Form 11-K
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 11-K

 

 

 

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

For the fiscal year ended December 31, 2007

OR

 

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

For the transition period from              to             

Commission file number: 001-06033

 

 

 

A. Full title of the plan and the address of the plan, if different from that of the issuer named below:

United Airlines Pilot Directed Account Plan

Benefits Administration – WHQHR

United Air Lines, Inc.

P.O. Box 66100

Chicago, IL 60666

 

B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

UAL Corporation

77 W. Wacker Drive

Chicago, Illinois 60601

(312) 997-8000

 

 

 


Table of Contents

UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

TABLE OF CONTENTS

 

 

     Page

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

   1

FINANCIAL STATEMENTS:

  

Statements of Net Assets Available for Benefits as of December 31, 2007 and 2006

   2

Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2007

   3

Notes to Financial Statements as of December 31, 2007 and 2006, and for the Year Ended December 31, 2007

   4–12

SUPPLEMENTAL SCHEDULES

  

Form 5500, Schedule H, Part IV, Line 4i—Schedule of Assets (Acquired and Disposed of Within the Plan Year) for the year Ended December 31, 2007

   13

Form 5500, Schedule H, Part IV, Line 4i—Schedule of Assets (Held at End of Year) as of December 31, 2007

   23

SIGNATURE

  

EXHIBIT

  

The following exhibit is filed herewith:
Exhibit 23 Consent of Independent Registered Public Accounting Firm

  

 

NOTE:   All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable.


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Participants of the

United Airlines Pilot Directed Account Plan

We have audited the accompanying statements of net assets available for benefits of the United Airlines Pilot Directed Account Plan (the “Plan”), as of December 31, 2007 and 2006, and the related statement of changes in net assets available for benefits for the year ended December 31, 2007. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

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

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2007 and 2006, and the changes in net assets available for benefits for the year ended December 31, 2007 in conformity with accounting principles generally accepted in the United States of America.

Our audit was conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The accompanying supplemental schedules of (1) assets (acquired and disposed of within the plan year) for the year ended December 31, 2007 and (2) assets (held at end of year) as of December 31, 2007, are presented for the purpose of additional analysis and are not a required part of the basic financial statements, but are supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. These schedules are the responsibility of the Plan’s management. Such schedules have been subjected to the auditing procedures applied in our audit of the basic 2007 financial statements and, in our opinion, are fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.

 

/s/ Deloitte & Touche LLP
Chicago, Illinois
June 27, 2008

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

AS OF DECEMBER 31, 2007 AND 2006

(In millions)

 

 

     2007     2006  

ASSETS:

    

Participant-directed investments:

    

Cash and cash equivalents (Note 3)

   $ 723     $ 619  

Equity securities (Note 3)

     1,952       1,792  

Asset-backed securities

     23       21  

Corporate and international bonds

     127       92  

Government securities and other fixed income instruments (Note 3)

     109       119  

Other

     41       20  

Securities on loan (Note 3)

     209       223  
                

Total investments

     3,184       2,886  

Contribution receivable:

    

Employer contribution

     3       15  

Accrued income—net

     7       4  

Collateral received for securities loaned (Note 3)

     215       229  
                

Total assets

     3,409       3,134  
                

LIABILITIES:

    

Pending trade payables—net

     (54 )     (58 )

Excess contributions payable

     —         (21 )

Obligation for collateral received for securities loaned (Note 3)

     (216 )     (229 )
                

Total liabilities

     (270 )     (308 )
                

NET ASSETS AVAILABLE FOR BENEFITS

   $ 3,139     $ 2,826  
                

See notes to financial statements.

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

FOR THE YEAR ENDED DECEMBER 31, 2007

(In millions)

 

 

ADDITIONS:

  

Contributions:

  

Employer contributions

   $ 273  

Participant contributions

     11  

Rollover contributions (Note 1)

     2  
        

Total contributions

     286  

Investment income:

  

Income from securities lending

     1  

Net appreciation in fair value of investments

     134  

Dividends

     33  

Interest

     52  
        

Net investment income

     220  
        

Total additions

     506  
        

DEDUCTIONS:

  

Benefits paid to participants

     (179 )

Administrative expenses

     (14 )
        

Total deductions

     (193 )
        

INCREASE IN NET ASSETS

     313  

NET ASSETS AVAILABLE FOR BENEFITS:

  

Beginning of year

     2,826  
        

End of year

   $ 3,139  
        

See notes to financial statements.

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2007 AND 2006, AND FOR THE YEAR ENDED DECEMBER 31, 2007

 

 

1. DESCRIPTION OF PLAN

The following description of the United Airlines Pilot Directed Account Plan (the “Plan”) is for general information purposes only. Participants should refer to the Plan document for more complete information.

General and Plan Participants—The Plan is a defined contribution plan covering all employees of United Air Lines, Inc. (“United” or the “Company”) who are represented by the Air Line Pilots Association, International (“ALPA”). United pilots are eligible to become participants in the Plan on their date of hire. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”).

Trustee and Record Keeper—The Russell Trust Company (“Russell” or “Trustee”) serves as Plan Trustee. Per the United Airlines, Inc. Pilots’ Directed Account Plan Trust Agreement, Russell is responsible for many aspects of the trust, including administration and the management and custody of all Plan assets. As approved by the Retirement and Welfare Administration Committee appointed by the Board of Directors of the Company, Russell has hired The Northern Trust Company to serve as sub-custodian of the Plan and Hewitt & Associates to serve as the subagent performing the participant recordkeeping functions.

Equity Distribution—On February 1, 2006, UAL Corporation (“UAL”) and United emerged from bankruptcy protection. The Bankruptcy Court’s approval of the Company’s Plan of Reorganization provided employees with shares of new stock in UAL upon exit from bankruptcy. The distribution for employees is in direct proportion to the labor savings of each employee group provided during the bankruptcy reorganization process.

For eligible pilots, approximately 5% of the ALPA shares were allocated to pilots on furlough status with the remainder allocated to active pilots on a seniority-based formula.

UAL shares were deposited directly into the Plan to the extent allowable under section 415(c) of the Internal Revenue Code. Any additional equity beyond these limits was distributed in the form of cash. An equity distribution of $184,272 occurred on April 27, 2007 related to the 2006 Plan year, and is included in Employer contribution receivable in the Statement of Net Assets Available for Benefits at December 31, 2006. Additional distributions occurred on November 8, 2007 for $9,109,389 and are included in Employer contributions in the Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2007. Some pilots opted to have United sell their claim to these shares in advance of United’s emergence from bankruptcy. The cash proceeds from this sale were distributed in the same manner as the shares distribution which included contributions to the Plan.

Convertible Notes Distribution—The Bankruptcy Court’s approval of the Plan of Reorganization provided that UAL convertible notes be issued to eligible employees to partially offset the retirement benefits that active employees lost when United’s defined benefit pension plans were terminated. For ALPA, eligible employees include those who were on the United Pilots’ System Seniority list as of January 1, 2005.

 

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In ALPA’s case, $550 million face amount of convertible notes were sold and a portion of the proceeds were distributed to eligible participants to the extent allowable under section 415(c) of the Internal Revenue Code. Allocation among the eligible participants was based on a pilot’s projected benefit to age 60 considering recoveries from the PBGC. Distribution proceeds of $185,476,994 from the sale of UAL convertible notes as part of the bankruptcy reorganization occurred on March 8, 2007, of which $4,716,419 and $180,760,574 related to plan years 2006 and 2007, respectively. The amount related to the 2007 plan year is included within Employer Contributions in the 2007 Statement of Changes in Net Assets Available for Benefits.

Contributions—There are several types of contributions that may be made to the Plan on participants’ behalf:

 

   

Company Contributions: The Company contributes to the Plan an amount equal to 15% of participant eligible earnings. Company contributions on behalf of a participant are allocated directly to each participant’s account. Company cash contributions made in 2007, in addition to the Notes and Equity distributions discussed above, were $83,624,568.

 

   

Voluntary pre-tax contributions: Eligible employees may elect to contribute to the Plan in any whole percentage from 1% to 60% of eligible earnings. Eligible employees may also make a supplemental election to contribute an additional pre-tax contribution in an amount equal to 1% to 90% of their net pre-tax pay. Section 402(g) of the Internal Revenue Code (“IRC”) limits the amount of pretax 401(k) contributions to a maximum of $15,500 in 2007. Lower limits may apply to certain highly compensated participants if the Plan does not pass certain nondiscrimination tests required by law. Section 415(c) of the IRC limits the total amount of contributions to all qualified defined contribution retirement plans to the lesser of 100% of annual taxable earnings or $45,000.

 

   

Voluntary pre-tax catch-up contributions: Participants age 50 or older at any time during the Plan year can make additional pre-tax catch-up contributions to the Plan. This catch-up contribution is available only to the extent the participant has contributed the maximum amount of 401(k) contributions permitted under the Plan and the participant has not exceeded the annual catch-up contribution limit. For calendar year 2007, the maximum amount is $5,000.

 

   

Rollover Contributions—Participants may elect to roll over money into the Plan from certain other qualified employer plans or qualified Individual Retirement Account (“IRA”). The Plan will not accept a rollover of after-tax contributions. Rollover contributions for the year ended December 31, 2007, include $2,218,647, which were transferred from other qualified plans as rollovers under the IRC Sections 402(c) and 408(d).

 

   

After-Tax Contributions: Participants may make voluntary after-tax contributions to the Plan in whole percentage from 1% to 60% of their earnings for each pay-period through regular payroll deductions.

Participant Accounts—Individual accounts are maintained for each Plan participant. Each participant’s account is credited with the contributions, and Plan earnings, and charged with withdrawals and an allocation of Plan losses and administrative expenses. Allocations are based on account balances, as defined. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.

 

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Investments—Participants direct the investment of their contributions and account balances in 1% increments into the following various investment options offered by the Plan:

 

   

Money Market Fund

 

   

Short-Term Bond Fund

 

   

Diversified Bond Fund

 

   

Value Equity Fund

 

   

Growth Equity Fund

 

   

Small Cap Equity Fund

 

   

International Equity Fund

 

   

S&P 500 Index Fund

 

   

UAL Stock Fund

 

   

Balanced Funds, which are funds that are comprised of different combinations of the above-mentioned funds

 

   

Individual Brokerage Account (IBA)—Subject to a number of conditions and restrictions, this option allows participants to select from a wide range of investments-including UAL common stock- which are made available through the Charles Schwab and Co., Inc. individual brokerage account network.

Vesting—Participants are vested immediately in their contributions and the Company’s contributions, plus actual earnings thereon, and the balance of a participant’s account is nonforfeitable at all times. Accordingly, there are no forfeitures under the Plan.

Participant Loans—Active employees receiving regular pay from the Company may borrow from their fund accounts. A loan may not exceed $50,000 minus their highest outstanding loan balance over the last 12 months or one-half of their Plan account balance, whichever is less. The minimum that may be borrowed is $1,000. Loans will be funded by a pro-rata transfer from the assets of the account invested in the investment funds (excluding Individual Brokerage Accounts). The loan is secured by the participant’s account balance, and is generally repaid through payroll deductions on an after-tax basis for the term of the loan, which is a maximum of 60 months. The term of the loan may be extended to a period up to 15 years if the loan is used to acquire a principal residence. Loans are subject to an annual interest rate at one percent above the prime rate listed in the Wall Street Journal on the business day preceding the effective date of the participant request (interest rates ranged from 5% to 10.5% at December 31, 2007). Participants may only have one loan outstanding at any time. Participants are eligible to request a new loan 30 days after full repayment of a prior loan. An administrative fee of $90 is charged to each participant taking a loan and is automatically deducted from the participant’s account and added to the loan amount.

Payment of Benefits—Withdrawals from the Plan may be made as follows, as applicable to the participant’s eligibility, amount requested, and existing balances:

 

   

Participants who have separated from service (for reasons other than death) may elect payment in the form of a lump sum, periodic distributions, irregular partial distributions, or in the form of a fixed or variable annuity. All or a portion of the amount of the distribution may be excluded from income by a direct rollover into an Individual Retirement Account, qualified plan, an annuity contract or annuity plan under Section 403, and certain governmental plans under Section 457. However, distributions required under the minimum distribution rules, a hardship distribution from pre-tax contributions, or periodic payments in substantially equal amounts over the life, life expectancy or period of 10 years and more are not eligible for rollover distributions. If a participant’s account does not exceed $5,000, total distribution of the account will be made in a lump-sum payment upon termination of

 

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employment or death. Participants must begin to receive plan benefits not later than April 1st of the year following the year in which they reach age 70 1/2. At a minimum, they must draw benefits in annual installments at least equal to the minimum required by law.

 

 

 

Distributions of accounts due to the death of a participant may be taken by the participant’s beneficiaries in any one, or any combination of forms, and in any proportions, as are made available to a participant upon retirement or termination of employment. The participant’s surviving spouse, if any, is automatically the beneficiary of half of the account. A surviving spouse may elect to defer distribution until a participant would have attained age 70 1/2 or may elect an earlier distribution. Any designated beneficiary who is not the participant’s surviving spouse may elect a direct trustee-to-trustee transfer of eligible distributions.

 

   

In-service withdrawals for participants who are actively employed or are absent due to reasons of illness (other than grounded status), or approved leave of absence and maintain an employer-employee relationship with the Company are permitted as follows:

 

   

Discretionary withdrawals of after-tax contributions and earnings;

 

   

Hardship withdrawals of pre-tax 401(k) contributions, subject to restrictions described in the Plan; and

 

   

After reaching age 59-1/2, rollover contributions (as adjusted for earnings and losses) may be withdrawn at any time. After rollover contributions are depleted, pre-tax contributions (but no earnings) can be withdrawn.

Generally, withdrawals are allocated pro-rata to the balances of each of the investment funds in the participant’s account.

 

2. SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting—The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of net assets available for benefits and changes therein. Actual results could differ from those estimates. Investment securities, in general, are exposed to various risks, such as interest rate, credit, and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

New Accounting Pronouncements—In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”), which defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. SFAS 157 does not require any new fair value measurements; rather it specifies valuation methods and disclosures to be applied when fair value measurements are required under existing or future accounting pronouncements. SFAS 157 will be adopted in the Plan’s financial statements beginning January 1, 2008. Plan management believes the adoption will not have a material effect on the financial statements, but will require additional disclosure.

 

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In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities—an amendment of FASB Statement No. 133 (“SFAS 161”). This Statement changes the disclosure requirements for derivative instruments and hedging activities. Entities are required to provide enhanced disclosures about (a) how and why an entity uses derivative instruments, (b) how derivative instruments and related hedged items are accounted for under Statement of Financial Accounting Standards No. 133, Accounting for Derivative Instruments and Hedging Activities (“SFAS 133”) and its related interpretations and (c) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. SFAS 161 is effective for periods beginning after November 15, 2008, although early adoption is allowed. Plan management is currently evaluating assets held by the Plan to determine the impact of adopting SFAS 161.

Investment Valuation and Income Recognition—The Plan’s domestic investments are stated at fair value as determined by market prices quoted on U.S. securities exchanges. The fair value of foreign securities and foreign currency deposits is based on market prices quoted on foreign securities exchanges, and this value is converted to U.S. dollars using the exchange rate in effect at Plan year-end.

The pending trade payables are recorded net of related receivables and represent net amounts due to investment managers arising from security trading activities settled subsequent to year-end.

Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date.

Net Appreciation (Depreciation) in Value of Investments—Net appreciation (depreciation) in value of investments includes realized and unrealized gains and losses. Realized and unrealized gains and losses are calculated as the difference between fair value at January 1, or date of purchase if subsequent to January 1, and fair value at date of sale or the current year-end. The unrealized gain or loss on investments in the International Equity Fund represents the difference between fair value at January 1, or date of purchase, and the fair value at the date of sale or the current year-end plus, where applicable, the change in the exchange rate between the U.S. dollar and the foreign currency in which the assets are denominated from January 1, or the date of purchase, to the date of sale or the current year-end.

Administrative and Investment Management Expenses—Management and audit fees, which are paid by the Plan, are paid to the trustee based upon investment fund balances. Brokerage and other investment fees are included as a reduction of the net appreciation (depreciation) in fair value of investments. United performs certain administrative functions for the Plan without charge.

Payment of Benefits—Benefit payments to participants are recorded upon distribution. Amounts relating to participants who have elected to withdraw from the Plan but have not yet been paid were $1,429,065 and $907,937 at December 31, 2007 and 2006, respectively.

 

3. INVESTMENTS

The Plan’s investments that represented 5% or more of the Plan’s net assets available for benefits as of December 31, 2007 and 2006, are as follows (in millions):

 

     2007    2006

Frank Russell Short-Term Investment Fund

   $ 476    $ 397
             

 

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During 2007, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated in value by $134 million as follows (in millions):

 

Cash and cash equivalents—net of offsets

   $ 2

Equity securities

     108

Corporate and International Bonds—net of offsets

     2

Government securities and other fixed income instruments—net of offsets

     8

Net Gain on Schwab IBA

     14
      

Total

   $ 134
      

The Trustee is authorized to engage in the lending of certain Trust assets. Securities lending is an investment management strategy that utilizes the existing securities (government bonds, corporate bonds, or equities) of the Trust to earn additional income (approximately $861,104 and $631,567 in 2007 and 2006, respectively). It involves the loaning of securities by the Lending Agent (The Northern Trust Company) to a select group of approved broker-dealers. In return for the loaned securities, the Lending Agent simultaneously receives collateral from a borrower (such as in the form of cash, U.S. government securities and irrevocable bank letters of credit) as a precaution against possible default of any borrower on the return of the loan. Each loan is collateralized to the extent of 102% for domestic securities and 105% for international securities of the fair value of the loan (including any accrued interest if appropriate to particular securities). The collateral is marked-to-market on a daily basis to maintain the margin requirement.

Plan assets are invested by a group of investment managers. The investment managers buy or sell securities on behalf of the Plan, in accordance with the investment objectives and guidelines established for each of the investment funds.

 

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As of December 31, 2007, the investment managers were as follows:

 

Money Market Fund    —      Russell Trust Company
Short Term Bond Fund    —      Pacific Investment Management Company
Diversified Bond Fund    —      Western Asset Management Company
   —      Pacific Investment Management Company
   —      Russell Trust Company
International Equity Fund    —      Arrowstreet Capital, LP
   —      Marsico Capital Management, LLC
   —      MFS Institutional Advisors, Inc.
   —      AllianceBernstein. LP
   —      Russell Trust Company
Value Equity Fund    —      Dodge & Cox Incorporated
   —      Jacobs Levy Equity Management, Inc.
   —      MFS Institutional Advisors, Inc.
   —      Russell Trust Company
Growth Equity Fund    —      Marsico Capital Management, LLC
   —      Cornerstone Capital Management
   —      Suffolk Capital Management, LLC
   —      Sustainable Growth Advisers. LP
   —      Turner Investment Partners, Inc.
   —      Russell Trust Company
Small Cap Equity Fund    —      ClariVest Asset Management LLC
   —      Copper Rock Capital Partners
   —      Delaware Investment Advisers
   —      Jacobs Levy Equity Management, Inc.
   —      Martingale Asset Management, L.P.
   —      Opus Capital Management
   —      Turner Investment Partners, Inc.
   —      Russell Trust Company
S&P 500 Index Fund    —      PanAgora Asset Management
Individual Brokerage Account Option    —      Self-directed account with Charles Schwab

 

4. DERIVATIVE FINANCIAL INSTRUMENTS

The Plan allows certain investment managers to reduce the funds’ exposure to foreign currency fluctuations through the use of foreign currency forwards, options and credit derivatives. The Plan authorizes certain investment managers to earn equity returns on the funds’ cash position through equity

 

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index future contracts. Additionally, other investment managers use interest rate futures and money market futures to replicate government bond positions and manage interest rate exposure. Credit default swaps may be used by investment managers to effectively increase or decrease their exposure to individual corporate bond issues or baskets of corporate bond issues. They may also be used to effectively replicate corporate bond positions and manage overall credit risk. The Plan prohibits investment managers from being a party to any leveraged derivatives. All derivative positions are stated at fair value as determined by exchange quoted market prices or through other valuation techniques.

 

5. EXEMPT PARTY-IN-INTEREST TRANSACTIONS

The Plan holds investments managed by Russell. Russell is the trustee as defined by the Plan, and, therefore, these transactions qualify as party-in-interest transactions. Total fees and commissions paid by the Plan to Russell for plan year 2007 totaled $14,640,525.

The Plan invested in shares of UAL common stock. UAL is the parent company of United and, as such, investment activity related to UAL common stock qualifies as exempt party-in-interest transactions.

 

6. PLAN TERMINATION

The Company expects to continue the plan indefinitely, but reserves the right to terminate the Plan, in whole or in part, provided that Plan termination is effected by a written resolution adopted by a majority of the Board of Directors of the Company and subject to the provisions set forth in ERISA and the currently effective collective bargaining agreement with ALPA. If the Plan is terminated, employer contributions would cease and all amounts credited to a participant’s account at the time of termination shall be retained in the Plan and will be distributed in accordance with ERISA and the normal distribution rules of the Plan.

 

7. FEDERAL INCOME TAX STATUS

The IRS has determined and informed the Company by a letter, dated September 5, 2003, that the Plan and related trust were designed in accordance with applicable regulations of the Internal Revenue Code. The Plan has been amended since receiving the determination letter; however, the Company and the Plan administrator believe that the Plan is currently designed and operated in compliance with the applicable requirements of the Internal Revenue Code, and the Plan and related trust continue to be tax-exempt. Therefore, no provision for income taxes has been included in the Plan’s financial statements.

 

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8. RECONCILIATION TO FORM 5500

At December 31, 2007 and 2006, certain participants had requested distributions from the Plan, but were not paid until the following January. No liability is recorded in the financial statements for such transactions. However, these amounts are included as a benefit payable in the Form 5500. The reconciliation between the financial statements and the Form 5500 is as follows (in millions):

 

     2007     2006  

Net assets available for plan benefits per financial statements

   $ 3,139     $ 2,826  

Less amounts allocated to withdrawing participants

     (2 )     (1 )
                

Net assets available for plan benefits per Form 5500

     3,137       2,825  
                

Benefits paid to participants per financial statements

   $ 179    

Add: amounts allocated to withdrawing participants at December 31, 2007

     2    

Less: amounts allocated to withdrawing participants at December 31, 2006

     (1 )  
          

Benefits paid to participants per Form 5500

   $ 180    
          

 

9. PLAN AMENDMENT

The Plan was amended during 2007 to account for the treatment of settlement proceeds from litigation involving the terminated UAL Corporation Employee Stock Ownership Plan. In 2007, these proceeds were invested into the Plan for each eligible participant. The amendment also allows any employee or former employee with an account balance under the trust related to the terminated UAL Corporation Employee Stock Ownership Plan to transfer such amounts into the Plan.

In addition, the amendment stipulates if an employee of the Company who is a participant in another defined contribution plan becomes a participant of the Plan, his or her defined contribution account will immediately be transferred into the Plan and will continue to be subject to all the requirements, limitations and options of the prior plan. Additionally, if a participant of the Plan is transferred to another defined contribution plan, his or her account will be transferred to that plan and be subject to all the requirements, limitations and options of the Plan.

The amendment also provides which funds non-directed contributions will be invested in. In addition, the amendment provides any designated beneficiary, who is not the participant’s surviving spouse, may elect a direct trustee-to-trustee transfer of eligible distributions.

