Form 11-K
Table of Contents

 

 

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 fiscal year ended December 31, 2011

OR

 

  ¨

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

Commission file number 000-12477

AMGEN RETIREMENT AND SAVINGS PLAN

(Full title of the plan)

AMGEN INC.

(Name of issuer of the securities held)

 

One Amgen Center Drive,   91320-1799
Thousand Oaks, California   (Zip Code)
(Address of principal executive offices)  

 

 

 


Table of Contents

Amgen Retirement and Savings Plan

Audited Financial Statements

and Supplemental Schedules

Years Ended December 31, 2011 and 2010

Contents

 

Report of Independent Registered Public Accounting Firm

     1   

Audited Financial Statements:

  

Statements of Net Assets Available for Benefits at December 31, 2011 and 2010

     2   

Statements of Changes in Net Assets Available for Benefits for the years ended December  31, 2011 and 2010

     3   

Notes to Financial Statements

     4   

Supplemental Schedules:

  

Schedule of Assets (Held at End of Year)

     19   

Schedule of Assets (Acquired and Disposed of Within Year)

     40   

Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible

     41   

Schedule of Delinquent Participant Contributions

     42   

Signatures

     43   

Exhibits

     44   


Table of Contents

Report of Independent Registered Public Accounting Firm

Amgen Inc., as Named Fiduciary, and the Plan Participants of the

Amgen Retirement and Savings Plan

We have audited the accompanying statements of net assets available for benefits of the Amgen Retirement and Savings Plan (the Plan) as of December 31, 2011 and 2010, 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 the 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. We were not engaged to perform an audit of the Plan’s 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan at December 31, 2011 and 2010, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.

Our audits were performed for the purpose of forming an opinion on the financial statements taken as a whole. The accompanying supplemental schedules of assets (held at end of year) and loans or fixed income obligations in default or classified as uncollectible as of December 31, 2011, and assets (acquired and disposed of within year) and delinquent participant contributions for the year then ended, are presented for purposes of additional analysis and are not a required part of the 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. Such information is the responsibility of the Plan’s management. The information has been subjected to the auditing procedures applied in our audits of the financial statements and, in our opinion, is fairly stated in all material respects in relation to the financial statements taken as a whole.

/s/ ERNST & YOUNG LLP

Los Angeles, California

June 14, 2012

 

1


Table of Contents

Amgen Retirement and Savings Plan

Statements of Net Assets Available for Benefits

 

     December 31  
     2011     2010  

Assets

    

Investments at fair value

   $ 2,565,375,263      $ 2,467,408,893   

Notes receivable from participants

     41,582,977        39,056,821   

Other, including due from broker

     15,455,227        5,286,145   
  

 

 

   

 

 

 

Total assets

     2,622,413,467        2,511,751,859   

Liabilities

    

Other, including due to broker

     3,654,915        4,339,311   
  

 

 

   

 

 

 

Total liabilities

     3,654,915        4,339,311   
  

 

 

   

 

 

 

Net assets reflecting investments at fair value

     2,618,758,552        2,507,412,548   

Adjustment from fair value to contract value for interests in fully benefit-responsive investment contracts

     (9,442,892     (7,435,631
  

 

 

   

 

 

 

Net assets available for benefits

   $ 2,609,315,660      $ 2,499,976,917   
  

 

 

   

 

 

 

See accompanying notes.

 

2


Table of Contents

Amgen Retirement and Savings Plan

Statements of Changes in Net Assets Available for Benefits

 

     Year Ended December 31  
     2011     2010  

Additions to (deductions from) net assets:

    

Employer contributions

   $ 163,543,169      $ 149,724,435   

Participant contributions

     129,944,790        128,595,814   

Rollover contributions

     7,685,837        7,411,490   

Interest and dividend income

     32,884,344        24,808,560   

Net realized/unrealized gains (losses)

     (72,286,657     286,459,798   

Interest income on notes receivable from participants

     1,904,717        1,935,517   

Benefits paid

     (148,072,323     (109,468,243

Investment and administrative fees

     (6,265,134     (5,587,820
  

 

 

   

 

 

 

Net increase

     109,338,743        483,879,551   

Net assets available for benefits at beginning of year

     2,499,976,917        2,016,097,366   
  

 

 

   

 

 

 

Net assets available for benefits at end of year

   $ 2,609,315,660      $ 2,499,976,917   
  

 

 

   

 

 

 

See accompanying notes.

 

3


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements

December 31, 2011

 

1. Description of the Plan

The following description of the Amgen Retirement and Savings Plan (the Plan) provides only general information. Participants should refer to the Plan document for a more complete description of the Plan’s provisions.

General

The Plan was established effective April 1, 1985 and was most recently amended and restated effective January 1, 2012 and subsequently amended, with the most recent amendment adopted on April 2, 2012. The Plan is a defined contribution plan covering substantially all domestic employees of Amgen Inc. (the Company or Amgen) and participating subsidiaries. The Plan, as amended, is intended to qualify under sections 401(a) and 401(k) of the Internal Revenue Code of 1986 (the Code) (see Note 5, Income Tax Status) and section 407(d)(3)(A) of the Employee Retirement Income Security Act of 1974 (ERISA).

Contributions

Subject to certain limitations (as defined in the Plan), participants may elect to contribute up to 30% of their eligible compensation in pre-tax contributions, Roth contributions (in accordance with the Code), after-tax contributions or a combination of these types of contributions. A participant’s combined pre-tax contributions and Roth contributions (exclusive of catch-up contributions discussed below) are subject to Internal Revenue Service (IRS) and Plan limits and could not exceed a maximum of $16,500 in 2011 and 2010. Participant after-tax contributions are subject to IRS and Plan limitations and could not exceed a maximum of $8,000 in 2011 and 2010. Unless an employee has voluntarily enrolled in the Plan or has declined to participate in the Plan within the first 30 days of employment, all newly eligible participants are automatically enrolled in the Plan and contributions equal to 5% of their eligible compensation are withheld and contributed to the Plan as pre-tax contributions; such contributions are automatically increased by 1% per year until their contributions reach 10% of their eligible compensation. Participants may elect to adjust, cease or resume their contributions at any time.

Participants who are at least age 50 by the close of the Plan year may also elect to make certain additional contributions, referred to as catch-up contributions, that are subject to IRS and Plan limitations and could not exceed $5,500 in 2011 and 2010. Catch-up contributions may be made as pre-tax contributions, Roth contributions or a combination of these types of contributions. Participants may also contribute pre-tax, Roth and after-tax amounts representing distributions from certain other retirement plans qualified in the United States or certain individual retirement accounts (IRAs), referred to as rollover contributions (as defined in the Plan).

 

4


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

1. Description of the Plan (continued)

 

Contributions (continued)

 

Each pay period, the Company makes a non-elective contribution for all eligible participants, whether or not they have elected to make contributions to the Plan, equal to 5% of each participant’s eligible compensation (Core Contributions). In addition, the Company makes a contribution equal to amounts contributed by the participant as pre-tax contributions or Roth contributions, including such contributions designated as catch-up contributions, of up to 5% of eligible compensation (Matching Contributions).

Also, the Company can, in its discretion, make a special non-elective contribution on behalf of a participant who is in his or her initial year of employment with the Company and who could not make the maximum participant contribution permitted under the Plan because in the same Plan year he or she previously made pre-tax salary deferrals under a prior unrelated employer’s qualified plan.

Participants select the investments in which their contributions, including their Core Contributions and Matching Contributions (collectively, Company Contributions), are to be invested, electing among various alternatives, including Amgen Inc. common stock (Amgen stock). Participants may direct a maximum of 20% of contributions to be invested in Amgen stock. In addition, participants may transfer amounts among the investment options at any time, subject to certain limitations. Notwithstanding the foregoing, if 20% or more of the value of a participant’s Plan account is invested in Amgen stock, no transfers from other investment options can be made to invest in Amgen stock.

The accounts of participants who had never made an investment election are allocated to investments under a qualified default investment alternative which is intended to be compliant with ERISA regulations. At any time participants may elect to alter the investments in their accounts made under a qualified default investment alternative.

 

5


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

1. Description of the Plan (continued)

 

Vesting

Participants are immediately vested with respect to their contributions, Company Contributions, and earnings and losses (hereafter referred to as “earnings”) thereon.

Participant Accounts

Each participant’s account is credited with the participant’s contributions and an allocation of (a) Company Contributions and (b) earnings. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.

Plan Investments

Participants can invest in any of 14 different asset classes as well as Amgen stock or may actively manage their account under a self-directed brokerage arrangement in which a wider array of investment options are available. The value of an investment in an asset class is determined by its underlying investment vehicles which may include one or more of the following: mutual funds, collective trust funds and portfolios which are separately managed exclusively for the benefit of Plan participants and their beneficiaries (separately managed portfolios). The separately managed portfolios primarily invest in publicly traded common and preferred stocks, fixed income securities, and collective trust funds. The asset classes are designed to provide participants with choices among a variety of investment objectives.

Payments of Benefits

Subject to Plan limitations, upon termination of employment, including termination due to disability (as defined in the Plan) or retirement, participants may elect to receive an amount equal to the value of their account balance in (a) a single payment in cash, (b) a single distribution in full shares of Amgen stock (with any fractional shares paid in cash), (c) a single distribution paid in a combination of cash and full shares of Amgen stock, (d) cash installments, or (e) a rollover distribution to an eligible retirement plan. If a participant dies before receiving the value of his or her account balance, the participant’s beneficiary may elect to receive the distribution of remaining funds from among the alternatives described above, subject to certain Plan limitations.

 

6


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

1. Description of the Plan (continued)

 

Payments of Benefits (continued)

 

Subsequent to termination of employment, participants may also elect to maintain their vested account balance in the Plan, provided that their account balance is greater than $1,000.

Certain restrictions apply to withdrawals from the Plan while a participant continues to be employed by the Company.

Notes Receivable from Participants

Subject to certain restrictions, a participant can have up to two loans outstanding at any one time from his or her Plan account with a combined maximum loan amount which may not exceed the lesser of (a) 50% of the participant’s account balance (exclusive of amounts related to Roth contributions and earnings thereon) or (b) $50,000 less certain adjustments, as applicable (as defined in the Plan). A participant’s loan is secured by his or her Plan account balance. Loans made prior to July 1, 2003 bear interest at fixed rates based on the average borrowing rates of certain major banks. Loans made on or after July 1, 2003 bear interest at fixed rates based on the prime rate plus one percentage point as published in The Wall Street Journal determined as of the last day of the calendar quarter preceding origination or such other rate as may be required by law. Loans are generally payable in installments over periods of up to five years, unless the loan is used to acquire a principal residence for which the term of the loan may be up to 20 years. Principal and interest payments are allocated to the participant’s account.

Plan Termination

Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA. Upon termination, participants would receive distributions of their account balances.

Trustee

Effective, July 1, 2010, Bank of America, N.A. and Northern Trust Company, N.A. are the Plan’s co-trustees. Prior to July 1, 2010, Bank of America, N.A. was the trustee.

 

7


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

 

2. Summary of Significant Accounting Policies

Basis of Accounting

The accompanying financial statements are prepared on the accrual basis of accounting.

Fair Value Measurement

The investments of the Plan are reported at fair value. Fair value is generally defined as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date (see Note 3, Fair Value Measurements).

Investment Income and Losses

Dividend income is recognized on the ex-dividend date and interest income is recorded on an accrual basis. Unrealized gains and losses on investments are measured by the change in the difference between the fair value and cost of the securities held at the beginning of the year (or date purchased if acquired during the Plan year) and the end of the year. Realized gains and losses from security transactions are recorded based on the weighted-average cost of securities sold.

Fully Benefit-Responsive Investment Contracts

The Plan holds units of collective trust funds that have investments in fully benefit-responsive investment contracts. In addition, the Plan directly invests in such contracts in the form of security-backed contracts, discussed below. Such contracts held directly or indirectly by a defined contribution plan are required to be reported at fair value. However, contract value is the relevant measurement attribute for that portion of the net assets available for benefits of a defined contribution plan attributable to fully benefit-responsive investment contracts because contract value is the amount participants would receive if they were to initiate qualified transactions related to these investments. The Statements of Net Assets Available for Benefits present these contracts at fair value with an adjustment to contract value. The Statements of Changes in Net Assets Available for Benefits are prepared on a contract value basis.

As of December 31, 2011 and 2010, the Plan had two security-backed contracts which are fully benefit-responsive investment contracts, sometimes referred to as wrapper contracts. These contracts were issued by financial services companies and are backed by the Plan’s ownership interests in collective trust funds that invest in fixed income securities. With regard to wrapper contracts outstanding as of December 31, 2011, the credit ratings of one contract issuer are “AA-” with a stable outlook by Standard & Poor’s (S&P), “A1” with a stable outlook by

 

8


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

2. Summary of Significant Accounting Policies (continued)

 

Fully Benefit-Responsive Investment Contracts (continued)

 

Moody’s Investor Services, Inc. (Moody’s), and “aa-” with a stable outlook by A.M. Best Company (A.M. Best). The credit ratings of the other issuer are “A+” with a stable outlook by S&P, “A1” with a stable outlook by Moody’s, and “aa-” with a negative outlook by A.M. Best. The issuers of the Plan’s security-backed contracts credit the Plan with stated rates of interest, and the issuers guarantee that all qualified participant withdrawals related to the contracts will be at contract value, except as discussed below. The crediting rates provide for realized and unrealized gains and losses on the underlying assets to be amortized over the expected duration of the underlying investments through adjustments to the future interest crediting rates rather than being reflected immediately in the net assets of the Plan. The interest crediting rates of the security-backed contracts are primarily based on the current yield to maturity of the underlying investments plus or minus amortization of the difference between the contract value and fair value of the underlying investments over the duration of such investments. Accordingly, future crediting rates are impacted by changes in the yield to maturity of underlying investments, the duration of the assets underlying the contract and the difference between the contract value and fair value of the underlying investments. The crediting rates are reset quarterly and are reduced by fees paid to the contract issuers. In no event are the crediting rates less than 0%.

To the extent that the underlying investments of security-backed contracts have unrealized and/or realized losses, a positive adjustment is made to the adjustment from fair value to contract value in the Statements of Net Assets Available for Benefits. As a result, the future crediting rate may be lower over time than the then-current market rates. Conversely, if the underlying investments generate unrealized and/or realized gains, a negative adjustment is made to the adjustment from fair value to contract value, and the future crediting rate may be higher over time than the then-current market rates.

The security-backed contracts provide for withdrawals at other than contract value associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are made at contract value modified by a market value adjustment as defined in the contract. Circumstances which may trigger a market value adjustment are generally defined as any event which, in the reasonable determination of the issuer, has or will have a material adverse effect on the issuer’s interest under the contract. Such events may include, but are not limited to: (i) material amendments to the Plan’s structure or administration; (ii) changes in or the creation of competing investment options; (iii) complete or partial termination of the Plan; (iv) removal of a specifically identifiable group of employees from coverage under the Plan; (v) a change in law, regulation, ruling, administrative position, or accounting standard applicable to the Plan; or (vi) communication to Plan participants designed to influence a participant not to invest in the asset class that contains these contracts. The Company does not believe that the occurrence of any such event, which would limit the Plan’s ability to transact at contract value with participants, is probable.

 

9


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

2. Summary of Significant Accounting Policies (continued)

 

Fully Benefit-Responsive Investment Contracts (continued)

 

These security-backed contracts are evergreen contracts with no maturity dates but do contain termination provisions. The issuer is obligated to pay the excess contract value when the fair value of the underlying investments equals zero. In addition, if the Plan defaults in its obligations under the security-backed contract and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value of the underlying investments as of the date of termination.

The yields earned by the Plan as of December 31, 2011 and 2010 were 1.7% and 2.2%, respectively, which represents the annualized earnings of all security-backed contracts divided by the fair value of all security-backed contracts in the Plan as of December 31, 2011 and 2010, respectively. The yield earned by the Plan with an adjustment to reflect the actual interest rate credited to participants was 3.5% as of December 31, 2011 and 2010, which represents the annualized earnings credited to participants divided by the fair value of all security-backed contracts as of December 31, 2011 and 2010, respectively.

Notes Receivable from Participants

Notes receivable from participants are carried at their unpaid balance plus accrued but unpaid interest, as applicable.

Due from/to Brokers

Purchases and sales of investments are recorded on a trade-date basis. Due from brokers and due to brokers arise from unsettled sale and purchase transactions as of December 31, 2011 and 2010.

Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

 

10


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

2. Summary of Significant Accounting Policies (continued)

 

Recent Accounting Pronouncements

In May 2011, a new accounting standard was issued that amends certain fair value measurement principles, clarifies the application of existing fair value measurement requirements and requires additional disclosures regarding fair value. This new standard is required to be applied prospectively beginning in 2012. The Company does not expect this new accounting standard to have a material effect on the Plan’s financial statements.

 

3. Fair Value Measurements

The Plan uses various valuation approaches in determining the fair value of investments within a hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the investment based on market data obtained from independent sources. Unobservable inputs are inputs that reflect assumptions about the inputs that market participants would use in pricing the investment and are developed based on the best information available in the circumstances. The fair value hierarchy is divided into three levels based on the source of inputs as follows:

Level 1 – Valuations based on unadjusted quoted prices in active markets for identical investments that the Plan has the ability to access;

Level 2 – Valuations for which all significant inputs are observable, either directly or indirectly, other than level 1 inputs;

Level 3 – Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The availability of observable inputs can vary among the various types of investments. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used for measuring fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level of input used that is significant to the overall fair value measurement.

