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, 2009

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 – OPCHR

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, 2009 and 2008

   2

Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2009

   3

Notes to Financial Statements as of December 31, 2009 and 2008, and for the Year Ended December  31, 2009

   4–14

SUPPLEMENTAL SCHEDULES:

   15

Form 5500, Schedule H, Part IV, Line  4i—Schedule of Assets (Acquired and Disposed of Within the Plan Year)

   16

Form 5500, Schedule H, Part IV, Line  4i—Schedule of Assets (Held at End of Year) as of December 31, 2009

   26

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, 2009 and 2008, and the related statement of changes in net assets available for benefits for the year ended December 31, 2009. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

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

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2009 and 2008, and the changes in net assets available for benefits for the year ended December 31, 2009 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, 2009 and (2) assets (held at end of year) as of December 31, 2009, are presented for the purpose of additional analysis and are not a required part of the basic financial statements, but are supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. These schedules are the responsibility of the Plan’s management. Such schedules have been subjected to the auditing procedures applied in our audit of the basic 2009 financial statements and, in our opinion, are fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.

 

/s/ Deloitte & Touche LLP
Chicago, Illinois
June 25, 2010

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

AS OF DECEMBER 31, 2009 AND 2008

(In millions)

 

 

 

     2009     2008  

ASSETS:

    

Participant-directed investments, at fair value (Notes 3 and 9)

   $ 2,828      $ 2,346   

Contributions receivable

     12        13   

Pending trade receivables—net

     6        —     

Accrued income—net

     3        4   

Collateral received for securities loaned (Note 3)

     —          85   
                

Total assets

     2,849        2,448   
                

LIABILITIES:

    

Pending trade payables—net

     —          (31

Other liability

     (2     —     

Obligation for collateral received for securities loaned (Note 3)

     —          (86
                

Total liabilities

     (2     (117
                

NET ASSETS AVAILABLE FOR BENEFITS

   $ 2,847      $ 2,331   
                

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, 2009

(In millions)

 

 

 

ADDITIONS:

  

Contributions:

  

Employer contributions

   $ 135   

Participant contributions

     41   
        

Total contributions

     176   

Investment income:

  

Net appreciation in fair value of investments

     408   

Dividends and interest

     27   

Other income

     10   
        

Net investment income

     445   

Total additions

     621   
        

DEDUCTIONS:

  

Benefits paid to participants

     (95

Administrative expenses

     (10
        

Total deductions

     (105
        

INCREASE IN NET ASSETS

     516   

NET ASSETS AVAILABLE FOR BENEFITS:

  

Beginning of year

     2,331   
        

End of year

   $ 2,847   
        

See notes to financial statements.

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2009 AND 2008, AND FOR THE YEAR ENDED DECEMBER 31, 2009

 

 

 

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.

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 16% of participant eligible earnings. Company contributions on behalf of a participant are allocated directly to each participant’s account. The participant is not required to contribute to the Plan to receive this direct employer contribution.

 

   

Employee 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 pretax contribution in an amount equal to 1% to 90% of their net pretax pay. Section 402(g) of the Internal Revenue Code (“IRC”) limits the amount of pretax 401(k) contributions to a maximum of $16,500 in 2009. Lower limits may apply to certain highly compensated participants if the Plan does not pass certain nondiscrimination tests required by law. Eligible employees may also elect to make voluntary after-tax contributions to the Plan from 1% to 60% of the participant’s earnings (as defined by the Plan) for each pay period only after making the maximum pretax contribution. 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 $49,000.

 

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Voluntary pretax catch-up contributions: Participants age 50 or older at any time during the Plan year can make additional pretax 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 2009, the maximum amount is $5,500.

 

   

Rollover Contributions—Participants may elect to roll over money into the Plan from certain other qualified employer plans or qualified IRA. The Plan will not accept a rollover of after-tax contributions. Rollover contributions for the year ended December 31, 2009, include $216,393, which were transferred from other qualified plans as rollovers under the IRC Sections 402(c) and 408(d).

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 by the Plan. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.

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

 

   

AutoPDAP Funds, which are funds that are invested in a diversified portfolio of underlying stock and bond funds strategically mixed for investors based on their estimated retirement date.

 

   

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 PDAP 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 Account). 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 4.25% to 10.5% at December 31, 2009). 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.

 

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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 roll over 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 pretax 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. 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 participant upon retirement or termination of employment. The participant’s surviving spouse, if any, is automatically the beneficiary of at least half of the account. The surviving spouse may elect to defer distribution until 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 pretax 401(k) contributions, subject to restrictions described in the Plan

 

   

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, pretax 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.

 

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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 PronouncementsIn 2009, the FASB issued additional guidance for determining fair value when the volume and level of activity for the asset or liability have significantly decreased and identifying transactions that are not considered orderly. In addition, the FASB provided guidance on measuring the fair value of certain investments in entities that calculate net asset value per share. The FASB also issued guidance requiring disclosure of changes in valuation techniques, if any, and required expanded disclosure for certain types of investments. The new guidance also requires disclosure of information such as investment objectives and redemption requirements for certain investments in entities that calculate net asset value per share. The Plan’s disclosures for the 2009 period reflect the prospective adoption of this guidance.

In August 2009, the FASB issued guidance addressing the measurement of liabilities when a quoted price in an active market for an identical liability is not available and clarifies that a reporting entity should not make an adjustment to fair value for a restriction that prevents the transfer of the liability. The additional guidance will be effective for financial statements issued for the first reporting period beginning after issuance of the guidance. The Plan has not determined the impact of adoption of this guidance on its financial statements.

In January 2010, the FASB released accounting guidance that requires new fair value measurement classification disclosures and clarifies existing disclosures. The guidance requires disclosures about transfers into and out of Levels 1 and 2 of the fair value hierarchy, and separate disclosures about purchases, sales, issuances and settlements relating to Level 3 measurements. It also clarifies the existing fair value disclosures regarding valuation techniques, inputs used in those valuation models and at what level of detail fair value disclosures should be provided. The guidance is effective for interim and annual reporting periods beginning after December 15, 2009, except for the disaggregation of the Level 3 activity, which is effective for interim and annual periods beginning after December 15, 2010. The Plan has not determined the impact of adoption of this guidance on its financial statements.

Investment Valuation and Income Recognition—The Plan’s investments are reported at fair value (See Note 8 “Fair Value Measurements”). The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

The pending trade receivables (payables) are recorded net of related (payables) receivables and represent net amounts due from 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 in Value of Investments—Net appreciation 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.

 

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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 an addition to the net appreciation 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 $713,556 and $293,262 at December 31, 2009 and 2008, respectively.

 

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3. INVESTMENTS

The Plan’s investments that represented 5% or more of the Plan’s net assets available for benefits as of December 31, 2009 and 2008, are as follows (in millions):

 

     2009    2008

Frank Russell Short-Term Investment Fund

   $ 449    $ 523

Schwab Money Market Fund

     185      233

During the year ended December 31, 2009, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated (depreciated) in value as follows (in millions):

 

Cash and cash equivalents

   $ (1

Equity securities

     369   

Corporate and international bonds

     18   

Government securities and other fixed income instruments

     20   

Net gain on in-kind Schwab IBA benefit distributions

     2   
        

Total

   $ 408   
        

Prior to October 30, 2009, the Trustee was authorized to engage in the lending of certain Trust assets. Securities lending was an investment management strategy that utilized the existing securities (government bonds, corporate bonds, or equities) of the Trust to earn additional income ($464,960 and $1,566,277 in 2009 and 2008, respectively). It involved 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 was 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 was marked-to-market on a daily basis to maintain the margin requirement. Effective October 30, 2009, the Trust withdrew from the securities lending program.

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, 2009, the investment managers were as follows:

 

Money Market Fund

              Russell Trust Company

Short Term Bond Fund

              Pacific Investment Management Company, LLC

Diversified Bond Fund

              Western Asset Management Company
              Pacific Investment Management Company, LLC
              Russell Trust Company

International Equity Fund

              Arrowstreet Capital, LP
              Marsico Capital Management, LLC
              MFS Institutional Advisors, Inc.
              AllianceBernstein, LP
              RTC Emerging Markets Fund
              Russell Trust Company

Value Equity Fund

              Dodge & Cox Incorporated
              Jacobs Levy Equity Management, Inc.
              MFS Institutional Advisors, Inc.
              Deprince, Race & Zollo, Inc.
              JS Asset Management
              Russell Trust Company

Growth Equity Fund

              BlackRock Financial Management
              Cornerstone Capital Management, Inc.
              Suffolk Capital Management, LLC
              Sustainable Growth Advisers, LP
              Russell Trust Company

Small Cap Equity Fund

              ClariVest Asset Management, LLC
              Copper Rock Capital Partners, LLC
              Delaware Investment Advisers
              Jacobs Levy Equity Management, Inc.
              Opus Capital Management
              Signia Capital Management, LLC
              Turner Investment Partners, Inc.
              Russell Trust Company

S&P 500 Index Fund

              PanAgora Asset Management, Inc.
              Russell Trust Company

Individual Brokerage Account Option

              Self-directed account with Charles Schwab

 

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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 and options. The Plan authorizes certain investment managers to earn equity returns on the funds’ cash position through equity 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. The Plan’s derivative positions as of December 31, 2009 were not material.

 

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 2009 totaled $9,457,955.

The Plan invests 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 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 March 31, 2009, that the Plan and related trust were designed in accordance with applicable regulations of the Internal Revenue Code. United and Plan management believe the Plan is currently designed and operated in accordance with 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. FAIR VALUE MEASUREMENTS

Effective January 1, 2008, the Plan adopted FASB ASC Topic 820, Fair Value Measurements (“ASC 820”), which establishes a fair value hierarchy that prioritizes the inputs used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and the lowest priority to unobservable inputs (Level 3 measurement). This hierarchy requires entities to maximize the use of observable inputs and minimize the use of unobservable inputs. The three levels of inputs used to measure fair value are as follows:

 

Level 1

   Quoted market prices in active markets for identical assets that are accessible at the measurement date.

Level 2

   Quoted market prices of identical assets in inactive markets or similar assets in active markets; and observable or correlated inputs for the asset (e.g., interest rates and yield curves observable at commonly quoted intervals).

Level 3

   Unobservable inputs that reflect the reporting entity’s own assumptions about inputs used by market participants in pricing assets or liabilities.

Mutual funds and collective trusts represent investments with various investment managers. The respective fair values of these investments are determined by reference to the funds’ underlying assets, which are principally marketable equity and fixed income securities. Shares held in mutual funds are valued at the closing share price, which is based on the funds’ net asset value at year-end. Units held in collective trusts are valued at the unit value as reported by the investment managers at year-end.

Participant loans are valued at cost, which approximates fair value.

Investments in Individual Brokerage Accounts and the UAL Stock Fund are described below:

Cash and short-term investments include cash and short-term interest-bearing investments with initial maturities of three months or less. Such amounts are recorded at cost, plus accrued interest, which approximates market value.

Common stock, preferred stock, and fixed income securities traded in active markets on national and international securities exchanges are valued at closing prices on the last business day of each period presented. Fixed income securities classified as level 2 are valued based on quoted prices in inactive markets.

The following tables presents the Trust’s investment assets and liabilities at fair value categorized in the different levels, as of December 31, 2009 and 2008. As required by ASC 820, assets are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

 

     Investment Assets at Fair Value as of
December 31, 2009
(In millions)    Level 1    Level 2     Level 3    Total

Assets:

          

Cash and cash equivalents—net of offsets

   $ 37    $ 12      $ —      $ 49

Common Collective Trusts—Bond Funds

     —        151 (a)      —        151

Common Collective Trusts—Equity Funds

     —        95 (b)      —        95

Common Collective Trusts—Short Term Funds

     —        702 (c)      —        702

Corporate and International Bonds

     —        58        —        58

Equity Securities—Common Stock (large cap)

     743      1        —        744

Equity Securities—Common Stock (mid cap)

     275      1        —        276

Equity Securities—Common Stock (small cap)

     138      7        —        145

Equity Securities—Other

     22      12        1      35

Fixed Income—Asset-backed Securities

     —        51        —        51

Fixed Income—Government Securities

     —        25        1      26

Mutual Funds—Bonds Funds

     87      9        —        96

Mutual Funds—Equity Funds

     328      —          —        328

Other

     5      32        6      43

Participant Loans

     —        —          29      29
                            

Total investment assets at fair value

   $ 1,635    $ 1,156      $ 37    $ 2,828
                            

 

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(a) Generally, the investment objective is to utilize longer-term, diversified holdings to provide as high a level of current income as possible within the confines of a passive management strategy. The redemption of units is available on any business day

(b) Generally, the investment objective is to provide current income and growth by focusing on a specific industry or index of equities while minimizing portfolio risk exposure. The redemption of units is available on any business day.

(c) Generally, the investment objective is to provide the highest current income with stability of capital and liquidity through the utilization of high quality securities. The redemption of units is available on any business day.

 

     Investment Assets and Liabilities at
Fair Value as of
December 31, 2008
(In millions)    Level 1    Level 2    Level 3    Total

Assets:

           

Cash and cash equivalents

   $ 29    $ 10    $ —      $ 39

Mutual funds

     221      —        —        221

Common collective trusts

     —        999      —        999

Equity securities

     825      6      —        831

Asset-backed securities

     —        15      1      16

Corporate and international bonds

     —        51      —        51

Government securities and other fixed income

     —        70      1      71

Other

     —        10      1      11

Participant loans

     —        —        23      23

Securities on loan:

           

Equity securities

     81      —        —        81

Corporate and international bonds

     —        1      —        1

Government securities and other fixed income

     —        2      —        2
                           

Total investment assets at fair value

   $ 1,156    $ 1,164    $ 26    $ 2,346
                           

Liabilities:

           

Obligation to return collateral:

           

Cash and cash equivalents

   $ 86    $ —      $ —      $ 86
                           

Total investment liabilities at fair value

   $ 86    $ —      $ —      $ 86
                           

 

- 13 -


Table of Contents

Level 3 Gains and Losses

The table below summarizes the changes in the fair value of the Trust’s level 3 investment assets for the year ended December 31, 2009.

 

(In millions)    Equity
Securities-
Other
   Fixed Income-
Asset-Backed
Securities
    Fixed Income-
Government
securities
   Other    Participant
Loans
   Total

Fair value balance, January 1, 2009

   $ —      $ 1      $ 1    $ 1    $ 23    $ 26

Realized and unrealized gains / (losses)

     1      —          —        —        —        1

Purchases, issuances and settlements

     —        (1     —        5      6      10
                                          

Fair value balance, December 31, 2009

   $ 1    $ —        $ 1    $ 6    $ 29    $ 37
                                          

The amount of total gains or losses for the period included in net appreciation in value of the Plan’s investments attributable to the change in unrealized gains or losses relating to assets still held at the reporting date.

   $ —      $ —        $ —      $ —      $ —      $ —  
                                          

Note: This table was derived under the election to treat both transfers in and transfers out as having occurred at the end of the period.

 

9. PLAN AMENDMENTS

During 2009, certain distribution guidelines under the Plan were amended. Participants should refer to the Plan document for information on distribution guidelines.