******

 

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SUPPLEMENTAL SCHEDULE

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

1ST SOURCE CORP COM

   (37,213.40 )   32,118.70

AAA ENERGY INC COM STK

   (1,252.90 )   668.73

ACA CAP HLDGS INC COM STK

   (145,270.72 )   55,200.21

ADIDAS AG NPV

   (334,920.77 )   326,878.80

ADR ACORN INTL INC SPONSORED ADR

   (4,855.95 )   2,690.00

ADR AIXTRON AKTIENGESELLSCHAFT SPONSOREDADR REPSTG ORD SHS

   (535.95 )   590.23

ADR APT SATELLITE HLDGS LTD SPONSORED ADR ISIN US00203R1059

   (2,352.95 )   2,153.98

ADR ASAT HLDGS LTD SPONSORED ADR NEW

   (2,489.95 )   2,244.07

ADR BRASIL TELECOM PARTICIPACOES S A SPONSORED ADR REPSTG PFD SHS

   (28,147.98 )   29,685.63

ADR COCA-COLA HELLENIC BOTTLING CO S A SPONSORED ADR

   (17,292.61 )   18,001.56

ADR COMPANIA CERVECERIAS UNIDAS S A SPONSORED ADR

   (4,184.95 )   3,269.99

ADR EMBOTELLADORA ANDINA S A SPONSORED ADR REPSTG SER A

   (10,019.10 )   9,849.89

ADR EMPRESA NACIONAL DE ELECTRICIDAD CHILE SPONSORED ADR

   (24,684.95 )   20,134.74

ADR EMPRESAS ICA SOCIEDAD CONTRLADORA S A DE C V SPONSORED ADR NEW

   (34,117.85 )   37,579.51

ADR ENEL SOCIETA PER AZIONI ADR

   (2,754.95 )   2,788.00

ADR ETELECARE GLOBAL SOLUTIONS INC SPONSORED ADR

   (5,224.95 )   5,747.45

ADR FOMENTO ECONOMICO MEXICANA SAB DE CV

   (849,367.94 )   834,353.23

ADR GENTIUM S P A SPONSORED ADR

   (10,584.95 )   10,259.88

ADR GOL LINHAS AEREAS INTELIGENTES SPONSORED ADR REPSTG PFD SHS

   (391,756.97 )   244,196.83

ADR IMPERIAL TOB GROUP PLC SPONSORED

   (8,548.95 )   8,678.91

ADR INTERCONTINENTAL HOTELS GROUP PLC NEW SPONSORED ADR NEW JUNE 2007

   (2,667.95 )   2,566.01

ADR INTL PWR PLC SPONSORED ADR

   (11,517.95 )   13,089.89

ADR LAFARGE S A SPONSORED ADR NEW

   (8,626.95 )   8,089.92

ADR LONGTOP FINL TECHNOLOGIES LTD ADR

   (8,109.95 )   7,843.92

ADR LUXOTTICA GROUP S P A SPONSORED ADR

   (15,259.95 )   16,364.79

ADR METROGAS S A SPONSORED REPSTG CL B SHS

   (2,139.45 )   3,077.50

ADR NET SERVICOS DE COMUNICACAO S A SPONSORED ADR REPSTG PFD NEW

   (17,909.95 )   16,889.79

ADR PETROLEUM GEO-SVCS ASA NEW SPONSOREDADR

   (7,715.66 )   7,813.41

ADR PORTUGAL TELECOM SGPS S A SPONSORED ADR

   (11,376.75 )   10,845.93

ADR PRANA BIOTECHNOLOGY LTD SPONSORED ADR

   (5,479.90 )   6,489.94

ADR RANGE RES LTD ADR ADR

   (7,659.95 )   4,328.03

ADR SIMCEREPHARMACEUTICAL GROUP SPONSORED ADR

   (212,487.04 )   205,555.93

ADR ST GEORGE BK LTD SPONSORED ADR

   (6,114.95 )   6,069.95

ADR SUNTECH PWR HLDGS CO LTD ADR

   (366,024.36 )   425,216.21

ADR TELECOMUNICACOES BRASILEIRAS S A PFDBLOCK

   (13,993.70 )   13,894.52

ADR VITRO SOCIEDAD ANONIMA SPONSORED

   (10,022.55 )   8,773.77

ADR VOLKSWAGEN A G SPONSORED ADR

   (2,249.95 )   2,199.97

ADR XINHUA FIN MEDIA LTD SPONSORED ADR

   (28,275.97 )   27,997.04

AERCAP HOLDINGS N.V. EUR0.01

   (255,109.95 )   248,262.72

 

- 13 -


Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

AIR CHINA LTD SPONSORED ADR REPSTG 20 H SHS SPONSORED ADR REPSTG 20 H SHS

   (13,809.95 )   15,039.81

ALEXCO RESOURCE CORP COM STK

   (10,481.69 )   7,817.93

ALEXZAPHARMACEUTICALS INC COM

   (185,239.41 )   158,728.33

ALGODYNE ETHANOL ENERGY CORP COM

   (1,469.95 )   240.04

ALIBABA.COM LTD HKD0.0001

   (83,180.19 )   182,626.74

ALMOST FAMILY INC COM

   (6,906.95 )   7,057.94

ALTRA HLDGS INC COM

   (179,006.10 )   175,637.26

AMACORE GROUP INC CL A CL A

   (10,209.95 )   6,089.95

AMADA CO LTD NPV

   (121,514.07 )   89,907.55

AMBASSADORS INTL INC COM

   (21,254.95 )   18,069.77

AMDOCS ORD GBP0.01

   (428,820.03 )   364,344.85

AMERICAN CAMPUS CMNTYS INC COM

   (5,019.83 )   4,969.96

AMERN SCIENTIFIC RES INC COM NEW

   (349.95 )   330.04

AMPCO-PITTSBURG CORP COM

   (6,001.45 )   4,811.03

ANGIOTECH PHARMACEUTICALS INC COM

   (11,282.35 )   12,107.41

ASCENDANT COPPER CORP COM STK

   (990.95 )   617.37

ASPEN EXPL CORP COM PAR $0.005 COM PAR $0.005

   (19,009.85 )   14,265.85

ASSA ABLOY SER’B’NPV

   (188,256.51 )   170,137.33

ATLANTIC AMERN CORP COM

   (358.95 )   331.03

AUDIOCODES LTD COM STK

   (5,659.95 )   5,869.95

AUGEN CAP CORP COM

   (13,059.95 )   13,375.84

AVALON PHARMACEUTICALS INC COM STK

   (2,984.95 )   2,350.01

AXS-ONE INC COM

   (2,889.95 )   2,979.98

BALFOUR BEATTY GBP0.50

   (78,738.64 )   76,293.84

BANC ONE CORP 7.6% DUE 05-01-2007 REG

   (10,063.60 )   10,000.00

BANNER CORP COM

   (67,496.80 )   52,003.90

BARCLAYS BK PLC 6-MONTH REV CONV NT LKD TO 16.125 DUE 10-02-2007 REG

   (25,000.00 )   25,000.00

BAUER EDDIE HLDGS INC COM

   (13,009.95 )   13,060.80

BCO ESPIRITO SANTO EUR5(REGD)

   (203,333.84 )   219,874.61

BEAR CREEK MNG CORP COM STK

   (15,671.70 )   13,924.88

BEIERSDORF AG EUR1

   (421,159.80 )   375,044.98

BETANDWIN.COM INTE NPV

   (93,676.17 )   93,754.68

BIGSTRING CORP COM

   (9,254.85 )   6,829.98

BIO IMAGING TECHNOLOGIES INC COM

   (36,173.30 )   34,206.99

BIOMERICA INC COM NEW COM NEW

   (10,880.90 )   9,964.97

BIOMODA INC COM

   (1,529.95 )   1,010.03

BIOQUEST TECHNOLOGIES INC COM STK

   (4,709.35 )   4,489.98

BIZ OUTSOURZING INC COM

   (2,649.95 )   1,790.02

BLUE EARTH REFINERIES, INC

   (2,309.95 )   2,060.05

BLUE RIV BANCSHARES INC COM

   (21,765.95 )   18,433.75

BOB EVANS FARMS INC COM

   (18,509.95 )   18,614.76

BOMBARDIER INC CL B COM

   (17,019.90 )   20,679.78

BOVIS HOMES GROUP ORD GBP0.50

   (160,938.25 )   112,869.69

BRAVO BRANDS INC COM

   (15,572.20 )   4,870.06

 

- 14 -


Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

BROOKFIELD PPTYS CORP COM

   (15,633.90 )   14,913.57

BWAY HLDG CO COM STK

   (160,500.00 )   122,991.36

CADENCE PHARMACEUTICALS INC COM

   (3,127.95 )   3,010.00

CALAMOS ASSET MGMT INC CL A COM STK

   (121,918.09 )   132,317.78

CALAVO GROWERS INC COM

   (14,363.35 )   15,590.21

CANYON BANCORP COM STK

   (2,559.95 )   2,520.01

CAPITACOMMERCIAL NPV (REIT)

   (37,382.86 )   43,804.31

CARDIAC NETWORK INC COM OTC

   (2,269.95 )   2,940.00

CARLSBERG SER’B’DKK20

   (308,840.80 )   431,192.70

CBRE RLTY FIN INC COM

   (75,183.00 )   73,871.29

CELSIUS HLDGS INC COM

   (16,318.85 )   11,988.57

CEMEX SA CPO NPV(REP 2’A’ 1’B’)

   (128,319.77 )   107,981.81

CENTURY PETE CORP COM STK

   (5,400.24 )   1,621.56

CHAMPION INDS INC W V COM

   (4,989.95 )   4,858.02

CHAPEAU INC COM NEW COM NEW

   (9,993.95 )   10,885.71

CHC HELICOPTER CORP CL A SUB VTG

   (286,383.40 )   271,887.51

CHEUNG KONG(HLDGS) HKD0.50

   (553,640.42 )   580,448.06

CHINA CLEAN ENERGY INC COM

   (12,509.95 )   14,739.59

CHINA FRUITS CORP COM

   (1,034.95 )   802.53

CHINA SHOE HLDGS INC COM STK

   (9,019.90 )   9,129.95

CHINA VOICE HLDG CORP COM

   (30,689.85 )   29,049.67

CHUGAIPHARMACY CO. LTD NPV

   (1,538,352.69 )   1,025,981.25

CIE DE ST-GOBAIN EUR4

   (998,534.71 )   1,071,886.05

CIMPOR CIMENTOS DE EUR1(REGD)

   (123,241.69 )   124,637.54

CIT GROUP INC NEW SR NT 5.75% DUE 09-25-2007

   (5,024.50 )   5,000.00

CITIGROUP INC NT 4.125% DUE 02-22-2010 BEO

   (352,234.80 )   351,717.60

CITY DEVELOPMENTS SGD0.50

   (124,191.56 )   108,561.19

CLIMATE EXCHANGE PLC ORD GBP0.01

   (41,341.45 )   45,043.55

CMNWLTH BK OF AUST NPV

   (120,360.15 )   125,028.43

CMO AMERN HOME MTG INVT TR 2005-2 MTG CLV-A-2 ADJ RATE DUE 10-25-2034 REG

   (709,557.60 )   445,868.24

CMO MASTR ADJ RATE MTG TR 2007-3 2.5925%DUE 05-25-2047 BEO

   (635,227.63 )   31,419.26

CMO RESDNTL ACCREDIT LNS INC MTGPASS SER 2004-QA6 CL NBIV FLTRT 12-26-2034REG

   (687,214.08 )   92,650.16

CMO THORNBURG MTG SECS TR 2007-4 6.214317% DUE 09-25-2037 BEO

   (256,303.13 )   4,436.89

CMO WELLS FARGO MTG BACKED SECS 2005-AR12 TR CL II-A-1 DUE 7-25-2035 REG

   (663,631.47 )   266,134.81

COATES INTL LTD COM

   (61,499.45 )   63,549.48

COGDELL SPENCER INC COM

   (36,419.85 )   36,305.50

COLES GROUP LTD NPV

   (652,662.23 )   427,189.46

COLIBRI RESOURCE CORP COM

   (5,819.15 )   3,118.03

COM

   (10,491.60 )   7,000.47

COM

   (4,989.95 )   4,862.93

COMFORTDELGRO CORP SGD0.25

   (48,308.13 )   44,617.29

COMPASS GROUP ORD GBP0.10

   (327,672.39 )   376,588.20

COMSYS HOLDINGS CORPORATION NPV

   (127,432.22 )   119,956.66

CONSECO INC COM NEW STK

   (707,415.18 )   697,708.99

CORE INTL LTD COM STK

   (1,001.22 )   289.92

COSMO OIL COMPANY NPV

   (153,368.64 )   212,982.62

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

CPI INTL INC FORMERLY CPI HOLDCO INC TO 01/17/2006 COM

   (1,861.95 )   1,740.02

CPS TECHNOLOGIES CORP COM STK

   (2,209.95 )   1,255.03

CRESCENT REAL ESTATE EQUITIES CO PFD CONV SER A 6.75

   (2,221.95 )   2,460.01

CROWN MEDIA HLDGS INC CL A COM STK

   (3,206.00 )   3,240.00

CUBIC ENERGY INC COM

   (2,989.95 )   2,470.01

CYBERLUX CORP COM

   (18,179.85 )   13,496.48

CYCLACEL PHARMACEUTICALS INC COM STK

   (6,629.85 )   5,099.97

DARDEN RESTAURANTS INC DARDEN RESTTS INCTO MAT 6.083 6.2 DUE 10-15-2017 BEO

   (3,294,654.00 )   3,328,380.00

DATABASE SOLUTIONS LTD COM NEW COM NEW

   (12,027.15 )   1,840.06

DAVIS SERVICE GP ORD GBP0.30

   (124,370.33 )   98,616.30

DB RREEF TRUST ORD

   (302,801.39 )   328,974.63

DEEP WELL OIL & GAS INC COM

   (5,819.75 )   5,409.99

DEUTSCHE BK AG COM STK ISIN DE0005140008 SDL 505964X

   (26,582.10 )   27,235.58

DG FASTCHANNEL INC COM STK

   (22,029.95 )   22,039.71

DIREXION FDS HY BEAR INV CL

   (251,415.70 )   251,137.71

DOUGLAS EMMETT INC COM REIT

   (818,314.82 )   777,278.55

DRAGON INTL GROUP CORP COM

   (139.95 )   90.04

DYNAMOTIVE ENERGY SYS CORP COM

   (3,309.95 )   2,990.00

DYNEX CAP INC COM STK

   (3,904.95 )   4,119.98

E4 ENERGY INC COMSTK

   (16,549.41 )   13,446.27

EDGEWATER TECH INC COM

   (19,344.65 )   19,855.74

EISAI CO NPV

   (60,429.18 )   58,133.34

ELECTRO-OPTICAL SCIENCES INC COM STK

   (4,409.95 )   5,456.95

EMBARQ CORP NT 7.995% DUE 06-01-2036 REG

   (10,561.70 )   10,391.70

EMPLOYERS HLDGS INC COM

   (347,709.42 )   340,164.78

ENTERPRISE INNS ORD GBP0.025

   (294,610.90 )   276,528.02

EPLUS INC COM

   (5,013.90 )   4,548.02

EQUUS TOTAL RETURN INC

   (3,402.13 )   2,715.71

ERF WIRELESS INC COM STK

   (1,089.95 )   790.03

ESCALA GROUP INC COM

   (4,527.75 )   2,840.00

EUROPEAN AERONAUTIC DEF & SPAC ORD COM

   (47,986.45 )   43,562.05

EVEREST RE GROUP COM

   (5,262.45 )   5,003.97

EVOLUTION PETE CORP COM STK

   (24,948.90 )   21,849.76

FABEGE AB NPV

   (54,147.20 )   51,896.26

FAVRILLE INC COM

   (328.95 )   293.04

FEDERAL MOGUL CORP COM

   (4,814.90 )   4,309.98

FEDERAL SIGNAL CORP COM

   (55,783.62 )   59,857.60

FFCB BD 5.4 02-01-2011

   (20,000.00 )   20,173.00

FIRST MERCHANTS CORP COM

   (27,474.70 )   22,731.70

FIRST MERCURY FINL CORP COM

   (181,930.04 )   199,644.42

FIRST ST BANCORPORATION COM

   (31,853.75 )   24,530.62

FKI GBP0.10

   (29,915.85 )   26,612.66

FLORIDA PWR CORP FL PWR CORPYIELD TO MAT6.360 6.35 DUE 09-15-2037/09-14-2037 BEO

   (1,498,020.00 )   1,514,355.00

FLSMIDTH CO A/S SER’B’DKK20

   (71,218.91 )   69,000.28

FORSYS METALS CORP COM STK

   (5,146.60 )   6,449.77

FRASER NEAVE LTD SGD0.2

   (123,165.61 )   110,010.28

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

FSI INTL INC COM

   (2,089.95 )   2,190.01

FUWEI FILMS (HOLDINGS) CO LTD COM STK

   (5,854.95 )   4,574.97

GALIFORM ORD GBP0.10

   (53,626.39 )   59,730.78

GATEHOUSE MEDIA INC COM

   (1,829.95 )   1,810.08

GENERAL EMPLOYMENT ENTERPRISES INC COM

   (4,867.87 )   4,740.73

GENIUSPRODS INC COM NEW COM NEW

   (304,911.53 )   282,605.20

GIGABEAM CORP COM

   (24,509.95 )   17,584.81

GIGABEAM CORP WT EXP CLASS Z WTS

   (34,068.50 )   24,802.57

GLOBAL WARMING SOLUTIONS INC COM STK

   (17,167.95 )   11,133.80

GLOBALSCAPE INC COM

   (10,781.00 )   9,351.65

GOODWILL GROUP NPV

   (194,502.86 )   191,542.71

GORMAN RUPP CO COM

   (4,110.35 )   2,840.75

GREENE KING ORD GBP0.125

   (318,396.21 )   251,404.54

GRILL CONCEPTS INC COM PAR $.00004 COM PAR $.00004

   (17,369.31 )   14,975.81

GUANGZHOU GLOBAL TELECOM INC COM

   (21,633.75 )   13,989.96

HANCOCK JOHN LIFE INS CO SIGNATURENOTES BOOK ENTRY MTN 4.5% DUE 12-15-2007

   (2,009.30 )   2,000.00

HAWPAR CORP LTD SGD1

   (27,372.03 )   25,089.04

HI / FN INC COM STK

   (19,805.55 )   18,035.56

HIGHWOODSPPTYS INC COM

   (344,879.00 )   293,465.30

HIRSCH INTL CORP CL A CL A

   (15,377.75 )   12,583.25

HITACHI HIGH-TECH NPV

   (164,607.07 )   151,906.70

HOMEBANC CORP GA COM

   (4,464.95 )   4,684.97

HON HAIPRECISION TWD10

   (162,683.74 )   213,680.42

HOP-ON INC FORMERLY HOP-ON COM TO 04/08/2005 COM NEW STK

   (1,629.95 )   2,690.00

HUNGARIAN TEL AND CABLE CORP COM

   (3,395.50 )   3,287.27

HURRAY HLDG CO LTD SPONSORED ADR SPONSORED ADR

   (2,270.95 )   1,983.01

IMA EXPL INC COM CL A

   (5,209.95 )   1,945.02

IMERYS EUR2

   (165,230.23 )   156,522.60

INDL DISTR GROUP INC COM

   (3,402.85 )   2,361.10

INDUSTRIAL ENTERPRISES AMER INC COM NEW STK

   (821.55 )   756.03

INDUSTRIAL NANOTECH INC COM

   (2,159.95 )   1,690.02

INDUSTRIAL SVCS AMER INC FLA COM

   (25,996.70 )   25,480.30

INNOPHOS HLDGS INC COM STK

   (14,373.95 )   14,344.33

INTERCONTL HOTELS ORD GBP0.114285

   (21,556.30 )   21,355.27

INTERLINE BRANDS INC COM

   (8,827.90 )   7,978.07

INTERNATIONAL ENERGY INC COM STK

   (4,259.90 )   2,650.05

INTERNATIONAL KIRKLAND MINERALS INC COM

   (5,609.95 )   1,690.02

INTERNET ACQUISITION GROUP INC COM

   (259.95 )   290.04

INTREPID GLOBAL IMAGING 3D INC COM

   (15,294.95 )   11,839.85

INVENSYS ORD GBP0.10

   (280,807.12 )   255,388.47

IPSCO INC COM NPV

   (165,299.14 )   181,267.46

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

IVI COMMUNICATIONS INC COM

   (3,939.95 )   638.01

JGC CORP NPV

   (135,537.65 )   135,160.17

JHSF PARTICIPACOES COM NPV

   (368,449.56 )   316,149.99

JMP GROUP INC COM

   (11,126.85 )   9,536.34

JPMORGAN CHASE & CO GL MTN TR TR 0060306/29/07 20 12-28-2007REG

   (6,000.00 )   6,000.00

JPMORGAN CHASE & CO GL MTN TR TR 0060706/29/07 20 12-28-2007REG

   (12,000.00 )   6,023.82

JPMORGAN CHASE & CO GLOBAL MEDIUM TERM NCONV MTN 4.5 DUE 06-29-2007 BEO

   (25,000.00 )   25,000.00

JPMORGAN CHASE & CO GLOBAL MEDIUM TERM NTRANCHE TR 00610 0 DUE 12-28-2007 REG

   (50,000.00 )   25,000.00

KAJIMA CORP NPV

   (74,852.06 )   67,817.78

KANEKA CORP NPV

   (24,773.66 )   23,633.12

KATOKICHI CO LTD NPV

   (90,128.58 )   83,490.75

KAWASAKI HEAVY IND NPV

   (143,136.53 )   127,821.94

KAWASAKI KISEN KAISHA LTD NPV

   (235,604.42 )   241,131.61

KEPPEL LAND LTD SGD0.50

   (122,428.85 )   110,755.60

KESKO OYJ EUR2 SER’B’

   (222,113.40 )   169,949.59

KEWAUNEE SCIENTIFIC CORP COM

   (10,423.95 )   14,489.82

KITE RLTY GROUP TR COM

   (5,804.45 )   6,288.81

KUEHNENAGEL INTL CHF1(REGD)

   (414,608.09 )   390,580.48

KUNGSLEDEN NPV

   (187,551.37 )   171,819.64

KURITA WATER INDS NPV

   (40,292.19 )   40,749.08

LEVEL 3 FING INC GTD SR NT 144A 8.75% DUE 02-15-2017/02-15-2008

   (25,000.00 )   24,925.00

LG ELECTRONICS INC KRW5000

   (80,268.70 )   104,997.90

LIFETIME BRANDS INC COM

   (10,224.95 )   10,919.86

LMP REAL ESTATE INCOME FD INC COM STK

   (25,279.95 )   23,627.68

LOCAL COM CORP COM STK

   (48,382.75 )   43,518.88

LODGENET INTERACTIVE CORPORATION EFF 1/16/08

   (20,319.85 )   19,691.64

LOOK ENTMT INC COM STK

   (289.95 )   240.04

M & F WORLDWIDE CORP COM

   (39,334.95 )   32,803.54

MAGELLAN ENERGY LTD COM NEW STK

   (984.65 )   554.34

MAGNA INTL INC CL A

   (19,129.45 )   15,669.81

MAN AG ORD NPV

   (518,656.97 )   605,820.18

MARINE PETE TR UNIT BEN INT

   (9,279.95 )   8,986.95

MARKETAXESS HLDGS INC COM STK

   (45,324.44 )   50,764.90

MAUDORE MINERALS LTD / MINERAUX MAUDORE LIMITEE COM STK

   (5,411.15 )   4,850.42

MEGACABLE HOLDINGS-CPO COM STK

   (96,419.89 )   102,032.23

MERCER INTL INC COM SH BEN INT

   (217,835.78 )   197,676.83

MERRILL LYNCH & CO INC BD .01 DUE 02-03-2009 BEO

   (270.70 )   84.29

MIRENCO INC CDT-COM STK

   (3,749.95 )   5,774.99

MIZUHO FINANCIAL GROUP NPV

   (1,283,682.54 )   1,090,629.50

MOBILE AIRWAVES CORP COM NEW COM NEW

   (17,409.95 )   4,789.97

MODINE MFG CO COM STK

   (77,980.00 )   65,228.36

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

MOL HUNGARIAN OIL HUF1000

   (125,543.95 )   192,531.77

MORGAN STANLEY SPARQS LINKED TO TELLABS INC

   (2,189.95 )   2,184.01

MUELLER PAUL CO COM

   (62,654.85 )   61,499.10

NATL EXPRESS GRP ORD GBP0.05

   (82,802.62 )   79,361.11

NATL INTST CORP COM STK

   (26,609.04 )   28,837.15

NAUTILUS MINERALS INC COM

   (5,002.63 )   3,407.45

NAVISTAR INTL CORP NEW COM

   (28,476.30 )   34,812.60

NEW CENTY FINL CORP MD PFD SER B 9.75%

   (38,412.95 )   11,093.50

NEW CENTY FINL CORP PFD SER A 9.125%

   (4,871.95 )   4,244.91

NEXSTAR BROADCASTING GROUP INC CL A

   (43,040.35 )   54,068.79

NICHIREI CORP NPV

   (112,909.76 )   93,993.99

NIPPON LIGHT METAL NPV

   (197,604.05 )   192,509.89

NIPPON SHOKUBAI CO NPV

   (26,818.94 )   26,672.12

NORONT RES LTD COM STK

   (3,748.10 )   20,977.57

NORTHN STS PWR CO MINN PUB INC NT PINES PUB INC NT PINES PFD

   (2,569.95 )   2,500.00

NORTHRIM BANCORP INC COM

   (3,376.22 )   2,959.64

NYMAGIC INC COM

   (69,290.43 )   49,264.18

OLYMPUS CORP NPV

   (123,790.62 )   130,281.15

ONE LIBERTY PPTYS INC COM

   (3,408.05 )   3,049.70

OPNEXT INC COM

   (287,604.31 )   208,546.83

ORBCOMM INC COM STK

   (102,350.00 )   97,033.15

OREMEX RES INC COM

   (9,606.75 )   9,050.65

ORION CORPORATION SER’B’NPV

   (83,480.23 )   83,102.57

OVERSEA-CHINESE BANKING CORPORATION SGD0.5

   (420,672.73 )   407,047.36

OWENS CORNING NEW COM STK

   (2,484.95 )   2,320.01

PAIVIS CORP COM NEW STK

   (5,988.00 )   6,530.08

PALADIN LABS INC COM

   (18,628.15 )   17,842.29

PARKWAY HLDGS SGD0.25

   (20,031.85 )   20,795.78

PARTYGAMING ORD GBP0.000015

   (342,209.25 )   244,301.86

PELE MTN RES INC COM

   (4,243.45 )   3,560.49

PENN VA CORP COM

   (33,213.78 )   33,075.58

PETROCHINA CO ‘H’CNY1

   (156,018.10 )   141,487.51

PETROPLUS HOLDINGS CHF9.18 (REGD)

