
 
               30,028
JANUS BALANCED FUND CLASS J
               159
Units
 
                 3,904
JANUS CONTRARIAN FUND CLASS J
           18,891
Units
 
             249,176
JANUS FLEXIBLE BOND FUND CLASS J
               944
Units
 
                 9,812
JANUS FORTY CLASS S
               585
Units
 
               18,439
JANUS GLOBAL LIFE SCIENCES FUND CL J
               118
Units
 
                 2,555
JANUS GLOBAL OPPORTUNITIES CL J
               714
Units
 
                 7,977
JANUS GLOBAL TECHNOLOGY CLASS J
               344
Units
 
                 4,792
JANUS HIGH YIELD FUND CLASS J
            3,548
Units
 
               30,125
JANUS LONG/SHORT CLASS C
               786
Units
 
                 7,743
JANUS ORION CLASS R
               782
Units
 
                 7,792
JANUS ORION FUND CLASS J SHARES
           17,911
Units
 
             178,932
JANUS OVERSEAS FUND CLASS J
           22,089
Units
 
             938,767
JANUS SHORT TERM BOND FUND CLASS J
           20,255
Units
 
               62,182
JENNISON NATURAL RESOURCES FD CL Z
               650
Units
 
               30,001
JENNISON UTILITY CL C
               297
Units
 
                 2,720
JENSEN PORTFOLIO CLASS J
            2,231
Units
 
               54,632
JOHN HANCOCK REGIONAL BANK CL A
               747
Units
 
               10,299
JORDAN OPPORTUNITY FUND
            1,446
Units
 
               15,689
JP MORGAN CHINA REGION FD CL A
               428
Units
 
                 7,573
JP MORGAN INDIA FUND CLASS C
               426
Units
 
                 5,860
JPMORGAN 100% US TREAS MMKT MORGAN
         680,497
Units
 
             680,497
JPMORGAN EMERGING MARKETS DEBT SELECT
            1,222
Units
 
                 9,175
JPMORGAN EMERGING MARKETS EQUITY CL A
            4,447
Units
 
               91,198
JPMORGAN HIGH YIELD BOND FUND CLASS A
            5,195
Units
 
               40,106
JPMORGAN INTERNATL EQUITY INDEX CL A
            1,229
Units
 
               22,571
JPMORGAN INTERNATL VALUE FUND CLASS A
            4,323
Units
 
               54,381
JPMORGAN INTERNTL EQUITY FUND CLASS A
               700
Units
 
                 9,122
JPMORGAN INTREPID EUROPEAN CLASS A
            2,096
Units
 
               36,561
JPMORGAN US GOVT MM KT MORGAN SHS
         831,605
Units
 
             831,605
JPMORGAN US REAL ESTATE CLASS A
               501
Units
 
                 6,113
KEELEY SMALL CAP VALUE CLASS A
            2,117
Units
 
               41,951
KINETICS PARADIGM FUND
            2,188
Units
 
               44,023
LAZARD EMERGING MKTS OPEN CLASS
           15,870
Units
 
             290,103
LEUTHOLD ASSET ALLOCATION FD
           12,248
Units
 
             119,540
LONGLEAF INTERNATL
            2,790
Units
 
               38,109
LOOMIS SAYLES BOND RETAIL SHARES
           54,027
Units
 
             718,025
LOOMIS SAYLES GLOBAL BOND RETAIL
            4,668
Units
 
               73,947
LOOMIS SAYLES SMALL CAP VALUE RETAIL
               463
Units
 
                 9,832
MADISON MOSAIC INV FD
               222
Units
 
                 3,346
MAINSTAY ICAP SELECT EQUITY FD CL I
           22,714
Units
 
             688,918
MANAGERS EMERGING MARKETS EQUITY
               377
Units
 
                 5,105
MANAGERS PIMCO BOND FUND
            2,756
Units
 
               28,661
MANAGERS SMALL CAP FUND
               179
Units
 
                 2,616
MANNING & NAPIER EQUITY SERIES
            5,146
Units
 
               87,328
MANNING & NAPIER WORLD OPPT SER CL A
            7,549
Units
 
               61,301
MARSICO 21ST CENTURY FUND
