Form 11-K
Table of Contents

 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 11-K
     
þ   ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2008
OR
     
o   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
 
 

 

 


 

UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN
TABLE OF CONTENTS
         
    Page  
 
       
    1  
 
       
FINANCIAL STATEMENTS:
       
 
       
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    3  
 
       
    4-14  
 
       
    15  
 
       
    16  
 
       
    19  
 
       
       
 
       
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, 2008 and 2007, and the related statement of changes in net assets available for benefits for the year ended December 31, 2008. 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, 2008 and 2007, and the changes in net assets available for benefits for the year ended December 31, 2008 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, 2008 and (2) assets (held at end of year) as of December 31, 2008, 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 2008 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 29, 2009

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2008 AND 2007
(In millions)
                 
    2008     2007  
 
               
ASSETS:
               
Participant-directed investments, at fair value (Notes 3 & 9)
    2,346       3,184  
Contributions receivable
    13       3  
Accrued income—net
    4       7  
Collateral received for securities loaned (Note 3)
    85       215  
 
           
 
               
Total assets
    2,448       3,409  
 
           
 
               
LIABILITIES:
               
Pending trade payables—net
    (31 )     (54 )
Obligation for collateral received for securities loaned (Note 3)
    (86 )     (216 )
 
           
 
               
Total liabilities
    (117 )     (270 )
 
           
 
               
NET ASSETS AVAILABLE FOR BENEFITS
  $ 2,331     $ 3,139  
 
           
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, 2008
(In millions)
         
ADDITIONS:
       
Contributions:
       
Employer contributions
  $ 135  
Participant contributions
    45  
Rollover contributions (Note 1)
    2  
 
     
 
       
Total contributions
    182  
 
       
Investment income:
       
Income from securities lending
    2  
Dividends and interest
    71  
 
     
 
       
Total additions
    255  
 
     
 
       
DEDUCTIONS:
       
Net depreciation in fair value of investments
    (912 )
Benefits paid to participants
    (138 )
Administrative expenses
    (13 )
 
     
 
       
Total deductions
    (1,063 )
 
     
 
       
DECREASE IN NET ASSETS
    (808 )
 
       
NET ASSETS AVAILABLE FOR BENEFITS:
       
 
       
Beginning of year
    3,139  
 
     
End of year
  $ 2,331  
 
     
See notes to financial statements.

 

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UNITED AIRLINES PILOT DIRECTED ACCOUNT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2008 AND 2007, AND FOR THE YEAR ENDED DECEMBER 31, 2008
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 $15,500 in 2008. 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 $46,000.

 

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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 2008, the maximum amount is $5,000.
 
   
Rollover Contributions— Participants may elect to roll over money into the Plan from certain other qualified employer plans or qualified IRA. The Plan will not accept a rollover of after-tax contributions. Rollover contributions for the year ended December 31, 2008, include $2,030,255, 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, 2008). 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. 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.

 

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New Accounting Pronouncements— In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards (“SFAS”) No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 applies to reporting periods beginning after November 15, 2007. The Plan adopted SFAS No. 157 on January 1, 2008. (See Note 9 “Fair Value Measurements”).
In March 2008, the FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities—an amendment of FASB Statement No. 133 (“SFAS 161”). This Statement changes the disclosure requirements for derivative instruments and hedging activities. Entities are required to provide enhanced disclosures about (a) how and why an entity uses derivative instruments, (b) how derivative instruments and related hedged items are accounted for under SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities (“SFAS 133”) and its related interpretations and (c) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. SFAS 161 is effective for periods beginning January 1, 2009, although early adoption is allowed. The Plan is currently evaluating the impact of adopting SFAS 161.
In October 2008, the FASB issued FASB Staff Position (“FSP”) No. 157-3, Determining the Fair Value of a Financial Asset When the Market for That Asset Is Not Active (“FSP 157-3”). FSP No. 157-3 clarifies the application of SFAS 157 in a market that is not active and provides examples to illustrate key considerations in determining fair value in such market. The adoption of FSP 157-3 did not have a material effect on the Plan’s financial statements.
In April 2009, the FASB issued FASB Staff Position (“FSP”) FAS 157-4, Determining Fair Value when the Volume and Level of Activity for the Asset or Liability have Significantly Decreased and Identifying Transactions that are not Orderly (“FSP 157-4”), which is effective for the Plan for the year ending December 31, 2009. FSP 157-4 affirms that the objective of fair value when the market for an asset is not active is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The FSP provides guidance for estimating fair value when the volume and level of market activity for an asset or liability have significantly decreased and determining whether a transaction was orderly. This FSP applies to all fair value measurements when appropriate. The Plan is currently evaluating the impact of adopting FSP 157-4.
Investment Valuation and Income Recognition—The Plan’s investments are reported at fair value (See Note 9 “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 payables are recorded net of related receivables and represent net amounts due to investment managers arising from security trading activities settled subsequent to year-end.
Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date.