   (67,300.28 )   64,974.62

PHARMOS CORP COM PAR $.03

   (12,789.95 )   12,889.84

PHYSICIANS FORMULA HLDGS INC COM

   (166,971.51 )   147,613.38

PK NATL CORP COM

   (88,759.95 )   88,978.68

PLURISTEM LIFE SYS INC COM

   (12,290.35 )   7,304.94

POGO PRODUCING CO SR SUB NT 6.625% DUE 03-15-2015/03-15-2008 REG

   (4,900.00 )   5,150.00

POPE & TALBOT INC COM

   (33,150.66 )   35,098.70

PRIMEDGE INC COM NEW COM NEW

   (291.95 )   17.04

PROCERA NETWORKS INC COM

   (3,009.95 )   1,838.02

PVTPL ALLISON TRANSM INC SR NT 144A 11 DUE 11-01-2015 BEO

   (500,000.00 )   515,875.00

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

PVTPL CMO CMO HLDGS III LTD SER 2007-R11CL A-1A VAR RT DUE 9-27-37 BEO

   (689,062.50 )   10,836.01

PVTPL DEPFA ACS BK AST COVERED SECS 144A5.125 DUE 03-16-2037 REG

   (98,389.00 )   89,520.00

PVTPL INDYMAC ABS INC 2006-H1 CL A VAR RT DUE 04-25-2036 REG

   (725,555.18 )   165,391.25

PVTPL QUEBECOR MEDIA INC SR NT 144A 7.75% DUE 03-15-2016/03-15-2008 BEO

   (937,500.00 )   956,250.00

PVTPL TIME WARNER CABLE INC TIME WARNER 144A 6.55 DUE 05-01-2037 BEO

   (49,678.00 )   50,291.00

PVTPL TIME WARNER CABLE INC TIME WARNER 5.85 5/1/17 5.85 DUE 05-01-2017 BEO

   (39,907.60 )   40,117.60

PVTPL UNIVISION COMMUNICATIONS INC SR NT144A 9.75 DUE 03-15-2015 BEO

   (19,775.00 )   19,543.75

PVTPL WINDSTREAM CORP SR NT 144A 7 DUE 03-15-2019 BEO

   (15,000.00 )   15,131.25

PWR TECH INC COM

   (3,584.75 )   845.03

QUAL DISTR INC FLA COM

   (4,956.95 )   4,989.97

RABO SECS N V STRUCTURED MEDIUM TERM NTSCONV MTN 15 DUE 09-28-2007 BEO

   (25,000.00 )   25,000.00

RABO SECS N V STRUCTURED MEDIUM TERM NTSTRANCHE SB 00311 0 10-05-2007 REG

   (25,000.00 )   25,000.00

RABOBANK USA FINL CORP 08-16-2007

   (1,199,842.00 )   1,200,000.00

RAUTARUUKKI OYJ NPV

   (104,535.09 )   141,189.55

RCM TECHNOLOGIES INC COM NEW

   (5,048.65 )   3,798.23

RED BRH TECHNOLOGIES INC COM STK

   (140.45 )   107.04

REDHOOK ALE BREWERY INC COM STK

   (3,184.95 )   3,030.00

RENGO CO NPV

   (154,628.53 )   174,967.71

RESDNTL CAP LLC FORMERLY RESIDENTIA RESDNTL CAP 8 DUE 02-22-2011 BEO

   (84,724.80 )   19,711.80

RESIDENTIAL CAP LLC MTN 8.5% DUE 06-01-2012

   (19,927.20 )   15,025.00

RIO VISTA ENERGY PARTNERS L P COM

   (5,634.95 )   4,219.97

ROCKET CITY AUTOMOTIVE GROUP INC COM STK

   (5,512.11 )   1,490.02

ROSETTA GENOMICS LTD COM STK ILS0.01

   (24,421.90 )   18,209.76

ROYAL BK SCOT ADR 03-31-2049 REG

   (1,000,000.00 )   1,043,786.00

SANDVIK AB NPV

   (66,925.01 )   67,629.58

SANKEN ELECTRIC CO NPV

   (90,773.82 )   89,511.96

SAS AB NPV

   (125,328.17 )   104,671.28

SAUL CTRS INC COM

   (103,418.26 )   106,537.13

SCANIA AB SER’B’NPV

   (249,201.95 )   37,821.75

SEAMLESS WI-FI INC COM

   (459.95 )   90.04

SEAWRIGHT HLDGS INC COM STK

   (1,659.95 )   800.03

SECURITY NATL FINL CORP CL A NEW CL A NEW

   (3,416.65 )   2,832.07

SEIKO EPSON CORP NPV

   (496,832.06 )   522,877.78

SEINO HOLDINGS NPV

   (113,826.13 )   85,344.31

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

   Acquisition Cost     Disposition
Proceeds

SENDTEC INC COM

   (12,819.90 )   4,789.97

SENESCO TECHNOLOGIES INC COM NEW

   (2,709.95 )   1,910.02

SHUMATE INDS INC COM

   (5,319.95 )   4,670.02

SI INTL INC COM

   (2,677.15 )   2,779.00

SINGAPORE EXCHANGE SGD0.01

   (160,000.96 )   207,259.85

SINGAPORE PRESS HD SGD0.20

   (167,385.14 )   174,826.25

SKANSKA AB SER’B’NPV

   (325,421.78 )   311,036.45

SKF AB SER’B’NPV

   (475,602.11 )   289,270.60

SKINNY NUTRITIONAL CORP COM

   (11,140.35 )   8,304.41

SMF ENERGY CORP COM

   (8,519.90 )   7,789.88

SOFTWARE EFFECTIVE SOLUTIONS CORP COM

   (2,609.95 )   2,989.95

SOJITZ CORPORATION

   (125,798.70 )   111,169.82

SONY FINANCIAL HOL NPV

   (226,057.47 )   227,664.15

SOUTHERN ARC MINERALS INC

   (13,129.69 )   15,276.33

SPOOZ INC COM STK

   (584.95 )   2,165.01

STANDARDPKG CORP COM

   (31,472.10 )   31,045.92

STERLING RES LTD COM

   (17,862.99 )   27,661.48

STOCKLAND NPV (STAPLED)

   (69,288.00 )   70,850.65

STRATEGIC DIAGNOSTICS INC COM

   (4,949.95 )   4,614.96

STRATEGIC RES LTD COM STK

   (1,649.95 )   1,970.01

SUMITOMO BAKELITE NPV

   (29,086.09 )   25,535.32

SUMITOMO METAL IND NPV

   (559,213.69 )   594,531.53

SUMITOMO METAL MNG NPV

   (236,979.68 )   258,463.53

SUMITOMO OSAKA CEM NPV

   (114,318.89 )   102,408.53

SUPERTEL HOSPITALITY INC COM

   (9,561.95 )   9,457.89

SUSSER HLDGS CORP COM STK

   (15,037.95 )   16,989.78

SWAPTION BZWLUS31 12-31-2008 317506ZF3

   (51,680.00 )   123,080.00

SWAPTION RBOSUS33 12-31-2008 317506XB4

   (53,000.00 )   144,800.00

SWIREPACIFIC ‘A’HKD0.60

   (90,042.75 )   82,627.88

SWISSCOM AG CHF1(REGD)

   (403,950.44 )   372,483.72

TACTICAL AIR DEFENSE SVCS INC COM STK

   (1,209.95 )   1,100.03

TAIHEIYO CEMENT NPV

   (76,629.05 )   64,253.37

TAISEI CORP NPV

   (103,514.89 )   105,860.84

TEMEX RES CORP COM

   (5,130.40 )   10,655.21

TERUMO CORP NPV

   (116,809.93 )   118,898.75

TESSCO TECHNOLOGIES INC COM

   (11,134.90 )   9,205.79

TEXCOM INC COM

   (349.95 )   290.04

THERMAFREEZE PRODS CORP COM STK

   (1,014.95 )   530.04

TIME WARNER CABLE INC CL A COM STK

   (31,611.75 )   20,867.08

TODA CORP NPV

   (50,327.53 )   49,595.82

TOLLGRADE COMMUNICATIONS INC COM

   (1,259.35 )   1,019.23

TOPPANPRINTING CO NPV

   (44,189.50 )   40,271.69

 

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Table of Contents

FORM 5500, SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)

AS OF DECEMBER 31, 2007

 

Identity of Issue/Description of Investment

  

Acquisition Cost

    Disposition
Proceeds

TOYO SEIKAN KAISHA NPV

   (204,220.89 )   187,272.72

TOYO SUISAN KAISHA NPV

   (78,066.43 )   78,317.85

TRELLEBORG AB SER’B’NPV

   (38,917.51 )   32,995.41

TRI ORIGIN EXPL LTD COM

   (11,499.95 )   7,468.93

TRIARC COS INC CL A CL A

   (15,081.10 )   11,794.91

TUI AG NPV (REGD)

   (219,491.06 )   242,863.87

U S HOME SYS INC COM

   (21,594.90 )   19,539.79

UIT VERSACOLD INCOME FD TR UNITS CTF OF OWN EVID UNDIV INT $1000 UNIT VALUE REG

   (2,064.83 )   2,301.41

ULURU INC COM

   (4,909.95 )   4,553.97

UNIDEN CORP NPV

   (30,089.24 )   33,516.42

UNITED RETAIL GROUP INC COM

   (3,728.95 )   3,542.98

UNIVERSAL ENERGY CORP DEL COM NEW STK

   (31,584.70 )   28,474.75

UNIVERSAL SEC INSTRS INC COM NEW COM NEW

   (16,489.85 )   16,124.20

UNVL ELECTRS INC COM

   (7,206.15 )   7,349.93

URANIUM STAR CORP COM

   (5,409.95 )   5,029.97

VALGOLD RES LTD

   (5,009.95 )   4,489.98

VIDEO DISPLAY CORP COM

   (869.95 )   700.03

VOLKSWAGEN AG ORD NPV

   (354,388.75 )   442,030.27

VOLVO AB SER’B’NPV

   (649,402.43 )   2,191,105.60

W MARINE INC

   (105,920.66 )   85,173.05

WATERPURE INTL INC COM STK

   (4,469.90 )   3,389.98

WAVE SYS CORP CL A NEW STK

   (44,487.06 )   35,457.74

WEST JAPAN RAILWAY NPV

   (163,258.66 )   181,043.66

WESTERN URANIUM CORP

   (15,238.58 )   10,510.97

WILLIS GROUP HOLDINGS COM

   (6,534.95 )   6,570.44

WIMPEY(GEORGE) ORD GBP0.25

   (446,700.71 )   46,410.90

WING HANG BANK HKD1

   (18,911.45 )   19,681.20

WING TAI HOLDINGS SGD0.25

   (36,495.33 )   31,170.83

ZURICH FIN SVS GRP CHF0.10

   (921,605.33 )   875,304.22
          
   (47,699,850.11 )   43,611,654.82
          

 

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Table of Contents

SUPPLEMENTAL SCHEDULE

UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

FORM 5500 SCHEDULE H, PART IV, LINE 4i—

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2007

* Denotes party-in-interest investment

 

Asset Description

   Historical Cost    Current Value

ACACIA FED SVGS BK FALLS CHURCH VA DTD 02-07-2007 5.2 C/D 02-07-2008

   $ 5,000.00    $ 4,998.85

ACT/365 07-05-2007 5.35 10-06-2008

   $ 25,000.00    $ 25,000.00

AMBOY NATL BK OLD BRDG N J CTF DEP DTD 10-18-2006 5.05 01-18-2008

   $ 4,000.00    $ 3,999.68

AMCORE BK N A ROCKFORD ILL CTF DEP DTD 07-07-2006 5.55 07-07-2009

   $ 30,000.00    $ 30,000.00

ANB FINL NATL ASSN BENTONVILLE ARK CTF DEP DTD 03-29-2007 5.05 03-29-2011

   $ 10,000.00    $ 10,000.00

ANCHOR BK MADISON WIS DTD 12-06-2007 4.65 C/D 06-06-2008

   $ 30,000.00    $ 30,000.00

ATLANTIC SOUTHN BK MACON GA DTD 07-30-2007 5.1 C/D 04-30-2008

   $ 22,000.00    $ 22,000.00

BANCORP BK WILMINGTON DEL DTD 09-28-20074.85 C/D 03-28-2008

   $ 250,000.00    $ 250,000.00

BANGOR SVGS BK ME DTD 12-05-2007 4.65 C/D 06-05-2008

   $ 60,000.00    $ 60,000.00

BANK FAYETTEVILLE NATL ASSN ARK CTF DEP DTD 12-14-2007 4.5 03-16-2009

   $ 10,000.00    $ 10,000.00

BANK HAPOALIM B M NEW YORK BRH CTF DEP DTD 02-14-2007 5.55 02-14-2012

   $ 50,000.00    $ 500.24

BANK HAPOALIM B M NEW YORK BRH DTD 08-03-2007 5.1 C/D 04-03-2008

   $ 30,000.00    $ 30,000.00

BANK HAPOALIM B M NEW YORK BRH DTD 12-17-2007 4.75 C/D 01-17-2008

   $ 60,000.00    $ 60,000.00

BANK NORTH GA ALPHARETTA DTD 12-19-2007 4.6 C/D 06-19-2008

   $ 50,000.00    $ 50,000.00

BANK OKLA N A TULSA DTD 08-22-2007 5.05 C/D 02-22-2008

   $ 40,000.00    $ 40,000.00

BLOOMINGDALE BK TR IL CTF DEP DTD 06-23-2006 5.3 06-23-2008

   $ 20,000.00    $ 200.22

BUSINESS BK ST LOUIS CLAYTON MO CTF DEP DTD 05-05-2006 5.2 05-05-2010

   $ 1,001.10    $ 1,001.10

CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 12-05-2007 4.6 C/D 12-05-2008

   $ 9,000.00    $ 9,000.00

CAPITAL ONE F S B MCLEAN VA DTD 02-14-2007 5.15 C/D 02-14-2008

   $ 5,000.00    $ 4,998.45

CAPITAL ONE NATL ASSN MCLEAN VA DTD 12-05-2007 4.6 C/D 12-05-2008

   $ 50,000.00    $ 50,000.00

CAPMARK BK MIDVALE UT CD AT MAT 5.25 07-03-2008

   $ 80,000.00    $ 80,000.00

CAPMARK BK MIDVALE UT CTF DEP DTD 06/20/2007 ACT/365 AT 06-20-20075.25

   $ 10,000.00    $ 10,000.00

CAPMARK BK MIDVALE UT DTD 02-21-2007 5.2C/D 02-21-2008

   $ 30,000.00    $ 29,991.30

CAPMARK BK MIDVALE UTAH DTD 07-18-2007 5.15 C/D 01-18-2008

   $ 105,000.00    $ 105,000.00

CAPMARK BK MIDVALE UTAH DTD 08-29-2007 5.15 C/D 08-29-2008

   $ 100,000.00    $ 100,000.00

CAPMARK BK MIDVALE UTAH DTD 10-03-2007 4.85 C/D 04-03-2008

   $ 249,000.00    $ 249,000.00

CAPMARK BK MIDVALE UTAH DTD 10-17-2007 4.85 C/D 10-17-2008

   $ 105,000.00    $ 105,000.00

CAPMARK BK MIDVALE UTAH DTD 12-26-2007 4.75 C/D 01-25-2008

   $ 36,000.00    $ 36,000.00

CAPMARK BK MIDVALE UTAH DTD 12-28-2007 4.8 C/D 02-28-2008

   $ 30,000.00    $ 30,000.00

CENTRAL BK STILLWATER MINN DTD 10-10-2007 4.85 C/D 01-10-2008

   $ 5,000.00    $ 5,000.00

CHARTER BK EAU CLAIRE WIS DTD 10-12-20074.8 C/D 08-12-2008

   $ 53,000.00    $ 53,000.00

CHINATRUST BK TORRANCE CALIF DTD 11-26-2007 4.8 C/D 01-28-2008

   $ 95,000.00    $ 95,000.00

CHINATRUST BK TORRANCE CALIF DTD 12-12-2007 4.65 C/D 01-14-2008

   $ 40,000.00    $ 40,000.00

CHINATRUST BK TORRANCE CALIF DTD 12-12-2007 4.7 C/D 02-12-2008

   $ 50,000.00    $ 50,000.00

CHINATRUST BK TORRANCE CALIF DTD 12-26-2007 4.8 C/D 02-26-2008

   $ 105,000.00    $ 105,000.00

CIT BK SALT LAKE CITY UTAH CTF DEP DTD 01-24-2007 0 01-25-2010

   $ 20,000.00    $ 20,037.00

CIT BK SALT LAKE CITY UTAH CTF DEP DTD 07-19-2006 5.5 07-21-2008

   $ 10,000.00    $ 10,000.00

CITIZENS BK FLINT MICH CTF DEP DTD 12-07-2007 4.6 12-07-2009

   $ 93,000.00    $ 93,000.00

CITIZENS NATL BK BLUFFTON OHIO DTD 07-18-2007 5.1 C/D 01-18-2008

   $ 25,000.00    $ 24,997.75

CNL BK ORLANDO FLA DTD 12-19-2007 4.8 C/D 01-22-2008

   $ 15,000.00    $ 15,000.00

COLONY BK OF ASHBURN GA DTD 05-31-2007 5.1 C/D 05-30-2008

   $ 95,000.00    $ 95,000.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

COLORADO CAP BK CASTLE ROCK COLO CTF DEPDTD 06-20-2007 5.2 12-22-2008

   $ 23,000.00    $ 23,032.43

COLORADO CAP BK CASTLE ROCK COLO DTD 05-16-2007 5.05 C/D 02-15-2008

   $ 10,000.00    $ 10,000.00

COLORADO CAP BK CASTLE ROCK COLO DTD 05-25-2007 5.1 C/D 02-25-2008

   $ 5,000.00    $ 4,999.45

COLUMBIA RIV BK DALLES ORE CTF DEP DTD 03-23-2007 3 11-24-2008

   $ 20,000.00    $ 20,000.00

COLUMBIA RIV BK DALLES ORE DTD 12-14-2007 4.5 C/D 12-15-2008

   $ 5,000.00    $ 5,000.00

COLUMBIAN BK & TR CO TOPEKA KANS CTF DEPDTD 03-21-2007 5.2 03-20-2009

   $ 20,000.00    $ 20,040.00

COLUMBUS BANK & TRUST DTD 01-22-2007 5.05 C/D 01-22-2008

   $ 19,980.00    $ 19,996.00

COLUMBUS BANK & TRUST DTD 06-08-2007 5.1 C/D 03-10-2008

   $ 9,992.00    $ 9,996.00

COLUMBUS BANK & TRUST DTD 10-24-2007 4.85 C/D 10-24-2008

   $ 15,000.00    $ 15,000.00

COLUMBUS BANK & TRUST DTD 12-19-2007 4.65 C/D 08-19-2008

   $ 20,000.00    $ 20,000.00

COMMONWEALTH BK & TR CO LOUISVILLE KY DTD 11-30-2007 4.55 C/D 02-29-2008

   $ 39,000.00    $ 39,000.00

COMMUNITY WEST BK N A GOLETA CALIF DTD 07-18-2007 5.1 C/D 01-18-2008

   $ 120,000.00    $ 120,000.00

COMPASS BK BIRMINGHAM ALA DTD 12-07-20074.7 C/D 02-07-2008

   $ 10,000.00    $ 10,000.00

COMPASS BK BIRMINGHAM ALA DTD 12-11-20074.7 C/D 04-11-2008

   $ 50,000.00    $ 50,000.00

COUNTRYWIDE BK FSB ALEXANDRIA VA CTF DEPDTD 10-06-2006 5.5 10-06-2010

   $ 5,000.00    $ 5,000.00

COUNTRYWIDE BK FSB ALEXANDRIA VA DTD 10-11-2007 4.85 C/D 04-11-2008

   $ 20,000.00    $ 20,000.00

COUNTRYWIDE BK FSB ALEXANDRIA VA DTD 11-02-2007 4.9 C/D 11-03-2008

   $ 98,000.00    $ 98,000.00

CTF DEP DTD 05-23-2007 5.25 11-23-2012

   $ 14,000.00    $ 14,000.00

CTF DEP DTD 06-20-2007 5.2 12-22-2008

   $ 22,000.00    $ 22,031.02

CTF DEP DTD 11-10-2006 5.1 05-12-2008

   $ 65,000.00    $ 65,000.00

CTF DEP DTD 12-28-2006 5 12-29-2008

   $ 77,000.00    $ 77,000.00

DISCOVER BK GREENWOOD DEL CD 04/04/07 ACT/365 SA 04-04-07 5.1 07-07-08

   $ 50,000.00    $ 50,000.00

DISCOVER BK GREENWOOD DEL CD ACT/365 SEMI ANNU DTD 03-07-2007 5.25 06-09-2008

   $ 5,000.00    $ 5,000.00

DISCOVER BK GREENWOOD DEL CTF DEP 03/08/07 FXD ACT/365 SEMIAN 5.4 03-08-10

   $ 58,000.00    $ 58,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-07-2007 5.25 08-07-2008

   $ 20,000.00    $ 20,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-08-2007 5.4 02-08-2010

   $ 100,000.00    $ 100,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-14-2007 5.3 05-14-2008

   $ 60,000.00    $ 60,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-14-2007 5.3 08-14-2008

   $ 41,000.00    $ 41,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-21-2007 5.3 05-21-2008

   $ 93,000.00    $ 93,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-28-2007 5.25 08-28-2008

   $ 51,000.00    $ 51,060.69

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-07-2007 5.25 09-08-2008

   $ 90,000.00    $ 90,111.60

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-14-2007 5.1 06-16-2008

   $ 50,000.00    $ 50,008.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-21-2007 5.1 03-21-2012

   $ 19,000.00    $ 19,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-21-2007 5.15 06-23-2008

   $ 166,000.00    $ 166,069.72

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-21-2007 5.15 09-22-2008

   $ 51,000.00    $ 51,031.62

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-28-2007 5.1 03-30-2009

   $ 2,000.00    $ 2,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-28-2007 5.1 06-30-2008

   $ 30,000.00    $ 30,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 04-11-2007 5.1 07-11-2008

   $ 50,000.00    $ 50,012.50

DISCOVER BK GREENWOOD DEL CTF DEP DTD 04-25-2007 5.1 07-25-2008

   $ 25,000.00    $ 25,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 06-01-2005 4.2 06-02-2008

   $ 2,000.00    $ 2,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 06-01-2005 4.4 DUE 06-01-2010