           20,866
Units
 
             254,360
MARSICO FOCUS
            2,691
Units
 
               41,151
MARSICO GLOBAL FUND
               923
Units
 
                 8,347
MARSICO GROWTH FUND
            6,061
Units
 
               98,489
MARSICO INTERNAT'L OPPORTUNITIES
            2,833
Units
 
               33,934
MATTHEWS ASIAN GROWTH & INCOME FUND
            1,072
Units
 
               16,903
MATTHEWS ASIAN TECHNOLOGY FUND
            3,007
Units
 
               24,115
MATTHEWS CHINA FUND
            3,568
Units
 
               90,979
MATTHEWS INDIA FUND
            3,285
Units
 
               53,513
MATTHEWS KOREA FUND
            2,451
Units
 
               10,562
MATTHEWS PACIFIC TIGER FUND
               172
Units
 
                 3,302
MERGER FUND
               214
Units
 
                 3,325
MERIDIAN VALUE FUND
            6,649
Units
 
             162,966
MERK ASIAN CURRENCY FUND - INVESTOR
               261
Units
 
                 2,511
MERK HARD CURRENCY FUND INVESTOR CL
            2,459
Units
 
               29,460
METROPOLITAN WEST HIGH YIELD BOND CL M
               721
Units
 
                 7,352
METZLER PAYDEN EURO EMERGING MKTS CL
            3,270
Units
 
               83,181
MFS EMERGING MRKTS DEBT FD CL W
            1,282
Units
 
               18,029
MIDAS FUND
           14,978
Units
 
               57,216
MOBILE TELCOMM ULTRA SECTOR PRO FD INVSTR
               299
Units
 
                   589
MORGAN STANLEY NATRL RESOURCES DEV CL A
               557
Units
 
                 7,625
MUHLENKAMP FUND
            2,010
Units
 
             101,878
MUTUAL SERIES EUROPEAN CLASS Z
               131
Units
 
                 2,670
MUTUAL SERIES FINCL SERVICES CLASS C
            1,451
Units
 
               17,481
MUTUAL SERIES FINCL SERVICES CLASS Z
               217
Units
 
                 2,612
MUTUAL SERIES GLOBAL DISCOVERY CLASS Z
            4,139
Units
 
             111,868
MUTUAL SERIES MUTUAL BEACON CLASS C
            1,784
Units
 
               20,141
MUTUAL SERIES SHARES CLASS Z
               107
Units
 
                 2,046
NEUBERGER BERMAN GENESIS INVESTOR CL
            1,023
Units
 
               27,994
NEUBERGER BERMAN INT'L INVESTOR CLASS
               140
Units
 
                 2,057
NEUBERGER BERMAN INT'L TRUST CLASS
            1,277
Units
 
               20,800
NEUBERGER BERMAN PARTNERS INVESTOR
            4,991
Units
 
             119,336
NEUBERGER BERMAN REAL ESTATE TRUST CL
               426
Units
 
                 3,754
NEUBERGER BERMAN REGENCY TRUST CLASS
               849
Units
 
                 9,115
NEW ALTERNATIVES FD
               635
Units
 
               27,016
NORTHERN EMERGING MARKETS EQUITY FD
               331
Units
 
                 3,654
NORTHERN GLOBAL REAL ESTATE INDEX FD
               432
Units
 
                 3,083
NORTHERN SMALL CAP VALUE
               592
Units
 
                 7,277
OAKMARK EQUITY & INCOME FD I
            2,747
Units
 
               70,153
OAKMARK FUND I
               270
Units
 
                 9,982
OAKMARK GLOBAL FUND I
            1,251
Units
 
               24,401
OAKMARK GLOBAL SELECT FD CL 1
            2,145
Units
 
               21,429
OAKMARK INTERNAT'L I
            2,455
Units
 
               41,340
OAKMARK INTERNAT'L SMALL CAP I
            2,069
Units
 
               24,604
OAKMARK SELECT I
            5,411
Units
 
             131,442
OBERWEIS CHINA OPPORTUNITIES FUND
            5,990
Units
 
             103,441
OBERWEIS MICRO CAP FUND
               162
Units
 
                 1,680