* * * * * *

 

- 14 -


Table of Contents

SUPPLEMENTAL SCHEDULES

 

- 15 -


Table of Contents

United Airlines Pilot Directed Account Plan

Schedule H, line 4i-Schedule of Assets (Acquired and Disposed of Within Year)

 

Asset Description

   Acquisition Cost     Disposition
Proceeds

MORG STAN SR NT FLTG RATE LKD TO USD LIB& S&P 500 INDEX RANGE
DUE 3-26-2029

   $ (174,777.62   $ 142,339.90

INCREDIMAIL LTD

   $ (15,425.03   $ 14,435.95

OPAP(ORG OF FOOTB) EUR0.30 (CR)

   $ (47,227.48   $ 44,434.90

COMMONWEALTH BANK OF AUSTRALIA NPV

   $ (224,198.67   $ 320,451.58

COMPUTERSHARE LTD NPV(POST REC)

   $ (125,528.35   $ 171,997.68

QANTAS AIRWAYS NPV

   $ (75,502.95   $ 40,867.51

GPT GROUP NPV (STAPLED SECURITIES)

   $ (65,929.92   $ 43,991.59

CP ALL PCL THB1(LOCAL)

   $ (103,736.58     —  

NATL PORTEFEUILLE NPV

   $ (104,120.98   $ 111,324.24

GESTEVIS TELECINCO EUR0.5

   $ (97,829.69   $ 147,959.51

HOCHTIEF AG NPV

   $ (208,431.28   $ 307,789.60

CNP ASSURANCES EUR4

   $ (181,316.80   $ 221,145.82

NATIXIS EUR1.6(POST SUBDV)

   $ (132,956.26   $ 164,433.63

PAGESJAUNES GROUPE EUR0.20

   $ (163,315.38   $ 198,673.38

PPR EUR4

   $ (81,683.36   $ 84,523.90

SAFRAN SA EUR0.20

   $ (141,624.90   $ 123,854.96

STMICROELECTRONICS EUR1.04

   $ (137,041.39   $ 196,622.94

OUTOKUMPU OYJ SER’A’NPV

   $ (116,374.69   $ 130,653.88

CRH ORD EUR0.32(DUBLIN LISTING)

   $ (14,242.82   $ 232,398.33

AKBANK TRY1

   $ (131,085.81   $ 134,968.81

ASSIC GENERALI SPA EUR1

   $ (132,944.14   $ 130,668.06

AUTOGRILL SPA EUR0.52

   $ (109,999.88   $ 207,852.21

BCA POP DI MILANO EUR4.00

   $ (68,491.09   $ 92,428.69

INTESA SANPAOLO DI RISP EUR0.52(NON CNV)

   $ (60,691.83   $ 78,662.68

PIRELLI & C EUR0.29

   $ (122,544.01   $ 164,795.88

UNIONE DI BANCHE I EUR2.50

   $ (69,697.42   $ 93,474.57

ABSA GROUP ZAR2

   $ (121,501.30   $ 169,402.57

AFRICAN BANK INV ZAR0.025

   $ (66,575.04   $ 68,576.84

INVESTEC LIMITED ZAR0.0002

   $ (42,351.67   $ 61,070.43

 

Page 1


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

REMGRO ZAR0.01

   $ (83,605.57   $ 114,413.50

RELIANCE INDS GDR REP 2 ORD INR10 (144A)

   $ (37,284.18     —  

CARNIVAL PLC ORD USD1.66

   $ (59,658.03   $ 74,654.12

CRH ORD EUR0.32

   $ (201,861.01     —  

KAZAKHMYS ORD GBP0.20

   $ (105,817.92   $ 363,997.57

PRUDENTIAL ORD GBP0.05

   $ (271,320.29   $ 382,576.67

THOMSON-REUTERS PL ORD GBP0.25

   $ (76,692.56     —  

VEDANTA RESOURCES ORD USD0.10

   $ (77,048.06   $ 175,481.84

WOLSELEY ORD GBP0.25

   $ (99,486.33   $ 147,037.62

BERKLEY GP HOLDINGS

   $ (84,944.05   $ 84,937.90

PVTPL RELIANCE INDS GDS(REP 2 ORD INR10)144 A

   $ (394,002.39     —  

CITIGROUP INC CITIGROUP 5.25 02/27/2012 5.25% DUE 02-27-2012

   $ (4,609.20   $ 4,827.15

ARCELORMITTAL NPV

   $ (140,207.82   $ 667,783.86

KONINKLIJKE KPN

   $ (95,145.88   $ 100,950.16

ROHM CO LTD NPV

   $ (130,708.24   $ 172,441.78

SINGAPORE PETROLEUM CO COM STK

   $ (10,904.59   $ 26,980.36

##CELSIUS HLDGS INC COM

   $ (18,666.20   $ 19,692.72

ADVANCED LIFE SCIENCES HLDGS INC COM STK

   $ (29,208.95   $ 9,990.79

AMBIENT CORP COM

   $ (948.95   $ 416.03

EUROPEAN GOLDFIELDS LTD COM STK

   $ (4,903.83     —  

HARD TO TREAT DISEASES INC COM

   $ (23,575.67   $ 28,554.48

NEPHROS INC COM

   $ (9,091.75   $ 8,901.25

TNR GOLD CORP COM

   $ (27,958.70   $ 26,343.07

CEZ CZK100

   $ (100,382.60   $ 177,069.53

PORTUGAL TELECOM SGPS EUR0.03

   $ (144,617.22   $ 171,427.62

HYUNDAI MOTOR CO KRW5000

   $ (142,270.95   $ 238,338.15

COSCO CORPORATION SINGAPORE LTD (POST SUBDIVISION)

   $ (64,821.58   $ 84,085.87

DBS GROUP HLDGS NPV

   $ (433,261.81   $ 475,048.41

MODERN TIMES GROUP SER’B’NPV

   $ (60,552.22   $ 84,464.91

BALOISE HOLDING AG CHF0.10 (REGD) (VINKULIERT)

   $ (128,176.33   $ 138,150.29

JULIUS BAER HLDG CHF0.05 (REGD)

   $ (267,934.53   $ 359,314.11

SWISS LIFE HOLDINGS AG

   $ (227,473.36   $ 251,406.56

 

Page 2


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

ZURICH FINL SVCS CHF0.10

   $ (366,353.66   $ 377,732.78

CENTRAL JAPAN RLWY NPV

   $ (63,424.78   $ 65,589.71

DAI NIPPON PRINTNG NPV

   $ (121,725.39   $ 109,116.91

DAIHATSU MOTOR CO NPV

   $ (74,823.23   $ 83,593.90

FUJI MEDIA HOLDINGS INC NPV

   $ (53,660.66   $ 57,892.78

FURUKAWA ELECTRIC NPV

   $ (103,701.51   $ 141,366.71

J FRONT RETAILING NPV

   $ (93,566.25   $ 105,612.39

JTEKT CORPORATION NPV

   $ (116,323.10   $ 153,023.31

KAMIGUMI CO LTD NPV

   $ (104,863.88   $ 108,468.15

KOBE STEEL LTD

   $ (70,122.03   $ 97,057.93

NIPPON ELECTRIC GLASS CO LTD

   $ (86,886.50   $ 97,224.05

NISSAN CHEMICAL IN NPV

   $ (64,405.76   $ 82,716.18

NTT DOCOMO NPV

   $ (86,945.84   $ 84,795.01

RESONA HOLDINGS NPV

   $ (113,205.59   $ 111,792.57

SEIKO EPSON CORP NPV

   $ (193,720.76   $ 214,239.05

SEKISUI CHEMICAL CO LTD NPV

   $ (56,838.06   $ 65,314.70

SHINKO ELEC INDS NPV

   $ (84,243.47   $ 144,207.14

SUMITOMO TRUST & BANKING CO NPV

   $ (401,129.48   $ 403,178.58

TOKUYAMA CORP NPV

   $ (103,761.61   $ 112,485.44

TOYOTA INDUSTRIES NPV

   $ (95,411.91   $ 111,440.78

TSUMURA & CO NPV

   $ (42,714.06   $ 45,015.29

YAMAHA MOTOR CO NPV

   $ (109,974.62   $ 109,524.85

YAMATO HOLDINGS NPV

   $ (94,157.30   $ 86,504.81

BCE INC COM NPV

   $ (236,903.29   $ 261,430.53

BIOVAIL CORP COM NPV

   $ (69,385.50   $ 92,632.91

ING CANADA INC COM NPV

   $ (94,180.56     —  

INTACT FINL CORP COM NPV

     —        $ 122,922.50

SUNCOR ENERGY INC COM NPV

   $ (250,341.21   $ 50,968.51

CENOVUS ENERGY INC 6.75% DUE 11-15-2039

   $ (79,696.00   $ 86,190.20

CREDIT SUISSE FIRST BOSTON USA INC CR SUISSE FB USA INC 4.7 DUE 06-01-2009 BEO

   $ (40,240.00   $ 40,000.00

DISH DBS CORP 7.875% DUE 09-01-2019

   $ (29,240.10     —  

FORD MTR CR CO LLC NT FLTG RATE DUE 04-15-2009 REG

   $ (283,500.00   $ 300,000.00

GENWORTH GLOBAL FDG TRS SECD MEDIUM
TERMTRANCHE # TR 00003 5.125 03-15-2011

   $ (9,060.00   $ 9,635.00

 

Page 3


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

INTL STL GROUP INC 6.5% DUE 04-15-2014

   $ (4,010.00   $ 4,680.90

JEFFSN PILOT CORP 4.75% DUE 01-30-2014

   $ (4,175.30   $ 4,340.00

KS CY SOUTHN DE 12.5% DUE 04-01-2016

   $ (18,949.00     —  

PVTPL CRICKET COMMUNICATIONS INC SR SECDNT 144A 7.75 DUE 05-15-2016

   $ (43,260.30     —  

PVTPL DIRECTV HLDGS LLC / DIRECTV FING INC SR NT 144A 4.75% DUE 10-01-2014 BEO

   $ (29,918.70   $ 30,571.20

PVTPL RAILAMERICA INC SR SECD NT 144A 9.25% DUE 07-01-2017/06-23-2009 BEO

   $ (67,146.10   $ 6,180.00

PVTPL TECK RESOURCES LIMITED SR SECD NT 144A 10.25 DUE 05-15-2016/05-08-2009 BEO

   $ (4,732.70     —  

PVTPL TECK RESOURCES LIMITED SR SECD NT 144A 10.75 DUE 05-15-2019/05-08-2009 BEO

   $ (9,489.30     —  

PVTPL TECK RESOURCES LIMITED SR SECD NT 144A 9.75% DUE 05-15-2014 BEO

   $ (4,763.50     —  

PVTPL VERIZON WIRELESS CAP LLC / CELLCO PARTNE NT 144A 5.25 DUE 02-01-2012 BEO

   $ (498,365.00     —  

ROCHE HLDGS INC NT FLTG 144A DUE 02-25-2011 BEO

   $ (500,000.00   $ 512,532.00

HOSPIRA INC HOSPIRA INC VAR RT DUE 03-30-2010/03-30-2009

   $ (698,250.00   $ 700,000.00

MACQUARIE OFFICE UNITS NPV

   $ (80,639.09   $ 140,136.32

KGHM POLSKA MIEDZ PLN10 BR

   $ (32,537.08   $ 41,035.86

ADR BRIT AWYS PLC ADR

   $ (20,405.90   $ 19,226.55

ADR CADBURY PLC SPONSORED ADR ADR

   $ (10,658.05   $ 10,443.68

ADR CHINA DISTANCE ED HLDGS LTD SPONSORED ADR ADR

   $ (1,953.45   $ 1,877.88

ADR CHINA GRENTECH CORP LTD

   $ (22,192.85   $ 19,739.27

ADR HIMAX TECHNOLOGIES INC SPONSORED ADR

   $ (8,954.74   $ 7,915.25

ADR LINKTONE LTD ADR

   $ (16,248.29   $ 21,003.89

ADR NICE SYS LTD SPONSORED ADR

   $ (7,559.16   $ 6,797.29

ADR WIRELESS HOLDRS TR DEPOSITARY RCPT

   $ (64,056.85   $ 66,670.42

 

Page 4


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

GDR PAMPA ENERGIA S A SPONSORED ADR LEVEL 1

   $ (6,623.75   $ 5,804.39

SIFY TECHNOLOGIES LTD

   $ (21,699.40   $ 22,553.51

ABM INDS INC COM

   $ (15,125.65   $ 17,194.81

ACEA SPA EUR5.16

   $ (55,422.20   $ 56,987.99

ADVANCED ENERGY INDS INC COM

   $ (7,741.25   $ 7,480.39

AEP INDS INC COM

   $ (48,092.24   $ 51,816.69

AERO GROW INTL INC COM STK

   $ (2,008.95   $ 1,540.02

AJINOMOTO CO INC NPV

   $ (56,015.72   $ 54,496.69

ALCATEL-LUCENT EUR2

   $ (76,001.73   $ 70,671.78

ALLIANCE FINL CORP COM

   $ (8,226.60   $ 8,364.77

ALUMINA LTD NPV

   $ (43,465.14   $ 38,922.10

AM OIL RES & TECHNOLOGY INC COM STK

   $ (2,708.95   $ 1,241.04

AP PHARMA INC COM NEW STK

   $ (5,142.91   $ 5,540.33

ARCELIK TRY1

   $ (29,653.34   $ 37,519.75

ARDEA BIOSCIENCES INC COM STK

   $ (13,257.95   $ 11,817.40

AXION INTL HLDGS INC COM STK

   $ (6,597.95   $ 5,640.90

BANCTRUST FINL GROUP INC COM STK

   $ (2,041.71   $ 2,467.34

BANKUNITED FINL CORP CL A

   $ (5,292.75   $ 5,889.03

BIOELECTRONICS CORP COM

   $ (6,833.82   $ 7,268.40

BLACKROCK KELSO CAP COORPORATION COM STK

   $ (13,816.80   $ 15,638.77

BLUEFIRE ETHANOL FUELS INC COM STK

   $ (10,098.95   $ 10,672.83

BLUESCOPE STEEL SHS

   $ (69,488.97     —  

BRIDGEPOINT ED INC COM

   $ (10,465.75   $ 8,113.12

BRITISH ENERGY GP GBP0.1 (ASSD LAKE ACQ CASH)

     —        $ 365,768.93

CADENCE PHARMACEUTICALS INC COM

   $ (15,121.35   $ 17,663.94

CAPITOL BANCORP LTD COM

   $ (13,431.57   $ 12,682.05

CARDIOME PHARMA CORP COM NEW STK

   $ (22,258.95   $ 20,540.52

CENTRAL GARDEN & PET CO COM

   $ (31,793.50   $ 29,646.29

CHARTER COMMUNICATIONS INC DEL CL A NEW CL A NEW

     —        $ 5,751.64

CHECK PT SOFTWARE TECHNOLOGIES ORDILS.01

   $ (235,612.74   $ 233,276.25

CHIBA BANK NPV

   $ (42,965.46   $ 43,649.32

CHINA DIGITAL COMMUNICATION GROUP COM NEW STK

   $ (40,644.69   $ 38,990.04

 