   $ 2,000.00    $ 19.72

DISCOVER BK GREENWOOD DEL CTF DEP DTD 06-27-2007 5.35 12-29-2008

   $ 10,000.00    $ 10,028.30

DISCOVER BK GREENWOOD DEL CTF DEP DTD 07-05-2007 5.45 07-05-2013

   $ 10,000.00    $ 10,000.00

DISCOVER BK GREENWOOD DEL CTF DEP DTD 07-20-2005 4.15 01-22-2008

   $ 9,887.08    $ 99.95

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

DISCOVER BK GREENWOOD DEL CTF DEP DTD 08-22-2007 5.15 11-24-2008

   $ 90,000.00    $ 90,000.00

DISCOVER BK GREENWOOD DEL DTD 04-18-20075.1 07-18-2008

   $ 100,000.00    $ 100,000.00

DISCOVER BK GREENWOOD DEL DTD 05-30-20075.2 09-02-2008

   $ 95,000.00    $ 95,000.00

DISCOVER BK GREENWOOD DEL DTD 06-06-20075.2 09-08-2008

   $ 10,000.00    $ 10,000.00

DISCOVER BK GREENWOOD DEL DTD 01-17-20075.1 C/D 01-17-2008

   $ 16,000.00    $ 15,997.92

DISCOVER BK GREENWOOD DEL DTD 01-31-20075.25 C/D 01-31-2008

   $ 10,000.00    $ 10,000.00

DISCOVER BK GREENWOOD DEL DTD 02-07-20075.25 C/D 05-07-2008

   $ 120,000.00    $ 120,000.00

DISCOVER BK GREENWOOD DEL DTD 06-20-20075.3 C/D 09-22-2008

   $ 7,000.00    $ 7,000.00

DISCOVER BK GREENWOOD DEL DTD 06-27-20075.35 C/D 09-29-2008

   $ 65,000.00    $ 65,000.00

DISCOVER BK GREENWOOD DEL DTD 08-22-20075.15 C/D 02-22-2008

   $ 52,000.00    $ 52,000.00

DISCOVER BK GREENWOOD DEL DTD 08-29-20075.15 C/D 12-31-2007

   $ 50,000.00    $ 50,000.00

DISCOVER BK GREENWOOD DEL DTD 11-14-20074.8 C/D 01-14-2008

   $ 5,000.00    $ 5,000.00

DISCOVER BK GREENWOOD DEL DTD 12-14-20074.6 C/D 03-14-2008

   $ 30,000.00    $ 30,000.00

DISCOVER BK GREENWOOD DEL DTD 12-14-20074.6 C/D 09-15-2008

   $ 20,000.00    $ 20,000.00

DISCOVER BK GREENWOOD DEL DTD 12-14-20074.6 C/D 12-12-2008

   $ 10,000.00    $ 10,000.00

DISCOVER BK GREENWOOD DEL DTD 12-14-20074.65 C/D 04-14-2008

   $ 50,000.00    $ 50,000.00

DISCOVER BK GREENWOOD DEL DTD 12-14-20074.65 C/D 06-16-2008

   $ 42,000.00    $ 42,000.00

DTD 05-18-2007 5 C/D 01-18-2008

   $ 10,000.00    $ 9,999.20

DTD 06-01-2007 5.1 C/D 03-03-2008

   $ 20,000.00    $ 20,000.00

DTD 08-22-2007 5.15 C/D 08-22-2008

   $ 50,000.00    $ 50,000.00

DTD 08-22-2007 5.15 C/D 08-22-2008

   $ 194,000.00    $ 194,000.00

DTD 09-26-2007 5.05 C/D 06-26-2008

   $ 34,000.00    $ 34,000.00

DTD 10-17-2007 4.8 C/D 01-17-2008

   $ 8,000.00    $ 8,000.00

E TRADE BK ARLINGTON VA DTD 11-30-2007 4.7 C/D 11-28-2008

   $ 11,000.00    $ 11,000.00

EVERBANK JACKSONVILLE FLA DTD 10-05-20074.85 C/D 02-05-2008

   $ 7,000.00    $ 7,000.00

FARMERS BK & TR NA GREAT BEND KANS DTD 11-23-2007 4.6 C/D 01-02-2008

   $ 3,000.00    $ 3,000.00

FIDELITY BK NORCROSS GA CTF DEP DTD 04-26-2006 5.1 04-28-2008

   $ 102,000.00    $ 102,000.00

FIRESIDE BK PLEASANTON CAL FORMERLY FI CTF DEP DTD 06-21-2007 5.4 06-21-2012

   $ 5,000.00    $ 5,064.30

FIRST AMERN BK BIRMINGHAM ALA DTD 12-05-2007 4.65 C/D 06-05-2008

   $ 10,000.00    $ 10,000.00

FIRST CHARTER BK CHARLOTTE N C DTD 08-02-2007 5.05 C/D 02-04-2008

   $ 25,000.00    $ 25,000.00

FIRST CHICAGO BK & TR ILL DTD 06-06-20075.1 C/D 01-07-2008

   $ 20,000.00    $ 19,999.60

FIRST CHICAGO BK & TR ILL DTD 11-09-20074.75 C/D 07-09-2008

   $ 10,000.00    $ 10,000.00

FIRST CMNTY BK TAOS NEW MEXICO DTD 07-13-2007 5.2 C/D 07-11-2008

   $ 78,000.00    $ 78,000.00

FIRST NATL BK ARIZ SCOTTSDALE DTD 09-28-2007 4.9 C/D 03-28-2008

   $ 30,000.00    $ 30,000.00

FIRST NATL BK SOUTH SPARTANBURG SOUTH CAROLINA DTD 03-28-2007 5 C/D 03-28-2008

   $ 30,000.00    $ 29,989.50

FLORIDA CMNTY BK IMMOKALEE FLA DTD 07-24-2007 5.25 01-26-2009

   $ 5,000.00    $ 5,010.65

FLUSHING SVGS BK N Y CTF DEP DTD 03-10-2006 5.15 09-10-2010

   $ 10,000.00    $ 10,000.00

FRANKLIN BK SSB AUSTIN TEX DTD 10-24-2007 4.85 C/D 10-24-2008

   $ 10,000.00    $ 10,000.00

FRANKLIN BK SSB AUSTIN TEX DTD 11-30-2007 4.65 C/D 05-30-2008

   $ 20,000.00    $ 20,000.00

FRONTIER ST BK OKLA CITY OKLA DTD 11-19-2007 4.7 C/D 01-18-2008

   $ 2,000.00    $ 2,000.00

GATEWAY BK & TR CO ELIZABETH N C DTD 05-31-2007 5.1 C/D 05-30-2008

   $ 50,000.00    $ 49,972.50

GE MONEY BK SALT LAKE CY UT INSTL CT DTD12-26-2007 4.5 C/D 03-26-2008

   $ 70,000.00    $ —  

GE MONEY BK SALT LAKE CY UT INSTL CT DTD12-28-2007 4.65 C/D 06-30-2008

   $ 30,000.00    $ 30,000.00

GEORGIAN BK ATLANTA GA CTF DEP DTD 03-23-2007 5.1 09-23-2008

   $ 10,000.00    $ 10,002.70

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

GMAC AUTOMOTIVE BK MIDVALE UTAH CTF DEP DTD 07-14-2006 5.5 01-14-2008

   $ 12,000.00    $ 12,000.00

GMAC AUTOMOTIVE BK MIDVALE UTAH CTF DEP DTD 11-10-2006 5.1 05-09-2008

   $ 10,000.00    $ 10,000.00

GMAC BK MIDVALE UTAH DTD 09-12-2007 5.2 C/D 03-12-2008

   $ 40,000.00    $ 40,000.00

GMAC BK MIDVALE UTAH DTD 09-19-2007 5.2 C/D 03-19-2008

   $ 50,000.00    $ 50,000.00

GMAC BK MIDVALE UTAH DTD 12-19-2007 4.6 C/D 12-19-2008

   $ 3,000.00    $ 3,000.00

GMAC BK MIDVALE UTAH DTD 12-26-2007 4.6 C/D 06-26-2008

   $ 16,000.00    $ 16,000.00

GOLDMAN SACHS BK USA SALT LAKE CITY UTAHCTF DEP DTD 10-24-2007 5.2 10-24-2014

   $ 10,000.00    $ 10,000.00

GOLDMAN SACHS BK USA SALT LAKE CITY UTAHCTF DEP DTD 12-05-2007 5.15 12-05-2017

   $ 10,000.00    $ 10,000.00

GRAND BK & TR FLA WEST PALM BEACH DTD 10-03-2007 4.9 C/D 05-05-2008

   $ 25,000.00    $ 25,000.00

GREAT SOUTHN BK REEDS SPRINGS MO DTD 08-09-2007 5.1 C/D 01-09-2008

   $ 10,000.00    $ 10,000.00

GREATER BAY BK N A PALO ALTO CALIF DTD 05-31-2007 5.31 C/D 12-31-2007

   $ 1,000.00    $ 1,000.00

GREATER BAY BK N A PALO ALTO CALIF DTD 06-27-2007 5.2 C/D 01-28-2008

   $ 30,000.00    $ 29,997.00

GREATER BAY BK N A PALO ALTO CALIF DTD 07-06-2007 5.15 C/D 02-06-2008

   $ 10,000.00    $ 9,998.40

GREATER BAY BK N A PALO ALTO CALIF DTD 07-13-2007 5.25 C/D 04-14-2008

   $ 28,000.00    $ 28,000.00

HSBC BK USA N A WILMINGTON DEL CTF DEP DTD 03-21-2006 0 09-21-2011

   $ 20,000.00    $ 20,000.00

IMPERIAL CAP BK LA JOLLA CALIF DTD 12-12-2007 4.6 C/D 09-12-2008

   $ 10,000.00    $ 10,000.00

INDEPENDENT BK BAY CITY MICH CTF DEP DTD09-14-2005 4.375 09-14-2009

   $ 10,000.00    $ 10,000.00

INDEPENDENT BK MEMPHIS TENN DTD 12-07-2007 4.5 C/D 10-07-2008

   $ 50,000.00    $ 50,000.00

INDPT BK E MICH TROY MICH CTF DEP 07/27/ STEP UP DUE 01-27-2009

   $ 10,000.00    $ 99.98

INDYMAC BK F S B PASADENA CAL CTF DEP 5.1 DUE 08-25-2008

   $ 115,000.00    $ 115,035.65

INDYMAC BK F S B PASADENA CALIF DTD 07-18-2007 5.15 C/D 02-19-2008

   $ 10,000.00    $ 10,000.00

INDYMAC BK F S B PASADENA CALIF DTD 08-15-2007 5.1 C/D 06-16-2008

   $ 120,000.00    $ 120,000.00

INDYMAC BK F S B PASADENA CALIF DTD 08-24-2007 5.25 C/D 03-24-2008

   $ 35,000.00    $ 35,000.00

INDYMAC BK F S B PASADENA CALIF DTD 09-12-2007 5.15 C/D 02-12-2008

   $ 35,000.00    $ 34,998.60

INDYMAC BK F S B PASADENA CALIF DTD 09-12-2007 5.15 C/D 03-12-2008

   $ 25,000.00    $ 25,000.00

INDYMAC BK F S B PASADENA CALIF DTD 09-12-2007 5.2 C/D 04-14-2008

   $ 80,000.00    $ 80,000.00

INDYMAC BK F S B PASADENA CALIF DTD 10-24-2007 4.9 C/D 04-24-2008

   $ 40,000.00    $ 40,000.00

INDYMAC BK F S B PASADENA CALIF DTD 10-26-2007 4.9 C/D 05-27-2008

   $ 30,000.00    $ 30,000.00

INDYMAC BK F S B PASADENA CALIF DTD 11-07-2007 4.8 C/D 11-07-2008

   $ 10,000.00    $ 10,000.00

INDYMAC BK F S B PASADENA CALIF DTD 11-07-2007 4.9 C/D 04-07-2008

   $ 20,000.00    $ 20,000.00

INDYMAC BK F S B PASADENA CALIF DTD 11-07-2007 4.9 C/D 06-09-2008

   $ 98,000.00    $ 98,000.00

IRONSTONE BK FT MYERS FLA CTF DEP DTD 07-18-2007 5.45 07-18-2017

   $ 10,000.00    $ 10,000.00

IRONSTONE BK FT MYERS FLA CTF DEP DTD 11-17-2006 5.2 11-17-2016

   $ 5,000.00    $ 4,899.55

JPMORGAN CHASE BK N A NY N Y FORME EQTY LKD CTF DEP LKD S&P 500 INDEX 3-30-2012

   $ 20,000.00    $ 20,000.00

LASALLE BK MIDWEST NATL ASSN TROY MICH DTD 06-13-2007 5.15 C/D 03-13-2008

   $ 40,000.00    $ 39,987.60

LASALLE BK MIDWEST NATL ASSN TROY MICH DTD 06-13-2007 5.15 C/D 06-13-2008

   $ 10,000.00    $ 9,997.10

LASALLE BK MIDWEST NATL ASSN TROY MICH DTD 07-11-2007 5.15 C/D 04-11-2008

   $ 40,000.00    $ 40,000.00

LASALLE BK MIDWEST NATL ASSN TROY MICH DTD 07-18-2007 5.2 C/D 04-18-2008

   $ 50,000.00    $ 50,000.00

LASALLE BK MIDWEST NATL ASSN TROY MICH DTD 07-18-2007 5.25 C/D 07-18-2008

   $ 120,000.00    $ 120,000.00

LASALLE BK N A CHICAGO ILL CTF DEP DTD 06-06-2007 5.25 06-06-2017

   $ 10,000.00    $ 9,786.60

LASALLE BK N A CHICAGO ILL CTF DEP DTD 08-02-2006 5.2 08-03-2009

   $ 100,000.00    $ 100,000.00

LASALLE BK N A CHICAGO ILL DTD 04-18-2007 5.05 C/D 01-18-2008

   $ 50,000.00    $ 50,000.00

LASALLE BK N A CHICAGO ILL DTD 05-23-2007 5.05 C/D 02-22-2008

   $ 1,000.00    $ 1,000.00

LASALLE BK N A CHICAGO ILL DTD 09-26-2007 5 C/D 03-26-2008

   $ 10,000.00    $ 10,000.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

LASALLE BK N A CHICAGO ILL DTD 12-12-2007 4.65 C/D 03-12-2008

   $ 20,000.00    $ 20,000.00

LEHMAN BROS BK FSB WILMINGTON DEL CTF DEP DTD 03-22-2006 5.15 03-22-2011

   $ 100,000.00    $ 100,000.00

LEHMAN BROS BK FSB WILMINGTON DEL CTF DEP DTD 11-21-2005 6.25 11-21-2025

   $ 12,000.00    $ 12,000.00

LEHMAN BROS BK FSB WILMINGTON DEL CTF DEP DTD 12-14-2005 4.85 DUE 12-14-2010

   $ 50,000.00    $ 497.32

LEHMAN BROS BK FSB WILMINGTON DEL DTD 09-26-2007 5.05 C/D 03-26-2008

   $ 3,000.00    $ 3,000.00

LEHMAN COML BK SALT LAKE CITY UTAH DTD 08-29-2007 5.15 C/D 02-29-2008

   $ 50,000.00    $ 50,000.00

MACHIAS SVGS BK ME CTF DEP DTD 03-23-2005 4.25 DUE 03-23-2010

   $ 30,000.00    $ 295.23

MEDALLION BK SALT LAKE CITY UTAH DTD 12-12-2007 4.6 C/D 06-12-2008

   $ 20,000.00    $ 20,000.00

MERIDIAN BK NATL ASSN WICKENBURG ARIZ CTF DEP DTD 06-06-2007 5.2 12-08-2008

   $ 63,000.00    $ 63,081.90

MERRICK BK CORP SOUTH JORDAN UTAH CTF DEP DTD 06-30-2006 5.55 11-28-2008

   $ 50,000.00    $ 502.20

MERRICK BK CORP SOUTH JORDAN UTAH CTF DEP DTD 07-30-2007 5.2 07-30-2009

   $ 10,000.00    $ 10,000.00

MERRICK BK CORP SOUTH JORDAN UTAH DTD 05-31-2007 5.1 C/D 04-30-2008

   $ 10,000.00    $ 9,994.60

MERRICK BK CORP SOUTH JORDAN UTAH DTD 12-21-2007 4.55 C/D 10-21-2008

   $ 15,000.00    $ —  

MIDFIRST BK OKLA CITY DTD 10-10-2007 4.85 C/D 04-10-2008

   $ 50,000.00    $ 50,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH CTF DEP DTD 08-23-2006 5.2 02-25-2008

   $ 176,000.00    $ 176,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 01-24-2007 5.2 C/D 01-24-2008

   $ 127,000.00    $ 127,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 02-07-2007 5.2 C/D 02-07-2008

   $ 83,000.00    $ 83,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 10-24-2007 4.9 C/D 02-25-2008

   $ 110,000.00    $ 110,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 11-07-2007 4.85 C/D 02-07-2008

   $ 4,000.00    $ 4,000.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 11-07-2007 4.9 C/D 05-07-2008

   $ 70,000.00    $ 70,000.00

MOUNT PROSPECT NATL BK ILL DTD 07-18-2007 5.2 C/D 04-18-2008

   $ 120,000.00    $ 120,000.00

NARA BK N A LOS ANGELES CALIF DTD 06-27-2007 5.15 C/D 01-28-2008

   $ 1,000.00    $ 999.87

NATIONAL PENN BK BOYERTOWN PA DTD 04-04-2007 5 C/D 01-04-2008

   $ 1,000.00    $ 1,000.00

NEW FRONTIER BK GREELEY COLO DTD 12-21-2007 4.55 C/D 12-19-2008

   $ 10,000.00    $ —  

NEW YORK CMNTY BK WESTBURY NEW YORK DTD 02-07-2007 5.2 C/D 02-07-2008

   $ 83,000.00    $ 83,000.00

NEW YORK CMNTY BK WESTBURY NEW YORK DTD 12-28-2007 4.6 C/D 02-28-2008

   $ 10,000.00    $ 10,000.00

PACIFIC ST BK STOCKTON CALIF CTF DEP DTD08-04-2006 5.4 02-04-2008

   $ 183,000.00    $ 183,000.00

PARAGON COML BK RALEIGH N C DTD 02-28-2007 5.15 08-28-2008

   $ 50,000.00    $ 50,031.50

PENN FED SVGS BK NEWARK N J CTF DEP DTD 06-25-2004 4.05 06-25-2008

   $ 72,000.00    $ 71,663.76

PEOPLES BK N A MARIETTA OHIO CTF DEP DTD08-04-2006 5.3 08-04-2008

   $ 100,000.00    $ 100,000.00

PEOPLES BK NEWTON NORTH CAROLINA DTD 08-17-2007 5 C/D 05-19-2008

   $ 29,000.00    $ 28,990.14

PEOPLES BK OZARKS NIXA MO CTF DEP DTD 07-13-2007 5.5 07-13-2017

   $ 10,000.00    $ 10,000.00

PLANTERSFIRST CORDELE GA DTD 07-13-2007 5.2 C/D 04-11-2008

   $ 6,000.00    $ 6,001.02

PREMIER BK JEFFERSON CITY MO DTD 11-30-2007 4.65 C/D 05-30-2008

   $ 40,000.00    $ 40,000.00

PROVIDENT BK CINCINNATI OHIO CTF DEP DTD04-25-2003 3.4 04-25-2008

   $ 10,000.00    $ 99.47

PROVIDENT BK MD BALTIMORE DTD 10-03-20074.85 C/D 02-04-2008

   $ 25,000.00    $ 25,000.00

PULASKI BK A SVGS BK ST LOUIS MO DTD 12-14-2007 4.75 C/D 01-14-2008

   $ 67,000.00    $ 66,991.29

R G PREMIER BK P R HATO REY CTF DEP DTD 05/24/2006 DTD 05-24-2006 5.4 05-24-2011

   $ 95,000.00    $ 960.18

R G PREMIER BK P R HATO REY CTF DEP DTD 06-07-2006 5.3 06-08-2009

   $ 75,000.00    $ 752.96

R G PREMIER BK P R HATO REY CTF DEP DTD 07-25-2006 5.5 07-25-2008

   $ 25,000.00    $ 25,000.00

R G PREMIER BK P R HATO REY CTF DEP DTD 11-08-2006 5.1 11-09-2009

   $ 10,000.00    $ 10,000.00

R G PREMIER BK P R HATO REY CTF DEP DTD 12-27-2006 4.95 12-28-2009

   $ 75,000.00    $ 75,000.00

RABOBANK NATL ASSN EL CENTRO CALIF CTF DEP DTD 03-15-2006 0 09-15-2009

   $ 10,000.00    $ 10,000.00

REPUBLIC FIRST BK PHILADELPHIA PA DTD 11-23-2007 4.75 C/D 01-23-2008

   $ 100,000.00    $ 100,000.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

REPUBLIC FIRST BK PHILADELPHIA PA DTD 12-13-2007 4.7 C/D 01-11-2008

   $ 40,000.00    $ 40,000.00

REPUBLIC FIRST BK PHILADELPHIA PA DTD 12-13-2007 4.7 C/D 01-24-2008

   $ 20,000.00    $ 20,000.00

RIVERSIDE NATL BK FLA DTD 05-30-2007 5.1C/D 05-30-2008

   $ 178,000.00    $ 178,000.00

SALLIE MAE BK MURRAY UTAH DTD 12-19-20074.75 C/D 02-19-2008

   $ 30,000.00    $ 30,000.00

SEATTLE SVGS BK WASH DTD 12-13-2007 4.7 C/D 02-13-2008

   $ 5,000.00    $ 5,000.00

SECURITY BK & TR CO ALBANY GA DTD 12-28-2007 4.55 C/D 12-26-2008

   $ 99,000.00    $ 99,000.00

SIGNATURE BK OF ARK FAYETTEVILLE DTD 07-25-2007 5.15 C/D 01-25-2008

   $ 20,000.00    $ 20,000.00

SIGNATURE BK OF ARK FAYETTEVILLE DTD 08-29-2007 5.1 C/D 05-29-2008

   $ 29,000.00    $ 29,000.00

STANDARD BK & TR CO HICKORY HILLS ILL DTD 06-13-2007 5.15 C/D 06-13-2008

   $ 34,000.00    $ 33,990.14

STATE BK & TR FARGO N D DTD 05-30-2007 5.1 C/D 05-30-2008

   $ 10,000.00    $ 10,000.00

STEARNS BK NA ST CLOUD MINN CTF DEP DTD 03-23-2005 4 DUE 03-24-2008

   $ 30,000.00    $ 29,923.20

STERLING SVGS BK SPOKANE WASH DTD 09-12-2007 5.1 C/D 03-12-2008

   $ 10,000.00    $ 10,000.00

STERLING SVGS BK SPOKANE WASH DTD 10-31-2007 4.8 C/D 03-03-2008

   $ 10,000.00    $ 9,993.30

STERLING SVGS BK SPOKANE WASH DTD 12-19-2007 4.65 C/D 04-21-2008

   $ 20,000.00    $ 20,000.00

SUMMIT CMNTY BK MOOREFIELD WEST VA CTF DEP DTD 06-16-2006 5.25 06-16-2009

   $ 100,000.00    $ 100,000.00

SUNTRUST BK ATLANTA GA CTF DEP DTD 03-29-2006 0 09-29-2009

   $ 10,000.00    $ 10,000.00

TIDELANDS BK MT PLEASANT S C CTF DEP DTD02-27-2007 5.2 08-27-2008

   $ 25,000.00    $ 250.24

TOWN NORTH BK N A DALLAS TEX DTD 05-30-2007 5.1 C/D 12-31-2007

   $ 3,000.00    $ 3,000.00

TOWN NORTH BK N A DALLAS TEX DTD 07-02-2007 5.25 C/D 04-02-2008

   $ 62,000.00    $ 62,000.00

TREAS BK ALEXANDRIA VA CTF DEP DTD 09-24-2003 3.5 09-24-2008

   $ 10,000.00    $ 9,890.60

TREASURY BK ALEXANDRIA VA CTF DEP DTD 09-08-2005 5 09-08-2010

   $ 10,000.00    $ 10,000.00

UNION BK KANS CITY MO DTD 11-26-2007 4.7C/D 06-26-2008

   $ 95,000.00    $ 95,000.00

VENTURE BK LACEY WASH DTD 05-16-2007 5.05 C/D 01-16-2008

   $ 1,000.00    $ 999.95

WA MUT BK HENDERSON NEV CTF DEP DTD 08/01/2007 ACT/365 DUE 01-02-2008

   $ 52,000.00    $ 52,000.00

WACHOVIA BK N A CHARLOTTE N C CTF DEP DTD 04-04-2006 0 04-01-2011

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV CTF DEP DTD 04-18-2007 5.1 04-18-2017

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV CTF DEP DTD 08-16-2006 5.15 08-17-2009

   $ 110,000.00    $ 110,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 04-25-2007 5.05 C/D 04-24-2008

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 05-02-2007 5.05 C/D 05-02-2008

   $ 62,000.00    $ 61,952.26

WASHINGTON MUT BK HENDERSON NEV DTD 05-09-2007 5.05 C/D 02-13-2008

   $ 30,000.00    $ 30,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 06-06-2007 5.1 C/D 01-09-2008

   $ 60,000.00    $ 59,997.60

WASHINGTON MUT BK HENDERSON NEV DTD 06-06-2007 5.1 C/D 03-06-2008

   $ 1,000.00    $ 1,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 06-06-2007 5.1 C/D 06-06-2008

   $ 95,000.00    $ 95,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 06-13-2007 5.15 C/D 03-13-2008

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 07-18-2007 5.25 C/D 07-16-2010

   $ 96,000.00    $ 96,510.72

WASHINGTON MUT BK HENDERSON NEV DTD 07-25-2007 5.2 C/D 07-25-2008

   $ 14,000.00    $ 14,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 08-15-2007 5.05 C/D 01-15-2008

   $ 75,000.00    $ 75,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 08-15-2007 5.1 C/D 03-17-2008

   $ 115,000.00    $ 115,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 08-22-2007 5.1 C/D 03-20-2008

   $ 15,000.00    $ 15,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 09-12-2007 5.15 C/D 01-11-2008

   $ 50,000.00    $ 50,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 09-19-2007 5.25 C/D 02-19-2008

   $ 266,000.00    $ 266,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 09-28-2007 5.05 C/D 01-28-2008

   $ 50,000.00    $ 50,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 10-17-2007 4.8 C/D 10-17-2008

   $ 6,000.00    $ 6,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 10-24-2007 4.9 C/D 05-23-2008

   $ 2,000.00    $ 2,000.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

WASHINGTON MUT BK HENDERSON NEV DTD 10-31-2007 4.85 C/D 07-31-2008

   $ 98,000.00    $ 98,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 10-31-2007 5 C/D 03-31-2008

   $ 41,000.00    $ 41,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 11-21-2007 4.7 C/D 02-21-2008

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 11-21-2007 4.75 C/D 04-21-2008

