aep11krsp2013.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, 2012
 
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
  
Page
Number
     
Signatures
  
2
     
Report of Independent Registered Public Accounting Firm
  
3
     
Financial Statements
    
Statements of Net Assets Available for Benefits
  
4
Statements of Changes in Net Assets Available for Benefits
  
5
Notes to Financial Statements
  
6-17
     
Supplemental Schedules
    
Schedule of Assets (Held as of End of Year)
  
18-48
Schedule of Assets (Acquired and Disposed of Within Year)   49
Schedule of Reportable Transactions
  
50
Schedule of Nonexempt Transaction
  
51
     
Exhibits
    
Exhibit Index
  
52
     
Consent of Independent Registered Public Accounting Firm
  
53
     




 

 
1
 


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/  Julia A. Sloat           
                 Julia A. Sloat, Secretary
 
 

Date:  June 28, 2013

 
2
 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Participants of the 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, 2012 and 2011, 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, 2012 and 2011, 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, 2012, (2) assets acquired and disposed of in 2012, (3) reportable transactions, and (4) 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 2012 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 28, 2013

 
3
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2012 and 2011

   
2012
  
2011
ASSETS
            
Investments at Fair Value:
            
Participant Directed Investments
  
$
3,268,509,701 
  
$
2,949,303,441 
Wrap Contracts
    
- 
    
456,104 
TOTAL INVESTMENTS AT FAIR VALUE
    
3,268,509,701 
    
2,949,759,545 
             
Notes Receivable from Participants
    
79,060,932 
    
74,987,631 
             
TOTAL ASSETS
    
3,347,570,633 
    
3,024,747,176 
             
Adjustment from Fair Value to Contract Value for Fully Benefit Responsive Wrap Contracts
    
(17,178,669)
    
(6,071,315)
             
NET ASSETS AVAILABLE FOR BENEFITS
  
$
3,330,391,964 
  
$
3,018,675,861 
             
See Notes to Financial Statements.
            


 
4
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
For the Years Ended December 31, 2012 and 2011

   
2012
  
2011
INVESTMENT INCOME
            
Net Appreciation in Fair Value of Investments
  
$
255,472,235 
  
$
17,822,948 
Interest
    
11,457,388 
    
9,625,575 
Dividends
    
33,392,767 
    
18,442,370 
Total Investment Income
    
300,322,390 
    
45,890,893 
             
CONTRIBUTIONS
            
Participants
    
147,216,242 
    
142,067,219 
Employer
    
65,123,578 
    
63,376,474 
Total Contributions
    
212,339,820 
    
205,443,693 
 
DISTRIBUTIONS TO PARTICIPANTS
    
(198,027,366)
  
 
(227,643,846)
             
ADMINISTRATIVE AND MANAGEMENT FEES
            
Professional Fees
    
(697,438)
    
(737,977)
Investment Advisory and Management Fees
    
(5,339,996)
    
(5,313,267)
Other Fees
    
(482,541)
    
(532,758)
Total Administrative and Management Fees
    
(6,519,975)
    
(6,584,002)
             
INTEREST INCOME ON NOTES RECEIVABLE FROM
      PARTICIPANTS
    
3,449,226 
    
3,508,423 
             
TRANSFERS INTO PLAN
    
152,008 
    
- 
             
INCREASE IN NET ASSETS
    
311,716,103 
    
20,615,161 
             
NET ASSETS AVAILABLE FOR BENEFITS BEGINNING OF YEAR
    
3,018,675,861 
    
2,998,060,700 
             
NET ASSETS AVAILABLE FOR BENEFITS END OF YEAR
  
$
3,330,391,964 
  
$
3,018,675,861 
             
See Notes to Financial Statements.
            

 
5
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
NOTES TO FINANCIAL STATEMENTS
For the Years Ended December 31, 2012 and 2011

1.   PLAN DESCRIPTION

The following description of the American Electric Power System Retirement Savings Plan (Plan) is provided for general information purposes only.  Participants should refer to the Plan documents for a more complete description of the Plan’s 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.  JPMorgan Chase Bank N.A. is the custodian and trustee and JPMorgan Retirement Plan Services LLC is the record keeper with respect to the Plan, collectively (JPMorgan or the Trustee).

Contributions

Newly eligible employees are automatically enrolled in the Plan with a 3% pretax deferral. Employees may 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 deferrals made at a different percentage) and how their account will be invested in the absence of their making 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 (pretax, after-tax or Roth 401(k) contributions) in 1% increments up to 50% of their eligible pay (within Internal Revenue Service (IRS) limits).  Participants who are age 50 and older are able to contribute additional pretax or Roth 401(k) amounts as catch-up contributions.  The catch-up contribution limit was $5,500 for both 2012 and 2011.  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 for the next 5% of the participant’s eligible compensation for each payroll period, subject to certain limitations.  All contributions are deposited in 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 (IRC), 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 IRC) effective January 1, 2009, such that only the after-tax contributions made by such highly compensated participants may be subject to such restrictions.

On November 1, 2012, assets of $152,008 were transferred into the Plan in connection with the merger of the terminated AEP Ohio Coal, LLC, Employee Savings Plan into the Plan.  The merger of the plans was necessary under applicable tax regulations that preclude the distribution of amounts from a terminated plan to participants who have not consented to such a distribution to the extent a related employer maintains another individual account retirement plan to which such amounts may be transferred.

Investments

The investment options offered by the Plan are a series of separately managed accounts, interests in commingled and collective trusts, the AEP Stock Fund and self-directed mutual fund brokerage accounts.  Affiliates of JPMorgan provide custody, trustee, recordkeeping and other services with regard to investments.

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
 
 
6
 
 
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 was in effect as of the first business day of the calendar quarter in which the loan was 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.

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.

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 investment earnings and losses and charged with benefit payments and allocations of Plan expenses.  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.

Vesting and Distribution

Participants are immediately vested in their pretax, after-tax, Roth 401(k) and the Company matching contributions, including earnings thereon.  Excluding participants’ pretax and Roth 401(k) contributions and post-2008 Company matching contributions, all participants may make an unlimited number of withdrawals of their interest in the Plan, including their pre-2009 Company matching contributions.  Pretax and Roth 401(k) contributions are eligible for withdrawal by participants only after age 59-1/2, or earlier upon hardship (as defined by the Plan) or following termination of employment.  Post-2008 Company matching contributions are eligible for withdrawal by participants only after age 59-1/2, or earlier following earlier termination of employment, but not upon hardship.

The AEP Stock Fund, a Plan investment option, is an Employee Stock Ownership Plan.  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 to the participants for tax purposes.

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 (GAAP).

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 while benefit responsive investment contracts are reported at fair value with an adjustment to 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 orderly 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.

 
7
 

Notes Receivable from Participants

Notes receivable from participants are measured at their unpaid principal balance plus any accrued but unpaid interest. Delinquent participant loans are not recorded as distributions until actually distributed based on the terms of the Plan document.

Administrative Expenses and Management Fees

Administrative and Management Fees incurred relating to JPMorgan during 2012 and 2011 totaled $2,529,547 and $2,998,142, 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, 2012 and 2011.

Use of Estimates

The preparation of financial statements in conformity with GAAP 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.

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 (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).  AEP’s internal staff independently monitors our valuation policies and procedures and provides members of the Benefits Finance Committee (BFC) various monthly and quarterly reports, regarding compliance with policies and procedures.  The BFC consists of our Chief Financial Officer, Treasurer, Chief Administrative Officer, Chief Risk Officer, and EVP General Counsel.
 
The Plan utilizes its trustee’s external pricing service to estimate the fair value of the underlying investments held in the Plan.  The Plan’s investment managers review and validate the prices utilized by the trustee to determine fair value.  The Company performs its own valuation testing to verify the fair values of the securities.  The Company receives audit reports of the trustee’s operating controls and valuation processes.  The trustee uses multiple pricing vendors for the assets held in the trust.

Assets in the Plan are classified using the following methods.  Equities are classified as Level 1 holdings if they are actively traded on exchanges.  Items classified as Level 1 are investments in money market funds, fixed income and equity mutual funds and domestic equity securities.  They are valued based on observable inputs primarily unadjusted quoted prices in active markets for identical assets.  Items classified as Level 2 are primarily investments in individual fixed income securities and cash equivalents funds.  Fixed income securities do not trade on an exchange and do not have an official closing price but their valuation inputs are based on observable market data.  Pricing vendors calculate bond valuations using financial models and matrices.  The models use observable inputs including yields on benchmark securities, quotes by securities brokers, rating agency actions, discounts or premiums on securities compared to par prices, changes in yields for U.S. Treasury securities, corporate actions by bond issuers, prepayment schedules and histories, economic events and, for certain securities, adjustments to yields to reflect changes in the rate of inflation.  Cash equivalent funds are held to provide liquidity and meet short term cash needs.  The underlying holdings in the cash funds consist of commercial paper, certificates of deposit, treasury bills, and other short-term debt securities.  Short-term debt securities are valued based on observable market data by the trust banks pricing vendor.  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.  Plan assets included in Level 3 are primarily real estate and private equity investments that are valued using methods requiring judgment, including appraisals.
 
 
8
 
 
Equities and Registered Investment Companies are valued based on observable inputs, primarily unadjusted quoted prices in active markets for identical assets.

Investment Descriptions

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 less 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.  These investments are categorized as Level 2 if they can be redeemed at the NAV price.  The JPMorgan Strategic Property Fund has been categorized as a Level 3 investment since the underlying holdings are diversified real estate assets that are difficult to value and rely on unobservable inputs to measure fair value.  JPMorgan Emerging Markets Fund is classified as Level 3.  The majority of the holdings in the JPMorgan Emerging Markets Fund are equity securities traded on foreign stock exchanges in emerging nations that have limited liquidity.

JPMorgan Liquidity Fund

The objective of this fund is to provide liquidity and meet short-term cash needs while preserving principal. The underlying holdings in the fund 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 fund is valued each business day.

JPMorgan US Treasury Plus Money Market Fund

The objective of this fund is to provide liquidity and meet short-term cash needs while preserving principal. The underlying holdings in the fund include U.S. Treasury obligations, including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury, and repurchase agreements fully collateralized by U.S. Treasury securities.

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 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 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 Europe, Australia, and Far East (MSCI EAFE) 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.

JPMorgan US Real Estate Securities Fund

The objective of this fund is to exceed the performance of the MSCI Real Estate Investment Trust (MSCI U.S. REIT) Index.  The underlying real estate investment trust equity holdings of this fund are actively traded on the major domestic stock exchanges and have readily available market quotes.

Mellon Capital Aggregate Bond Index Fund

The objective of this fund is to track the performance of the Barclay’s Capital U.S. Aggregate Bond Index.  Fixed income securities do not trade on an exchange and do not have an official closing price.
 
 
9
 

Mellon Capital Treasury Inflation-Protected Securities Fund

The objective of this fund is to track the performance of the Barclays Capital U.S. Treasury Inflation-Protected Securities Index.  Treasury Inflation-Protected Securities are backed by the U.S. government and protect investors from the effects of inflation.  The securities are not actively traded on exchanges and do not have an official closing price.

JPMorgan Strategic Property Fund

The objective of this fund is to exceed the performance of the National Council of Real Estate Investment Fiduciaries (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.

JPMorgan Emerging Markets Fund

The objective of this fund is to exceed the performance of the MSCI Emerging Markets (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.

Metlife Separate Account No. 690

The objective of the fund is to exceed the performance of the Barclays Capital 1-3 year Government/Credit Index.  The fund seeks to preserve principal and an above average level of income with the goal of minimizing overall portfolio risk.  Fixed income securities do not trade on an exchange and do not have an official closing price.

Wells Fargo Fixed Income Fund N

The objective of the fund is to exceed the performance of the Barclays Capital Intermediate Government/Credit Index.  The fund seeks to preserve principal and an above average level of income with the goal of minimizing overall portfolio risk.  Fixed income securities do not trade on an exchange and do not have an official closing price.

3.   PLAN TERMINATION

Although it has not expressed any intent to do so, AEPSC has the right to take such actions as will allow contributions to the Plan to be discontinued 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.   INVESTMENT CONTRACTS

The Managed Income Fund provides a stable value investment option that includes fully benefit-responsive wrap contracts which assure the book value of investments for plan participants.  The fund’s underlying assets, which are held in a trust, utilize wrap contracts issued by four financial institutions as of December 31, 2012 and 2011.  The contracts provide that participants execute plan transactions at contract value.  Contract value represents contributions made to the fund, plus credited interest, less participant withdrawals, without regard to changes in the fair value of the investments and securities underlying the fund.  The rates for crediting interest are reset periodically 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 interest crediting rate cannot be less than 0%.  Certain events initiated by the Plan Sponsor, such as plan termination or a plan merger, would limit the ability of the Plan to administer participant-level transactions at contract value or may allow for the termination of the wrap contract at market value, rather than contract value. In April 2012, AEP initiated a process to identify employee repositioning opportunities and efficiencies.  The process resulted in the redeployment of employees and involuntary severances.  The most intensive part of this process was completed in early 2013, although additional review and steps continue.

 
10
 

This process is not expected to have a material impact on the Managed Income Fund. The Plan sponsor does not believe that any events that may limit the ability of the plan to transact at contract value are probable as of December 31, 2012 or the date these financial statements are issued.  During the year ended December 31, 2012, the average yield based on underlying earnings and the average yield based on interest credited to participants were 0.83% and 1.49%, respectively.  During the year ended December 31, 2011, the average yield based on underlying earnings and the average yield based on interest credited to participants were 1.50% and 1.71%, respectively.

5.   INVESTMENTS EXCEEDING FIVE PERCENT OF THE PLAN’S NET ASSETS

Investments exceeding five percent of the Plan’s net assets as of December 31, 2012 and 2011 were as follows:

   
December 31,
   
2012
  
2011
American Electric Power Company, Inc. Common Stock
  
$
282,978,430 
  
$
285,559,258 
Mellon Capital Aggregate Bond Index Fund
    
464,002,734 
    
371,262,961 
Mellon Capital Stock Index Fund
    
481,200,145 
    
423,823,169 
Mellon Capital International Stock Index Fund
    
305,480,758 
    
260,688,324 

6.   NET APPRECIATION OF INVESTMENTS

During 2012 and 2011, the Plan's investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated (depreciated) in value as follows:
   
Years Ended December 31,
   
2012
  
2011
American Electric Power Company, Inc. Common Stock
  
$
9,617,491 
  
$
39,332,060 
Common/Collective Trusts
    
165,034,728 
    
681,279 
Corporate Stock
    
70,090,069 
    
(14,985,551)
Fixed Income Securities
    
964,770 
    
2,128,176 
Registered Investment Companies
    
9,765,177 
    
(9,333,016)
Net Appreciation in Fair Value of Investments
  
$
255,472,235 
  
$
17,822,948 

7.   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.

As of December 31, 2012 and 2011, the Plan held 6,630,235 and 6,912,594 shares, respectively, of common stock of American Electric Power Company, Inc., the Plan Sponsor, with a cost basis of $234,634,292 and $240,862,421, respectively.  During the years ended December 31, 2012 and 2011, the Plan recorded dividend income of $13,252,757 and $13,695,209, respectively, related to its investment in that common stock.

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.  An 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 to remediate the prohibited transaction as relates to the participant, but had not completed the steps to fully remediate the prohibited transaction with the interested government agencies by December 31, 2012.  Because the participant is not a “disqualified person” for purposes of Section 4975 of the IRC, 5330 is not required in connection with this transaction.
 
 
11
 

8.   FAIR VALUE MEASUREMENTS

For a discussion of fair value accounting and the classification of assets within the fair value hierarchy, see the “Fair Value Measurements of Assets” section of Note 2.

Plan Assets within the Fair Value Hierarchy as of December 31, 2012
 
   
Level 1
  
Level 2
  
Level 3
  
Total
Equities
    
Corporate Stocks
  
$
494,382,946 
  
$
- 
  
$
- 
  
$
494,382,946 
AEP Stock
    
282,978,430 
    
- 
    
- 
    
282,978,430 
Subtotal Equities
    
777,361,376 
    
- 
    
- 
    
777,361,376 
                         
Fixed Income
                        
Government Bonds
    
- 
    
105,989,433 
    
- 
    
105,989,433 
Corporate Debt Securities
    
- 
    
159,049,975 
    
- 
    
159,049,975 
Mortgage Backed Securities
    
- 
    
204,001,237 
    
- 
    
204,001,237 
Subtotal Fixed Income
    
- 
    
469,040,645 
    
- 
    
469,040,645 
                         
Common/Collective Trusts
                        
JPMorgan Liquidity Fund
    
- 
    
14,005,564 
    
- 
    
14,005,564 
JPMorgan US Treasury Plus Money Market Fund
    
- 
    
109,448,923 
    
- 
    
109,448,923 
Mellon Capital Small Cap Stock Index Fund
    
- 
    
163,278,652 
    
- 
    
163,278,652 
Mellon Capital Stock Index Fund
    
- 
    
481,200,145 
    
- 
    
481,200,145 
Mellon Capital International Stock Index Fund
    
- 
    
305,480,758 
    
- 
    
305,480,758 
JPMorgan US Real Estate Securities Fund
    
- 
    
17,816,967 
    
- 
    
17,816,967 
Mellon Capital Aggregate Bond Index Fund
    
- 
    
464,002,734 
    
- 
    
464,002,734 
Mellon Capital Treasury Inflation-Protected Securities Fund
    
- 
    
14,704,660 
    
- 
    
14,704,660 
Metlife Separate Account No. 690
       -     
150,986,394 
    
- 
    
150,986,394 
Wells Fargo Fixed Income Fund N
    
- 
    
125,425,281 
    
- 
    
125,425,281 
JPMorgan Strategic Property Fund
    
- 
    
- 
    
31,791,671 
    
31,791,671 
JPMorgan Emerging Markets Fund
    
- 
    
- 
    
18,068,713 
    
18,068,713 
Subtotal Common/Collective Trusts
    
- 
    
1,846,350,078 
    
49,860,384 
    
1,896,210,462 
                         
Registered Investment Companies
    
109,253,314 
    
- 
    
- 
    
109,253,314 
Cash Equivalents
    
- 
    
19,864,466 
    
- 
    
19,864,466 
Accrued Items and Unsettled Trades
    
545,362 
    
(3,765,924)
    
- 
    
(3,220,562)
                         
Total Assets Reflecting Investments at Fair Value
  
$
887,160,052 
  
$
2,331,489,265 
  
$
49,860,384 
  
$
3,268,509,701 

 
 
12
 


Plan Assets within the Fair Value Hierarchy as of December 31, 2011
 
   
Level 1
  
Level 2
  
Level 3
  
Total
Equities
    
Corporate Stocks
  
$
442,805,802 
  
$
- 
  
$
- 
  
$
442,805,802 
AEP Stock
    
285,559,258 
    
- 
    
- 
    
285,559,258 
Subtotal Equities
    
728,365,060 
    
- 
    
- 
    
728,365,060 
                         
Fixed Income
                        
Government Bonds
    
- 
    
165,171,072 
    
- 
    
165,171,072 
Corporate Debt Securities
    
- 
    
174,701,942 
    
- 
    
174,701,942 
Mortgage Backed Securities
    
- 
    
406,542,746 
    
- 
    
406,542,746 
Subtotal Fixed Income
    
- 
    
746,415,760 
    
- 
    
746,415,760 
                         
Common/Collective Trusts
                        
JPMorgan Liquidity Fund
    
- 
    
142,411,611 
    
- 
    
142,411,611 
Mellon Capital Small Cap Stock Index Fund
    
- 
    
146,226,734 
    
- 
    
146,226,734 
Mellon Capital Stock Index Fund
    
- 
    
423,823,169 
    
- 
    
423,823,169 
Mellon Capital International Stock Index Fund
    
- 
    
260,688,324 
    
- 
    
260,688,324 
JPMorgan US Real Estate Securities Fund
    
- 
    
12,741,862 
    
- 
    
12,741,862 
Mellon Capital Aggregate Bond Index Fund
    
- 
    
371,262,961 
    
- 
    
371,262,961 
Mellon Capital Treasury Inflation-Protected Securities Fund
    
- 
    
8,878,231 
    
- 
    
8,878,231 
JPMorgan Strategic Property Fund
    
- 
    
- 
    
34,096,695 
    
34,096,695 
JPMorgan Emerging Markets Fund
    
- 
    
- 
    
15,195,847 
    
15,195,847 
Subtotal Common/Collective Trusts
    
- 
    
1,366,032,892 
    
49,292,542 
    
1,415,325,434 
                         
Registered Investment Companies
    
94,923,728 
    
- 
    
- 
    
94,923,728 
Cash Equivalents
    
- 
    
21,875,447 
    
- 
    
21,875,447 
Wrap Contracts
    
- 
    
- 
    
456,104 
    
456,104 
Accrued Items and Unsettled Trades
    
593,548 
    
(58,195,536)
    
- 
    
(57,601,988)
                         
Total Assets Reflecting Investments at Fair Value
  
$
823,882,336 
  
$
2,076,128,563 
  
$
49,748,646 
  
$
2,949,759,545 

 
 
13
 

The following tables set forth a summary of the Plan's investments with a reported Net Asset Value as of December 31, 2012 and 2011:

Fair Value Estimated Using Net Asset Value per Share as of December 31, 2012
 
   
Fair Value
  
Redemption Frequency
(If currently eligible)
  
Redemption Notice Period
             
JPMorgan Liquidity Fund
  
$
14,005,564 
  
Daily
  
1 Day
JPMorgan US Treasury Plus Money Market Fund
    
109,448,923 
  
Daily
  
Trade Date + 0
Mellon Capital Small Cap Stock Index Fund
    
163,278,652 
  
Daily
  
Trade Date + 1
Mellon Capital Stock Index Fund
    
481,200,145 
  
Daily
  
Trade Date + 1
Mellon Capital International Stock Index Fund
    
305,480,758 
  
Daily
  
Trade Date + 1
JPMorgan US Real Estate Securities Fund
    
17,816,967 
  
Daily
  
1 Day
Mellon Capital Aggregate Bond Index Fund
    
464,002,734 
  
Daily
  
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
    
14,704,660 
  
Daily
  
Trade Date + 1
JPMorgan Strategic Property Fund
    
31,791,671 
  
Quarterly
  
45 Days
JPMorgan Emerging Markets Fund
    
18,068,713 
  
Daily
  
1 Day
Metlife Separate Account No. 690
    
150,986,394 
  
Monthly
  
1 Month
Wells Fargo Fixed Income Fund N
    
125,425,281 
  
Monthly
  
1 Month
Total Assets
  
$
1,896,210,462 
        

 
Fair Value Estimated Using Net Asset Value per Share as of December 31, 2011
 
   
Fair Value
  
Redemption Frequency
(If currently eligible)
  
Redemption Notice Period
             
JPMorgan Liquidity Fund
  
$
142,411,611 
  
Daily
  
1 Day
Mellon Capital Small Cap Stock Index Fund
    
146,226,734 
  
Daily
  
Trade Date + 1
Mellon Capital Stock Index Fund
    
423,823,169 
  
Daily
  
Trade Date + 1
Mellon Capital International Stock Index Fund
    
260,688,324 
  
Daily
  
Trade Date + 1
JPMorgan US Real Estate Securities Fund
    
12,741,862 
  
Daily
  
1 Day
Mellon Capital Aggregate Bond Index Fund
    
371,262,961 
  
Daily
  
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
    
8,878,231 
  
Daily
  
Trade Date + 1
JPMorgan Strategic Property Fund
    
34,096,695 
  
Quarterly
  
45 Days
JPMorgan Emerging Markets Fund
    
15,195,847 
  
Daily
  
1 Day
Total Assets
  
$
1,415,325,434 
        

 
14
 

There have been no transfers between Level 1, Level 2, and Level 3 during the years ended December 31, 2012 and 2011.

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, 2012
  
   
   
JPMorgan
Strategic
Property
Fund
  
JPMorgan
Emerging
Markets
Fund
  
Wrap
Contracts
  
Total
Balance at Beginning of Year
  
$
34,096,695 
  
$
15,195,847 
  
$
456,104 
  
$
49,748,646 
                         
Realized Gains (Losses)
    
(1,030,618)
    
520,253 
    
(456,104)
    
(966,469)
Unrealized Gains (Losses)
    
(6,980,456)
    
2,274,613 
    
- 
    
(4,705,843)
Purchases
    
(1,513,950)
    
(1,825,000)
    
- 
    
(3,338,950)
Sales
    
7,220,000 
    
1,903,000 
    
- 
    
9,123,000 
Issuances
    
- 
    
- 
    
- 
    
- 
Settlements
    
- 
    
- 
    
- 
    
- 
Balance at End of Year
  
$
31,791,671 
  
$
18,068,713 
  
$
- 
  
$
49,860,384 

 
Changes in Fair Value Measurements for the Year Ended December 31, 2011
  
   
   
JPMorgan
Strategic
Property
Fund
  
JPMorgan
Emerging
Markets
Fund
  
Wrap
Contracts
  
Total
Balance at Beginning of Year
  
$
29,191,929 
  
$
14,787,949 
  
$
914,421 
  
$
44,894,299 
                         
Realized Gains
    
- 
    
133,801 
    
- 
    
133,801 
Unrealized Gains (Losses)
    
5,119,766 
    
3,313,297 
    
(458,317)
    
7,974,746 
Purchases
    
(215,000)
    
(3,504,200)
    
- 
    
(3,719,200)
Sales
    
- 
    
465,000 
    
- 
    
465,000 
Issuances
    
- 
    
- 
    
- 
    
- 
Settlements
    
- 
    
- 
    
- 
    
- 
Balance at End of Year
  
$
34,096,695 
  
$
15,195,847 
  
$
456,104 
  
$
49,748,646 
 
9.   RISK AND UNCERTAINTIES

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 change could materially affect the amounts reported in the financial statements.

 
 
15
 

10.   FEDERAL INCOME TAX

The IRS has determined that the Plan meets the requirements of Section 401(a) of the IRC and recognizes the exempt status of the Plan’s trust pursuant to Section 501(a) of the IRC.