 

11


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

3. Fair Value Measurements (continued)

 

The following fair value hierarchy table presents information about each major class/category of the Plan’s investments measured at fair value:

 

$XXX,XXX,XXX $XXX,XXX,XXX $XXX,XXX,XXX $XXX,XXX,XXX
     Fair value measurements at December 31, 2011 using  
     Quoted prices
in active
markets for
identical
assets
(Level 1)
     Significant
other
observable
inputs
(Level 2)
     Significant
unobservable
inputs
(Level 3)
     Total  

Amgen stock

   $ 149,661,871       $ -       $ -       $ 149,661,871   

Cash and cash equivalents

     27,633,435         -         -         27,633,435   

Common and preferred stocks:

           

Large cap growth

     257,227,790         -         -         257,227,790   

Large cap value

     102,403,491         -         -         102,403,491   

Small-mid cap growth

     40,131,480         -         -         40,131,480   

Small-mid cap value

     228,777,796         191,847         -         228,969,643   

Other

     87,684,790         -         -         87,684,790   

Debt securities:

           

U.S. Treasury securities

     38,694,429         -         -         38,694,429   

U.S. government agency securities

     -         73,208,766         -         73,208,766   

Corporate debt securities

     -         29,264,262         -         29,264,262   

Mortgage and asset backed securities

     -         19,488,781         -         19,488,781   

Mutual funds:

           

High yield debt

     55,053,733         -         -         55,053,733   

Inflation indexed debt

     37,528,268         -         -         37,528,268   

International growth

     81,546,244         -         -         81,546,244   

International value

     153,974,432         -         -         153,974,432   

Real estate investment trust index

     61,231,722         -         -         61,231,722   

Other

     27,126,159         -         -         27,126,159   

Collective trust funds:

           

Capital preservation

     -         265,279,555         -         265,279,555   

Emerging markets equity

     -         95,719,189         -         95,719,189   

Fixed income

     -         17,102,228         -         17,102,228   

Inflation indexed debt

     -         2,385,874         -         2,385,874   

International growth

     -         39,722,707         -         39,722,707   

International value

     -         11,691,206         -         11,691,206   

Large cap growth

     -         20,001,122         -         20,001,122   

Large cap index

     -         435,684,400         -         435,684,400   

Large cap value

     -         9,340,727         -         9,340,727   

Small-mid cap growth

     -         2,336,529         -         2,336,529   

Small-mid cap index

     -         135,575,001         -         135,575,001   

Small-mid cap value

     -         18,785,984         -         18,785,984   

Short term investments

     -         40,496,296         -         40,496,296   

Other

     3,650         421,499         -         425,149   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,348,679,290       $ 1,216,695,973       $ -       $ 2,565,375,263   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

12


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

3. Fair Value Measurements (continued)

 

$XXX,XXX,XXX $XXX,XXX,XXX $XXX,XXX,XXX $XXX,XXX,XXX
     Fair value measurements at December 31, 2010 using  
     Quoted prices
in active
markets for
identical
assets
(Level 1)
     Significant
other
observable
inputs
(Level 2)
     Significant
unobservable
inputs
(Level 3)
     Total  

Amgen stock

   $ 139,405,458       $ -       $ -       $ 139,405,458   

Cash and cash equivalents

     19,881,557         -         -         19,881,557   

Common and preferred stocks:

           

International growth

     93,977,228         -         -         93,977,228   

Large cap growth

     255,478,824         -         -         255,478,824   

Large cap value

     85,741,285         -         -         85,741,285   

Small-mid cap growth

     38,249,402         -         -         38,249,402   

Small-mid cap value

     230,338,562         -         -         230,338,562   

Other

     70,224,981         -         -         70,224,981   

Debt securities:

           

U.S. Treasury securities

     44,550,895         -         -         44,550,895   

U.S. government agency securities

     -         62,179,392         -         62,179,392   

Corporate debt securities

     -         23,154,441         -         23,154,441   

Mortgage and asset backed securities

     -         16,770,352         -         16,770,352   

Mutual funds:

           

High yield debt

     55,894,767         -         -         55,894,767   

Inflation indexed debt

     28,201,779         -         -         28,201,779   

International value

     185,682,583         -         -         185,682,583   

Real estate investment trust index

     51,673,083         -         -         51,673,083   

Other

     23,687,490         -         -         23,687,490   

Collective trust funds:

           

Capital preservation

     -         226,216,729         -         226,216,729   

Emerging markets equity

     -         116,948,981         -         116,948,981   

Fixed income

     -         16,014,540         -         16,014,540   

Inflation indexed debt

     -         1,995,480         -         1,995,480   

International

     -         16,048,576         -         16,048,576   

Large cap growth

     -         22,395,947         -         22,395,947   

Large cap index

     -         423,896,749         -         423,896,749   

Large cap value

     -         6,184,215         -         6,184,215   

Small-mid cap growth

     -         2,463,833         -         2,463,833   

Small-mid cap index

     -         142,016,186         -         142,016,186   

Small-mid cap value

     -         19,473,575         -         19,473,575   

Short term investments

     -         47,835,124         -         47,835,124   

Other

     6,445         820,434         -         826,879   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,322,994,339       $ 1,144,414,554       $ -       $ 2,467,408,893   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

13


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

3. Fair Value Measurements (continued)

 

The fair value of common stocks (including Amgen stock), preferred stocks, mutual funds and U.S. treasury securities are valued using quoted market prices in active markets with no valuation adjustment.

Debt securities other than U.S. treasury securities are valued taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads, benchmark securities and, when applicable, prepayment/default projections based on historical data and other observable inputs.

Collective trust funds represent interests in pooled investment vehicles designed typically for collective investment of employee benefit trusts. The fair values of these investments are determined by reference to the net asset value per unit provided by the fund managers. The unit values are based on the fair values of the trusts’ underlying assets, which are principally equity and fixed income securities and short-term investments. The investment strategies of the Plan’s collective trust funds vary generally based on the investment objectives of the asset class of which they are a part. Such investment strategies include investments in fixed income securities and investments in equity securities in domestic and international markets for growth and value objectives as well as to replicate market indexes and to invest in emerging markets. The only redemption restriction with respect to these investments is on the Wells Fargo Stable Return Fund G (fair value of $130,388,270 at December 31, 2011) which requires a one year notice to be given in the event of complete liquidation.

 

14


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

4. Investments

The fair values of individual investments that represent 5% or more of the Plan’s net assets as of December 31, 2011 and 2010 are as follows:

 

     December 31  
     2011      2010  

Blackrock Equity Index Fund F – Collective trust fund

   $ 412,424,033       $ 399,130,479   

Dodge & Cox International Fund – Mutual fund

     153,974,432         185,682,583   

Amgen stock

     149,661,871         139,405,458   

Blackrock Extended Equity Market Fund F – Collective trust fund

     *         136,228,720   

Wells Fargo Fixed Income Fund D – Collective trust fund

     *         125,160,486   

 

* Investment balance was less than 5% of the Plan’s net assets.

During the years ended December 31, 2011 and 2010, net realized and unrealized gains/(losses) on the Plan’s investments were as follows:

 

     Year Ended December 31  
     2011     2010  

Amgen stock

   $ 22,543,979      $ (4,197,153

Common and preferred stocks

     (26,213,933     125,807,749   

Debt securities

     4,250,759        4,194,190   

Mutual funds

     (51,339,348     37,801,688   

Collective trust funds

     (21,002,501     122,475,000   

Other

     (525,613     378,324   
  

 

 

   

 

 

 
   $ (72,286,657   $ 286,459,798   
  

 

 

   

 

 

 

 

15


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

5. Income Tax Status

The Plan received a determination letter from the IRS dated March 27, 2008, stating that the Plan is qualified, in form, under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Subsequent to this determination by the IRS, the Plan was amended. Subsequent amendments have been structured and are intended to maintain the Plan’s tax qualified status. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. The Company believes the Plan is currently being operated in compliance with the applicable requirements of the Code and, therefore, believes that the Plan is qualified and the related trust is tax exempt. The Company has indicated that it currently intends to continue to take the necessary steps to maintain the Plan’s compliance with the applicable requirements of the Code.

Accounting principles generally accepted in the United States require the Company to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination. As of December 31, 2011, no uncertain tax positions have been taken or are expected to be taken, and no amounts related to uncertain tax positions have been recorded in the Plan’s financial statements. The Plan is subject to audits by the IRS, however there are currently no audits for any periods in progress. The Company believes the Plan is no longer subject to IRS examinations with respect to annual reports for years prior to 2008.

 

6. Services Provided by the Company

During 2011 and 2010, the Company has paid trustee fees and certain other administrative costs on behalf of the Plan.

 

16


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

7. Reconciliation of Financial Statements to Form 5500

The reconciliation of net assets available for benefits per the financial statements to Form 5500 as of December 31, 2011 and 2010 consisted of the following:

 

     December 31  
     2011     2010  

Net assets available for benefits per the financial statements

   $ 2,609,315,660      $ 2,499,976,917   

Adjustment from fair value to contract value for fully benefit-responsive investment contracts

     9,442,892        7,435,631   

Amounts allocated to withdrawing participants

     (295,391     (66,864

Deemed loans

     (465,964     (318,875
  

 

 

   

 

 

 

Net assets per the Form 5500

   $ 2,617,997,197      $ 2,507,026,809   
  

 

 

   

 

 

 

For the year ended December 31, 2011, the following is a reconciliation of the net investment income per the financial statements to the Form 5500:

 

     Year Ended
December 31
2011
 

Interest and dividend income

   $ 32,884,344   

Net realized/unrealized losses

     (72,286,657
  

 

 

 

Total net investment loss per the financial statements

     (39,402,313

Adjustment from fair value to contract value for fully benefit-responsive investment contracts:

  

Less prior year adjustment

     (7,435,631

Add current year adjustment

     9,442,892   
  

 

 

 

Total net investment loss per the Form 5500

   $ (37,395,052
  

 

 

 

 

17


Table of Contents

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

 

 

7. Reconciliation of Financial Statements to Form 5500 (continued)

For the year ended December 31, 2011, the following is a reconciliation of distributions per the financial statements to the Form 5500:

 

     Year Ended
December 31
2011
 

Benefits paid

   $ 148,072,323   

Investment and administrative fees

     6,265,134   
  

 

 

 

Total distributions per the financial statements

     154,337,457   

Less prior year amounts allocated to withdrawing participants

     (66,864

Add current year amounts allocated to withdrawing participants

     295,391   

Less prior year deemed loan balance

     (318,875

Add current year deemed loan balance

     465,964   
  

 

 

 

Total distributions per the Form 5500

   $ 154,713,073   
  

 

 

 

 

18


Table of Contents

Supplemental Schedule

Amgen Retirement and Savings Plan

EIN: 95-3540776 Plan: #001

December 31, 2011

Schedule H, line 4i – Schedule of Assets (Held at End of Year)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value  

Amgen stock

   Employer Securities 2,330,819 shares       $ 149,661,871   

Capital Preservation Asset Class:

        

Wells Fargo Stable Return Fund G

   Common Collective Trust 2,593,606 units      130,388,270      

Wells Fargo Fixed Income Fund D

   Common Collective Trust 5,903,241 units      71,527,213      

Wells Fargo Fixed Income Fund B

   Common Collective Trust 3,109,832 units      63,364,072      

Northern Trust Global Investments Collective Daily Short Term Investment Fund*

   Common Collective Trust 16,992,002 units      16,992,002      

Monumental Life Insurance Company

   Wrapper Contract      52,500      
     

 

 

    

Total Capital Preservation Asset Class

           282,324,057   

Emerging Markets Equity Asset Class:

        

JP Morgan Emerging Markets Equity Focus Fund

   Common Collective Trust 5,942,839 units      90,390,588      

Northern Trust Global Investments Collective Daily MSCI Emerging Markets Fund – Non Lending*

   Common Collective Trust 40,230 units      5,328,601      
     

 

 

    

Total Emerging Markets Equity Asset Class

           95,719,189   

Fixed Income Asset Class:

        

Northern Trust Global Investments Collective Daily Aggregate Bond Index Fund – Non Lending*

   Common Collective Trust 140,482 units      17,102,228      

United States Treasury Notes 1.375% Due 3/15/2013

   Government Bonds 5,660,000 units      5,740,698      

United States Treasury Notes 3.125% Due 5/15/2019

   Government Bonds 4,290,000 units      4,810,161      

United States Treasury SEC Stripped Interest Payments Due 05/15/2020

   Government Bonds 5,057,000 units      4,359,208      

United States Treasury Bonds 8.875% Due 8/15/2017

   Government Bonds 2,025,000 units      2,898,437      

United States Treasury Notes 2.25% Due 1/31/2015

   Government Bonds 2,580,000 units      2,725,324      

United States Treasury Notes 1.375% Due 2/15/2013

   Government Bonds 2,400,000 units      2,431,966      

United States Treasury Notes 2.625% Due 12/31/2014

   Government Bonds 2,026,000 units      2,160,853      

United States Treasury Bonds Inflation Index 2.375% Due 1/15/2027

   Index Linked Government Bonds 1,230,000 units      1,783,769      

United States Treasury Bonds 4.375% Due 11/15/2039

   Government Bonds 1,176,000 units      1,526,777      

United States Treasury Notes 4.75% Due 8/15/2017

   Government Bonds 995,000 units      1,198,042      

United States Treasury Notes 1.375% Due 11/30/2018

   Government Bonds 1,170,000 units      1,174,022      

Northern Trust Global Investments Collective Daily Short Term Investment Fund*

   Common Collective Trust 1,080,406 units      1,080,406      

United States Treasury SEC Stripped Interest Payment Due 08/15/2020

   Government Bonds 1,250,000 units      1,069,090      

Fannie Mae Pool #466430 3.37% Due 11/01/2020

   Government Mortgage Backed Securities 1,000,000 units      1,052,941      

Fannie Mae Pool #735581 5% Due 6/01/2035

   Government Mortgage Backed Securities 970,946 units      1,050,022      

United States Treasury Bonds Inflation Index 2.5% Due 1/15/2029

   Index Linked Government Bonds 720,000 units      1,013,154      

Fannie Mae Capital 0% Due 10/09/2019

   Government Agency Bonds 1,210,000 units      930,327      

JP Morgan Chase Commercial Mortgage Securities Corporation Series 2005-LDP2 4.78% Due 7/15/2042

   Commercial Mortgage Backed Securities 890,000 units      921,222      

Federal National Mortgage Association 5.25% Due 8/1/2012

   Government Agency Bonds 840,000 units      863,231      

Fannie Mae 0% Due 06/01/2017

   Government Agency Bonds 880,000 units      810,265      

Fannie Mae 0% Due 7/05/2014

   Government Agency Bonds 800,000 units      783,025      

Fannie Mae 4.625% Due 5/1/2013

   Government Agency Bonds 730,000 units      768,985      

Ginnie Mae Pool #004903 6.5% Due 12/20/2040

   Government Mortgage Backed Securities 665,621 units      761,366      

Ginnie Mae 5.5% Due 6/20/2035

   Government Mortgage Backed Securities 650,000 units      757,622      

United States Treasury SEC Stripped Interest Payments Due 11/15/2029

   Government Bonds 1,230,000 units      736,919      

United States Treasury SEC Stripped Interest Payment Due 02/15/2027

   Government Bonds 1,000,000 units      661,349      

United States Treasury SEC Stripped Interest Payment Due 11/15/2027

   Government Bonds 1,000,000 units      642,721      

Fannie Mae Preassign 00015 5.9% Due 7/25/2042

   Government Mortgage Backed Securities 569,184 units      632,907      

Ginnie Mae 6% Due 11/16/2032

   Government Mortgage Backed Securities 517,000 units      604,925      

Fannie Mae 2006-114 5.5% Due 10/25/2035

   Government Mortgage Backed Securities 545,000 units      599,572      

United States Treasury 0% Due 2/15/2030

   Government Bonds 1,000,000 units      593,728      

Resolution FDG Corporation Federal Book Entry Principal Payment Due 07/15/2020

   Government Agency Bonds 700,000 units      583,468      

Fannie Mae Pool #333873 7% Due 11/01/2025

   Government Mortgage Backed Securities 501,872 units      577,241      

Federal Home Loan Mortgage Corporation Series 2072 6.5% Due 7/15/2028

   Government Mortgage Backed Securities 489,502 units      565,528      

Fannie Mae Remic Series 2008-75 4.5% Due 9/25/2023

   Government Mortgage Backed Securities 500,000 units      545,448      

United States Treasury Notes 3% Due 2/28/17

   Government Bonds 490,000 units      541,910      

AH Mortgage Servicer Advance Revolving Trust 2011-1 A2 3.37% Due 05/10/2013

   Asset Backed Securities 542,000 units      539,832      

National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020

   Government Mortgage Backed Securities 534,409 units      536,413      

Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018

   Government Mortgage Backed Securities 498,321 units      535,437      

Ginnie Mae Pool #738052 6% Due 07/20/2036

   Government Mortgage Backed Securities 447,600 units      507,690      

Federal Home Loan Mortgage Corporation Series 2113 6.5% Due 01/15/2029

   Government Mortgage Backed Securities 445,401 units      506,829      

Toyota Motor Credit Corporation 2% Due 09/15/2016

   Corporate Bonds 500,000 units      504,976      

Federal Home Loan Mortgage Corporation Pool #G0/6493 4.5% Due 05/01/2041

   Government Mortgage Backed Securities 475,971 units      504,647      

Ginnie Mae 2004-30 5.5% Due 2/20/2034

   Government Mortgage Backed Securities 440,000 units      502,468      

Federal Home Loan Mortgage Corporation Series 3895 4.5% Due 07/15/2041

   Government Mortgage Backed Securities 450,000 units      499,228      

Fannie Mae Pool #889649 6.5% Due 08/01/2037

   Government Mortgage Backed Securities 453,444 units      491,293      

Fannie Mae Pool #AD9151 5% Due 08/01/2040

   Government Mortgage Backed Securities 450,837 units      487,554      

United States Treasury Notes 3.625% Due 8/15/2019

   Government Bonds 420,000 units      486,445      

Wachovia Corporation 5.75% Due 2/01/2018

   Corporate Bonds 420,000 units      477,129      

Fannie Mae Pool #AD0329 6.5% Due 9/01/2028

   Government Mortgage Backed Securities 428,139 units      476,587      

AT&T Inc. 5.6% Due 5/15/2018

   Corporate Bonds 410,000 units      476,401      

Federal Home Loan Mortgage Corporation Series 2173 6.5% Due 7/15/2029

   Government Mortgage Backed Securities 411,887 units      475,858      

Fannie Mae Pool 6.0% Due 7/1/2037

   Government Mortgage Backed Securities 428,336 units      475,200      

 