   $ 10,000.00    $ 10,000.00

WASHINGTON MUT BK HENDERSON NEV DTD 11-21-2007 4.75 C/D 05-21-2008

   $ 95,000.00    $ 95,000.00

WASHINGTON TR BK SPOKANE WASH CTF DEP DTD 11-15-2006 5.3 11-16-2009

   $ 10,000.00    $ 10,000.00

WESTERNBANK P R CTF DEP DTD 03-08-2006 4.95 03-10-2008

   $ 10,000.00    $ 10,000.00

WESTERNBANK P R DTD 05-02-2007 5.05 C/D 05-02-2008

   $ 100,000.00    $ 99,923.00

WESTERNBANK P R DTD 05-16-2007 5.1 C/D 05-16-2008

   $ 5,000.00    $ 5,000.00

WESTERNBANK P R DTD 06-06-2007 5.15 C/D 06-06-2008

   $ 1,000.00    $ 999.67

WESTERNBANK P R DTD 06-27-2007 5.25 C/D 06-27-2008

   $ 30,000.00    $ 30,007.80

WESTERNBANK P R DTD 07-20-2007 5.2 C/D 04-21-2008

   $ 110,000.00    $ 110,000.00

WESTERNBANK P R DTD 07-20-2007 5.2 C/D 07-18-2008

   $ 50,000.00    $ 50,000.00

WESTERNBANK P R DTD 08-22-2007 5.15 08-24-2009

   $ 6,000.00    $ 6,000.00

WESTERNBANK P R DTD 10-03-2007 4.9 C/D 10-03-2008

   $ 50,000.00    $ 50,000.00

WILMINGTON SVGS FD SOCIETY FSB DEL DTD 12-28-2007 4.8 C/D 02-28-2008

   $ 25,000.00    $ 25,000.00

WORLD SVGS BK FSB OAKLAND CAL CTF DEP 07-06-2007 5.3 07-06-2010

   $ 23,000.00    $ 23,000.00

WORLD SVGS BK FSB OAKLAND CALIF CTF DEP DTD 11-28-2007 4.6 11-29-2010

   $ 100,000.00    $ 98,809.00

WORLD SVGS BK FSB OAKLAND CALIF DTD 03-14-2007 5.05 C/D 03-14-2008

   $ 92,000.00    $ 91,942.04

WORLD SVGS BK FSB OAKLAND CALIF DTD 03-21-2007 5.05 C/D 03-20-2008

   $ 10,000.00    $ 10,000.00

WORLD SVGS BK FSB OAKLAND CALIF DTD 04-18-2007 5.05 C/D 04-18-2008

   $ 5,000.00    $ 4,996.20

WORLD SVGS BK FSB OAKLAND CALIF DTD 04-25-2007 5.1 C/D 01-25-2008

   $ 30,000.00    $ 30,000.00

WORLD SVGS BK FSB OAKLAND CALIF DTD 04-25-2007 5.1 C/D 04-25-2008

   $ 15,000.00    $ 14,990.70

WORLD SVGS BK FSB OAKLAND CALIF DTD 06-06-2007 5.1 C/D 06-06-2008

   $ 75,000.00    $ 74,960.25

WORLD SVGS BK FSB OAKLAND CALIF DTD 10-10-2007 4.8 C/D 01-10-2008

   $ 40,000.00    $ 40,000.00

WORLD SVGS BK FSB OAKLAND CALIF DTD 10-10-2007 4.85 C/D 10-10-2008

   $ 103,000.00    $ 103,000.00

WORLD SVGS BK FSB OAKLAND CALIF DTD 10-19-2007 4.9 C/D 10-17-2008

   $ 10,000.00    $ 10,000.00

Certificates of Deposit Total

   $ 12,243,860.18    $ 11,725,096.55

##GEN MTRS ACCEP CORP NT 5.125 DUE 05-09-2008 BEO

   $ 65,725.00    $ 69,226.43

##GMAC LLC PUB INC NT PINES 7.3 DUE 03-09-2031 DO NOT USE SEE 1002332

   $ 9,597.20    $ 66.53

##GMAC LLC SR NT 7.35 DUE 08-08-2032 RE G DO NOT USE SEE SEC#1-002093

   $ 11,826.90    $ 96.91

6 FLAGS INC SR NT 8.875 DUE 02-01-2010/02-01-2006 BEO

   $ 9,235.00    $ 8,250.00

6 FLAGS INC SR NT 9.75 DUE 04-15-2013/04-15-2008

   $ 24,556.25    $ 19,062.50

ABBEY NATL NORTH AMER LLC DISC COML PAPER 3/A3 YRS 1&2 01-04-2008

   $ 1,898,311.64    $ 1,899,035.22

AES CORP 7.75 DUE 03-01-2014/02-13-2004 BEO

   $ 5,300.00    $ 5,037.50

AES CORP SR NT 9.5 DUE 06-01-2009/05-31-2009 BEO

   $ 15,610.00    $ 18,630.00

ALBERTSONS INC SR NT 8.35 DUE 05-01-2010BEO

   $ 10,490.82    $ 10,325.00

ALTRIA GROUP INC NT 7 DUE 11-04-2013 BEO

   $ 15,906.77    $ 16,775.06

AMER MOVIL S A B DE C V 5.625 DUE 11-15-2017 BEO

   $ 59,779.80    $ 58,625.70

AMERADA HESS CORP NT 7.875 DUE 10-01-2029/09-30-2029 BEO

   $ 34,865.40    $ 35,508.45

AMERADA HESS CORP NT DTD 08/15/2001 7.3% DUE 08-15-2031/08-14-2031 BEO

   $ 202,007.74    $ 207,805.14

AMERICAN EXPRESS CO SUB DEB FLTG RATE VAR RT DUE 09-01-2066/09-01-2016

   $ 72,672.60    $ 70,977.48

AMERIGAS PARTNERS L P / AMERIGAS FIN CORSR NT 7.25 05-20-2015/05-20-2010 BEO

   $ 10,000.00    $ 9,800.00

AMERISOURCEBERGEN CORP SR NT 5.875% DUE 09-15-2015/07-13-2006

   $ 19,900.00    $ 19,623.86

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

ANADARKO FIN CO SR NT 7.5% DUE 05-01-2031 BEO

   $ 33,635.40    $ 33,729.51

ANADARKO PETE CORP SR NT 6.45% DUE 09-15-2036/09-19-2006 BEO

   $ 160,256.19    $ 162,933.76

ANADARKO PETE CORP SR NT FLTG RATE DUE 09-15-2009/03-15-2008 BEO

   $ 140,000.00    $ 137,833.36

AOL TIME WARNER INC DEB DTD 04/19/2001 7.625% DUE 04-15-2031/04-14-2031 BEO

   $ 166,174.69    $ 188,125.40

ASBURY AUTOMOTIVE GROUP INC SR SUB NT 8% DUE 03-15-2014/03-15-2008 BEO

   $ 3,102.50    $ 2,820.00

AT&T BROADBAND CORP NT 9.455% DUE 11-15-2022 BEO

   $ 10,550.94    $ 12,482.62

BARCLAYS BK PLC CONV NT LKD TO 20 DUE 01-03-2008 BEO

   $ 10,000.00    $ 6,559.00

BLUEGREEN CORP SR SECD NT 10.5% DUE 04-01-2008/04-01-2006 BEO

   $ 10,015.00    $ 9,925.00

BON-TON DEPT STORES INC SR NT 10.25% DUE03-15-2014/03-15-2010

   $ 25,048.44    $ 18,843.75

BORDEN CHEM INC

   $ 24,585.18    $ 18,750.00

BOWATER INC DEB 9 DUE 08-01-2009 REG

   $ 20,474.50    $ 19,400.00

BOYD GAMING CORP SR SUB NT 6.75 DUE 04-15-2014/04-15-2009 REG

   $ 9,855.00    $ 9,525.00

BOYD GAMING CORP SR SUB NT 7.125% DUE 02-01-2016/02-01-2008 REG

   $ 39,800.00    $ 37,800.00

BRIT TELECOMMUNICATIONS P L C VARIABLE RATE NT DUE 12-15-2010/01-11-2001 BEO

   $ 54,910.35    $ 60,354.20

CCH I LLC / CCH HLDGS LLC SR SECD NT 11% DUE 10-01-2015/10-01-2010 REG

   $ 31,162.50    $ 24,450.00

CENTENNIAL COMMUNICATIONS CORP NEW SR NTFLT RT DUE 01-01-2013/01-01-2008 BEO

   $ 3,171.25    $ 3,067.50

CHESAPEAKE ENERGY CORP SR NT 6.25% DUE 01-15-2018/07-15-2010 REG

   $ 19,784.60    $ 19,200.00

CHIQUITA BRANDS INTL INC SR NT 8.875% DUE 12-01-2015/06-01-2008 REG

   $ 23,263.63    $ 22,812.50

CHS / CMNTY HEALTH SYS INC SR NT 8.875% DUE 07-15-2015/11-16-2007 BEO

   $ 39,717.60    $ 40,750.00

CITIZENS COMMUNICATIONS CO CITIZENS COMMUNICATIONS 9.25 DUE 05-15-2011 BEO

   $ 11,187.50    $ 10,825.00

CITIZENS COMMUNICATIONS CO SR NT 7.125 DUE 03-15-2019 REG

   $ 5,000.00    $ 4,750.00

CITIZENS COMMUNICATIONS CO SR NT 8.875 DUE 01-15-2027 BEO

   $ 20,800.00    $ 19,050.00

CLEAR CHANNEL COMMUNICATIONS INC 4.25 DUE 05-15-2009 BEO

   $ 48,056.60    $ 47,467.90

CLEAR CHANNEL COMMUNICATIONS INC SR NT DTD 03/21/2006 6.25% DUE 03-15-2011 BEO

   $ 59,398.20    $ 54,300.00

CLOROX CO SR NT 5% DUE 01-15-2015 REG

   $ 33,006.35    $ 33,446.00

CMO FNMA SERIES 2003-88 CLASS-F DUE 05-25-2030 REG

   $ 442,616.28    $ 443,460.69

CMO J P MORGAN CHASE COML MTG SECS CORP 5.2945% DUE 01-12-2043 BEO

   $ 100,499.63    $ 99,974.80

CMO J P MORGAN CHASE COML MTG SECS TR 2007-L MTG CTF CL A-3 5.42 DUE 1-15-2049

   $ 160,793.06    $ 160,148.32

CMO MASTR ADJ RATE MTGS TR 2004-15 MTG PASSTHRU CTF CL 1-A-1 DUE 12-25-2034 REG

   $ 33,536.40    $ 34,017.25

CMO ML-CFC COML MTG TR 2007-6 MTG PASSTHRU CTF CL A-4 DUE 03-12-2051 REG

   $ 150,823.00    $ 150,959.10

CMO THORNBURG MTG SECS TR 2006-3 SERIES CLASS-A3 DUE 06-25-2036 REG

   $ 425,008.53    $ 422,635.28

COMCAST CORP NEW 0 DUE 08-15-2037 BEO

   $ 170,283.20    $ 172,683.52

COMCAST CORP NEW COMCAST CORPORATION 6.5% DUE 01-15-2017 BEO

   $ 141,600.20    $ 140,758.02

COMPAGNIE GENERALE DE GEOPHYSIQUE VERITASR NT 7.75 DUE 05-15-2017

   $ 25,912.50    $ 25,250.00

COMPAGNIE GENERALE DE GEOPHYSIQUE SR NT 7.5% DUE 05-15-2015/05-15-2006 REG

   $ 25,550.00    $ 25,312.50

COMPLETE PRODTN SVCS INC SR NT 8% DUE 12-15-2016/12-15-2007 REG

   $ 41,075.00    $ 38,700.00

CONSECO FIN SECURITIZATIONS CORP SR/SUB PASSTHRU 06-01-2030 BEO

   $ 225,875.84    $ 292,084.26

CONSECO FIN SECURITIZATIONS SER 2000-4 CL A6 EXP MAT 4-1-13 8.31 05-01-32 BEO

   $ 79,460.98    $ 73,523.56

CONSTAR INTL INC NEW SR SUB NT 11% DUE 12-01-2012/12-01-2007 BEO

   $ 23,190.28    $ 18,625.00

COUNTRYWIDE FINL CORP MEDIUM TERM NTS BOTRANCHE 00118 02/02/07 5.3 2-15-2008

   $ 29,982.00    $ 27,862.50

COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSTRANCHE # TR 00287

   $ 245,875.00    $ 236,506.13

COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSBOOK ENTRY TRANCHE # TR 00173 6.25 DUE