OIL & GAS ULTRA SECT PRO FD SERVICE
               352
Units
 
                 9,875
OIL & GAS ULTRA SECT PRO FDS -INVESTOR
               555
Units
 
               17,082
OIL EQUIPMENT SCVS & DIST ULTRA INVT CL
            1,125
Units
 
               18,550
OLD MUTUAL DWIGHT SHORT TRM FIX INC Z
            1,295
Units
 
               12,960
OPPENHEIMER COMMOD STRA TOT RETURN CL A
               682
Units
 
                 2,333
OPPENHEIMER DEV MARKETS FD CLASS A
               360
Units
 
               10,343
OPPENHEIMER GOLD & SPEC MINERALS CL C
               154
Units
 
                 5,307
OPPENHEIMER INTERNAT'L BD CL N
            2,703
Units
 
               17,248
PARNASSUS EQUITY INCOME PORTFOLIO
            6,174
Units
 
             150,965
PARNASSUS FIXED INCOME FUND
            1,617
Units
 
               27,069
PARNASSUS WORKPLACE
               416
Units
 
                 8,096
PAX WORLD HIGH YIELD BOND INDIV INV CL
            3,323
Units
 
               25,717
PERKINS MID CAP VALUE FUND CLASS J
           45,507
Units
 
             901,030
PERKINS SMALL CAP VALUE FUND CLASS J
            9,415
Units
 
             197,054
PERMANENT PORTFOLIO FAMILY OF FDS
            4,900
Units
 
             189,494
PERRITT EMERGING OPPORTUNITIES FUND
            1,912
Units
 
               16,710
PIMCO COMMODITY REAL RETURN CL D
           19,076
Units
 
             156,420
PIMCO EMERGING LOCAL BOND FUND CL D
            1,758
Units
 
               17,473
PIMCO FOREIGN BOND FUND CL D (UNHEDGED)
               195
Units
 
                 1,955
PIMCO GLOBAL MULTI ASSET FUND CL D
               448
Units
 
                 4,903
PIMCO REAL ESTATE REAL RETURN CL D
            2,261
Units
 
               10,153
PIMCO REAL RETURN CLASS D
           10,868
Units
 
             117,265
PIMCO STOCK PLUS TR SHORT STRATEGY CL D
               510
Units
 
                 2,395
PIMCO STOCKS PLUS CLASS D
            1,036
Units
 
                 7,939
PIMCO TOTAL RETURN CLASS A
               854
Units
 
                 9,222
PIMCO TOTAL RETURN CLASS C
               666
Units
 
                 7,195
PIMCO TOTAL RETURN CLASS D
         142,386
Units
 
           1,537,771
PIMCO TOTAL RETURN INSTL
           11,689
Units
 
             126,240
POLARIS GLOBAL VALUE
            1,004
Units
 
               11,777
PRECIOUS METALS ULTRA SEC PRO INVST
               804
Units
 
               25,510
PRECIOUS METALS ULTRA SECTOR PRO SVC
               161
Units
 
                 4,874
PRIMECAP ODYSSEY AGGRESSIVE GRWTH FD
               647
Units
 
                 9,054
PRO FUNDS SHORT REAL ESTATE INVESTOR CL
            4,575
Units
 
               52,197
PROFUNDS: SHORT PREC METALS INVESTOR CL
            2,401
Units
 
               21,152
PUTNAM GLOBAL NATURAL RESOURCE C
            1,504
Units
 
               26,516
QUANT FOREIGN VALUE FUND ORDINARY SHS
               652
Units
 
                 7,686
QUANTITATIVE EMRG MKTS FD-ORDINARY SHS
            1,952
Units
 
               40,397
RAINIER LARGE CAP EQUITY PORTFOLIO
            1,377
Units
 
               29,835
RAINIER MID CAP EQ PORTFOLIO
            1,016
Units
 
               31,986
RBC MICROCAP VALUE FD CL S
            1,678
Units
 
               22,505
REAL ESTATE ULTRA SECTOR PRO FD INVSTR
                 63
Units
 
                   992
REAL ESTATE ULTRA SECTOR PRO FD SRVCE
               416
Units
 
                 6,657
RICE HALL JAMES MICRO CAP PORT INSTL
            1,509
Units
 
               20,296
RISING RATES OPPTY PRO FUND INVESTOR
            8,602
Units
 
             127,568