19


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

United States Treasury Bonds 8.125% Due 02/15/2021

   Government Bonds 300,000 units      466,781      

Federal Home Loan Mortgage Corporation Preassign 00162 5.5% Due 9/15/2033

   Government Mortgage Backed Securities 440,000 units      466,532      

Fannie Mae 6% Due 07/25/2037

   Government Mortgage Backed Securities 400,000 units      462,449      

Federal Home Loan Mortgage Corporation Series 3855 6.5% Due 11/15/2036

   Government Mortgage Backed Securities 405,072 units      460,390      

Federal Home Loan Mortgage Corporation Series 3211 6% Due 12/15/2035

   Government Mortgage Backed Securities 410,000 units      459,263      

Federal Home Loan Mortgage Corporation Series 2461 6.5% Due 6/15/2032

   Government Mortgage Backed Securities 395,128 units      447,263      

Fannie Mae 3.726% Due 06/25/2021

   Government Mortgage Backed Securities 410,000 units      444,992      

Federal Home Loan Mortgage Corporation Series 2989 5% Due 06/15/2025

   Government Mortgage Backed Securities 410,000 units      443,342      

General Electric Capital Corporation 2.25% Due 11/19/2015

   Corporate Bonds 439,000 units      440,963      

LB-UBS Commercial Mortgage Trust 4.954% Due 9/15/2030

   Commercial Mortgage Backed Securities 400,000 units      436,657      

Federal Home Loan Mortgage Corporation Pool 5.5% Due 1/1/2038

   Government Mortgage Backed Securities 401,866 units      436,604      

Fannie Mae Pool #467025 3.38% Due 01/01/2018

   Government Mortgage Backed Securities 410,000 units      435,827      

Anadarko Petroleum Corporation 6.45% Due 9/15/2036

   Corporate Bonds 380,000 units      433,238      

Ginnie Mae Pool #738058 6% Due 05/20/2036

   Government Mortgage Backed Securities 380,592 units      431,687      

Federal Home Loan Mortgage Corporation Series 2901 4.5% Due 12/15/2019

   Government Mortgage Backed Securities 380,000 units      429,494      

Fannie Mae Remic Trust 2009-108 5% Due 9/25/2039

   Government Mortgage Backed Securities 389,195 units      427,886      

Fannie Mae Pool #465973 3.59% Due 10/01/2020

   Government Mortgage Backed Securities 400,000 units      426,530      

Federal Home Loan Mortgage Corporation Series 3819 6% Due 04/15/2036

   Government Mortgage Backed Securities 355,610 units      426,273      

Ginnie Mae 2010-026 Remic 5% Due 02/20/2021

   Government Mortgage Backed Securities 369,169 units      423,412      

Federal Home Loan Mortgage Corporation Series 3181 6.5% Due 7/15/2036

   Government Mortgage Backed Securities 355,169 units      420,950      

Fannie Mae Remic Trust 2010-9 4.5% Due 10/25/2039

   Government Mortgage Backed Securities 385,000 units      415,552      

Federal Home Loan Mortgage Corporation Series 3406 6% Due 1/15/2038

   Government Mortgage Backed Securities 370,000 units      412,781      

Fannie Mae Pool #467059 3.81% Due 01/01/2019

   Government Mortgage Backed Securities 380,136 units      411,027      

Fannie Mae Preassign 00611 5.5% Due 4/25/2033

   Government Mortgage Backed Securities 355,590 units      410,922      

Fannie Mae Pool #995149 6.5% Due 10/01/2038

   Government Mortgage Backed Securities 358,483 units      402,634      

Fannie Mae Remic 6% Due 4/25/2037

   Government Mortgage Backed Securities 353,606 units      394,658      

AmeriCredit .83999997377% Due 11/10/2014

   Asset Backed Securities 393,000 units      392,405      

Fannie Mae 2010-19 5% Due 2/25/2021

   Government Mortgage Backed Securities 347,081 units      392,038      

Federal Home Loan Mortgage Corporation Pool 5.5% Due 11/1/2037

   Government Mortgage Backed Securities 360,260 units      391,796      

Federal Home Loan Mortgage Corporation Preassign 00130 6.5% Due 2/25/2043

   Government Mortgage Backed Securities 351,926 units      391,747      

Ginnie Mae Pool #711068 5% Due 1/15/2040

   Government Mortgage Backed Securities 350,723 units      391,111      

JP Morgan Mortgage Trust Series 2004-A3 Due 07/25/2034

   Collateralized Mortgage Obligations 430,000 units      390,015      

Federal Home Loan Mortgage Corporation 6.15% Due 4/15/2028

   Government Mortgage Backed Securities 337,255 units      385,790      

Chase Mortgage Financial Trust Series 2007-A1 Pass-Through 2.753% Due 02/25/2037

   Collateralized Mortgage Obligations 409,320 units      383,213      

Ginnie Mae 5.5% Due 11/20/2033

   Government Mortgage Backed Securities 325,000 units      377,057      

Ginnie Mae Pool #711067 5% Due 1/15/2040

   Government Mortgage Backed Securities 337,092 units      375,906      

Fannie Mae 2011-M2 3.645% Due 07/25/2021

   Government Mortgage Backed Securities 355,000 units      375,430      

Goldman Sachs Group Inc. 5.375% Due 3/15/2020

   Corporate Bonds 380,000 units      375,069      

Fannie Mae Pool #468564 4.06% Due 07/01/2021

   Government Mortgage Backed Securities 340,000 units      371,836      

Fannie Mae Series 2004-W12 6% Due 7/25/2044

   Government Mortgage Backed Securities 332,816 units      370,178      

Banc America Mortgage Securities Inc. Series 2003-3 5.5% Due 5/25/2033*

   Collateralized Mortgage Obligations 360,000 units      368,199      

Fannie Mae Pool #256601 6% Due 2/01/2027

   Government Mortgage Backed Securities 333,953 units      368,195      

Fannie Mae Pool #735070 6.5% Due 10/01/2024

   Government Mortgage Backed Securities 329,980 units      367,321      

Fannie Mae Remic Series 2004-68 5% Due 9/25/2029

   Government Mortgage Backed Securities 330,000 units      366,867      

Fannie Mae Remic Trust 2005-118 6% Due 01/25/2032

   Government Mortgage Backed Securities 350,000 units      365,686      

JP Morgan Chase Commercial Mortgage Securities Trust 2006-A4 Due 05/12/2045

   Commercial Mortgage Backed Securities 330,000 units      362,212      

Federal Home Loan Mortgage Corporation Pool #A57681 6% Due 12/01/2036

   Government Mortgage Backed Securities 328,515 units      361,943      

Fannie Mae Series 2010-111 Class AE 5.5% Due 4/25/2038

   Government Mortgage Backed Securities 342,462 units      361,773      

Fannie Mae Pool #256556 6% Due 1/01/2027

   Government Mortgage Backed Securities 323,081 units      356,208      

Fannie Mae Preassign 00166 6.5% Due 8/25/2036

   Government Mortgage Backed Securities 313,199 units      355,561      

Federal Home Loan Mortgage Corporation 6% Due 7/15/2037

   Government Mortgage Backed Securities 300,000 units      351,308      

Banc America Mortgage Trust 2006 5 5.41% Due 9/10/2047*

   Commercial Mortgage Backed Securities 325,000 units      351,185      

Ginnie Mae Pool #005072 6.5% Due 10/20/2039

   Government Mortgage Backed Securities 304,380 units      347,878      

Federal Home Loan Mortgage Corporation Pool #G12728 6% Due 7/01/2022

   Government Mortgage Backed Securities 318,489 units      346,793      

Federal Home Loan Mortgage Corporation Series 3653 5% Due 04/15/2040

   Government Mortgage Backed Securities 312,639 units      345,266      

Resolution FDG Corporation Federal Generic Principle Payment Due 10/15/2019

   Government Agency Bonds 400,000 units      344,726      

Ginne Mae 0% Due 12/20/2040

   Government Mortgage Backed Securities 391,087 units      344,474      

Federal Home Loan Mortgage Corporation Series 2885 6% Due 11/15/2034

   Government Mortgage Backed Securities 275,035 units      344,203      

Conoco Inc. 6.95% Due 4/15/2029

   Corporate Bonds 250,000 units      340,824      

Federal Home Loan Mortgage Corporation Series 2901 5% Due 06/15/2018

   Government Mortgage Backed Securities 305,000 units      340,044      

Federal Home Loan Mortgage Corporation Series 3383 5.5% Due 11/15/2027

   Government Mortgage Backed Securities 285,000 units      336,626      

Fannie Mae Pool #889213 5.5% Due 10/01/2020

   Government Mortgage Backed Securities 308,772 units      336,204      

Ginnie Mae 2005-28 5.5% Due 04/20/2035

   Government Mortgage Backed Securities 296,332 units      335,945      

Federal Home Loan Mortgage Corporation Series 2843 5% Due 8/15/2019

   Government Mortgage Backed Securities 298,000 units      327,418      

General Electric Capital Corporation 5.625% Due 5/01/2018

   Corporate Bonds 290,000 units      324,801      

Federal Home Loan Mortgage Corporation Series 2864 5.5% Due 7/15/2033

   Government Mortgage Backed Securities 290,000 units      323,510      

 

20


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Federal Home Loan Mortgage Corporation Preassign 00213 5% Due 7/15/2032

   Government Mortgage Backed Securities 308,000 units      321,733      

PHH Mortgage Trust Series 6% Due 07/25/2038

   Collateralized Mortgage Obligations 311,434 units      319,242      

Fannie Mae Pool 5.0% Due 6/1/2035

   Government Mortgage Backed Securities 294,024 units      317,970      

Fannie Mae Pool #890268 6.5% Due 10/01/2038

   Government Mortgage Backed Securities 280,675 units      315,243      

Freddie Mac Series 3605 5.5% Due 6/15/2037

   Government Mortgage Backed Securities 265,000 units      314,234      

Federal Home Loan Mortgage Corporation Series 1503 7% Due 5/15/2023

   Government Mortgage Backed Securities 275,786 units      313,901      

Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044

   Government Mortgage Backed Securities 279,166 units      311,009      

CWMBS Inc. Pass-Through 5.25% Due 5/25/2034

   Collateralized Mortgage Obligations 300,987 units      308,148      

Fannie Mae Pool #AA8502 6% Due 8/01/2037

   Government Mortgage Backed Securities 276,413 units      308,124      

Ginnie Mae Pool #738051 6% Due 03/20/2041

   Government Mortgage Backed Securities 271,920 units      307,406      

Citigroup Inc. 8.5% Due 5/22/2019

   Corporate Bonds 260,000 units      306,042      

Federal Home Loan Mortgage Corporation Series 2003-T57 7% Due 7/25/2043

   Government Mortgage Backed Securities 267,721 units      305,739      

Wachovia Corporation 5.625% Due 10/15/2016

   Corporate Bonds 280,000 units      304,835      

Ginnie Mae Pool #556303 4.5% Due 12/15/2016

   Government Mortgage Backed Securities 279,570 units      304,331      

First Horizon Mortgage Pass-Through Trust Series 2004-AR6 4.75% Due 12/25/34

   Collateralized Mortgage Obligations 338,063 units      303,279      

Fannie Mae 1993-215 6.5% Due 7/15/2014

   Government Mortgage Backed Securities 266,537 units      301,348      

Freddie Mac Series 2078 6.5% Due 8/15/2028

   Government Mortgage Backed Securities 262,334 units      300,264      

CWMBS Inc. 5.25% Due 5/25/2034

   Collateralized Mortgage Obligations 292,410 units      299,232      

Federal Home Loan Mortgage Corporation Pool #B3-1407 5% Due 7/01/2033

   Government Mortgage Backed Securities 282,935 units      297,214      

Telefonica 6.221% Due 7/03/2017

   Corporate Bonds 290,000 units      297,209      

Fannie Mae Remic Trust 2002 7% Due 12/25/2041

   Government Mortgage Backed Securities 267,921 units      296,531      

Fannie Mae Preassign 00890 7% Due 11/25/2031

   Government Mortgage Backed Securities 250,731 units      296,494      

Ginnie Mae 2006-033 6% Due 07/20/2036

   Government Mortgage Backed Securities 263,287 units      294,886      

Fannie Mae Remic Trust 2001-16 6% Due 5/25/2031

   Government Mortgage Backed Securities 262,080 units      294,261      

First Franklin Mortgage Loan Trust Series 2005-FF9 Floating Rate Due 10/25/2035

   Asset Backed Securities 308,317 units      293,485      

GS Mortgage Securities Corporation 2004-6F 5.5% Due 05/25/3034

   Collateralized Mortgage Obligations 281,294 units      292,920      

CVS Caremark Corporation 6.6% Due 3/15/2019

   Corporate Bonds 240,000 units      292,538      

Federal Home Loan Mortgage Corporation Pool #A52195 7% Due 9/01/2036

   Government Mortgage Backed Securities 255,728 units      292,131      

Verizon Communications Inc. 5.5% Due 2/15/2018

   Corporate Bonds 250,000 units      291,453      

Fannie Mae Pool #466049 2.49% Due 10/01/2017

   Government Mortgage Backed Securities 283,886 units      291,219      

CNH Equipment Trust 2011-B .91% Due 08/15/2016

   Asset Backed Securities 292,000 units      290,817      

Freddie Mac Series 2797 4% Due 6/15/2032

   Government Mortgage Backed Securities 273,537 units      288,830      

Federal Home Loan Mortgage Corporation Series Floating Rate 3852 Due 05/15/2041

   Government Mortgage Backed Securities 283,513 units      287,762      

Wachovia Bank National Association 6% Due 11/15/2017

   Corporate Bonds 260,000 units      287,098      

Master Asset Security Trust 2003-6 5% Due 7/25/2023

   Collateralized Mortgage Obligations 278,230 units      285,949      

Citigroup Mortgage Securities Inc. 2004-4 Remic 5.5% Due 6/25/2034

   Collateralized Mortgage Obligations 273,401 units      285,486      

Ginnie Mae Pool #782933 6.5% Due 10/15/2023

   Government Mortgage Backed Securities 258,085 units      285,041      

Comcast Corporation 6.5% Due 1/15/2017

   Corporate Bonds 240,000 units      282,282      

Federal Home Loan Mortgage Corporation 7% Due 7/15/2027

   Government Mortgage Backed Securities 245,044 units      280,107      

Federal Home Loan Mortgage Corporation 5% Due 3/15/2018

   Government Mortgage Backed Securities 250,000 units      278,601      

Federal Home Loan Mortgage Corporation Pool #K00035 6.5% Due 5/01/2037

   Government Mortgage Backed Securities 250,033 units      277,741      

Federal Home Loan Mortgage Corporation Pool #A79090 6.5% Due 7/01/2034

   Government Mortgage Backed Securities 242,288 units      277,617      

Washington Mutual Mortgage 5.5% Due 4/25/2033

   Collateralized Mortgage Obligations 264,196 units      277,375      

Ginnie Mae 6% Due 8/20/2038

   Government Mortgage Backed Securities 231,000 units      276,745      

Fannie Mae Remic Trust 2001-81 6.5% Due 1/25/2032

   Government Mortgage Backed Securities 245,683 units      276,606      

Fannie Mae Pool #745735 5% Due 3/01/2021

   Government Mortgage Backed Securities 253,159 units      274,938      

Ginnie Mae 2007-024 Remic Pass-Through Floating Rate Due 5/20/2037

   Government Mortgage Backed Securities 1,756,097 units      273,714      

Barclays Bank 5.2% Due 7/10/2014

   Corporate Bonds 260,000 units      268,013      

Federal Home Loan Mortgage Corporation Series 2672 5% Due 11/15/2022

   Government Mortgage Backed Securities 250,000 units      267,839      

Fannie Mae Pool #AD0584 7% Due 1/01/2039

   Government Mortgage Backed Securities 232,544 units      267,446      

United States Treasury Bonds 4.24% Due 5/15/2039

   Government Bonds 210,000 units      267,159      

Fannie Mae Series 2007-100 5.75% Due 10/25/2035

   Government Mortgage Backed Securities 247,555 units      264,746      

Federal Home Loan Mortgage Corporation Series 1680 6.5% Due 2/15/2024

   Government Mortgage Backed Securities 235,107 units      263,604      

United States Treasury Bonds 4.5% Due 02/15/2036

   Government Bonds 200,000 units      261,719      

Ally Auto 2.23% Due 03/15/2016

   Asset Backed Securities 255,000 units      261,614      

Federal Home Loan Mortgage Corporation Series 2595 5.5% Due 4/15/2023

   Government Mortgage Backed Securities 235,000 units      260,381      

UBS AG Stamford Branch 3.875% Due 1/15/2015

   Corporate Bonds 260,000 units      259,285      

American Express Credit 5.125% Due 8/25/2014

   Corporate Bonds 240,000 units      257,837      

Transocean Inc. 5.25% Due 3/15/2013

   Corporate Bonds 250,000 units      256,999      

Ginnie Mae Pool #005159 7% Due 01/20/2039

   Government Mortgage Backed Securities 220,454 units      256,110      

Federal Home Loan Mortgage Corporation Pool #G04467 6% Due 9/01/2035

   Government Mortgage Backed Securities 227,322 units      253,224      

National Bank of Canada 1.65% Due 01/30/2014

   Corporate Bonds 250,000 units      252,640      

Bank of America Corporation 4.9% Due 05/01/2013*

   Corporate Bonds 250,000 units      250,202      

First Horizon Mortgage Pass-Through 2003-AR4 Due 12/25/33

   Collateralized Mortgage Obligations 277,316 units      249,942      

Fannie Mae Pool #735439 6% Due 9/01/2019

   Government Mortgage Backed Securities 230,283 units      249,057      

 