   $ 8,885.00    $ 8,000.00

CSC HLDGS INC 7.875 DUE 02-15-2018 REG

   $ 695.00    $ 935.00

CSC HLDGS INC CVC 7.25 DUE 07-15-2008 BEO

   $ 40,600.00    $ 40,050.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

CVS CAREMARK CORP PASS THRU CTF 144A 6.943% DUE 01-10-2030/04-10-2008 BEO

   $ 150,000.00    $ 150,444.00

CVS CAREMARK CORP SR NT FLTG DUE 06-01-2010/12-01-2008 REG

   $ 1,470,735.00    $ 1,483,911.00

DAVE & BUSTERS INC SR NT 11.25% DUE 03-15-2014/03-15-2010

   $ 52,545.31    $ 48,250.00

DAVITA INC SR NT 6.625% DUE 03-15-2013/03-15-2009 REG

   $ 45,237.50    $ 44,775.00

DELUXE CORP SR NT 5 DUE 12-15-2012/12-14-2012 BEO

   $ 12,617.50    $ 13,481.25

DEUTSCHE BK AG LDN 0% IDX-LKD BDS 24/06/09 USD

   $ 20,000.00    $ —  

DEUTSCHE TELEKOM INTL FIN B V NT 5.75% DUE 03-23-2016 REG

   $ 74,516.25    $ 75,070.28

DI FIN SUB LLC / DYNCORP INTL LLC / DIV SR SUB NT 9.5 DUE 02-15-2013 REG

   $ 8,160.00    $ 8,370.00

DIRECTV HLDGS LLC / DIRECTV FING INC SR NT 8.375% DUE 03-15-2013/03-15-2008 BEO

   $ 20,837.50    $ 20,800.00

DOLE FOOD INC DEB DTD 08-03-1993 8.75% DUE 07-15-2013 REG

   $ 9,438.10    $ 9,275.00

DRS TECHNOLOGIES INC SR NT 6.625% DUE 02-01-2016/02-01-2011 REG

   $ 10,000.00    $ 9,875.00

DVI INC IN DEFAULT 9.875 DUE 12-31-2040/02-01-2003 REG

   $ 18,733.76    $ 3,250.00

DYNEGY HLDGS INC SR NT 7.75% DUE 06-01-2019 REG

   $ 64,168.75    $ 59,962.50

EASTMAN KODAK CO 7.25 DUE 11-15-2013 BEO

   $ 39,200.80    $ 40,000.00

ECHOSTAR DBS CORP SR NT 6.625% DUE 10-01-2014 REG

   $ 9,910.20    $ 9,950.00

ECHOSTAR DBS CORP SR NT 7.125% DUE 02-01-2016

   $ 29,883.60    $ 30,600.00

EDISON MISSION ENERGY SR NT TRANCHE A 7% DUE 05-15-2017 REG

   $ 40,000.00    $ 39,300.00

EDISON MISSION ENERGY SR NT TRANCHE B 7.2% DUE 05-15-2019 REG

   $ 50,000.00    $ 49,125.00

EDISON MISSION ENERGY SR NT TRANCHE C 7.625% DUE 05-15-2027 REG

   $ 10,000.00    $ 9,400.00

EKSPORTFINANS A S A MEDIUM TERM NTS BOOKCONV MTN 21.1 DUE 01-03-2008 BEO

   $ 10,000.00    $ 10,175.80

EKSPORTFINANS A S A MEDIUM TERM NTS BOOKTR # TR 00147 5.5 DUE 06-26-2017 REG

   $ 992,650.00    $ 1,058,726.00

EL PASO CORP NAT GAS SR NT 7 DUE 06-15-2017 BEO

   $ 158,758.40    $ 160,165.92

EL PASO ENERGY CORP MEDIUM TERM NTS BOOK TR 4 7.8 8-1-31

   $ 80,550.71    $ 88,292.56

EL PASO ENERGY CORP MTN BOOKTRANCHE # TR00005 7.75 1-15-2032 BEO

   $ 316,853.98    $ 334,975.41

EL PASO NAT GAS CO NT 8.375% DUE 06-15-2032/06-14-2032 BEO

   $ 87,902.32    $ 103,083.11

ELECTR DATA SYS CORP NT 7.125 DUE 10-15-2009/10-12-1999 BEO

   $ 131,387.34    $ 129,040.63

EXELON CORP EXELON CORP 5.625 6 15 35 5.625% DUE 06-15-2035/06-09-2005 BEO

   $ 126,059.90    $ 116,095.07

EXELON GENERATION CO LLC SR NT 6.2 DUE 10-01-2017 REG

   $ 997,560.00    $ 993,829.00

FIRSTENERGY CORP NT SER C 7.375 DUE 11-15-2031/11-14-2031 BEO

   $ 416,850.95    $ 416,950.44

FMC FIN III S A GTD SR NT 144A 6.875 DUE07-15-2017 BEO

   $ 29,467.50    $ 30,000.00

FORD HLDGS INC 9.375% DUE 03-01-2020 REG

   $ 12,787.50    $ 9,500.93

FORD MTR CO DEL 9.98% DUE 02-15-2047 REG

   $ 35,380.00    $ 32,000.00

FORD MTR CO DEL SR NT CONV 4.25 DUE 12-15-2036 REG

   $ 20,000.00    $ 19,850.00

FORD MTR CR CO CONTINUOUSLY OFFERED BDS TRANCHE # TR 00212 09/17/03 6.15 9-20-10

   $ 9,155.00    $ 8,782.77

FORD MTR CR CO LLC DTD 11/05/1993 6.375 DUE 11-05-2008 REG

   $ 8,957.50    $ 9,718.72

FORD MTR CR CO LLC GLOBAL LANDMARK SECS-GLOBLS 7.375% DUE 02-01-2011 BEO

   $ 103,003.20    $ 89,550.60

FORD MTR CR CO LLC NT 7% DUE 10-01-2013

   $ 351,000.00    $ 334,155.60

FORD MTR CR CO LLC NT 7.375% DUE 10-28-2009 BEO

   $ 146,475.64    $ 141,186.90

FORD MTR CR CO MTN 4.95 DUE 01-15-2008

   $ 9,279.95    $ 9,987.75

FORD MTR CR CO MTN 4.95 DUE 01-15-2008

   $ 103,087.00    $ 109,926.52

FORD MTR CR CO NT 8 DUE 12-15-2016 REG

   $ 218,262.50    $ 195,364.53

FOREST CITY ENTERPRISES INC SR NT 6.5% DUE 02-01-2017/02-01-2010 BEO

   $ 16,000.00    $ 14,480.00

FREEPORT-MCMORAN COPPER & GOLD INC SR NT8.375% DUE 04-01-2017/04-01-2008 REG

   $ 60,800.00    $ 64,350.00

FREESCALE SEMICONDUCTOR INC SR NT 8.875% DUE 12-15-2014/12-15-2007 REG

   $ 10,000.00    $ 8,925.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

FRESENIUS MED CARE CAP TR II GTD TR PFD SECS 7.875% DUE 02-01-2008 BEO

   $ 30,367.35    $ 31,000.00

GA GULF CORP SR NT 9.5 DUE 10-15-2014 REG

   $ 9,930.40    $ 7,975.00

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00576 4.25 DUE 01-15-2008

   $ 99,349.96    $ 99,988.20

GEN MTR CORP 8.80 BD DUE 3-1-2021 REG PUTABLE ON 3-1-98

   $ 12,857.04    $ 10,140.00

GEN MTRS ACCEP CORP 5.625 DUE 05-15-2009 BEO

   $ 82,467.30    $ 84,911.94

GEN MTRS ACCEP CORP MEDIUM TERM NTS TRANCHE # TR 00638 VAR RT DUE 09-23-2008

   $ 700,437.50    $ 676,248.30

GEN MTRS ACCEP CORP NT DTD 09/12/2001 6.875 DUE 09-15-2011 BEO

   $ 177,650.00    $ 162,543.86

GEN MTRS ACCEP CORP SMARTNOTES BOOK TRANCHE # TR 00645 7.5 DUE 10-15-2012

   $ 9,796.50    $ 8,313.81

GEN MTRS ACCEP CORP SMARTNOTES TRANCHE #TR 00651 7.75 DUE 10-15-12/05 BEO

   $ 1,008.00    $ 838.00

GEN MTRS CORP 8.25 DUE 07-15-2023 BEO

   $ 1,092.60    $ 795.00

GEN MTRS CORP 8.25 DUE 07-15-2023 BEO

   $ 99,400.00    $ 111,300.00

GEN MTRS CORP SR NT 7.125 DUE 07-15-2013 REG

   $ 20,242.60    $ 17,112.00

GENERAL ELEC CAP CORP DISC COML PAPER 3/A3 YRS 1&2 01-02-2008

   $ 1,499,687.50    $ 1,499,687.50

GENERAL ELEC CAP CORP DISC COML PAPER 3/A3 YRS 1&2 01-02-2008

   $ 1,899,604.17    $ 1,899,604.17

GENERAL MTRS ACCEP CORP GLOBAL BD 7.25% DUE 03-02-2011 BEO

   $ 99,792.10    $ 87,653.90

GENERAL MTRS ACCEP CORP GM 8% DUE 11-01-2031 BEO

   $ 920,000.00    $ 838,875.00

GENERAL MTRS ACCEP CORP GMAC GWBAL 7.0% 02-01-02 7% DUE 02-01-2012 BEO

   $ 10,069.50    $ 8,458.38

GENERAL MTRS ACCEP CORP NT 7.75% DUE 01-19-2010 BEO

   $ 9,904.95    $ 9,421.90

GENERAL MTRS ACCEP CORP NT 7.75% DUE 01-19-2010 BEO

   $ 872,378.10    $ 839,538.00

GENERAL MTRS ACCEP CORP SR NT DTD 01/14/1999 5.85% DUE 01-14-2009 BEO

   $ 84,787.50    $ 86,070.24

GENERAL MTRS CORP DEB DTD 06/10/1996 8.1% DUE 06-15-2024/06-15-2008 BEO

   $ 11,715.00    $ 8,030.00

GENERAL MTRS CORP NT DTD 07/15/1991 9.4% DUE 07-15-2021 REG

   $ 9,565.00    $ 8,700.00

GLITNIR BANKI HF GLOBAL MEDIUM TERM SR NTRANCHE # TR 00003 6.33 DUE 07-28-2011

   $ 100,000.00    $ 97,760.60

GLITNIR BANKI HF MEDIUM TERM SR BK NTS BTRANCHE # TR 00005

   $ 99,776.00    $ 98,096.90

GMAC COML MTG SECS INC MTG PASSTHRU CTF 1998-C1 CL A-2 6.7% DUE 05-15-2030 REG

   $ 14,685.71    $ 15,620.76

GMAC LLC NT 7.375% DUE 12-16-2044/12-16-2009 REG

   $ 2,209.57    $ 1,720.00

GRAHAM PACKAGING CO L P / GPC CAP CORP ISR SUB NT 9.875 DUE 10-15-2014 REG

   $ 10,683.33    $ 9,200.00

GRAHAM PACKAGING CO L P / GPC CAP CORP ISR NT 8.5% DUE 10-15-2012/10-15-2008 REG

   $ 20,050.00    $ 18,700.00

HARRAHS OPER INC GTD SR NT DTD 09/28/2005 5.75 DUE 10-01-2017 REG

   $ 18,148.96    $ 17,062.50

HARRY & DAVID OPERATIONS CORP SR NT 9% DUE 03-01-2013/03-01-2008 REG

   $ 24,098.75    $ 23,250.00

HCA INC 6.25 DUE 02-15-2013/02-14-2013 BEO

   $ 20,349.75    $ 17,500.00

HCA INC NT 7.5% DUE 11-06-2033/11-05-2033 REG

   $ 189,662.50    $ 148,675.00

HCA INC NT DTD 02/07/2006 6.5% DUE 02-15-2016/02-08-2006 REG

   $ 1,593.27    $ 1,690.00

HCA INC SR SECD NT 9.125% DUE 11-15-2014/11-15-2007 BEO

   $ 10,000.00    $ 10,400.00

HCA INC SR SECD NT 9.25% DUE 11-15-2016/11-15-2007 BEO

   $ 60,000.00    $ 63,000.00

HCA INC SR SECD TOGGLE NT 9.625% DUE 11-15-2016/11-15-2007 BEO

   $ 3,023.44    $ 3,172.50

HERTZ CORP SR NT 10.5% DUE 01-01-2016/01-01-2008

   $ 10,987.50    $ 10,350.00

HERTZ CORP SR NT 8.875% DUE 01-01-2014/01-01-2008

   $ 15,000.00    $ 15,206.25

HOST MARRIOTT L P SR NT SER Q 6.75% DUE 06-01-2016/06-01-2008

   $ 10,000.00    $ 9,850.00

HOVNANIAN K ENTERPRISES INC GTD SR SUB NT 7.75% DUE 05-15-2013/05-15-2008 REG

   $ 21,441.15    $ 14,250.00

HSBC USA INC NEW REV CONV NT LKD VALUECLICK INC 17.3 DUE 01-03-2008 REG

   $ 25,000.00    $ 1,942,862.50

IDEARC INC SR NT 8 DUE 11-15-2016 REG

   $ 51,506.25    $ 45,875.00

INN OF THE MTN GODS RESORT & CASINO SR NT 12 DUE 11-15-2010/11-15-2007 REG

   $ 11,775.00    $ 10,400.00

INTELSAT LTD SR NT 9.25% DUE 06-15-2016/06-15-2008 REG

   $ 10,000.00    $ 10,050.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

INTERNATIONAL COAL GROUP INC NEW SR NT 10.25% DUE 07-15-2014/07-15-2007

   $ 24,256.77    $ 23,875.00

KAUPTHING BK HF KAUPTHING BK HF 144A 5.7346900 DUE 04-12-2011 BEO

   $ 220,000.00    $ 214,604.94

KERR MCGEE CORP 6.95 DUE 07-01-2024 BEO

   $ 21,612.60    $ 21,363.96

KERR MCGEE CORP CRP KMG 7.875 DUE 09-15-2031 BEO

   $ 142,201.98    $ 155,007.71

KINDER MORGAN ENERGY PARTNERS L P KINDERMORGAN ENER PT NT 5 12-15-13 BEO

   $ 27,962.20    $ 29,105.37

KINDER MORGAN ENERGY PARTNERS L P NTS NCL 6.75 3-15-11 BEO

   $ 10,238.40    $ 10,490.54

KINDER MORGAN ENERGY PARTNERS L P 7.125 3-15-12 BEO

   $ 10,461.80    $ 10,689.29

KINDER MORGAN ENERGY PARTNERS L P KINDERMORGAN ENERGY PARTNERS 6 DUE 020117

   $ 80,698.84    $ 79,995.44

KINDER MORGAN ENERGY PARTNERS L P SR NT 6.3% DUE 02-01-2009/01-29-1999 BEO

   $ 20,183.60    $ 20,258.72

KINDER MORGAN ENERGY PARTNERS L P SR NT 6.95 DUE 01-15-2038 REG

   $ 31,099.40    $ 31,484.88

KS CY SOUTHN RY CO SR NT 9.5 DUE 10-01-2008 BEO

   $ 22,649.12    $ 21,420.00

LAMAR MEDIA CORP SR SUB NT 7.25 DUE 01-01-2013/01-01-2008 BEO

   $ 32,437.50    $ 30,000.00

LANDSBANKI IS HF MEDIUM TERM SR BK NTS BTRANCHE # SR 00001 6.1 DUE 08-25-2011

   $ 189,950.60    $ 187,256.21

LEHMAN BROS HLDGS INC LEHMAN BROS HLDGS INC 5.857% DUE 11-29-2049/05-30-2012

   $ 52,998.00    $ 53,475.00

LEHMAN BROS HLDGS INC LEHMAN BROTHERS HOLDINGS 6.75% DUE 12-28-2017 BEO

   $ 349,741.00    $ 360,744.65

LEUCADIA NATL CORP JR SUB DEFFERABLE INTDEB 8.65% DUE 01-15-2027/01-15-2008 REG

   $ 3,155.00    $ 2,973.75

LIBERTY MEDIA CORP SR EXCHANGEABLE EXCH INTO SPRINT 3.75 02-15-30/02-15-04

   $ 14,616.40    $ 16,612.50

METLIFE INC JR SUB DEB 6.4% DUE 12-15-2066/12-15-2007 REG

   $ 27,182.40    $ 27,494.73

MGM MIRAGE 7.625 DUE 01-15-2017 BEO

   $ 60,756.25    $ 59,250.00

MGM MIRAGE SR NT 6.75% DUE 09-01-2012 REG

   $ 20,000.00    $ 19,475.00

MOHEGAN TRIBAL GAMING AUTH SR SUB NT 8% DUE 04-01-2012/04-01-2008 BEO

   $ 7,000.00    $ 7,105.00

MORGAN STANLEY BK WEST VALLEY CITY UTAH DTD 02-14-2007 5.15 C/D 02-14-2008

   $ 10,000.00    $ 9,996.90

MRS FIELDS FAMOUS BRANDS LLC / MRS FIELDSR SECD NT 11.5 DUE 03-15-2011 REG

   $ 4,293.75    $ 4,050.00

NEXTEL COMMUNICATIONS INC CONV SR NT 5.25% DUE 01-15-2010/01-15-2008 BEO

   $ 3,008.00    $ 2,985.08

NEXTEL COMMUNICATIONS INC SR SER RED NT SER F 5.95 DUE 03-15-2014/03-15-2009 REG

   $ 15,327.50    $ 14,099.54

NEXTEL COMMUNICATIONS INC SR SERIAL RED NT SER D 7.375 DUE 08-01-2015 REG

   $ 55,000.00    $ 49,230.95

NOVA CHEMICALS CORP SR NT 6.5% DUE 01-15-2012 REG

   $ 9,500.36    $ 9,350.00

NPC INTL INC SR SUB NT 9.5% DUE 05-01-2014/05-01-2008 REG

   $ 24,081.25    $ 22,375.00

NRG ENERGY INC 7.375% DUE 02-01-2016/02-01-2008 BEO

   $ 10,437.50    $ 9,750.00

NRG ENERGY INC SR NT 7.25% DUE 02-01-2014/02-01-2010 REG

   $ 39,937.50    $ 39,000.00

NRG ENERGY INC SR NT 7.375% DUE 01-15-2017/01-15-2008 REG

   $ 10,437.50    $ 9,750.00

NXP B V / NXP FDG LLC SR SECD NT 7.875% DUE 10-15-2014/10-15-2007 REG

   $ 5,000.00    $ 4,750.00

OPTI CDA INC GTD SR SECD NT 144A 8.25% DUE 12-15-2014/12-15-2007

   $ 25,137.50    $ 24,750.00

OXFORD INDS INC SR NT 8.875% DUE 06-01-2011/06-01-2008 REG

   $ 10,650.00    $ 9,950.00

PACIFIC GAS & ELEC CO 1ST MTG BD 6.05% DUE 03-01-2034/03-23-2004 REG

   $ 54,835.77    $ 54,908.59

PARK OHIO INDS INC OHIO SR SUB NT 8.375% DUE 11-15-2014/11-15-2009 REG

   $ 2,922.50    $ 2,715.00

PARK PL ENTMT CORP SR NT 7 DUE 04-15-2013/04-14-2013 BEO

   $ 8,000.00    $ 8,480.00

PARK PL ENTMT CORP SR SUB NT 8.125% DUE 05-15-2011/05-14-2011 BEO

   $ 18,097.92    $ 15,810.00

PEABODY ENERGY CORP SR NT 6.875% DUE 03-15-2013/03-15-2008 BEO

   $ 15,049.69    $ 15,075.00

PEMEX PROJ FDG MASTER TR GTD BD 6.625% DUE 06-15-2035 REG

   $ 89,713.60    $ 94,863.06

PENNEY J C INC DEB 7.4 DUE 04-01-2037 REG PUT

   $ 10,462.50    $ 9,927.33

PETROBRAS INTL FIN CO GLOBAL NT 6.125% DUE 10-06-2016 REG

   $ 109,590.60    $ 112,200.00

PETROZUATA FIN INC BD 8.22% DUE 04-01-2017 BEO

   $ 97,250.00    $ 102,000.00

PHILIP MORRIS COS INC 7.75 DEB DUE 01-15-2027

   $ 137,155.20    $ 154,606.68

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

PLY GEM INDS INC SR SUB NT 9% DUE 02-15-2012/02-15-2008 REG

   $ 23,800.00    $ 19,687.50

POINDEXTER J B INC SR NT 8.75% DUE 03-15-2014/03-15-2009 REG

   $ 23,013.89    $ 20,937.50

PRIDE INTL INC DEL SR NT 7.375% DUE 07-15-2014/07-15-2006 REG

   $ 19,894.80    $ 20,550.00

PRUDENTIAL FINL INC INTERNOTES BOOK ENTRTRANCHE # TR 00029 4 DUE 06-15-2008

   $ 14,636.22    $ 14,955.44

PVTPL AES CORP 2ND PRIORITY SR SECD NT 144A 8.75% DUE 05-15-2013/05-15-2008 BEO

   $ 163,277.40    $ 162,825.00

PVTPL AES CORP AES 7.75 15 7.75% DUE 10-15-2015/03-04-2008 BEO

   $ 40,000.00    $ 40,600.00

PVTPL AES CORP AES CORP 8% DUE 10-15-2017/03-04-2008 BEO

   $ 220,000.00    $ 224,950.00

PVTPL AIFUL CORP SR NT 144A 5% DUE 08-10-2010 BEO

   $ 108,598.60    $ 107,954.88

PVTPL AIR 2 US ENHANCED EQUIP SER A 8.027 DUE 10-01-2020 BEO SF 10-01-2000

   $ 23,773.85    $ 47,195.48

PVTPL ALLISON TRANSM INC ALLISON TRANS INC 144A 11.25 DUE 11-01-2015 BEO

   $ 500,000.00    $ 441,250.00

PVTPL AMES TRUE TEMPER INC SR SUB NT 10% DUE 07-15-2012/07-15-2008 REG

   $ 25,802.78    $ 13,625.00

PVTPL ENERGY FUTURE HLDGS CORP 11.25% DUE 11-01-2017/11-01-2012 BEO

   $ 596,671.50    $ 616,100.00

PVTPL ENERGY FUTURE HLDGS CORP SR NT 144A 10.875 DUE 11-01-2017 BEO

   $ 110,000.00    $ 110,550.00

PVTPL GLEN MEADOW PASS-THRU TR GLEN MEADOW PASS THRU 6.505 DUE 021267 BEO

   $ 96,462.00    $ 99,520.00

PVTPL GLITNIR BANKI HF SUB NT FIXED/FLTG144A 6.693% DUE 06-15-2016 BEO

   $ 100,000.00    $ 100,738.50

PVTPL ICICI BK LTD SUB NT 144A VAR RT DUE 04-30-2022/04-30-2017 BEO

   $ 121,958.54    $ 110,436.47

PVTPL INDYMAC ABS INC 2006-H1 CL A VAR RT DUE 04-25-2036 REG

   $ 560,138.08    $ 479,944.86

PVTPL LEVEL 3 FING INC SR GTD NT 9.25 DUE 11-01-2014/11-01-2010 REG

   $ 25,387.50    $ 22,625.00

PVTPL NEWS AMER INC NEWS AMER INC 6.65% DUE 11-15-2037 BEO

   $ 9,855.00    $ 10,314.76

PVTPL OPTI CDA INC OPTI CDA INC 144A 7.875 DUE 12-15-2014 BEO

   $ 40,000.00    $ 39,100.00

PVTPL PEGASUS AVIATION LEASE SECUR SER 2000-1 NT CL A-2 144A 8.37 3-25-2030 BEO

   $ 143,425.00    $ 144,000.00

PVTPL PETROLEUM EXPT LTD NT CL A-2 144A 4.633% DUE 06-15-2010/07-20-2005 BEO

   $ 222,220.00    $ 218,755.57

PVTPL PETROZUATA FIN INC SER B 8.22 BD DUE 04-01-2017 BEO 144A

   $ 22,500.00    $ 30,900.00

PVTPL R H DONNELLEY CORP SR NT SER A-4 144A 8.875 DUE 10-15-2017/10-15-2012 BEO

   $ 15,000.00    $ 13,875.00

PVTPL REALOGY CORP SR SUB NT 144A 12.375% DUE 04-15-2015/04-15-2008 BEO

   $ 98,575.00    $ 69,300.00

PVTPL SEMGROUP L P / SEMGROUP FIN CORP SR NT 144A 8.75 DUE 11-15-2015 BEO

   $ 4,975.00    $ 4,750.00

PVTPL SHINSEI FIN CAYMAN LTD PERP PFD SECS STEP-UP 144A VAR RT DU7-20-16 BEO

   $ 103,335.10    $ 93,391.54

PVTPL SOUTHN NAT GAS CO SOUTHN NAT GAS 5.9 DUE 04-01-2017 BEO

   $ 30,015.70    $ 29,507.01

PVTPL STEEL DYNAMICS INC SR NT 144A 6.75% DUE 04-01-2015/04-01-2011 BEO

   $ 35,012.50    $ 33,775.00

PVTPL STEEL DYNAMICS INC SR NT 144A 7.375% DUE 11-01-2012 BEO

   $ 10,000.00    $ 10,050.00

PVTPL TL ACQUISITIONS INC SR TOGGLE NT 144A 10.5 DUE 01-15-2015 BEO

   $ 19,744.80    $ 19,225.00

PVTPL TNK-BP FIN S A SR MTN BK ENT TRANCHE # TR 00006 7.875 3-13-2018 BEO

   $ 98,728.00    $ 98,750.00

PVTPL TNK-BP FIN S A SR MTN TRANCHE # TR00002 144A 7.5 DUE 07-18-2016 BEO

   $ 119,551.20    $ 116,250.00

PVTPL TRCNTNTL GAS PIPE LINE CORP SR NT FLTG RATE 144A 2.75125 4-15-2008 BEO

   $ 303,000.00    $ 300,000.00

PVTPL TURANALEM FIN BV CO GUAR 8.25 DUE 01-22-2037 BEO

   $ 210,706.50    $ 179,550.00

QUALITY DISTR LLC / QD CAP CORP SR SUB NT 9% DUE 11-15-2010/11-15-2007 REG

   $ 25,300.00    $ 21,250.00

QWEST COMMUNICATIONS INTL INC SR NT FLTGRATE DUE 02-15-2009/02-15-2008 REG

   $ 15,093.75    $ 15,000.00

QWEST COMMUNICATIONS INTL INC SR NT SER B 7.5% DUE 02-15-2014/02-15-2008 REG

   $ 26,937.50    $ 26,932.50

QWEST CORP NT FLTG RATE DUE 06-15-2013 REG

   $ 500,000.00    $ 510,000.00

RABOBANK USA FINL CORP DISC COML PAPER 3/A3 YRS 1&2 01-04-2008

   $ 1,898,363.36    $ 1,899,064.78

RESDNTL CAP LLC FORMERLY RESIDENTIA RESDNTL CAP 8 DUE 02-22-2011 BEO

   $ 64,853.43    $ 43,575.00

RESIDENTIAL CAP CORP NT FLTG RATE DUE 04-17-2009 REG

   $ 9,550.00    $ 7,100.00

RESIDENTIAL CAP LLC RESIDENTIL CAP 3ML+110 5 22 09 DUE 05-22-2009 BEO

   $ 38,075.00    $ 28,400.00

REVLON CONSUMER PRODS CORP 8.625% DUE 02-01-2008/02-01-2006 REG

   $ 3,912.20    $ 3,950.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

REYNOLDS AMERN INC REYNOLDS AMER 6.75 DUE 06-15-2017 BEO

   $ 49,954.00    $ 50,926.15

ROGERS CABLE INC SR SECD 2ND PRIORITY NT 6.75% DUE 03-15-2015/03-14-2015 REG

   $ 20,287.50    $ 21,037.98

ROGERS WIRELESS INC SR SECD NT 6.375 DUE 03-01-2014 REG

   $ 10,000.00    $ 10,301.58

ROYAL KPN NV 8 DUE 10-01-2010

   $ 32,316.90    $ 32,173.98

SABRE HLDGS CORP SR NT 8.35% DUE 03-15-2016/03-13-2006 REG

   $ 46,136.26    $ 44,250.00

SERVICE CORP INTL SR NT 6.75% DUE 04-01-2016/10-21-2004 REG

   $ 9,813.80    $ 9,625.00

SHAW COMMUNICATIONS INC SR NT 7.25 DUE 04-06-2011/04-05-2011 BEO

   $ 10,500.00    $ 10,275.00

SLM CORP EXTENDIBLE NT FLTG RATE-EXLS 144A VAR RT DUE 04-14-2008/05-15-2010

   $ 299,130.00    $ 297,817.80

SLM CORP MEDIUM TERM NTS BOOK ENTRY 5.625 DUE 08-01-2033

   $ 16,965.50    $ 15,458.72

SLM CORP MEDIUM TERM NTS BOOK ENTRY TRANCHE # TR 00015 5 DUE 04-15-2015 BEO

   $ 8,834.00    $ 8,528.23

SLM CORP MEDIUM TERM NTS BOOK ENTRY TRANCHE # TR 00048 VAR RT DUE 04-01-2009

   $ 360,000.00    $ 333,000.00

SLM CORP MEDIUM TERM NTS BOOK ENTRY 5 DUE 10-01-2013 BEO

   $ 142,469.70    $ 140,241.28

SLM CORP MEDIUM TERM NTS BOOK ENTRY MTN VAR RT DUE 01-31-2014

   $ 9,979.24    $ 7,310.67

SLM CORP MEDIUM TERM NTS BOOK ENTRY NT 5.05 DUE 11-14-2014 BEO

   $ 26,786.40    $ 25,930.32

SLM CORP MEDIUM TERM NTS BOOK ENTRY TR #00057 5.375% DUE 05-15-2014 REG

   $ 175,732.70    $ 173,369.24

SOLO CUP CO SR SUB NT 8.5 DUE 02-15-2014/02-15-2009 REG

   $ 23,112.50    $ 21,500.00

SOUTHERN UN CO NEW SOUTHN UN CO 7.2 DUE 11/01/66 DUE 11-01-2066/10-23-2006 BEO

   $ 3,053.75    $ 2,978.10

SOUTHN NAT GAS CO SOUTHN NAT GAS CO 8 DUE 03-01-2032/02-28-2032 BEO

   $ 17,437.50    $ 16,711.41

SPECTRUM BRANDS INC SR SUB 12% DUE 10-02-2013/10-01-2007 BEO

   $ 2,834.38    $ 2,692.50

SPECTRUM BRANDS INC SR SUB NT 7.375% DUE 02-01-2015/02-01-2010 REG

   $ 21,201.82    $ 18,500.00

SPRINT CAP CORP NT 7.625% DUE 01-30-2011 BEO

   $ 48,150.50    $ 52,104.95

SPRINT CAP CORP NT 8.375 DUE 03-15-2012 BEO

   $ 121,410.63    $ 113,717.52

SPRINT CAP CORP NT 8.75% DUE 03-15-2032 BEO

   $ 12,020.67    $ 11,271.98

SR NT 10.75% DUE 04-01-2013/04-01-2008 BEO

   $ 24,734.03    $ 15,500.00

STANDARD PAC CORP NEW SR NT 6.5% DUE 08-15-2010/09-07-2005 REG

   $ 10,091.67    $ 6,850.00

STATION CASINOS INC SR NT 7.75% DUE 08-15-2016/08-15-2011 REG

   $ 41,062.50    $ 36,100.00

STATION CASINOS INC SR SUB NT 6.875% DUE 03-01-2016/03-01-2009 REG

   $ 5,125.00    $ 3,650.00

SUBN PROPANE PARTNERS L P / SUBN ENE SR NT 6.875 DUE 12-15-2013/12-15-2008 REG

   $ 24,457.25    $ 24,250.00

SUN MEDIA CORP CDA SR NT 7.625% DUE 02-15-2013/02-15-2008 BEO

   $ 16,237.50    $ 14,606.25

SUNGARD DATA SYS INC SR NT 9.125% DUE 08-15-2013/08-15-2007

   $ 20,000.00    $ 20,350.00

SVC CORP INTL 6.5 DUE 03-15-2008 REG

   $ 6,218.25    $ 6,007.50

SVC CORP INTL SR NT 7.5 DUE 04-01-2027 REG

   $ 30,000.00    $ 27,600.00

SWEDBANK FORENINGSSPARBANKEN AB DISC COML PAPER 3/A3 YRS 1&2 CPN 02-01-2008

   $ 98,751.80    $ 99,579.57

TCI COMMUNICATIONS INC 7.875% DUE 02-15-2026 REG

   $ 181,243.19    $ 175,158.22

TEEKAY SHIPPING CORP SR NT 8.875 DUE 07-15-2011 BEO

   $ 18,448.23    $ 18,877.50

TELECOM ITALIA CAP ***TELECOM ITALIA CAPITAL SA NOTES 5.25 DUE 10-01-2015 BEO

   $ 9,937.00    $ 9,742.49

TELECOM ITALIA CAP GTD SR NT 4.95% DUE 09-30-2014/09-30-2006 REG

   $ 49,825.50    $ 48,154.10

TELECOM ITALIA CAP GTD SR NT SER B 5.25 DUE 11-15-2013/05-15-2005 REG

   $ 24,927.40    $ 24,708.25

TENET HEALTHCARE CORP SR NT 9.875% DUE 07-01-2014 REG

   $ 17,420.00    $ 15,240.00

TENET HEALTHCARE CORP SR NT DTD 11/06/2001 6.375 DUE 12-01-2011 BEO

   $ 95,063.75    $ 89,180.00

TENET HEALTHCARE CORP SR NT DTD 11/06/2001 6.875% DUE 11-15-2031 BEO

   $ 2,279.38    $ 2,235.00

TENET HEALTHCARE CORP SR NT VAR RT DUE 02-01-2015

   $ 107,262.54    $ 100,825.00

THORNBURG MTG INC MTN 8 DUE 05-15-2013/05-15-2008

   $ 1,924.06    $ 2,550.00

TN GAS PIPELN CO DEB DTD 03/13/1997 7.625 DUE 04-01-2037 REG

   $ 67,790.00    $ 64,536.36

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

TOUSA INC SR SUB NT 7.5% DUE 03-15-2011/03-15-2008 REG

   $ 18,931.25    $ 1,312.50

TRANSOCEAN INC TRANSOCEAN SEDCO FOREX FLRT DUE 09-05-2008/09-05-2007 BEO

   $ 300,000.00    $ 298,504.20

TRAVELERS COS INC DUE 03-15-2067 BEO

   $ 47,181.70    $ 46,889.35

TURANALEM FINANCE 8.25% GTD MTN 22/01/37 USD

   $ 130,162.50    $ 111,195.50

TXU CORP SR NT SER P 5.55% DUE 11-15-2014/08-15-2005 REG

   $ 18,272.30    $ 15,963.66

TXU CORP SR NT SER Q 6.5% DUE 11-15-2024/08-15-2005 REG

   $ 33,738.40    $ 29,176.40

TXU CORP SR NT SER R 6.55% DUE 11-15-2034/08-15-2005 REG

   $ 172,314.37    $ 133,885.98

TYCO INTL GROUP S A CRP TYC 6.375 DUE 10-15-2011/10-14-2011 BEO

   $ 87,592.60    $ 103,489.60

TYCO INTL GROUP S A GTD NT 6.875 DUE 01-15-2029 BEO

   $ 368,590.84    $ 418,276.49

TYCO INTL GROUP S A GTD NT DTD 02/21/2001 6.75 DUE 02-15-2011 BEO

   $ 89,398.30    $ 94,395.69

TYCO INTL GROUP S A NT 6.125 DUE 11-01-2008 BEO

   $ 10,143.50    $ 10,086.00

TYCO INTL GROUP S A NT 7 DUE 06-15-2028 BEO

   $ 57,176.47    $ 79,380.83

VALE OVERSEAS LTD VALE OVERSEAS 6.875 1121 36 6.875% DUE 11-21-2036 BEO

   $ 202,298.48    $ 202,322.20

VANDERBILT MTG & FIN INC 1997B MFD HSG SR/SUB PASSTHRU IB-2 8.155 10-07-26 BEO

   $ 21,473.91    $ 21,620.89

VANDERBILT MTG & FIN INC 1997C MFD HSG SR/SUB PASSTHRU IB-2 7.83 08-07-2027 REG

   $ 24,625.69    $ 25,168.73

VANDERBILT MTG & FIN INC SER 2000B CL IB-2 9.25 DUE 07-07-2030 REG

   $ 167,666.06    $ 175,217.15

VENTAS RLTY LTD PARTNERSHIP / VENTAS CAPSR NT 2012 9 5-1-12/4-30-12 BEO

   $ 10,000.00    $ 10,750.00

VENTAS RLTY LTD PARTNERSHIP / VENTAS CAPCORP SR NT 2009 8.75 DUE 05-01-2009 BEO

   $ 31,150.00    $ 30,750.00

VISTEON CORP 8.25% DUE 08-01-2010 BEO

   $ 8,935.00    $ 8,900.00

VISTEON CORP 8.25% DUE 08-01-2010 BEO

   $ 38,062.50    $ 35,400.00

WASTE MGMT INC DEL SR NT 6.875% DUE 05-15-2009 BEO

   $ 491,840.00    $ 513,332.50

WASTE MGMT INC DEL WMI 7.375 DUE 08-01-2010 BEO

   $ 89,633.70    $ 95,066.82

WESTLAKE CHEM CORP SR NT 6.625% DUE 01-15-2016/01-15-2011 REG

   $ 10,969.90    $ 10,395.00

WESTPOINT STEVENS INC SR NT 7.875 DUE 06-15-2008 BEO

   $ 3,239.00    $ 1.00

WEYERHAEUSER CO NT 6.75% DUE 03-15-2012/09-24-2002 BEO

   $ 67,299.30    $ 63,008.34

WILLIAMS COS INC 7.75 DUE 06-15-2031 BEO

   $ 69,615.00    $ 91,980.00

WILLIAMS COS INC DEB SER A 7.5 DUE 01-15-2031 BEO

   $ 2,846.77    $ 3,225.00

WINDSTREAM CORP SR NT 8.625 DUE 08-01-2016 BEO

   $ 37,439.85    $ 36,750.00

WOLVERINE TUBE INC SR NT SER B 10.5% DUE 04-01-2009/04-01-2008 BEO

   $ 4,129.50    $ 4,750.00

XEROX CORP SER NT 6.75% DUE 02-01-2017/08-18-2006 BEO

   $ 9,939.20    $ 10,423.20

XEROX CORP US$ SR NT 9.75 DUE 01-15-2009

   $ 645,615.00    $ 627,246.60

XM SATELLITE RADIO INC SR NT 9.75% DUE 05-01-2014/05-01-2008

   $ 25,268.23    $ 24,062.50

XTO ENERGY INC SR NT 7.5 DUE 04-15-2012/04-14-2012 BEO

   $ 29,624.88    $ 28,421.82

XTO ENERGY INC XTO ENERGY INC 5.65% DUE 04-01-2016/03-30-2006 BEO

   $ 147,520.50    $ 151,065.60

Corporate Debt Instruments—Other Total

   $ 34,592,167.55    $ 36,058,735.52

AMERICAN GEN FIN CORP MEDIUM TERM SR NTS-BOOK ENTRY MTN 2.785% DUE 06-27-2008

   $ 400,000.00    $ 400,028.80

AMERN GEN FIN CORP INCOMENOTES BOOK E TRANCHE # TR 00048 4.2 DUE 08-15-2009

   $ 14,463.05    $ 14,808.06

AMERN INTL GROUP INC MEDIUM TERM NTS TRANCHE # TR 00079 5.85 DUE 01-16-2018

   $ 19,889.80    $ 20,130.96

ARGENT SECS INC 2004-W10 AST BKD PASSTHRU CTF CL A2 10-25-2034 REG

   $ 168,209.86    $ 163,997.84

ASIF II 1.2% MTN 20/3/08 JPY’2001-B

   $ 1,396,133.75    $ 1,460,244.51

ASSET BACKED SECS CORP HOME EQUITY LN TR2001-HE3 CTF CL A1 11-15-2031 BEO

   $ 29,516.73    $ 28,478.01

BANK AMER CORP BANK AMER 5.75% DUE 12-01-2017 BEO

   $ 69,507.90    $ 70,160.58

BANK AMER CORP BK AM 5.375 11 5.375% DUE 08-15-2011 BEO

   $ 71,029.70    $ 71,388.87

BEAR STEARNS ABS I TR 2004-BO1 AST BACKED CTF II-A-2 10-25-2034 REG

   $ 1,480,323.21    $ 1,426,031.60

 