The Plan has been amended subsequent to the issuance of the most recent IRS determination letter and the Plan Sponsor submitted an application to the IRS on January 30, 2012, for an updated determination letter that will take into account those additional amendments.  Plan management believes that the Plan is currently designed and operated in compliance with the applicable requirements of the IRC 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.

GAAP requires Plan management to evaluate tax positions taken by the Plan and to recognize a tax liability if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan Administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2012 and 2011, there are no uncertain positions taken or expected to be taken that would require recognition of a liability or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions. However, there are currently no audits for any tax periods in progress.  The Plan Administrator believes it is no longer subject to income tax examinations for years prior to 2009.

11.   RECONCILIATION OF FINANCIAL STATEMENTS TO THE FORM 5500

Due to changes in the IRS Form 5500 filing requirements, the income statement in Schedule H, Part II, is now 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 Schedule H as Participant Loans as of the beginning and ending of the year were adjusted so that prospectively the amounts reported on Schedule H, Part I, Line 1c(8), columns (a) and (b) are in conformity with the Form 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)
  
2012
  
2011
Beginning Balance per Financial Statements
  
$
74,987,631 
  
$
70,565,226 
Less: Loans Deemed Distributed with No Post-Default Payments
    
(1,695,638)
    
(1,474,224)
Balance Reported on Form 5500
  
$
73,291,993 
  
$
69,091,002 

   
December 31,
Participant Loans – Schedule H, Part I, Line 1c(8), Column (b)
  
2012
  
2011
Ending Balance per Financial Statements
  
$
79,060,932 
  
$
74,987,631 
Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
    
(2,053,161)
    
(1,695,638)
Balance Reported on Form 5500
  
$
77,007,771 
  
$
73,291,993 
 
 
16
 

As a result of the changes to Form 5500, beginning and ending Net Assets Available for Benefits as well as Increase (Decrease) in Net Assets will differ between reported amounts on the Financial Statements and Form 5500 as follows:

   
January 1,
Net Assets – Schedule H, Part I, Line 1l, Column (a)
  
2012
  
2011
Beginning Balance per Financial Statements
  
$
3,018,675,861 
  
$
2,998,060,700 
Less: Adjustment from Contract Value to Fair Value
    
6,071,315 
    
(8,599,095)
Less: Loans Deemed Distributed with No Post-Default Payments
    
(1,695,638)
    
(1,474,224)
Beginning Balance Reported on Form 5500
  
$
3,023,051,538 
  
$
2,987,987,381 


   
December 31,
Net Assets – Schedule H, Part I, Line 1l, Column (b)
  
2012
  
2011
Ending Balance per Financial Statements
  
$
3,330,391,964 
  
$
3,018,675,861 
Less: Adjustment from Contract Value to Fair Value
    
17,178,669 
    
6,071,315 
Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
    
(2,053,161)
    
(1,695,638)
Balance Reported on Form 5500
  
$
3,345,517,472 
  
$
3,023,051,538 


   
December 31,
Increase in Net Assets – Schedule H, Part II, Line 2k
  
2012
  
2011
Per Financial Statements
  
$
311,716,103 
  
$
20,615,161 
Less: Adjustment from Contract Value to Fair Value
    
11,107,354 
    
14,670,410 
Less: Loans Deemed Distributed
    
(357,523)
    
(221,414)
Reported on Form 5500
  
$
322,465,934 
  
$
35,064,157 

 
17
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR)
DECEMBER 31, 2012
           
     
INVESTMENT CONTRACTS:
      
    Stable Value Wrap      
    Prudential Insurance Company of America, 1.57%      
    variable annual yield  (1.57% at December 31, 2012)      
    with an indeterminate maturity date   $
                           -
    Stable Value Wrap      
    Met Life Inc.      
    variable annual yield (1.27% at December 31, 2012)      
    with an indeterminate maturity date                                   -
    Stable Value Wrap      
    ING Life Ins. Co.      
    variable annual yield (2.06% at December 31, 2012)      
    with an indeterminate maturity date                                                 -
    Stable Value Wrap      
    Natixis Financial Products Inc.      
    variable annual yield (1.91% at December 31, 2012)      
    with an indeterminate maturity date                                                 -
    Subtotal Wrapper Contracts    $                                             -
         
 Shares
  
Identity of Issuer, Borrower, Lessor or Similar Party
    
 Fair Value
   
Common / Collective Trusts
      
         11,250,821
  
Wells Fargo Fixed Income Fund N
    
          125,425,281
           1,479,728
  
Metlife Separate Account No 690
    
          150,986,394
       109,448,923
  
JPMorgan US Treasury Plus Money Market Fund
    
          109,448,923
   
Total Common / Collective Trusts
  
$
          385,860,598
           
   
Corporate Debt Securities
      
           2,125,000
  
Access to Loans for Learning Student Loan Corp, 0.91%,7/25/2036
  
              2,134,167
           2,750,000
  
Ally Auto Receivables Trust 2012-4, 0.59%,1/17/2017
    
              2,747,883
           2,500,000
  
Ally Auto Receivables Trust 2012-SN1, 0.51%,12/22/2014
    
              2,502,025
           3,000,000
  
Ally Auto Receivables Trust, 0.62%,3/15/2017
    
              3,002,430
           2,700,000
  
American Express Credit Account Master Trust, 0.68%,3/15/2018
  
              2,708,640
           1,230,000
  
American Express Credit Corp, 7.30%,8/20/2013
    
              1,282,841
           1,375,000
  
AmeriCredit Automobile Receivables Trust, 0.51%,1/08/2016
    
              1,374,945
              620,000
  
Anheuser-Busch InBev Worldwide Inc, 1.38%,7/15/2017
    
                 626,529
           2,535,000
  
Anheuser-Busch InBev Worldwide Inc, 4.13%,1/15/2015
    
              2,708,876
           1,680,000
  
AT&T Inc, 2.95%,5/15/2016
    
              1,778,650
              415,000
  
AT&T Inc, 2.40%,8/15/2016
    
                 433,082
           1,085,000
  
Bank of America Corp, 3.63%,3/17/2016
    
              1,149,666
           1,085,000
  
Bank of America Corp, 3.88%,3/22/2017
    
              1,176,704
              770,000
  
Bank of America Corp, 3.75%,7/12/2016
    
                 823,076
           1,245,000
  
Bank of Nova Scotia, 2.05%,10/07/2015
    
              1,286,683
           1,120,000
  
Barclays Bank PLC, 5.20%,7/10/2014
    
              1,191,702
           4,980,000
  
BMW Vehicle Owner Trust, 0.76%,8/25/2015
    
              4,996,733
              500,000
  
Chevron Corp, 1.10%,12/05/2017
    
                 503,490
           1,542,000
  
Citigroup Inc, 6.00%,12/13/2013
    
              1,615,800
 
 
 
18
 
 
              700,000
  
Citigroup Inc, 4.59%,12/15/2015
    
                 764,225
              525,000
  
Citigroup Inc, 0.58%,6/09/2016
    
                 496,099
           1,355,000
  
Citigroup Inc, 3.95%,6/15/2016
    
              1,458,468
              685,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.38%,1/19/2017
                 735,889
              780,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 2.13%,10/13/2015
                 805,038
           2,000,000
  
Covidien International Finance SA, 2.80%,6/15/2015
    
              2,091,820
           1,280,000
  
Credit Suisse/New York NY, 3.50%,3/23/2015
    
              1,349,824
           1,340,000
  
CVS Caremark Corp, 3.25%,5/18/2015
    
              1,420,628
              945,000
  
Deutsche Bank AG/London, 3.88%,8/18/2014
    
                 991,957
           1,220,000
  
Devon Energy Corp, 1.88%,5/15/2017
    
              1,243,705
              755,000
  
DIRECTV Holdings LLC / DIRECTV Financing Co Inc, 2.40%,3/15/2017
  
                 773,362
           2,470,000
  
DIRECTV Holdings LLC / DIRECTV Financing Co Inc, 3.50%,3/01/2016
  
              2,616,743
           1,175,000
  
Duke Realty LP, 5.95%,2/15/2017
    
              1,343,201
           2,650,781
  
Ford Credit Auto Owner Trust, 0.84%,6/15/2015
    
              2,657,541
           2,140,038
  
Ford Credit Auto Owner Trust, 0.97%,1/15/2015
    
              2,144,874
              435,000
  
Ford Motor Credit Co LLC, 4.25%,2/03/2017
    
                 466,011
           1,595,000
  
Ford Motor Credit Co LLC, 3.00%,6/12/2017
    
              1,638,735
           2,500,000
  
GE Capital Commercial Mortgage Corp, 4.89%,3/10/2040
    
              2,604,675
           1,775,000
  
GE Equipment Transportation LLC, 0.62%,7/25/2016
    
              1,777,041
           2,000,000
  
GEDFT 2012-4 A, 0.65%,10/20/2017
    
              2,004,500
           1,205,000
  
Georgia Power Co, 3.00%,4/15/2016
    
              1,288,061
              900,000
  
GlaxoSmithKline Capital PLC, 1.50%,5/08/2017
    
                 913,086
           2,140,000
  
Goldman Sachs Group Inc/The, 3.63%,2/07/2016
    
              2,265,233
              291,988
  
Harley-Davidson Motorcycle Trust 2011-1, 0.61%,10/15/2014
    
                 292,052
              860,000
  
Hartford Financial Services Group Inc, 4.00%,10/15/2017
    
                 939,464
              895,000
  
Hewlett-Packard Co, 3.00%,9/15/2016
    
                 900,728
              950,000
  
Honda Auto Receivables Owner Trust, 0.52%,8/18/2016
    
                 950,732
           5,390,000
  
Honda Auto Receivables Owner Trust, 0.88%,9/21/2015
    
              5,418,459
           4,480,000
  
HSBC Finance Corp, 0.59%,1/15/2014
    
              4,466,336
           4,525,000
  
Hyundai Auto Receivables Trust, 0.83%,12/15/2015
    
              4,546,992
           1,400,000
  
Intel Corp, 1.35%,12/15/2017
    
              1,399,594
           1,505,000
  
International Business Machines Corp, 0.55%,2/06/2015
    
              1,505,286
           3,110,000
  
John Deere Capital Corp, 0.48%,6/16/2014
    
              3,115,256
              500,000
  
JPMorgan Chase & Co, 4.65%,6/01/2014
    
                 526,805
           1,350,000
  
Kraft Foods Group Inc, 2.25%,6/05/2017
    
              1,396,332
           1,270,000
  
LG&E and KU Energy LLC, 2.13%,11/15/2015
    
              1,296,822
              555,000
  
Lowe's Cos Inc, 1.63%,4/15/2017
    
                 567,937
              404,000
  
Macy's Retail Holdings Inc, 5.90%,12/01/2016
    
                 474,704
           1,125,000
  
Massachusetts Health & Educational Facilities Authority, 5.26%,10/01/2018
  
              1,344,094
           2,756,823
  
Mercedes-Benz Auto Receivables Trust 2011-1, 0.85%,3/16/2015
  
              2,763,302
           1,380,000
  
Morgan Stanley, 4.75%,3/22/2017
    
              1,505,525
              545,000
  
Morgan Stanley, 5.55%,4/27/2017
    
                 604,203
           1,615,000
  
Morgan Stanley, 4.00%,7/24/2015
    
              1,689,742
           2,095,000
  
NBCUniversal Media LLC, 3.65%,4/30/2015
    
              2,228,703
           1,800,000
  
New Hampshire Higher Education Loan Corp, 0.00%,10/25/2028
  
              1,799,820
           1,000,000
  
New York Life Global Funding, 1.30%,10/30/2017
    
              1,003,920
              483,431
  
Nissan Auto Lease Trust 2011-A, 0.39%,1/15/2014
    
                 483,484
              415,726
  
Nissan Auto Lease Trust 2011-A, 0.70%,1/15/2014
    
                 415,847
           3,353,210
  
Nissan Auto Receivables Owner Trust, 0.74%,9/15/2014
    
              3,358,341
           1,470,000
  
Phillips 66, 2.95%,5/01/2017
    
              1,557,965
 
 
 
19
 
 
           2,000,000
  
Porsche Innovative Lease Owner Trust, 0.54%,12/21/2015
    
              2,000,660
           3,445,000
  
Prudential Financial Inc, 5.10%,9/20/2014
    
              3,687,356
              475,000
  
Rio Tinto Finance USA Ltd, 2.25%,9/20/2016
    
                 492,779
           2,135,000
  
Royal Bank of Scotland PLC/The, 4.88%,3/16/2015
    
              2,293,161
           2,725,000
  
Santander Drive Auto Receivables Trust 2012-5, 0.57%,12/15/2015
  
              2,727,643
           2,120,000
  
Shell International Finance BV, 3.10%,6/28/2015
    
              2,245,843
           2,050,032
  
SLM Student Loan Trust, 0.37%,2/27/2017
    
              2,049,233
           1,775,000
  
Small Business Administration Participation Certificates, 2.09%,11/01/2032
  
              1,800,123
           2,581,827
  
Small Business Administration Participation Certificates, 4.14%,2/01/2030
  
              2,834,897
           1,350,000
  
Toronto-Dominion Bank/The, 2.50%,7/14/2016
    
              1,420,268
995,000
  
Total Capital International SA, 1.55%,6/28/2017
    
              1,010,343
480,000
  
UBS AG/Stamford CT, 3.88%,1/15/2015
    
                507,197
645,000
  
UBS AG/Stamford CT, 5.88%,12/20/2017
    
               767,718
385,000
  
United Technologies Corp, 1.80%,6/01/2017
    
               396,304
1,080,000
  
Verizon Communications Inc, 2.00%,11/01/2016
    
            1,117,724
1,240,000
  
Verizon Communications Inc, 3.00%,4/01/2016
    
            1,320,364
1,215,324
  
Volkswagen Auto Lease Trust, 1.00%,2/20/2014
    
            1,216,637
1,355,000
  
Wal-Mart Stores Inc, 2.80%,4/15/2016
    
            1,445,094
2,000,000
  
World Omni Auto Receivables Trust, 0.61%,6/15/2017
    
            2,000,200
   
Total Corporate Debt Securities
  
$
        145,780,627
           
   
Government Bonds
      
14,095,000
  
United States Treasury Inflation Indexed Bonds, 0.13%,4/15/2017
$
            15,371,950
5,000,000
  
United States Treasury Inflation Indexed Bonds, 0.13%,7/15/2022
  
              5,459,719
600,000
  
United States Treasury Note/Bond, 0.63%,9/30/2017
    
                 598,920
3,385,000
  
United States Treasury Note/Bond, 0.63%,5/31/2017
    
              3,390,281
2,995,000
  
United States Treasury Note/Bond, 0.75%,6/30/2017
    
              3,012,790
10,785,000
  
United States Treasury Note/Bond, 0.88%,4/30/2017
    
            10,917,332
11,000,000
  
United States Treasury Note/Bond, 0.88%,7/31/2019
    
            10,864,260
8,050,000
  
United States Treasury Note/Bond, 1.00%,3/31/2017
    
              8,194,015
1,000,000
  
Beaver County School District, 1.76%,2/01/2018
    
              1,017,610
700,000
  
City of Columbus OH, 1.28%,8/15/2017
    
                 699,580
400,000
  
County of Baltimore MD, 3.31%,11/01/2019
    
                 442,288
1,650,000
  
County of Harris TX, 1.37%,10/01/2018
    
              1,641,998
300,000
  
County of New Castle DE, 1.00%,7/15/2016
    
                 300,105
1,110,000
  
County of Travis TX, 0.87%,3/01/2016
    
              1,106,104
1,500,000
  
Denver City & County School District No 1, 0.97%,12/01/2016
    
              1,493,520
3,030,000
  
European Investment Bank, 1.63%,6/15/2017
    
              3,127,566
135,000
  
Lake County Township High School District No 121 Warren, 0.85%,3/01/2014
  
                 135,200
295,000
  
Lake County Township High School District No 121 Warren, 1.00%,3/01/2015
  
                 296,089
1,619,220
  
MSN 41079 and 41084 Ltd, 1.72%,7/13/2024
    
              1,630,166
925,000
  
New York State Dormitory Authority, 1.00%,2/15/2016
    
                 923,021
3,124,735
  
North Carolina State Education Assistance Authority, 1.04%,7/25/2039
  
              3,155,326
1,400,000
  
Overseas Private Investment Corp, 0.00%,7/12/2014
    
              1,406,496
1,400,000
  
Petroleos Mexicanos, 2.00%,12/20/2022
    
              1,431,528
2,000,000
  
Phoenix 2012 LLC, 1.61%,7/03/2024
    
              2,006,660
1,000,000
  
South San Antonio Independent School District/TX, 3.75%,8/15/2014
  
              1,050,180
550,000
  
State of Connecticut, 1.70%,10/15/2018
    
                 553,262
875,000
  
State of Michigan, 1.38%,5/15/2016
    
                 885,824
1,000,000
  
State of New York, 3.75%,3/01/2018
    
              1,124,570
 
 
 
20
 
500,000
  
State of Ohio, 3.18%,5/01/2018
    
                 540,730
1,200,000
  
State of Wisconsin, 5.05%,5/01/2018
    
              1,386,048
2,000,000
  
Tagua Leasing LLC, 1.58%,11/16/2024
    
              1,997,880
1,000,000
  
Virginia College Building Authority, 4.25%,2/01/2018
    
              1,136,560
735,000
  
Washington & Multnomah Counties School District No 48J Beaverton, 1.72%,6/15/2019
                 733,684
260,000
  
Washington County School District No 13 Banks, 1.85%,6/15/2018
  
                 260,411
   
Total Government Bonds
  
$
            88,291,673
           
   
Mortgage Backed Securities
      
1,385,000
  
Bear Stearns Commercial Mortgage Securities, 5.45%,3/11/2039
  
              1,562,696
2,320,000
  
Bear Stearns Commercial Mortgage Securities, 5.71%,9/11/2038
  
              2,655,727
2,407,998
  
COMM 2004-LNB2 Mortgage Trust, 4.72%,3/10/2039
    
              2,492,470
2,250,000
  
Credit Suisse First Boston Mortgage Securities Corp, 5.10%,8/15/2038
  
              2,473,110
1,685,395
  
DBRR 2012 - EZ1 A, 0.95%,9/25/2045
    
              1,689,297
2,000,000
  
FNA 2012 - M14 ASQ2, 1.11%,2/25/2017
    
              2,021,260
4,000,000
  
FNCN 10-YR 2.5 TBA FEB, 2.50%,11/29/2022
    
              4,188,280
4,130,000
  
General Electric Capital Corp, 2.30%,4/27/2017
    
              4,282,314
452,747
  
Ginnie Mae I pool, 5.00%,10/15/2019
    
                 489,844
3,040,207
  
Ginnie Mae II pool, 4.12%,8/21/2062
    
              3,443,083
951,011
  
Government National Mortgage Association, 4.25%,11/20/2034
  
                 973,003
720,477
  
Government National Mortgage Association, 4.00%,12/16/2038
  
                 763,461
1,100,000
  
Government National Mortgage Association, 5.50%,2/16/2037
    
              1,238,371
1,103,966
  
Government National Mortgage Association, 3.50%,2/20/2039
    
              1,174,166
1,586,478
  
Government National Mortgage Association, 3.00%,3/20/2038
    
              1,641,770
1,006,924
  
Government National Mortgage Association, 4.50%,4/20/2040
    
              1,088,797
856,686
  
Government National Mortgage Association, 4.00%,5/16/2035
    
                 904,939
1,000,000
  
Government National Mortgage Association, 5.00%,5/20/2038
    
              1,084,955
966,967
  
Government National Mortgage Association, 4.25%,5/20/2039
    
              1,040,394
807,054
  
Government National Mortgage Association, 4.50%,5/20/2040
    
                 891,996
643,648
  
Government National Mortgage Association, 4.00%,6/20/2040
    
                 694,925
643,035
  
Government National Mortgage Association, 4.50%,7/20/2038
    
                 682,247
1,692,431
  
Government National Mortgage Association, 3.50%,1/20/2039
    
              1,802,118
2,608,085
  
Government National Mortgage Association, 4.00%,9/20/2038
    
              2,811,438
2,744,615
  
Government National Mortgage Association, 4.25%,10/20/2038
  
              2,940,087
3,838,277
  
Government National Mortgage Association, 4.50%,4/20/2036
    
              3,986,795
4,036,852
  
Government National Mortgage Association, 4.50%,9/20/2036
    
              4,212,920
1,429,688
  
Greenwich Capital Commercial Funding Corp, 4.92%,1/05/2036
  
              1,456,509
1,392,454
  
Greenwich Capital Commercial Funding Corp, 4.57%,8/10/2042
  
              1,395,475
2,384,000
  
Merrill Lynch Mortgage Trust, 5.26%,11/12/2037
    
              2,649,768
1,946,416
  
Morgan Stanley Bank of America Merrill Lynch Trust, 0.66%,11/15/2045
  
              1,945,307
2,560,000
  
Morgan Stanley Capital I Trust 2005-HQ5, 5.17%,1/14/2042
    
              2,744,986
2,239,042
  
LB-UBS Commercial Mortgage Trust, 4.69%,7/15/2032
    
              2,264,992
2,310,000
  
LB-UBS Commercial Mortgage Trust, 4.95%,9/15/2030
    
              2,523,375
1,914,341
  
UBS-Barclays Commercial Mortgage Trust, 0.73%,8/10/2049
    
              1,918,093
257,499
  
Wachovia Bank Commercial Mortgage Trust, 5.24%,10/15/2044
  
                 285,032
940,386
  
Fannie Mae Pool, 3.00%,10/01/2027
    
              1,011,094
1,570,595
  
Fannie Mae Pool, 4.50%,12/01/2022
    
              1,692,104
2,750,000
  
Fannie Mae Pool, 1.27%,9/01/2017
    
              2,798,098
1,982,137
  
Fannie Mae Pool, 2.00%,12/10/2022
    
              2,037,062
8,000,000
  
Fannie Mae Pool, 2.50%,1/01/2023
    
              8,396,640
 
 
 
21
 
2,580,420
  
Fannie Mae Pool, 2.50%,10/01/2022
    
              2,708,357
2,616,626
  
Fannie Mae Pool, 2.50%,11/01/2022
    
              2,746,358
1,960,796
  
Fannie Mae Pool, 2.50%,11/01/2022
    
              2,058,012
2,652,061
  
Fannie Mae Pool, 2.50%,12/01/2022
    
              2,783,550
7,675,698
  
Fannie Mae Pool, 2.50%,5/01/2022
    
              8,056,259
2,518,744
  
Fannie Mae Pool, 2.50%,8/01/2022
    
              2,643,623
2,545,180
  
Fannie Mae Pool, 2.50%,9/01/2022
    
              2,671,370
5,784,840
  
Fannie Mae Pool, 3.00%,5/01/2027
    
              6,114,056
4,016,983
  
Fannie Mae Pool, 4.00%,11/01/2025
    
              4,371,690
4,906,605
  
Fannie Mae Pool, 4.00%,6/01/2026
    
              5,257,084
4,262,335
  
Fannie Mae Pool, 4.50%,6/01/2018
    
              4,696,650
2,950,630
  
Fannie Mae Pool, 5.00%,3/01/2025
    
              3,249,903
5,748,379
  
Fannie Mae Pool, 5.00%,6/01/2020
    
              6,246,993
2,897,351
  
Fannie Mae Pool, 5.00%,6/01/2023
    
              3,148,667
3,122,343
  
Fannie Mae Pool, 5.50%,9/01/2023
    
              3,417,373
5,175,000
  
Federal Home Loan Mortgage Corp, 1.00%,9/29/2017
    
              5,229,389
2,150,000
  
Federal National Mortgage Association, 0.88%,10/26/2017
    
              2,158,708
4,150,000
  
Federal National Mortgage Association, 0.88%,12/20/2017
    
              4,158,093
1,236,335
  
Freddie Mac Gold Pool, 5.00%,2/01/2025
    
              1,349,080
991,988
  
Freddie Mac Gold Pool, 5.00%,4/01/2023
    
              1,065,405
2,999,841
  
Freddie Mac Gold Pool, 4.00%,7/01/2026
    
              3,172,395
2,218,471
  
Freddie Mac Gold Pool, 4.50%,6/01/2025
    
              2,410,380
4,358,790
  
Freddie Mac Gold Pool, 5.00%,10/01/2020
    
              4,677,147
573,219
  
Freddie Mac REMICS, 5.00%,6/15/2033
    
                 586,690
3,724,307
  
Freddie Mac REMICS, 4.50%,7/15/2032
    
              3,854,583
2,395,932
  
Freddie Mac REMICS, 4.75%,6/15/2035
    
              2,561,985
2,776,254
  
Freddie Mac REMICS, 5.00%,4/15/2033
    
              2,885,027
981,118
  
Helios Leasing I LLC, 1.56%,9/28/2024
    
                 978,989
2,300,000
  
Citigroup Commercial Mortgage Trust, 4.73%,10/15/2041
    
              2,433,055
   
Total Mortgage Backed Securities
  
$
          184,039,869
           
   
Net Assets Pending Settlement
  
             (2,805,873)
           
   
Subtotal Stable Value
$
                          801,166,894
           
   
TOTAL - INVESTMENT CONTRACTS
$
                          801,166,894
   
ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE
  
                           (17,178,669)
   
TOTAL - INVESTMENT CONTRACTS AT CONTRACT VALUE
$
                          783,988,225

 
 
22
 

 
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR (continued))
DECEMBER 31, 2012
       
 Shares
Identity of Issuer, Borrower, Lessor or Similar Party
  
 Fair Value
 
Cash Equivalents
    
    19,864,466
Cash Equivalents
$
                 19,864,466
 
Total Cash Equivalents
$
                 19,864,466
       
 
Common / Collective Trusts
    
         378,440
JPMCB US Real Estate Securities Fund
$
                 17,816,967
      3,671,983
EB Daily Liquidity Non SL Aggregate Bond Index Fund
  