Page 5


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

CHIYODA CORP NPV

   $ (38,547.97   $ 38,672.50

CITIZENS & NORTHN CORP COM

   $ (4,161.92   $ 3,850.90

CITIZENS FIRST CORP COM

   $ (16,001.95   $ 14,412.38

CLEAR-LITE HLDGS INC COM

   $ (46,035.80   $ 52,140.74

COFFEE HLDG CO INC COM

   $ (4,058.85   $ 3,790.75

COHEN & STEERS INC COM

   $ (9,753.90   $ 8,004.93

CORNELL COMPANIES INC COM

   $ (6,353.68   $ 8,127.99

CUMULUS MEDIA INC CL A DEL

   $ (14,261.43   $ 14,597.31

DEALERTRACK HLDGS INC COM STK

   $ (197,678.77   $ 207,484.50

DIAMOND HILL INVT OH

   $ (12,344.52   $ 12,721.16

DICKS SPORTING GOODS INC OC-COM

   $ (35,905.55   $ 37,644.18

DIGITAL ALLY INC COM STK

   $ (6,550.25   $ 6,737.71

DOLAN MEDIA CO COM STK

   $ (4,964.95   $ 4,194.93

DORMAN PRODS INC COM

   $ (6,704.60   $ 6,939.32

DRUGSTORE COM INC COM ISIN #US2622411021

   $ (7,008.95   $ 6,577.27

EF JOHNSON TECHNOLOGIES INC

   $ (1,542.90   $ 1,382.01

EMC INS GROUP INC COM

   $ (6,584.95   $ 6,181.09

EPLUS INC COM

   $ (7,593.95   $ 7,636.05

ERAMET EUR3.05

   $ (47,317.61   $ 47,992.18

FIRST LONG IS CORP COM

   $ (7,842.60   $ 8,849.83

FIRST MARINER BANCORP COM

   $ (1,913.95   $ 2,340.98

FIRSTBANK CORP MICH COM

   $ (8,480.95   $ 8,618.61

FPB BANCORP INC COM

   $ (10,004.85   $ 7,286.44

FULL HOUSE RESORTS INC COM

   $ (20,450.90   $ 19,923.73

GEORESOURCES INC COM

   $ (6,426.55   $ 6,566.88

GERDAU AMERISTEEL CORP COM STK

   $ (19,257.90   $ 19,216.62

GIGA TRONICS INC COM

   $ (2,757.95   $ 2,514.98

GPE BRUXELLES LAM NPV

   $ (101,285.78   $ 108,183.83

GSC INVT CORP COM STK

   $ (15,478.85   $ 12,875.74

GUNMA BANK NPV

   $ (81,303.06   $ 82,958.17

HANG LUNG GROUP HKD1

   $ (25,715.51   $ 24,542.21

HEALTHWAYS INC COM STK

   $ (24,183.90   $ 22,249.22

HEARUSA INC

   $ (1,968.95   $ 1,950.99

HOKUHOKU FINANCIAL NPV

   $ (75,924.04   $ 92,731.24

HOLCIM CHF2(REGD)

   $ (22,141.80   $ 24,490.72

HOLMEN AB SER’B’NPV

   $ (32,663.30   $ 31,382.67

HOPEWELL HOLDINGS COMSTK

   $ (28,621.01   $ 28,052.83

 

Page 6


Table of Contents

Asset Description

   Acquisition Cost     Disposition Proceeds

HUGHES TELEMATICS INC COM

   $ (5,039.41   $ 4,654.53

IB3 NETWORKS INC COM

   $ (76,008.96   $ 60,769.41

INCITEC PIVOT NPV

   $ (34,446.94   $ 33,505.22

INFINITE GROUP INC COM NEW

   $ (12,617.90   $ 7,196.78

INTEGRAL SYS INC MD COM

   $ (27.09   $ 0.00

INTERNET MEDIA TECHNOLOGIES INC COM NEW STK

   $ (338.95   $ 161.02

IRIDEX CORP COM

   $ (723.95   $ 574.84

IRIDIUM WORLD COMMUNICATIONS CL A COM STK

   $ (57.90   $ 71.05

IRWIN FINL CORP COM

   $ (23,855.35   $ 21,175.15

JAPAN AIRLINES SYSTEM CORPORATION NPV

   $ (86,130.55   $ 70,669.45

LIBBEY INC COM

   $ (5,144.55   $ 5,281.91

LLOYDS BANKING GP ORD GBP0.25 (SUB SHS)

     —        $ 0.00

LOGITECH INTL CHF0.25(REGD)

   $ (56,425.30   $ 33,821.99

LOGMEIN INC COM

   $ (16,000.00   $ 19,989.49

LOTTOMATICA SPA EUR1

   $ (34,880.34   $ 34,325.07

MAJESCO ENTERTAINMENT CO COM NEW COM NEW

   $ (5,918.95   $ 6,975.79

MAP GROUP

   $ (76,348.32   $ 82,824.93

MAP PHARMACEUTICALS INC COM STK

   $ (10,081.73   $ 8,980.47

MAPFRE EUR0.10

   $ (33,093.86   $ 34,776.41

MB FINL INC NEW COM

   $ (171,975.99   $ 160,234.35

MDS INC COM

   $ (277,973.73   $ 371,165.47

MEDASSETS INC COM STK

   $ (11,798.00   $ 10,907.81

MEDIVATION INC COM STK

   $ (94,080.76   $ 102,878.79

MEN S WEARHOUSE INC COMMOM

   $ (86,726.62   $ 94,631.42

MERCER INTL INC COM SH BEN INT

   $ (14,391.19   $ 13,904.74

MONARCH CASINO & RESORT INC COM

   $ (10,403.95   $ 9,756.48

MORTONS RESTAURANT GROUP INC NEW COM

   $ (1,058.05   $ 910.25

NATL BK OF GREECE EUR5(REGD)

   $ (61,295.20   $ 49,543.85

NITORI CO LTD NPV

   $ (112,094.93   $ 129,994.34

NOBEL BIOCARE HOLD CHF.4

   $ (62,725.50   $ 68,096.28

NOK CORP NPV

   $ (47,623.13   $ 56,857.47

 

Page 7


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

NORDEA BANK AB NPV(SEK QUOTE(FPD 01/01/09)

   $ (38,089.52     —  

NYMAGIC INC COM

   $ (10,381.20   $ 9,603.23

OCULUS INNOVATIVE SCIENCES INC COM

   $ (117,206.75   $ 114,270.44

ORBCOMM INC COM STK

   $ (13,782.95   $ 11,064.76

PAC WEBWORKS INC COM

   $ (1,358.95   $ 1,391.01

PACKAGING CORP AMER COM ISIN US6951561090

   $ (111,063.11   $ 115,871.65

PANASONIC ELECTRIC WORKS CO LTD NPV

   $ (84,817.19   $ 85,254.89

PENWEST PHARMACEUTICALS CO COM

   $ (1,902.22   $ 2,155.79

PETROSUN INC COM STK

   $ (1,667.90   $ 1,291.04

PHYSICIANS FORMULA HLDGS INC COM

   $ (24,295.72   $ 23,307.98

PROMISE CO NPV

   $ (105,570.94   $ 96,020.17

PROVIDENT NY BANCORP COM

   $ (33,885.00   $ 27,766.82

RENESAS ELECTRONICS CORPORATION NPV

   $ (37,875.01   $ 72,256.88

RICOH CO LTD NPV

   $ (12,913.03   $ 11,328.55

RTI BIOLOGICS INC COM STK

   $ (7,351.95   $ 7,840.64

SACYR VALLEHERMOSO EUR1

   $ (50,166.14   $ 39,211.14

SAUER-DANFOSS INC COM

   $ (32,410.80   $ 30,817.28

SCHRODERS VTG SHS GBP1

   $ (51,891.95   $ 54,630.92

SECURITAS SER‘B’NPV

   $ (74,658.36   $ 68,842.04

SEMGROUP CORP CL A CL A

     —        $ 1,535.96

SHENANDOAH TELECOMMUNICATIONS CO CDT-COMCDT-COM

   $ (26,276.95   $ 27,113.27

SHIMAMURA CO NPV

   $ (46,654.48   $ 50,125.27

SINGAPORE AIRPORT TERMINAL SERVICES SGD0.10

     —        $ 21,257.93

STANDARD LIFE ORD GBP0.10

   $ (18,090.09   $ 20,520.59

SULZER AG-REG COMSTK

   $ (64,808.46   $ 52,890.27

SUMITOMO CHEMICAL CO. LTD NPV

   $ (66,951.97   $ 67,313.53

SUN BANCORP INC N J COM

   $ (8,862.00   $ 4,469.97

SUNESIS PHARMACEUTICALS INC COM

   $ (3,568.95   $ 4,290.93

SUSSER HLDGS CORP COM STK

   $ (5,245.00   $ 5,361.86

SUZUKI MOTOR CORP NPV

   $ (71,239.24   $ 72,952.21

TALECRIS BIOTHERAPEUTICS HLDGS CORP COM

   $ (8,488.55   $ 7,690.85

THOMSON-REUTERS CO COM NPV

     $ 108,384.33

 

Page 8


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

TIMBERLINE RES CORP COM

   $ (3,638.95   $ 4,347.93

TRANS LUX CORP COM

   $ (6,372.95   $ 6,318.93

TREDEGAR CORP INC

   $ (4,181.95   $ 4,056.14

TURK TELEKOMUNIKAS TRY1

   $ (66,968.50   $ 66,542.61

TYLER TECHNOLOGIES INC COM STK

   $ (12,122.95   $ 11,753.52

UCBH HLDGS INC COM

   $ (56,606.20   $ 55,474.02

UNITED CMNTY BK BLAIRSVILLE GA CDT-CAP STK CDT-CAP STK

   $ (130,750.09   $ 115,047.96

UNITED INTERNET AG NPV(REGD)

   $ (63,314.23   $ 60,534.48

UNIVEST CORP PA COM

   $ (11,691.00   $ 9,626.75

VALHI INC NEW COM

   $ (5,390.35   $ 5,509.75

VALUEVISION MEDIA

   $ (10,393.90   $ 15,039.70

VERISK ANALYTICS INC CL A CL A

   $ (46,794.05   $ 46,102.35

VESTAS WIND COM STK

   $ (137,183.77     —  

VICAL INC COM COM

   $ (11,618.95   $ 11,389.75

WATERFURNACE RENEWABLE ENERGY INC COM STK

   $ (2,532.03   $ 2,341.77

WESFARMERS LIMITED COMSTK

   $ (37,465.63     —  

WESTERN LITHIUM CA COM NPV

   $ (10,018.95   $ 9,046.85

WESTLAKE CHEM CORP COM STK

   $ (24,774.95   $ 25,057.48

XERIUM TECHNOLOGIES INC COM STK

   $ (10,190.90   $ 14,601.70

YAMAHA CORP NPV

   $ (141,046.61   $ 133,038.04

ZODIAC AEROSPACE NPV

   $ (66,709.80   $ 70,695.77

ZYMOGENETICS INC COM STK

   $ (22,858.95   $ 25,761.88

AMERICAN INTL GROUP INC JR SUB DEB FLT RT DUE 05-15-2058/05-15-2010 BEO

   $ (11,337.50   $ 12,575.00

GENWORTH FINL INC 5.75% DUE 06-15-2014

   $ (15,220.00   $ 17,880.00

HOUSEHOLD FIN CORP 7.35% DUE 11-27-2032

   $ (9,059.00   $ 9,565.00

JPMORGAN CHASE & CO C CRF JPM DUE 04-29-2049/04-30-2018 BEO

   $ (9,710.00   $ 10,115.00

PVTPL AMC ENTMT INC NEW SR NT 144A 8.75%DUE 06-01-2019/06-01-2014 BEO

   $ (4,879.10   $ 4,879.10

PVTPL CSC HLDGS INC SR NT 144A 8.5% DUE 04-15-2014 BEO

   $ (26,665.50   $ 28,387.50

ROYAL GOLD INC STEP UP DUE 03-01-2020 BEO 0 TO 3-1-05; 3.75 THEREAFTER

   $ (4,977.60   $ 2,701.52

 

Page 9


Table of Contents

Asset Description

   Acquisition Cost     Disposition
Proceeds

BOND TR PRODS LLC BASICS BOOK ENTRY MTN 4.15% DUE 06-15-2010/12-15-2009

   $ (8,431.04   $ 8,286.38

HARTFORD LIFE GLOBAL FDG TRS HARTFORD LITRANCHE # TR 00030 5
DUE 01-15-2015

   $ (6,460.00   $ 8,334.10

M & I MARSHALL & ILSLEY BK MILW WI TRANCHE # TR 00028 5.15 DUE 02-22-2012

   $ (4,797.50     —  

WACHOVIA CORP GLOBAL MEDIUM TERM SR NTS TRANCHE # SR 00025 5.7
DUE 08-01-2013

   $ (9,456.70   $ 9,810.80

BANK OF AMERICA TORONTO CANADA DTD 09-22-2000 6.69 E-DLR T/D 01-22-2001

   $ (112.70   $ 114.29

INERGY HLDGS L P

   $ (15,804.10   $ 16,980.21

PORSCHE AUTO HL SE NON VTG PRF NPV

   $ (121,922.57   $ 121,094.55

CYPRESS SHARPRIDGE INVTS INC REIT

   $ (183,951.11   $ 182,496.85

EQTY 1 INC COM

   $ (28,656.94   $ 30,897.34

GLADSTONE COML CORP COM STK

   $ (8,281.20   $ 8,062.79

LINK R/EST INVEST NPV

   $ (43,908.99   $ 44,668.55

MERCIALYS EUR1

     —        $ 4,660.55

SEGRO PLC GBP0.01

   $ (32,585.19   $ 8,189.17

TRANSCONTINENTAL RLTY INVS COM NEW COM NEW

   $ (990.95   $ 1,091.04

UIT GEN FIN CORP DEL UNIT 1 COM & CTF OFOWN EVID UNDIV INT $1000 UNIT VALUE REG

   $ (13,429.65   $ 7,697.76

 

Page 10


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

1 800 FLOWERS COM INC CL A COM STK

   13,356.98    3,975.00

1/10 BERKSHIRE HATHAWAY INC DEL CL A COMSTK

   2,709,368.82    0.00

1ST AMER BANK CORP 9% CUMLATIVE CONV PFDSTK $11 PAR

   0.00    4,464.60

1ST BK LEXINGTON TENN CTF DEP ACT/365 SEMI-ANNU 4 03-19-2010

   35,000.00    35,226.45

1ST CHGO BK & TR ILL CTF DEP DTD 01/15/2009 2.25 09-15-2010

   19,000.00    19,000.00

1ST CMNTY BANCSHARES INC NEV COM

   24,817.80    22,895.00

1ST CMNTY BK TAOS NM DTD 03-20-2009 1.35C/D 03-22-2010

   50,000.00    0.00

1ST HORIZON NATL CORP COM

   4,405.50    3,229.91

1ST HORIZON NATL CORP COM

   144,102.79    82,169.15

1ST INDL RLTY TR INC COM

   9,091.51    2,384.88

1ST MED GROUP INC COM

   676.26    2.68

1ST NIAGARA FINL GROUP INC NEW COM

   6,485.48    7,046.75

1ST POTOMAC RLTY TR COM

   1,842.64    1,543.70

1ST UN NATL BK N C CHARLOTTE MTN 7.8 DUE08-18-2010 BEO

   4,146.46    4,180.52

21ST CENTY HLDG CO COM

   5,988.95    4,020.00

3C7/REG S GMAC INC

   0.00    6.50

3COM CORP COMMON STOCK

   25,623.13    36,945.00

3DICON CORP COM

   9,785.16    73.20

3M CO COM

   193,830.38    281,078.00

3M CO COM

   247,764.10    285,790.19

3M CO COM

   334,990.62    413,027.50

3M CO COM

   580,171.88    735,763.00

3M CO COM

   716,708.77    1,049,909.00

3M CO COM

   880,638.71    1,595,531.00

3PAR INC COM

   4,620.95    4,740.00

5 STAR QUAL CARE INC COM

   3,422.04    3,473.47

5TH 3RD BANCORP COM

   67,129.12    73,742.05

5TH 3RD BANCORP COM

   219,568.90    238,875.00

5TH 3RD BANCORP COM

   549,278.10    210,707.25

6 FLAGS INC COM

   110,782.99    2,978.75

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

   9,235.00    2,975.00

727 COMMUNICATIONS INC COM PAR $0.001 COM PAR $0.001

   553.72    0.00

8X8 INC NEW COM

   24,678.62    30,000.00

A D A M INC COM

   11,851.85    5,775.00

A123 SYS INC COM

   15,296.98    19,186.20

A123 SYS INC COM

   175,530.38    258,733.20

A21 INC COM STK

   13,531.45    10.00

AAR CORP COM

   1,807.71    2,298.00

AARO BROADBAND WIRELESS COMMUNICATIONS INC COM

   989.95    0.00

ABATIX CORP FORMERLY ABATIX ENVIRONMENTAL CORP TO 05/20/1999 COM

   2,167.77    840.00

ABAXIS INC COM

   5,493.69    5,110.00

ABB LTD CHF1.54 (REGD)