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AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

BELLSOUTH CORP NT 4.75% DUE 11-15-2012 BEO

   $ 9,664.90    $ 9,893.08

BERKSHIRE HATHAWAY FIN CORP SR NT 4.2% DUE 12-15-2010/05-03-2004 REG

   $ 9,799.50    $ 10,025.09

BERKSHIRE HATHAWAY FIN CORP SR NT 4.625% DUE 10-15-2013/04-22-2004 REG

   $ 24,620.94    $ 25,071.00

BK AMER CORP SUB INTERNOTES BOOK ENTRY TRANCHE # SB 00092 6 DUE 02-15-2012

   $ 25,661.50    $ 26,118.48

BRAZOS TEX HIGHER ED AUTH INC STUDENT LNREV VAR-NTS-SER I-A-1 09-26-2016 REG

   $ 163,028.59    $ 161,126.05

CATERPILLAR FINL SVCS CORP MEDIUM TERM NTS-BOOK ENTRY MTN VAR RT DUE 10-28-2008

   $ 1,000,195.00    $ 995,014.00

CISCO SYS INC SR NT FLTG RATE DUE 02-20-2009 REG

   $ 1,400,935.00    $ 1,398,418.00

CIT GROUP INC INTERNOTES BOOK ENTRY TRANCHE # TR 00182 4.5 DUE 07-15-2009

   $ 10,000.00    $ 9,869.39

CIT GROUP INC INTERNOTES BOOK ENTRY MTN 6.5% DUE 06-15-2022/06-15-2010

   $ 4,000.00    $ 3,845.40

CIT GROUP INC NEW CIT GROUP INC 5.000 20081124 5% DUE 11-24-2008 BEO

   $ 9,942.10    $ 9,882.16

CIT HOME EQUITY LN TR 2003-1 ASSET BKD CTF CL A-4 03-20-2032 REG

   $ 525,801.92    $ 515,044.24

CITIGROUP MTG LN TR 2005-HE2 ASSET BKD CTF CL A 144A VAR 05-25-2035 BEO

   $ 154,249.81    $ 139,136.41

CMO 1ST HORIZON MTG PASSTHRU TR SER 2004-AA1 CL-A1 DUE 06-25-2034 BEO

   $ 188,483.87    $ 187,823.32

CMO 2005-AR17 CL A-1A2 DUE 12-25-2045 REG

   $ 190,990.34    $ 180,938.33

CMO 2005-AR2 CL 2A-1A VAR DUE 01-25-2045 REG

   $ 278,619.10    $ 263,615.74

CMO 2006-2N MTG PASSTHRU CTF CL 1-A1 VAR DUE 02-25-2046 REG

   $ 345,908.89    $ 328,177.60

CMO ALTERNATIVE LN TR 2006-OA11 CL A-4 FLTG DUE 07-25-2036 REG

   $ 366,026.37    $ 335,805.40

CMO AMERN HOME MTG INVT TR 2005-2 MTG CLV-A-2 ADJ RATE DUE 10-25-2034 REG

   $ 263,689.36    $ 263,447.81

CMO BANC AMER COML MTG INC SERIES 2005-5CL-A4 DUE 10-10-2045 REG

   $ 70,354.06    $ 68,980.24

CMO BANC AMER MTG SECS INC BOAMS 2004-2 1A5 6.5% DUE 10-25-2031 BEO

   $ 124,834.75    $ 123,042.48

CMO BEAR STEARNS ALT-A TR SER 2005-4 CL II-3A-2 DUE 05-25-2035 REG

   $ 148,756.82    $ 145,446.19

CMO BEAR STEARNS ARM TR 2002-11 CL I-A-1 DUE 02-25-2033/04-25-2006 BEO

   $ 116,236.91    $ 114,001.36

CMO BEAR STEARNS ARM TR 2002-11 CL I-A-2 DUE 02-25-2033/04-25-2006 BEO

   $ 119,499.41    $ 118,840.06

CMO BEAR STEARNS ARM TR 2003-1 MTG PASSTHRU CTF CL V-A-1 DUE 04-25-2033 BEO

   $ 764,052.13    $ 748,135.11

CMO BEAR STEARNS ARM TR 2005-6 MTG PASSTHRU CTF CL I-A-1 DUE 08-25-2035 REG

   $ 530,260.59    $ 530,852.58

CMO CR SUISSE 1ST BSTN MTG SECS CORP SER2005-C2 CL A4 4.832 DUE 04-15-2037 BEO

   $ 60,307.50    $ 57,703.08

CMO CWALT INC 2005-14 ALT LN TR MTG PASSTHRU DUE 05-25-2035 REG

   $ 158,141.31    $ 152,344.32

CMO CWALT INC 2005-38 MTG PASSTHRU CTF CL A-3 DUE 09-25-2035 REG

   $ 192,086.92    $ 182,207.70

CMO CWALT INC COUNTRYWIDE ALTERNATIVE DUE 07-25-2035 BEO

   $ 197,771.37    $ 187,302.34

CMO CWALT INC COUNTRYWIDE ALTERNATIVE DUE 07-25-2035 BEO

   $ 263,526.91    $ 260,565.39

CMO CWALT INC SER 2005-J12 CL 2-A-1 FLT RT DUE 08-25-2035 REG

   $ 275,122.60    $ 258,689.25

CMO CWMBS INC 2003-60 CHL MTG PASSTHRU CTF CL 1-A-2 DUE 02-25-2034 REG

   $ 322,600.85    $ 323,973.45

CMO DSLA MTG LN TR 2006-AR1 MTG PASSTHRUCTF CL 1A-1A DUE 03-19-2046 REG

   $ 323,226.26    $ 308,529.16

CMO GE COML MTG CORP SER 2007-C1 TR MTG PASSTHRU CTF CL A-4 DUE 12-10-2049 REG

   $ 394,096.49    $ 414,639.15

CMO GREENPOINT MTG FDG TR 2005-AR4 MTG PASSTHRU CTF CL I-A-1 DUE 10-25-2045 REG

   $ 109,717.90    $ 102,359.89

CMO GREENPOINT MTG FDG TR SER 2006-AR5 CLASS-A1A DUE 10-25-2046 REG

   $ 369,070.42    $ 356,907.17

CMO GS MTG SECS CORP SER 2005-AR6 CL 2A14.539095% DUE 09-25-2035/10-25-2005 REG

   $ 287,668.74    $ 286,832.56

CMO GS MTG SECS CORP SER 2005-RP3 CL 1AF DUE 09-25-2035 BEO

   $ 385,415.24    $ 383,203.01

CMO GS MTG SECS TR 2007 GG10 MTG PASS THRU CTF CL A-4 DUE 08-10-2045 REG

   $ 621,818.75    $ 630,905.31

CMO HARBORVIEW MTG LN TR 2005-9 CL 2-A-1A DUE 06-20-2035 REG

   $ 155,331.71    $ 149,455.82

CMO IMPAC CMB TR SER 2003-9F CL A VAR RATE 3.895% DUE 07-25-2033 REG

   $ 407,855.71    $ 405,863.33

CMO INDYMAC ARM TR 2001-H2 MTG PASSTHRU CTF A-2 VAR RATE DUE 01-25-2032 BEO

   $ 20,761.71    $ 20,564.12

CMO INDYMAC INDA MTG LN TR 2007-AR7 MTG PASS THRU CTF CL 1-A-1 11-25-37 REG

   $ 95,383.58    $ 96,221.15

CMO LB-UBS COML MTG TR SR 2005-C5 CL A-4 DUE 09-15-2030 BEO

   $ 100,375.00    $ 97,189.90

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

CMO MASTR ADJ RATE MTG TR 2007-3 2.5925% DUE 05-25-2047 BEO

   $ 604,623.30    $ 587,949.74

CMO MERRILL LYNCH MTG TR 2005-CKI1 COML MTG PASSTHRU CTF A6 DUE 11-12-2037 REG

   $ 99,979.95    $ 99,676.60

CMO MERRILL LYNCH MTG TR 2006-C1 CL A-4 DUE 05-12-2039 REG

   $ 159,669.82    $ 164,738.88

CMO MORGAN STANLEY CAP I INC 2005-HQ6 CTF A-4A 4.989 DUE 08-13-2042 REG

   $ 100,548.30    $ 97,339.40

CMO RESDNTL ACCREDIT LNS INC MTG 2005-QO3 CL A-1 DUE 10-25-2045 REG

   $ 211,367.42    $ 199,993.92

CMO RESDNTL ACCREDIT LNS INC MTG PASS SER 2004-QA6 CL NBIV FLTRT 12-26-2034 REG

   $ 594,781.07    $ 592,859.44

CMO RESDNTL ACCREDIT LNS INC MTG PASS TH2003-QS1 CTF CL A-4 DUE 01-25-2033 BEO

   $ 152,581.18    $ 149,899.51

CMO SER 2005-7N CL 1A1B DUE 12-25-2035 BEO

   $ 165,113.15    $ 159,628.75

CMO STRUCTURED AST MTG INVTS II INC MTG PA CL I-A-1A DUE 08-25-2036 REG

   $ 398,519.61    $ 383,306.39

CMO THORNBURG MTG SECS TR 2005-4 MTG PASSTHRU CTF CL A-4 DUE 12-25-2045 REG

   $ 434,617.29    $ 432,693.83

CMO THORNBURG MTG SECS TR 2007-4 6.214317% DUE 09-25-2037 BEO

   $ 251,929.34    $ 253,271.22

CMO THORNBURG MTG SECS TR 2007-4 MTG PASS THRU CTF CL 1A-2 DUE 09-25-2037 REG

   $ 280,386.92    $ 282,552.16

CMO THORNBURG MTG SECS TR SER 2005-4 CL A-3 2.6225% DUE 12-25-2035 REG

   $ 348,939.53    $ 348,101.73

CMO WACHOVIA BK COML MTG TR 2005-C18 COMMTG PASSTHRU A-4 DUE 04-15-2042 REG

   $ 130,541.06    $ 125,899.80

CMO WACHOVIA BK COML MTG TR SER 2005-C20CL A-7 DUE 07-15-2042 BEO

   $ 109,789.45    $ 108,103.49

CMO WAMU MTG PASS-THRU CTFS 2005-AR17 CLA-1A1 DUE 12-25-2045 REG

   $ 286,989.04    $ 271,251.00

CMO WAMU MTG PASS-THRU CTFS 2005-AR6 CL 2-A-1A DUE 04-25-2045 REG

   $ 141,646.81    $ 133,733.29

CMO WAMU MTG PASS-THRU CTFS 2005-AR8 CL 1-A-1A DUE 06-25-2045 REG

   $ 192,917.29    $ 181,806.41

CMO WAMU MTG PASS-THRU CTFS SER 2005-AR11 CL A1A FLT RT 8-25-2045 REG

   $ 404,637.97    $ 387,700.78

CMO WAMU MTG PASS-THRU CTFS SER 2005-AR13 CL A-1A1 FLT RT 10-25-2045 BEO

   $ 153,199.71    $ 143,947.98

CMO WELLS FARGO MTG BACKED SECS 2005-AR12 TR CL II-A-1 DUE 7-25-2035 REG

   $ 400,364.41    $ 402,489.83

CMO WELLS FARGO MTG BACKED SECS 2004-S TR CL A-7 DUE 09-25-2034 REG

   $ 735,951.56    $ 760,397.33

CMO ZUNI MTG LN TR 2006-1 CL A-1 2.5225% DUE 08-25-2036 REG

   $ 227,642.56    $ 217,667.49

CONOCO FDG CO NT 6.35% DUE 10-15-2011 BEO

   $ 22,240.80    $ 21,242.62

CONOCO INC NT DTD 04/20/1999 6.95% DUE 04-15-2029/04-20-1999 BEO

   $ 20,854.00    $ 22,841.88

CONOCOPHILLIPS AUSTRALIA FDG CO GTD NT FLTG RATE DUE 04-09-2009/04-09-2008 REG

   $ 684,000.00    $ 682,946.64

CONOCOPHILLIPS CO NT 8.75 DUE 05-25-2010 BEO

   $ 204,471.75    $ 191,722.83

CWABS INC SER 2005-17 CL 1AF1 FLT RT 06-25-2025 REG

   $ 77,245.35    $ 77,125.23

CWABS INC SER 2005-AB1 CL A3 FLT RT 08-25-2035 REG

   $ 450,000.00    $ 371,182.50

CWABS INC SERIES 2002-1 CLASS-A FLTG RATE ASSET BACKED CTF 08-25-2032 BEO

   $ 40,126.96    $ 39,813.85

DAIMLERCHRYSLER NORTH AMER HLDG CORP GTDNT 06/04/2003 4.05% DUE 06-04-2008 BEO

   $ 9,855.30    $ 9,947.04

DAIMLERCHRYSLER NORTH AMER HLDG CORP GTDNT 06/04/2003 4.05% DUE 06-04-2008 BEO

   $ 89,691.30    $ 89,653.50

DAIMLERCHRYSLER NORTH AMER HLDG CORP GTDNT 7.2% DUE 09-01-2009 BEO

   $ 56,239.50    $ 51,559.10

DET EDISON CO 6.125 DUE 10-01-2010 BEO

   $ 54,990.10    $ 57,020.87

DOMINION RES INC DEL NT DTD 09/16/2002 5.7 DUE 09-17-2012 BEO

   $ 45,362.80    $ 46,208.97

DOMINION RES INC DEL SR NT SER D 5.125% DUE 12-15-2009/12-14-2009 BEO

   $ 69,687.10    $ 70,655.90

DOMINION RES INC VA NEW DOMINION RES INC4.75 12 15 10 4.75% DUE 12-15-2010 BEO

   $ 9,989.10    $ 10,019.35

EXPORT IMPORT BK KOREA EXPORT-IMPORT BK KOREA VAR RT DUE 06-01-2009

   $ 699,867.00    $ 701,061.20

GEN ELEC CAP CORP INTERNOTES BOOK EN TRANCHE # TR 00338 4.125 DUE 05-15-2009

   $ 19,448.99    $ 19,806.46

GEN ELEC CAP CORP INTERNOTES BOOK EN MTNTRANCHE # TR 00070 4.05 3-15-12/04

   $ 1,881.68    $ 1,950.35

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00560 4.625 DUE 09-15-2009

   $ 15,625.80    $ 15,111.56

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00654 4.25 9-13-2010 REG

   $ 24,450.25    $ 25,003.00

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00804 VAR RT DUE 11-15-2067

   $ 240,431.10    $ 247,795.68

GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY # TR 00740 5.5 DUE 04-28-2011

   $ 599,196.00    $ 617,190.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

GOLDMAN SACHS GROUP INC 4.5% DUE 06-15-2010 BEO

   $ 137,911.20    $ 139,539.54

GOLDMAN SACHS GROUP INC 5.5 DUE 11-15-2014 BEO

   $ 20,032.76    $ 20,321.62

HANCOCK JOHN LIFE INS CO SIGNATURENOTES TRANCHE TR 00604 FLTG 2/09/06 04-15-2009

   $ 2,000.00    $ 1,925.64

HARTFORD LIFE GLOBAL FDG TRS HARTFORD LITRANCHE # TR 00191 5 DUE 03-15-2010

   $ 10,000.00    $ 10,190.94

HOUSEHOLD FIN CORP NT 8% DUE 07-15-2010 BEO

   $ 75,068.87    $ 74,611.11

HOUSEHOLD FIN CORP NT DTD 06/17/1998 6.4% DUE 06-17-2008 REG

   $ 49,341.50    $ 50,233.20

HSBC CAP FDG DLR 2 L P PERP PFD SECS 144A DUE 12-29-2049/06-27-2013 BEO

   $ 45,000.00    $ 41,422.50

HSBC FINANCE CORPORATION CRP HI 7 DUE 05-15-2012 BEO

   $ 35,201.07    $ 36,671.67

HSEHD FIN CORP HSEHD FIN GLBL CPN 6.375 MAT 11/27/12 6.375 DUE 11-27-2012 BEO

   $ 14,904.90    $ 15,425.15

I/O CMO GMAC COML MTG SECS INC SER 1999-CTL1 CL X 12-15-2016 BEO

   $ 61,672.43    $ 2,215.72

ILFC E-CAPITAL TR II BD 144A DUE 12-21-2065/12-21-2007 BEO

   $ 19,974.80    $ 19,114.06

J P MORGAN CHASE & CO GLOBAL SUB NT 5.75 DUE 01-02-2013 BEO

   $ 56,817.90    $ 56,048.03

J P MORGAN CHASE & CO NT 6.75 DUE 02-01-2011 BEO

   $ 119,675.90    $ 120,749.20

LEHMAN BROS HLDGS INC MEDIUM TERM NT TRANCHE # TR 00503 VAR RT DUE 07-29-2014

   $ 5,988.00    $ 5,367.00

LEHMAN BROS HLDGS INC MEDIUM TERM NT TRANCHE # TR 00861 6.2 DUE 09-26-2014

   $ 39,966.40    $ 40,738.72

LEHMAN XS TR SER 2006 GP4 MTG PASSTHRU CTF CL 3-A1A 2.4625% DUE 08-25-2046 REG

   $ 782,574.88    $ 768,116.42

MCDONALDS CORP MTN BE TRANCHE # TR 000846 DUE 04-15-2011

   $ 24,214.25    $ 26,349.60

MERRILL LYNCH & CO INC NT 6.375% DUE 10-15-2008 BEO

   $ 35,245.70    $ 35,412.09

MORGAN STANLEY 5.75% DUE 08-31-2012

   $ 92,029.50    $ 91,868.49

MORGAN STANLEY DEAN WITTER & CO GLOBAL NT 4/25/01 6.75 DUE 4-15-11 BEO

   $ 30,075.00    $ 31,532.88

MORGAN STANLEY FLTG RT BD DUE 01-18-2008BEO

   $ 1,100,000.00    $ 1,099,770.10

MORGAN STANLEY FOR EQTY SEE 617 SR GBL MTN SER F FLTG RT DUE 10-18-16 BEO

   $ 40,147.73    $ 37,319.88

MORGAN STANLEY FORMERLY MORGAN STANLEY MORGAN STANLEY 5.95 DUE 12-28-2017

   $ 99,717.00    $ 99,928.70

MORGAN STANLEY NOTES 5.625 DUE 01-09-2012 BEO

   $ 142,385.60    $ 142,414.58

MSDWCC HELOC TR 2005-1 ASSET BKD NT CL AFLTG 07-25-2017/02-25-2005 BEO

   $ 47,317.87    $ 45,390.28

NEW CENTY HOME EQUITY LN TR 2005-B ASSETBKD CTF CL A-2B FLTG 10-25-2035 REG

   $ 285,608.24    $ 284,903.41

NT 4% DUE 06-15-2013/06-14-2013 BEO

   $ 85,046.22    $ 84,545.46

OPTION ONE MTG LN TR 2003-1 CL A-2 02-25-2033 BEO

   $ 434,175.51    $ 407,833.75

ORIGEN MFD HSG CONT TR SER 2002-A SR/SUBAB CTF CL A-1 2.12 12-15-13 BEO

   $ 27,704.47    $ 27,709.24

PVTPL ASIF GLOBAL FING XIX SR NT 144A 4.9% DUE 01-17-2013 BEO

   $ 9,987.60    $ 9,784.70

PVTPL CMO CMO HLDGS III LTD SER 2007-R11CL A-1A VAR RT DUE 9-27-37 BEO

   $ 678,395.80    $ 678,392.36

PVTPL CMO CRIIMI MAE COML MTG TR SER 1998-C1 BD CL A-2 144A 7.0 DUE **INC

   $ 75,390.62    $ 69,946.80

PVTPL CMO GREENPOINT MTG FDG TR SER 2006AR6 CL 1-A1A VAR RT DUE 10-25-2046

   $ 217,217.79    $ 212,737.29

PVTPL CORPORACION NACIONAL DEL COBRE DE CHILE NT 144A 4.75% DUE 10-15-2014 BEO

   $ 49,241.00    $ 48,132.70

PVTPL HBOS CAP FDG NO 2 L P BONDS 144A 6.071% DUE 06-30-2049/06-30-2014 BEO

   $ 28,240.50    $ 28,070.73

PVTPL PETROLEUM EXPT LTD NT CL A-1 144A 4.623% DUE 06-15-2010/07-20-2005 BEO

   $ 166,665.00    $ 164,043.32

PVTPL RABOBANK CAP FDG III GTD TR NT 144A 5.254 DUE 12-29-2049/06-30-2017 BEO

   $ 20,155.20    $ 17,900.60

PVTPL RABOBANK CAP FDG TR II BD 144A 5.26% DUE 12-29-2049/12-31-2013 BEO

   $ 10,181.40    $ 9,316.80

PVTPL SYSTEMS 2001 A T LLC SERIES-2001 CLASS-G 144A 6.664 DUE 09-15-2013 BEO

   $ 221,143.95    $ 226,362.65

RESIDENTIAL FDG MTG SECS II INC 2006-HI1HOME LN BKD NT CL A-1 02-25-2036 REG

   $ 292,157.86    $ 289,401.58

ROYAL BK SCOTLAND GROUP PLC PFD CAP SECS144A DUE 10-29-2049 BEO

   $ 120,000.00    $ 119,639.04

SACO I TR 2005-7 MTG BKD CTF CL A VAR RATE 09-25-2035 REG

   $ 98,861.12    $ 96,814.60

SBC COMMUNICATIONS INC NT 5.1% DUE 09-15-2014/11-03-2004 BEO

   $ 58,023.40    $ 59,379.30

STRUCTURED ADJ RATE MTG LN TR 2004-16 MTG PASSTHRU CTF 1-A2 ADJ 11-25-2034 REG

   $ 105,004.20    $ 107,470.57

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

SUNTRUST PFD CAP I NORMAL PFD PUR SECS PPS 5.853 DUE 12-15-2011/12-15-2011 REG

   $ 56,511.60    $ 52,950.00

TOYOTA MTR CR CORP TOYOTA MTR CR 2.875 DUE 08-01-2008 BEO

   $ 28,531.85    $ 29,703.45

UNILEVER CAP CORP NT 7.125% DUE 11-01-2010/10-24-2000 BEO

   $ 49,552.00    $ 53,622.15

VERIZON GLOBAL FDG CORP NT 7.25 DUE 12-01-2010 BEO

   $ 123,041.95    $ 123,272.07

WACHOVIA CAP TR III FIXED-FLTG RATE NORMAL WACHOVIA 5.8% DUE 03-15-2042 REG

   $ 80,100.50    $ 71,484.00

WELLPOINT INC WELLPOINT INC 5.875 20170615 5.875 DUE 06-15-2017 BEO

   $ 9,924.60    $ 10,068.02

WELLS FARGO & CO NEW SUB GLOBAL NT 6.375% DUE 08-01-2011 BEO

   $ 86,430.55    $ 88,848.89

WELLS FARGO CAP X GTD CAP SECS 5.95% DUE 12-15-2086/12-15-2007 REG

   $ 99,900.00    $ 93,327.30

WYETH NT 5.95 DUE 04-01-2037/03-27-2007 BEO

   $ 109,253.10    $ 110,291.83

Corporate Debt Instruments—Preferred Total

   $ 31,971,065.74    $ 31,486,772.08

ADR BANCO ITAU HLDG FINANCEIRA S A FORMERLY SPONSORED ADR REPSTG 500 PFD

   $ 18,528.79    $ 16,938.30

ADR COMPANHIA DE BEBIDAS DAS AMERS AMBEV SPONSORED ADR REPSTG PFD SHS

   $ 13,823.54    $ 14,206.00

ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR NON VTG

   $ 10,764.95    $ 14,433.00

ADR TELE NORTE LESTE PARTICIPACOES S A SPONSORED ADR REPSTG PFD PREFERENCE SH

   $ 38,025.52    $ 36,632.00

ADR TELECOMUICACOES DE SAO PAULO S A TELESP SPONSORED ADR REPSTG PFD

   $ 38,213.42    $ 32,067.00

AES TR III TR PFD STK CONV SECS

   $ 4,939.95    $ 4,640.00

AMR CORP DEL PFD

   $ 2,248.95    $ 2,294.00

ARACRUZ CELULOS SA PREF’B’SHS NPV(PNB)