               464,002,734
      2,707,059
EB Daily Liquidity Non SL International Stock Index Fund
  
               305,480,758
      1,135,157
EB Daily Liquidity Non SL Small Cap Stock
  
               163,278,652
      3,427,742
EB Daily Liquidity Non SL Stock Index Fund
  
               481,200,145
         117,161
EB DL Non SL Treasury Inflation Protected Securities Fund
  
                 14,704,660
      1,003,260
JPMCB Emerging Markets - Equity Focused
  
                 18,068,713
           16,936
JPMCB Strategic Property Fund
  
                 31,791,671
     14,005,564
JPMCB Liquidity Fund
  
                 14,005,564
 
Total Common / Collective Trusts
$
            1,510,349,864
       
 
AEP Stock
    
                     6,630,235
American Electric Power Company, Inc.   Common Stock $6.50 par value
$
               282,978,430
 
Total AEP Stock
$
               282,978,430
       
 
Corporate Stock
    
            9,400
3M CO COM STK USD0.01
$
                      872,790
            5,950
AARON'S INC CLASS'A'COM VTG USD0.5
  
                      168,266
           41,200
ABB LTD ADR EACH REPR I CHF2.50(SPON)
  
                      856,548
           24,059
ABBOTT LABORATORIES COM STK NPV
  
                   1,575,865
           17,600
ABBOTT LABORATORIES COM STK NPV
  
                   1,152,800
            7,440
ABM INDUSTRIES INC COM STK USD0.01
  
                      148,428
           21,000
ACCENTURE PLC CLS'A'USD0.0000225
  
                   1,396,500
            9,900
ACE LIMITED CHF30.57
  
                      790,020
           28,400
ACME PACKET INC COM STK USD0.001
  
                      628,208
           11,220
ACTUANT CORP CLS'A' COM STK USD0.20
  
                      313,150
           10,690
AEGION CORP USD0.01
  
                      237,211
            6,735
AEROPOSTALE INC COM STK USD0.01
  
                        87,622
            6,271
AEROPOSTALE INC COM STK USD0.01
  
                        81,586
           25,900
AETNA INC NEW COM STK USD0.001
  
                   1,199,170
            4,300
AFC ENTERPRISES INC USD0.01
  
                      112,359
            3,195
AFFILIATED MANAGERS GROUP INC COM STK USD0.01
  
                      415,829
           30,400
AFLAC INC COM STK USD0.10
  
                   1,614,848
           21,600
AGCO CORP COM STK USD0.01
  
                   1,060,992
           64,131
AGILENT TECHNOLOGIES INC COM STK USD0.01
  
                   2,631,936
           19,200
AGILENT TECHNOLOGIES INC COM STK USD0.01
  
                      787,968
            2,900
AGRIUM INC COM NPV
  
                      291,189
           12,000
AIR METHODS CORP COM STK USD0.06
  
                      442,680
            3,300
AIR PRODUCTS & CHEMICALS INC COM STK USD1
  
                      279,378
           26,255
ALEXION PHARMACEUTICAL INC COM NPV USD0.001
  
                   2,462,982
            4,280
ALLEGHENY TECHNOLOGIES INC COM STK USD0.10
  
                      129,941
           27,571
ALLERGAN INC COM STK USD0.01
  
                   2,529,088
            9,600
ALLIANCE DATA SYSTEM COM STK USD0.01
  
                   1,389,696
            4,600
ALLIANCE DATA SYSTEM COM STK USD0.01
  
                      665,896
           21,900
ALLSTATE CORP COM STK USD0.01
  
                      879,723
           53,711
ALTERA CORP COM STK USD0.001
  
                   1,849,807
            6,000
ALTERRA CAPITAL HLDGS LTD USD0.01
  
                      169,140
           24,217
AMAZON COM INC COM STK USD0.01
  
                   6,081,857
           11,775
AMC NETWORKS INC USD0.01
  
                      582,863
           17,800
AMEREN CORP COM STK USD0.01
  
                      546,816
           44,200
AMERICAN EAGLE OUTFITTER COM STK USD0.01
  
                      906,542
           21,710
AMERICAN EAGLE OUTFITTER COM STK USD0.01
  
                      445,272
           10,457
AMERICAN GREETINGS CORP COM STK CLASS'A'USD1
  
                      176,619
           13,800
AMERICAN PUBLIC EDUCATION INC COM STK USD0.01
  
                      498,318
           35,666
AMERICAN TOWER CORPORATION
  
                   2,755,912
 
 
 
23
 
           13,200
AMERIPRISE FINANCIAL INC COM STK USD0.01
  
                      826,716
           18,300
AMERIPRISE FINANCIAL INC COM STK USD0.01
  
                   1,146,129
           28,800
AMERISOURCEBERGEN CORP COM STK NPV
  
                   1,243,584
           12,300
AMGEN INC COM STK USD0.0001
  
                   1,061,736
           21,900
AMPHENOL CORP CLASS'A'COM STK USD0.001
  
                   1,419,492
            4,170
AMSURG CORP COM STK NPV
  
                      125,142
           24,118
ANADARKO PETROLEUM CORP COM STK USD0.10
  
                   1,792,209
            2,400
ANN INC USD0.0068
  
                        81,216
           28,160
ANWORTH MORTGAGE ASSET CORP COM STK USD0.01
  
                      166,989
            8,300
APACHE CORP USD0.625
  
                      651,550
           12,955
APOLLO INVESTMENT CORP COM STK USD0.001
  
                      110,895
           18,035
APPLE INC COM STK NPV
  
                   9,613,196
            2,800
APPLE INC COM STK NPV
  
                   1,492,484
           10,000
ARCHER DANIELS MIDLAND CO COM STK NPV
  
                      273,900
           12,655
ARES CAPITAL CORP COM STK USD0.001
  
                      221,463
            6,119
ARGO GROUP INTL HLDGS COM STK USD0.01
  
                      205,537
           41,375
ARMOUR RESIDENTIAL REIT INC USD0.0001
  
                      267,696
           54,200
ARRIS GROUP INC COM STK USD0.01
  
                      809,748
           22,400
ARROW ELECTRONICS INC COM STK USD1
  
                      852,992
           22,995
ARROW ELECTRONICS INC COM STK USD1
  
                      875,650
           10,040
ASBURY AUTOMOTIVE GROUP INC COM STK USD0.01
  
                      321,581
           53,000
ASCENA RETAIL GROUP INC USD0.05
  
                      979,970
           29,265
ASCENA RETAIL GROUP INC USD0.05
  
                      541,110
            3,120
ASHLAND INC COM STK USD1
  
                      250,879
            7,600
ASPEN INSURANCE HLDGS COM STK USD0.15144558
  
                      243,808
           11,100
ASSOCIATED ESTATES REALTY CORP COM NPV
  
                      178,932
           21,900
ASSURANT INC COM STK USD0.01
  
                      759,930
            3,400
ASSURANT INC COM STK USD0.01
  
                      117,980
            7,800
ASSURANT INC COM STK USD0.01
  
                      270,660
           73,600
ASSURED GUARANTY LTD COM STK USD0.01
  
                   1,047,328
         225,193
ATMEL CORP COM STK USD0.001
  
                   1,475,014
           26,000
ATWOOD OCEANICS INC COM STK USD1
  
                   1,190,540
           14,200
AUTOLIV INC COM STK USD1
  
                      956,938
            1,960
AUTOLIV INC COM STK USD1
  
                      132,084
            2,300
AUTOZONE INC COM STK USD0.01
  
                      815,189
            1,600
AUTOZONE INC COM STK USD0.01
  
                      567,088
           45,812
AVAGO TECHNOLOGIES LTD NPV
  
                   1,450,408
           39,100
AVNET INC COM STK USD1
  
                   1,196,851
           18,035
AVNET INC COM STK USD1
  
                      552,051
            6,415
AXIS CAPITAL HLDGS COM STK USD0.0125
  
                      223,819
           15,646
BAIDU INC ADR EACH REPR 0.10 SHARE A
  
                   1,569,137
            5,900
BALL CORP COM STK NPV
  
                      264,025
           13,400
BALL CORP COM STK NPV
  
                      599,650
            1,100
BANCFIRST CORP COM STK USD1
  
                        46,596
           12,632
BBCN BANCORP INC
  
                      146,152
            6,280
BEACON ROOFING SUPPLY INC COM STK USD0.01 CLS'A'
  
                      208,998
           17,600
BED BATH AND BEYOND COM STK USD0.01
  
                      984,016
            3,000
BEL FUSE INC CLASS'B'SHS USD0.1
  
                        58,650
           31,400
BELDEN INC COM STK USD0.01
  
                   1,412,686
            6,150
BELDEN INC COM STK USD0.01
  
                      276,689
            5,100
BELDEN INC COM STK USD0.01
  
                      229,449
         112,100
BELO CORP USD0.01 A
  
                      859,807
           19,500
BEMIS CO INC COM STK USD0.10
  
                      652,470
            3,200
BERRY PETROLEUM CORP CLASS'A'COM STK USD0.01
  
                      107,360
           14,500
BIG LOTS INC COM STK USD0.01
  
                      412,670
            5,900
BIG LOTS INC COM STK USD0.01
  
                      167,914
           11,214
BIOGEN IDEC INC COM STK USD0.0005
  
                   1,644,757
            9,500
BIOMED REALTY TRUST INC COM STK USD0.01
  
                      185,868
           36,356
BOEING CO COM STK USD5
  
                   2,739,788
           22,290
BORG-WARNER INC COM STK USD0.01
  
                   1,596,410
           16,800
BP AMOCO P.L.C ADR-EACH CNV INTO 6 ORD USD0.25
  
                      699,552
            8,480
BRADY CORP 'A'NON.V USD0.01
  
                      283,232
           19,200
BRINK'S COMPANY BRINKS GROUP COM USD1
  
                      547,776
            4,840
BRINK'S COMPANY BRINKS GROUP COM USD1
  
                      138,085
           35,400
BRISTOL-MYERS SQUIBB CO COM STK USD0.10
  
                   1,153,686
 
 
 
24
 
            5,350
BRISTOW GROUP INC COM STK USD0.01
  
                      287,081
            9,800
BROOKFIELD RESIDENTIAL PPTYS INC USD0.01
  
                      175,812
           40,906
BRUNSWICK CORP COM STK USD0.75
  
                   1,189,956
            1,337
BUCKEYE TECHNOLOGIES INC COM STK USD0.01
  
                        38,385
           17,050
BUCKLE COM STK USD0.05
  
                      761,112
            4,000
BUNGE LTD COM STK USD0.01
  
                      290,760
            7,537
BURBERRY GROUP SPON ADR EACH REP 2 ORD
  
                      310,284
           67,200
CA INC COM STK USD0.10
  
                   1,477,056
           76,100
CABLEVISION SYSTEMS CORP NY GROUP COM STK USD0.01
  
                   1,136,934
            8,065
CABOT CORP COM STK USD1
  
                      320,906
            4,959
CABOT CORP COM STK USD1
  
                      197,319
            3,700
CACI INTL INC CLASS A COM
  
                      203,611
           86,200
CAE INC COM NPV
  
                      874,930
           27,422
CALLAWAY GOLF CO COM STK USD0.01
  
                      178,243
            9,700
CAMBREX CORP COM STK USD0.10
  
                      110,386
           82,200
CAMECO CORP COM NPV
  
                   1,629,247
           13,800
CAMERON INTERNATIONAL CORP COM STK USD0.01
  
                      779,148
            4,888
CANADIAN PACIFIC RAILWAYS COM NPV
  
                      498,402
           10,895
CAPSTEAD MTGE.CORP COM STK USD0.01
  
                      128,234
           33,200
CAPSTEAD MTGE.CORP COM STK USD0.01
  
                      390,764
           26,900
CARDINAL HEALTH INC COM STK NPV
  
                   1,115,140
           16,300
CARLISLE COS INC COM STK USD1
  
                      957,788
           19,769
CARLISLE COS INC COM STK USD1
  
                   1,161,626
            1,822
CASCADE CORP COM STK USD0.50
  
                      117,155
            6,400
CATAHY GENERAL BANCORP COM STK USD0.01
  
                      124,800
            4,620
CATO CORP CLASS'A'COM STK USD0.03 1/3
  
                      126,727
           10,200
CBL & ASSOCIATES PROPERTIES INC COM STK USD0.01
  
                      218,586
           23,700
CBS CORP CLASS'B' COM STK USD0.001
  
                      905,313
            6,300
CEC ENTERTAINMENT COM STK USD0.10
  
                      209,097
            6,349
CELANESE CORP COM STK USD0.0001 CLS'A'
  
                      282,721
            9,800
CELANESE CORP COM STK USD0.0001 CLS'A'
  
                      436,394
            3,715
CENTENE CORP(DEL) COM STK USD0.001
  
                      152,315
            1,400
CF INDUSTRIES HOLDINGS INC COM STK USD0.01
  
                      284,424
            5,130
CHATHAM LODGING TRUST USD0.01
  
                        79,925
           23,100
CHECK POINT SOFTWARE TECHNOLOGIES ORD ILS1
  
                   1,100,484
           10,145
CHECKPOINT SYSTEMS COM STK USD0.10
  
                      108,957
            4,925
CHEMED CORP CAP USD1
  
                      337,806
            6,600
CHEVRON CORP COM STK USD0.75
  
                      713,724
            6,400
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)
  
                      296,640
           11,108
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)
  
                      515,034
           41,600
CHICOS FAS INC COM STK USD0.01
  
                      767,936
            8,389
CHICOS FAS INC COM STK USD0.01
  
                      154,861
            3,740
CHILDRENS PLACE RETAIL STORE INC COM STK USD0.10
  
                      165,645
            6,313
CHIPOTLE MEXICAN GRILL COM STK USD0.01
  
                   1,877,865
           10,000
CHUBB CORP COM STK USD1
  
                      757,300
           17,600
CIGNA CORP COM STK USD0.25
  
                      940,896
         305,200
CINCINNATI BELL NC USD0.01
  
                   1,672,496
            4,900
CITRIX SYSTEMS INC COM STK USD0.001
  
                      322,175
            4,005
CITY NATIONAL CORP COM STK USD1
  
                      198,328
            8,000
CLIFFS NATURAL RESOURCES INC COM STK USD0.125
  
                      308,480
           41,317
COACH INC COM STK USD0.01
  
                   2,293,507
            7,300
COACH INC COM STK USD0.01
  
                      405,223
           17,900
COGNEX CORP COM STK USD0.002
  
                      659,078
            4,350
COLONY FINANCIAL INC USD0.01
  
                        86,565
            5,534
COLONY FINANCIAL INC USD0.01
  
                      110,127
            4,965
COLUMBIA BANKING SYSTEMS INC COM STK NPV
  
                        89,072
            9,530
COMERICA INC COM STK USD5
  
                      290,570
            1,822
COMMERCE BANCSHARES INC COM STK USD5
  
                        63,871
           23,410
COMPUTER SCIENCES CORP COM STK USD1
  
                      942,253
           11,589
COMSTOCK RESOURCES INC COM STK USD0.50
  
                      175,342
           15,857
COMTECH TELECOMMUNICATIONS COM STK USD0.10
  
                      402,451
           20,603
CONCHO RESOURCES INC COM STK USD0.001
  
                   1,659,778
           12,000
CONOCOPHILLIPS USD0.01
  
                      695,880
            8,110
CONTANGO OIL & GAS COM USD0.04
  
                      343,540
           39,167
CONVERGYS CORP COM STK NPV
  
                      644,689
 
 
 
25
 
           33,504
COSTCO WHOLESALE CORP COM STK USD0.005
  
                   3,309,190
            5,902
COVANCE INC COM STK USD0.01
  
                      340,959
            7,320
COVANTA HOLDING CORP
  
                      134,834
            2,769
CRA INTERNATIONAL INC COM
  
                        54,743
           10,700
CRANE CO COM STK USD1
  
                      495,196
           26,244
CROWN CASTLE INTERNATIONAL CORP COM STK USD0.01
  
                   1,893,767
            8,300
CUMMINS INC COM STK USD2.50
  
                      899,305
           22,600
CUMMINS INC COM STK USD2.50
  
                   2,448,710
           10,280
CURTISS-WRIGHT CORP COM STK USD1
  
                      337,492
           12,111
CVB FINANCIAL NPV
  
                      125,954
           17,700
CVS CAREMARK CORP COM STK USD0.01
  
                      855,795
           46,180
CYS INVESTMENTS INC USD0.01
  
                      545,386
           17,866
CYS INVESTMENTS INC USD0.01
  
                      210,997
           37,056
DANA HOLDING CORP USD0.01
  
                      578,444
           13,638
DARDEN RESTAURANTS INC COM STK NPV
  
                      614,665
            8,200
DECKERS OUTDOOR CORP COM STK USD0.01
  
                      330,214
           10,600
DIAMOND OFFSHORE DRILLING INC COM STK USD0.01
  
                      720,376
           12,960
DIANA SHIPPING INC COM STK USD0.01
  
                        94,608
           14,800
DIEBOLD INC COM STK USD1.25
  
                      453,028
           10,700
DILLARDS INC NPV A
  
                      896,339
           19,300
DISCOVER FINANCIAL SERVICES COM STK USD0.01
  
                      746,717
           15,500
DISCOVER FINANCIAL SERVICES COM STK USD0.01
  
                      599,695
           47,150
DISCOVERY COMMUNICATIONS INC CLS 'C' USD0.01
  
                   2,758,275
           52,445
DOLE FOOD CO INC USD0.001
  
                      601,544
           21,000
DOLLAR TREE INC COM STK USD0.01
  
                      851,760
            7,100
DOVER CORP COM STK USD1
  
                      466,541
            8,900
DOW CHEMICAL CO COM STK USD2.50
  
                      287,648
           53,400
DR HORTON INC COM STK USD0.01
  
                   1,056,252
           25,200
DR PEPPER SNAPPLE GROUP INC USD0.01
  
                   1,121,904
            9,100
DTE ENERGY CO COM STK NPV
  
                      552,097
            6,400
DU PONT(E.I.)DE NEMOURS & CO COM STK USD0.30
  
                      287,808
           66,579
DUKE REALTY CORP COM STK USD0.01
  
                      923,451
           54,106
DUNKIN BRANDS GROUP INC USD0.001
  
                   1,795,237
           10,485
EAST WEST BANCORP INC USD0.001
  
                      225,323
            4,300
EASTMAN CHEMICAL CO COM STK USD0.01
  
                      292,615
           16,600
EATON CORP PLC NPV
  
                      899,720
           27,404
EBAY INC COM STK USD0.001
  
                   1,398,152
           23,800
EBIX. COM INC USD0.10
  
                      382,466
           11,900
EDISON INTERNATIONAL COM STK NPV
  
                      541,777
           36,980
EDWARDS GROUP LTD ADR REP 1 ORD SH SPONSORED
  
                      224,838
            9,700
EL PASO ELECTRIC CO COM STK NPV
  
                      309,527
            8,465
ELECTRONICS FOR IMAGING INC COM STK USD0.01
  
                      160,750
         125,773
EMC CORP COM STK USD0.01
  
                   3,182,057
           32,200
ENCANA CORP COM NPV
  
                      636,272
           19,600
ENDURANCE SPECIALTY HLDGS LTD USD1
  
                      777,924
            4,100
ENERGEN CORP COM STK USD0.01
  
                      184,869
           15,785
ENERSYS COM USD0.01
  
                      593,990
           11,604
ENERSYS COM USD0.01
  
                      436,659
           14,200
ENI ADR EACH REP 2 ORD (MGT)
  
                      697,788
            4,633
ENSIGN GROUP INC COM NPV
  
                      125,971
               500
ENSTAR GROUP LIMITED SHS
  
                        55,990
            7,500
ENTERGY CORP COM STK USD0.01
  
                      478,125
           12,052
EOG RESOURCES INC COM STK USD0.01
  
                   1,455,761
            8,100
EPR PROPERTIES SBI USD0.01
  
                      379,566
            6,805
EQUIFAX INC COM STK USD1.25
  
                      368,287
            2,716
EQUITY LIFESTYLE PROPERTIES INC COM STK USD0.01
  
                      182,760
           28,368
ESTEE LAUDER COMPANIES INC USD0.01 A
  
                   1,698,108
           69,500
EXPRESS INC USD0.01
  
                   1,048,755
            5,995
EXPRESS INC USD0.01
  
                        90,465
           49,164
EXPRESS SCRIPTS HLDG CO USD0.01
  
                   2,654,856
            8,000
EXXON MOBIL CORP COM STK NPV
  
                      692,400
            2,800
F5 NETWORK INC COM STK USD0.01
  
                      272,020
           56,993
FACEBOOK INC USD0.000006 A
  
                   1,517,724
            2,700
FAIR ISAAC CORP COM STK USD0.01
  
                      113,481
           13,165
FEDERATED INVESTORS INC COM STK CLASS'B'USD0.01
  
                      266,328
 
 
 
26
 
           26,715
FIDELITY NATIONAL FINANCIAL INC CLASS 'A' COM STK
  
                      629,138
           10,205
FIFTH STREET FINANCE CORP USD0.01
  
                      106,336
           48,700
FIFTH THIRD BANCORP COM STK NPV
  
                      744,623
           23,110
FINISH LINE INC CLASS'A'COM STK USD0.01
  
                      437,472
            8,555
FIRST AMERICAN FINANCIAL CORP USD0.00001
  
                      206,090
            1,060
FIRST CITIZENS BANCSHARES INC NRTH CLASS'A'SHS
  
                      173,310
           19,619
FIRST MIDWEST BANCORP COM STK USD0.01
  
                      245,826
           23,750
FIRST NIAGARA FINANCIAL GROUP INC COM
  
                      188,338
           43,700
FIRST NIAGARA FINANCIAL GROUP INC COM
  
                      346,541
           12,000
FIRSTENERGY CORP COM STK USD0.10
  
                      501,120
           46,190
FLEXTRONICS INTERNATIONAL ORD USD0.01
  
                      286,840
            6,500
FLOWSERVE CORP COM STK USD1.25
  
                      956,540
            5,900
FLUSHING FINANCIAL CORP COM STK USD0.01
  
                        90,506
           12,952
FNB CORP PA COM STK USD0.01
  
                      137,550
           28,000
FOOT LOCKER INC COM STK USD0.01
  
                      899,360
            5,150
FOOT LOCKER INC COM STK USD0.01
  
                      165,418
               270
FOOT LOCKER INC COM STK USD0.01
  
                          8,672
            9,605
FORUM ENERGY TECHNOLOGIES INC USD0.01
  
                      237,724
            9,300
FOSSIL INC COM STK USD0.01
  
                      865,830
           77,300
FOSTER WHEELER AG CHF3
  
                   1,879,936
            6,100
FRANKLIN RESOURCES INC COM STK USD0.10
  
                      766,770
            8,605
FRESH DEL MONTE PRODUCE NV COM STK USD0.01
  
                      226,742
           23,050
FTI CONSULTING INC COM STK USD0.01
  
                      760,650
            7,500
FULLER(H.B.)CO COM STK USD1
  
                      261,150
           18,100
FULTON FINANCIAL CORP COM STK USD2.50
  
                      173,941
            3,850
G&K SERVICES INC USD0.50 A
  
                      131,478
            1,500
G&K SERVICES INC USD0.50 A
  
                        51,225
         106,200
GANNETT CO INC COM STK USD1
  
                   1,933,902
           25,200
GAP INC COM STK USD0.05
  
                      785,358
            1,280
GARDNER DENVER INC COM STK USD0.01
  
                        87,680
           17,719
GENERAL CABLE CORP COM STK USD0.01
  
                      538,835
            1,500
GEORGIA GULF CORP COM STK USD0.01
  
                        61,920
           20,552
GILEAD SCIENCES INC COM STK USD0.001
  
                   1,509,544
           19,000
GLOBAL PAYMENTS INC COM STK USD0.001
  
                      860,700
            2,900
GLOBAL PAYMENTS INC COM STK USD0.001
  
                      131,370
            6,500
GLOBAL PAYMENTS INC COM STK USD0.001
  
                      294,450
           22,070
GLOBE SPECIALTY METALS INC USD0.0001
  
                      303,463
           18,300
GNC HLDGS INC USD0.001
  
                      609,024
           19,270
GOLDMAN SACHS GROUP INC COM STK USD0.01
  
                   2,458,081
            6,400
GOLDMAN SACHS GROUP INC COM STK USD0.01
  
                      816,384
            9,358
GOOGLE INC COM STK USD0.001 CLS A
  
                   6,638,284
            4,400
GRACO INC COM STK USD1
  
                      226,556
           22,300
GRAND CANYON EDUCATION INC USD0.01
  
                      523,381
            2,645
GRANITE CONSTRUCTION COM STK USD0.01
  
                        89,269
           78,440
GRAPHIC PACKAGING HLDG CO USD0.01
  
                      506,722
           10,015
GREAT PLAINS ENERGY INC COM STK NPV
  
                      203,405
           20,800
GREAT PLAINS ENERGY INC COM STK NPV
  
                      422,448
            4,008
GREATBATCH INC COM STK USD0.001
  
                        93,146
           24,300
GREEN MOUNTAIN COFFEE ROASTERS INC COM STK USD0.10
  
                   1,005,048
           12,111
GRIFFON CORP COM STK USD0.25
  
                      138,792
            3,740
GROUP 1 AUTOMOTIVE INC COM STK NPV
  
                      231,843
            6,715
GUESS INC COM STK USD0.01
  
                      164,786
            1,400
HANCOCK HOLDING CO COM STK USD3.33
  
                        44,436
           12,595
HANGER INC USD0.01
  
                      344,599
            7,300
HANGER INC USD0.01
  
                      199,728
            2,940
HANOVER INSURANCE GROUP INC COM STK USD0.01
  
                      113,896
           20,100
HARLEY DAVIDSON COM STK USD0.01
  
                      981,684
         125,800
HARMONIC INC COM STK USD0.001
  
                      637,806
           10,780
HARRIS CORP COM STK USD1
  
                      527,789
            9,057
HARRIS TEETER SUPERMARKETS INC NPV
  
                      350,596
           18,393
HARSCO CORP COM STK USD1.25
  
                      432,236
           12,100
HARTE-HANKS INC COM STK USD1
  
                        71,390
           35,200
HARTFORD FINANCIAL SERVICES GRP INC COM STK
  
                      793,408
           19,310
HATTERAS FINANCIAL CORP USD0.001
  
                      492,598
           13,500
HCA HLDGS INC USD0.01
  
                      407,295
 
 
 