   478,001.31    477,616.76

ABBOTT LAB COM

   382,982.13    420,057.91

ABBOTT LAB COM

   415,081.50    487,367.73

ABBOTT LAB COM

   442,756.83    507,506.00

ABBOTT LAB COM

   1,149,473.91    1,176,982.00

ABBOTT LAB COM

   1,328,398.42    2,272,979.00

ABBOTT LABS 5.15% DUE 11-30-2012/11-09-2007 BEO

   5,002.40    5,474.52

ABBOTT LABS NT 5.125% DUE 04-01-2019 REG

   26,207.75    26,201.35

ABBOTT LABS NT 5.125% DUE 04-01-2019 REG

   209,780.00    209,193.60

ABERCROMBIE & FITCH CO CL A

   2,511.53    4,043.30

ABERCROMBIE & FITCH CO CL A

   115,783.34    155,082.50

ABERCROMBIE & FITCH CO CL A

   164,011.88    83,640.00

ABIOMED INC COM

   7,377.02    4,365.00

ABIOMED INC COM

   529,203.07    457,976.00

ABITIBIBOWATER INC COM STK

   409.07    1.32

ABLAZE TECHNOLOGIES INC COM

   4,812.53    0.00

ABRAXAS PETE CORP COM

   10,157.75    9,600.00

ABRAXIS BIOSCIENCE INC NEW COM

   40.47    1,013.75

ABSOLUTE HEALTH & FITNESS INC COM STK

   272.49    0.01

ABSOLUTE SOFTWARE CORP COM STK

   2,199.20    1,051.64

AC ENERGY INC NEV COM STK

   11,365.43    0.00

ACADIA PHARMACEUTICALS INC COM

   8,400.63    3,564.00

A-CAP RESOURCES COM STK

   41,463.01    9,356.55

ACCENTURE PLC SHS CL A NEW

   101,926.09    116,040.93

ACCENTURE PLC SHS CL A NEW

   411,714.46    566,433.50

ACCESS NATL BK RESTON VA DTD 02-09-2009 1.55 C/D 02-09-2010

   40,000.00    40,000.00

ACCESS NATL CORP COM STK

   3,008.95    2,950.00


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ACCO BRANDS CORP COM

   467.80    167.44

ACCOR EUR3

   308,643.15    253,093.41

ACCURAY INC DEL COM

   42,637.64    19,074.00

ACE LTD COM STK

   19,684.81    20,109.60

ACE LTD COM STK

   270,532.62    265,255.20

ACETO CORP COM

   27,500.52    24,622.15

ACHILLION PHARMACEUTICALS INC COM

   3,428.77    3,110.00

ACHMEA HYPOTHEEKBANK NV MEDIUM TERM NTS TRANCHE # TR 1 3.2 DUE 11-03-2014 REG

   169,915.00    169,670.88

ACME PACKET INC COM STK

   10,742.73    9,845.00

ACORDA THERAPEUTICS INC COM

   2,188.95    2,520.00

ACORDA THERAPEUTICS INC COM

   174,826.65    199,490.20

ACORN ENERGY INC

   7,788.65    7,380.00

ACT CLEAN TECHNOLOGIES INC

   942.90    97.50

ACT/365 MONTHLY DTD 01-26-2009 2.25 07-26-2010

   19,000.00    19,000.00

ACTELION CHF0.50 (REGD)

   89,470.14    82,947.21

ACTELION CHF0.50 (REGD)

   186,744.06    190,516.88

ACTELION CHF0.50 (REGD)

   197,444.24    247,185.90

ACTIS GLOBAL VENTURES INC COM STK

   9,177.30    1.80

ACTIVE PWR INC COM

   394.59    318.00

ACTIVIDENTITY CORP COM STK

   6,567.36    2,937.50

ACTIVISION BLIZZARD INC COM STK

   286,254.43    280,183.09

ACTUANT CORP CL A NEW

   25,174.40    37,060.00

ACTUANT CORP CL A NEW

   33,764.35    20,621.28

ACTUATE CORP COM

   16,237.98    14,124.00

ACUITY BRANDS INC COM

   20,291.98    18,488.50

ACURA PHARMACEUTICALS INC COM NEW STK

   58,206.62    37,368.63

ACUSPHERE INC COM

   27,136.58    1,050.00

ACXIOM CORP COM

   42,849.28    79,701.38

ADA-ES INC COM STK

   3,069.05    1,220.00

ADAPTEC INC COM

   11,240.85    11,390.00

ADAPTEC INC COM

   34,772.68    32,160.00

ADAPTEC INC COM

   280,977.16    253,856.30

ADC TELECOMMUNICATIONS INC COM NEW

   13,726.09    11,687.22

ADDAX PETE CORP COM NPV

   4,057.60    0.00

ADDAX PETE CORP COM STK

   1,241,654.30    0.00

ADDVANTAGE MEDIA GROUP INC COM NEW

   7,856.95    7,097.40

ADECCO SA

   5,177.95    5,518.91

ADECCO SA CHF1(REGD)

   341,146.07    425,125.39

ADMINISTAFF INC COM

   341,050.60    224,105.00

ADOBE SYS INC COM

   52,487.05    61,349.04

ADOBE SYS INC COM

   289,561.89    529,632.00

ADOBE SYS INC COM

   1,580,034.45    2,312,836.74

ADOLOR CORP COM

   5,932.90    5,110.00

ADR 3SBIO INC SPONSORED ADR

   8,978.87    15,059.00

ADR ABB LTD SPONSORED ADR

   124,728.69    127,110.50

ADR ACERGY S A SPONSORED ADR

   977.74    1,170.75

ADR ACTIONS SEMICONDUCTOR CO LTD ADR ADR- COMMON STOCK

   52,890.61    54,225.00

ADR ADVANCED MICRO DEVICES INC CONV PFD

   0.00    20,363.10

ADR AEGON N V NY REGISTRY SHS SHS

   48,988.95    99,355.00

ADR AEGON N V NY REGISTRY SHS SHS

   130,923.62    64,632.03

ADR AGRIA CORP SPONSORED ADR

   2,698.95    3,130.00

ADR AIXTRON AKTIENGESELLSCHAFT SPONSOREDADR REPSTG ORD SHS

   55,301.04    55,324.50

ADR ALCATEL-LUCENT

   59,443.83    40,168.68

ADR ALCATEL-LUCENT

   522,542.49    378,148.00

ADR ALLIED IRISH BKS P L C SPONSORED ADRREPSTG ORD

   16,236.06    15,131.61

ADR ALUMINA LTD SPONSORED ADR

   16,929.06    7,860.00

ADR ALUMINUM CORP CHINA LTD SPONSORED ADR REPSTG H SHS

   23,833.91    29,293.75

ADR ANGLO AMERN PLC ADR NEW

   193,807.74    182,577.82

ADR ANGLO PLATINUM LTD ADR

   102,729.92    86,850.79

ADR ANGLOGOLD ASHANTI LTD

   146,044.54    146,697.18

ADR ARCELORMITTAL SA LUXEMBOURG N Y REGISTRY SHS

   70,905.53    100,421.25

ADR AREVA SA ADR

   11,417.90    10,014.60

ADR ARM HLDS PLC SPONSORED ISIN US0420681068

   7,592.65    8,303.20


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ADR ASIA PULP & PAPER LTD SPONSORED ADR

   416.17    0.00

ADR ASTRAZENECA PLC SPONSORED ADR UK

   53,755.78    57,313.74

ADR AU OPTRONICS CORP SPONSORED ADR

   92,784.20    89,637.24

ADR AXA SA SPONSORED ADR

   36,690.22    39,664.00

ADR BAE SYS PLC SPONSORED ADR

   3,354.95    2,322.15

ADR BAIDU INC SPONSORED ADR

   379,432.24    493,476.00

ADR BAIDU INC SPONSORED ADR

   382,531.88    414,108.61

ADR BAIDU INC SPONSORED ADR

   648,395.50    766,121.49

ADR BANCO BILBAO VIZCAYA ARGENTARIA S A SPONSORED ADR

   167,127.06    207,243.52

ADR BANCO BRADESCO S A SPONSORED ADR REPSTG PFD SHS NEW 2004

   8,858.61    10,935.00

ADR BANCO SANTANDER BRASIL S A ADS REPSTG 1 UNIT

   23,593.70    25,092.00

ADR BANCOLOMBIA S A SPONSORED ADR REPSTG4 PREF SHS

   8,249.19    11,377.50

ADR BARCLAYS PLC A.D.R.

   4,663.48    3,708.69

ADR BASF AKTIENGESELLSCHAFT - LEVEL I

   63,020.48    77,009.29

ADR BAYER A G SPONSORED ADR

   66,037.54    70,655.64

ADR BERKELEY TECH LTD SPONSORED ADR

   14,194.86    43.92

ADR BET PUB LTD CO SPONSORED A.D.R.