   $ 228,208.41    $ 226,287.64

BAC CAP TR XII GTD CAP SECS

   $ 12,938.80    $ 11,300.00

BARCLAYS BK PLC ADR SER 2 REPSTG PREF SHS SER 2

   $ 11,575.95    $ 10,860.00

BBC CAP TR II GTD TR PFD SECS 8.50%

   $ 11,998.95    $ 12,320.00

BRE PPTYS INC PFD SER D 6.75%

   $ 5,639.95    $ 4,500.00

CAP AUTOMOTIVE REIT RED PFD SHS SER A 7.50

   $ 6,849.95    $ 5,587.50

CAPITAL AUTOMOTIVE REIT PFD SER B 8 %

   $ 8,494.90    $ 6,321.88

CASINO GUICH-PERR PRF EUR1.53

   $ 44,674.01    $ 43,385.71

CIA PARANAENSE DE PRF’B’NPV

   $ 223,610.58    $ 206,269.66

CITIGROUP CAP XV ENHANCED TR PFD SECS

   $ 15,466.90    $ 11,864.50

COMCAST CORP NEW NT

   $ 5,124.90    $ 4,534.00

COMCAST CORP NEW NT SER B

   $ 6,820.45    $ 5,946.60

CORP BACKED CALL TR CTFS J C PENNEY JC PENNEY DEB BKD 2006-1 CTF A-1

   $ 3,149.95    $ 2,375.00

CORP BACKED TR CTFS TOYS R US DEB BKD SER 2001-31 CL A-1

   $ 7,752.95    $ 8,540.00

CORPORATE BACKED TR CTFS 2003-17 SPRINT CAP CORP BKD TR CL A-1

   $ 9,964.95    $ 8,437.50

CORPORATE BACKED TR CTFS USE 21988K FOR EQUITY ISSUES SER 2001-8 CL A-1

   $ 2,109.95    $ 1,996.00

DUKE RLTY CORP DEP SH REPSTG 1/10TH PFD SER L PFD STK

   $ 5,296.45    $ 4,126.50

DUKE RLTY CORP DEP SH REPSTG 1/10TH PFD SER M PFD STK

   $ 2,537.95    $ 2,015.00

FIRST INDL RLTY TR DEP SHS REPSTG 1/10000 PFD SER J

   $ 2,552.95    $ 2,025.00

FNMA PFD SER M 4.75

   $ 12,612.95    $ 9,852.00

FORD MTR CO CAP TR II TR ORIGINATED PFD SECS 6.50%

   $ 23,468.24    $ 22,715.00

FORD MTR CR CO LLC 7.375 PRF 15/10/31 USD25

   $ 4,486.95    $ 3,610.00

FORD MTR CR CO LLC 7.6 PRF SNR NTS 3/1/2032 CALL ON 2/27/07

   $ 8,810.69    $ 8,301.15

FRANKLIN BK CORP PFD SER A 7.50%

   $ 16,219.90    $ 12,750.00

GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD CL B

   $ 242,693.29    $ 259,730.40

GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD CL B

   $ 188,295.50    $ 279,280.00

GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD CL B

   $ 965,548.25    $ 1,258,296.04

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

GEN ELEC CAP CORP NT

   $ 2,579.41    $ 2,321.00

GEN MTRS CORP SR DEB CONV SER B

   $ 101,023.71    $ 105,028.00

GEN MTRS CORP SR DEB CONV SER C

   $ 4,191.95    $ 3,906.37

GEN MTRS CORP SR DEB CONV SER C

   $ 22,762.00    $ 19,570.00

GEN MTRS CORP SR NT 7.375 CALLABLE 10/03/2006

   $ 21,705.75    $ 19,092.00

GEN MTRS CORP SR NT 7.5 PRF 01/07/2044 USD25

   $ 2,012.95    $ 1,680.00

GEN MTRS CORP SR NT PFD 7.250 CALLABLE 07/15/2006

   $ 1,882.95    $ 1,587.00

GENERAL ELEC CAP CORP NT

   $ 24,555.95    $ 25,000.00

GENERAL ELEC CAP CORP PUBLIC INCOME NT PINES

   $ 8,051.45    $ 7,398.00

GENERAL MTRS CORP QUARTERLY INT BD QUIBS

   $ 11,041.90    $ 10,920.00

GENERAL MTRS CORP SR NT

   $ 29,697.85    $ 28,440.00

HLTH CARE REIT INC PFD SER F

   $ 5,550.41    $ 4,781.24

HOSPITALITY PPTYS TR PFD SER C 7.00%

   $ 2,464.95    $ 1,800.00

HUNTINGTON PFD CAP INC EXCH PREP PFD SECS CL C

   $ 9,429.40    $ 7,854.00

ING GROEP N V PERP HYBRID CAP SECS

   $ 10,832.95    $ 10,065.00

ING GROEP N V PERPETUAL DENT SECS 6.125% PFD STK

   $ 14,224.90    $ 13,370.00

JPMORGAN CHASE CAP XIV CAP SECS SER N

   $ 7,005.95    $ 6,099.00

JPMORGAN CHASE CAP XIX CAP SECS SER S

   $ 2,529.95    $ 2,190.00

JPMORGAN CHASE CAP XVI TR PFD SECS 6.35 CALLABLE 6/1/10 DUE 6/1/35.

   $ 12,656.45    $ 10,340.00

MBNA CAP D TR PFD SECS SER D TRUPS

   $ 2,559.95    $ 2,475.00

MERRILL LYNCH & CO INC CALLABLE STK RETURN INCOME DEBT SECS CONV PFD STK

   $ 4,131.75    $ 4,071.48

MERRILL LYNCH & CO INC DEPOSITARY SH REPSTG 1/40TH PFD SER 6 PFD STK

   $ 11,339.95    $ 11,000.00

METLIFE INC SR NT DTD 11/21/2003

   $ 6,768.95    $ 6,351.00

MORGAN STANLEY CAP TR VIII GTD CAP SECS

   $ 10,785.95    $ 9,860.00

NEXEN INC SUB NT

   $ 2,689.95    $ 2,319.00

PETROL BRASILEIROS PRF NPV

   $ 246,973.39    $ 586,022.47

PFD $3.50

   $ 7,312.95    $ 6,000.00

PFD SECS SER M 6.00% PFD STOCK

   $ 9,892.95    $ 8,595.00

PFD WACHOVIA CORP

   $ 1,328.02    $ 0.38

PPLUS TR SER GSC-2 TR CTF FLTG RATE

   $ 9,712.91    $ 8,286.01

PREFERREDPLUS TR SER FRD-1 TR CTF

   $ 10,000.90    $ 8,598.00

PREFERREDPLUS TR SER QWS-1 TR CTF

   $ 7,739.95    $ 8,296.00

PRIMUS GUARANTY LTD PFD STK

   $ 3,128.70    $ 1,906.25

PUB STORAGE DEP SHS REPSTG 1/1000TH PFD SER K

   $ 5,172.89    $ 4,383.20

ROYAL BK SCOTLAND GROUP PLC ADR REPSTG PREF SHS SER N 6.35 CALLABLE 6/30/10

   $ 10,961.95    $ 9,815.00

RWE AG (NEU) NON VTG PRF NPV

   $ 115,768.37    $ 119,023.45

SAMSUNG ELECTRONIC PFD KRW5000

   $ 145,198.50    $ 137,172.16

SATURNS TRIBUNE CO 2006-1 UNIT CL A

   $ 6,434.95    $ 6,950.00

TELE NORTE LESTE P PRF NPV

   $ 271,205.44    $ 239,817.42

THORNBURG MTG INC PFD SER C 8.00%

   $ 2,519.95    $ 1,725.00

TR ORIGINATED PFD SECS 13.25%

   $ 1,307.60    $ —  

TRUST CTFS 2002-1 BEAR STEARNS DEPOSITORINC ACTING AS DEPOSITOR TR CTF

   $ 11,862.95    $ 10,972.50

UNITED STATES CELLULAR CORP SR NT PREFERRED

   $ 5,159.95    $ 4,988.00

USB CAP VI GTD TR PFD SECS

   $ 2,454.95    $ 1,929.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

USIMINAS USI SD MG PRF’A’NPV

   $ 492,554.58    $ 471,601.12

VOLKSWAGEN AG NON VTG PRF NPV

   $ 488,407.05    $ 1,208,823.00

VORNADO RLTY TR PFD SER E 7

   $ 2,536.95    $ 2,129.99

VOTORANTIM CELULOS PRF NPV

   $ 179,268.42    $ 188,786.52

WACHOVIA PFD FDG CORP PERP PFD SECS SER A 7.25%

   $ 3,434.95    $ 2,836.25

WELLS FARGO CAP IX TR ORIGINATED PFD SECS 5.625 TOPRS

   $ 2,291.32    $ 1,923.00

Corporate Stock - Preferred Total

   $ 4,578,557.66    $ 5,912,535.19

##ABLAZE TECHNOLOGIES INC COM

   $ 4,812.53    $ —  

##ACTIS GLOBAL VENTURES INC COM STK

   $ 9,177.30    $ 2.70

##ALLERGAN INC ALLERGAN INC COMMON DO NOT USE

   $ 18,294.95    $ 9,636.00

##AMER WILD WOODLAND GINSENG CORP

   $ 281,353.61    $ —  

##APIVA VENTURES LTD COM

   $ 7,871.10    $ 10.00

##AVALON VENTURES LTD COM STK

   $ 51,674.74    $ 136,420.24

##AXIS ENERGY CORP COM STK

   $ 3,919.90    $ —  

##BABY BEE BRIGHT CORP NEW COM NEW STK

   $ 2,819.30    $ 0.49

##BCE INC COM NEW COM NEW

   $ 6,156.40    $ 7,272.42

##BIOMAGNETICS DIAGNOSTICS CORP COM STK

   $ 2,745.80    $ —  

##BOLERO RES CORP COM STK

   $ 9,984.95    $ —  

##ENCOMPASS HLDGS INC COM STK

   $ 6,718.99    $ 80.00

##ENVOY CAP GROUP INC COM STK

   $ 11,220.61    $ —  

##FIRSTFLIGHT INC COM

   $ 4,789.50    $ 47.50

##GS CLEANTECH CORP COM NEW STK

   $ 25,450.90    $ —  

##GS ENERGY CORP COM STK

   $ 2,559.41    $ 255.00

##HOMELAND SAFETY INTL INC COM STK

   $ 3,344.23    $ —  

##IPATH DOW JONES-AIG COMMODITY DO NOT USE SEE 2020430

   $ 23,373.67    $ 27,266.70

##IT CAPITAL LIMITED ORD F

   $ 20,755.10    $ 3,030.00

##MEDISYS CORP COM NEW

   $ 1,509.95    $ —  

##NAMEX EXPLORATIONS INC COM COM

   $ 1,539.95    $ —  

##NASDAQ OMX GROUP INC SEC# 2598312

   $ 37,713.74    $ 39,592.00

##PEPSICO INC CAP USD0.016666 DO NOT USESEE SEC #2710850

   $ 4,647.89    $ 5,313.00

##PLATCOM INC COM STK

   $ 995.22    $ —  

##PLURISTEM THERAPEUTICS INC COM STK

   $ 5,129.44    $ —  

##PUB STORAGE INC DEPOS SH REPST G 1/1000TH COM SER A #1001833

   $ 2,199.95    $ 2,124.15

##REALITY RACING INC COM NEW STK

   $ 35,371.13    $ 3,135.00

##ROYAL OAK MINES INC COM DO NOT USE SEESEC #2003584

   $ 12,558.25    $ —  

##ROYALITE PETE CO INC COM STK

   $ 19,456.12    $ —  

##RUSHNET INC COM COM

   $ 4,274.50    $ —  

##SECTOR SPDR TR DO NOT USE SEE 2817824

   $ 39,593.00    $ 32,773.06

##SHANDONG ZHOUYUAN SEED & NURSE CO COM STK

   $ 427.01    $ —  

##SK WHEAT POOL CL B NON VTG COM

   $ 57.34    $ 67.53

##SMOOTH GLOBAL CHINA HLDGS INC COM STK

   $ 318.95    $ —  

##SOFTNET TECH CORP COM

   $ 23,308.17    $ 825.00

##SPORTS CONCEPTS INC COM STK

   $ 7,862.88    $ 0.12

#REORG IRISH INVT N/C TO NEW IRELAND FUNC 2612359 EFF 6/21/01

   $ 23,585.42    $ 18,153.00

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

#REORG QUANTUM CORP COM EXCH QUANTUM CORP DSSG COM @1 CORP ACT 8-3-99 2753014

   $ 5,978.72    $ 5,380.00

#REORG/$ TREE STORES INC NAME CHANGE TO $ TREE INC 2040365 3/3/08

   $ 1,409.95    $ 1,296.00

#REORG/$ TREE STORES INC NAME CHANGE TO $ TREE INC 2040365 3/3/08

   $ 457,860.67    $ 298,080.00

#REORG//US BIOENERGY CORP STK MERGER TP VERASUN ENERGY CORP 2025460 EFF 4/1/08

   $ 11,707.91    $ 10,562.42

#REORG/ABX HOLDINGS INC NAME CHANGE TO AIR TRANS SERVICES GROUP 2042690 5/16/08

   $ 16,278.04    $ 9,823.00

#REORG/AFTERMARKET TECH CORP NAME CHANGETO ATC TECH CORP 2043637 6/3/08

   $ 322,592.62    $ 275,326.00

#REORG/ALDABRA Z ACQSTN CORP NAME CHANGETO BOISE INC 2039984 EFF 2/22/08

   $ 28,115.97    $ 29,220.00

#REORG/AMER BANKNOTE HOLOGRAPHI CASH & STK MRG TO JDS UNIPHASE 2028520 2/15/08

   $ 6,011.08    $ 7,683.00

#REORG/AMERN FINL RLTY TR CASH & STK MRGTO GRAMERCY CAP CORP 2009003 4/2/08

   $ 1,182.11    $ 1,147.35

#REORG/ASPREVA PHARMACEUTICALS CORP CASHMERGER EFF 1/3/08

   $ 51,396.90    $ 63,648.00

#REORG/ASV INC CASH MERGER EFF 3/4/08

   $ 2,008.13    $ 2,354.50

#REORG/AUDIBLE INC CASH MERGER EFF 3/18/08

   $ 5,482.75    $ 3,568.00

#REORG/AVICI SYSTEMS INC NAME CHANGE TO SOAPSTONE NETWORKS INC 2040799 3/19/08

   $ 14,805.60    $ 11,895.00

#REORG/AVICI SYSTEMS INC NAME CHANGE TO SOAPSTONE NETWORKS INC 2040799 3/19/08

   $ 38,537.28    $ 34,106.93

#REORG/AXCAN PHARMA INC CASH MERGER EFFECTIVE 2-25-08

   $ 32,731.58    $ 39,928.00

#REORG/BALLY TOTAL FITNESS HLDG CORP PLAN OF REORG EFF 3/31/08

   $ 1,072.46    $ 240.00

#REORG/BE INC COM STK PLAN OF DISSOLUTION EFF 5/18/04

   $ 5,739.95    $ —  

#REORG/BEA SYSTEMS INC PLAN OF REORG EFF4/30/08

   $ 35,350.03    $ 33,658.74

#REORG/BEARS STERNS CO STK MERGER TO JP MORGAN CHASE SEC # 2427148 EFF 5/30/08

   $ 28,022.14    $ 22,109.63

#REORG/BEARS STERNS CO STK MERGER TO JP MORGAN CHASE SEC # 2427148 EFF 5/30/08

   $ 209,288.63    $ 265,632.50

#REORG/BEIJING MED PHARM CORP N/C TO BMPSUNSTONE CORP 2039887 EFF 2/19/08

   $ 5,558.45    $ 6,039.00

#REORG/BEVSYS INTL INC NEW NAME CHANGE TO RATATE BLACK INC 2029093 EFF 10/26/06

   $ 9,130.00    $ —  

#REORG/BRADLEY PHARMACEUTICALS INC CASH MERGER EFF 2/22/08

   $ 1,599.54    $ 1,832.10

#REORG/CADBURY SCHWEPPES PLC ADR STK MRGR TO CADBURY PLC SPONS 2041609 5/2/08

   $ 59,854.67    $ 55,541.25

#REORG/CALPINE CORP EFF 2-4-08

   $ 34,790.41    $ 3,185.00

#REORG/CANETIC RES TR STK MERGER TO PENNW ENERGY TR 2014502 EFF 1/11/08

   $ 205,841.24    $ 184,528.20

#REORG/CANYON RES CORP STK MERGER TO ATNA RES LTD SEC # 2019160 EFF 3/3/08

   $ 19,019.85    $ 14,060.00

#REORG/CARDIODYNAMICS INTL REV SPLIT TO CARDIODYNAMICS INTL 2042506 5/9/08

   $ 312.95    $ 80.20

#REORG/CENTENNIAL BK HOLDINGS INC NAME CHANGE TO GTY BANCORP 2042539 5/21/08

   $ 8,409.95    $ 8,670.00

#REORG/CHUNGHWA TELECOM CONS TO CHUNGHWATELECOM CO SPONS ADR 2037799 1/9/08

   $ 5,534.69    $ 6,162.24

#REORG/CINEMAX PICTURES & PROD N/CHANGE EFFECTIVE 3-28-08

   $ 5,951.14    $ 24.00

#REORG/CLAYMONT STL HOLDINGS INC CASH MERGER EFF 1/24/08

   $ 507.45    $ 583.75

#REORG/CMKM DIAMOND GEN MERGER EFFEC 04-14-06

   $ 22,876.58    $ —  

#REORG/COGNOS INC CASH MERGER EFF 1/31/08

   $ 8,518.24    $ 11,514.00

#REORG/COINMACH SVC CORP UNIT SEPARATION2-020061 & 4-492382 EFF 11/21/07

   $ 0.02    $ —  

#REORG/COMM BANCORP INC CASH & STK MRG TO TORONTO DOMINION BK 2865725 3/31/08

   $ 1,758.58    $ 2,042.32

#REORG/COMM BANCORP INC CASH & STK MRG TO TORONTO DOMINION BK 2865725 3/31/08

   $ 184,758.87    $ 183,072.00

#REORG/COMTECH GROUP NAME CHANGE TO COGOGROUP 2042618 EFF 5/13/08

   $ 39,279.68    $ 34,958.70

#REORG/COMTECH GROUP NAME CHANGE TO COGOGROUP 2042618 EFF 5/13/08

   $ 39,497.21    $ 37,053.00

#REORG/COMTECH GROUP NAME CHANGE TO COGOGROUP 2042618 EFF 5/13/08

   $ 157,760.08    $ 133,229.70

#REORG/COMTECH GROUP NAME CHANGE TO COGOGROUP 2042618 EFF 5/13/08

   $ 223,145.71    $ 221,673.60

#REORG/CONOLOG CORP REV SPLIT TO CONOLOGCORP 2043945 EFF 6/11/08

   $ 7,084.97    $ 3,000.00

#REORG/COVAD COMMUNICATIONS GROUP INC CASH MERGER EFF 4/15/08

   $ 175,138.89    $ 139,713.02

#REORG/ECHOSTAR COMMUNICATIONS CORP N/C TO DISH NETWORK CORP 2038893 EFF 1/22/08

   $ 68,278.53    $ 55,297.52

 

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Table of Contents

AS OF DECEMBER 31, 2007

 

Asset Description

   Historical Cost    Current Value

#REORG/ECHOSTAR COMMUNICATIONS CORP N/C TO DISH NETWORK CORP 2038893 EFF 1/22/08

   $ 274,897.96    $ 339,480.00

#REORG/EDGELINE HLDGS INC COM STK SEC CHANGE TO 2040713 EFFECTIVE 3/24/08

   $ 5,207.07    $ 105.00

#REORG/ENCYSIVE PHARMACEUTICALS INC CASHMERGER EFF 6/10/08

   $ 48,243.52    $ 9,650.05

#REORG/ENDEVCO INC REV SPLIT TO ENDEVCO INC NEW 2040636 EFF 3/11/08

   $ 3,518.94    $ 110.00

#REORG/ENER 1 INC REV SPLIT TO ENER 1 INC NEW SEC # 2041962 EFF 4/24/08

   $ 38,526.90    $ 85,515.15

#REORG/FINMETAL MNG REV SPLIT & N/C TO AMAZON GOLDSANDS 2043751 EFF 6/9/08

   $ 3,519.95    $ 540.00

#REORG/FOX PETE INC REV SPLIT TO FOX PETE INC NEW 2041517 EFF 4/21/08

   $ 107,491.27    $ 33,385.00

#REORG/FUSHI INTL INC NAME CHANGE TO COPPERWELD INC 2038777 EFF 1/15/08

   $ 11,549.90    $ 12,585.00

#REORG/GEMSTAR TV GUIDE INTL STK MERGER TO MACROVISION CORP 2519584 5/2/08

   $ 6,765.48    $ 4,998.00

#REORG/GMH CMNTYS TR CASH & STK MERGER EFF 6/11/08

   $ 30,823.91    $ 12,963.48

#REORG/GNT PRIDEC0 CASH & STK MRGR TO NATL OILWELL VARCO 2607187 4/21/08

   $ 62,133.17    $ 66,612.00

#REORG/GOLDEN TELECOM INC CASH MERGER EFF 2/29/08

   $ 9,729.93    $ 10,095.00

#REORG/GOODMAN GLOBAL INC CASH MERGER EFF 2/12/08

   $ 13,959.65    $ 13,938.72

#REORG/HARRAH’S ENTERTAINMENT INC CASH MERGER EFFECTIVE 1-28-08

   $ 224,011.23    $ 421,562.50

#REORG/HILLENBRAND IND INC NAME CHANGE TO HILL ROM HLDGS 2040759 4/1/08

   $ 20,281.19    $ 20,665.74

#REORG/HYBRID TECHNOLOGIES REV SPLIT TO HYBRID TECHNOLOGIES INC 2038836 1//17/08

   $ 53,251.87    $ 8,767.85

#REORG/IHOP CORP NAME CHANGE TO DINEEQUITY INC 2043608 EFF 6/2/08

   $ 1,403,357.26    $ 753,548.00

#REORG/INVESTOOLS INC N/C TO THINKORSWIMGROUP 2042545 EFF 6/6/08

   $ 111,119.81    $ 125,954.00

#REORG/IONATRON INC NAME CHANGE TO APPLIED ENERGETICS INC 2039913 2/19/08

   $ 9,572.33    $ 5,434.00

#REORG/LIFECELL CORPORATION CASH MERGER EFF 5/27/08

   $ 36,183.43    $ 34,488.00

#REORG/LIFECELL CORPORATION CASH MERGER EFF 5/27/08

   $ 434,361.63    $ 449,206.20

#REORG/LOEWS CAROLINA MAND EXCH TO LORILLARD INC 2042541 EFF 6/10/08

   $ 19,753.89    $ 21,554.88

#REORG/LOEWS CAROLINA MAND EXCH TO LORILLARD INC 2042541 EFF 6/10/08

   $ 887,375.06    $ 955,360.00

#REORG/LTG SCI GROUP CORP REV SPLIT TO LTG SCI GROUP CORP 2039222 EFF 1/22/08

   $ 49,998.88    $ 49,351.96

#REORG/MACROVISION CORP MAND EXCH TO MACROVISION SOL HLDG CORP 2041492 5/5/08

   $ 21,205.87    $ 19,796.40

#REORG/MECH TECH INC REV SPLIT TO MECH TECH INC 2042705 5/16/08

   $ 4,496.76    $ 1,500.00

#REORG/MERIDIAN GOLD CASH & STK MERGER TO YAMANA GOLD INC 2029959 12/31/07

   $ 37,608.87    $ 44,197.50

#REORG/METAL MGMT INC STK MERGER TO SIMSGROUP LTD 2001805 EFF 3/14/08

   $ 4,028.62    $ 3,568.46

#REORG/METRICOM INC DESP SEC EFF 10/8/02

   $ 2,914.86    $ 0.24

#REORG/MGI PHARMA INC CASH MERGER EFF 1/28/08

   $ 20,036.95    $ 23,304.75

#REORG/MIDWEST AIR CORP CASH MERGER EFF 1/31/08

   $ 5,652.85    $ 5,934.80

#REORG/MILLENNIUM PHARMACEUTICALS INC CASH MERGER EFF 5/14/08

   $ 1,710.49    $ 2,321.90

#REORG/MILLENNIUM PHARMACEUTICALS INC CASH MERGER EFF 5/14/08

   $ 32,977.92    $ 46,438.00

#REORG/MILLENNIUM PHARMACEUTICALS INC CASH MERGER EFF 5/14/08

   $ 112,098.10    $ 122,836.00

#REORG/MOBILITY ELECTRONICS INC NAME CHANGE TO IGO INC 2043201 EFF 5/22/08

   $ 4,396.01    $ 1,482.00

#REORG/MONOGRAM ENERGY INC REV SPLIT TO MONOGRAM ENERGY INC 2041237 3/31/08

   $ 4,419.67    $ 1,255.00