27
 
           17,100
HCC INSURANCE HLDG COM STK USD1
  
                      639,113
            9,818
HEALTH CARE REIT INC COM STK USD1
  
                      601,745
           21,500
HEALTH MANAGEMENT ASSOCIATES INC CLASS'A'COM STK
  
                      200,380
           10,125
HEIDRICK & STRUGGLES COM STK USD0.01
  
                      154,508
           10,965
HELIX ENERGY SOLUTIONS GROUP INC COM STK NPV
  
                      226,318
           13,000
HELMERICH & PAYNE INC COM STK USD0.10
  
                      728,130
           27,600
HELMERICH & PAYNE INC COM STK USD0.10
  
                   1,545,876
           36,800
HERBALIFE LTD
  
                   1,212,192
           10,300
HERCULES TECHNOLOGY GROWTH CAP INC USD1
  
                      114,639
           44,500
HEXCEL CORP COM STK USD0.01
  
                   1,199,720
            9,995
HILLENBRAND INC NPV
  
                      225,987
            3,919
HILL-ROM HOLDINGS INC COM STK NPV
  
                      111,692
            8,806
HILLSHIRE BRANDS CO USD0.01
  
                      247,795
           15,400
HOME DEPOT INC COM STK USD0.05
  
                      952,490
           14,000
HUNT(J.B.)TRANSPORT SERVICES INC COM STK USD0.01
  
                      835,940
           46,300
HUNTINGTON BANCSHARES INC COM STK NPV
  
                      297,709
            5,235
HUNTINGTON INGALLS INDUSTRIES INC USD0.01 WI
  
                      226,885
           18,300
IAC/INTERACTIVE CORP COM STK USD0.001
  
                      865,590
           18,600
IAC/INTERACTIVE CORP COM STK USD0.001
  
                      879,780
           16,300
IAC/INTERACTIVE CORP COM STK USD0.001
  
                      770,990
           13,900
ICON PLC SPON ADR EACH 1 REP I SHR
  
                      385,864
           61,700
IGATE CORP COM STK USD0.01
  
                      973,009
           21,200
ILLUMINA INC COM STK USD0.01
  
                   1,178,508
           32,600
IMMUNOGEN INC COM STK USD0.01
  
                      415,650
           87,154
INDUSTRIA DE DISENO TEXTIL SA UNSP ADR EACH REP
  
                   2,486,504
            2,240
INFINITY PROPERTY & CASUALTY CORP COM NPV
  
                      130,458
           20,710
INGRAM MICRO INC CLASS'A'COM STK USD0.01
  
                      350,413
            4,200
INGREDION INC USD0.01
  
                      271,698
            6,525
INSIGHT ENTERPRISE INC COM STK USD0.01
  
                      113,339
            9,600
INSIGHT ENTERPRISE INC COM STK USD0.01
  
                      166,752
            6,205
INTEGRA LIFESCIENCES HLDGS CORP COM STK USD0.01
  
                      241,809
           25,600
INTEGRATED DEVICE TECHNOLOGY INC COM STK USD0.001
  
                      186,880
           67,368
INTEGRATED DEVICE TECHNOLOGY INC COM STK USD0.001
  
                      491,786
           19,125
INTERNATIONAL BUS MACH CORP COM STK USD0.20
  
                   3,663,394
            7,700
INTERNATIONAL BUS MACH CORP COM STK USD0.20
  
                   1,474,935
            8,000
INTERNATIONAL PAPER CO COM STK USD1
  
                      318,720
            4,205
INTERNATIONAL SPEEDWAY CORP CLASS'A'COM STK
  
                      116,142
           26,100
INTERXION HLDG NV EUR0.1
  
                      620,136
           28,713
INTUIT INC COM STK USD0.01
  
                   1,708,424
           24,600
INTUIT INC COM STK USD0.01
  
                   1,463,700
           64,900
ION GEOPHYSICAL CORPORATION COM STK USD0.01
  
                      422,499
           60,000
ISIS PHARMACEUTICAL COM STK USD0.001
  
                      627,600
           28,400
ITT EDUCATIONAL SERVICES INC COM STK USD0.01
  
                      491,604
           70,800
JANUS CAPITAL GROUP INC COM STK USD0.01
  
                      603,216
           17,325
JANUS CAPITAL GROUP INC COM STK USD0.01
  
                      147,609
           78,400
JDS UNIPHASE CORP COM STK USD0.008
  
                   1,061,536
           45,997
JDS UNIPHASE CORP COM STK USD0.008
  
                      622,799
           16,000
JOHNSON & JOHNSON COM STK USD1
  
                   1,121,600
           15,200
JOY GLOBAL INC COM STK USD1
  
                      969,456
           47,398
JPMORGAN CHASE & CO COM STK USD1
  
                   2,084,090
           18,200
JPMORGAN CHASE & CO COM STK USD1
  
                      800,254
           20,200
KANSAS CITY SOUTHERN COM STK USD0.01
  
                   1,686,296
           14,660
KAR AUCTION SERVICES INC USD0.01
  
                      296,718
           28,500
KBR INC COM STK USD0.001
  
                      852,720
            5,065
KENNAMETAL INC CAP STK USD1.25
  
                      202,600
            6,000
KENNAMETAL INC CAP STK USD1.25
  
                      240,000
           85,700
KEYCORP COM STK USD1
  
                      721,594
           13,300
KIMBERLY-CLARK CORP COM STK USD1.25
  
                   1,132,761
           17,047
KINDRED HEALTHCARE INC COM STK USD0.25
  
                      184,449
           10,975
KNOLL INC COM STK USD1
  
                      168,576
           19,539
KRAFT FOODS GROUP INC NPV
  
                      898,208
            2,600
LAKELAND FINANCIAL CORP COM STK USD0.01
  
                        67,184
           67,850
LAM RESEARCH CORP COM STK USD0.001
  
                   2,451,421
            2,875
LANDSTAR SYSTEMS INC COM STK USD0.01
  
                      150,823
           56,700
LAS VEGAS SANDS CORP COM STK USD0.001
  
                   2,617,272
 
 
 
28
 
            7,673
LA-Z-BOY INC COM STK USD1
  
                      108,573
            7,310
LEAR CORP COM NEW WI
  
                      342,400
           22,000
LENNAR CORP COM STK USD0.10
  
                      850,740
           39,566
LEVEL 3 COMMUNICATIONS INC USD0.01
  
                      914,370
           12,065
LEXMARK INTERNATIONAL INC CLASS'A'COM STK USD0.01
  
                      279,787
            4,400
LEXMARK INTERNATIONAL INC CLASS'A'COM STK USD0.01
  
                      102,036
           11,800
LIBERTY MEDIA CORP-LIBERTY CAPITAL
  
                   1,368,918
            9,500
LIFE TECHNOLOGIES CORP COM
  
                      466,260
            2,457
LIFE TIME FITNESS INC COM STK USD0.02
  
                      120,909
            6,260
LIFEPOINT HOSPITALS INC COM STK USD0.01
  
                      236,315
           21,800
LILLY(ELI)& CO COM STK NPV
  
                   1,075,176
           30,400
LINCOLN NATIONAL CORP COM STK USD1.25
  
                      787,360
           35,702
LINCOLN NATIONAL CORP COM STK USD1.25
  
                      924,682
           22,237
LINKEDIN CORP USD0.0001 A
  
                   2,553,252
           30,455
LIVE NATION ENTERTAINMENT INC COM STK USD0.01
  
                      283,536
         132,400
LSI CORPORATION COM STK USD0.01
  
                      937,392
           32,195
LSI CORPORATION COM STK USD0.01
  
                      227,941
            1,300
LTC PROPERTIES INC COM STK USD0.01
  
                        45,747
           26,595
LULULEMON ATHLETICA INC USD0.005
  
                   2,027,337
            4,400
M & T BANK CORP COM STK USD5
  
                      433,268
            2,000
MACK CALI REALTY CORP COM STK USD0.01
  
                        52,220
           12,400
MADISON SQUARE GARDEN CO/THE
  
                      549,940
           66,650
MAIDEN HLDGS LTD USD0.01
  
                      612,514
           19,700
MANPOWER INC
  
                      836,068
           10,825
MANPOWER INC
  
                      459,413
           10,990
MASTERCARD INC COM STK
  
                   5,399,167
           24,300
MATTEL INC COM STK USD1
  
                      889,866
            3,640
MATTHEWS INTL CORP CLASS'A'COM STK USD1
  
                      116,844
           72,319
MAXIM INTEGRATED PRODUCTS COM STK USD0.001
  
                   2,126,179
            2,805
MAXIMUS INC COM STK NPV
  
                      177,332
            5,776
MB FINANCIAL INC COM STK USD0.01
  
                      114,076
           37,300
MCDERMOTT INTERNATIONAL INC COM STK USD1
  
                      411,046
           12,700
MCKESSON CORP COM STK USD0.01
  
                   1,233,932
                 -
MEAD JOHNSON NUTRITION USD0.01
  
                          1,143
           24,700
MEADWESTVACO CORPORATION COM NPV
  
                      787,189
           15,500
MEDICINES CO COM STK USD0.001
  
                      371,535
            6,785
MENS WEARHOUSE INC COM STK USD0.01
  
                      211,421
           24,500
MERCK & CO INC(NEW) COM STK USD0.50
  
                   1,013,565
           21,100
METLIFE INC COM STK USD0.01
  
                      695,034
           64,425
MFA FINANCIAL INC COM STK USD0.01
  
                      535,372
           56,500
MFA FINANCIAL INC COM STK USD0.01
  
                      469,515
            8,900
MICHAEL KORS HLDGS LTD NPV
  
                      454,167
           48,400
MICROSOFT CORP COM STK USD0.00000625
  
                   1,293,732
           31,500
MILLER(HERMAN) INC COM STK USD0.20
  
                      674,730
            5,800
MINERALS TECHNOLOGIES INC COM STK USD0.10
  
                      231,536
            6,800
MOHAWK INDUSTRIES COM STK USD0.01
  
                      615,196
           66,620
MONDELEZ INTL INC NPV A
  
                   1,705,472
           45,806
MONSANTO CO COM STK USD0.01
  
                   4,335,538
           16,800
MOODYS CORP COM STK USD1
  
                      845,376
            5,500
MOOG INC CLASS'A'(LIM.V)USD1
  
                      225,665
         119,480
MORGAN STANLEY COM STK USD0.01
  
                   2,284,458
           32,900
MOSAIC CO(THE) USD0.01
  
                   1,863,127
           22,885
MRC GLOBAL INC USD0.01
  
                      635,745
            2,300
MUELLER INDUSTRIES INC COM STK USD0.01
  
                      115,069
           11,600
MURPHY OIL CORP COM USD1
  
                      690,780
            3,900
MYERS INDUSTRIES INC COM STK NPV
  
                        59,085
           31,400
MYLAN INC COM STK USD0.50
  
                      862,872
           41,500
MYRIAD GENETICS INC COM STK USD0.01
  
                   1,130,875
           45,900
NABORS INDUSTRIES COM STK USD0.001
  
                      663,255
           16,000
NATIONSTAR MTG HLDGS INC USD0.01
  
                      495,680
           32,695
NAVIGANT CONSULTING INC USD0.001
  
                      364,876
           14,395
NAVIGANT CONSULTING INC USD0.001
  
                      160,648
           21,100
NETAPP INC COM STK NPV
  
                      707,905
           25,500
NEWFIELD EXPLORATION CO COM STK USD0.01
  
                      682,890
           47,600
NII HOLDINGS INC COM STK USD0.001
  
                      339,388
 
 
 
29
 
           74,536
NIKE INC CLASS'B'COM STK NPV
  
                   3,846,058
           29,000
NORTH AMERICAN ENERGY PARTNERS COM NPV
  
                        98,600
           21,400
NORTHROP GRUMMAN CORP COM STK USD1
  
                   1,446,212
            3,400
NORTHROP GRUMMAN CORP COM STK USD1
  
                      229,772
           16,797
NOVO-NORDISK AS ADR EACH REPR 1 CLS'B'
  
                   2,741,438
           25,300
NRG ENERGY INC COM STK USD0.01
  
                      581,647
            8,855
NU SKIN ENTERPRISES INC CLASS'A'COM STK USD0.001
  
                      328,078
           29,200
NV ENERGY INC COM STK USD0.01
  
                      529,688
           26,255
NVIDIA CORP COM STK USD0.001
  
                      322,674
            8,600
OCCIDENTAL PETROLEUM CORP COM USD0.20
  
                      658,846
           27,360
OCWEN FINANCIAL CORP COM STK USD0.01
  
                      946,382
            5,700
OLD DOMINION FREIGHT LINE INC COM STK USD0.10
  
                      195,396
            8,700
OMEGA HEALTHCARE INVESTORS COM STK USD0.10
  
                      207,495
           14,145
OMNICARE INC COM STK USD1
  
                      510,635
           33,510
ON SEMICONDUCTOR CORP COM STK USD0.01
  
                      236,246
           26,700
ONYX PHARMACEUTICALS COM STK USD0.001
  
                   2,016,651
           41,600
ORACLE CORP USD0.01
  
                   1,386,112
         145,200
ORIENT EXPRESS HOTELS LTD CLS'A'COM STK USD0.01
  
                   1,697,388
            8,515
OWENS & MINOR INC COM STK USD2
  
                      242,763
            2,400
OXFORD INDUSTRIES INC COM STK USD1
  
                      111,264
           17,500
PACKAGING CORP OF AMERICA COM STK USD0.01
  
                      673,225
           32,800
PALL CORP COM STK USD0.10
  
                   1,976,528
           10,838
PANERA BREAD CO CLASS'A'COM STK USD0.0001
  
                   1,721,400
            8,700
PANTRY INC COM STK USD0.01
  
                      105,531
            9,100
PARAMETRIC TECHNOLOGY CORP NEW COM STK USD0.01
  
                      204,841
            5,725
PAREXEL INTERNATIONAL CORP COM STK USD0.01
  
                      169,403
            9,850
PARKER-HANNIFIN CORP COM STK USD0.50
  
                      837,841
            5,050
PARTNERRE USD1
  
                      406,475
            2,605
PBF ENERGY INC USD0.001 A
  
                        75,675
           15,300
PEP BOYS MANNY MOE & JACK COM STK USD1
  
                      150,399
           13,121
PERRIGO CO COM STK NPV
  
                   1,364,978
           44,700
PFIZER INC COM STK USD0.05
  
                   1,121,076
           14,000
PG&E CORP COM STK NPV
  
                      568,890
           24,455
PHH CORP COM STK NPV
  
                      556,351
           10,900
PHH CORP COM STK NPV
  
                      247,975
            8,200
PHILLIPS VAN HEUSEN CORP COM STK USD1
  
                      910,282
            7,300
PIER 1 IMPORTS INC COM STK USD1
  
                      146,000
            9,900
PINNACLE WEST CAPITAL CORP COM STK USD2.50
  
                      504,702
           12,500
PINNACLE WEST CAPITAL CORP COM STK USD2.50
  
                      637,250
           76,400
PITNEY BOWES INC COM STK USD1
  
                      812,896
            3,500
PLANTRONICS INC COM STK USD0.01
  
                      129,045
           13,810
PLATINUM UNDERWRITERS HLDGS LTD SHS
  
                      635,260
            3,300
PLATINUM UNDERWRITERS HLDGS LTD SHS
  
                      151,800
           14,500
PNM RESOURCES INC COM STK USD5
  
                      297,395
           10,300
POLARIS INDUSTRIES INC COM STK USD0.01
  
                      866,745
           16,600
POLARIS INDUSTRIES INC COM STK USD0.01
  
                   1,396,890
            2,300
PPG INDUSTRIES INC COM STK USD1.666
  
                      311,305
           22,383
PRECISION CASTPARTS CORP COM NPV
  
                   4,239,788
           14,900
PRECISION CASTPARTS CORP COM NPV
  
                   2,822,358
            3,995
PRICELINE.COM INC COM STK USD0.008
  
                   2,481,694
           29,400
PRINCIPAL FINANCIAL GROUP COM STK USD0.01
  
                      838,488
            7,120
PROGRESS SOFTWARE CORP COM STK USD0.01
  
                      149,449
            4,099
PROSPERITY BANCSHARES INC COM STK USD1
  
                      172,158
           13,200
PRUDENTIAL FINANCIAL INC COM STK USD0.01
  
                      703,956
           15,800
PUBLIC SERVICE ENTERPRISE GROUP INC COM STK NPV
  
                      483,480
           46,900
PULTE GROUP INC COM STK USD0.01
  
                      851,704
           15,400
QEP RESOURCES INC USD0.01
  
                      466,158
           13,179
QUALCOMM INC COM STK USD0.0001
  
                      817,362
           26,698
RACKSPACE HOSTING INC COM STK USD0.001
  
                   1,982,860
           16,802
RALPH LAUREN CORP USD0.01 A
  
                   2,518,956
           36,300
RAYMOND JAMES FINANCIAL INC COM STK USD0.01
  
                   1,403,721
            8,525
RAYMOND JAMES FINANCIAL INC COM STK USD0.01
  
                      329,662
           26,300
RAYTHEON CO COM STK USD0.01
  
                   1,526,978
           44,596
RED HAT USD0.0001
  
                   2,361,804
            3,000
REGENERON PHARMACEUTICALS INC COM STK USD0.001
  
                      513,210
 
 
 
30
 
           21,100
REGENERON PHARMACEUTICALS INC COM STK USD0.001
  
                   3,609,577
           99,600
REGIONS FINANCIAL CORP (NEW) COM STK USD0.01
  
                      710,148
            7,200
REGIS CORP COM STK USD0.05
  
                      121,824
            6,520
REINSURANCE GROUP OF AMERICA USD0.01
  
                      348,950
            3,100
REINSURANCE GROUP OF AMERICA USD0.01
  
                      165,912
            4,900
RELIANCE STEEL & ALUMINIUM COM STK NPV
  
                      304,290
            2,375
RENAISSANCERE HLDGS COM STK USD1
  
                      192,993
            9,955
RENT-A-CENTER INC COM STK USD0.01
  
                      344,144
         172,950
RF MICRO DEVICES INC COM STK NPV
  
                      774,816
           23,200
ROBERT HALF INTERNATIONAL INC COM STK USD1
  
                      738,224
            1,875
ROCK-TENN CO CLASS'A'COM STK USD0.01
  
                      131,081
           10,215
ROPER INDUSTRIES INC COM STK USD0.01
  
                   1,138,768
           10,275
ROSETTA RESOURCES INC USD0.001
  
                      466,074
            7,400
ROSS STORES INC COM STK USD0.01
  
                      400,710
           38,000
ROWAN COMPANIES PLC SHS CL A
  
                   1,188,260
           55,400
ROYAL CARIBBEAN CRUISES COM STK USD0.01
  
                   1,883,600
           10,400
ROYAL DUTCH SHELL ADR EACH REPR 2'A'SHS
  
                      717,080
           30,600
RTI INTERNATIONAL METALS INC COM STK USD0.01
  
                      843,336
           22,200
RUBY TUESDAY INC COM USD0.01
  
                      174,492
            3,700
RYDER SYSTEM INC COM STK USD0.50
  
                      184,741
            4,900
S & T BANCORP INC COM STK USD2.50
  
                        88,543
           69,400
SAFEWAY INC COM STK USD0.01
  
                   1,255,446
           60,000
SAKS INC COM STK USD0.10
  
                      630,600
           23,167
SALESFORCE.COM INC COM STK USD0.001
  
                   3,894,373
           10,300
SALIX PHARMACEUTICALS LTD COM NPV
  
                      416,944
           25,500
SANOFI ADR ECH REP 1/2 ORD EUR2 SPON
  
                   1,208,190
           17,600
SAP AG ADR EACH 1 REP 1 COM NPV(SPONS)LEVEL II
  
                   1,414,688
           40,655
SCHLUMBERGER COM STK USD0.01
  
                   2,828,165
           86,200
SEACHANGE INTERNATIONAL INC COM STK USD0.01
  
                      833,554
            5,000
SEACOR HLDGS INC COM STK USD0.01
  
                      419,000
           46,900
SEATTLE GENETICS INC COM STK USD0.01
  
                   1,088,080
           38,720
SELECT MEDICAL HLDGS CORP USD0.001
  
                      365,130
            4,680
SEMGROUP CORP COM STK 'CLS A'
  
                      182,894
            3,150
SENSIENT TECHNOLOGIES CORP COM STK USD0.10
  
                      112,014
           18,950
SERVICE CORPORATION INTERNATIONAL COM STK USD1
  
                      261,700
           22,100
SHAW GROUP INC COM STK NPV
  
                   1,030,081
           27,816
SHIRE PLC
  
                   2,564,079
            5,000
SIGNET JEWELERS LTD COM STK USD0.18
  
                      267,000
            7,115
SILVER BAY REALTY TRUST CORP USD0.001
  
                      133,975
           78,500
SINCLAIR BROADCAST GROUP INC CLASS'A'COM STK
  
                      990,670
            6,855
SKECHERS USA INC CLASS'A'COM STK USD0.001
  
                      126,818
           45,700
SLM CORP COM STK USD0.20
  
                      782,841
           15,825
SLM CORP COM STK USD0.20
  
                      271,082
            2,280
SM ENERGY CO
  
                      119,039
           21,297
SONOCO PRODUCTS CO COM STK NPV
  
                      633,160
           28,600
SOTHEBYS INC CLASS'A'LIM.V COM STK USD0.10 BR
  
                      961,532
           10,500
SOUTHWESTERN ENERGY CO USD0.01
  
                      350,805
            9,200
SPARTAN STORES INC COM STK USD0.01
  
                      141,312
           31,946
SPLUNK INC USD0.001
  
                      927,073
           24,500
ST JUDE MEDICAL INC COM STK USD0.10
  
                      891,318
           12,497
STAG INDUSTRIAL INC USD0.01
  
                      227,945
            2,285
STANCORP FINANCIAL GROUP COM STK NPV
  
                        83,791
            6,798
STANDEX INTERNATIONAL CORP COM STK USD1.5
  
                      348,669
           66,800
STEELCASE INC COM STK NPV
  
                      851,032
            4,900
STERIS CORP COM STK NPV
  
                      170,177
            3,975
STIFEL FINANCIAL CORP COM STK USD0.15
  
                      127,081
           83,000
STILLWATER MINING CO COM STK USD0.01
  
                   1,060,740
           26,800
SUNTRUST BANKS INC COM STK USD1
  
                      759,780
            4,450
SVB FINANCIAL GROUP COM STK USD0.001
  
                      249,067
            7,875
SWIFT ENERGY CO COM STK USD0.01
  
                      121,196
            2,300
SY BANCORP INC COM STK NPV
  
                        51,566
            9,575
SYKES ENTERPRISES INC COM STK USD0.01
  
                      145,732
            8,856
SYKES ENTERPRISES INC COM STK USD0.01
  
                      134,788
           10,525
SYMETRA FINANCIAL CORP USD0.01
  
                      136,615
           12,120
SYMMETRY MEDICAL INC COM STK USD0.0001
  
                      127,502
 
 
 