   3,812.70    0.00

ADR BHP BILLITON LTD SPONSORED ADR

   321,019.55    413,080.94

ADR BK AMER CORP DEP SHS REPSTG 1/1200THPFD SER 5 DEPOS SH REPSTG 1/1000 PFD SER

   4,639.95    9,042.50

ADR BNP PARIBAS SPONSORED ADR REPSTG

   18,022.17    18,045.99

ADR BP P L C SPONSORED ADR

   699,252.95    765,166.32

ADR BRIT AMERN TOB PLC SPONSORED COM STK

   24,778.67    24,764.78

ADR BT GROUP PLC ADR

   31,296.24    19,457.30

ADR BYD CO LTD ADR

   31,074.42    45,416.80

ADR CANON INC A.D.R. FOR COM YEN

   13,121.52    13,415.44

ADR CATHAY PAC AWYS LTD SPONSORED ADR

   533.95    466.85

ADR CEMEX SAB DE CV

   25,258.61    23,616.36

ADR CEMEX SAB DE CV

   275,544.26    140,669.82

ADR CEMEX SAB DE CV

   623,681.24    647,487.78

ADR CGG VERITAS ADS EACH 5 REPR 1 ORD EUR2

   18,912.19    8,500.00

ADR CGG VERITAS ADS EACH 5 REPR 1 ORD EUR2

   340,070.45    307,275.00

ADR CHEUNG KONG HLDG LTD A.D.R. FOR ORD HK $2

   24,890.65    26,193.58

ADR CHICAGO BRDG & IRON CO N V N Y REGISTRY SH NV

   71,359.33    92,061.66

ADR CHINA DIGITAL TV HLDG CO LTD SPONSORED ADR

   178,774.06    48,111.00

ADR CHINA EASTN AIRLS LTD SPONSORED ADR REPSTG CL H

   1,936.45    1,756.00

ADR CHINA FIN ONLINE CO LTD SPONSORED ADR

   3,346.93    2,555.00

ADR CHINA LIFE INS CO LTD SPONSORED ADR REPSTG H SHS

   39,355.36    43,276.50

ADR CHINA MED TECHNOLOGIES INC SPONSOREDADR

   52,483.09    31,219.10

ADR CHINA MOBILE LTD

   232,283.96    182,052.03

ADR CHINA PETE & CHEM CORP SPONSORED ADRREPSTG H SHS

   88,473.98    70,103.72

ADR CHINA REAL ESTATE INFORMATION CORP ADR ADR

   19,267.24    15,372.00

ADR CHINA SOUTHN AIRLS LTD 50 SHS CL H ISIN US1694091091

   18,286.06    11,565.00

ADR CHINA SUNERGY CO LTD SPONSORED ADR

   5,845.87    4,158.00

ADR CHINA TELECOM CORP LTD SPONSORED ADRREPSTG H SHS

   12,442.75    12,426.00

ADR CHINA UNICOM HONG KONG LTD SPONSOREDADR

   171,661.90    161,187.45

ADR CNOOC LTD SPONSORED ADR SPONSORED ADR

   99,852.31    106,638.70

ADR COCA-COLA HELLENIC BOTTLING CO S A SPONSORED ADR

   4,437.45    2,302.00

ADR COMPANHIA DE BEBIDAS DAS AMERS AMBEV SPONSORED ADR REPSTG PFD SHS

   46,433.91    48,927.56

ADR COMPANHIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP SPONSORED ADR

   7,908.97    7,824.00

ADR COMPANHIA ENERGETICA DE MINAS GERAISSPONSORED ADR PAR $.01 REP PFD

   0.00    94.33

ADR COMPANHIA ENERGETICA DE MINAS GERAISSPONSORED ADR PAR $0.01 REP NON VTG PFD

   9,697.01    12,642.00

ADR COMPANHIA SIDERURGICA NACIONAL REPSTG ORD SHS

   95,721.16    93,171.74

ADR COMPANIA DE MINAS BUENAVENTURA S A SPONSORED ADR REPSTG SER B SHS

   29,153.43    31,327.92

ADR CONCORD MED SVCS HLDGS LTD SPONSOREDADR

   8,438.95    8,640.00

ADR CPFL ENERGIA S A SPONSORED ADR

   20,100.68    21,931.90

ADR CREDIT SUISSE GROUP SPONSORED ADR ISIN US2254011081

   96,606.22    90,503.56

ADR CREDIT SUISSE GROUP SPONSORED ADR ISIN US2254011081

   112,981.52    103,236.00

ADR CTRIP COM INTL LTD AMERICAN DEP SHS AMERICAN DEP SHS

   140,112.44    147,887.88

ADR CTRIP COM INTL LTD AMERICAN DEP SHS AMERICAN DEP SHS

   321,597.79    416,788.00

ADR DEUTSCHE TELEKOM AG ISIN # US2515661054

   5,779.31    5,145.00

ADR DRDGOLD LTD SPONSORED ADR REPSTG 10 SHS

   1,399.10    1,197.00

ADR DUOYUAN GLOBAL WTR INC SPONSORED ADR

   113,666.81    110,918.00

ADR E ON AG SPONSORED ADR

   64,097.23    53,471.84

ADR ECOPETROL S A SPONSORED ADS

   26,078.95    24,260.00

ADR EDAP TMS S A SPONSORED

   18,612.85    14,850.00

ADR E-HOUSE CHINA HLDGS LTD ADR

   89,707.87    77,988.48

ADR ELAN CORP PLC ADR REPRESENTING SHS

   57,791.10    51,292.84

ADR EMBOTELLADORA ANDINA S A SPONSORED ADR REPSTG SER A

   7,130.45    7,627.59

ADR EMBRAER-EMPRESA BRASILEIRA DE AERONAUTICA S A SPONSR ADR REPSTG PFDSHS

   3,272.49    2,211.00

ADR EMPRESA NACIONAL DE ELECTRICIDAD CHILE SPONSORED ADR

   18,752.95    20,108.00


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ADR ENERSIS S A

   33,434.38    42,016.68

ADR ENI S P A SPONSORED ADR

   35,613.44    31,378.20

ADR ENSCO INTL PLC SPONSORED ADR

   29,094.28    31,974.17

ADR ENSCO INTL PLC SPONSORED ADR

   192,670.43    223,664.00

ADR ERICSSON L M TEL CO ADR CL B SEK 10 NEW ERICSSON L M TEL CO ADR

   4,763.83    5,146.40

ADR ERICSSON L M TEL CO ADR CL B SEK 10 NEW ERICSSON L M TEL CO ADR

   145,827.09    128,660.00

ADR EUROPEAN AERONAUTIC DEFENCE & SPACE CO EADS NV UNSPONSORED ADR ADR

   22,341.78    21,239.55

ADR FAST RETAILING CO LTD ADR

   3,842.55    6,005.02

ADR FIBRIA CELULOSE S A SPONSORED ADR REPSTG COM SHS

   43,056.66    62,558.76

ADR FOCUS MEDIA HLDG LTD SPONSORED ADR

   42,249.53    35,028.50

ADR FOMENTO ECONOMICO MEXICANA SAB DE CV

   5,185.35    9,576.00

ADR FORTESCUE METALS GROUP LTD ADR

   3,608.95    3,860.00

ADR FRANCE TELECOM

   18,104.30    18,930.00

ADR FUTUREMEDIA PLC SPONSORED ADR COM NEW DEC 2007 ADR

   999.60    0.14

ADR GAFISA S A SPONSORED ADR REPSTG 2 COM SHS

   57,557.42    59,671.84

ADR GAZPROM NEFT SPONSORED ADR

   5,577.95    5,050.00

ADR GENESIS LEASE LTD ADR ADR

   2,093.78    19,556.70

ADR GERDAU S A SPONSORED ADR

   18,317.13    27,248.00

ADR GLAXOSMITHKLINE PLC SPONSORED ADR

   94,079.82    85,598.50

ADR GLAXOSMITHKLINE PLC SPONSORED ADR

   166,559.33    169,198.70

ADR GLAXOSMITHKLINE PLC SPONSORED ADR

   773,798.80    676,000.00

ADR GOL LINHAS AEREAS INTELIGENTES SPONSORED ADR REPSTG PFD SHS

   94,194.54    90,565.00

ADR GOLD FIELDS LTD NEW SPONSORED ADR

   10,910.24    10,815.75

ADR GRUPO AEROPORTUAIRO DEL PACIFICO SABDE CV

   6,104.20    6,252.00

ADR GRUPO AEROPORTUARIO DEL CENTRO NORTES A B DE C V SPONSORED ADR

   3,854.95    3,984.00

ADR GRUPO CASA SABA S A DE C V SPONSOREDADR

   5,817.40    4,636.00

ADR GRUPO SIMEC SAB

   306.43    210.00

ADR GRUPO TELEVISA SA DE CV SPONSORED ADR REPSTG ORD PARTN SPONS ADR

   17,846.03    16,608.00

ADR GUSHAN ENVIRONMENTAL ENERGY LTD SPONSORED ADR

   17,110.49    5,874.00

ADR HDFC BK LTD ADR REPSTG 3 SHS

   77,597.17    87,153.60

ADR HITACHI LTD A.D.R. FOR 10 COM

   124,469.32    64,428.00

ADR HOME INNS & HOTELS MGMT INC SPONSORED ADR

   30,730.00    31,815.00

ADR HONDA MOTOR CO. LTD AMER DEPOSITARY SHARES REPRESENTING 10 SHARES OF COMMON

   51,384.07    63,054.00

ADR HSBC HLDGS PLC SPONSORED ADR NEW

   79,632.34    63,541.17

ADR HSBC HLDGS PLC SPONSORED ADR NEW

   266,811.25    224,991.69

ADR HUANENG PWR INTL INC SPONSORED ADR SER N SHS

   7,703.29    6,720.00

ADR HUTCHISON TELECOMMUNICATIONS HONG KONG HLDGS LTD ADR

   31,974.93    2,258,935.28

ADR HUTCHISON TELECOMMUNICATIONS INTL LTD SPONSORED ADR

   739.77    605.01

ADR IBERDROLA S A SPONSORED ADR REPSTG 1ORD SHS

   19,218.51    19,140.00

ADR ICICI BK LTD

   15,300.94    15,759.80

ADR ICICI BK LTD

   684,543.48    879,170.94

ADR IMPALA PLATINUM HLDGS LTD SPONSORED ADR REPSTG 1/4 SH

   19,752.73    20,123.25

ADR INFINEON TECHNOLOGIES AG SPONSORED ADR ADR STK ISIN# US45662N1037

   13,782.88    7,236.97

ADR INFOSYS TECHNOLOGIES LTD SPONSORED ADR REPSTG 1 EQUITY SH

   3,208.00    4,255.79

ADR INFOSYS TECHNOLOGIES LTD SPONSORED ADR REPSTG 1 EQUITY SH

   453,963.81    701,376.30

ADR ING GROEP N V SPONSORED ADR

   46,563.17    31,146.75

ADR INTERCONTINENTAL HOTELS GROUP PLC NEW SPONSORED ADR NEW JUNE 2007

   1,373.97    2,874.00

ADR INTESA SANPAOLO S P A SPONSORED ADR REPSTG ORD SHS ADR

   30,030.14    25,761.53

ADR IRELAND BK SPONSORED

   123,887.01    83,861.68

ADR JA SOLAR HLDGS CO LTD SPONSORED ADR

   60,250.39    77,252.10

ADR JIANGXI COPPER CO LTD SPONSORED ADR

   4,896.45    4,735.58

ADR JSC MMC NORILSK NICKEL SPONSORED ADR

   146,527.37    77,820.05

ADR JSC MMC NORILSK NICKEL SPONSORED ADR

   154,230.36    113,024.18

ADR KEPPEL LTD SPONSORED

   4,061.95    4,103.37

ADR KONGZHONG CORP SPONSORED ADR

   30,303.97    40,887.00

ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000

   17,353.09    21,344.00

ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000

   79,048.73    67,712.00

ADR KOREA ELEC PWR CORP SPONSORED ADR ISIN #US5006311063

   15,011.69    20,356.00

ADR KUBOTA CORP

   3,774.47    4,381.40

ADR LAN AIRL S A

   10,932.79    14,919.65

ADR LDK SOLAR CO LTD SPONSORED ADR

   42,846.04    19,859.33

ADR LENOVO GROUP LTD SPONSORED ADR

   12,388.30    16,295.89

ADR LIHIR GOLD LTD SPONSORED ADR

   81,804.99    75,274.17

ADR LONGTOP FINL TECHNOLOGIES LTD ADR

   232,095.85    304,008.24

ADR M 2003 PLC SPONSORED ADR

   4,800.70    6.00

ADR MECHEL OAO SPONSORED ADR

   58,952.97    59,320.64

ADR MECHEL OAO SPONSORED ADR

   115,581.15    122,085.34

ADR METAL STORM LTD SPONSORED ADR

   5,539.48    719.40

ADR MINDRAY MED INTL LTD SPONSORED ADR REPSTG CL A

   68,524.83    79,372.80


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ADR MINDRAY MED INTL LTD SPONSORED ADR REPSTG CL A

   256,814.02    229,299.20

ADR MITSUBISHI UFJ FINL GROUP INC SPONSORED ADR

   56,450.21    30,258.00

ADR MIZUHO FINL GROUP INC SPONSORED ADR

   1,275.95    356.00

ADR MOBILE TELESYSTEMS OJSC SPONSORED

   4,433.31    4,889.00

ADR NATIONAL GRID TRANSCO PLC SPONSORED ADR NEW

   12,743.96    12,561.78

ADR NATUZZI S P A ADR

   2,631.60    1,130.50

ADR NESTLE S A SPONSORED ADR REPSTG REG SH

   130,111.80    149,961.00

ADR NESTLE S A SPONSORED ADR REPSTG REG SH

   341,073.66    455,940.50

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

   19,913.94    19,618.50

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

   270,385.38    280,071.00

ADR NEW ORIENTAL ED & TECHNOLOGY GROUP INC SPONSORED ADR REPSTG COM

   11,572.12    12,929.31

ADR NEWCREST MNG LTD SPONSORED ADR

   160,969.54    240,048.79

ADR NINTENDO LTD

   26,051.74    18,111.16

ADR NOAH ED HLDGS LTD ADR

   600.24    489.00

ADR NOKIA CORP SPONSORED ADR

   95,117.93    71,381.75

ADR NOKIA CORP SPONSORED ADR

   124,413.80    122,075.00

ADR NOKIA CORP SPONSORED ADR

   251,352.86    299,405.00

ADR NOMURA HLDGS INC SPONSORED ADR

   42,337.95    30,843.20

ADR NOVARTIS AG

   95,748.68    101,838.53

ADR NOVARTIS AG

   743,927.08    762,020.00

ADR NOVO-NORDISK A S ADR

   21,062.59    21,070.50

ADR NTT DOCOMO INC SPONSORED ADR

   610.15    461.34

ADR OAO GAZPROM LEVEL 1 ADR

   51,037.41    41,430.21

ADR OIL CO LUKOIL SPONSORED ADR

   477,159.46    307,380.00

ADR OPEN JT STK CO-VIMPEL COMMUNICATIONSSPONSORED ADR

   53,936.28    55,770.00

ADR OPEN JT STK CO-VIMPEL COMMUNICATIONSSPONSORED ADR

   364,838.06    386,263.02

ADR PANASONIC CORP ADR ADR

   34,694.94    27,322.40

ADR PANASONIC CORP ADR ADR

   333,444.68    322,875.00

ADR PERFECT WORLD CO LTD SPONSORED ADR REPSTG CL B

   1,955.97    1,577.60

ADR PERUSAHAAN PERSEROAN PERSERO P T TELEKOMUNIKIASI INDONESIA SPONSORED ADR

   32,936.07    35,395.70

ADR PETROCHINA CO LTD SPONSORED ADR

   96,575.20    97,256.10

ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR

   515,877.73    630,377.28

ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR

   703,729.33    821,431.04

ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR NON VTG

   27,815.44    23,314.50

ADR POSCO SPONSORED ADR

   52,816.92    65,156.70

ADR PRANA BIOTECHNOLOGY LTD SPONSORED ADR

   2,964.79    1,320.00

ADR RANDGOLD RES LTD ADR

   55,825.83    53,973.48

ADR REDIFF COM INDIA LTD SPONSORED ADR ISIN# US7574791007

   4,133.74    1,260.02

ADR RENESOLA LTD SPONSORED ADS ADR

   2,596.40    2,665.60

ADR REPSOL YPF S A SPONSORED ADR

   10,048.88    11,383.82

ADR RIO TINTO PLC SPONSORED ADR

   131,029.51    154,650.02

ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104

   35,191.95    39,668.00

ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104

   85,984.91    94,386.41

ADR ROYAL BK SCOTLAND GROUP PLC SPONSORED ADR REPSTG 20 ORD SH

   24,230.43    16,902.00

ADR ROYAL BK SCOTLAND GROUP PLC ADR REPSTG PREF SHS SER Q

   1,444.90    2,196.30

ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS

   65,859.63    66,121.00

ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS

   107,616.83    132,242.00

ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG B SHS

   48,770.52    52,317.00

ADR SADIA S A SPONSORED ADR REPTG 30 PFDSHS

   7,250.00    4,130.12

ADR SANOFI-AVENTIS SPONSORED ADR

   38,947.57    40,526.64

ADR SANOFI-AVENTIS SPONSORED ADR

   529,375.19    490,875.00

ADR SAP AG SPONSORED ADR

   16,631.90    18,724.00

ADR SAP AG SPONSORED ADR

   730,400.39    669,383.00

ADR SASOL LTD SPONSORED ADR

   45,639.31    48,407.28

ADR SATYAM COMPUTER SVCS LTD AMERN DEPOSITORY RCPT ISIN US8040981016

   29,755.56    26,986.94

ADR SCMP GROUP LTD SPONSORED ADR

   2,109.95    1,070.40

ADR SEMICONDUCTOR MFG INTL CORP SPONSORED ADR

   3,148.95    3,240.00

ADR SHANDA INTERACTIVE ENTMT LTD SPONSORED ADR

   34,449.54    35,038.26

ADR SIEMENS AG COM DM50 (NEW)

   165,475.04    163,226.00

ADR SILEX SYS LTD SPONSORED ADR

   95,719.07    66,047.28

ADR SILICON MOTION TECHNOLOGY CORP SPONSORED ADR REPSTG SHS

   18,849.96    5,251.40

ADR SILICONWARE PRECISION INDS LTD SPONSORED

   1,352.11    1,402.00

ADR SINOPEC SHANGHAI PETROCHEMICAL CO LTD SPONSORED ADR REPSTG CL H SHS

   13,004.89    7,820.00

ADR SK TELECOM LTD SPONSORED ADR

   6,384.86    5,691.00

ADR SOCIEDAD QUIMICA Y MINERA DE CHILE SA SPONSORED ADR REPSTG SER B SHS

   112,372.17    127,550.15

ADR SOLARFUN PWR HLDGS CO LTD SPONSORED ADR

   80,923.88    134,288.00

ADR SONY CORP AMERN SH NEW

   100,875.91    73,921.00

ADR SONY CORP AMERN SH NEW

   526,710.92    426,300.00

ADR SPONSORED ADR

   59,334.42    63,105.85

ADR STARPHARMA HLDGS LTD SPONSORED ADR ADR

   10,677.75    15,625.75


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value  

ADR STERLITE INDS INDIA LTD ADS

   39,380.23      39,446.30   

ADR SUMITOMO MITSUI FINL GROUP INC ADR

   26,690.59      12,571.87   

ADR SUNTECH PWR HLDGS CO LTD ADR

   312,394.04      319,445.67   

ADR SYNGENTA AG SPONSORED ADR

   17,840.63      19,131.80   

ADR TAIWAN SEMICONDUCTOR MFG CO LTD SPONSORED ADR

   33,937.39      36,791.04   

ADR TAIWAN SEMICONDUCTOR MFG CO LTD SPONSORED ADR

   478,716.63      529,466.08   

ADR TAM S A SPONSORED ADR REPSTG PFD

   9,110.23      6,666.00   

ADR TATA COMMUNICATIONS LTD SPONSORED ADR ADR

   5,508.95      2,890.00   

ADR TATA MTRS LTD SPONSORED ADR

   15,398.38      35,406.00   

ADR TELECOM CORP NEW ZEALAND LTD SPONSORED ADR

   21,651.45      19,876.89   

ADR TELECOMUICACOES DE SAO PAULO S A TELESP SPONSORED ADR REPSTG PFD

   9,797.17      8,989.20   

ADR TELEFONICA S A SPONSORED

   58,830.39      59,716.80   

ADR TELEFONOS DE MEXICO S A SPONSORED ADR REPSTG SH ORD L

   1,983.95      1,309.82   

ADR TELSTRA CORP LTD SPONSORED ADR FINALINSTALMENT

   7,579.80      7,711.80   

ADR TENARIS S A SPONSORED ADR

   26,924.72      38,385.00   

ADR TERNIUM S A SPONSORED ADR

   1,394.73      1,771.00   

ADR TEVA PHARMACEUTICAL INDS

   248,157.17      282,529.22   

ADR TEVA PHARMACEUTICAL INDS

   384,874.16      488,766.00   

ADR TEVA PHARMACEUTICAL INDS

   476,568.65      550,788.72   

ADR TEVA PHARMACEUTICAL INDS

   1,000,615.37      1,286,522.00   

ADR TEVA PHARMACEUTICAL INDS

   1,427,724.87      1,769,445.28   

ADR THE9 LTD ADR ADR

   5,872.30      2,166.00   

ADR TOMKINS PLC SPONSORED ADR

   9,698.60      12,490.00   

ADR TORM A/S SPONSORED ADR

   3,009.25      985.00   

ADR TOTAL SA

   82,470.46      85,173.20   

ADR TOTAL SA

   291,812.06      318,855.16   

ADR TOYOTA MTR CORP ADR FOR 2 COM

   375,879.79      345,308.48   

ADR TRINITY BIOTECH PLC SPONSORED ADR NEW

   9,389.77      3,547.12   

ADR TURKCELL ILETISIM HIZMETLERI A S SPONSORED ADR NEW

   14,859.15      13,992.00   

ADR UBS PFD FDG TR IV TR PFD SECS FLTG RATE

   0.00      0.31   

ADR ULTRAPAR PARTICIPACOES S A SPONSORED# US90400P1012

   8,839.79      14,070.00   

ADR UNILEVER N V NEW YORK SHS NEW

   83,061.72      92,981.08   

ADR UNILEVER PLC SPONSORED ADR NEW

   26,131.11      28,656.82   

ADR UNITED MICROELECTRONICS CORP SPONSORED ADR NEW

   11,071.28      12,125.00   

ADR VALE S A ADR

   386,011.99      656,078.00   

ADR VALE S A ADR

   430,581.41      544,399.59   

ADR VANCEINFO TECHNOLOGIES INC ADR ADR

   78,298.98      79,952.02   

ADR VEOLIA ENVIRONNEMENT SPONSORED ADR

   90,518.85      69,639.84   

ADR VEOLIA ENVIRONNEMENT SPONSORED ADR

   242,713.69      269,616.00   

ADR VESTAS WIND SYS A/S UTD KINGDOM UNSPONSORED ADR REPSTG 3 ORD SHS

   20,689.72      21,024.21   

ADR VISIONCHINA MEDIA INC SPONSORED ADR

   3,449.05      3,276.00   

ADR VIVO PARTICIPACOES S A SPONSORED ADRREPSTG PFD NEW

   14,422.09      18,600.00   

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNEW ADR

   27,209.49      28,092.26   

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNEW ADR

   198,553.87      230,900.00   

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNEW ADR

   351,299.91      356,855.95   

ADR WESTPAC BKG LTD SPONSORED A.D.R.