 

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Net Appreciation (Depreciation) in Value of Investments—Net appreciation (depreciation) in value of investments includes realized and unrealized gains and losses. Realized and unrealized gains and losses are calculated as the difference between fair value at January 1, or date of purchase if subsequent to January 1, and fair value at date of sale or the current year-end. The unrealized gain or loss on investments in the International Equity Fund represents the difference between fair value at January 1, or date of purchase, and the fair value at the date of sale or the current year-end plus, where applicable, the change in the exchange rate between the U.S. dollar and the foreign currency in which the assets are denominated from January 1, or the date of purchase, to the date of sale or the current year-end.
Administrative and Investment Management Expenses—Management and audit fees, which are paid by the Plan, are paid to the trustee based upon investment fund balances. Brokerage and other investment fees are included as an addition to the net depreciation in fair value of investments. United performs certain administrative functions for the Plan without charge.
Payment of Benefits—Benefit payments to participants are recorded upon distribution. Amounts relating to participants who have elected to withdraw from the Plan but have not yet been paid were $293,262 and $1,429,065 at December 31, 2008 and 2007, 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, 2008 and 2007, are as follows (in millions):
                 
    2008     2007  
 
               
Frank Russell Short-Term Investment Fund
  $ 523     $ 476  
Schwab Money Market Fund *
  $ 233     $ 139  
     
*  
Represented less than 5% of the Plan’s net assets available for benefits as of December 31, 2007.
During the year ended December 31, 2008, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) depreciated in value as follows (in millions):
         
Cash and cash equivalents
  $ (1 )
Equity securities
    (904 )
Corporate and International Bonds
    (17 )
Government securities and other fixed income instruments
    31  
Net Gain on In-Kind Schwab IBA Benefit Distributions
    (21 )
 
     
 
       
Total
  $ (912 )
 
     
The Trustee is authorized to engage in the lending of certain Trust assets. Securities lending is an investment management strategy that utilizes the existing securities (government bonds, corporate bonds, or equities) of the Trust to earn additional income ($1,566,277 and $861,104 in 2008 and 2007, respectively). It involves the loaning of securities by the Lending Agent (The Northern Trust Company) to a select group of approved broker-dealers. In return for the loaned securities, the Lending Agent simultaneously receives collateral from a borrower (such as in the form of cash, U.S. government securities and irrevocable bank letters of credit) as a precaution against possible default of any borrower on the return of the loan. Each loan is collateralized to the extent of 102% for domestic securities and 105% for international securities of the fair value of the loan (including any accrued interest if appropriate to particular securities). The collateral is marked-to-market on a daily basis to maintain the margin requirement.

 

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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.
As of December 31, 2008, 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
 
  -   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
  -   Marsico Capital Management, LLC
 
  -   Cornerstone Capital Management, Inc.
 
  -   Suffolk Capital Management, LLC
 
  -   Sustainable Growth Advisers. LP
 
  -   Turner Investment Partners, Inc.
 
  -   Russell Trust Company
 
       
Small Cap Equity Fund
  -   ClariVest Asset Management, LLC
 
  -   Copper Rock Capital Partners, LLC
 
  -   Delaware Investment Advisers
 
  -   Jacobs Levy Equity Management, Inc.
 
  -   Martingale Asset Management, LP
 
  -   Opus Capital Management
 
  -   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.
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 2008 totaled $11,534,587.
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.  
RECONCILIATION TO FORM 5500
At December 31, 2008 and 2007, certain participants had requested distributions from the plan, but were not paid until the following January. No liability is recorded in the financial statements for such transactions. However, these amounts are included as a benefit payable in the Form 5500. The reconciliation between the financial statements and the Form 5500 is as follows (in millions):
                 
    2008     2007  
 
               
Net assets available for plan benefits per financial statements
  $ 2,331     $ 3,139  
Less amounts allocated to withdrawing participants
          (2 )
 
           
 
               
Net assets available for plan benefits per Form 5500
    2,331       3,137  
 
           
 
               
Benefits paid to participants per financial statements
  $ 138          
Add amounts allocated to withdrawing participants at December 31, 2008
             
Less amounts allocated to withdrawing participants at December 31, 2007
    (2 )        
 
             
 
               
Benefits paid to participants per Form 5500
  $ 136          
 
             
9.  
FAIR VALUE MEASUREMENTS
Effective January 1, 2008, the Plan adopted SFAS 157 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.