RISING US DOLLAR PRO FUND INV CLASS
               768
Units
 
               20,742
ROBECO SAM SUSTAIN WATER - INVESTOR
            4,710
Units
 
               36,318
ROOSEVELT MULTI-CAP
                 71
Units
 
                 1,073
ROYCE LOW PRICED STOCK FD-SERVICE CL
            2,676
Units
 
               37,599
ROYCE MICROCAP INVESTMENT CLASS
               752
Units
 
               10,312
ROYCE OPPORTUNITY FUND INVEST CLASS
            8,210
Units
 
               74,141
ROYCE PENNSYLVANIA MUTUAL INVST CLASS
           15,064
Units
 
             142,358
ROYCE PREMIER FUND INVESTMENT CL
               310
Units
 
                 5,050
ROYCE SPECIAL EQUITY INVESTMENT CL
            1,981
Units
 
               34,673
ROYCE TOTAL RETURN FD INVESTMENT CL
            2,192
Units
 
               23,691
ROYCE VALUE FUND SERVICE CL
            5,323
Units
 
               53,918
ROYCE VALUE PLUS SERVICE    CLASS
           32,914
Units
 
             369,957
RS GLOBAL NATURAL RESOURCES CL A
               280
Units
 
                 8,396
RS VALUE FUND CL A
            1,515
Units
 
               31,290
RYDEX COMMODITIES STRATEGY CL A
               236
Units
 
                 3,875
RYDEX COMMODITIES STRATEGY CL H
               817
Units
 
               13,395
RYDEX GOVT LONG BOND 1.2X STRATEGY ADV CL
                  0
Units
 
                       5
RYDEX INVERSE DOW 2X STRATEGY CL C
            1,692
Units
 
               41,667
RYDEX INVERSE DOW 2X STRATEGY CL H
                 90
Units
 
                 2,310
RYDEX INVERSE S&P 500 2X STRATEGY CL C
               397
Units
 
                 8,790
RYDEX INVERSE S&P 500 2X STRATEGY CL H
            3,427
Units
 
               81,525
RYDEX INVERSE S&P 500 STRATEGY INV CL
           17,060
Units
 
             623,556
RYDEX NASDAQ 100 INV CLASS
            5,121
Units
 
               62,527
RYDEX PRECIOUS METALS INVESTOR CL
               893
Units
 
               56,900
RYDEX UTILITIES INVESTOR CLASS
               106
Units
 
                 2,693
SARATOGA HEALTH & BIOTECH PORT CL A
                 19
Units
 
                   300
SCHNEIDER SMALL CAP VALUE FUND
            1,226
Units
 
               16,778
SCHNEIDER VALUE FUND
            3,110
Units
 
               38,900
SCOUT BOND
               182
Units
 
                 2,085
SCOUT INTERNATIONAL FUND
            1,139
Units
 
               33,193
SCOUT SMALL CAP FUND
            1,697
Units
 
               21,649
SELECTED AMERICAN SHARES CL D
               828
Units
 
               30,838
SELECTED AMERICAN SHARES CL S
            2,674
Units
 
               99,693
SENTINEL MID CAP VALUE CL C
               592
Units
 
                 6,658
SEXTANT INTRNATIONAL FUND
           30,370
Units
 
             433,682
SOUND MIND INVESTING FUND
           21,279
Units
 
             205,983
SOUND SHORE FD INC
               937
Units
 
               26,774
SPARTAN 500 INDEX FID ADVANTAGE CLASS
            2,307
Units
 
             177,453
SPARTAN 500 INDEX INVESTOR CLASS
               754
Units
 
               57,974
SPARTAN INTL INDEX INVESTOR CLASS
            2,236
Units
 
               74,799
SSGA EMERGING MARKETS
               955
Units
 
               18,340
SSGA INTERMEDIATE
               623
Units
 
                 5,387
SSGA INTERNATIONAL STOCK SELECTION
            6,050
Units
 
               58,081
SSGA TUCKERMAN ACTIVE REIT
            5,944
Units
 
               50,999
STRATTON REAL ESTATE FUND INC
               182
Units
 
                 3,978
STRATTON SMALL CAP VALUE FUND
            4,116
Units
 