31
 
            8,725
SYNNEX CORP COM STK USD0.001
  
                      299,966
           61,100
TALISMAN ENERGY INC COM NPV
  
                      692,263
           65,910
TCF FINANCIAL COM STK USD0.01
  
                      800,807
           22,205
TD AMERITRADE HOLDING CORP COM STK USD0.01
  
                      373,266
            8,300
TECK RESOURCES LTD CLASS'B'SUB-VTG COM NPV
  
                      305,503
           30,700
TECO ENERGY INC COM STK USD1
  
                      514,532
           24,300
TELEPHONE & DATA SYSTEMS INC USD0.01
  
                      538,002
            4,395
TELETECH HLDGS COM STK USD0.01
  
                        78,231
            9,035
TEMPUR PEDIC INTERNATIONAL INC COM STK USD0.01
  
                      284,512
           15,157
TERADATA CORP DEL COM
  
                      938,067
           17,465
TERADYNE INC COM STK USD0.125
  
                      294,984
           11,260
TEREX CORP COM STK USD0.01
  
                      316,519
            8,620
THOR INDUSTRIES COM STK USD0.10
  
                      322,647
           21,200
TIBCO SOFTWARE INC COM STK USD0.001
  
                      466,612
            5,500
TIDEWATER INC COM STK USD0.10
  
                      245,740
           19,300
TIMKEN CO COM STK NPV
  
                      923,119
           40,109
TJX COS INC COM STK USD1
  
                   1,702,627
            1,200
TOMPKINS FINANCIAL CORP COM STK USD0.10
  
                        47,568
            4,105
TORCHMARK CORP COM STK USD1
  
                      212,105
           13,800
TOTAL S.A ADR EACH CNV INTO 1 SHR
  
                      726,714
           10,200
TOWERS WATSON & CO CLASS A USD0.01
  
                      573,342
            8,275
TOWERS WATSON & CO CLASS A USD0.01
  
                      465,138
            6,096
TRANSDIGM GROUP INC USD0.01
  
                      831,251
           15,000
TRANSOCEAN LTD CHF15
  
                      669,750
           10,200
TRAVELERS COS INC/THE
  
                      732,564
           44,900
TRIMBLE NAVIGATION COM STK NPV
  
                   2,684,122
         124,800
TRIQUINT SEMI CONDUCTOR INC COM STK USD0.001
  
                      604,032
           18,400
TRW AUTOMOTIVE HLDGS CORP COM STK USD0.01
  
                      986,424
            5,310
TRW AUTOMOTIVE HLDGS CORP COM STK USD0.01
  
                      284,669
           56,300
TW TELECOM INC CLS'A'COM STK USD0.01
  
                   1,433,961
           83,285
TWO HARBORS INVESTMENT CORP USD0.0001
  
                      968,605
            8,300
UGI CORP COM NPV
  
                      273,734
           38,533
UNIFI INC USD0.1
  
                      501,314
           17,805
UNION PACIFIC CORP COM STK USD2.50
  
                   2,250,730
            2,900
UNITED BANKSHARES INC COM STK USD2.50
  
                        71,427
           16,200
UNITED STATES CELLULAR CORP COM STK USD1
  
                      570,888
           15,400
UNITED STATES STEEL CORP COM STK USD1
  
                      367,598
           12,972
UNITED STATIONERS INC COM STK USD0.10
  
                      403,818
           27,771
UNITED TECHNOLOGIES CORP COM STK USD1
  
                   2,277,500
           49,147
UNITEDHEALTH GROUP INC COM STK USD0.01
  
                   2,665,733
           20,400
UNITEDHEALTH GROUP INC COM STK USD0.01
  
                   1,106,496
            5,410
UNIVERSAL CORP COM STK NPV
  
                      270,013
           12,100
UNIVERSAL HEALTH SERVICES INC CLASS'B'COM USD0.01
  
                      585,035
            2,700
UNS ENERGY CORP NPV
  
                      114,534
           37,000
UNUM GROUP COM
  
                      770,340
            5,725
URS CORP COM STK USD0.01
  
                      225,909
           38,243
URS CORP COM STK USD0.01
  
                   1,509,069
           35,403
US AIRWAYS GROUP INC
  
                      477,941
           11,875
UTI WORLDWIDE INC ORD NPV
  
                      159,125
            6,035
VALASSIS COMMUNICATIONS INC COM STK USD0.01
  
                      157,453
           20,400
VALERO ENERGY CORP(NEW) USD0.01
  
                      696,048
           19,849
VALIDUS HOLDING LTD COM STK USD0.175
  
                      686,391
           31,900
VALSPAR CORP COM STK USD0.50
  
                   1,990,560
            7,070
VCA ANTECH INC COM STK USD0.01
  
                      148,824
            8,400
VECTREN CORP COM NPV
  
                      246,960
            9,900
VERIFONE SYSTEMS INC
  
                      293,832
           47,645
VERTEX PHARMACEUTICAL COM STK USD0.01
  
                   1,998,231
            4,400
VF CORP COM STK NPV
  
                      664,268
            5,818
VIAD CORP COM STOCK USD1.5
  
                      158,599
           25,356
VISA INC USD0.0001 'A'
  
                   3,843,462
           72,000
VISHAY INTL USD0.10
  
                      765,360
           35,754
VMWARE INC CLS'A'COM STK USD0.01
  
                   3,365,882
           40,400
WADDELL & REED FINL INC CL A
  
                   1,406,728
           39,500
WADDELL & REED FINL INC CL A
  
                   1,375,390
            7,139
WADDELL & REED FINL INC CL A
  
                      248,580
 
 
 
32
 
           50,033
WALT DISNEY(HLDG)CO DISNEY COM STK USD0.01
  
                   2,491,143
           25,190
WALTER INVESTMENT MANAGEMENT CORP USD0.01
  
                   1,083,674
            6,500
WATERS CORP COM STK USD0.01
  
                      566,280
           52,100
WEB.COM GROUP INC
  
                      771,080
           34,300
WERNER ENTERPRISES INC COM STK USD0.01
  
                      743,281
           17,400
WESCO INTERNATIONAL INC COM STK USD0.01
  
                   1,173,282
            3,120
WESCO INTERNATIONAL INC COM STK USD0.01
  
                      210,382
               800
WESTAMERICA BANCORP COM STK NPV
  
                        34,072
           39,500
WESTERN UNION COMPANY (THE) COM STK USD0.01
  
                      537,595
           16,200
WEX INC USD0.01
  
                   1,220,994
           26,100
WHITING PETROLEUM CORP COM STK USD0.001
  
                   1,131,957
           34,332
WHOLE FOODS MARKET INC COM STK NPV
  
                   3,135,542
            5,065
WILLIS GROUP HLDGS PLC ORD SHS USD0.000115
  
                      171,197
            2,800
WORKDAY INC USD0.001
  
                      152,600
            6,745
WORLD FUEL SERVICES CORP COM STK USD0.01
  
                      277,945
            1,300
WSFS FINANCIAL CORP COM STK USD0.01
  
                        54,925
           16,500
WYNDHAM WORLDWIDE USD0.01
  
                      877,965
           12,700
WYNDHAM WORLDWIDE USD0.01
  
                      675,767
           37,781
YUM BRANDS INC COM STK NPV
  
                   2,508,658
           17,700
ZIMMER HOLDINGS INC COM STK USD0.01
  
                   1,183,068
 
Total Corporate Stock
$
               494,382,946
       
 
Corporate Debt Securities
    
         125,000
ALTRIA GROUP INC 8.5% NTS 10/NOV/2013 USD1000
$
                      134,688
         100,000
AMERICAN EXPRESS CO 7.25% LN STK 20/MAY/2014
  
                      109,646
           50,000
ANADARKO PETROLEUM CORP 5.95% SNR NTS 15/SEP/2016
  
                        58,433
           85,000
ARCELORMITTAL SA 4.5% BDS 25/FEB/2017 USD1000
  
                        87,288
         350,000
BANK OF AMERICA CORP 5.65% BDS 01/MAY/2018 USD5000
  
                      410,501
         150,000
BANK OF AMERICA CORP FLTG RATE NTS 15/JUN/2016
  
                      143,247
         200,000
BANK OF NEW YORK MELLON CORP 1.7% BDS 24/NOV/2014
  
                      204,887
           75,000
BARCLAYS BANK PLC 5.00% BDS 22/SEP/2016 USD1000
  
                        85,098
         170,000
BARNABAS HEALTH SYSTEM TAX REV BD 28 01/JUL/2028
  
                      165,259
         175,654
BAYVIEW COMMERCIAL ASSET TRUST 2005-3A A1 VAR
  
                      137,760
         104,810
BAYVIEW COMMERCIAL ASSET TRUST 2005-4 A-2 14
  
                        76,667
         125,000
BEAR STEARNS CO 7.25% BDS 01/FEB/2018 USD1000
  
                      160,406
         170,000
BEAR STEARNS COMM MTG SEC 2005-T20 A4A
  
                      189,340
         125,000
BERKSHIRE HATHAWAY FINANCE CORP 5% GTD SNR NTS
  
                      130,917
           25,000
BERKSHIRE HATHAWAY FINANCE CORP 5.4% SNR NOTE
  
                        30,244
         125,000
BOSTON PROPERTIES INC 5.875% BDS 15/OCT/2019
  
                      150,601
         120,000
CATHOLIC HEALTH INITIATIVE 4.35% BDS 01/NOV/2042
  
                      123,264
         100,000
CENTERPOINT ENERGY RESOURCES SR NT 6.25%
  
                      126,908
         100,000
CHASE CAPITAL VI FLTG RATE NTS 01/AUG/2028 USD1000
  
                        82,223
           50,000
CITIGROUP INC 5.30% 07/JAN/2016
  
                        56,595
         100,000
CITIGROUP INC 6% NTS 15/AUG/2017 USD1000
  
                      120,081
         125,000
CITIGROUP INC 6.125% NTS 15/MAY/2018 USD1000
  
                      150,780
           45,000
CITIGROUP INC 8.125% BDS 15/JUL/2039 USD1000
  
                        69,056
           85,000
CITIGROUP INC SR NT FLT 18 15/MAY/2018
  
                        85,886
           75,000
COCA-COLA ENTERPRISES INC 7.375% NTS 03/MAR/2014
  
                        82,774
           75,000
COMCAST CORP 5.875% BD15/FEB/2018 USD1000
  
                        92,043
           75,000
COMCAST CORP 6.4% BDS 01/MAR/2040 USD2000
  
                        98,749
         250,000
COMMONWEALTH BANK OF AUSTRALIA 1.95% BDS
  
                      257,957
           15,214
CONTINENTAL AIRLINES INC 7.707% BDS 02/OCT/2022
  
                        17,481
         107,180
CONTINENTAL AIRLINES INC 9% BDS 08/JUL/2016
  
                      128,696
           53,676
CONTINENTAL AIRLINES PASS THRU TST 5.983% CMO
  
                        60,421
         125,000
COOPERATIEVE CENTRALE RAIFFEIS SR NT 3.375%
  
                      136,184
         125,000
CREDIT SUISSE AG 5.5% BDS 01/MAY/2014 USD1000
  
                      134,145
           75,000
DAIMLERCHRYSLER NA HOLDINGS CORPORATION 6.5%
  
                        79,353
         168,540
DBRR CMBS RE-REMIC 0.946% MTG BDS 25/SEP/2045 USD
  
                      168,610
         150,000
EL PASO ELECTRIC CO 3.3% BDS 15/DEC/2022 USD1000
  
                      149,383
         100,000
ENTERGY TEX INC 3.6% BDS 01/JUN/2015 USD1000
  
                      105,130
         100,000
ERP OPERATING FLTG RTE NTS 13/APR/2015 USD1000
  
                      113,484
         100,000
FIRST CHICAGO NBD CORP FLTG RATE NOTES 01/FEB/2027
  
                        82,127
           75,000
GENERAL ELEC CAP CORP 5.50% 08/JAN/2020
  
                        90,761
         100,000
GENERAL ELECTRIC CAPITAL CORP 3.15% BDS
  
                      103,167
           75,000
GENERAL ELECTRIC CAPITAL CORP 4.8% MTN 01/MAY/2013
  
                        76,692
 
 
 
33
 
         100,000
GENERAL ELECTRIC CAPITAL CORP 5.875% BDS
  
                      123,351
           75,000
GENERAL ELECTRIC CAPITAL CORP 6.875% BDS
  
                      104,397
         100,000
GENERAL ELECTRIC CAPITAL CORP FLTG RATE MTN
  
                        86,657
         125,000
GOLDMAN SACHS GROUP INC 5.375% 15/MAR/2020
  
                      145,232
           50,000
GOLDMAN SACHS GROUP INC 6.00% 15/JUN/2020
  
                        59,544
         175,000
GOLDMAN SACHS GROUP INC 6.15% BDS 01/APR/2018
  
                      208,275
         170,000
GSRPM MTG LN TR 3.707% BDS 10/AUG/2044 USD
  
                      189,205
         185,000
HCP INC BDS 15/SEP/2016 USD1000
  
                      216,903
         125,000
HEALTH CARE REIT INC 6.125% BDS 15/APR/2020
  
                      148,017
           50,000
HEALTHCARE REALTY TRUST INC 6.5% SNR NTS
  
                        58,650
         120,000
HSBC HLDGS 4.875% BDS 14/JAN/2022 USD1000
  
                      141,982
           50,000
IUNITED DOMINION RLTY TR
  
                        54,950
           75,000
JOHN DEERE CAPITAL CORP 4.9% MTN 09/SEP/2013
  
                        78,455
           50,000
JP MORGAN CHASE BK NEW YORK NY 6% BDS 01/OCT/2017
  
                        59,942
           75,000
JPMORGAN CHASE & CO 4.5% GTD SUB NTS 24/JAN/2022
  
                        86,315
         100,000
JPMORGAN CHASE & CO FR CAP SECS 'U' 15/JAN/2087
  
                        77,201
         140,000
KAISER FOUNDATION HOSPITAL 4.875% BDS 01/APR/2042
  
                      160,761
         150,000
KOREA DEVELOPMENT BANK 8% BDS 23/JAN/2014 USD1000
  
                      166,013
           75,000
KROGER CO 7.5% BDS 15/JAN/2014 USD1000
  
                        82,818
         100,000
LIBERTY PROP LP 53117CAJ1 5.125 02/MAR/2015
  
                      108,005
         420,000
LLOYDS BANK PLC CORPORATE COMMERCIAL PAPER
  
                      419,851
           75,000
MCKESSON HBOC INC 5.7% BDS 01/MAR/2017 USD1000
  
                        90,029
           75,000
MIDAMERICAN ENERGY HLDGS 6.125% BDS 01/APR/2036
  
                        95,824
         125,000
MORGAN STANLEY 5.45% NTS 09/JAN/2017 USD1000
  
                      141,577
         125,000
MORGAN STANLEY 6.6250% 01/APR/2018
  
                      149,392
           50,000
MORGAN STANLEY 7.3% BDS 13/MAY/2019 USD100000
  
                        61,248
         220,000
MORGAN STANLEY CAPITAL I TRUST FR CMO 12/NOV/2049
  
                      256,205
           50,000
NBC UNIVERSAL MEDIA LLC 5.150% SNR NT 30/APR/2020
  
                        59,709
         135,151
NCUA GTD NTS MASTER TRUST VAR MTG BDS 08/DEC/2020
  
                      135,902
         237,032
NCUA GTD NTS TRUST 2010-R1 FR MTG BDS 07/OCT/2020
  
                      238,035
         150,382
NCUA GTD NTS TRUST 2010-R2 VAR MTG BDS 05/NOV/2020
  
                      150,973
         328,857
NCUA GTD NTS TRUST 2011-R1 VAR MTG BDS 08/JAN/2020
  
                      329,323
         297,054
NCUA GTD NTS TRUST 2011-R2 VAR MTG BDS 06/FEB/2020
  
                      297,836
         213,440
NCUA GTD NTS TST 2 FR CMO 06/NOV/2017 USD1000
  
                      213,998
         116,857
NCUA GUARANTEED NOTES TRUST 2010-R3 II-A VARIABLE
  
                      117,507
         286,416
NCUA GUARANTEED NOTES TRUST 2011-C1 II-A VARIABLE
  
                      287,374
           25,000
NEWS AMERICA INC 6.15% SNR NTS 01/MAR/2037 USD1000
  
                        31,194
         125,000
NORTH SHORE LONG I 4.8% BDS 01/NOV/2042 USD
  
                      132,540
         100,000
PANHANDLE EASTERN PIPE LINE CO 7% SNR NTS
  
                      122,159
           25,000
PETROBRAS INTERNATIONAL FINANCE 6.875% BDS
  
                        32,528
           75,000
PETROBRAS INTERNATIONAL FINANCE 7.875% GTD BDS
  
                        95,420
         100,000
PRUDENTIAL FINANCIAL INC 6.625% 21/JUN/2040
  
                      125,823
         125,000
PUBLIC SVC CO NEW MEXICO SR UNSEC NT 21
  
                      139,051
           75,000
ROHM&HAAS HLDGS 6% 15/SEP/2017
  
                        90,175
         150,000
ROYAL BANK OF SCOT 2.55% BDS 18/SEP/2015 USD1000
  
                      154,606
         125,000
SIMON PROPERTY GROUP INC 5.875% BDS 01/MAR/2017
  
                      150,447
           75,000
SOUTHERN COPPER CORP 7.5% SNR NTS 27/JUL/2035
  
                        98,690
           75,000
SOUTHERN POWER COMPANIES 4.875% NTS 15/JUL/2015
  
                        83,837
         100,000
SPECTRA ENERGY CAPITAL LLC 7.5% BDS 15/SEP/2038
  
                      140,817
           75,000
TELECOM ITALIA CAPITAL 6% NTS 30/SEP/2034 USD1000
  
                        74,450
           75,000
TELECOM ITALIA CAPITAL 7.175% BDS 18/JUN/2019
  
                        87,232
           25,000
TIME WARNER CABLE INC SR NT 7.5% 01/APR/2014
  
                        27,558
           50,000
TIME WARNER ENT 8.375% SUB NTS 15/JUL/2033 USD1000
  
                        74,904
         125,000
TUSCON ELECTRIC POWER 5.15% BDS 15/NOV/2021
  
                      140,353
           50,000
UNITED DOM RLTY 5.13%15/JAN/2014
  
                        52,587
         125,000
US BANCORP 4.2% NTS 15/MAY/2014 USD1000
  
                      131,907
         200,000
VENTAS REALTY LTD 2% SR NT 15/FEB/2018 USD
  
                      200,329
           75,000
VERIZON COMMUNICATIONS INC 6.9% BDS 15/APR/2038
  
                      107,832
         100,000
WASTE MANAGEMENT INC 7% SNR NOTES 15/JUL/2028
  
                      138,750
           75,000
WELLPOINT INC 7.00% BDS 15/FEB/2019 USD1000
  
                        95,310
           50,000
WELLS FARGO COMPANY 4.375% 31/JAN/2013
  
                        51,066
         200,000
WFRBS COML MTG TR 2011-C5 3.667% MTG BDS
  
                      221,395
 
Total Corporate Debt Securities
$
                 13,269,348
       
 
 
 
34
 
 
Government Bonds
    
         100,000
BAY AREA TOLL AUTH CALIF 6.263% BDS 01/APR/2049
$
                      140,054
           50,000
CALIFORNIA ST FOR PREVIOUS ISSUES SEE 13063A FOR
  
                        63,710
           40,000
CALIFORNIA STATE 5.7% MUN BDS 01/NOV/2021 USD5000
  
                        48,042
           50,000
CALIFORNIA STATE 7.55% BDS 01/APR/2039 USD5000
  
                        73,034
           75,000
CALIFORNIA STATE 7.6% MUNI BDS 01/NOV/2040 USD5000
  
                      110,515
           90,000
HOUSTON TEXAS 6.29% BDS 01/MAR/2032 USD1000
  
                      113,733
           50,000
ILLINOIS (STATE OF) 4.35% BDS 01/JUN/2018 USD1000
  
                        53,325
           75,000
ILLINOIS (STATE OF) 4.421% BDS 01/JAN/2015 USD1000
  
                        81,169
           40,000
ILLINOIS ST FOR ISSUES DTD PRIOR TO 01/16/2010 SEE
  
                        46,829
           75,000
ISRAEL ST BD DTD 13/JUN/2003 DUE 15/JUN/2013
  
                        76,392
         175,000
NEW YORK NY CITY MUN WTR FIN AUTH 6.011% BDS
  
                      235,678
           50,000
ONTARIO(PROVINCE OF) 5.45% BDS 27/APR/2016 USD5000
  
                        58,204
           50,000
SAN DIEGO CNTY CALIF WTR AUTH FING 6.138% BDS
  
                        67,060
         560,000
UNITED STATES TREAS BDS 2.75%15/AUG/2042
  
                      546,567
         625,000
UNITED STATES TREAS NTS 0.25%15/MAY/2015
  
                      624,422
      1,885,000
UNITED STATES TREAS NTS 0.75%30/JUN/2017
  
                   1,896,232
      2,560,000
UNITED STATES TREAS NTS 0.750% 31/OCT/2017
  
                   2,571,688
      3,235,000
UNITED STATES TREAS NTS 0.875% 31/JAN/2017
  
                   3,289,810
      1,440,000
UNITED STATES TREAS NTS 1.625%15/AUG/2022
  
                   1,439,389
      2,340,000
UNITED STATES TREAS NTS 1.625%15/NOV/2022
  
                   2,319,342
         335,000
UNITED STATES TREAS NTS 3.5% 15/FEB/2018
  
                      385,884
         335,000
UNITED STATES TREAS NTS TIPS 0.625% 15/APR/2013
  
                      366,654
         625,000
UNITED STATES TREAS NTS TIPS 1.25% 15/APR/2014
  
                      706,092
         740,000
UNITED STATES TREAS NTS TIPS 15/APR/2015
  
                      825,036
         735,000
UNITED STATES TREAS NTS VAR 15/APR/2017
  
                      801,795
         365,000
US TREASURY N/B 2.875 31 JAN 2013
  
                      365,799
         305,000
USA TREASURY NTS 1.875% TIPS 15/JUL/2013 USD1000
  
                      391,305
 
Total Government Bonds
$
                 17,697,760
       
 
Mortgage Backed Securities
    
      1,432,365
FANNIE MAE 2004-97 ZH 4.500% 25/JAN/2035
$
                   1,574,717
         276,806
FED HOME LOAN MTG 5.5% MBPT 01/JAN/2038 USD1000
  
                      300,297
         560,000
FEDERAL HOME LOAN BANKS 0.0% BDS 20/FEB/2013
  
                      559,903
         400,000
FEDERAL HOME LOAN BANKS 0.5% BDS 16/OCT/2015
  
                      400,476
         440,000
FEDERAL HOME LOAN BANKS 0.55% BDS 13/NOV/2015
  
                      440,539
         302,813
FEDERAL HOME LOAN MORTGAGE CORP 4.0% BDS
  
                      332,702
         136,969
FEDERAL HOME LOAN MORTGAGE CORP VAR MTG BDS
  
                      136,837
         118,548
FEDERAL HOME LOAN MORTGAGE CORP VAR MTG BDS
  
                      118,484
         300,000
FEDERAL NATIONAL MORTGAGE ASSOC 0.0% BDS
  
                      299,987
         235,000
FEDERAL NATIONAL MORTGAGE ASSOC 0.0% BDS
  
                      234,981
         445,000
FEDERAL NATIONAL MORTGAGE ASSOC 0.625% BDS
  
                      446,285
           83,090
FEDERAL NATIONAL MORTGAGE ASSOC 4.444% MTG BDS
  
                        97,399
         344,246
FEDERAL NATIONAL MORTGAGE ASSOC 5% MBPT
  
                      375,782
         330,000
FEDERAL NATIONAL MORTGAGE ASSOC 8.95% DEB
  
                      470,969
         225,000
FEDERAL NATL MTG ASSN CALL 0.5%22/OCT/2015
  
                      225,502
      1,170,000
FEDERAL NATL MTG ASSN DISC NT MATURES 13/FEB/2013
  
                   1,169,816
         410,000
FEDERAL NATL MTG ASSN DISC NT MATURES 20/FEB/2013
  
                      409,929
           56,886
FHLMC MORTPASS ARM 01/APR/2037 1N PN# 1N1454
  
                        60,713
         115,485
FHLMC MORTPASS ARM 01/FEB/2037 1G PN# 1G2628
  
                      122,468
           16,835
FHLMC MORTPASS ARM 01/SEP/2037 1G PN# 1G2201
  
                        18,399
           60,000
FHLMC REMIC SERIES 3.974% MTG BDS 25/JAN/2021
  
                        68,928
         685,821
FHLMC REMIC SERIES 3197 DZ 15/AUG/2036 5.00000
  
                      755,919
         417,508
FHLMCGLD MORTPASS 2.5% 01/NOV/2027 E0 PN# E04113
  
                      438,557
         182,424
FHLMCGLD MORTPASS 3.5% 01/DEC/2041 Q0 PN# Q05261
  
                      198,206
         355,768
FHLMCGLD MORTPASS 4% 01/OCT/2041 Q0 PN# Q04091
  
                      390,883
         181,537
FHLMCGLD MORTPASS 4.5% 01/JUN/2041 Q0 PN# Q01638
  
                      200,989
         244,656
FHLMCGLD MORTPASS 5.5% 01/NOV/2037 G0 PN# G03695
  
                      265,877
         191,485
FHLMCGLD MORTPASS 6.5% 01/MAY/2034 P5 PN# P50216
  
                      214,319
         441,184
FNMA MORTPASS 2.5% 01/DEC/2022 CN PN# MA1278
  
                      462,801
         456,571
FNMA MORTPASS 3% 01/NOV/2032 CT PN# MA1237
  
                      481,704
         492,382
FNMA MORTPASS 3.5% 01/DEC/2041 CL PN# AB4044
  
                      532,653
         155,920
FNMA MORTPASS 3.703% 01/SEP/2020 XY PN# FN0000
  
                      174,142
         160,831
FNMA MORTPASS 3.787% 01/OCT/2020 XY PN# AE0918
  
                      180,731
         156,236
FNMA MORTPASS 3.888% 01/DEC/2020 XY PN# FN0001
  
                      177,892
         493,371
FNMA MORTPASS 4% 01/AUG/2029 CT PN# MA0142
  
                      532,757
 
 
 
35
 
         161,198
FNMA MORTPASS 4.5% 01/JUL/2029 CT PN# MA0115
  
                      175,243
         553,296
FNMA MORTPASS 4.5% 01/MAY/2048 CZ PN# 257280
  
                      594,414
         339,729
FNMA MORTPASS 4.5% 01/SEP/2041 CL PN# MA0843
  
                      370,071
         378,349
FNMA MORTPASS 5% 01/AUG/2047 CZ PN# 995963
  
                      407,876
         296,361
FNMA MORTPASS 5% 01/SEP/2033 CL PN# 738567
  
                      324,120
           98,171
FNMA MORTPASS 5.5% 01/JUN/2036 CL PN# 889745
  
                      108,342
         157,564
FNMA MORTPASS 6.5% 01/AUG/2037 CL PN# 936879
  
                      177,369
      1,400,000
FREDDIE MAC 3048 QJ 5.000% 15/OCT/2025
  
                   1,565,200
         285,488
GOVT NATIONAL MORTGAGE ASSOCN VAR MTG BDS
  
                      291,494
         445,000
TBA FHLMC 3.00% 30YRS JAN
  
                      465,234
      1,975,000
TBA FNMA SINGLE FAMILY MORTGAGE 3.00% MAT 30 YEARS
  
                   2,069,431
         135,000
TBA GNMA 3.5% MTG BDS 31/DEC/2049 USD1000
  
                      146,675
         370,000
TBA GNMA II JUMBOS 3.00% 30 YEARS JAN
  
                      393,356
 
Total Mortgage Backed Securities
$
                 19,961,368
       
 
Registered Investment Companies
    
            2,779
ABERDEEN GLOBAL NATURAL RESOURCES FD INSTL SVC CL
$
                        47,140
               567
ADVISOR'S INNER CIRCLE CAMBIAR OPPORTUNITY FD INVT CL
  