 

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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 table presents the Trust’s investment assets and liabilities at fair value categorized in the different levels, as of December 31, 2008. As required by SFAS No. 157, assets are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
                                 
(in thousands)   Investment Assets and Liabilities at Fair Value as of December 31, 2008  
    Level 1     Level 2     Level 3     Total  
 
                               
Assets:
                               
Cash and cash equivalents
  $ 29,116     $ 10,169     $     $ 39,285  
Mutual funds
    221,226                   221,226  
Common collective trusts
          998,779             998,779  
Equity securities
    824,625       5,940       48       830,613  
Asset backed securities
          14,777       810       15,587  
Corporate and international bonds
          51,111       390       51,501  
Government securities and other fixed income
          70,181       1,021       71,202  
Other
    100       9,887       601       10,588  
Participant loans
                23,130       23,130  
Securities on loan:
                               
Equity securities
    80,738       612             81,350  
Corporate and international bonds
          969             969  
Government securities and other fixed income
          1,849             1,849  
 
                       
 
                               
Total investment assets at fair value
  $ 1,155,805     $ 1,164,274     $ 26,000     $ 2,346,079  
 
                       
 
                               
Liabilities:
                               
Obligation to return collateral:
                               
Cash and cash equivalents
  $ 85,483     $     $     $ 85,483  
Equity securities
    17                   17  
 
                       
 
                               
Total investment liabilities at fair value
  $ 85,500     $     $     $ 85,500  
 
                       

 

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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, 2008.
                                                         
(in thousands)   Level 3 Investment Assets  
    Year Ended December 31, 2008  
                    Corporate     Government                      
            Asset     and     securities and                      
    Equity     Backed     International     other fixed             Participant        
    Securities     Securities     Bonds     income     Other     Loans     Total  
 
                                                       
Fair value balance, beginning of year
  $ 13     $ 822     $ 116     $ 950     $ 2     $ 21,689     $ 23,592  
 
                                                       
Realized and unrealized gains / (losses)
    (41 )     19       (430 )     (103 )     (7 )           (562 )
Purchases, issuances, and settlements
    76       (31 )     704       174       606       1,441       2,970  
 
                                         
 
                                                       
Fair value balance, end of year
  $ 48     $ 810     $ 390     $ 1,021     $ 601     $ 23,130     $ 26,000  
 
                                         
 
                                                       
The amount of total gains or losses for the period included in net depreciation 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.
  $ (18 )   $ 19     $ (434 )   $ (25 )   $ (6 )   $     $ (464 )
 
                                         
10.  
PLAN AMENDMENTS
During 2008, the Plan was amended to increase the Company contribution on behalf of each participant from 15% to 16% of the Participant’s earnings for hours worked on or after January 1, 2008.
******

 

- 14 -


Table of Contents

SUPPLEMENTAL SCHEDULES

 

- 15 -


Table of Contents

SUPPLEMENTAL SCHEDULE
FORM 5500, SCHEDULE H, PART IV, LINE 4i
SCHEDULE OF ASSETS (ACQUIRED AND DISPOSED OF WITHIN THE PLAN YEAR)
AS OF DECEMBER 31, 2008
                 