             166,151
T ROWE NEW INC FUND ADVISOR CLASS
               288
Units
 
                 2,672
T ROWE PRICE AFRICA & MIDDLE EAST FD
            4,210
Units
 
               28,204
T ROWE PRICE BLUE CHIP GROWTH ADV CL
               454
Units
 
               14,898
T ROWE PRICE BLUE CHIP GROWTH INC
           14,206
Units
 
             465,539
T ROWE PRICE CAP APPRECIATION
           11,342
Units
 
             205,968
T ROWE PRICE CAPITAL APPRECIATION ADV CL
            5,669
Units
 
             102,437
T ROWE PRICE EMERGING MKTS STOCK
            5,204
Units
 
             156,584
T ROWE PRICE EQUITY INCOME
            8,721
Units
 
             183,062
T ROWE PRICE EQUITY INCOME ADVISOR CL
               198
Units
 
                 4,144
T ROWE PRICE EQUITY INDEX TR FD
               150
Units
 
                 4,492
T ROWE PRICE FINANCIAL SERVICES
               614
Units
 
                 7,774
T ROWE PRICE GLOBAL REAL ESTATE FUND
               786
Units
 
               10,580
T ROWE PRICE GLOBAL STOCK
            2,567
Units
 
               41,486
T ROWE PRICE GLOBAL TECHNOLOGY
            1,752
Units
 
               13,454
T ROWE PRICE GROWTH STOCK
            4,102
Units
 
             112,856
T ROWE PRICE GROWTH STOCK ADVISOR CL
               860
Units
 
               23,515
T ROWE PRICE HEALTH SCIENCES
            2,771
Units
 
               72,508
T ROWE PRICE HIGH YIELD BOND
            3,908
Units
 
               25,088
T ROWE PRICE INFLATION PROT BD FD
            1,356
Units
 
               15,648
T ROWE PRICE INTERNATIONAL BOND
            5,454
Units
 
               53,830
T ROWE PRICE INTL DISCOVERY FUND
            3,163
Units
 
             116,879
T ROWE PRICE INT'L EMERGING MARKET BOND
            1,974
Units
 
               24,759
T ROWE PRICE INTL EQUITY INDEX
            1,955
Units
 
               21,744
T ROWE PRICE INT'L GROWTH & INCOME
               320
Units
 
                 3,947
T ROWE PRICE LATIN AMERICA FUND
            7,884
Units
 
             380,954
T ROWE PRICE MEDIA & TELECOMMUNICATIONS
               378
Units
 
               15,521
T ROWE PRICE MID CAP GROWTH
               170
Units
 
                 8,055
T ROWE PRICE MID CAP GROWTH ADVISOR CL
               286
Units
 
               13,378
T ROWE PRICE NEW ASIA
            1,641
Units
 
               26,488
T ROWE PRICE NEW ERA
            1,509
Units
 
               65,851
T ROWE PRICE NEW HORIZONS FD INC
           34,157
Units
 
             873,728
T ROWE PRICE REAL ESTATE FUND
            2,816
Units
 
               38,952
T ROWE PRICE REAL ESTATE FUND ADV CL
               524
Units
 
                 7,312
T ROWE PRICE RET 2040 FD
               480
Units
 
                 7,268
T ROWE PRICE SCIENCE AND TECH ADVISOR CL
                 86
Units
 
                 1,906
T ROWE PRICE SMALL CAP VALUE  FUND
               671
Units
 
               19,790
T ROWE PRICE US TREASURY LONG TERM
               147
Units
 
                 1,626
T ROWE PRICE VALUE
               267
Units
 
                 5,465
TARGET TOTAL RETURN BOND CL T
               361
Units
 
                 3,847
TCW  HIGH YIELD BOND CLASS I
            2,997
Units
 
               18,194
TCW  TOTAL RETURN BOND CLASS I
            3,115
Units
 
               30,866
TCW  TOTAL RETURN BOND CLASS N
            4,994
Units
 
               51,185
TCW SMALL CAP GROWTH CLASS N
               964
Units
 
               22,284
TELECOMM ULTRA SECTOR PRO FD INVSTR
               590
Units
 
                 6,895
TEMPLETON GLOBAL BOND ADVISOR CLASS
            9,791