21


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Ginnie Mae 2008-047 Remic 5.25% Due 6/16/2038

   Government Mortgage Backed Securities 215,000 units      248,128      

Master Adjustable Rate Mortgages Trust 2004-8 Due 08/25/2034

   Collateralized Mortgage Obligations 280,924 units      247,459      

Merrill Lynch & Company Inc. 6.875% Due 4/25/2018*

   Corporate Bonds 250,000 units      246,485      

Honda Auto 1.8% Due 04/17/2017

   Asset Backed Securities 240,000 units      243,868      

Kraft Foods Inc. 5.375% Due 2/10/2020

   Corporate Bonds 210,000 units      242,309      

Citigroup/Deutsche Bank Commercial 2005-CD1 Variable Rate Due 07/15/2044

   Commercial Mortgage Backed Securities 230,000 units      241,207      

Residential Accredited Loans Inc. Pass-Through Series 2003QS7 4.75% Due 4/25/2033

   Collateralized Mortgage Obligations 238,249 units      240,111      

Federal Home Loan Mortgage Corporation Pool #G3/0484 6.5% Due 01/01/2029

   Government Mortgage Backed Securities 214,603 units      239,458      

Fannie Mae Pool #7335503 6% Due 4/01/2035

   Government Mortgage Backed Securities 214,601 units      239,221      

Structured Asset Securities Corporation 2003-BC10 Pass-Through Due 10/25/2033

   Asset Backed Securities 300,000 units      238,949      

Federal Home Loan Mortgage Corporation Series 2557 5.3% Due 1/15/2033

   Government Mortgage Backed Securities 217,340 units      238,873      

Structured Asset Securities Corporation 2003-26A Pass-Through Due 9/25/2033

   Collateralized Mortgage Obligations 286,750 units      238,526      

Fannie Mae Pool #576557 6.5% Due 6/01/2019

   Government Mortgage Backed Securities 214,256 units      238,501      

Fannie Mae Pool #AD0471 5.5% Due 1/01/2024

   Government Mortgage Backed Securities 214,566 units      233,092      

Fannie Mae Remic Trust Pass-Through Variable Rate Due 1/25/2040

   Government Mortgage Backed Securities 1,843,962 units      232,396      

Federal Home Loan Mortgage Corporation Series 2649 5.5% Due 10/15/2022

   Government Mortgage Backed Securities 215,000 units      231,784      

Fannie Mae Preassign 00491 5% Due 2/25/2018

   Government Mortgage Backed Securities 216,102 units      231,374      

Federal Home Loan Mortgage Corporation Series 2479 6% Due 8/15/2032

   Government Mortgage Backed Securities 212,632 units      230,865      

Federal Home Loan Mortgage Corporation Series 2347 5.75% Due 8/15/2031

   Government Mortgage Backed Securities 206,598 units      230,690      

Fannie Mae Pool #351397 7% Due 3/01/2026

   Government Mortgage Backed Securities 201,221 units      230,498      

Federal Home Loan Mortgage Corporation Series 2073 6.5% Due 07/15/2028

   Government Mortgage Backed Securities 201,095 units      230,202      

General Electric Capital Corporation 6% Due 8/07/2019

   Corporate Bonds 200,000 units      229,726      

Caterpillar Financial Services Corporation 6.2% Due 9/30/2013

   Corporate Bonds 210,000 units      228,923      

Federal Home Loan Mortgage Corporation Preassign 00121 0% Due 7/15/2036

   Government Mortgage Backed Securities 239,390 units      228,199      

Federal Home Loan Mortgage Corporation Series 2669 5.5% Due 8/15/2033

   Government Mortgage Backed Securities 210,000 units      225,762      

Federal Home Loan Mortgage Corporation Series 2684 0% Due 1/15/2033

   Government Mortgage Backed Securities 247,736 units      225,685      

Banc America Commercial Mortgage Inc. 2005-3 Pass-Through 4.727% Due 7/10/2043*

   Commercial Mortgage Backed Securities 220,000 units      225,204      

John Deere Capital Corporation 4.9% Due 9/09/2013

   Corporate Bonds 210,000 units      224,046      

BB&T Corporation 3.85% Due 7/27/2012

   Corporate Bonds 220,000 units      223,589      

Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034

   Collateralized Mortgage Obligations 234,647 units      222,756      

Ginnie Mae Pool #603459 6% Due 1/15/2018

   Government Mortgage Backed Securities 202,688 units      222,094      

Fannie Mae Remic Series 2004-101 5% Due 1/25/2020

   Government Mortgage Backed Securities 200,000 units      221,606      

JP Morgan Mortgage Trust Series 2004-S1 5.5% Due 9/25/2034

   Collateralized Mortgage Obligations 214,231 units      221,406      

Goldman Sachs Group Inc. 7.5% Due 2/15/2019

   Corporate Bonds 200,000 units      220,882      

Wells Fargo Mortgage Backed Securities Due 9/25/2034

   Collateralized Mortgage Obligations 230,693 units      218,898      

Federal Home Loan Mortgage Corporation Pool #P20410 5.5% Due 10/01/2033

   Government Mortgage Backed Securities 209,268 units      218,420      

Bayview Commercial Asset Trust Variable Rate Due 11/25/2035

   Commercial Mortgage Backed Securities 291,763 units      218,335      

Fannie Mae Remic Trust 2005-50 5% Due 6/25/2025

   Government Mortgage Backed Securities 200,000 units      217,063      

Credit Suisse Group AG 5.4% Due 01/14/2020

   Corporate Bonds 230,000 units      216,928      

Morgan Stanley Mortgage Loan Trust 2004-2AR 5% Due 9/25/2034

   Collateralized Mortgage Obligations 212,230 units      216,217      

Master Alternative Loan Trust 5.5% Pass-Through

   Collateralized Mortgage Obligations 206,419 units      215,106      

Fannie Mae Remic Series 2007-116 5.5% Due 8/25/2035

   Government Mortgage Backed Securities 190,000 units      214,793      

Devon Energy Corporation 7.95% Due 4/15/2032

   Corporate Bonds 150,000 units      214,679      

Banc America Mortgage Securities Inc. 2004-3 Pass-Through 5.5% Due 4/25/2034*

   Collateralized Mortgage Obligations 210,000 units      214,313      

Fannie Mae Remic Trust 2008-91 Floating Rate Due 3/25/2038

   Government Mortgage Backed Securities 1,970,315 units      213,958      

Washington Mutual Mortgage Pass-Through 2.67% Due 8/25/2033

   Collateralized Mortgage Obligations 225,743 units      212,909      

Banc America Mortgage Securities Inc. 5% Due 6/25/2019*

   Collateralized Mortgage Obligations 205,860 units      212,442      

United States Treasury Notes 4% Due 8/15/2018

   Government Bonds 180,000 units      211,992      

British Telecommunications PLC Stepup 12/15/2030

   Corporate Bonds 150,000 units      211,395      

Fannie Mae Remic Trust 2005-97 5.5% Due 11/25/2035

   Government Mortgage Backed Securities 185,903 units      211,147      

Fannie Mae Remic Trust 2003-84 5% Due 3/25/2032

   Government Mortgage Backed Securities 200,000 units      210,795      

Fannie Mae Pool #941028 6.5% Due 7/01/2038

   Government Mortgage Backed Securities 187,530 units      209,923      

Toronto Dominion Bank 2.2% Due 7/29/2015

   Corporate Bonds 205,000 units      209,911      

Pfizer Inc. 6.2% Due 3/15/2019

   Corporate Bonds 170,000 units      209,764      

FirstEnergy Corporation 7.375% Due 11/15/2031

   Corporate Bonds 170,000 units      209,062      

Banc of America Alternative Loan Trust 2003-5 5% Due 7/25/2018*

   Collateralized Mortgage Obligations 202,293 units      208,918      

JP Morgan Mortgage Trust 2006-A2 3.75% Due 04/25/2036

   Collateralized Mortgage Obligations 226,732 units      207,776      

HSBC Bank PLC 4.75% Due 01/19/2021

   Corporate Bonds 200,000 units      207,393      

Simon Property Group Inc. 6.125% Due 5/30/2018

   Corporate Bonds 180,000 units      206,641      

Thornburg Mortgage Securities Trust 2004-3 Pass-Through Floating Rate Due 11/30/2044

   Collateralized Mortgage Obligations 240,213 units      205,720      

Fannie Mae Pool #889665 6% Due 8/01/2037

   Government Mortgage Backed Securities 183,135 units      202,027      

Fannie Mae 1999-54 6.5% Due 11/25/2029

   Government Mortgage Backed Securities 176,324 units      201,461      

Master Asset Security Trust 5.25% Due 7/25/2019

   Collateralized Mortgage Obligations 196,550 units      201,313      

Federal Home Loan Mortgage Corporation 6% Due 6/15/2033

   Government Mortgage Backed Securities 190,000 units      200,976      

Structured Asset Securities Corporation 2003-14 Due 05/25/2033

   Collateralized Mortgage Obligations 192,689 units      200,187      

 

22


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Fannie Mae 0% Due 12/01/2024

   Government Mortgage Backed Securities 212,095 units      199,988      

Residential Accredited Loans Inc. Pass-Through Series 2004-QS7 5.5% Due 5/25/2034

   Collateralized Mortgage Obligations 227,406 units      199,547      

National Australia Bank Limited 3% Due 07/27/2016

   Corporate Bonds 200,000 units      199,254      

Citigroup Inc. 6.01% Due 1/15/2015

   Corporate Bonds 190,000 units      198,494      

Shell International Finance 4.375% Due 3/25/2020

   Corporate Bonds 170,000 units      198,469      

Morgan Stanley 6.625% Due 4/01/2018

   Corporate Bonds 200,000 units      197,489      

Master Alternative Loan Trust 2004-3 6.25% Due 4/25/2034

   Collateralized Mortgage Obligations 192,424 units      194,533      

Fannie Mae Remic Trust 2010-49 Variable Rate Due 3/25/2040

   Government Mortgage Backed Securities 163,598 units      194,454      

Residential FDG Mortgage Securities I Inc. 2003-S4 5.75% Due 3/25/2033

   Collateralized Mortgage Obligations 184,363 units      193,535      

Fannie Mae Pool #888281 6% Due 4/01/2027

   Government Mortgage Backed Securities 175,393 units      193,377      

Fannie Mae Pool #888890 6.5% Due 10/01/2037

   Government Mortgage Backed Securities 171,487 units      192,607      

CWMBS Inc. 4% Due 8/25/2033

   Collateralized Mortgage Obligations 192,022 units      192,047      

Ginnie Mae Pool #004318 7% Due 12/20/2038

   Government Mortgage Backed Securities 164,901 units      191,725      

Federal Home Loan Mortgage Corporation Series Floating Rate 3852 Due 05/15/2041

   Government Mortgage Backed Securities 191,382 units      191,593      

GMAC Mortgage Loan Trust 2003-J10 4.75% Due 1/25/2019

   Collateralized Mortgage Obligations 186,487 units      191,570      

Citigroup Mortgage Loan Trust 2008-AR4 Remic Pass-Through Due 11/25/2038

   Collateralized Mortgage Obligations 191,999 units      191,516      

Morgan Stanley Dean Witter Capital I Trust 2003-HYB1 Variable Rate Due 2/25/2033

   Collateralized Mortgage Obligations 213,522 units      190,053      

Federal Home Loan Mortgage Corporation Series 2656 5% Due 10/15/2032

   Government Mortgage Backed Securities 175,000 units      189,848      

Ginnie Mae 6% Due 12/20/2039

   Government Mortgage Backed Securities 174,362 units      188,807      

Sequoia Mortgage Trust Floating Rate Due 11/20/2034

   Collateralized Mortgage Obligations 228,592 units      188,720      

Pacific Gas & Electric Company 6.05% Due 3/01/2034

   Corporate Bonds 150,000 units      185,676      

Baker Hughes Inc. 7.5% Due 11/15/2018

   Corporate Bonds 140,000 units      184,692      

Deutsche Telekom International 5.75% Due 3/23/2016

   Corporate Bonds 165,000 units      183,625      

Oncor Electric Delivery Company 6.8% Due 9/1/2018

   Corporate Bonds 150,000 units      182,415      

Ginnie Mae Pool #699238 6.5% Due 9/15/2023

   Government Mortgage Backed Securities 165,269 units      181,661      

Fannie Mae Trust 2004 7% Due 2/25/2044

   Government Mortgage Backed Securities 158,577 units      181,017      

Banc America Commercial Mortgage Trust 2006-3 Due 7/10/2044*

   Commercial Mortgage Backed Securities 165,000 units      180,887      

Cobalt CMBS Commercial Mortgage Trust 2006-C1 Pass-Through 5.186% Due 8/01/48

   Commercial Mortgage Backed Securities 170,000 units      180,816      

Fannie Mae Pool #550382 6.45% Due 7/1/2030

   Government Mortgage Backed Securities 157,373 units      180,557      

GlaxoSmithKline 5.65% Due 5/15/2018

   Corporate Bonds 150,000 units      180,541      

Fannie Mae Pool 5.5% Due 11/1/2036

   Government Mortgage Backed Securities 164,740 units      179,727      

Structured Asset Securities Corporation Series 2004-6XS Due 3/25/2034

   Asset Backed Securities 193,357 units      179,196      

Federal Home Loan Mortgage Corporation Series 3688 Variable Rate Due 11/15/2046

   Government Mortgage Backed Securities 150,540 units      177,860      

Fannie Mae Preassign 00277 5.5% Due 2/25/2033

   Government Mortgage Backed Securities 155,000 units      177,652      

Residential Accredited Loans Inc. Pass-Through 5% Due 3/25/2019

   Collateralized Mortgage Obligations 174,915 units      176,581      

Federal Home Loan Mortgage Corporation Series 3201 Floating Rate Due 8/15/2036

   Government Mortgage Backed Securities 1,167,702 units      175,800      

Wells Fargo Mortgage Backed Securities 2004-K Due 7/25/2034

   Collateralized Mortgage Obligations 176,172 units      175,559      

CenterPoint Energy 6.5% Due 05/01/2018

   Corporate Bonds 150,000 units      175,112      

Fannie Mae Pool #767867 5.5% Due 3/01/2033

   Government Mortgage Backed Securities 159,627 units      174,847      

Ginnie Mae 2009-016 Remic Pass-Through Floating Rate Due 05/20/2037

   Government Mortgage Backed Securities 1,003,217 units      173,643      

Fannie Mae 2001-T10 Pass-Through 7% Due 12/25/2041

   Government Mortgage Backed Securities 156,868 units      173,592      

Ginnie Mae 2006-26 Remic 0% Due 6/20/2036

   Government Mortgage Backed Securities 188,283 units      172,965      

Wellpoint Inc. 5.875% Due 6/15/2017

   Corporate Bonds 150,000 units      172,839      

Federal Home Loan Mortgage Corporation Pool #E0227 6% Due 11/01/2021

   Government Mortgage Backed Securities 157,722 units      172,626      

Fannie Mae Pool #256928 6% Due 10/01/2027

   Government Mortgage Backed Securities 156,556 units      172,510      

Comcast Corporation 5.9% Due 03/15/2016

   Corporate Bonds 150,000 units      171,689      

Bank of America Corporation 5.65% Due 5/01/2018*

   Corporate Bonds 180,000 units      171,496      

Ginnie Mae Remic Series 2008-40 Floating Rate Due 5/16/2038

   Government Mortgage Backed Securities 934,012 units      171,469      

Federal Home Loan Mortgage Corporation Pool 5.891% Due 8/1/2037

   Government Mortgage Backed Securities 160,877 units      171,467      

Fannie Mae 6.5% Due 2/25/2047

   Government Mortgage Backed Securities 154,232 units      171,311      

Federal Home Loan Mortgage Corporation Series 1078 6.5% Due 5/15/2021

   Government Mortgage Backed Securities 157,046 units      171,166      

Wells Fargo Mortgage Backed Series 2006-5 Due 04/25/2036

   Collateralized Mortgage Obligations 170,503 units      170,230      

Berkshire Hathaway Inc. 3.2% Due 2/11/2015

   Corporate Bonds 160,000 units      169,626      

Citigroup Mortgage Loan Trust 2003-1 5.25% Due 9/25/2033

   Collateralized Mortgage Obligations 159,836 units      168,613      

Ginnie Mae Pool #738679 7% Due 11/20/2038

   Government Mortgage Backed Securities 144,353 units      167,614      

United States Treasury Notes 3.25% Due 12/31/2016

   Government Bonds 150,000 units      167,484      

Ginnie Mae 5.5% Due 6/20/2038

   Government Mortgage Backed Securities 142,000 units      167,352      

Federal Home Loan Mortgage Corporation Pool #A72934 8% Due 2/01/2038

   Government Mortgage Backed Securities 138,369 units      167,187      

Federal Home Loan Mortgage Corporation Series 2994 5% Due 6/15/2035

   Government Mortgage Backed Securities 149,000 units      166,568      

Fannie Mae Pool #888366 7% Due 4/01/2037

   Government Mortgage Backed Securities 145,264 units      165,884      

Verizon Communications Inc. 6.4% Due 2/15/2038

   Corporate Bonds 130,000 units      165,022      

Credit Agricole SA 8.375% Floating Rate Due 8/15/2029

   Corporate Bonds 220,000 units      165,000      

General Electric Capital Corporation 5.9% Due 5/13/2014

   Corporate Bonds 150,000 units      164,273      

Hess Corporation LLC 5.29% Due 3/25/2016

   Asset Backed Securities 150,000 units      162,391      

Ginnie Mae 2010-001 Remic Pass-Through Floating Rate Due 8/16/2039

   Government Mortgage Backed Securities 1,379,046 units      162,387      

 