   10,727.80      11,867.10   

ADR WIMM-BILL-DANN FOODS OJSC SPONSORED ADR

   52,810.67      50,519.60   

ADR WIPRO LTD SPONSORED ADR REPSTG 1 SH SPONSORED ADR REPSTG 1 SH\COM\

   23,629.52      37,302.25   

ADR WSP HLDGS LTD ADR

   33,153.78      20,354.95   

ADR WUXI PHARMATECH CAYMAN INC SPONSOREDADR REPSTG ORD SHS ADR

   12,225.30      15,960.00   

ADR XINYUAN REAL ESTATE CO LTD SPONSOREDADR

   1,396.35      1,341.00   

ADR YANZHOU COAL MNG CO LTD ISIN US9848461052

   69,052.43      88,411.50   

ADR YINGLI GREEN ENERGY HLDG CO LTD ADR ADR

   40,051.61      47,999.16   

ADR YINGLI GREEN ENERGY HLDG CO LTD ADR ADR

   174,153.58      292,801.20   

ADVANCE AMER CASH ADVANCE CTRS INC COM STK

   48,529.41      51,708.00   

ADVANCE AMER CASH ADVANCE CTRS INC COM STK

   115,754.38      49,484.00   

ADVANCE AMER CASH ADVANCE CTRS INC COM STK

   198,303.15      219,620.00   

ADVANCE AUTO PTS INC COM

   4,946.18      5,060.00   

ADVANCE AUTO PTS INC COM

   128,292.45      134,798.40   

ADVANCED ANALOGIC TECHNOLOGIES INC COM

   17,925.96      15,366.00   

ADVANCED ANALOGIC TECHNOLOGIES INC COM

   167,075.85      142,234.00   

ADVANCED BATTERY TECHNOLOGIES INC COM COM

   12,894.52      13,100.00   

ADVANCED CELL TECHNOLOGY INC COM

   11,396.42      8,206.40   

ADVANCED DEPOSITION TECHNOLOGIES INC COM

   1,506.39      0.00   

ADVANCED ENVIRONMENTAL RECYCLING TECHNOLOGIES INC CL A CL A

   19,689.50      16,140.80   

ADVANCED GROWING SYS INC NEV COM

   4,399.65      124.00   

ADVANCED ID CORP COM

   11,240.98      377.50   

ADVANCED MED INST INC COM

   2,008.95      1,000.00   

ADVANCED MICRO DEVICES COM STK CALL OPT EXP 4/17/10 PR $9 PER SH

   (89.54   (310.00

ADVANCED MICRO DEVICES INC COM

   185,290.08      408,254.00   


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ADVANCED MICRO DEVICES INC COM

   235,918.71    149,072.00

ADVANCED OPTICS ELECTRONICS INC COM

   9,411.96    200.00

ADVANCED POWERLINE TECHNOLOGIES INC COM

   3,635.90    0.70

ADVANCED VIRAL RESH CORP COM

   13,629.35    100.00

ADVANTA BK CORP DRAPER UT CTF DEP DTD 10/01/2008 ACT/365 5 10-01-2013

   10,000.00    10,000.00

ADVANTA BK CORP DRAPER UTAH CTF DEP DTD 10-22-2008 4.45 10-24-2011

   60,000.00    60,000.00

ADVANTA BK CORP DRAPER UTAH CTF DEP DTD 10-22-2008 4.95 10-22-2013

   50,000.00    50,000.00

ADVANTA CORP CL B

   8,712.06    104.30

ADVANTA CORP PFD STK

   0.00    1,810.00

ADVANTAGE OIL & GAS LTD

   2,446.01    34,686.40

ADVANTAGE OIL & GAS LTD COM DO NOT USESEE 2053303

   70,375.77    0.00

ADVENTRX PHARMACEUTICALS INC COM STK

   24,632.21    35,164.95

AECOM TECHNOLOGY CORP DELAWARE COM

   20,188.38    21,175.00

AECOM TECHNOLOGY CORP DELAWARE COM

   264,836.93    290,675.00

AEGEAN MARINE PETROLEUM NETWORK INC COM STK USD0.01

   3,318.69    5,770.80

AEGIS ASSMTS INC COM

   3,578.85    1.80

AEGON N V PERP CAP SECS 6.375% PFD STK

   11,824.95    12,533.99

AEHR TEST SYS COM

   116.85    132.00

AEOLUS PHARMACEUTICALS INC COM

   503.95    480.00

AEON CO LTD NPV

   185,161.77    198,098.71

AEON CREDIT SERV NPV

   338,665.71    187,364.73

AERCAP HOLDINGS N.V. EUR0.01

   12,266.90    13,590.00

AERO PERFORMANCE PRODS INC COM STK

   2,808.20    699.00

AEROFOAM METALS INC COM

   5,138.44    3.00

AEROPOSTALE COM

   88,299.47    119,175.00

AEROPOSTALE COM

   132,254.21    117,472.50

AEROVIRONMENT INC COM

   88,088.88    73,863.20

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

   5,300.00    5,075.00

AES CORP 8% DUE 06-01-2020

   80,000.00    81,400.00

AES CORP COM

   16,294.35    14,814.03

AES CORP COM

   356,126.76    243,573.00

AES CORP SR NT 7.75% DUE 10-15-2015 REG

   40,000.00    40,600.00

AES TR III TR PFD STK CONV SECS

   4,939.95    4,625.00

AETERNA ZENTARIS INC COM

   1,695.78    1,533.11

AETNA INC

   52,468.05    47,429.35

AETNA INC

   179,722.38    373,933.20

AETNA INC

   248,711.37    294,810.00

AETRIUM INC COM STK USD0.001

   4,149.95    2,590.00

AFFILIATED MANAGERS GROUP INC COM STK

   16,979.40    13,672.05

AFFILIATED MANAGERS GROUP INC COM STK

   293,791.66    307,116.00

AFFILIATED MANAGERS GROUP INC COM STK

   1,061,129.67    1,003,515.00

AFFYMETRIX INC OC-CAP STK

   1,929.94    1,401.60

AFFYMETRIX INC OC-CAP STK

   80,878.64    84,680.00

AFLAC INC COM

   176,449.08    217,198.46

AFLAC INC COM

   403,934.67    587,375.00

AFRICA OIL CORP COM STK

   1,455.54    2,289.20

AGCO CORP COM

   9,673.34    6,468.00

AGCO CORP COM

   109,742.94    132,594.00

AGCO CORP COM

   170,571.85    193,393.20

AGCO CORP COM

   259,609.46    355,740.00

AGCO CORP COM

   339,116.62    406,028.70

AGFEED INDS INC COM STK

   4,763.45    4,125.00

AGILE PROPERTY HLD HKD0.10

   107,565.41    127,574.49

AGILENT TECHNOLOGIES INC COM

   974.66    932.10

AGILENT TECHNOLOGIES INC COM

   250,837.86    292,648.33

AGL RES INC COM

   48,126.58    45,846.69

AGNICO EAGLE MINES LTD COM

   161,347.07    178,200.00

AGNICO EAGLE MINES LTD COM

   377,019.85    350,298.00

AGREE RLTY CORP COM

   2,375.95    2,329.00

AGRIUM INC COM

   94,760.56    97,477.50

AIR LIQUIDE(L’) EUR5.50

   729,688.65    809,065.36

AIR METHODS CORP COM NEW COM NEW

   3,431.33    3,362.00

AIR PROD & CHEM INC COM

   90,211.56    91,345.70

AIR PROD & CHEM INC COM

   148,406.08    212,782.50

AIR PROD & CHEM INC COM

   232,609.22    462,042.00

AIR PROD & CHEM INC COM

   296,617.97    453,936.00

AIR TRANS SVCS GROUP INC COM STK

   11,279.70    7,920.00

AIRCASTLE LIMITED COM STK

   41,252.37    46,295.00

AIRCASTLE LIMITED COM STK

   56,446.96    41,025.25

AIRGAS INC COM

   15,179.56    16,660.00


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

AIRGAS INC COM

   106,070.42    109,480.00

AIRGAS INC COM

   217,496.35    249,424.00

AIRGAS INC COM

   265,615.94    271,320.00

AIRNET COMMUNICATIONS CORP COM NEW STK

   3,389.37    0.40

AIRSCOOTER CORP COM

   12,637.09    3,355.00

AIRSPAN NETWORKS INC COM NEW COM

   25,623.18    731.46

AIRTECH INTL GROUP INC COM NEW

   6,883.43    0.00

AIRTRAN HLDGS INC COM

   119,690.39    135,198.00

AIRTRAN HLDGS INC COM

   273,464.95    273,481.02

AIRVANA INC COM STK

   13,759.82    17,480.00

AISIN SEIKI CO NPV

   118,901.92    217,219.64

AK STL HLDG CORP COM STK PAR $0.01

   91,554.72    92,927.86

AK STL HLDG CORP COM STK PAR $0.01

   185,882.63    66,185.00

AKAMAI TECHNOLOGIES INC COM STK

   82,430.25    107,061.50

AKAMAI TECHNOLOGIES INC COM STK

   212,110.48    119,051.00

AKEENA SOLAR INC COM STK

   21,666.70    14,113.75

AKORN INC COM

   5,290.08    7,160.00

AKZO NOBEL NV EUR2

   501,060.78    529,210.18

AKZO NOBEL NV EUR2

   668,504.03    660,903.02

ALASKA AIR GROUP INC COM

   6,655.82    13,824.00

ALASKA AIR GROUP INC COM

   113,750.77    229,132.80

ALASKA COMMUNICATIONS SYS GROUP INC COM ISIN US01167P1012

   77,938.37    66,913.72

ALBANY MOLECULAR RESH INC COM

   305,445.19    310,545.08

ALBERTA STAR DEV CORP COM

   197,618.36    36,559.80

ALBERTO-CULVER CO NEW COM STK

   217,079.41    239,592.20

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

   10,490.82    10,087.50

ALCOA INC 6% DUE 07-15-2013

   119,622.00    126,411.84

ALCOA INC COM STK

   430,780.92    546,215.29

ALCOA INC COM STK

   477,794.43    427,437.92

ALCOA INC NT 6.5 DUE 06-01-2011 BEO FOR STATE DEPOSIT ONLY

   9,110.00    10,562.07

ALCON INC COM CHF0.20

   24,478.31    34,020.45

ALDERSHOT RES LTD NEW COM STK

   252.75    57.20

ALEXANDER & BALDWIN INC COM

   16,193.26    11,980.50

ALEXANDER & BALDWIN INC COM

   386,961.33    451,836.00

ALEXANDRIA REAL ESTATE EQUITIES INC COM

   210,003.19    279,018.60

ALEXCO RESOURCE CORP COM STK

   29,079.90    50,760.00

ALEXION PHARMACEUTICALS INC COM

   3,378.59    3,661.50

ALEXION PHARMACEUTICALS INC COM

   206,542.81    304,148.60

ALFA LAVAL AB NPV

   89,013.31    91,456.25

ALGONQUIN PWR & UTILS CORP COM

   7,043.65    3,901.30

ALICO INC COM

   1,339.71    925.95

ALIGN TECHNOLOGY INC COM

   1,537.96    1,782.00

ALKERMES INC COM

   4,932.35    4,705.00

ALL FUELS & ENERGY CO COM STK

   2,154.95    1.74

ALLEGHENY ENERGY INC COM

   3,240.89    1,956.64

ALLEGHENY ENERGY INC COM

   159,346.13    110,356.00

ALLEGHENY ENERGY INC COM

   397,268.57    385,072.00

ALLEGHENY TECHNOLOGIES INC COM

   43,939.25    62,240.10

ALLEGHENY TECHNOLOGIES INC COM

   94,882.06    121,147.62

ALLEGHENY TECHNOLOGIES INC COM

   248,424.53    353,683.00

ALLEGHENY TECHNOLOGIES INC COM

   325,034.52    510,378.00

ALLEN VANGUARD CORP COM STK

   7,263.90    0.00

ALLERGAN INC COM

   4,800.00    5,460.32

ALLERGAN INC COM

   231,077.56    529,284.00

ALLIANCE 1 INTL INC COM

   4,051.03    4,880.00

ALLIANCE 1 INTL INC COM

   131,585.05    169,536.08

ALLIANCE DATA SYS CORP COM

   64,895.46    58,131.00

ALLIANCE HEALTHCARE SERVICES

   3,232.03    2,284.00

ALLIANCE HLDGS GP L P

   2,306.34    2,719.37

ALLIANCE RES PARTNERS L P UNIT LTD PARTNER INT COM STCK

   55,361.98    67,244.06

ALLIANCEBERNSTEIN HLDG L P UNIT LTD

   2,517.22    2,810.00

ALLIANT ENERGY CORP COM ISIN #US0188021085

   3,898.55    4,327.18

ALLIANT ENERGY CORP COM ISIN #US0188021085

   285,743.78    305,626.00

ALLIANT TECHSYSTEMS INC COM

   7,940.00    7,944.30

ALLIANT TECHSYSTEMS INC COM

   225,615.30    251,922.58

ALLIANZ FDS CCM MID-CAP FD CL D

   9,121.62    6,544.73

ALLIANZ FDS NACM PAC RIM FD CL D

   163,470.89    121,472.59

ALLIANZ SE (SE SOCIETAS EUROPEAE)

   1,196,008.07    896,200.05

ALLIED CAP CORP NEW COM

   90,372.38    32,255.90

ALLIED ENERGY INC FLA COM

   539.95    147.50


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ALLIED HEALTHCARE INTL INC COM