                        10,146
               194
ADVISORS INNER CIRCLE FD ACADIAN EMERGING MKTS INSTL CL
  
                          3,728
               171
ADVISORS INNER CIRCLE FD CAMBIAR AGGR VALUE FD INV CL
  
                          1,880
               489
ADVISORS INNER CIRCLE FD RICE HALL JAMES SMALL MID CAP
  
                          6,784
               113
ADVISORS SER TR CHASE MID-CAP GROWTH FD CL A
  
                          4,226
                 80
ALGER GROWTH OPPORTUNITIES FUND CL A
  
                             780
            4,052
ALLIANCEBERNSTEIN CAP FD INC SMALL CAP GROWTH FUND CL I
  
                      158,385
            8,077
ALLIANCEBERNSTEIN HIGH INC FD INC ADVISOR CL
  
                        76,815
            1,614
ALLIANCEBERNSTEIN INTL VALUE FUND ADVISOR CL
  
                        18,959
               850
ALLIANZ AGIC EMERGING MARKET OPPORTUNITIES FUND CLASS D
  
                        22,463
               562
ALLIANZ FDS NFJ SMALL CAP VALUE FD CL D
  
                        16,415
               378
ALLIANZ FDS RCM GLOBAL COMMODITY FD CL D
  
                          6,073
               154
ALLIANZ NFJ INTL VALUE FD CL D
  
                          3,278
               385
ALLIANZ RCM TECHNOLOGY FUND CLASS D
  
                        16,994
               403
ALPHAMARK INVT TR SMALL CAP GROWTH FD
  
                          5,279
            2,359
ALPINE EQUITY TR INTL REAL ESTATE EQI FD INST
  
                        55,873
            2,448
ALPINE EQUITY TR RLTY INCOME & GROWTH FD INST
  
                        43,387
            2,448
ALPINE SER TR DYNAMIC DIVIDEND FD INST CL
  
                          8,346
            1,960
AMANA MUT FDS TR DEVELOPING WORLD FD
  
                        20,929
           17,135
AMANA MUT FDS TR GROWTH FD
  
                      460,767
           10,815
AMANA MUT FDS TR INCOME FD
  
                      370,304
               257
AMERICAN BALANCED FD INC CL R-3
  
                          5,213
            1,817
AMERICAN BALANCED FD INC CL R-5
  
                        37,087
               452
AMERICAN BEACON BALANCED FD INVESTOR CL
  
                          5,898
            2,280
AMERICAN BEACON EMERGING MKTS FD INVESTOR CL
  
                        26,748
            2,456
AMERICAN BEACON LARGE CAP VALUE FUND INVESTOR CLASS
  
                        50,437
            3,707
AMERICAN CENTURY CAPITAL VALUE FD INVESTOR CLASS
  
                        25,359
               916
AMERICAN CENTURY DIVERSIFIED BOND FUND INVESTOR CLASS
  
                        10,211
           10,089
AMERICAN CENTURY EMERGING MARKETS INVESTOR CLASS
  
                        88,685
               995
AMERICAN CENTURY EQUITY GROWTH INVESTOR CLASS
  
                        24,374
           38,230
AMERICAN CENTURY EQUITY INCOME INVESTOR CLASS
  
                      298,960
            8,877
AMERICAN CENTURY GLOBAL GOLD FUND INVESTOR CLASS
  
                      159,512
               900
AMERICAN CENTURY HIGH YIELD BOND FUND INVESTOR CLASS
  
                          5,607
           13,278
AMERICAN CENTURY INFLATION ADJUSTED BOND INVESTOR CLASS
  
                      175,000
            3,697
AMERICAN CENTURY INTERNATIONAL BOND INVESTOR CL
  
                        54,012
            2,607
AMERICAN CENTURY LEGACY LARGE CAP FUND INVESTOR CL
  
                        29,561
               246
AMERICAN CENTURY ONE CHOICE VERY AGGRESSIVE INV CLASS
  
                          3,283
            3,218
AMERICAN CENTURY PREMIUM MONEY MARKET FUND INVESTOR CL
  
                          3,218
               431
AMERICAN CENTURY REAL ESTATE FUND INVESTOR CLASS
  
                        10,155
            1,280
AMERICAN CENTURY ULTRA FUND INVESTOR CLASS
  
                        33,324
            1,786
AMERICAN CENTURY UTILITIES FUND INVESTOR CLASS
  
                        26,847
            1,591
AMERICAN CENTURY VISTA FUND INVESTOR CLASS
  
                        28,232
            4,963
AMERICAN CENTY ASSET ALLOC LIVESTRONG 2025 PORT INV CL
  
                        62,931
            1,174
AMERICAN CENTY CAP PORTFOLIO MID CAP VALUE FD INV CL
  
                        15,293
               940
AMERICAN CENTY EQI FD DISCIPLINED GWTH FD INV CL
  
                        12,994
            1,460
AMERICAN CENTY INVT TR SHRT DURA INVS CL
  
                        15,386
            7,642
AMERICAN FDS MONEY MKT FD CL A
  
                          7,642
            3,764
AMERICAN HIGH INCOME TR CL R-3
  
                        42,762
               215
AMERICAN HIGH INCOME TR CL R-5
  
                          2,442
 
 
 
36
 
               169
AMERICAN MUTUAL FUND INC CLASS A
  
                          4,779
            3,361
AQR FDS DIVERSIFIED ARBITRAGE FD CL N
  
                        37,007
                 57
ARIEL APPRECIATION FUND-CL A
  
                          2,322
               237
ARTIO GLOBAL INVT FDS GLOBAL HIGH INCOME FD CL A
  
                          2,469
            1,728
ARTIO GLOBAL INVT FDS TOTAL RETURN BD FD CL A
  
                        23,983
            1,032
ARTISAN FDS INC ARTISAN VALUE FUND
  
                        11,626
            1,861
ARTISAN FDS INC GLOBAL OPPORTUNITIES FD INV CL
  
                        27,412
               598
ARTISAN FUNDS INC INTERNATIONAL FUND
  
                        14,706
               251
ARTISAN FUNDS INC SMALL CAP FUND
  
                          5,211
            1,291
ARTISAN FUNDS INC SMALL CAP VALUE FUND
  
                        19,812
               744
ARTISAN INTERNATIONAL VALUE FUND INV SHS
  
                        22,599
            1,618
ASTON FUNDS TAMRO DIVERSIFIED EQUITY FD CL N
  
                        22,211
               472
ASTON/FAIRPOINTE MID CAP FUND CLASS N
  
                        15,757
               943
BAIRD AGGREGATE BOND FUND INV CL
  
                        10,566
               868
BAIRD FDS INC INTER MUN BD FD INV CL SHS
  
                        10,642
            1,405
BAIRD FDS INC MIDCAP FD INV CL SHS
  
                        15,643
               836
BARON GROWTH  FUND
  
                        44,845
            8,109
BARON SMALL CAP FUND
  
                      212,623
            1,242
BBH CORE SELECT FD CL N
  
                        21,557
            4,884
BBH FD INC CORE SELECT RETAIL CL
  
                        56,018
            5,630
BERWYN FDS INC INCOME FUND
  
                        74,029
               839
BLACKROCK ENERGY & RESOURCES PORTFOLIO FUND CL A
  
                        24,269
            3,235
BLACKROCK EQUITY DIVIDEND FUND SVC CL
  
                        64,286
            2,021
BLACKROCK FDS INFLATION PROTECTED BD SVC
  
                        24,319
            2,633
BLACKROCK FUNDS HIGH YIELD BD PORT SERVICE CL
  
                        21,304
               499
BLACKROCK FUNDS-SMALL CAP GROWTH EQUITY PORTFOLIO INV A
  
                        10,422
               363
BLACKROCK GLOBAL ALLOCATION FD INC CL C
  
                          6,674
            2,492
BLACKROCK LARGE CAP SER FDS INC LARGE CAP CORE FD INSTL CL
  
                        30,921
                 23
BLACKROCK LATIN AMER FD INC CL A
  
                          1,417
                 72
BLACKROCK LATIN AMER FD INC CL C
  
                          4,017
                 95
BLACKROCK NAT RES TR CL A
  
                          5,590
                 37
BLACKROCK S & P 500 INDEX FUND CL A
  
                             636
            3,106
BLACKROCK STRATEGIC INCOME OPPORTUNITIES PORTFOLIO CL A
  
                        31,375
            9,922
BOND FD AMER INC CL R-3
  
                      128,496
               925
BOND FD AMER INC CL R-5
  
                        11,979
               236
BRANDYWINE BLUE FUND INC
  
                          5,784
               531
BRANDYWINE FUND INC
  
                        12,451
            3,873
BRIDGEWAY FDS INC SMALL-CAP GROWTH FD CL N
  
                        47,093
            1,893
BRIDGEWAY FDS INC SMALL-CAP VALUE FD CL N
  
                        30,493
            3,582
BRIDGEWAY FUND INC AGGRESSIVE INVESTOR CL 1
  
                      131,301
            2,078
BUFFALO FDS MID CAP FD
  
                        35,265
               241
BUFFALO FLEXIBLE INCOME FUND INC
  
                          3,059
            1,606
BUFFALO FUNDS SCIENCE & TECHNOLOGY FUND
  
                        25,265
            5,928
BUFFALO HIGH YIELD FUND INC
  
                        67,752
            1,574
BUFFALO SMALL CAP FD INC
  
                        44,340
               285
CAPITAL INCOME BLDR FD CL R-3
  
                        15,029
               900
CAPITAL INCOME BLDR FD CL R-5
  
                        47,484
            2,798
CAPITAL INCOME BUILDER FD CL A
  
                      147,652
               632
CAPITAL INCOME BUILDER FD CL F-1
  
                        33,360
               769
CAPITAL WORLD BD FD CL R-5
  
                        16,324
               135
CAPITAL WORLD GROWTH & INCOME FD INC CL R-3
  
                          5,012
            1,183
CAPITAL WORLD GROWTH & INCOME FD INC CL R-5
  
                        44,011
                 83
CAPITAL WORLD GROWTH & INCOME FUND CLASS A
  
                          3,103
               426
CAPITAL WORLD GROWTH & INCOME FUND INC CL F1
  
                        15,806
                 40
CGM FOCUS FUND
  
                          1,165
               307
CLIPPER FUND INC
  
                        21,127
            1,652
COHEN & STEERS REALTY SHARES INC
  
                      106,668
            3,601
COLUMBIA ACORN TR FD CL Z
  
                      109,665
               315
COLUMBIA ACORN TR INTL CL Z
  
                        12,866
            1,395
COLUMBIA EMERGING MARKETS CL Z
  
                        14,497
            2,923
COLUMBIA ENERGY AND NATURAL RESOURCES CLASS Z
  
                        59,387
            7,461
COLUMBIA FDS SER TR I DIVIDEND INCOME CL Z
  
                      110,050
            1,203
COLUMBIA FDS SER TR I MID CAP GROWTH FD CL Z
  
                        32,004
 
 
 
37
 
               750
COLUMBIA FDS SER TR I SMALL CAP GROWTH FD I CL Z
  
                        20,610
            1,657
COLUMBIA FDS SER TR II MASS INCOME BUILDER FD CL A
  
                        18,775
               345
COLUMBIA FDS SER TR INTL VALUE FD CL Z
  
                          4,420
            3,460
COLUMBIA FDS SER TR SHORT TERM BD FD CL Z
  
                        34,601
               219
COLUMBIA FDS SER TR SMALL CAP VALUE II FD CL A
  
                          3,233
            2,876
COLUMBIA SELECT LARGE CAP GROWTH CLASS Z
  
                        39,867
            2,769
COLUMBIA VALUE AND RESTRUCTURING CLASS Z
  
                      121,785
               329
CONESTOGA FDS SMALL CAP FD
  
                          8,224
            7,853
CROFT FDS CORP CROFT-LEOMINSTER VALUE FD
  
                      195,378
               356
CULLEN HIGH DIVIDEND EQUITY FUND
  
                          4,950
            1,844
DAVIS NEW YORK VENTURE FUND INC-CL A
  
                        64,135
            5,388
DAVIS NEW YORK VENTURE FUND INC-CL Y
  
                      189,375
               561
DIREXION FDS MNTHLY 10 YR NOTE BULL 2X INV
  
                        19,052
               474
DIREXION FDS MNTHLY LATIN AMER BULL 2X INV
  
                        19,524
               129
DIREXION FDS MNTHY NASDQ 100 BULL 2X INV CL
  
                        14,229
            3,658
DIREXION FDS MONTHLY S&P 500 BEAR 2X FD INV
  
                        69,181
            1,016
DODGE & COX BALANCED FUND
  
                        79,315
            1,407
DODGE & COX FDS GLOBAL STK FD
  
                        12,646
      1,621,451
DODGE & COX FUNDS INTERNATIONAL STK FUNDS
  
                 56,167,051
           12,505
DODGE & COX FUNDS INTERNATIONAL STOCK FUND
  
                      433,158
           16,361
DODGE & COX INCOME FUND
  
                      226,766
               205
DODGE & COX STOCK FUND
  
                        25,034
               442
DOUBLELINE FDS TR CORE FIXED INCOME FD CL I
  
                          5,018
            4,109
DOUBLELINE FDS TR TOTAL RETURN BD FD CL N
  
                        46,553
            1,544
DREYFUS APPRECIATION FUND INC
  
                        67,810
                 83
DREYFUS EMERGING ASIA FD CL I
  
                             753
               343
DREYFUS GLOBAL REAL ESTATE SECURITIES FD CLASS I
  
                          2,786
            2,029
DREYFUS GREATER CHINA FD CL C
  
                        65,715
               626
DREYFUS GREATER CHINA FD CL I
  
                        23,583
               126
DREYFUS INTERNATIONAL BOND FUND CLASS C
  
                          2,124
            2,586
DREYFUS INTL BOND FUND CL I
  
                        44,785
            1,335
DREYFUS MIDCAP INDEX FUND
  
                        38,633
               206
DREYFUS S&P 500 INDEX FUND
  
                          7,904
               518
DREYFUS/LAUREL FUNDS INC BOND MARKET INDEX FUND INV SHS
  
                          5,706
           34,451
DRIEHAUS MUT FDS EMERGING MKTS GROWTH FD
  
                   1,054,540
            4,567
DUNDEEWEALTH FDS DYNAMIC ENERGY INCOME FD CL I
  
                        55,030
            2,631
DWS ADVISOR FUNDS SHORT DURATION FD CL S
  
                        24,496
            4,566
DWS PORTFOLIO TR FLTG RATE FD CL S
  
                        42,874
            7,277
DWS SECS TR ENHANCED COMMODITY STRATEGY FD CL S
  
                        24,013
                 58
DWS VALUE SER INC SMALL CAP VALUE FD INSTL CL
  
                          2,148
               109
EATON VANCE DIVIDEND BUILDER FD CL A
  
                          1,188
            1,212
EATON VANCE LARGE CAP VALUE FUND CL A
  
                        23,636
               119
EURO PAC GROWTH FD CL R-5
  
                          4,895
               470
EURO PAC GROWTH FUND CL F1
  
                        19,272
               611
EURO PACIFIC GROWTH FUND CLASS A
  
                        25,177
            6,760
EUROPACIFIC GROWTH FD SHS CL F-2
  
                      278,187
           16,977
FAIRHOLME FUNDS INC COM
  
                      533,743
               205
FEDERATED EQUITY FDS CAP APPREC FD CL R
  
                          3,945
            2,592
FEDERATED EQUITY FDS PRUDENT BEAR FD CL A SHS
  
                          9,408
            9,005
FEDERATED HIGH YIELD TRUST SBI
  
                        57,274
               460
FEDERATED PRUDENT DOLLARBEAR FUND CL A
  
                          5,480
               293
FIDELITY ADVISOR EMERGING ASIA FD CL I
  
                          9,139
               110
FIDELITY ADVISOR ENERGY CL I
  
                          4,070
               232
FIDELITY ADVISOR FREEDOM 2050 FD INSTL
  
                          2,269
               626
FIDELITY ADVISOR GOLD FUND CL I
  
                        23,136
               216
FIDELITY ADVISOR HIGH INCOME FUND CL I
  
                          2,106
               256
FIDELITY ADVISOR SER VII BIOTECHNOLOGY FUND CL C
  
                          2,679
               621
FIDELITY BALANCED FUND
  
                        12,542
            1,601
FIDELITY BLUE CHIP GROWTH FUND
  
                        78,544
            4,995
FIDELITY CANADA FUND
  
                      267,300
               682
FIDELITY CAP APPRECIATION FUND
  
                        20,041
           27,332
FIDELITY CAPITAL & INCOME FUND
  
                      259,652
            2,477
FIDELITY CHINA REGION FUND
  
                        75,947
            8,759
FIDELITY CONCORD STR SPARTAN U S EQI INDX FD ADVANTAGE CL
  
                      442,259
               301
FIDELITY CONSUMER FINANCE PORTFOLIO
  
                          4,398
 
 
 
38
 
            5,113
FIDELITY CONTRAFUND
  
                      396,592
            1,074
FIDELITY DIVERSIFIED INTL FUND
  
                        32,170
            1,177
FIDELITY DIVIDEND GROWTH FD
  
                        35,203
               528
FIDELITY EMERGING ASIA FUND
  
                        15,768
            1,347
FIDELITY EMERGING MARKETS FD
  
                        31,274
               285
FIDELITY EUROPE CAP APPRECTN FD
  
                          5,411
               118
FIDELITY EUROPE FUND
  
                          3,674
               597
FIDELITY EXPORT AND MULTINTL FUND
  
                        13,064
            2,526
FIDELITY FDS EQUITY DIVIDEND INCOME FUND
  
                        49,213
            7,228
FIDELITY FLOATING RATE HIGH INCOME FD
  
                        71,698
            5,903
FIDELITY FOCUSED STOCK FUND
  
                        89,429
            2,844
FIDELITY FREEDOM 2025 FUND
  
                        33,982
            1,479
FIDELITY GNMA FUND
  
                        17,367
           11,157
FIDELITY GOVERNMENT INCOME FUND
  
                      118,043
            2,981
FIDELITY HIGH INCOME FUND
  
                        27,844
               645
FIDELITY INSTL INVS TR FREEDOM 2020
  
                          9,224
               290
FIDELITY INTL DISCOVERY FUND
  
                          9,580
               643
FIDELITY INTL REAL ESTATE FD
  
                          6,122
               223
FIDELITY INTL SMALL CAP OPPS FD
  
                          2,527
            2,428
FIDELITY INVT TR GLOBAL COMMODITY STK FD
  
                        35,960
               351
FIDELITY JAPAN FUND
  
                          3,448
               199
FIDELITY JAPAN SMALL COMPANIES FUND
  
                          1,805
            2,100
FIDELITY LATIN AMERICA FUND
  
                        97,264
            5,920
FIDELITY LEVERAGED COMPANY STOCK FUND
  
                      190,752
           31,077
FIDELITY LOW PRICED STOCK FUND
  
                   1,227,530
            8,816
FIDELITY MEGA CAP STOCK FUND
  
                      104,819
           16,603
FIDELITY NEW MARKETS INCOME INCOME FUND
  
                      295,529
                 97
FIDELITY NORDIC FUND
  
                          3,098
               375
FIDELITY OVERSEAS FUND
  
                        12,118
            6,815
FIDELITY PURITAN FUND
  
                      132,273
            3,400
FIDELITY REAL ESTATE INCOME FD
  
                        38,759
            2,137
FIDELITY REAL ESTATE INVSTMT PORTFOLIO
  
                        68,689
                 86
FIDELITY SELECT AUTOMOTIVE PORTFOLIO
  
                          3,374
            2,914
FIDELITY SELECT BANKING PORT
  
                        56,278
               851
FIDELITY SELECT BIOTECH PORTFOLIO
  
                        93,575
               882
FIDELITY SELECT BROKERAGE & INVT MGMT PORTFOLIO
  
                        44,245
               835
FIDELITY SELECT CHEMICAL PORTFOLIO
  
                        99,441
               309
FIDELITY SELECT COMMUNICATNS EQUIPMENT
  
                          7,158
                 45
FIDELITY SELECT COMPUTER PORTFOLIO
  
                          2,766
            1,751
FIDELITY SELECT CONSUMER STAPLES
  
                      140,144
               740
FIDELITY SELECT DEFENSE & AEROSPACE PORTFOLIO
  
                        64,410
               221
FIDELITY SELECT ELECTRONICS PORTFOLIO
  
                        10,085
            1,218
FIDELITY SELECT ENERGY PORT
  
                        61,868
               211
FIDELITY SELECT ENERGY SERV PORTFOLIO
  
                        14,057
                 47
FIDELITY SELECT FINANCIAL SERVICES PORTFOLIO
  
                          2,930
            2,674
FIDELITY SELECT GOLD PORT
  
                        98,869
               312
FIDELITY SELECT HEALTH CARE PORTFOLIO
  
                        41,855
            1,816
FIDELITY SELECT INDUSTRIAL EQUIPMENT PORTFOLIO
  
                        67,055
                 52
FIDELITY SELECT INSURANCE PORTFOLIO
  
                          2,660
               286
FIDELITY SELECT IT SERVICES
  
                          7,206
               450
FIDELITY SELECT LEISURE PORT
  
                        45,716
            1,201
FIDELITY SELECT MATERIALS
  
                        85,778
            1,117
FIDELITY SELECT MEDICAL EQUIPMENT AND SYSTEMS
  
                        31,144
           11,155
FIDELITY SELECT NATURAL GAS PORTFOLIO
  
                      344,121
            1,246
FIDELITY SELECT NATURAL RESOURCES PORTFOLIO
  
                        40,198
            1,861
FIDELITY SELECT PHARMACEUTICALS PORT
  
                        27,989
               552
FIDELITY SELECT SOFTWARE & COMPUTER SVCS
  
                        45,445
               660
FIDELITY SELECT TECHNOLOGY PORTFOLIO
  
                        66,846
                 68
FIDELITY SELECT TELECOMMTNS PORTFOLIO
  
                          3,446
            1,322
FIDELITY SELECT TRANSPORT PORTFOLIO
  
                        68,076
               363
FIDELITY SELECT WIRELESS
  
                          3,009
               597
FIDELITY SHORT TERM BOND FD
  
                          5,137
            8,657
FIDELITY SMALL CAP DISCOVERY FD
  
                      208,384
               456
FIDELITY SMALL CAP GROWTH FD
  
                          7,205
            1,239
FIDELITY SMALL CAP VALUE FD
  
                        20,052
 
 
 
39
 
            3,885
FIDELITY SPARTAN 500 INDEX INVESTOR CLASS
  
                      196,177
               708
FIDELITY SPARTAN EXTENDED MKT INDEX FD INVESTOR CLASS
  
                        28,260
               344
FIDELITY SPARTAN INTERNL INDEX FD INVESTOR CLASS
  
                        11,777
           10,645
FIDELITY STRATEGIC DIV & INC FD
  
                      131,147
            6,269
FIDELITY STRATEGIC INCOME FD
  
                        71,277
            1,398
FIDELITY TELECOM AND UTILITIES FUND
  
                        26,067
               704
FIDELITY TOTAL BOND FUND
  
                          7,704
               513
FIDELITY TREND FUND INC
  
                        37,701
               262
FIDELITY VALUE FUND
  
                        20,029
            1,781
FIDELITY VALUE STRATEGIES FUND
  
                        56,382
            3,792
FIRST EAGLE FDS GOLD FD CL C
  
                      100,421
            1,882
FIRST EAGLE GOLD FUND CL A
  
                        51,510
            1,592
FIRST EAGLE OVERSEAS FUND CL C
  
                        34,178
               685
FMI COMMON STOCK FUND
  
                        16,379
               318
FMI FOCUS FUND
  
                          9,856
           17,792
FMI FUNDS INC LARGE CAP FUND
  
                      304,245
            1,510
FORESTER VALUE FD
  
                        17,135
            2,516
FORUM FDS ABSOLUTE STRATEGIES FD INSTL
  
                        27,879
            1,278
FORUM FDS MERK ABSOLUTE RETURN CURRENC
  
                        11,555
            1,782
FORUM FDS MERK ASIAN CURRENCY FD INV SHS
  
                        17,228
            1,853
FORUM FDS MERK HARD CURRENCY FD INVS SHS
  
                        22,516
            2,667
FORWARD EMERGING MARKETS FUND INVESTOR CLASS
  
                        28,216
            1,864
FORWARD SMALL CAP EQUITY FUND INVESTOR CLASS
  
                        29,786
            1,811
FPA FDS TR FPA CRESCENT PORTFOLIO INSTL
  
                        53,056
           19,389
FRANKLIN INCOME FDS SER CL C
  
                        43,819
               866
FRANKLIN TEMPLETON FDS GOLD & PRECIOUS METALS ADVISOR CL
  
                        27,873
                 79
FRANKLIN TEMPLETON FDS GOLD & PRECIOUS METALS FD CL C
  
                          2,294
            4,478
FRANKLIN TEMPLETON FUND STRATEGIC SER INCOME FUND CL-C
  
                        47,820
            2,383
FRANKLIN TEMPLETON FUNDS MUTUAL BEACON FD CL C
  
                        31,457
            1,530
FRANKLIN TEMPLETON FUNDS MUTUAL FINANCIAL SVCS FD CL C
  
                        20,822
               210
FRANKLIN TEMPLETON MODERATE ALLOCATION FUND-CL A
  
                          3,065
               439
FRANKLIN/TEMPLETON HARD CURRENCY FUND CL A
  
                          4,230
            3,666
FUNDAMENTAL INVS INC CL R-5
  
                      149,550
            2,102
GABELLI EQUITY SERIES FUNDS INC-EQUITY INCOME FUND
  
                        47,851
               404
GABELLI EQUITY SERIES FUNDS INC-SMALL CAPITAL GROWTH FUND
  
                        14,798
           15,427
GABELLI UTILS FD CL AAA SHS
  
                        83,766
               527
GAMCO GLOBAL SER FDS INC TELECOMMUNICATIONS FD CL AAA
  
                        10,648
            4,256
GAMCO GOLD FUND INC CL AAA
  
                        93,581
               511
GOLDMAN SACHS COMMODITY STRATEGY FUND CLASS A
  
                          2,928
           11,802
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO-CL A
  