23


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Centex Home Equity 4.68% Due 6/25/2032

   Asset Backed Securities 170,309 units      161,385      

Federal Home Loan Mortgage Corporation Pool #E90573 6% Due 7/01/2017

   Government Mortgage Backed Securities 146,898 units      160,779      

Ginnie Mae 6.5% Due 6/2/2032

   Government Mortgage Backed Securities 137,977 units      158,125      

Time Warner Cable Inc. 7.3% Due 7/1/2038

   Corporate Bonds 130,000 units      157,970      

Ginnie Mae 2009-106 Floating Rate Due 6/20/2037

   Government Mortgage Backed Securities 958,769 units      157,053      

Ginnie Mae 2010-014 0% Due 3/20/2036

   Government Mortgage Backed Securities 167,208 units      156,690      

Ginnie Mae Pool #738054 6.5% Due 01/20/2039

   Government Mortgage Backed Securities 137,300 units      156,578      

Duke Energy Corporation 5.625% Due 11/30/2012

   Corporate Bonds 150,000 units      156,305      

Federal Home Loan Mortgage Corporation Series 2648 5% Due 7/15/2033

   Government Mortgage Backed Securities 152,190 units      155,384      

Wells Fargo Mortgage Backed Securities 2003-F Variable Rate Due 6/25/2033

   Collateralized Mortgage Obligations 155,096 units      155,182      

CitiFinancial Mortgage 5.348% Due 8/25/2033

   Asset Backed Securities 160,999 units      155,077      

Fannie Mae Pool #AE0081 6% Due 7/01/2024

   Government Mortgage Backed Securities 142,161 units      154,017      

Banc America Alternative Loan Trust 2004-6 5% Due 7/25/2019*

   Collateralized Mortgage Obligations 151,431 units      153,293      

Fannie Mae Remic Pass-Through Trust 2009-112 Floating Rate Due 1/25/2040

   Government Mortgage Backed Securities 1,212,696 units      152,837      

Fannie Mae Remic Series 1997-57 5% Due 9/18/2027

   Government Mortgage Backed Securities 142,417 units      152,589      

GTP Acquisition Partners I, LLC 4.347% Due 06/15/2016

   Corporate Bonds 152,000 units      151,353      

Banc America Mortgage Securities 2004-C 3.73055% Due 4/25/2034*

   Collateralized Mortgage Obligations 167,162 units      150,609      

Countrywide Financial Corporation 5.8% Due 6/07/2012*

   Corporate Bonds 150,000 units      150,316      

Federal Home Loan Mortgage Corporation Pool #G30290 6.5% Due 3/01/2026

   Government Mortgage Backed Securities 134,458 units      150,031      

Morgan Stanley 5.625% Due 1/9/2012

   Corporate Bonds 150,000 units      150,023      

Fannie Mae Remic Series 2007-35 5% Due 9/25/2033

   Government Mortgage Backed Securities 145,063 units      149,812      

Morgan Stanley Capital I Trust 2011-C3 4.054% Due 7/15/2049

   Commercial Mortgage Backed Securities 141,000 units      149,340      

Federal Home Loan Mortgage Corporation Series 2046 6.5% Due 4/15/2028

   Government Mortgage Backed Securities 129,086 units      147,709      

Fannie Mae Pool #889213 6% Due 4/01/2034

   Government Mortgage Backed Securities 134,793 units      147,118      

Sequoia Mortgage Trust Variable Rate Due 9/20/2034

   Collateralized Mortgage Obligations 178,999 units      146,790      

Ginne Mae 2008-087 Remic Pass-Through 6.5% Due 10/20/2038

   Government Mortgage Backed Securities 753,331 units      146,636      

Federal Home Loan Mortgage Corporation Series 3253 Principal Only Due 12/15/2021

   Government Mortgage Backed Securities 149,489 units      146,511      

UnitedHealth Group Inc. 4.875% Due 2/15/2013

   Corporate Bonds 140,000 units      145,784      

Federal Home Loan Mortgage Corporation Series 3784 Floating Rate Due 07/15/2023

   Government Mortgage Backed Securities 1,081,388 units      144,882      

Ginnie Mae Pool #534607 6.45% Due 8/15/2030

   Government Mortgage Backed Securities 126,779 units      144,282      

Ginnie Mae 2008-050 Remic Pass-Through 6% Due 6/20/2038

   Government Mortgage Backed Securities 123,000 units      142,846      

Ginnie Mae 2007-058 Remic Pass-Through Floating Rate Due 10/20/2037

   Government Mortgage Backed Securities 948,411 units      142,742      

Nordea Bank 7% Due 11/13/2014

   Corporate Bonds 140,000 units      142,231      

Ginnie Mae 2008-091 Remic Pass-Through 6.5% Due 11/20/2038

   Government Mortgage Backed Securities 837,562 units      142,109      

Fannie Mae Pool #888601 5.5% Due 6/01/2020

   Government Mortgage Backed Securities 129,804 units      141,092      

Ginnie Mae Remic Series 2008-073 Floating Rate Due 8/20/2038

   Government Mortgage Backed Securities 900,510 units      140,295      

Morgan Stanley 5.75% Due 01/25/2021

   Corporate Bonds 150,000 units      139,921      

Federal Home Loan Mortgage Corporation Series 2058 6.5% Due 5/15/2028

   Government Mortgage Backed Securities 134,686 units      138,712      

Fannie Mae Remic Series 2003-47 5.75% Due 6/25/2033

   Government Mortgage Backed Securities 119,000 units      137,061      

Fannie Mae 2001-82 6.5% Due 1/25/2032

   Government Mortgage Backed Securities 119,530 units      136,768      

Fannie Mae Remic Trust 2004-70 5% Due 10/25/2024

   Government Mortgage Backed Securities 125,000 units      136,662      

United States Treasury Bonds 6.375% Due 8/15/27

   Government Bonds 90,000 units      136,420      

Ginnie Mae 2008-60 5.5% Due 7/16/2023

   Government Mortgage Backed Securities 120,000 units      134,941      

Federal Home Loan Mortgage Corporation Pool #G12988 6% Due 1/01/2023

   Government Mortgage Backed Securities 122,027 units      132,871      

Citigroup Inc. 6.875% Due 3/5/2038

   Corporate Bonds 120,000 units      131,834      

Fannie Mae Series 390 Variable Rate Due 6/25/2038

   Government Mortgage Backed Securities 947,090 units      131,273      

JP Morgan Remic Series 2010-4 Variable Rate Due 8/26/2035

   Collateralized Mortgage Obligations 134,031 units      131,155      

Royal Bank of Scotland 6.4% Due 10/21/2019

   Corporate Bonds 140,000 units      131,066      

Ally Auto 1.55% Due 10/15/2014

   Asset Backed Securities 129,000 units      130,583      

Wells Fargo Mortgage Backed Securities 2004-BB Trust Due 1/25/2035

   Collateralized Mortgage Obligations 135,752 units      129,651      

Ginnie Mae 2004-86 Remic Pass-Through Floating Due 9/20/2034

   Government Mortgage Backed Securities 901,184 units      129,406      

BP Capital Markets PLC 5.25% Due 11/07/2013

   Corporate Bonds 120,000 units      128,708      

Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034

   Collateralized Mortgage Obligations 133,790 units      128,502      

Telecom Italia Capital 5.25% Due 10/01/2015

   Corporate Bonds 140,000 units      128,426      

Illinois State Taxable Pension 5.1% Due 06/01/2033

   Municipal/Provincial Bonds 140,000 units      127,775      

Wachovia Commercial Mortgage Trust 2005-C21 5.203% Due 10/15/2044

   Commercial Mortgage Backed Securities 120,000 units      126,964      

Ginnie Mae 2009-072 Remic Pass-Through Floating Rate Due 08/16/2039

   Government Mortgage Backed Securities 957,867 units      125,588      

Morgan Stanley Capital I Trust Due 02/12/2044

   Commercial Mortgage Backed Securities 16,042,411 units      125,227      

Federal Home Loan Mortgage Corporation Pool #C9-0767 6% Due 12/01/2023

   Government Mortgage Backed Securities 113,427 units      124,968      

Federal Home Loan Mortgage Corporation Series 2934 Principal Only Due 2/15/2020

   Government Mortgage Backed Securities 129,372 units      124,773      

Fannie Mae 3.625% Due 02/12/2013

   Government Agency Bonds 120,000 units      124,446      

Ginnie Mae 2006-023 Remic Floating Rate Due 1/20/2036

   Government Mortgage Backed Securities 936,005 units      124,184      

Dominion Resources Inc. 5.7% Due 9/17/2012

   Corporate Bonds 120,000 units      124,023      

Fannie Mae Preassign 00472 7% Due 7/25/2042

   Government Mortgage Backed Securities 110,168 units      123,963      

Mercedes-Benz Auto Receivables Trust 2011-1CI .85% Due 03/15/2015

   Asset Backed Securities 123,000 units      123,096      

 

24


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Bank of America Auto Trust 1.31% Due 7/15/2014*

   Asset Backed Securities 122,365 units      122,730      

Fannie Mae Remic Trust 2001-38 Principal Only Due 8/25/2031

   Government Mortgage Backed Securities 133,195 units      121,798      

Credit Suisse First Boston Securities Corporation Series 2006-C1 Floating Rate Due 2/15/2039

   Commercial Mortgage Backed Securities 110,000 units      121,736      

Roche Holdings Inc. 6% Due 3/1/2019

   Corporate Bonds 100,000 units      121,541      

Ontario Province Canada 4% Due 10/07/2019

   Municipal/Provincial Bonds 110,000 units      121,445      

Citigroup Commercial Mortgage Trust Series 2005-C3 Due 5/15/2043

   Commercial Mortgage Backed Securities 115,000 units      121,311      

Merrill Lynch & Company Inc. 6.15% Due 4/25/2013*

   Corporate Bonds 120,000 units      121,124      

Fannie Mae Remic Trust 1997-89 7% Due 12/20/2027

   Government Mortgage Backed Securities 492,696 units      118,443      

Ginnie Mae Remic Series 2007-16 Floating Rate Due 4/20/2037

   Government Mortgage Backed Securities 888,429 units      118,273      

Ginnie Mae Pool #534855 6.45% Due 11/15/2030

   Government Mortgage Backed Securities 101,976 units      116,055      

Comcast Corporation 5.7% Due 07/01/2019

   Corporate Bonds 100,000 units      116,009      

Morgan Stanley Mortgage Loan Trust 2004-2AR Due 09/25/2034

   Collateralized Mortgage Obligations 146,322 units      115,804      

Federal Home Loan Mortgage Corporation Series 2626 5% Due 6/15/2033

   Government Mortgage Backed Securities 106,977 units      115,602      

Amerada Hess Corporation 7.3% Due 8/15/2031

   Corporate Bonds 90,000 units      115,491      

Ginnie Mae Pool #614616 Series 2018 5.5% Due 7/15/2018

   Government Mortgage Backed Securities 104,376 units      114,432      

Capital One Financial Corporation 4.75% Due 07/15/2021

   Corporate Bonds 110,000 units      113,202      

XTO Energy Inc. 7.5% Due 4/15/2012

   Corporate Bonds 110,000 units      112,202      

GS Mortgage Securities Corporation 2005-RP2 Variable Rate Due 3/25/2035

   Collateralized Mortgage Obligations 138,108 units      111,524      

Bayview Commercial Asset Trust Variable Rate Due 1/25/2036

   Collateralized Mortgage Obligations 161,422 units      111,422      

Ginnie Mae 5.25% Due 3/20/2038

   Government Mortgage Backed Securities 100,000 units      111,319      

Ginnie Mae Pool #534720 6.45% Due 9/15/2030

   Government Mortgage Backed Securities 97,368 units      110,810      

General Electric Capital Corporation 5.625% Due 9/15/2017

   Corporate Bonds 100,000 units      110,678      

Hewlett-Packard Company 6% Due 09/15/2041

   Corporate Bonds 100,000 units      110,662      

Banc America Commercial Mortgage Inc. 2005-6 5.195% Due 9/10/2047*

   Commercial Mortgage Backed Securities 100,000 units      110,599      

General Electric Capital Corporation 5.5% Due 1/08/2020

   Corporate Bonds 100,000 units      110,029      

Morgan Stanley Capital I Trust Inc. 2004-HQ3 4.8% Due 1/13/2041

   Commercial Mortgage Backed Securities 105,000 units      109,983      

Ginnie Mae 5.25% Due 4/20/2038

   Government Mortgage Backed Securities 94,000 units      109,849      

Indymac Mortgage Backed Securities Inc. 4.75% Due 2/25/2019

   Asset Backed Securities 108,314 units      109,253      

Ginnie Mae Remic Series 2008-79 Floating Rate Due 9/20/2038

   Government Mortgage Backed Securities 544,704 units      108,708      

Wells Fargo Mortgage Backed Securities 2003-A Trust Due 2/25/2033

   Collateralized Mortgage Obligations 115,315 units      108,611      

Dow Chemical Company 8.55% Due 05/15/2019

   Corporate Bonds 83,000 units      108,591      

Fannie Mae Pool #745406 6% Due 3/01/2021

   Government Mortgage Backed Securities 100,207 units      108,502      

Federal Home Loan Mortgage Corporation Preassign 00890 Due 4/15/2036

   Government Mortgage Backed Securities 112,833 units      108,082      

MetLife Global 5.125% Due 6/10/2014

   Corporate Bonds 100,000 units      107,673      

GMAC Commercial Mortgage Securities 5.238% Due 11/10/2045

   Commercial Mortgage Backed Securities 100,000 units      107,658      

Credit Suisse First Boston 5.125% Due 08/15/2015

   Corporate Bonds 100,000 units      105,336      

Ontario Province Canada 2.7% Due 6/16/2015

   Municipal/Provincial Bonds 100,000 units      104,736      

Fannie Mae Preassign 00033 5% Due 3/25/2032

   Government Mortgage Backed Securities 100,000 units      104,549      

Michigan Indiana Power Company 7% Due 3/15/2019

   Corporate Bonds 85,000 units      104,549      

National Semiconductor 6.6% Due 06/15/2017

   Corporate Bonds 85,000 units      104,403      

Ohio State University General Receipts Bond 4.8% Due 06/01/2111

   Municipal/Provincial Bonds 100,000 units      104,297      

United States Treasury Bonds Inflation Index 1.75% Due 1/15/2028

   Index Linked Government Bonds 80,000 units      103,992      

Ginnie Mae 2007-059 Remic Pass-Through Due 4/20/2037

   Government Mortgage Backed Securities 843,825 units      103,435      

Apache Corporation 6% Due 1/15/2037

   Corporate Bonds 80,000 units      103,142      

Prime Mortgage Trust 2004-2 Pass-Through 4.75% Due 11/25/2019

   Collateralized Mortgage Obligations 100,209 units      103,081      

Commonwealth Bank of Australia 3.75% Due 10/15/2014

   Corporate Bonds 100,000 units      103,030      

International Business 1.95% Due 07/22/2016

   Corporate Bonds 100,000 units      102,916      

Nordea Bank 4.875% Due 1/27/2020

   Corporate Bonds 100,000 units      102,694      

Total Capital 2.3% Due 3/15/2016

   Corporate Bonds 100,000 units      102,633      

Wyeth 5.95% Due 4/01/2037

   Corporate Bonds 80,000 units      102,478      

Tennessee Valley Authority Global Power Bond 2009 Series C 5.25% Due 09/15/2039

   Government Agency Bonds 80,000 units      102,121      

Fannie Mae Remic Series 2004-36 Due 5/25/2034

   Government Mortgage Backed Securities 78,978 units      101,929      

Fannie Mae Pool #254179 6% Due 1/01/2022

   Government Mortgage Backed Securities 92,294 units      101,671      

HSBC Finance Corporation 5% Due 06/30/2015

   Corporate Bonds 100,000 units      101,539      

MetLife Global 2.5% Due 1/11/2013

   Corporate Bonds 100,000 units      101,212      

Ginnie Mae 2008-069 Remic Pass-Through 5.75% Due 8/20/2038

   Government Mortgage Backed Securities 85,291 units      100,882      

Federal Home Loan Mortgage Corporation Adjustable Rate Due 5/1/2037

   Government Mortgage Backed Securities 94,673 units      100,721      

Santander Drive Auto Receivables Trust 2010-A3 1.83% Due 11/17/2014

   Asset Backed Securities 100,000 units      100,407      

Bank of Nova Scotia 1.65% Due 10/29/2015

   Corporate Bonds 100,000 units      99,879      

Banc America Mortgage Securities Inc. 2004-11 5.75% Due 12/25/2024*

   Collateralized Mortgage Obligations 95,713 units      99,079      

Washington Mutual Variable Rate Pass-Through Due 9/25/2033

   Collateralized Mortgage Obligations 103,872 units      98,252      

HSBC Home Equity Loan Trust Series 2006-1 Due 1/20/2036

   Asset Backed Securities 105,124 units      97,998      

Ginnie Mae Remic Series 1997-16 Due 10/20/2027

   Government Mortgage Backed Securities 448,329 units      97,955      

Fannie Mae Remic Trust 2006-20 Variable Rate Due 4/25/2036

   Government Mortgage Backed Securities 608,676 units      97,582      

Boeing Company 6% Due 3/15/2019

   Corporate Bonds 80,000 units      97,026      

 