   7,515.31    7,275.00

ALLIED MOTION TECHNOLOGIES INC COM

   4,590.68    2,520.10

ALLIED NEV GOLD CORP COM STK

   13,538.81    29,873.48

ALLIED WASTE N AMER INC ALLIED WASTE NA 5.75 DUE 02-15-2011 BEO

   13,714.62    15,675.00

ALLIED WORLD ASSURANCE COM STK

   4,893.95    4,607.00

ALLIED WORLD ASSURANCE COM STK

   60,011.38    78,319.00

ALLIED WORLD ASSURANCE COM STK

   126,734.27    138,210.00

ALLIS-CHALMERS ENERGY INC FORMERLY ALLI COM PAR $0.01 NEW

   6,552.77    3,513.64

ALLIS-CHALMERS ENERGY INC FORMERLY ALLI SR NT 9 DUE 01-15-2014 BEO

   4,660.00    4,775.00

ALLOS THERAPEUTICS INC COM ISIN US019777101

   20,175.96    16,450.00

ALLOY INC COM NEW STK

   1,261.93    1,167.00

ALLSCRIPT-MISYS HEALTHCARE SOLUTIONS INC

   51,554.03    62,004.95

ALLSCRIPT-MISYS HEALTHCARE SOLUTIONS INC

   119,831.24    158,603.20

ALLSTATE CORP COM

   48,464.30    35,570.60

ALLSTATE CORP COM

   279,008.67    297,396.00

ALLSTATE CORP COM

   379,789.06    465,620.00

ALLSTATE CORP COM

   384,033.33    439,425.12

ALLSTATE CORP COM

   728,366.80    477,305.56

ALLSTATE LIFE GL FDG SECD MED TRM TRANCHE # TR 00039 5.375 DUE 4-30-2013

   59,940.00    64,048.44

ALMADEN MINERALS LTD COM STK

   7,063.55    6,519.45

ALMOST FAMILY INC COM

   7,634.40    11,068.40

ALNYLAM PHARMACEUTICALS INC COM

   405,530.24    327,732.00

ALON USA ENERGY INC COM STK

   14,768.45    13,680.00

ALON USA ENERGY INC COM STK

   16,842.31    9,576.00

ALPHA NAT RES INC COM STK

   68,244.10    84,851.28

ALPHA NAT RES INC COM STK

   234,427.98    414,018.72

ALPHA PRO TECH LTD COM

   8,507.99    6,102.00

ALPHATEC HLDGS INC COM STK

   2,614.95    2,670.00

ALPHATRADE COM NEW STK

   114.95    7.25

ALPINE AIR EXPRESS INC COM NEW STK

   14,006.30    4,294.20

ALPS ELECTRIC CO NPV

   193,746.54    134,984.38

ALSTOM EUR7.0

   937,231.66    756,408.26

ALTAIR NANOTECHNOLOGIES INC COM

   30,791.31    14,872.00

ALTERA CORP COM

   260,487.98    181,040.00

ALTERNATE ENERGY HLDGS INC COM STK

   9,457.16    6,435.00

ALTIUS MINERALS CORP COM STK

   19,580.49    22,873.68

ALTRIA GROUP INC COM

   43,487.06    55,474.38

ALTRIA GROUP INC COM

   592,726.06    1,107,132.00

ALTRIA GROUP INC COM

   1,081,504.81    1,175,852.21

ALTRIA GROUP INC NT 8.5% DUE 11-10-2013 BEO

   81,052.60    80,894.10

ALTRIA GROUP INC NT 9.7% DUE 11-10-2018 BEO

   24,961.00    24,796.14

ALVARION LTD COM

   11,281.84    6,694.60

AMAZON COM INC COM

   343,214.08    390,108.00

AMAZON COM INC COM

   485,918.11    1,224,132.00

AMAZON COM INC COM

   620,171.31    1,116,516.00

AMAZON COM INC COM

   642,957.72    678,384.36

AMAZON COM INC COM

   659,419.84    1,264,488.00

AMAZON GOLDSANDS LTD COM STK

   3,519.95    24.00

AMB PPTY CORP REIT

   1,039.44    1,360.03

AMBAC FINL GROUP 9.375% DUE 08-01-2011

   4,972.50    2,562.50

AMBAC FNCL GROUP COM STK

   2,747.98    3,119.74

AMBASSADORS GROUP INC COM

   4,738.46    3,997.60

AMCOR LIMITED NPV

   29,363.98    34,038.84

AMCORE FINL INC COM

   33,765.44    52,700.00

AMDOCS ORD GBP0.01

   23,470.01    21,397.50

AMEDISYS INC COM

   41,669.57    49,912.20

AMEDISYS INC COM

   163,866.12    213,664.00

AMEDISYS INC COM

   298,696.97    368,813.20

AMER ELEC PWR CO INC COM

   86,606.64    98,609.54

AMER ELEC PWR CO INC COM

   270,758.77    302,673.00

AMER ELEC PWR CO INC COM

   360,258.73    313,110.00

AMER ELEC PWR CO INC COM

   446,415.90    453,661.60

AMER FINL GROUP INC OH COM STK

   58,776.79    58,044.53

AMER FINL GROUP INC OH COM STK

   101,792.45    117,265.00

AMER FINL GROUP INC OH COM STK

   139,767.95    187,125.00

AMER FINL GROUP INC OH COM STK

   303,553.94    255,737.50

AMER GREETINGS CORP CL A COM

   342,711.60    531,676.00

AMER INTL GRP 4% MTN 20/09/2011 EUR50000

   191,360.06    269,251.80

AMER INTL GRP 5.375% MTN 18/10/2011 USD

   33,031.00    35,131.25


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value

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

   49,816.50      51,766.95

AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS

   114,774.52      111,061.00

AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS

   371,137.51      317,115.00

AMERADA HESS CORP 7.3% DUE 08-15-2031

   169,249.73      176,139.83

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

   57,790.80      59,967.70

AMEREN CORP COM

   22,452.66      18,425.06

AMEREN CORP COM

   251,696.51      178,880.00

AMERICAN APPAREL INC COM STK

   7,054.54      3,100.00

AMERICAN BIO MEDICA CORP COM

   15,880.90      2,180.00

AMERICAN CAP AGY CORP COM REIT FUND

   18,649.65      20,354.77

AMERICAN CAP AGY CORP COM REIT FUND

   195,260.26      222,936.00

AMERICAN CAP LTD COM STK

   182,470.83      146,731.90

AMERICAN COML LINES INC COM PAR $0.01 COM PAR $0.01

   3,418.49      916.50

AMERICAN DAIRY INC COM STK

   28,810.20      30,352.00

AMERICAN EAGLE OUTFITTERS INC NEW COM

   27,561.82      28,213.71

AMERICAN ENTERPRISE DEV CORP COM STK

   277.90      12.00

AMERICAN EQUITY INVT LIFE HLDG CO COM

   181,725.77      238,824.00

AMERICAN EXP TRAV FLTG RATE NTS 01/06/11USD1

   89,125.00      96,730.00

AMERICAN EXPRESS BK FSB DTD 11-25-2009 1DUE 02-25-2011

   59,000.00      0.00

AMERICAN EXPRESS CO

   145,466.21      200,074.59

AMERICAN EXPRESS CO

   686,196.72      798,244.00

AMERICAN EXPRESS CO

   786,251.61      1,312,848.00

AMERICAN EXPRESS CO NT 7% DUE 03-19-2018REG

   298,851.00      330,381.60

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

   72,672.60      62,650.00

AMERICAN GEN CORP 7.5% DUE 08-11-2010

   14,655.00      15,318.75

AMERICAN GEN FIN CORP MEDIUM TERM SR NTS-BOOK ENTRY MTN 4.875% DUE 07-15-2012

   4,274.45      4,100.00

AMERICAN GREEN GROUP INC COM NEW COM NEW

   864.95      0.00

AMERICAN HOME MTG INVT CORP COM STK

   882.55      21.49

AMERICAN INTERNATIONAL GROUP INC COM

   (98,319.83   296,382.28

AMERICAN INTERNATIONAL GROUP INC COM

   2,354,230.92      110,146.52

AMERICAN INTL PETE CORP COM PAR $0.08 NEW COM PAR $0.08 NEW

   3,347.50      0.00

AMERICAN LITHIUM MINERALS INC COM

   27,357.21      9,639.00

AMERICAN OIL & GAS INC NEV NEW COM

   13,678.87      21,966.00

AMERICAN PUB ED INC COM STK

   7,252.29      7,078.16

AMERICAN RAILCAR INDS INC COM STK

   791.10      1,102.00

AMERICAN RAILCAR INDS INC COM STK

   75,203.06      25,346.00

AMERICAN REPROGRAPHICS CO COM

   27,857.18      15,611.27

AMERICAN SEC RES CORP COM

   3,527.80      700.00

AMERICAN SIERRA GOLD CORP COM STK

   1,856.32      2,880.00

AMERICAN SUPERCONDUCTOR CORP SHS

   65,257.49      79,550.50

AMERICAN SUPERCONDUCTOR CORP SHS

   194,805.18      285,073.00

AMERICAN TECHNOLOGY CORP COM NEW COM NEW

   3,443.80      1,480.00

AMERICAN TOWER CORP CL A

   41,357.68      44,463.09

AMERICAN TOWER CORP CL A

   467,780.68      470,989.00

AMERICAN UNITY INVTS INC FLA COM STK

   2,159.75      4.00

AMERICAN WTR WKS CO INC NEW COM

   20,052.06      20,770.17

AMERICAN WTR WKS CO INC NEW COM

   231,445.09      252,784.80

AMERICAN WTR WKS CO INC NEW COM

   323,628.15      396,657.00

AMERICAS CAR-MART INC COM

   8,293.74      13,165.00

AMERICAS ENERGY CO COM

   5,337.90      9,180.00

AMERICAS WIND ENERGY CORP COM

   2,960.87      216.00

AMERIGO RES LTD

   7,753.40      13,354.00

AMERIGROUP CORP COM

   1,186.52      1,294.08

AMERIGROUP CORP COM

   282,665.89      253,424.00

AMERIGROUP CORP COM

   720,096.48      714,440.00

AMERIPRISE FINL INC COM

   138,060.25      269,410.80

AMERIPRISE FINL INC COM

   396,659.15      512,812.20

AMERIPRISE FINL INC SR NT 5.35% DUE 11-15-2010/11-23-2005 REG

   901.00      1,027.83

AMERISAFE INC COM

   21,276.74      25,158.00

AMERISOURCEBERGEN CORP COM

   17,462.65      19,590.93

AMERISOURCEBERGEN CORP COM

   107,821.21      112,101.00

AMERISOURCEBERGEN CORP COM

   127,664.13      203,346.00

AMERISTAR CASINOS INC COM STK USD0.01

   18,102.85      16,753.00

AMERITYRE CORP COM

   66,941.32      11,594.00

AMERN AXLE & MFG 7.875% DUE 03-01-2017

   4,233.00      4,225.00

AMERN AXLE & MFG HOLDINGS INC

   715.95      802.00

AMERN CARESOURCE HLDGS INC COM

   6,762.95      2,400.00

AMERN EXPRESS CENTURION BK NEWARK DEL BKNT VAR RT DUE 03-23-2010

   267,000.00      299,781.60

AMERN EXPRESS CO 8.125% DUE 05-20-2019

   5,042.50      5,941.45

AMERN EXPRESS CR 5.125% DUE 08-25-2014

   289,721.60      305,582.57


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value  

AMERN GEN CORP 6.625 DUE 02-15-2029 BEO

   21,355.00      23,925.00   

AMERN HOMEPATIENT INC COM

   938.95      390.00   

AMERN INTL GROUP 8.25% DUE 08-15-2018

   131,500.00      187,770.00   

AMERN INTL GROUP 8.25% DUE 08-15-2018

   240,000.00      225,324.00   

AMERN INTL GROUP INC MEDIUM TERM NTS TRANCHE # TR 00027 5.6 10-18-2016BEO

   31,058.75      32,800.00   

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

   14,489.10      16,350.00   

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

   19,889.80      16,410.58   

AMERN INTL GROUP MTN 23/03/2012

   266,756.31      344,609.12   

AMERN ITALIAN PASTA CO CL A

   9,309.17      10,437.00   

AMERN MUN TERM TR INC II REMARKETED PFD

   0.00      1,832.80   

AMERN ORIENTAL BIOENGINEERING INC COM STK

   10,030.02      10,629.90   

AMERN ORIENTAL BIOENGINEERING INC COM STK

   64,456.06      60,450.00   

AMERN SCI & ENGR INC COM

   30,749.13      38,040.43   

AMERN SOFTWARE INC CL A

   659.18      600.00   

AMERN STS WTR CO COM

   24,337.90      28,328.00   

AMERN WOODMARK CORP COM

   2,368.95      1,968.00   

AMGEN INC COM

   174,645.08      177,346.95   

AMGEN INC COM

   573,786.67      678,840.00   

AMGEN INC COM

   811,154.81      882,492.00   

AMGEN INC COM

   979,429.57      1,559,069.20   

AMISH NATURALS INC COM STK

   4,371.75      40.85   

AMKOR TECHNOLOGY INC COM

   275,320.54      191,172.00   

AMN HEALTHCARE SVCS INC COM

   41,297.28      21,744.00   

AMOROCORP INC COM STK

   1,030.00      0.00   

AMPHENOL CORP NEW CL A

   6,344.79      8,685.30   

AMPHENOL CORP NEW CL A

   184,401.80      217,046.00   

AMR CORP COM

   1,419,118.03      1,595,688.44   

AMR CORP DEL PFD

   1,755.14      2,032.66   

AMR+BJ

   (11,415.75   (12,500.00

AMR+HB

   (2,500.00   0.00   

AMSOUTH BANCORPORATION 6.75 DUE 11-01-2025 REG PUT

   7,561.90      7,125.01   

AMSURG CORP COM

   7,258.52      6,231.66   

AMYLIN PHARMACEUTICALS INC COM

   6,283.84      7,095.00   

ANADARKO FIN CO SR NT 7.5% DUE 05-01-2031/08-27-2001 BEO

   33,635.40      33,655.38   

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

   150,240.18      156,655.35   

ANADARKO PETE CORP SR NT 8.7% DUE 03-15-2019 REG

   59,811.00      74,634.96   

ANADARKO PETRO CORP COM

   219,871.96      241,937.42   

ANADARKO PETRO CORP COM

   356,850.03      368,278.00   

ANADARKO PETRO CORP COM

   410,639.87      837,426.72   

ANADARKO PETRO CORP COM

   465,273.39      443,182.00   

ANADIGICS INC COM

   6,019.82      5,654.80   

ANALOG DEVICES INC COM

   1,495.75      2,084.28   

ANALOG DEVICES INC COM

   250,786.96      249,482.00   

ANALOGIC CORP COM PAR $0.05

   376,362.29      394,342.40   

ANALYSTS INTL CORP COM

   6,839.98      2,010.00   

ANAVEX LIFE SCIENCES CORP COM STK

   51,973.81      21,500.00   

ANCESTRY COM INC COM

   12,338.81      12,609.00   

ANCHOR GRAIN 3RD PFD STK

   0.00      25,366.50   

ANDERSONS INC COM

   24,041.83      15,492.00   

ANDERSONS INC COM

   106,808.17      90,370.00   

ANDERSONS INC COM

   120,744.82      90,370.00   

ANDERSONS INC COM

   286,638.93      285,440.10   

ANDINA MINERALS INC COM STK

   15,983.43      43,829.99   

ANDREA ELECTRS CORP COM

   70.80      12.00   

ANHEUSER-BUSCH INBEV NV

   902,438.08      1,248,198.22   

ANIMAL HEALTH INTL INC COM

   3,687.34      1,200.00   

ANNALY CAP MGMT INC COM

   399,566.81      413,832.20   

ANNALY CAP MGMT INC COM

   536,103.64      562,170.99   

ANNTAYLOR STORES CORP COM

   8,812.56      8,184.00   

ANTARES PHARMA INC COM

   2,109.95      1,710.00   

ANTHRACITE CAP INC COM

   1,594.57      22.19   

ANTIGENICS INC DEL COM STOCK

   23,104.68      7,424.00   

ANTRIM ENERGY INC COM

   820.73      360.57   

ANWORTH MTG AST CORP COM

   15,687.97      14,000.00   

ANWORTH MTG AST CORP COM

   626,441.38      556,500.00   

AOL INC COM STK

   9,055.20      8,962.80   

AOL INC COM STK

   55,994.80      52,263.60   