Units
 
             124,252
TEMPLETON GLOBAL BOND CLASS A
               300
Units
 
                 3,822
TEMPLETON GROWTH CLASS R
               448
Units
 
                 7,467
THE APPLESEED FUND
               207
Units
 
                 2,582
THE DELAFIELD FUND
            2,311
Units
 
               53,890
THIRD AVENUE FOCSED CREDIT FUND INVESTOR
               492
Units
 
                 5,167
THIRD AVENUE INTL VALUE
            3,580
Units
 
               55,495
THIRD AVENUE VALUE
            3,458
Units
 
             160,156
THIRD MILLENNIUM RUSSIA
               728
Units
 
               14,071
THOMPSON PLUMB BOND FUND
               191
Units
 
                 2,092
THORNBURG INTL VALUE CL A
            1,454
Units
 
               36,064
THORNBURG INTL VALUE CL INSTL
            1,760
Units
 
               44,662
THORNBURG INTL VALUE CLASS C
               601
Units
 
               14,099
TIAA-CREF INSTIT HIGH YIELD BOND II
               338
Units
 
                 3,137
TIAA-CREF INSTL LRG CAP VALUE -RETAIL
               207
Units
 
                 2,251
TIAA-CREF INSTL MID CAP VALUE -RETAIL
            2,923
Units
 
               41,095
TIAA-CREF INSTL REAL ESTATE SEC - RETAIL
            3,315
Units
 
               25,958
TOCQUEVILLE FUND
            1,716
Units
 
               34,181
TOCQUEVILLE GOLD FUND
            2,591
Units
 
             148,917
TRANSAMERICA  EQUITY CLASS P
            9,691
Units
 
               78,885
T-ROWE PRICE EMERG EURO & MEDITERRANEAN
            7,694
Units
 
             135,101
TURNER NEW ENTERPRISE INV CL
            3,440
Units
 
               21,709
TWEEDY BROWNE GLOBAL VALUE FUND
               453
Units
 
                 9,596
ULTRA BEAR PRO FUND INVESTORS SHARES
            4,063
Units
 
               41,040
ULTRA JAPAN PRO FUND INVESTORS SHS
               202
Units
 
                 2,107
ULTRA JAPAN PRO FUND SERVICE SHARES
               575
Units
 
                 5,627
ULTRA SHORT CHINA PRO FUND - INVESTOR
               624
Units
 
                 5,730
ULTRA SHORT DOW 30 INVESTOR SHARES
            5,807
Units
 
               72,936
ULTRA SHORT EMERGING MRKTS PRO FD INV CL
            8,520
Units
 
               15,677
ULTRA SHORT NASDAQ- 100 PROFUND INVESTOR
           14,674
Units
 
               79,239
ULTRA SHORT SMALL CAP PRO FDS-INVST CL
           14,590
Units
 
               86,079
US GLOBAL INVESTORS CHINA REGION FD
            4,191
Units
 
               35,036
US GLOBAL REGION EAST EUROPEAN
            1,734
Units
 
               15,797
US GLOBAL RESOURCES
           20,845
Units
 
             184,482
US GOLD AND PRECIOUS METALS
           32,976
Units
 
             509,812
US WORLD PRECIOUS MINERALS
           18,494
Units
 
             322,167
VALUE LINE
                 94
Units
 
                   640
VALUE LINE EMERGING OPPORTUNITY
            1,353
Units
 
               35,048
VALUE LINE INCOME
               588
Units
 
                 4,556
VALUE LINE PREMIER GROWTH FUND
            1,142
Units
 
               25,208
VAN ECK EMERGING MARKETS CL C
            3,025
Units
 
               31,040
VAN ECK INTERNATN'L INVESTORS GOLD CL A
                 16
Units
 
                   310
VAN KAMPEN ASSETT ALLOCATION CONV A
               534
Units
 
                 5,088
VAN KAMPEN COMSTOCK CLASS C
            2,259
Units
 
               31,190
VAN KAMPEN REAL ESTATE SEC CLASS C
            1,619
Units
 
               22,992
VANGUARD 500 INDEX FD INVESTOR SHS
               486
Units
 
               49,941
VANGUARD BOND INDEX TOTAL MARKET