25


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

American Express Company 7% Due 3/19/2018

   Corporate Bonds 80,000 units      96,673      

Chase FDG Mortgage Loan 4.499% Due 8/25/2030

   Asset Backed Securities 96,650 units      96,405      

Port Authority NY & NJ 5.647% Due 11/01/2040

   Municipal/Provincial Bonds 85,000 units      96,318      

Diageo Capital PLC 4.828% Due 7/15/2020

   Corporate Bonds 85,000 units      96,119      

Citigroup Inc. 6.125% Due 11/21/2017

   Corporate Bonds 90,000 units      96,051      

Federal Home Loan Mortgage Corporation Gold Pool 6.5% Due 4/01/2021

   Government Mortgage Backed Securities 85,981 units      95,939      

Time Warner Cable Inc. 6.75% Due 7/01/2018

   Corporate Bonds 80,000 units      95,017      

Equity One ABS Inc. 5.05% Due 9/25/2033

   Asset Backed Securities 115,995 units      94,775      

Fannie Mae Pool #550390 6.45% Due 10/01/2030

   Government Mortgage Backed Securities 82,163 units      94,267      

Rabobank Nederland Variable Rate Due 12/29/2049

   Corporate Bonds 80,000 units      93,600      

Fannie Mae Remic Trust 2005-103 Variable Rate Due 7/25/2035

   Government Mortgage Backed Securities 88,344 units      93,303      

Federal Home Loan Mortgage Corporation Pool #M30285 5% Due 2/01/2018

   Government Mortgage Backed Securities 87,522 units      92,275      

Morgan Stanley 3.45% Due 2/11/2015

   Corporate Bonds 100,000 units      92,069      

Fannie Mae Preassign 00506 6% Due 4/25/2017

   Government Mortgage Backed Securities 84,942 units      91,960      

PNC FDG Corporation 6.7% Due 6/10/2019

   Corporate Bonds 75,000 units      91,503      

PPL Energy Supply LLC 4.6% Due 12/15/2021

   Corporate Bonds 90,000 units      91,269      

Federal Home Loan Mortgage Corporation 0% Due 11/15/2037

   Government Mortgage Backed Securities 96,613 units      91,037      

Ginnie Mae 6% Due 6/20/2032

   Government Mortgage Backed Securities 84,365 units      90,832      

Time Warner Cable Inc. 8.75% Due 2/14/2019

   Corporate Bonds 70,000 units      89,385      

Anheuser Busch 5.375% Due 11/15/2014

   Corporate Bonds 80,000 units      88,890      

Ginnie Mae 2010-014 Remic Pass-Through Principal Only Due 12/20/2032

   Government Mortgage Backed Securities 95,609 units      87,807      

Federal Home Loan Mortgage Corporation Pool 5.5% Due 11/1/2035

   Government Mortgage Backed Securities 80,646 units      87,794      

MidAmerican Energy 5.3% Due 3/15/2018

   Corporate Bonds 75,000 units      87,579      

Microsoft Corporation 5.3% Due 02/08/2041

   Corporate Bonds 69,000 units      87,353      

Blackrock Inc. 6.25% Due 9/15/2017*

   Corporate Bonds 75,000 units      87,256      

Ginnie Mae Pool #535143 6.45% Due 1/15/2031

   Government Mortgage Backed Securities 76,664 units      87,249      

Apache Corporation 6% Due 9/15/2013

   Corporate Bonds 80,000 units      87,153      

Ginnie Mae Remic Series 2006-26 Due 6/20/2036

   Government Mortgage Backed Securities 671,657 units      87,086      

PacifiCorp 5.75% Due 04/01/2037

   Corporate Bonds 70,000 units      86,479      

National Rural Utilities 10.375% Due 11/01/2018

   Corporate Bonds 60,000 units      86,325      

BB&T Corporation 5.2% Due 12/23/2012

   Corporate Bonds 80,000 units      85,648      

Petro-Canada 7.875% Due 06/15/2026

   Corporate Bonds 65,000 units      85,468      

Cleveland Electric Illumination Company 5.65% Due 12/15/2013

   Corporate Bonds 80,000 units      85,383      

Intel Corporation 3.3% Due 10/01/2021

   Corporate Bonds 81,000 units      85,328      

Federal Home Loan Mortgage Corporation Series 3747 4.5% Due 07/15/2037

   Government Mortgage Backed Securities 756,671 units      84,550      

Fannie Mae Remic Trust 2010-35 Variable Rate Due 4/25/2040

   Government Mortgage Backed Securities 650,938 units      84,173      

United States Treasury Bonds Inflation Index 2% Due 1/15/2026

   Index Linked Government Bonds 60,000 units      84,148      

Capital One Financial Corporation 6.75% Due 9/15/2017

   Corporate Bonds 75,000 units      84,039      

Ginnie Mae Pool #535166 6.45% Due 1/15/2031

   Government Mortgage Backed Securities 72,920 units      82,988      

Time Warner Cable Inc. 6.75% Due 6/15/2039

   Corporate Bonds 70,000 units      82,720      

Oracle Corporation 5% Due 07/08/2019

   Corporate Bonds 70,000 units      82,530      

Federal Home Loan Mortgage Corporation Preassign 00603 5% Due 2/15/2020

   Government Mortgage Backed Securities 802,105 units      82,326      

Federal Home Loan Mortgage Corporation Series 3218 Floating Rate Due 9/15/2026

   Government Mortgage Backed Securities 553,673 units      81,857      

Fannie Mae 6% Due 4/18/2036

   Government Agency Bonds 70,000 units      81,281      

Sempra Energy 9.8% Due 02/15/2019

   Corporate Bonds 60,000 units      81,033      

Nelnet Student Loan Trust Floating Rate Due 4/25/2024

   Asset Backed Securities 80,000 units      81,019      

Federal Home Loan Mortgage Corporation Pool #G02809 3.5% Due 5/01/2036

   Government Mortgage Backed Securities 71,603 units      81,000      

ebay Inc. 3.25% Due 10/15/2020

   Corporate Bonds 80,000 units      80,755      

Federal Home Loan Mortgage Corporation Series 10 Due 7/15/2019

   Government Mortgage Backed Securities 72,892 units      80,439      

Federal Home Loan Mortgage Corporation Principal Only Due 12/15/2032

   Government Mortgage Backed Securities 86,859 units      79,638      

Fannie Mae Remic 390 6% Due 7/25/2023

   Government Mortgage Backed Securities 715,862 units      79,062      

Delta Air Lines Inc. 6.821% Due 8/10/2022

   Corporate Bonds 75,634 units      78,939      

Time Warner Entertainment 8.375% Due 7/15/2033

   Corporate Bonds 60,000 units      78,643      

Macquarie Group Limited 7.3% Due 8/01/2014

   Corporate Bonds 75,000 units      78,083      

Federal Home Loan Mortgage Corporation Series 3593 Floating Rate Due 11/15/2024

   Government Mortgage Backed Securities 600,843 units      77,953      

Ginnie Mae 2003-018 Floating Rate Due 9/20/2032

   Government Mortgage Backed Securities 66,417 units      77,800      

Fannie Mae Pool 5.5% Due 2/1/2036

   Government Mortgage Backed Securities 71,072 units      77,538      

Walt Disney Company 4.125% Due 12/01/2041

   Corporate Bonds 75,000 units      77,370      

Federal Home Loan Mortgage Corporation Series 3117 Principal Only Due 2/15/2036

   Government Mortgage Backed Securities 80,398 units      76,889      

Kaupthing Bank 7.625% Due 12/31/2040

   Corporate Bonds 310,000 units      76,725      

Fannie Mae Interest Strip 5.01% Due 11/15/2021

   Government Mortgage Backed Securities 100,000 units      76,675      

Ginnie Mae 2002-41 Remic Trust Floating Rate Due 6/16/2032

   Government Mortgage Backed Securities 390,048 units      76,456      

Jeffries Group 8.5% Due 7/15/2019

   Corporate Bonds 75,000 units      76,125      

Fannie Mae Preassign 00059 6.5% Due 2/25/2044

   Government Mortgage Backed Securities 68,254 units      76,000      

Fannie Mae 2003-45 5.5% Due 6/25/2033

   Government Mortgage Backed Securities 64,000 units      75,727      

 

26


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Nomura Holdings Inc. 5% Due 3/04/2015

   Corporate Bonds 75,000 units      75,523      

E. I. du Pont de Nemours & Company 5.6% Due 12/15/2036

   Corporate Bonds 60,000 units      74,255      

Rio Tinto Financial USA 3.5% Due 11/02/2020

   Corporate Bonds 72,000 units      73,592      

Federal Home Loan Mortgage Corporation Series 3117 Due 02/15/2036

   Government Mortgage Backed Securities 77,379 units      72,737      

Hewlett-Packard Company 4.375% Due 09/15/2021

   Corporate Bonds 70,000 units      72,243      

Federal Home Loan Mortgage Corporation Pool #G13390 6% Due 1/01/2024

   Government Mortgage Backed Securities 66,227 units      72,154      

Halliburton Company 8.75% Due 02/15/2021

   Corporate Bonds 50,000 units      71,917      

Union Pacific Corporation 4.163% Due 07/15/2022

   Corporate Bonds 66,000 units      71,634      

Federal Home Loan Mortgage Corporation Pool #B3-1151 6.5% Due 11/01/2031

   Government Mortgage Backed Securities 64,921 units      70,965      

ASIF Global Financing XIX 4.9% Due 01/17/2013

   Corporate Bonds 70,000 units      70,585      

Anheuser Busch 5.375% Due 1/15/2020

   Corporate Bonds 60,000 units      70,368      

Federal Home Loan Mortgage Corporation Series 3101 5.5% Due 1/15/2036

   Government Mortgage Backed Securities 60,000 units      68,858      

Fannie Mae Remic Trust 2001-4 7% Due 3/25/2021

   Government Mortgage Backed Securities 63,226 units      68,685      

Boeing Capital Corporation 4.7% Due 10/27/2019

   Corporate Bonds 60,000 units      68,296      

Ginnie Mae Pool #534544 6.45% Due 8/15/2030

   Government Mortgage Backed Securities 59,554 units      67,776      

HSBC Home Equity Loan Trust Series 2005-2 Due 1/20/2035

   Asset Backed Securities 76,220 units      67,639      

Fannie Mae Pool #745948 6.5% Due 10/01/2036

   Government Mortgage Backed Securities 60,184 units      67,596      

PSEG Power LLC 5.125% Due 04/15/2020

   Corporate Bonds 60,000 units      67,306      

Cox Communications Inc. 8.375% Due 03/01/2039

   Corporate Bonds 50,000 units      66,948      

Southern California Edison 6.65% Due 04/01/2029

   Corporate Bonds 50,000 units      65,912      

American Municipal Power Ohio Inc. Rev. 7.499% Due 2/15/2050

   Municipal/Provincial Bonds 50,000 units      65,283      

Fannie Mae Series 331 Variable Rate Due 2/01/2033

   Government Mortgage Backed Securities 274,937 units      64,954      

AOL Time Warner 7.625% Due 04/15/2031

   Corporate Bonds 50,000 units      64,544      

Federal Home Loan Mortgage Corporation Floating Rate Due 10/15/2040

   Government Mortgage Backed Securities 388,689 units      64,101      

Federal Home Loan Mortgage Corporation Series 2611 Floating Rate Due 5/15/2033

   Government Mortgage Backed Securities 61,592 units      63,717      

Fannie Mae Preassign 00869 Variable Rate Due 12/25/2032

   Government Mortgage Backed Securities 55,118 units      63,603      

Coca-Cola Company 3.3% Due 09/01/2021

   Corporate Bonds 60,000 units      63,182      

Citigroup Inc. 6.375% Due 8/12/2014

   Corporate Bonds 60,000 units      62,971      

PPG Industries Inc. 7.4% Due 9/30/2012

   Corporate Bonds 50,000 units      62,352      

United Technologies Corporation 6.125% Due 02/01/2019

   Corporate Bonds 50,000 units      61,784      

Duke Energy Corporation 6% Due 12/01/2028

   Corporate Bonds 50,000 units      61,753      

Federal Home Loan Mortgage Corporation Series 3306 Floating Rate Due 4/15/2037

   Government Mortgage Backed Securities 58,118 units      61,500      

Vodafone Group PLC 5% Due 09/15/2015

   Corporate Bonds 55,000 units      61,396      

AT&T Inc. 6.3% Due 1/15/2038

   Corporate Bonds 50,000 units      61,387      

Ginnie Mae 2003-112 Floating Rate Due 10/20/2032

   Government Mortgage Backed Securities 500,000 units      61,114      

News America Inc. 7.625% Due 11/30/2028

   Corporate Bonds 50,000 units      60,389      

Wal-Mart Stores Inc. 5.25% Due 09/01/2035

   Corporate Bonds 50,000 units      59,809      

Federal Home Loan Mortgage Corporation Series 2650 Principal Only Due 12/15/2032

   Government Mortgage Backed Securities 65,393 units      59,801      

Bear Stearns Commercial Mortgage Securities Inc. Series 2005-PWR9 4.871% Due 9/15/2015

   Commercial Mortgage Backed Securities 55,000 units      59,652      

FPL Group Capital Inc. 7.875% Due 12/15/2015

   Corporate Bonds 50,000 units      59,650      

CSX Corporation 6.25% Due 3/15/2018

   Corporate Bonds 50,000 units      59,520      

Hewlett-Packard Company 6.125% Due 3/1/2014

   Corporate Bonds 55,000 units      59,304      

Dow Chemical Company 4.25% Due 11/15/2020

   Corporate Bonds 57,000 units      59,248      

Canadian Natural Resources Limited 5.9% Due 02/01/2018

   Corporate Bonds 50,000 units      58,930      

Fannie Mae Preassign 00464 Due 1/25/2036

   Government Mortgage Backed Securities 59,902 units      58,707      

Federal Home Loan Mortgage Corporation Series 3213 6% Due 9/15/2036

   Government Mortgage Backed Securities 50,000 units      58,294      

Cisco Systems Inc. 5.5% Due 2/22/2016

   Corporate Bonds 50,000 units      58,187      

Praxair Inc. 5.2% Due 3/15/2017

   Corporate Bonds 50,000 units      57,678      

Countrywide Financial Corporation 6.25% Due 5/15/2015*

   Corporate Bonds 60,000 units      56,528      

Alberta Energy Limited 7.375% Due 11/01/2031

   Corporate Bonds 45,000 units      56,278      

Federal Home Loan Mortgage Corporation Series 2755 Principal Only Due 2/15/2029

   Government Mortgage Backed Securities 56,426 units      56,224      

Intuit Inc. 5.75% Due 3/15/2017

   Corporate Bonds 50,000 units      56,088      

Merrill Lynch Mortgage Trust Series 2005-LC1 Due 1/12/2044*

   Commercial Mortgage Backed Securities 60,000 units      56,061      

AGL Capital Corporation 3.5% Due 09/15/2021

   Corporate Bonds 56,000 units      56,030      

Waste Management Inc. of Delaware 4.75% Due 6/20/2020

   Corporate Bonds 50,000 units      54,852      

Xerox Corporation 5.625% Due 12/15/2019

   Corporate Bonds 50,000 units      54,619      

DirecTV Holdings 6% Due 08/15/2040

   Corporate Bonds 50,000 units      54,544      

Bank of New York Inc. 4.6% Due 1/15/2020

   Corporate Bonds 50,000 units      54,431      

Federal Home Loan Mortgage Corporation Pool #M30277 5% Due 11/01/2017

   Government Mortgage Backed Securities 51,390 units      54,181      

National Semiconductor 3.95% Due 04/15/2015

   Corporate Bonds 50,000 units      54,010      

Arrow Electronics Inc. 6% Due 4/1/2020

   Corporate Bonds 50,000 units      53,608      

Potash Corporation of Saskatchewan, Inc. 3.75% Due 09/30/2015

   Corporate Bonds 50,000 units      53,607      

New York Life Global 5.375% Due 09/15/2013

   Corporate Bonds 50,000 units      53,337      

Lockheed Martin 4.25% Due 11/15/2019

   Corporate Bonds 50,000 units      53,183      

General Electric Capital Corporation 5.875% Due 1/14/2038

   Corporate Bonds 50,000 units      52,979      

 