                      130,414
               813
GRANDEUR PEAK GLOBAL OPPORTUNITIES INV
  
                          2,016
            1,862
GREENSPRING FUND INC
  
                        43,260
               160
GROWTH FD AMER INC CL R-3
  
                          5,427
            3,448
GROWTH FD AMER INC CL R-5
  
                      118,257
            4,480
GROWTH FUND AMER INC CL F1
  
                      152,947
               668
GUGGENHEIM MANAGED FUTURES STRATEGY CL H
  
                        14,189
            1,306
GUINNESS ATKINSON FDS ALTERNATIVE ENERGY FD
  
                          3,227
               931
GUINNESS ATKINSON FDS ASIA PACIFIC DIV FD
  
                        12,576
            3,315
GUINNESS ATKINSON GLOBAL ENERGY FUND
  
                        86,765
               561
HANCOCK HORIZON FAMILY FDS BURKENROAD FD CL D
  
                        22,863
           28,109
HARBOR BOND FUND INSTITUTIONAL
  
                      350,795
            2,628
HARBOR CAPITAL APPRECIATION FUND INVESTOR CLASS
  
                      110,279
            3,881
HARBOR FD BD FD ADMIN CL
  
                        48,469
            5,740
HARBOR FD COMODITY REAL RTRN STRATEGY CL
  
                        40,867
            3,733
HARBOR FD REAL RETURN FD INSTL CL
  
                        41,735
            1,209
HARBOR HIGH YIELD BOND FUND INVESTOR CLASS
  
                        13,445
            2,885
HARBOR INTERNATIONAL FUND INSTITUTIONAL
  
                      179,186
            4,067
HARBOR INTERNATIONAL FUND INVESTOR CLASS
  
                      250,310
            3,541
HARBOR INTERNATIONAL GROWTH FUND INSTITUTIONAL
  
                        40,933
               926
HARDING LOEVNER FDS INC INTL EQUITY PORT INVS CL
  
                        14,728
               436
HARTFORD MUTUAL FUNDS INC CAP APPREC FUND CL C
  
                        13,293
               425
HARTFORD MUTUAL FUNDS INC CAPITAL APPRECIATION FUND CL A
  
                        14,610
               137
HARTFORD MUTUAL FUNDS INC CAPITAL APPRECIATION FUND CL B
  
                          4,151
            1,212
HEARTLAND GROUP INC VALUE PLUS FUND
  
                        35,996
            3,278
HEARTLAND SELECT VALUE FUND
  
                        95,613
 
 
 
40
 
            2,232
HENNESSY CORNERSTONE MID CAP 30 FUND INVESTOR CLASS SHARES
  
                        31,628
               341
HENNESSY FOCUS FUND INVESTOR CLASS SHARES
  
                        16,889
            3,910
HENNESSY GAS UTILITY INDEX FUND INVESTOR CLASS
  
                        86,520
               272
HENNESSY LARGE CAP FINANCIAL FUND INVESTOR CLASS
  
                          3,972
               389
HENNESSY MUT FDS INC CORNERSTONE VALUE FD INVT CL
  
                          5,393
               476
HENNESSY SMALL CAP FINANCIAL FUND INVESTOR CLASS
  
                          9,471
               236
HIGHMARK FDS VALUE MOMENTUM FD RETAIL CL C
  
                          3,512
            1,447
HOMESTEAD FDS INC SMALL CO STK FD
  
                        39,214
            2,863
HUSSMAN INVESTMENT TRUST STRATEGIC TOTAL RETURN FUND
  
                        34,665
            6,880
HUSSMAN INVT TR STRATEGIC GROWTH FUND
  
                        73,680
            3,202
HUSSMAN INVT TR STRATEGIC INTL EQUITY FD
  
                        30,671
            7,418
ICON FUNDS ENERGY FUND
  
                      140,494
               171
ICON FUNDS FINANCIAL FUND
  
                          1,055
            2,495
ICON FUNDS ICON MATERIALS FUND
  
                        27,919
               374
ICON UTILITIES FUND CL S
  
                          2,489
               315
INCOME FD AMER INC CL R-1
  
                          5,670
               657
INCOME FD AMER INC CL R-5
  
                        11,866
            6,746
INCOME FUND OF AMERICA INC CLASS A
  
                      121,831
            1,583
ING CORPORATE LEADERS TRUST UNIT PARTN CTF SER B
  
                        39,359
            1,583
ING CORPORATE LEADERS TRUST UNIT PARTN CTF SER B
  
                        39,359
               112
ING EQUITY TRUST REAL ESTATE FUND CLASS C
  
                          1,895
                 87
ING MUTUAL FUNDS RUSSIA FUND CLASS A
  
                          2,894
            1,123
INTEGRITY FD WILLISTON BASIN/MID NORTH AMER CL A
  
                          6,095
               186
INTERNATIONAL GROWTH & INC FD INC CL A SHS
  
                          5,899
            1,510
INTERNET FUND KINETIC FDS INV CL
  
                        65,211
            7,501
INTREPID CAPITAL FUND
  
                        84,533
            1,718
INTREPID SMALL CAP FUND
  
                        25,390
            5,382
INVESCO AMERICAN FRANCHISE FUND CLASS C
  
                        66,087
               907
INVESCO AMERICAN VALUE FUND CLASS Y
  
                        28,903
                 44
INVESCO CHINA FUND CL A
  
                             852
            1,677
INVESCO COMSTOCK FUND CLASS C
  
                        29,871
            2,020
INVESCO DIVERSIFIED DIVIDEND FD INV CL
  
                        27,185
                 62
INVESCO ENERGY FUND CLASS A
  
                          2,323
               150
INVESCO ENERGY FUND CLASS B
  
                          5,078
               502
INVESCO ENERGY FUND CLASS INVESTOR
  
                        18,727
               135
INVESCO EUROPEAN GROWTH FUND CLASS INVESTOR
  
                          4,437
               855
INVESCO GOLD & PRECIOUS METALS FD CL INVESTOR
  
                          6,502
            2,744
INVESCO GOLD & PRECIOUS METALS FD CL Y
  
                        20,993
                 98
INVESCO GOLD & PRECIOUS METALS FUND CL C
  
                             764
            6,634
INVESCO INTERNATIONAL CORE EQUITY FD INVST CL
  
                        70,053
               406
INVESCO MID CAP CORE EQUITY FD CL Y
  
                          8,731
            2,186
INVESCO REAL ESTATE FUND CL C
  
                        53,217
               750
INVESTMENT MANAGERS SER TR THESIS FLEXIBLE FD CL A
  
                          6,777
               317
IVA FIDUCIARY TR IVA WORLDWIDE FD CL A
  
                          5,047
               273
IVY ASSET STRATEGY FD CL C
  
                          6,888
            6,037
IVY ASSET STRATEGY I
  
                      157,388
            2,355
IVY FDS INC ASSET STRATEGY FD CL Y
  
                        61,069
            8,945
IVY FDS INC HIGH INCOME FD CL A
  
                        76,391
            1,308
IVY FDS INC MID CAP GROWTH FD CL Y
  
                        24,944
                 71
IVY FDS INC SCIENCE & TECH FD CL Y
  
                          2,628
                 51
IVY GLOBAL NATURAL RESOURCES FUND-CL B
  
                             760
               243
JAMES ADVANTAGE FDS BALANCED GOLDEN RAINBOW FUND
  
                          5,267
               471
JAMES ADVANTAGE FDS SMALL CAP FUND
  
                        11,612
            1,016
JANUS CONTRARIAN FUND CLASS T SHARES
  
                        15,355
               448
JANUS GLOBAL RESEARCH FUND CLASS T SHARES
  
                          7,015
               791
JANUS GLOBAL SELECT FUND CLASS R SHARES
  
                          7,886
            8,267
JANUS GLOBAL SELECT FUND CLASS T SHARES
  
                        82,748
               184
JANUS INVESTMENT FUND BALANCED FUND CLASS T SHARES
  
                          4,815
            1,457
JANUS INVESTMENT FUND FLEXIBLE BOND FUND CLASS T
  
                        15,767
            3,243
JANUS INVESTMENT FUND HIGH YIELD FUND CLASS T
  
                        30,228
           48,714
JANUS INVESTMENT FUND SHORT TERM BOND FUND CL T
  
                      150,041
            4,458
JANUS INVT FD FLEXIBLE BD FD CL S
  
                        48,233
               588
JANUS INVT FD FORTY FD CL S
  
                        22,316
            5,579
JANUS INVT FD HIGH YIELD FD CL S
  
                        52,056
               133
JANUS INVT FD INTECH RISK-MNGD GRWTH FD CL T
  
                          1,971
 
 
 
41
 
            1,565
JANUS INVT FD PERKINS MID CAP VALUE FD CL S
  
                        33,303
            4,340
JANUS OVERSEAS FUND CLASS T SHARES
  
                      148,380
            7,558
JANUS TRITON FUND CLASS T SHARES
  
                      136,195
            4,481
JENSEN PORTFOLIO INC JENSEN QUALITY GROWTH FD
  
                      133,363
               917
JOHN HANCOCK REGIONAL BANK FUND-CL A
  
                        13,047
               454
JP MORGAN SMARTRETIREMENT 2010 FD CL A
  
                          7,205
           12,160
JP MORGAN SMARTRETIREMENT 2010 FD CL C
  
                      192,255
            8,789
JP MORGAN SMARTRETIREMENT 2015 FD CL C
  
                      140,706
               104
JPMORGAN RUSSIA FUND CLASS A
  
                          1,112
            3,179
JPMORGAN TR I INTL VALUE FD CL A
  
                        40,501
               126
JPMORGAN TR I INTREPID EUROPEAN FD CL A
  
                          2,412
            9,103
JPMORGAN TR II HIGH YIELD FD CL A
  
                        73,732
            2,117
KEELEY SMALL CAP VALUE FD CL A
  
                        60,535
            2,405
KINETICS GLOBAL FUND INV CL
  
                        11,329
               375
KINETICS PARADIGM FUND INV CL
  
                          8,986
            1,572
LAUDUS TR GROWTH INVS U S LARGE CAP GRTH
  
                        22,661
            1,063
LAZARD DEVELOPING MARKETS EQUITY PORTFOLIO OPEN SHS
  
                        13,178
           12,570
LAZARD EMERGING MARKETS PORT OPEN SHS
  
                      251,786
            2,385
LEUTHOLD FDS INC ASSET ALLOCATIO FD
  
                        24,641
               516
LEUTHOLD FDS INC GLOBAL FD INSTL CL
  
                          5,402
           51,556
LOOMIS SAYLES BOND FUND RETAIL CLASS
  
                      776,428
            6,735
LOOMIS SAYLES GLOBAL BOND FUND RETAIL CLASS
  
                      115,580
            3,112
LORD ABBETT GROWTH AND INCOME STRATEGY FUND CL A
  
                        50,750
           88,700
LORD ABBETT SHORT DURATION INCOME FUND CL I
  
                      412,453
               226
MADISON MOSAIC INVESTORS FUND CLASS Y
  
                          4,197
               116
MADISON MOSAIC MID CAP FUND CLASS Y
  
                          1,502
            4,176
MAINSTAY FDS LARGE CAP GROWTH FD CL I
  
                        33,324
               887
MAINSTAY FDS TR MARKETFIELD FD CL I
  
                        14,046
                 42
MAIRS & PWR FDS TR BALANCED FD
  
                          2,992
               924
MAIRS & PWR FDS TR GROWTH FD
  
                        77,572
                 96
MANAGERS AMG FDS GW&K MUN ENHANCED YIELD FD INV
  
                             986
           12,049
MANAGERS AMG FDS YACKTMAN FD SVC CL
  
                      230,371
            5,160
MANAGERS AMG FDS YACKTMAN FOCUSED FD SVC CL
  
                      105,888
            5,861
MANAGERS FDS REAL ESTATE SECS FD
  
                        59,257
           27,311
MANAGERS PIMCO BOND FUND
  
                      298,235
            3,161
MANNING AND NAPIER FUND INC NEW EQUITY SERIES
  
                        54,175
           14,934
MANNING AND NAPIER FUND WORLD OPPORTUNITIES SER CL A
  
                      115,740
            6,292
MARSICO 21ST CENTURY FUND
  
                        88,023
            1,329
MARSICO FOCUS FUND
  
                        23,026
            4,112
MARSICO GROWTH FD
  
                        83,641
               637
MARSICO INVT FD FLEXIBLE CAP FD
  
                          9,466
            1,295
MARSICO INVT FD INTL OPPORTUNITIES FD
  
                        17,165
            1,826
MASSACHUSETTS INVS GRWTH STK MASS INVS GROWTH STK FD CL R5
  
                        32,693
               479
MATTHEW 25 FD INC
  
                        10,627
            5,765
MATTHEWS ASIA DIVIDEND FUND
  
                        84,050
            3,029
MATTHEWS ASIA SCIENCE AND TECHNOLOGY FUND
  
                        28,135
               412
MATTHEWS ASIAN FDS ASIA SMALL COS FD
  
                          7,466
            4,271
MATTHEWS ASIAN GROWTH & INCOME FUND
  
                        79,480
            4,401
MATTHEWS CHINA FUND
  
                      103,291
            3,203
MATTHEWS INDIA FUND
  
                        56,088
            1,414
MATTHEWS INTL FDS ASIA GROWTH FUND
  
                        25,487
            2,835
MATTHEWS KOREA FUND
  
                        15,989
            2,479
MATTHEWS PACIFIC TIGER FUND
  
                        60,527
               229
MERGER FUND-SBI
  
                          3,620
            1,655
MERIDIAN FUND INC VALUE FUND
  
                        54,382
               298
MERIDIAN GROWTH FUND
  
                        11,872
           23,756
METROPOLITAN WEST FDS TOTAL RETURN BOND FUND
  
                      258,945
            2,522
METROPOLITAN WEST FUNDS HIGH YIELD BOND FUND CLASS M
  
                        26,282
            3,586
METROPOLITAN WEST LOW DURATION BOND FUND
  
                        31,518
            2,965
MFS SER TR X EMERGING MARKET DEBT FUND CLASS I
  
                        48,420
            1,654
MFS SER TR X INTL DIVERSIFICATION FD CL C
  
                        23,160
            1,626
MFS SERS TRUST VI UTILITIES FD CL I
  
                        30,356
               492
MFS UTILITIES FUND-CL C
  
                          9,135
            1,304
MIDAS FUND INC
  
                          3,377
               684
MORGAN STANLEY INSTL FD INC U S REAL ESTATE PORTFOLIO CL I
  
                        11,573
 
 
 
42
 
         680,609
MORGAN TR I 100% U S TREAS SECS MNY MKTCL MORGAN SHARE CL
  
                      680,609
            1,033
MORGAN TR I PRIME MONEY MKT FD MORGAN CL SECURITY SYMBOL IS V MVXX
                          1,033
         831,846
MORGAN TR II U S GOVT MONEY MKT FD MORGAN
  
                      831,846
            1,747
MOTLEY FOOL FDS TR GREAT AMERICA FD
  
                        22,740
            1,603
MOTLEY FOOL FDS TR MOTLEY FOOL INDEPENDENCE FD
  
                        25,183
               394
MUHLENKAMP FD
  
                        20,549
            1,117
MUTUAL GLOBAL DISCOVERY FUND CL Z
  
                        31,998
            1,526
MUTUALS COM VICE FUND
  
                        33,978
               536
NATIXIS FDS TR II ASG MANAGED FUTURES STRTGY FD CL A
  
                          4,887
               708
NEEDHAM AGGRESSIVE GROWTH FD
  
                        11,774
            2,472
NEUBERGER & BERMAN EQUITY FDS EQUITY INCOME FD CL A
  
                        28,794
            1,029
NEUBERGER BERMAN EQUITY FDS REAL ESTATE FD TR CL
  
                        13,899
            1,729
NEUBERGER BERMAN GENESIS FD INVESTOR CLASS
  
                        58,829
               973
NEUBERGER BERMAN GENESIS FUND TRUST CLASS
  
                        49,291
            3,265
NEUBERGER BERMAN INTL FUND INVESTOR CLASS
  
                        57,537
               140
NEUBERGER BERMAN LARGE CAP VALUE FUND INVESTOR
  
                          3,945
               808
NEUBERGER BERMAN STRATEGIC INCOME FD TR CL
  
                          9,260
               551
NEW PERSPECTIVE FD INC CL F-2 SHS
  
                        17,201
            4,105
NEW PERSPECTIVE FUND INC CL A
  
                      128,321
               361
NEW WORLD FD INC CLASS R-5
  
                        19,684
            2,584
NEW WORLD FD INC NEW CL F-2 SHS
  
                      140,627
                 87
NEW WORLD FUND INC NEW
  
                          4,745
               746
NICHOLAS FUND INC
  
                        36,164
               940
NORTHERN FDS EMERGING MKTS EQUITY INDEX FD
  
                        11,152
            1,927
OAKMARK EQUITY & INCOME FUND
  
                        54,929
               284
OAKMARK FUND
  
                        13,794
            7,066
OAKMARK GLOBAL FUND
  
                      165,912
               674
OAKMARK GLOBAL SELECT FUND
  
                          8,524
            1,394
OAKMARK INTERNATIONAL FUND
  
                        29,167
            2,007
OAKMARK INTERNATIONAL SMALL CAP FUND
  
                        28,065
            2,715
OAKMARK SELECT FUND
  
                        84,068
            1,134
OBERWEIS CHINA OPPTYS FD
  
                        12,615
               162
OBERWEIS MICRO-CAP PORTFOLIO
  
                          1,966
               154
OBERWEIS SMALL-CAP OPPORTUNITIES FUND
  
                          1,862
            1,414
OCM MUT FD GOLD FD ADVISOR CL
  
                        29,475
               737
OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FD CL A
  
                          2,416
            1,693
OPPENHEIMER DEVELOPING MARKETS FUND-CL A
  
                        59,763
               414
OPPENHEIMER DEVELOPING MKTS FDS CL Y
  
                        14,455
               569
OPPENHEIMER DEVELOPING MKTS FUNDS CL N
  
                        19,395
            3,097
OPPENHEIMER INTL BD FD CL N
  
                        20,344
               738
PARNASSUS FUND-SBI
  
                        29,978
           11,140
PARNASSUS INCOME TRUST EQUITY INCOME PORTFOLIO
  
                      325,295
               282
PAX WORLD GLOBAL ENVIRONMENTAL MRKT FD INV CL
  
                          2,791
            4,142
PAX WORLD HIGH YIELD BOND FD INDIVIDUAL INVESTOR CLASS
  
                        31,187
            1,322
PERKINS GLOBAL VALUE FUND CL T
  
                        16,195
            5,711
PERKINS MID CAP VALUE FD CLASS T SHS
  
                      121,881
            3,189
PERKINS SMALL CAP VALUE FUND CLASS T SHARES
  
                        67,037
            9,396
PERMANENT PORTFOLIO FUND INC
  
                      457,025
            1,956
PERRITT ULTRA MICROCAP FUND
  
                        23,005
            1,429
PFS FDS WIRELESS FD
  
                          8,214
            6,859
PIMCO ALL ASSET ALL AUTHORITY P
  
                        76,069
               745
PIMCO COMMODITY REAL RETURN STRAT P
  
                          4,937
           75,893
PIMCO COMMODITY REAL RETURN STRATEGY CLASS D
  
                      496,341
            2,505
PIMCO EQUITY SER DIVID & INC BUILDER FD CL D
  
                        28,060
            4,379
PIMCO FDS EMERGING LOCAL BD FD CL D
  
                        48,080
            1,842
PIMCO FDS EMERGING MKTS CURR FDS CL D
  
                        19,428
               731
PIMCO FDS FOREIGN BD FD CL D(UNHEDGED)
  
                          7,956
            2,622
PIMCO FDS LONG DURATION TOTAL RET FD INSTL CL
  
                        31,644
            5,631
PIMCO FDS LONG-TERM CR FD INSTL CL
  
                        73,933
            3,523
PIMCO FDS PAC INVT MGMT SER ALL ASSET ALL AUTH FD CL D
  
                        38,889
            1,052
PIMCO FDS PAC INVT MGMT SER EMERGING MKTS BB FD CL D
  
                        13,154
               795
PIMCO FDS PAC INVT MGMT SER HIGH YIELD FD CL D
  
                          7,666
            4,185
PIMCO FDS PAC INVT MGMT SER LOW DURATION FD CL D
  
                        43,988
           38,728
PIMCO FDS PAC INVT MGMT SER REAL ESTATE REAL RET STR CL C
  
                      166,920
               569
PIMCO FDS PAC INVT MGMT SER REAL ESTATE REAL RET STRA CL A
  
                          2,647
 
 
 
43
 
           20,261
PIMCO FDS PAC INVT MGMT SER REAL RETURN  FD-CL D
  
                      248,608
            2,256
PIMCO FDS PAC INVT MGMT SER REALESTATEREALRETURN STRATEGY
  
                        11,098
               117
PIMCO FDS PAC INVT MGMT SER STOCKSPLUS TOTAL RET FD CL D
  
                          1,033
         130,286
PIMCO FDS PAC INVT MGMT SER TOTAL RETURN FD CL D
  
                   1,464,414
            7,006
PIMCO FDS UNCONSTRAINED BD FD CL D
  
                        80,433
               292
PIMCO FLOATING INCOME FUND CLASS D
  
                          2,616
            2,707
PIMCO FOREIGN BOND FUND CL D U.S. DOLLAR-HEDGED
  
                        29,206
            2,984
PIMCO INCOME FUND CLASS D
  
                        36,880
            1,091
PIMCO INVESTMENT GRADE CORPORATE BOND FUND CL D
  
                        12,135
            6,730
PIMCO REALESTATE REAL RETURN STRATEGY CLASS D
  
                        31,363
            2,571
PIMCO SMALL CAP STOCKSPLUS TR CLASS D
  
                        20,410
            2,987
PIMCO TOTAL RETURN FUND ADMINISTRATIVE SHS
  
                        33,570
           43,691
PIMCO TOTAL RETURN FUND INSTL CL
  
                      491,086
            3,805
PIMCO TOTAL RETURN FUND-CL A
  
                        42,765
            1,004
POLARIS GLOBAL VALUE FUND
  
                        15,291
            2,853
PRICE T ROWE GLOBAL TECHNOLOGY FUND INC SHS BEN INT
  
                        28,871
               141
PRICE T ROWE RETIREMENT FDS INC 2030 FD
  
                          2,669
            4,184
PRICE T ROWE RETIREMENT FDS INC RETIREMNT 2025 FD ADVSR CL
  
                        54,679
           13,805
PRIMECAP ODYSSEY FDS AGGRESSIVE GROWTH FD
  
                      268,928
           10,319
PRIMECAP ODYSSEY FDS GROWTH FD
  
                      178,938
                 92
PROFESSIONALLY MANAGED PORT DUNCAN-HURST CAN SLIM SELECT
  
                          1,155
               192
PROFESSIONALLY MANAGED PORT FD ASTERISK X CONSERVATIVE UPGRADE FUND
                          6,630
               328
PROFESSIONALLY MANAGED PORT FD ASTERISK X FLEXIBLE INCOME FUND
                        10,373
            2,219
PROFESSIONALLY MANAGED PORT OSTERWEIS STRATEGIC INCOME FD
  
                        25,849
               244
PROFESSIONALLY MANAGED PORTF HODGES FUND
  
                          5,542
            4,332
PROFESSIONALLY MANAGED PRTFL AKRE FOCUS FD RETAIL CL
  
                        66,274
            1,556
PROFUNDS BEAR INVS CL
  
                        23,820
                 49
PROFUNDS EUROPE 30 FUND INV CL
  
                             652
               340
PROFUNDS INC INVESTOR CL BIOTECHNOLOGY ULTRASECTOR
  
                        33,822
            3,017
PROFUNDS MUT FDS INV CL OILFIELD EQUIPT & SVCS ULTRA
  
                        55,480
               252
PROFUNDS OIL & GAS ULTRASECTOR INVESTOR CL
  
                        10,124
                 63
PROFUNDS REAL ESTATE ULTRASECTOR PROFUND INV CL
  
                          1,768
            9,231
PROFUNDS RISING RATES OPPORTUNITY 10 INV CL
  
                      159,794
            3,520
PROFUNDS RISING RATES OPPORTUNITY INV
  
                        25,308
            1,327
PROFUNDS RISING U S DOLLAR PROFUND INV
  
                        33,654
                 11
PROFUNDS SHORT EMERGING MKTS PROFUND INVS CL
  
                             110
            4,138
PROFUNDS SHORT NASDAQ-100 INV CL
  
                        27,763
            2,452
PROFUNDS SHORT PRECIOUS METALS PROFUND INVT CL
  
                        16,159
            1,601
PROFUNDS SHORT PRECIOUS METALS PROFUND SVC CL
  
                        11,113
            1,253
PROFUNDS SHORT REAL EST PROFUND INV CL
  
                          6,992
                 29
PROFUNDS SVC CL BIOTECHNOLOGY ULTRASECTOR
  
                          2,564
               639
PROFUNDS TELECOMM ULTRASECTORINV CL
  
                        10,810
                  9
PROFUNDS ULTRA SMALL/CAP INVSTR CL
  
                             187
            1,038
PROFUNDS ULTRABEAR INVS CL
  
                        15,135
               202
PROFUNDS ULTRAJAPAN INVESTOR CLASS
  
                          1,658
                 11
PROFUNDS ULTRALATIN AMER PROFUND INV CL
  
                             106
                 11
PROFUNDS ULTRASHORT CHINA PROFUND INV
  
                               47
               236
PROFUNDS ULTRASHORT DOW 30 FD INVESTOR CL
  
                          3,437
            3,384
PROFUNDS ULTRASHORT INTL PROFUND INVS
  
                        17,257
                 11
PROFUNDS ULTRASHORT LATIN AMERICA INVS CL
  
                             139
            5,294
PROFUNDS ULTRASHORT SMALL-CAP FD INV CL
  
                        37,272
               900
PROFUNDS US GOVT PLUS INV CL
  
                        44,538
           25,035
PROVIDENT TR MUT FDS INC PROVIDENT TR STRATEGY FD
  
                      226,821
               117
PRUDENTIAL JENNISON HEALTH SCIENCES FUND CLASS A
  
                          3,285
               515
PRUDENTIAL JENNISON NATURAL RESOURCES FUND INC CLASS Z
  
                        23,951
               301
PRUDENTIAL JENNISON SMALL COMPANY FUND INC CLASS A
  
                          6,753
               178
PRUDENTIAL JENNISON UTILITY FUND CLASS A
  
                          2,129
               297
PRUDENTIAL JENNISON UTILITY FUND CLASS C
  
                          3,533
            1,965
PUTNAM EQUITY INCOME FD NEW CL Y
  
                        33,392
            4,430
PUTNAM GLOBAL NAT RES FD CL C
  
                        80,403
                 37
PUTNAM GLOBAL NATURAL RESOURCES FUND-CL A
  
                             724
            2,409
RAINIER INVT MGMT MUT FDS MID CAP EQUITY PORTFOLIO
  
                      105,450
            3,179
RBB FD INC SCHNEIDER VALUE FD CL PPP
  
                        43,677
            3,119
RBB FUND INC ROBECO BOSTON PRTNRS LONG SHORT EQI INVT SHS
  
                        59,724
            1,226
RBB FUND INC SCHNEIDER SMALL CAP VALUE FD
  
                        22,824
 
 
 