            8,670
Units
 
               89,732
VANGUARD CAPITAL VALUE
            2,521
Units
 
               23,298
VANGUARD CONVERTIBLE SECURITIES
            2,081
Units
 
               26,136
VANGUARD EMERGING MARKETS STOCK INDEX
            1,269
Units
 
               32,881
VANGUARD ENERGY
            3,900
Units
 
             234,387
VANGUARD EUROPEAN STOCK INDEX
               168
Units
 
                 4,371
VANGUARD FINANCIALS INDEX ADMIRAL SHRS
           20,044
Units
 
             291,644
VANGUARD FIXED INC HIGH YIELD CORP
               685
Units
 
                 3,748
VANGUARD GLOBAL EQUITY
               922
Units
 
               14,442
VANGUARD GNMA
            6,847
Units
 
               72,852
VANGUARD GROWTH INDEX
               113
Units
 
                 3,100
VANGUARD INDEX TRUST SMALL CAP GROWTH
               939
Units
 
               15,802
VANGUARD INFLATION PROTECTED SECS
            8,984
Units
 
             112,753
VANGUARD INTERMED TRM INVST GR INVEST
            9,100
Units
 
               87,542
VANGUARD INTERNATL VALUE PORTFOLIO
               257
Units
 
                 7,865
VANGUARD INT'L GROWTH PORTFOLIO
            1,149
Units
 
               19,526
VANGUARD LARGE CAP INDEX INV CLASS SH
               229
Units
 
                 4,683
VANGUARD LIFE STRATEGY GRWTH PORT
               710
Units
 
               13,894
VANGUARD LONG TERM INVMT GRADE INV
               651
Units
 
                 5,803
VANGUARD MID CAP GRWTH INDX CL INVES
               236
Units
 
                 4,497
VANGUARD MID CAP INDEX
            2,382
Units
 
               38,963
VANGUARD PACIFIC STOCK INDEX
               399
Units
 
                 3,861
VANGUARD PRECIOUS METALS & MINING FUND
            1,331
Units
 
               27,205
VANGUARD REIT INDEX FUND
            3,519
Units
 
               52,221
VANGUARD SHORT TERM BOND INDEX
            1,018
Units
 
               10,607
VANGUARD SHORT TERM INVMT GRADE INVESTOR
            6,263
Units
 
               66,326
VANGUARD SMALL CAP STOCK INDEX TRUST
            1,027
Units
 
               28,224
VANGUARD SMALL CAP VALUE INDEX
               240
Units
 
                 3,141
VANGUARD STRATEGIC SMALL CAP EQ INVT
            2,995
Units
 
               44,743
VANGUARD TARGET RET 2015 FD INVESTOR CL
            2,453
Units
 
               27,746
VANGUARD TARGET RET 2035 FD INVESTOR CL
           17,317
Units
 
             201,222
VANGUARD TARGET RETIREMENT 2010 INVT
           16,663
Units
 
             341,920
VANGUARD TOTAL INTL STOCK INDEX FUND
            5,175
Units
 
               74,566
VANGUARD TOTAL STOCK MARKET
            8,321
Units
 
             228,416
VANGUARD WELLINGTON FUND
            3,448
Units
 
               99,477
VANGUARD WINDSOR II
           21,433
Units
 
             507,545
VANGUARD/WELLESLEY INCOME
            1,099
Units
 
               22,382
VIRTUS FOREIGN OPPORTUNITES CL A
               872
Units
 
               17,537
WASATCH 1ST SOURCE INCOME EQUITY FUND
           11,199
Units
 
             142,004
WASATCH EMERGING MARKETS SMALL CAP FD
            9,853
Units
 
               17,933
WASATCH GLOBAL SCIENCE & TECHNOLOGY
            2,101
Units
 
               25,341
WASATCH HOISINGTON US TREASURY
               112
Units
 
                 1,587
WASATCH SMALL CAP GROWTH
               419
Units
 
               12,826
WEITZ SHORT INTERMED INCOME FUND
            1,761
Units
 
               21,309
WELLS FARGO ASIA PACIFIC FD-INVESTOR
            2,765
Units
 
               25,220
WELLS FARGO SHORT TERM HI YIELD BD-INV