27


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

CenterPoint Energy Resources Corporation 4.5% 01/15/2021

   Corporate Bonds 50,000 units      52,956      

Federal Home Loan Mortgage Corporation Floating Rate Due 4/15/2037

   Government Mortgage Backed Securities 50,265 units      52,508      

Fannie Mae Pool #550389 6.45% Due 9/1/2030

   Government Mortgage Backed Securities 45,679 units      52,408      

New York Life Global 3% Due 5/04/2015

   Corporate Bonds 50,000 units      52,366      

Norfolk Southern 6% Due 05/23/2111

   Corporate Bonds 45,000 units      52,236      

First Horizon Pass-Through Series 2003-7 4.5% Due 9/25/2018

   Collateralized Mortgage Obligations 50,693 units      52,093      

Bunge Limited Finance Corporation 5.875% Due 5/15/2013

   Corporate Bonds 50,000 units      52,041      

Bank of New York Inc. 2.95% Due 6/18/2015

   Corporate Bonds 50,000 units      51,853      

Goldman Sachs Group Inc. 6.15% Due 4/01/2018

   Corporate Bonds 50,000 units      51,604      

Deutsche Bank 4.875% Due 5/20/2013

   Corporate Bonds 50,000 units      51,110      

HSBC Finance Corporation 4.75% Due 07/15/2013

   Corporate Bonds 50,000 units      51,057      

Viacom Inc. 7.875% Due 7/30/2030

   Corporate Bonds 40,000 units      50,888      

Royal Bank of Canada 2.3% Due 07/20/2016

   Corporate Bonds 50,000 units      50,827      

Fifth Third Bancorp 3.625% Due 01/25/2016

   Corporate Bonds 50,000 units      50,730      

The Mosaic Company 3.75% Due 11/15/2021

   Corporate Bonds 50,000 units      50,520      

Fannie Mae Pool 5.5% Due 6/1/2036

   Government Mortgage Backed Securities 46,058 units      50,348      

Duke Capital Corporation 8% Due 10/01/2019

   Corporate Bonds 40,000 units      50,337      

Wea Finance LLC 6.75% Due 09/02/2019

   Corporate Bonds 45,000 units      50,191      

Freddie Mac Series 2643 Floating Rate Due 3/15/2032

   Government Mortgage Backed Securities 28,564 units      49,398      

Morgan Stanley 4.75% Due 4/1/2014

   Corporate Bonds 50,000 units      49,254      

Federal Home Loan Mortgage Corporation Pool 5.697% Due 4/1/2037

   Government Mortgage Backed Securities 46,114 units      48,927      

Fannie Mae Remic Trust 2009-15 Variable Rate Due 3/25/2024

   Government Mortgage Backed Securities 433,499 units      48,858      

SunTrust Banks Inc. 5.25% Due 11/05/2012

   Corporate Bonds 47,000 units      48,167      

Ginnie Mae 2009-010 Remic Pass-Through Floating Rate Due 3/16/2034

   Government Mortgage Backed Securities 452,624 units      47,975      

Ginnie Mae 2010-014 Remic Pass-Through Principal Only Due 6/16/2033

   Government Mortgage Backed Securities 49,497 units      47,833      

Nevada Power Company 5.45% Due 05/15/2041

   Corporate Bonds 40,000 units      47,523      

Connecticut Light & Power Company 5.65% Due 05/01/2018

   Corporate Bonds 40,000 units      47,397      

Dell Inc. 5.875% Due 6/15/2019

   Corporate Bonds 40,000 units      46,973      

Alabama Power Company 6.125% Due 05/15/2038

   Corporate Bonds 35,000 units      46,602      

Deutsche Bank Financial 5.375% Due 03/02/2015

   Corporate Bonds 45,000 units      46,409      

StatoilHydro ASA 5.25% Due 04/15/2019

   Corporate Bonds 40,000 units      46,290      

Federal Home Loan Mortgage Corporation Series 3171 Principal Only Due 6/15/2036

   Government Mortgage Backed Securities 50,465 units      46,155      

Fannie Mae Remic Trust 1993-G17 Variable Rate Due 4/25/2023

   Government Mortgage Backed Securities 171,878 units      45,921      

ERP Operating Limited Partnership 4.625% Due 12/15/2021

   Corporate Bonds 45,000 units      45,889      

Goldman Sachs 3.7% Due 8/01/2015

   Corporate Bonds 46,000 units      45,066      

BHP Billiton Finance USA Limited 5.5% Due 04/01/2014

   Corporate Bonds 40,000 units      43,968      

Talisman Energy, Inc. 7.75% Due 06/01/2019

   Corporate Bonds 35,000 units      43,157      

BP Capital Markets PLC 3.875% Due 3/10/2015

   Corporate Bonds 40,000 units      42,712      

Pitney Bowes Inc. 5.875% Due 8/15/2014

   Corporate Bonds 40,000 units      42,533      

Commonwealth Bank of Australia 5.0% Due 10/15/2019

   Corporate Bonds 40,000 units      42,422      

Allstate Life 5.375% Due 4/30/2013

   Corporate Bonds 40,000 units      42,237      

US Bancorp 4.125% Due 05/24/2021

   Corporate Bonds 38,000 units      42,220      

Wells Fargo & Company 5.5% Due 05/01/2013

   Corporate Bonds 40,000 units      42,204      

Principal Life Inc. 5.3% Due 12/14/2012

   Corporate Bonds 40,000 units      41,632      

Ginnie Mae 2008-060 Remic Pass-Through 5.5% Due 7/20/2038

   Government Mortgage Backed Securities 35,000 units      41,573      

Fannie Mae Pool #550387 6.45% Due 8/01/2030

   Government Mortgage Backed Securities 35,010 units      40,167      

PNC FDG Corporation 5.25% Due 11/15/2015

   Corporate Bonds 36,000 units      39,155      

Fannie Mae Remic Trust 2010-43 4.5% Due 2/25/2025

   Government Mortgage Backed Securities 568,902 units      39,067      

Appalachian Power Company 6.7% Due 08/15/2038

   Corporate Bonds 30,000 units      38,805      

Delta Air Lines Inc. 4.95% Due 5/23/2019

   Corporate Bonds 38,129 units      38,605      

PNC FDG Corporation 5.625% Due 2/01/2017

   Corporate Bonds 35,000 units      38,111      

Time Warner Cable Inc. 8.25% Due 4/01/2019

   Corporate Bonds 30,000 units      37,680      

Johnson Controls Inc. 4.25% Due 03/01/2021

   Corporate Bonds 35,000 units      37,400      

Telecom Italia Capital 6.999% Due 6/04/2018

   Corporate Bonds 40,000 units      37,396      

Bunge Limited Finance Corporation 8.5% Due 6/15/2019

   Corporate Bonds 30,000 units      36,517      

Public Service Electric & Gas 2.7% Due 5/01/2015

   Corporate Bonds 35,000 units      36,487      

Nationwide Mutual Insurance Company 9.375% Due 08/15/2039

   Corporate Bonds 30,000 units      36,254      

CME Group Inc. 5.75% Due 2/01/2014

   Corporate Bonds 33,000 units      35,971      

Pacific Gas & Electric Company 5.625% Due 11/30/2017

   Corporate Bonds 30,000 units      35,500      

Crown Castle Towers LLC 3.214% Due 08/15/2015

   Corporate Bonds 35,000 units      35,391      

Progress Energy 4.4% Due 01/15/2021

   Corporate Bonds 32,000 units      35,273      

Crh America, Inc. 6% Due 09/30/2016

   Corporate Bonds 33,000 units      35,251      

Boeing Company 4.875% Due 11/15/2020

   Corporate Bonds 30,000 units      35,027      

Norfolk Southern 7.25% Due 2/15/2031

   Corporate Bonds 25,000 units      34,690      

Southwestern Public Service Company 8.75% Due 12/01/2018

   Corporate Bonds 25,000 units      34,146      

 

28


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Goldman Sachs 3.625% Due 02/07/2016

   Corporate Bonds 35,000 units      33,818      

Fannie Mae Remic Trust 2006-21 5.5% Due 3/25/2029

   Government Mortgage Backed Securities 32,864 units      33,802      

Dominion Resources Inc. 8.875% Due 1/15/2019

   Corporate Bonds 25,000 units      33,176      

Kellogg Company 3.25% Due 05/21/2018

   Corporate Bonds 31,000 units      32,600      

Kansas City Power & Light Company 5.3% Due 10/01/2041

   Corporate Bonds 30,000 units      32,290      

Bank of New York Inc. 4.15% Due 02/01/2021

   Corporate Bonds 30,000 units      31,760      

Fannie Mae Floating Rate 2007-88 Due 9/25/2037

   Government Mortgage Backed Securities 204,885 units      31,748      

Target Corporation 6.35% Due 11/01/2032

   Corporate Bonds 25,000 units      31,745      

Gap, Inc. 5.95% Due 04/12/2021

   Corporate Bonds 33,000 units      31,475      

Rabobank Nederland 4.5% Due 01/11/2021

   Corporate Bonds 30,000 units      31,165      

Elm Road Generating Station LLC 6.09% Due 2/11/2040

   Corporate Bonds 25,000 units      31,163      

CSX Corporation 7.9% Due 05/01/2017

   Corporate Bonds 25,000 units      31,142      

Northern States Power Company 5.35% Due 11/01/2039

   Corporate Bonds 25,000 units      31,051      

Public Service Electric & Gas 5.375% Due 11/01/2039

   Corporate Bonds 25,000 units      30,912      

US Bancorp 2.45% Due 07/27/2015

   Corporate Bonds 30,000 units      30,745      

Devon Energy Corporation 6.3% Due 01/15/2019

   Corporate Bonds 25,000 units      30,579      

CVS Caremark Corporation 6.125% Due 9/15/2039

   Corporate Bonds 25,000 units      30,422      

PACCAR Financial Corporation 1.55% Due 09/29/2014

   Corporate Bonds 30,000 units      30,353      

PPG Industries Inc. 6.65% Due 03/15/2018

   Corporate Bonds 25,000 units      30,245      

Verizon Communications Inc. 6.1% Due 4/15/2018

   Corporate Bonds 25,000 units      30,034      

Southern California Edison 5.5% Due 08/15/2018

   Corporate Bonds 25,000 units      29,961      

Burlington Northern Santa Fe 5.75% Due 05/01/2040

   Corporate Bonds 25,000 units      29,910      

PepsiCo Inc. 7.9% Due 11/01/2018

   Corporate Bonds 22,000 units      29,701      

Berkshire Hathaway Inc. 5.75% Due 1/15/2040

   Corporate Bonds 25,000 units      29,662      

United Parcel Service Inc. 8.375% 4/01/2030

   Corporate Bonds 20,000 units      29,295      

Northwest Airlines Pass-Through Trust 1999-2 Mortgage .575% Due 3/01/2019

   Asset Backed Securities 28,060 units      29,253      

American Water Capital Corporation 6.085% Due 10/15/2017

   Corporate Bonds 25,000 units      29,081      

Public Service Company of Colorado 3.2% Due 11/15/2020

   Corporate Bonds 28,000 units      29,045      

Cash and cash equivalents

   Cash and cash equivalents      29,029      

Dell Inc. 5.65% Due 04/15/2018

   Corporate Bonds 25,000 units      28,962      

Xerox Corporation 6.75% Due 2/01/2017

   Corporate Bonds 25,000 units      28,637      

Jeffries Group 6.25% Due 1/15/2036

   Corporate Bonds 35,000 units      28,619      

Ginnie Mae 2001-53 Remic Trust Due 10/20/2031

   Government Mortgage Backed Securities 214,447 units      28,565      

Centel Capital Corporation 9.00% Due 10/15/2019

   Corporate Bonds 25,000 units      28,159      

CenterPoint Energy 7% Due 03/01/2014

   Corporate Bonds 25,000 units      28,101      

Wisconsin Power & Light Company 6.375% Due 8/15/2037

   Corporate Bonds 20,000 units      27,314      

National City Corporation 4.9% Due 01/15/2016

   Corporate Bonds 25,000 units      27,016      

Federal Home Loan Mortgage Corporation Pool #M30262 5% Due 3/1/2017

   Government Mortgage Backed Securities 25,378 units      26,757      

Philips Electronics 7.2% Due 6/01/2026

   Corporate Bonds 20,000 units      26,505      

Electric Data Systems Inc. Step Coupon 6% Due 8/01/2013

   Corporate Bonds 25,000 units      26,502      

Fannie Mae 5% Due 3/25/2023

   Government Mortgage Backed Securities 287,788 units      26,322      

Aquila Inc. Due 7/01/2012

   Corporate Bonds 25,000 units      26,253      

Rio Tinto Financial USA 3.75% Due 09/20/2021

   Corporate Bonds 25,000 units      26,197      

Jackson National Life 5.375% Due 5/08/2013

   Corporate Bonds 25,000 units      26,164      

Fannie Mae Remic Trust 1997-30 8% Due 5/18/2027

   Government Mortgage Backed Securities 130,013 units      26,150      

AGL Capital Corporation 5.875% Due 03/15/2041

   Corporate Bonds 22,000 units      26,026      

Glitnir Banki HF Medium Term In Default 6.375% Due 9/25/2012

   Corporate Bonds 100,000 units      26,000      

CNA Financial Corporation 5.875% Due 8/15/2020

   Corporate Bonds 25,000 units      25,681      

Nordstrom, Inc. 4% Due 10/15/2021

   Corporate Bonds 24,000 units      25,018      

American Water Capital Corporation 6.593% Due 10/15/2037

   Corporate Bonds 20,000 units      24,640      

Cisco Systems Inc. 5.5% Due 01/15/2040

   Corporate Bonds 20,000 units      24,471      

Nomura Holdings Inc. 4.125% Due 01/19/2016

   Corporate Bonds 25,000 units      24,397      

Continental Airlines Pass-Through Trust 2007-1A 5.983% Due 04/19/2022

   Corporate Bonds 23,237 units      24,194      

Union Pacific Corporation 5.45% Due 1/31/2013

   Corporate Bonds 23,000 units      24,127      

ERAC USA Finance LLC 2.25% Due 01/10/2014

   Corporate Bonds 24,000 units      23,900      

Macquarie Group Limited 6.25% Due 01/14/2021

   Corporate Bonds 25,000 units      23,884      

General Mills Inc. 5.65% Due 2/15/2019

   Corporate Bonds 20,000 units      23,734      

Viacom Inc. 3.875% due 12/15/2021

   Corporate Bonds 23,000 units      23,480      

Cisco Systems Inc. 4.45% Due 01/15/2020

   Corporate Bonds 20,000 units      22,739      

Goldman Sachs 5.25% Due 07/27/2021

   Corporate Bonds 23,000 units      22,437      

Northrop Grumman 5.05% Due 08/01/2019

   Corporate Bonds 20,000 units      22,296      

Banc America Mortgage Securities Inc. Series 2003-8 4.5% Due 10/25/2033*

   Collateralized Mortgage Obligations 22,066 units      22,034      

Ginnie Mae 2008-071 Remic Pass-Through Floating Rate Due 8/20/2038

   Government Mortgage Backed Securities 155,140 units      21,821      

Charles Schwab Corporation 4.95% Due 6/01/2014

   Corporate Bonds 20,000 units      21,675      

Pitney Bowes Inc. 6.25% Due 3/15/2019

   Corporate Bonds 20,000 units      21,653      

 