44
 
            5,139
RBC MICRO CAP VALUE FUND CLASS I
  
                        99,539
               601
REYNOLDS BLUE CHIP GROWTH FUND
  
                        34,680
            1,790
RIDGEWORTH FDS SMALL CAP VALUE EQUITY FD CL C
  
                        23,217
               500
RIVERPARK FDS TR SHORT TERM HIGH YIELD FD RETAIL CL
  
                          4,980
            1,860
ROWE T PRICE CAPITAL APPRECIATION FD ADVISOR CLASS
  
                        41,130
               117
ROWE T PRICE DIVID GROWTH FD INC ADVISOR CL
  
                          3,087
            1,368
ROWE T PRICE INFLATION PROTECTED BOND FUND INC
  
                        18,465
            1,892
ROWE T PRICE INTL FDS INC GLOBAL INFRASTRUCTURE FD
  
                        20,334
            2,136
ROWE T PRICE INTL INDEX FD INC INTL EQUITY INDEX FD
  
                        24,627
               118
ROWE T PRICE NEW AMER GROWTH ADVISOR CL
  
                          4,174
            3,363
ROWE T PRICE NEW INCOME FD ADVISOR CL
  
                        33,058
               935
ROWE T PRICE REAL ESTATE FD ADVISOR CLASS
  
                        19,836
               191
ROYCE FD INTL SMALLER-COS FD SVC CL
  
                          2,158
               831
ROYCE FD PREMIER FD SERVICE CL
  
                        15,695
            2,668
ROYCE FD SPECIAL EQUITY FD
  
                        56,383
            1,117
ROYCE FUND LOW PRICED STOCK SERVICE
  
                        15,465
               995
ROYCE FUND MICRO-CAP FUND
  
                        14,712
               368
ROYCE FUND PREMIER SERIES
  
                          7,056
            1,053
ROYCE FUND ROYCE OPPORTUNITY FUND
  
                        12,587
            1,152
ROYCE FUND VALUE FD SERVICE CL
  
                        13,069
           15,577
ROYCE FUND VALUE PLUS FUND SERVICE CL
  
                      215,427
            7,336
ROYCE FUND-PENNSYLVANIA MUTUAL FUND INVESTMENT CL
  
                        84,360
            2,046
ROYCE GLOBAL VALUE FUND SVC CL
  
                        26,552
            1,888
RUSSELL COMMODITY STRATEGIES FUND CL S
  
                        17,577
            4,365
RYDEX DYNAMIC FDS INVERSE DOW 2X STRATEGY CL C
  
                        41,728
                 90
RYDEX DYNAMIC FDS INVERSE DOW 2X STRATEGY CL H
  
                             916
            1,190
RYDEX DYNAMIC FDS INVERSE S&P 500 2X STRAT CL H
  
                        10,946
               345
RYDEX DYNAMIC FDS NASDAQ-100 2X STRATEGY CL H
  
                        53,225
               123
RYDEX SER FDS COMMODITIES STRATEGY FD CL A
  
                          1,912
            8,819
RYDEX SER FDS INV RUSSELL 2000 2X STRAT CL C
  
                      127,962
                 86
RYDEX SER FDS RUSSELL 2000 2X STRATEGY CL H
  
                        14,335
               119
RYDEX SER TR UTILITIES FD INVESTOR CL
  
                          3,443
                  1
RYDEX SERIES FDS GOVT LG BOND 1.2X STRAT CL ADV
  
                                 9
               963
RYDEX SERIES FDS INVERSE GVT LG BD STRAT CL INV
  
                          8,191
           16,791
RYDEX SERIES FDS INVERSE S&P 500 STRAT CL INV
  
                      392,580
               479
RYDEX SERIES FDS INVRS RUSSELL 2000 STRAT CL H
  
                          7,834
               160
RYDEX SERIES TRUST BASIC MATERIALS FUND INV CL
  
                          8,095
            1,005
RYDEX SERIES TRUST BIOTECHNOLOGY FUND INV CL
  
                        41,619
            1,173
RYDEX SERIES TRUST PRECIOUS METALS FUND
  
                        72,399
               148
RYDEX SERIES TRUST TELECOMMUNICATIONS FUND INV CL
  
                          1,933
                 19
SARATOGA HEALTH AND BIOTECHNOLOGY CLASS A
  
                             405
               133
SATUIT CAP MGMT TR MICRO CAP FD CL A
  
                          4,148
           51,562
SATURNA INVESTMENT TRUST SEXTANT INTERNATIONAL FUND
  
                      786,842
               202
SCHWAB CAP TR LAUDUS INTL MARKET MASTERS FUND INV CLASS
  
                          4,015
               505
SCHWARTZ INVT TR AVE MARIA GROWTH FD
  
                        11,975
            2,165
SCHWARTZ INVT TR AVE MARIA RISING DIVIDEND FD
  
                        29,208
            1,084
SCHWARTZ INVT TR AVE MARIA SMALL CAP FD
  
                        12,342
            6,004
SCOUT FDS CORE BD FD INSTL CL
  
                        70,008
            1,757
SCOUT FDS INTERNATIONAL FD
  
                        58,593
            2,280
SCOUT FDS MID CAP FD
  
                        31,173
               907
SELECTED AMERICAN SHARE INC CL D
  
                        37,822
               945
SELECTED AMERICAN SHARES INC
  
                        39,424
               266
SENTINEL GROUP FDS INC INTERNATIONAL EQUITY CL A
  
                          4,392
               400
SMALLCAP WORLD FUND INC CL C
  
                        14,934
               146
SMALLCAP WORLD FUND INC CL F1
  
                          5,777
               316
SSGA FUNDS EMERGING MARKETS FUND
  
                          6,561
               634
SSGA FUNDS INTERMEDIATE FUND
  
                          6,046
            1,461
SSGA FUNDS INTL STK SELECTION FUND
  
                        13,500
                 75
SSGA FUNDS TUCKERMAN ACTIVE REIT
  
                             965
            1,133
STRATTON FDS INC-SMALL CAP YIELD FD
  
                        62,762
                 35
SUNAMERICA SPECIALTY SER FOCUSED ALPHA GROWTH FD CL A
  
                             657
           64,958
SYMONS VALUE INSTITUTIONAL FUND
  
                      703,496
           17,354
T ROWE PRICE BLUE CHIP GROWTH FUND INC
  
                      791,885
               216
T ROWE PRICE BLUE CHIP GROWTH FUND INC ADVISOR CL
  
                          9,827
           14,619
T ROWE PRICE CAPITAL APPRECIATION FUND-SBI
  
                      325,267
 
 
 
45
 
               160
T ROWE PRICE DIVIDEND GROWTH FUND INC
  
                          4,214
               199
T ROWE PRICE EQUITY INCOME FUND ADVISOR CL
  
                          5,259
           12,829
T ROWE PRICE EQUITY INCOME FUND-SBI
  
                      339,322
               634
T ROWE PRICE FINANCIAL SERVICES FUND INC
  
                          9,479
            2,439
T ROWE PRICE GLOBAL REAL ESTATE FD INC
  
                        43,946
                 57
T ROWE PRICE GLOBAL REAL ESTATE FD INC ADVISOR CL
  
                          1,020
               425
T ROWE PRICE GROWTH STK FD INC GROWTH STK FD ADV CL
  
                        15,888
            3,518
T ROWE PRICE GROWTH STOCK FUND INC
  
                      132,923
            1,190
T ROWE PRICE HEALTH SCIENCES FUND INC
  
                        49,044
           10,961
T ROWE PRICE HIGH YIELD FUND INC
  
                        76,505
               137
T ROWE PRICE INTL FDS INC EMERGING EUROPE MEDITERRANEAN
  
                          2,671
            9,573
T ROWE PRICE INTL FUNDS INC EMERGING MARKETS BOND FUND
  
                      136,133
            2,852
T ROWE PRICE INTL FUNDS INC EMERGING MARKETS STOCK FUND
  
                        97,138
            2,299
T ROWE PRICE INTL FUNDS INC GLOBAL STOCK FUND
  
                        42,042
           18,974
T ROWE PRICE INTL FUNDS INC INTERNATIONAL BOND FUND
  
                      191,638
            3,212
T ROWE PRICE INTL FUNDS INC INTERNATIONAL DISCOVERY FUND
  
                      148,095
            7,268
T ROWE PRICE INTL FUNDS INC LATIN AMERICA FUND
  
                      276,471
            2,370
T ROWE PRICE INTL FUNDS INC NEW ASIA FUND
  
                        39,838
               890
T ROWE PRICE MEDIA & TELECOMMUNICATIONS FUND INC
  
                        47,437
               475
T ROWE PRICE MID CAP GROWTH FUND INC ADVISOR CL
  
                        26,288
               661
T ROWE PRICE MID-CAP GROWTH FUND INC
  
                        37,301
               589
T ROWE PRICE NEW AMERICA GROWTH FUND-SBI
  
                        21,155
            3,074
T ROWE PRICE NEW ERA FUND INC
  
                      128,839
           41,423
T ROWE PRICE NEW HORIZONS FUND INC
  
                   1,373,990
               863
T ROWE PRICE REAL ESTATE FUND INC
  
                        18,142
            4,250
T ROWE PRICE SHORT TERM BOND FUND INC
  
                        20,611
            1,069
T ROWE PRICE SMALL CAPITAL VALUE FUND INC
  
                        41,886
               678
TANAKA FUNDS INC GROWTH FUND CL R
  
                          9,474
            9,423
TARGET PORTFOLIO TR MTG BACKED SECS PORTFOLIO
  
                      101,576
            3,006
TARGET PORTFOLIO TR TOTAL RETURN BD PORTFOLIO
  
                        34,121
            2,750
TCW FDS INC CORE FIXED INCOME FD CL N
  
                        30,880
            8,291
TCW FDS INC EMERGING MKTS INCOME FD CL N
  
                        99,653
            3,157
TCW FDS INC INTL SMALL CAP FD CL I
  
                        23,711
               592
TCW FDS INC TOTAL RETURN BOND FD CL N
  
                          6,292
            4,960
TEMPLETON FOREIGN FD CL A
  
                        34,073
            9,439
TEMPLETON GLOBAL BOND FD CL A
  
                      126,291
               570
TEMPLETON GROWTH FUND INC CL R
  
                        10,986
            4,031
THIRD AVENUE INTL VALUE FD INSTL CLASS
  
                        68,363
            2,722
THIRD AVENUE VALUE FUND INSTL CLASS
  
                      135,655
               213
THOMPSON BOND FUND
  
                          2,529
            2,623
THORNBURG INTL VALUE FUND CL I
  
                        73,692
               610
THORNBURG INVT TR INTL VALUE FD CL C
  
                        15,689
               258
THORNBURG INVT TRUST VALUE FUND CL A
  
                          8,377
               216
TIAA CREF INSTL MUT FDS LARGE CAP VALUE BOND RETAIL
  
                          2,977
            1,590
TIAA CREF INSTL MUT FDS MID CAP VALUE FD RETAIL CL
  
                        28,954
               437
TIAA CREF INSTL MUT FDS REAL ESTATE SECS FD RETAIL CL
  
                          5,443
            5,515
TIAA CREF MUT FDS INTL EQUITY FD RETAIL CL
  
                        36,400
            5,336
TOCQUEVILLE GOLD FUND
  
                      339,346
            2,399
TOCQUEVILLE TR DELAFIELD FD
  
                        73,268
            6,116
TOUCHSTONE SANDS CAPITAL SELECT GROWTH FUND CL Z
  
                        76,570
            2,428
TOUCHSTONE ULTRA SHORT DURATION FIXED INCOME FD CL Y
  
                        23,167
               153
TURNER FUNDS SMALL CAP GROWTH FUND INV CL
  
                          5,152
            1,239
TURNER SPECTRUM FUND INVESTOR CL
  
                        13,368
            2,067
TWEEDY BROWNE FUND INC GLOBAL VALUE FUND
  
                        48,045
               975
U S GLOBAL INVESTORS EASTERN EUROPEAN FUND
  
                          9,008
           11,194
U S GLOBAL INVESTORS GOLD AND PRECIOUS METALS FUND
  
                      131,871
            1,497
UNIFIED SER TR APPLESEED FD
  
                        19,168
           12,219
UNIFIED SER TR SOUND MIND INVESTING FD
  
                      137,590
            2,097
US GLOBAL INVESTORS CHINA REGION FUND
  
                        15,960
            1,005
US GLOBAL INVESTORS GLOBAL EMERGING MARKETS FUND
  
                          7,355
           20,356
US GLOBAL INVESTORS GLOBAL RESOURCES FUND
  
                      199,285
            6,171
US GLOBAL INVESTORS WORLD PRECIOUS MINERALS FUND
  
                        72,195
               137
VALUE LINE ASSET ALLOCATION FUND INC
  
                          3,156
               637
VALUE LINE INCOME FUND INC
  
                          5,522
               485
VALUE LINE PREMIER GROWTH FD INC
  
                        13,980
 
 
 
46
 
               714
VALUE LINE US GOVERNMENT SECURITIES FUND INC
  
                          8,492
            3,076
VAN ECK EMERGING MARKETS CLASS C
  
                        37,255
                 83
VAN ECK FDS GLOBAL HARD CL A
  
                          3,638
               902
VAN ECK FDS INTL INVS FD A
  
                        15,157
               238
VAN ECK FDS INTL INVS GD C
  
                          3,673
            1,174
VANGUARD 500 INDEX FUND INVESTOR SHARES
  
                      154,231
               372
VANGUARD BD INDEX FDS MID CAP GRWTH INDEX FD ADMIRAL
  
                        10,994
               360
VANGUARD BD INDEX FDS MID CAP VALUE INDEX FD ADMIRAL
  
                        10,955
            1,300
VANGUARD BD INDEX FDS SMALL CAP VALUE IDX FD ADMIRAL
  
                        40,550
            7,285
VANGUARD BOND INDEX FUND INC INTERMEDIATE TERM PORTFOLIO FD
                        87,125
           13,454
VANGUARD BOND INDEX FUND INC SHORT TERM PORTFOLIO
  
                      143,015
           15,124
VANGUARD BOND INDEX FUND INC TOTAL BOND MARKET PORTFOLIO
  
                      167,720
            2,642
VANGUARD CHESTER FDS TARGET RETIREMENT 2015 FD
  
                        35,349
           18,396
VANGUARD CHESTER FDS TARGET RETIREMENT 2025 FD
  
                      250,000
            2,628
VANGUARD CONVERTIBLE SECURITIES FUND-SBI
  
                        33,267
            8,311
VANGUARD DIVIDEND GROWTH FUND
  
                      138,303
            2,348
VANGUARD EMERGING MARKETS STOCK INDEX FUND
  
                        65,773
           20,887
VANGUARD FIXED INC SECS FD INC SHORT TERM INVT GRADE FUND
  
                      226,209
            6,200
VANGUARD FIXED INCOME SECS FD INC-HIGH YIELD CORP PORTFOL
  
                        37,881
            2,473
VANGUARD FIXED INCOME SECS FD INC-LONG TERM U S TREASURY PORTFOLIO
                        32,317
           21,098
VANGUARD FIXED INCOME SECS INTER TERM INVT GRADE INV CL
  
                      217,728
               775
VANGUARD FIXED INCOME SECS INVT GRADE BD PORTFOLIO
  
                          8,407
           34,905
VANGUARD GNMA FUND
  
                      380,815
               887
VANGUARD HORIZON FD INC GLOBAL EQUITY PORTFOLIO
  
                        16,569
               905
VANGUARD INDEX FD MID CAP INDEX FD SIGNAL SHS
  
                        29,124
            2,583
VANGUARD INDEX FDS VALUE INDEX FD SIGNAL SHS
  
                        61,634
               480
VANGUARD INDEX TR MID CAP GROWTH INDEX INV SHS
  
                        12,957
           42,997
VANGUARD INDEX TRUST MID CAPITALIZATION STK PORT
  
                      966,151
            2,449
VANGUARD INDEX TRUST SMALL CAPITLZATION GROWTH
  
                        61,308
            2,219
VANGUARD INDEX TRUST SMALL CAPITLZATION VALUE STK
  
                        38,608
            5,660
VANGUARD INDEX TRUST TOTAL STOCK MARKET PORTFOLIO
  
                      201,710
            3,616
VANGUARD INDEX TRUST-SMALL CAPITALIZATION STOCK FUND
  
                      140,093
           21,339
VANGUARD INFL-PROTECTED SECS
  
                      310,050
               364
VANGUARD INTERNATIONAL GROWTH PORTFOLIO
  
                          7,009
               278
VANGUARD INTERNATIONAL VALUE PORTFOLIO
  
                          8,664
               936
VANGUARD INTL EQTY INDX FDS GBL EX-US REAL ESTATE IDX INV
  
                        20,345
               446
VANGUARD INTL EQUITY INDEX FUND INC-EUROPEAN PORTFOLIO
  
                        11,590
            1,119
VANGUARD INTL EQUITY INDEX FUND INC-PACIFIC PORTFOLIO
  
                        11,343
            5,750
VANGUARD LARGE CAP INDEX FD
  
                      151,345
           65,165
VANGUARD OHIO TAX FREE FUND MONEY MARKET PORTFOLIO
  
                        65,165
               966
VANGUARD SPECIALIZED PORT ENERGY FD ADMIRAL CLASS
  
                      107,400
            1,268
VANGUARD SPECIALIZED PORTFOLIOS METALS & MINING FD
  
                        20,222
            4,004
VANGUARD SPECIALIZED PORTFOLIOS-ENERGY PORTFOLIO
  
                      237,088
               987
VANGUARD SPECIALIZED PORTFOLIOS-HEALTH CARE
  
                      141,410
            5,726
VANGUARD SPECIALIZED PORTFOLIOS-REIT INDEX PORTFOL
  
                      125,107
               584
VANGUARD SPECIALIZED PTFL DIV APPR IDX FD INVESTOR CL
  
                        13,900
                 60
VANGUARD STAR FUND STAR PORTFOLIO
  
                          1,239
            2,905
VANGUARD TOTAL INTL STOCK INDEX FUND
  
                        43,518
            6,672
VANGUARD WELLESLEY INCOME FUND INC
  
                      160,852
            3,194
VANGUARD WELLINGTON FD INC
  
                      108,069
            7,752
VANGUARD WHITEHALL FDS HIGH DIVIDEND YIELD INV SHS
  
                      151,476
            1,342
VANGUARD WINDSOR FUND INC VANGUARD WINDSOR II PORTFOLIO
  
                        39,439
               909
VIRTUS FOREIGN OPPORTUNITIES FUND CLASS A
  
                        23,727
               791
WALTHAUSEN FDS SMALL CAP VALUE FD
  
                        14,975
               700
WASATCH ADVISORS FUNDS INC CORE GROWTH FUND
  
                        30,170
               255
WASATCH ADVISORS FUNDS INC HOISINGTON U S TREASURY FUND
  
                          4,601
               468
WASATCH ADVISORS FUNDS INC SMALL CAP GROWTH FUND
  
                        19,326
                 91
WASATCH ADVISORS FUNDS INC ULTRA GROWTH FUND
  
                          1,798
            6,828
WASATCH FDS INC 1ST SOURCE INCOME FD
  
                        70,938
           40,486
WASATCH FDS INC EMERGING MKTS SMALL CAP FD
  
                      113,766
            2,509
WASATCH FDS INC INTL GROWTH FD
  
                        59,098
            5,857
WASATCH FDS INC LARGE CAP VALUE FUND
  
                        83,348
            3,815
WASATCH FDS INC LONG/SHORT FD
  
                        53,148
            1,476
WASATCH WORLD INNOVATORS FD
  
                        27,340
               765
WEITZ FDS HICKORY FD
  
                        35,095
 
 
 
47
 
            2,309
WEITZ FDS SHORT INTERMEDIATE INCOME FD
  
                        29,088
            3,302
WEITZ PARTNERS III OPPORTUNITY FD
  
                        41,608
               671
WELLS FARGO ADVANTAGE ASIA PACIFIC FUND INV CL
  
                          6,979
               978
WELLS FARGO ADVANTAGE FDS EMERGING MRKTS EQUITY FD CL C
  
                        18,087
               403
WELLS FARGO ADVANTAGE FDS INTRNSIC WORLD EQI FD ADMIN CL
  
                          7,417
                 38
WELLS FARGO ADVANTAGE FDS PRECIOUS METALS FD CL A
  
                          2,452
            2,075
WELLS FARGO ADVANTAGE FDS ULTR SHT TRM MUN INC FD INV CL
  
                        10,021
           34,789
WELLS FARGO ADVANTAGE GROWTH FUND ADMIN CL
  
                   1,456,265
            2,167
WELLS FARGO ADVANTAGE GROWTH FUND INV CL
  
                        86,160
               151
WELLS FARGO SHORT TERM HIGH YIELD BD FD CL A
  
                          1,249
            3,920
WELLS FARGO SHORT TERM HIGH YIELD BOND FUND INV CL
  
                        32,537
            2,145
WESTCORE INTERNATIONAL SMALL-CAP FUND
  
                        38,490
           14,678
WESTCORE PLUS BOND FUND INSTL SHS
  
                      164,978
               954
WESTCORE TR SELECT FD
  
                        15,836
               602
WESTCORE TRUST FLEXIBLE INCOME FUND
  
                          5,386
            3,380
WESTERN ASSET CORE PLUS BOND FD CLASS I
  
                        39,441
            2,543
WESTPORT FUND-CL R
  
                        66,351
            1,148
WILLIAM BLAIR SMALL CAP VALUE FUND CL N
  
                        15,675
            2,199
WINTERGREEN FD INC
  
                        33,202
               184
WORLD FDS INC NEW REMS REAL STATE VALUE OPPTY FD PLATFORM
  
                          2,597
               401
WORLD FUNDS INC NEW TOREADOR INTL FD CL A
  
                          5,554
 
Total Registered Investment Companies
$
               109,253,314
       
 
Notes Receivable From Participants (interest rate ranging from 4.25% through 10.5% maturing through October 2027)
$
                 79,060,932
       
 
Net Assets Pending Settlement
$
                    (414,689)
       
 
TOTAL NET ASSETS
$
            3,330,391,964

 
 
 
48
 
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN 
SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN YEAR)

   
Number of
    
Assets Acquired and Disposed
  
Shares/Units
  
Fair Value
             
American Electric Power Company, Inc. Common Stock $6.50 par value (a)
            
    Acquired
  
 724,398 
Shares
  
$
29,434,815
    Disposed
  
  1,006,757 
Shares
    
41,808,958

 
 (a) Transactions are recorded on the trade date.

 
49
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN 
FORM 5500 SCHEDULE H, PART IV, LINE 4j – SCHEDULE OF REPORTABLE TRANSACTIONS
FOR THE YEAR ENDED DECEMBER 31, 2012


     
Purchases
  
Sales
 
Transaction Count
  
Price(a)
  
Proceeds(a)
  
Costs
  
Gain (Loss)
Single Reportable Transactions
                          
JPMORGAN US TREAS PLUS MMKT FUND INST SHARES
    
$
760,020,845 
   $
- 
   $
- 
  
$
- 
JPMORGAN US TREAS PLUS MMKT FUND INST SHARES
      
- 
    
756,436,421 
    
756,436,421 
    
- 
PRUDENTIAL 63077 RATE 1.45
      
223,000,000 
    
- 
    
- 
    
- 
ING 60378 RATE 1.55
      
264,000,000 
    
- 
    
- 
    
- 
                           
                           
Series of Reportable Transactions
                          
JPMORGAN US TREAS PLUS MMKT FUND INST SHARES
220
  
$
1,063,380,565 
   $
- 
   $
- 
  
$
- 
JPMORGAN US TREAS PLUS MMKT FUND INST SHARES
195
    
- 
    
953,920,586 
    
953,920,586 
    
- 
PRUDENTIAL 63077 RATE 1.45
9
    
224,437,863 
    
- 
    
- 
    
- 
ING 60378 RATE 1.55
19
    
265,852,717 
    
- 
    
- 
    
- 
ING 60378 RATE 1.55
7
    
- 
    
35,001,064 
    
35,001,064 
    
- 
                           

 
50
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
SCHEDULE OF 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 the aforementioned loan of approximately $32,500, resulted in the loan not being made in accordance with the specific provisions of the Plan and therefore did not fall within the exemption set forth in ERISA Section 408(b)(1).  By December 31, 2012 the Company completed the steps to remediate the prohibited transaction as relates to the participant, but had not completed the steps to fully remediate the prohibited transaction as relates to the interested government agencies.

 
51
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
EXHIBIT INDEX

Exhibit Number
  
Description
  
     
23
  
Consent of Independent Registered Public Accounting Firm
     

 
 
52