           15,137
Units
 
             123,061
WELLS FARGO SHORT TERM MUNI BD-INVEST
               769
Units
 
                 7,592
WELLS FARGO SHRT TRM HI YIELD BND CLASS A
               130
Units
 
                 1,058
WELLS FARGO ULTRA SHRT TM MUNI INC-ADV
            4,175
Units
 
               20,084
WESTCORE PLUS BOND FUND
            4,327
Units
 
               45,087
WESTERN ASSET CORE PLUS INSTITUTIONAL
            1,845
Units
 
               18,704
WESTPORT FUND CLASS R
               877
Units
 
               17,000
WESTPORT SELECT CAP CLASS I
                  0
Units
 
                       2
WILLIAM BLAIR SMALL CAP GROWTH CLASS N
               598
Units
 
               11,955
WILLIAM BLAIR VALUE DISCOVERY CLASS N
               872
Units
 
                 9,143
WINTERGREEN FUND
            1,154
Units
 
               13,349
YACKTMAN FOCUSED FD
            3,733
Units
 
               60,207
YACKTMAN FUND
            5,153
Units
 
               78,427
CASH ACCOUNT
      7,096,491
Units
 
           7,110,072
Total Registered Investment Companies
   
$
         47,703,075
         
PARTICIPANT LOANS (interest rate ranging from 4.25% through 10.5% maturing through November 2024)
$
         66,455,396
         
Net Assets Pending Settlement
   
$
           9,329,303
         
TOTAL INVESTMENTS
   
$
     3,031,401,472

 
 

 
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN 
SCHEDULE OF ASSETS ACQUIRED AND DISPOSED IN 2009

Assets Acquired (Disposed)
 
Number of
   
   
Shares/Units
 
Fair Value
American Electric Power Company, Inc. Common Stock $6.50 par value (a)
 
293,125 
Shares
 
$
(7,015,575)

 
Transactions are recorded on the trade date.

 
 

 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
SUPPLEMENTAL SCHEDULE FOR NONEXEMPT TRANSACTION


Party Involved:                            James K. Johnson

Relationship to Plan, employer or other party-in-interest:                    employee of employer/plan sponsor

Transaction:                                 participant loan

Date of Loan:                              April 9, 2008

Amount of Loan:                         $21,000

Annual Interest Rate:                   6.25%

Term of Loan:                             5 years

Collateral:                                    Fifty percent (50%) of the Borrower’s Savings Plan account

Reason Transaction is Nonexempt:  Exemption under ERISA 408(b)(1) requires, among other things, that the loan be made in accordance with specific plan provisions.  The plan specifically required that the maximum participant loan (when added to the outstanding balance of all other loans to such participant) be limited to $50,000, less the excess, if any, of the participant’s highest outstanding loan balance in the past 12 months.  When the plan issued the subject loan to Mr. Johnson on April 9, 2008, in the amount of $21,000, his highest outstanding loan balance in the preceding 12 months was approximately $32,500.  The $21,000 loan, when aggregated with aforementioned loan of approximately $32,500, resulted in the loan not being made in accordance with the specific plan provisions of the plan and therefore did not fall within the exemption set forth in ERISA Section 408(b)(1).  The Company undertook steps with the participant and appropriate government agencies to remediate the prohibited transaction, but such steps had not been completed by December 31, 2009.

 
 

 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN

EXHIBIT INDEX

Exhibit Number
 
Description
 
     
23
 
Consent of Independent Registered Public Accounting Firm