29


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value  

United States Treasury Bonds Inflation Index 3.875% Due 4/15/2029

   Index Linked Government Bonds 10,000 units      21,464      

State Street Corporation 4.3% Due 5/30/2014

   Corporate Bonds 20,000 units      21,405      

Allied Waste North America Inc. 6.875% Due 06/01/2017

   Corporate Bonds 20,000 units      21,150      

CNA Financial Corporation 5.85% Due 12/15/2014

   Corporate Bonds 20,000 units      21,074      

Fannie Mae 2009-18 5% Due 3/25/2024

   Government Mortgage Backed Securities 224,292 units      20,952      

Morgan Stanley 5.3% Due 3/01/2013

   Corporate Bonds 20,000 units      20,245      

Citigroup Inc. 5.875% Due 5/29/2037

   Corporate Bonds 20,000 units      19,975      

Fannie Mae Remic Series 2008-80 5.60825% Due 9/25/2038

   Government Mortgage Backed Securities 160,507 units      19,202      

American Airlines Pass Through Trust 5.25% Due 07/31/2022

   Corporate Bonds 19,970 units      18,573      

Ryder Systems Inc. 3.6% Due 3/16/2016

   Corporate Bonds 18,000 units      18,570      

Nucor Corporation 5.85% Due 06/01/2018

   Corporate Bonds 15,000 units      17,896      

Berkshire Hathaway Inc. 2.45% Due 12/15/2015

   Corporate Bonds 17,000 units      17,625      

Medco Health 7.125% Due 03/15/2018

   Corporate Bonds 15,000 units      17,484      

Dow Chemical Company 4.125% Due 11/15/2021

   Corporate Bonds 17,000 units      17,437      

American Airlines 2011-2 8.625% Due 04/15/2023

   Corporate Bonds 17,000 units      17,340      

Waste Management Inc. 4.6% Due 03/01/2021

   Corporate Bonds 16,000 units      17,338      

ACE INA Holdings Inc. 5.6% Due 5/15/2015

   Corporate Bonds 15,000 units      16,733      

SABMiller PLC 5.7% Due 01/15/2014

   Corporate Bonds 15,000 units      16,267      

Federal Home Loan Mortgage Corporation Series 3219 6% Due 4/15/2036

   Government Mortgage Backed Securities 109,603 units      15,930      

San Diego Gas & Electric 3.95% Due 11/15/2041

   Corporate Bonds 14,000 units      14,337      

Fannie Mae Preassign 00470 7% Due 6/25/2033

   Government Mortgage Backed Securities 81,460 units      14,100      

Public Service Company of Oklahoma 4.4% Due 02/01/2021

   Corporate Bonds 13,000 units      14,089      

Shell International Finance BV 6.375% Due 12/15/2038

   Corporate Bonds 10,000 units      13,763      

Federal Home Loan Mortgage Corporation Series 3058 0% Due 10/15/2035

   Government Mortgage Backed Securities 14,422 units      13,638      

Federal Home Loan Mortgage Corporation Series 2684 0% Due 10/15/2033

   Government Mortgage Backed Securities 13,653 units      13,617      

Amerada Hess Corporation 7.875% Due 10/01/2029

   Corporate Bonds 10,000 units      13,435      

Wal-Mart Stores Inc. 6.2% Due 4/15/2038

   Corporate Bonds 10,000 units      13,429      

Southern Company 1.95% Due 09/01/2016

   Corporate Bonds 13,000 units      13,123      

Fannie Mae Remic Trust 2008-53 Variable Rate Due 7/25/2038

   Government Mortgage Backed Securities 89,199 units      12,857      

CBS Corporation 8.875% Due 05/15/2019

   Corporate Bonds 10,000 units      12,844      

Florida Power & Light Company 5.95% Due 10/01/2033

   Corporate Bonds 10,000 units      12,790      

AT&T Inc. 6.4% Due 5/15/2038

   Corporate Bonds 10,000 units      12,354      

Lincoln National Corporation 4.85% Due 06/24/2021

   Corporate Bonds 12,000 units      12,225      

Kroger Company 6.15% Due 1/15/2020

   Corporate Bonds 10,000 units      12,135      

Fannie Mae Remic Series 2009-9 5% Due 2/25/2024

   Government Mortgage Backed Securities 121,645 units      12,012      

Kroger Company 5.4% Due 7/15/2040

   Corporate Bonds 11,000 units      11,851      

Federal Home Loan Mortgage Corporation Series 2326 6.5% Due 6/15/2031

   Government Mortgage Backed Securities 9,841 units      11,369      

News America Inc. 6.65% Due 11/15/2037

   Corporate Bonds 10,000 units      11,329      

Aon Corporation 3.5% Due 9/30/2015

   Corporate Bonds 11,000 units      11,288      

BAE Systems Holdings Inc. 5.2% Due 8/15/2015

   Corporate Bonds 10,000 units      10,752      

AIG Sunamerica Global Financing X 6.9% Due 03/15/2032

   Corporate Bonds 10,000 units      10,592      

Burlington Northern Santa Fe 3.45% Due 09/15/2021

   Corporate Bonds 10,000 units      10,307      

Citigroup Inc. 4.75% Due 05/19/2015

   Corporate Bonds 10,000 units      10,128      

Rabobank Nederland 2.125% Due 10/13/2015

   Corporate Bonds 10,000 units      9,799      

Ginnie Mae 2003-076 Remic Pass-Through Variable Rate Due 9/20/2031

   Government Mortgage Backed Securities 135,403 units      9,639      

General Electric Capital Corporation 5.3% Due 02/11/2021

   Corporate Bonds 9,000 units      9,621      

Citigroup Inc. 6.125% Due 8/25/2036

   Corporate Bonds 10,000 units      8,650      

PSEG Power LLC 4.15% Due 09/15/2021

   Corporate Bonds 8,000 units      8,309      

Lehman Brothers Holdings Inc. 6.2% Due 9/26/2014

   Corporate Bonds 30,000 units      7,913      

Shell International Finance 3.1% Due 6/28/2015

   Corporate Bonds 7,000 units      7,505      

Newell Rubbermaid 4.7% Due 8/15/2020

   Corporate Bonds 7,000 units      7,394      

Bear Stearns Asset Backed Securities Trust Adjustable Rate Due 12/25/2033

   Asset Backed Securities 8,443 units      7,062      

Federal Home Loan Mortgage Corporation Preassign 00482 6.5% Due 3/15/2033

   Government Mortgage Backed Securities 35,911 units      6,507      

John Deere Owner 1.28999996185% Due 01/15/2016

   Asset Backed Securities 5,000 units      5,028      

Residential Asset Mortgage Products Inc. Floating Rate Due 3/25/2033

   Asset Backed Securities 2,394 units      1,620      

Xcel Energy, Inc. 4.8% Due 09/15/2041

   Corporate Bonds 1,000 units      1,090      

Wisconsin Electric Power Company 2.95% Due 09/15/2021

   Corporate Bonds 1,000 units      1,019      

Lehman Brothers Holdings Inc. 6.5% Due 7/19/2017

   Corporate Bonds 180,000 units      18      

Lehman Brothers Holdings Inc. 6.75% Due 12/28/2017

   Corporate Bonds 130,000 units      13      

Lehman Brothers Holdings Inc. 5.857%

   Corporate Bonds 10,000 units      1      
     

 

 

    

Total Fixed Income Asset Class

           177,197,163   

High Yield Asset Class:

        

Blackrock High Yield Bond Fund*

   Mutual Fund 7,449,761 units      55,053,733      

Northern Trust Global Investments Collective Daily Short Term Investment Fund*

   Common Collective Trust 3,066,442 units      3,066,442      
     

 

 

    

Total High Yield Asset Class

           58,120,175   

 

30


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value  

Inflation Protection Asset Class:

        

Vanguard Inflation Protected Fund

   Mutual Fund 1,354,322 units      37,528,268      

Northern Trust Global Investments Collective Daily Tips Index Fund – Non Lending*

   Common Collective Trust 18,139 units      2,385,874      
     

 

 

    

Total Inflation Protection Asset Class

           39,914,142   

International Growth Asset Class:

        

GE Investments International Equity Fund

   Mutual Fund 8,647,534 units      81,546,245      

Artisan International Fund

   Common Collective Trust 2,321,830 units      30,532,066      

Northern Trust Global Investments Collective Daily EAFE Index Fund*

   Common Collective Trust 49,302 units      9,190,641      

Cash and cash equivalents

   Cash and cash equivalents      11,686      

Northern Trust Global Investments Collective Daily Short Term Investment Fund*

   Common Collective Trust 96 units      96      
     

 

 

    

Total International Growth Asset Class

           121,280,734   

International Value Asset Class:

        

Dodge & Cox International Fund

   Mutual Fund 5,265,883 units      153,974,432      

Northern Trust Global Investments Collective Daily EAFE Index Fund*

   Common Collective Trust 62,716 units      11,691,206      

Cash and cash equivalents

   Cash and cash equivalents      42,364      
     

 

 

    

Total International Value Asset Class

           165,708,002   

Large Cap Growth Asset Class:

        

Northern Trust Global Investments Collective Daily Russell 1000 Growth Index Fund – Non Lending*

   Common Collective Trust 124,272 units      20,001,119      

Apple Inc.

   Common Stock 38,440 shares      15,568,198      

Google Inc. Class A

   Common Stock 18,920 shares      12,220,428      

Visa Inc. Class A

   Common Stock 104,280 shares      10,587,549      

Qualcomm Inc.

   Common Stock 167,700 shares      9,173,190      

Amazon.com Inc.

   Common Stock 49,730 shares      8,608,263      

Allergan Inc.

   Common Stock 64,060 shares      5,620,624      

Schlumberger Limited

   Common Stock 78,310 shares      5,349,356      

Alexion Pharmaceuticals Inc.

   Common Stock 24,580 shares      5,332,470      

Salesforce.com Inc.

   Common Stock 51,630 shares      5,238,380      

F5 Networks Inc.

   Common Stock 44,530 shares      4,725,523      

Northern Trust Global Investments Collective Daily Short Term Investment Fund*

   Common Collective Trust 4,652,195 units      4,652,195      

Nike Inc. Class B

   Common Stock 54,800 shares      4,577,575      

Starbucks Corporation

   Common Stock 97,430 shares      4,482,754      

priceline.com Inc.

   Common Stock 9,330 shares      4,363,734      

Coach Inc.

   Common Stock 69,580 shares      4,247,163      

Oracle Corporation

   Common Stock 153,460 shares      3,936,249      

Intuitive Surgical, Inc.

   Common Stock 8,120 shares      3,759,641      

National Oilwell Varco

   Common Stock 54,800 shares      3,725,852      

IntercontinentalExchange, Inc.

   Common Stock 30,420 shares      3,667,131      

Praxair Inc.

   Common Stock 33,280 shares      3,557,632      

Precision Castparts Corporation

   Common Stock 21,100 shares      3,477,069      

Las Vegas Sands Corporation

   Common Stock 81,160 shares      3,467,967      

FMC Technologies Inc.

   Common Stock 56,000 shares      2,924,880      

W.W. Grainger Inc.

   Common Stock 15,000 shares      2,807,850      

Coca-Cola Company

   Common Stock 39,610 shares      2,771,512      

American Tower Corporation Class A

   Common Stock 45,130 shares      2,708,251      

Costco Wholesale Corporation

   Common Stock 31,910 shares      2,658,742      

ASML Holding

   Common Stock 60,000 shares      2,507,400      

EMC Corporation

   Common Stock 111,560 shares      2,403,002      

American Express Company

   Common Stock 50,840 shares      2,398,123      

Ametek Inc.

   Common Stock 29,170 shares      2,380,545      

Anadarko Petroleum Corporation

   Common Stock 16,050 shares      2,226,547      

Estee Lauder Companies Inc. Class A

   Common Stock 19,810 shares      2,225,059      

Joy Global Inc.

   Common Stock 28,680 shares      2,150,140      

Baker Hughes Inc.

   Common Stock 43,820 shares      2,131,405      

Whole Foods Market Inc.

   Common Stock 30,390 shares      2,114,536      

Expeditors International of Washington Inc.

   Common Stock 50,920 shares      2,085,683      

Illumina, Inc.

   Common Stock 62,000 shares      1,889,760      

Biogen Idec Inc.

   Common Stock 16,830 shares      1,852,142      

Accenture PLC

   Common Stock 34,570 shares      1,840,162      

Monster Beverage Corporation

   Common Stock 19,960 shares      1,839,114      

Cognizant Technology Solutions Corporation Class A

   Common Stock 27,770 shares      1,785,888      

 

31


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value

Limited Brands

   Common Stock 43,560 shares      1,757,646      

Southwestern Energy

   Common Stock 54,000 shares      1,724,760      

Halliburton Company

   Common Stock 47,810 shares      1,649,923      

Charles Schwab Corporation

   Common Stock 145,000 shares      1,632,700      

CSX Corporation

   Common Stock 76,400 shares      1,608,984      

Avago Technologies Limited

   Common Stock 55,260 shares      1,594,804      

Citrix Systems, Inc.

   Common Stock 26,210 shares      1,591,471      

Johnson & Johnson

   Common Stock 24,150 shares      1,583,757      

Wal-Mart Stores Inc.

   Common Stock 25,500 shares      1,523,880      

Noble Energy Inc.

   Common Stock 15,770 shares      1,488,530      

C H Robinson Worldwide Inc.

   Common Stock 21,000 shares      1,465,380      

Nordstrom Inc.

   Common Stock 27,880 shares      1,385,915      

Discover Financial Services

   Common Stock 54,810 shares      1,315,440      

Stryker Corporation

   Common Stock 26,400 shares      1,312,344      

T Rowe Price Group Inc.

   Common Stock 22,720 shares      1,293,904      

Plains Exploration & Production Company

   Common Stock 34,700 shares      1,274,184      

Ecolab, Inc.

   Common Stock 21,500 shares      1,242,915      

Baxter International Inc.

   Common Stock 24,280 shares      1,201,374      

Shire PLC

   Common Stock 11,020 shares      1,144,978      

Freeport-McMoran Copper & Gold Inc.

   Common Stock 30,868 shares      1,135,634      

Agilent Technologies Inc.

   Common Stock 32,460 shares      1,133,828      

TJX Companies Inc.

   Common Stock 17,400 shares      1,123,170      

Mastercard, Inc. Class A

   Common Stock 3,000 shares      1,118,460      

Sherwin-Williams Company

   Common Stock 12,470 shares      1,113,197      

Marathon Oil Corporation

   Common Stock 37,950 shares      1,110,797      

Chipotle Mexican Grill Inc.

   Common Stock 3,280 shares      1,107,787      

Covidien PLC

   Common Stock 24,520 shares      1,103,645      

Skyworks Solutions Inc.

   Common Stock 67,030 shares      1,087,227      

ebay Inc.

   Common Stock 35,480 shares      1,076,108      

CBS Corporation Class B

   Common Stock 39,640 shares      1,075,830      

Chevron Corporation

   Common Stock 10,000 shares      1,064,000      

Baidu, Inc.

   Common Stock 9,100 shares      1,059,877      

The Mosaic Company

   Common Stock 20,770 shares      1,047,431      

Dentsply International,Inc.

   Common Stock 29,640 shares      1,037,104      

CF Industries Holdings, Inc.

   Common Stock 7,080 shares      1,026,458      

Tiffany & Company

   Common Stock 15,240 shares      1,009,802      

Perrigo Company

   Common Stock 10,300 shares      1,002,190      

Occidental Petroleum Corporation

   Common Stock 10,690 shares      1,001,653      

Cardinal Health Inc.

   Common Stock 24,500 shares      994,945      

Cerner Corporation

   Common Stock 16,140 shares      988,575      

Bed Bath & Beyond Inc.

   Common Stock 17,050 shares      988,389      

VMware Inc.

   Common Stock 11,820 shares      983,306      

AmerisourceBergen Corporation

   Common Stock 26,380 shares      981,072      

Stericycle, Inc.

   Common Stock 12,510 shares      974,779      

Tempur-Pedic International, Inc.

   Common Stock 18,450 shares      969,179      

Check Point Software Technologies

   Common Stock 18,290 shares      960,957      

Parker-Hannifin Corporation

   Common Stock 12,590 shares      959,988      

Red Hat Inc.

   Common Stock 23,050 shares      951,735      

Church & Dwight Inc.

   Common Stock 20,580 shares      941,741      

Monsanto Company

   Common Stock 13,320 shares      933,332      

Teradata Corporation

   Common Stock 19,170 shares      929,937      

Norfolk Southern Corporation

   Common Stock 12,720 shares      926,779      

Nvidia Corporation

   Common Stock 66,820 shares      926,125      

Wynn Resorts Limited

   Common Stock 8,370 shares      924,801      

Valeant Pharmaceuticals International Inc.

   Common Stock 19,180 shares      895,514      

ENSCO PLC

   Common Stock 18,940 shares      888,665      

Regeneron Pharmaceuticals, Inc.

   Common Stock 16,000 shares      886,880      

Chicago Bridge & Iron Company

   Common Stock 23,460 shares      886,788      

Eaton Corporation

   Common Stock 20,240 shares      881,047      

Intuit Inc.

   Common Stock 16,280 shares      856,165      

Lululemon Athletica Inc.

   Common Stock 18,330 shares      855,278      

JP Morgan Chase & Company

   Common Stock 25,710 shares      854,858      

Broadcom Corporation Class A

   Common Stock 29,070 shares      853,495      

Dick’s Sporting Goods, Inc.

   Common Stock 23,100 shares      851,928      

Netflix Inc.

   Common Stock 12,000 shares      831,480      

 

32


Table of Contents

Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

 

### ### ### ### ### ###

Identity of Issue

  

Description of Investment

   Current Value  

Abercrombie & Fitch Company

   Common Stock 16,820 shares      821,489      

Potash Corporation of Saskatchewan, Inc.

   Common Stock 19,350 shares      798,768      

CME Group, Inc.

   Common Stock 3,250 shares      791,928 &nb