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

   68,424.87      81,313.96   

AON CORP COM

   6,492.19      6,172.97   

AON CORP COM

   220,400.57      211,905.18   


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value  

AON CORP COM

   222,177.13      287,550.00   

APACHE CORP COM

   263,446.62      347,753.47   

APACHE CORP COM

   302,594.79      424,544.55   

APACHE CORP COM

   357,463.19      309,510.00   

APACHE CORP COM

   369,389.64      948,132.30   

APACHE CORP NT 6% DUE 09-15-2013 REG

   109,423.60      121,717.09   

APARTMENT INVT & MGMT CO CL A

   4,571.58      4,569.04   

APARTMENT INVT & MGMT CO CL A

   71,151.15      50,832.56   

APEX SILVER MINE LTD COM STK

   10,294.31      0.00   

APOGEE ENTERPRISES INC COM

   3,696.25      3,454.39   

APOGEE ENTERPRISES INC COM

   40,512.66      43,400.00   

APOGEE ENTERPRISES INC COM

   521,436.19      337,400.00   

APOGEE TECH INC COM STK

   14,354.85      6,300.00   

APOLLO GOLD CORP YUKON COM DO NOT USE SEE 2009928

   1,213.85      1,175.00   

APOLLO GROUP INC CL A

   49,558.97      47,858.20   

APOLLO GROUP INC CL A

   104,090.11      103,894.70   

APOLLO GROUP INC CL A

   185,214.99      212,030.00   

APOLLO GROUP INC CL A

   1,111,155.82      1,138,904.00   

APOLLO INVT CORP COM SH BEN INT

   91,550.13      88,629.00   

APOLLO INVT CORP COM SH BEN INT

   194,878.95      151,927.74   

APOLLO PICTURES INC SER B CONV PFD

   0.00      154.50   

A-POWER ENERGY GENERATION SYSTEMS LTD COM STK USD0.0001

   56,203.24      85,780.10   

APPIANT TECHNOLOGIES INC COM

   554.95      0.75   

APPLE INC

   654,293.55      991,042.00   

APPLE INC

   914,321.74      1,539,278.00   

APPLE INC

   1,104,663.03      5,187,156.00   

APPLE INC

   1,392,340.40      2,777,869.64   

APPLE INC

   1,578,272.98      2,235,116.00   

APPLE INC

   12,901,578.68      16,265,138.69   

APPLE INC COM STK CALL OPT EXP 2/20/10 PR $210 PER SH

   (3,910.42   (2,550.00

APPLE INC COM STK CALL OPT EXP 5/16/09 PR $130 PER SH

   (1,564.00   0.00   

APPLE INC COM STK CALL OPT EXP 7/17/10 PR $210 PER SH

   0.00      (35,325.00

APPLE INC COM STK PUT OPT EXP 4/17/10 PR $200 PER SH

   0.00      1,170.00   

APPLIED DNA SCIENCES INC COM

   3,458.40      2,108.00   

APPLIED ENERGETICS INC COM STK

   9,572.33      665.00   

APPLIED INDL TECHNOLOGIES INC COM

   284,999.64      232,838.50   

APPLIED MATERIALS INC COM

   246,091.59      235,147.70   

APPLIED MATERIALS INC COM

   440,933.26      506,022.00   

APPLIED MATERIALS INC COM

   695,857.81      702,576.00   

APPLIED MICRO CIRCUITS CORP COM NEW STK

   391.15      373.50   

APPLIED MICRO CIRCUITS CORP COM NEW STK

   87,240.82      90,387.00   

APPLIED NEUROSOLUTIONS INC COM NEW COM NEW

   10,569.95      1,110.00   

APPLIED SCIENCE PRODS INC COM

   403.70      24.00   

APPLIED SIGNAL TECH INC COM

   9,641.52      9,582.01   

APPLIED SIGNAL TECH INC COM

   63,138.86      63,657.00   

APPLIED SOLAR INC COM

   681.85      280.00   

APPLIEDTHEORY CORP COM

   11,260.37      10.00   

APTARGROUP INC COM

   4,322.59      3,573.96   

AQUA AMER INC COM

   28,326.04      26,672.27   

ARABIAN AMERN DEV CO COM

   27,899.12      13,144.84   

ARAFURA RESOURCES LTD COM STK

   63,909.40      56,417.86   

ARC ENERGY TR TR UNIT UNIT

   62,578.66      62,766.00   

ARCA BIOPHARMA INC COM

   (4,991.36   332.52   

ARCH CAP GROUP LTD 7.35 DUE 05-01-2034/04-30-2034 BEO

   19,066.00      19,354.34   

ARCH CAPITAL GROUP COM STK

   250,503.43      257,580.00   

ARCH COAL INC COM

   85,027.26      91,881.22   

ARCH COAL INC COM

   155,290.07      215,825.00   

ARCH COAL INC COM

   735,711.00      1,027,950.00   

ARCHER-DANIELS-MIDLAND CO COM

   162,042.69      176,658.35   

ARCHER-DANIELS-MIDLAND CO COM

   235,693.72      253,611.00   

ARCHER-DANIELS-MIDLAND CO COM

   302,387.86      546,140.33   

ARCSIGHT INC STK

   66,962.16      69,066.00   

ARCTIC GLACIER INCOME FD TR UNIT

   2,244.68      633.36   

ARENA PHARMACEUTICALS INC COM ISIN US0400471027

   2,068.65      1,597.50   

ARENA RES INC COM

   43,641.59      47,432.00   

ARENA RES INC COM

   358,240.68      394,979.20   

ARES CAP CORP COM

   9,868.40      9,361.22   

ARES CAP CORP COM

   330,118.38      410,850.00   

ARES CAP CORP COM

   445,800.37      592,408.35   

AREVA COM STK

   56,311.52      32,547.56   


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value

ARGAN INC COM

   17,079.64      17,124.10

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

   168,209.86      138,055.35

ARGO GROUP INTERNATIONAL HOLDINGS COM STK

   85,001.05      84,506.00

ARGO GROUP INTERNATIONAL HOLDINGS COM STK

   444,906.87      303,056.00

ARIAD PHARMACEUTICALS INC COM

   22,708.45      18,696.00

ARIBA INC COM NEW

   1,052.12      838.84

ARIBA INC COM NEW

   352,134.99      337,914.80

ARKANSAS BEST CORP DEL COM

   72,933.81      76,518.00

ARKANSAS BEST CORP DEL COM

   128,903.71      135,378.00

ARKANSAS BEST CORP DEL COM

   131,286.51      120,663.00

AROTECH CORP COM NEW STK

   11,709.37      1,494.92

ARQULE INC COM

   2,017.90      1,845.00

ARRAY BIOPHARMA INC COM

   2,845.30      702.50

ARRHYTHMIA RESH TECHNOLOGY INC COM PAR $0.01 NEW COM PAR $0.01 NEW

   21,646.52      5,181.00

ARRIS GROUP INC COM

   128,901.84      122,301.00

ARRIS GROUP INC COM

   252,727.00      245,745.00

ARROW ELECTR INC COM

   9,488.93      8,883.00

ARROW ELECTR INC COM

   288,380.85      310,905.00

ARROWHEAD RESH CORP COM

   5,217.90      4,240.00

ART TECH GROUP INC OC-COM ISIN US04289L107

   4,621.58      4,825.70

ART TECH GROUP INC OC-COM ISIN US04289L107

   215,049.90      277,225.19

ARTIO GLOBAL INVS INC COM CL A COM CL A

   291,582.80      285,488.00

ARUBA NETWORKS INC COM

   16,003.75      16,043.30

ARVINMERITOR INC COM STK ISIN# US0433531011

   99,508.90      123,539.00

ARVINMERITOR INC NT 8.75% DUE 03-01-2012/02-26-2002 BEO

   4,541.50      5,106.25

ASA LTD

   116,259.63      132,426.80

ASAHI BREWERIES NPV

   283,864.97      282,421.69

ASAHI KASEI CORP NPV

   74,956.96      74,955.25

ASBURY AUTOMOTIVE GROUP INC COM

   5,918.95      11,530.00

ASBURY AUTOMOTIVE GROUP INC COM

   299,959.55      322,724.70

ASBURY AUTOMOTIVE GROUP INC SR SUB NT 8%DUE 03-15-2014/03-15-2009 BEO

   3,102.50      2,947.50

ASCENDIA BRANDS INC COM STK

   4,119.90      5.20

ASCENT MEDIA CORP COM SER A STK

   14.29      25.53

ASCENT SOLAR TECHNOLOGIES INC COM

   40,352.63      34,132.00

ASCENT SOLAR TECHNOLOGIES INC WT CL B EXP

   195,485.48      25,068.54

ASHFORD HOSPITALITY TR INC COM SHS

   11,188.42      11,716.00

ASHLAND INC NEW COM

   27,437.46      35,380.66

ASHLAND INC NEW COM

   94,180.45      192,157.00

ASHLAND INC NEW COM

   172,959.56      202,062.00

ASHLAND INC NEW COM

   388,198.51      277,340.00

ASIA GLOBAL CROSSING

   715.19      0.50

ASIA GLOBAL HLDGS CORP COM STK

   1,129.95      10.00

ASIAINFO HLDGS INC COM

   193,384.69      236,718.30

ASM PAC TECHNOLOGY COMMON STOCK

   56,641.32      57,338.55

ASML HOLDING NEW

   180,233.45      198,124.58

ASML HOLDING NEW

   344,387.85      532,572.48

ASPEN INSURANCE HLDGS COM

   7,802.86      7,635.00

ASPEN INSURANCE HLDGS COM

   196,774.56      206,145.00

ASPEN INSURANCE HLDGS COM

   332,105.52      325,760.00

ASPEN INSURANCE HLDGS COM

   643,105.72      612,072.50

ASPEN TECHNOLOGY INC COM

   4,681.39      2,940.00

ASPENBIO INC COM

   9,306.82      6,090.00

ASSD ESTATES RLTY CORP COM

   3,722.17      3,552.94

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

   23,199.40      16,981.50

ASSOCD BRIT FOODS ORD GBP0.0568

   191,254.79      143,323.44

ASSOCTD BANC-CORP COM

   18,654.19      8,695.54

ASSURANT INC COM

   31,659.54      31,790.94

ASSURANT INC COM

   68,662.49      67,804.00

ASSURANT INC COM

   171,322.15      97,284.00

ASSURANT INC COM

   228,364.44      229,944.00

ASSURANT INC SR NT DTD 02/18/2004 6.75% DUE 02-15-2034 REG

   8,760.00      8,939.50

ASSURED GUARANTY LTD COMMON STK

   9,908.95      9,792.00

ASSURED PHARMACY INC COM

   45,128.35      501.00

ASTA FDG INC COM

   20,344.32      15,598.00

ASTEC INDS INC COM

   25,702.91      21,552.00

ASTEC INDS INC COM

   367,412.91      368,997.18

ASTELLAS PHARMA NPV

   655,809.19      573,629.56

ASTRAZENECA ORD USD0.25

   509,109.16      601,438.18

ASTRAZENECA ORD USD0.25

   1,254,236.88      1,315,223.14

ASTROTECH CORP COM STK

   (93.67   34.56


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost    Current Value

ASURE SOFTWARE INC COM

   4,724.10    1,890.00

ASYST TECHNOLOGIES INC COM

   15,957.95    18.96

AT & T LATIN AMER CORP COM

   11.28    0.17

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

   10,550.94    13,029.45

AT&T INC 5.8% DUE 02-15-2019

   104,872.26    106,596.10

AT&T INC COM

   893,761.58    896,632.33

AT&T INC COM

   1,013,781.63    1,076,352.00

AT&T INC COM

   1,104,766.90    954,477.56

AT&T INC COM

   3,734,908.12    4,502,262.69

AT&T INC GLOBAL NT 5.5% DUE 02-01-2018/02-01-2008 BEO

   169,626.00    177,380.72

AT&T INC SR NT

   32,178.23    34,697.00

ATHENAHEALTH INC COM MON STOCK

   6,792.79    9,048.00

ATHEROS COMMUNICATIONS INC COM

   27,230.83    37,492.80

ATHEROS COMMUNICATIONS INC COM

   305,056.42    420,809.60

ATHERSYS INC NEW COM

   15,008.09    11,621.82

ATLANTIC PWR CORP

   30,622.60    35,010.56

ATLANTIC WIND & SOLAR INC COM

   3,462.95    2,338.05

ATLAS AIR WORLDWIDE HLDGS INC COM NEW STK

   17,866.42    18,625.00

ATLAS COPCO AB SER ‘A’ NPV

   117,417.55    126,981.51

ATLAS ENERGY INC COM STK

   2,131.37    2,441.34

ATLAS PIPELN PARTNERS L P

   13,303.10    19,949.19

ATLC SOUTHN BK MACON GA DTD 07-18-2008 4.55 12-16-2011

   40,000.00    40,000.00

ATMEL CORP COM

   36,545.53    39,185.00

ATMOS ENERGY CORP COM

   19,560.97    19,902.42

ATMOS ENERGY CORP COM

   118,437.72    135,240.00

ATMOS ENERGY CORP COM

   208,482.44    223,440.00

ATMOS ENERGY CORP COM

   218,504.33    279,300.00

ATMOS ENERGY CORP COM

   657,382.31    724,710.00

ATNA RES LTD COM

   1,505.36    677.20

ATP OIL & GAS CORP COM

   40,323.44    40,216.00

ATRINSIC INC COM

   1,490.06    122.85

ATRION CORP COM

   10,655.48    31,144.00

ATS MED INC COM

   720.10    888.25

ATSI COMMUNICATIONS INC COM NEW

   11.55    14.40

ATWOOD OCEANICS INC COM

   75,695.35    80,124.75

AU OPTRONICS CORP TWD10

   153,306.45    267,205.18

AUDIOCODES LTD COM STK

   25,308.95    25,300.00

AUEX VENTURES INC COM AUEX VENTURES, INC. F

   18,719.16    50,307.16

AURIZON MINES LTD COM STK

   31,316.48    27,765.00

AURORA OIL & GAS CORP COM STK

   7,757.21    10.16

AUST & NZ BANK GRP NPV

   206,068.28    469,988.07

Australian dollar

   0.01    0.01

Australian dollar

   159.81    159.81

Australian dollar

   337.23    337.23

Australian dollar

   4,491.25    4,491.25


Table of Contents

SUPPLEMENTAL SCHEDULE

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

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2009

 

Identity of Issue/Description of Investment

   Historical Cost     Current Value  

Australian dollar

   8,993.50      8,993.50   

Australian dollar

   11,691.55      11,691.55   

Australian dollar

   12,613.38      12,613.38   

Australian dollar

   56,984.99      56,984.99   

AUSTRIA REP BD 144A 2% DUE 11-15-2012 BEO

   189,756.80      189,846.74   

AUTHENTEC INC COM

   2,308.95      2,210.00   

AUTODESK INC COM

   38,546.84      63,525.00   

AUTODESK INC COM

   64,772.17      70,157.01   

AUTODESK INC COM

   90,778.40      157,542.00   

AUTOIMMUNE INC COM

   3,050.69      491.00   

AUTOMATIC DATA PROCESSING INC COM

   126,978.82      135,654.10   

AUTOMATIC DATA PROCESSING INC COM

   358,307.16      586,634.00   

AUTOMATIC DATA PROCESSING INC COM

   407,489.91      466,738.00   

AUTOMATIC DATA PROCESSING INC COM

   1,348,926.80      1,306,010.00   

AUTONATION INC DEL COM

   37,994.81      49,062.30   

AUTONOMY CORP ORD GBP0.003333

   417,860.08      459,651.69   

AUTOZONE INC COM

   40,941.04      142,263.00   

AUTOZONE INC COM

   57,791.95      61,805.37   

AUXILIUM PHARMACEUTICALS INC COM

   2,765.97      2,998.00   

AUXILIUM PHARMACEUTICALS INC COM

   145,442.57      160,093.20   

AVAGO TECHNOLOGIES LTD

   34,382.95      36,580.00   

AVALON CAP HLDGS CORP COM NEW COM NEW

   16.52      0.00