            Disposition  
Identity of Issue/Description of Investment   Acquisition Cost     Proceeds  
ABC LEARNING CENTR NPV
    (12,028.14 )     13,341.65  
ACCURIDE CORP COM STK
    (16,341.50 )     19,356.33  
ADR OAO GAZPROM LEVEL 1 ADR
    (396,582.28 )     376,804.73  
AEON CO LTD NPV
    (44,161.17 )     40,653.56  
AGFA GEVAERT NV NPV
    (77,608.93 )     55,053.37  
ALCATEL-LUCENT EUR2
    (246,327.08 )     276,069.51  
ALLIANCE&LEICESTER ORD GBP0.50
    (225,605.07 )      
ANGLO IRISH BK CP IE EUR0.16
          53,987.20  
ARCANDOR COMMON STOCK
    (24,366.40 )     15,491.06  
ASUSTEK COMPUTER TWD10
    (210,813.98 )     162,799.05  
BANCO BPI SA EUR1(REGD)
    (93,232.39 )     70,196.61  
BANCO SANTANDER EUR0.50(REGD)
          69,338.70  
BCO COM PORTUG. EUR1(REGD)
    (86,416.87 )     76,805.06  
BCO ESPIRITO SANTO EUR5(REGD)
    (21,583.66 )     20,106.33  
BM&F BOVESPA SA BO COM NPV
          164,850.84  
BOLIDEN AB NPV
    (119,822.86 )     110,666.68  
BOVIS HOMES GROUP ORD GBP0.50
    (110,147.77 )     124,541.19  
BRIT AMER TOBACCO ORD GBP0.25
    (145,958.91 )     98,285.99  
CENTRICA PLC RIGHT
          24,678.15  
CENTRO PROPS GPLTD NPV (STAPLED)
    (30,489.75 )     7,479.27  
CEZ CZK100
    (394,909.09 )     299,724.88  
CHINA UNICOM (HK)L HKD0.10
          91,457.20  
CHIYODA CORP NPV
    (111,648.85 )     131,818.75  
CHUGAI PHARMACY CO. LTD NPV
    (129,706.65 )     145,347.11  
CITIGROUP INC GLOBAL SR NT 5.5% DUE 04-11-2013 BEO
    (258,679.20 )     251,902.60  
COMMERZBANK AG ORD NPV
    (685,272.23 )     532,641.81  
COMVERSE TECHNOLOGY INC COM PAR $0.10 COM PAR $0.10
    (83,044.45 )     57,623.51  
COSMO OIL COMPANY NPV
    (42,357.85 )     22,750.23  
CSL LIMITED PLACEMENTS SHARES
    (151,050.21 )      
CSR PLC ORD GBP0.001
    (41,398.63 )     41,258.34  
DAI NIPPON PRINTNG NPV
    (81,631.92 )     67,588.43  
DOWA HOLDINGS CO LTD
    (18,572.76 )     22,584.38  
DSG INTERNATIONAL ORD GBP0.025
    (170,819.96 )     129,725.80  
E.ON AG NPV
    (322,483.38 )     3,930,595.54  
ELAN CORP ORD EUR0.05
    (43,685.81 )     33,192.86  
ELETROPAULO PREF B
    (42,919.15 )     28,909.20  
FABEGE AB NPV
    (120,871.60 )     40,959.82  
FABEGE AB NPV
          17,935.61  
FORTIS NPV
    (689,456.43 )     367,380.61  
FUJIKURA NPV
    (118,375.23 )     133,619.76  
GN STORE NORD DKK4
    (13,708.90 )     13,093.07  
GPE BRUXELLES LAM NPV
    (72,597.77 )     85,508.99  
HBOS PLC ORD GBP0.25 (NPD 18/07/08)
          404.00  
HIKARI TSUSHIN INC NPV
    (100,503.80 )     91,295.93  
HITACHI CONST MACH NPV
    (265,591.19 )     268,696.70  

 

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Table of Contents

                 
            Disposition  
Identity of Issue/Description of Investment   Acquisition Cost     Proceeds  
HITACHI HIGH-TECH NPV
    (37,950.96 )     47,542.10  
HOKURIKU ELEC PWR Y500
    (65,055.99 )     68,961.26  
HONG KONG EXCHANGES & CLEAR
    (20,074.55 )     182,173.78  
IFI(ISTIT FIN IND) PRIV EUR1
    (99,180.17 )     34,604.79  
IFIL SPA EUR1
    (66,845.24 )     64,686.59  
IMERYS EUR2
    (11,204.22 )     9,301.12  
INCITEC PIVOT NPV
    (143,868.26 )     35,931.15  
INVESTEC ORD GBP0.0002
    (40,987.42 )     45,017.99  
IRISH LIFE & EUR0.32
    (86,671.94 )     49,534.43  
ITV ORD GBP0.10
    (262,235.70 )     124,095.35  
JPMORGAN CHASE & CO FORMERLY JP MORGAN 6 DUE 01-15-2018 BEO
    (64,635.90 )     64,539.40  
JS GROUP CORP COM NPV
    (122,883.12 )     88,063.62  
KAJIMA CORP NPV
    (94,101.29 )     91,019.42  
KAWASAKI KISEN KAISHA LTD NPV
    (9,260.69 )     10,300.26  
KEMET CORP COM
    (28,698.40 )     8,900.63  
KGHM POLSKA MIEDZ PLN10 BR
    (259,610.47 )     65,411.06  
KINGFISHER ORD GBP0.157142857
    (186,360.96 )     161,017.40  
KOBE STEEL NPV
    (118,945.96 )     106,437.26  
KUEHNE&NAGEL INTL CHF1(REGD)
    (56,492.77 )     43,085.55  
LAFARGE EUR4
    (688,123.17 )     549,947.43  
LAND SECURITIES GP ORD GBP0.10
    (65,813.75 )     32,594.61  
LEOPALACE 21 CORP NPV
    (11,801.57 )     7,116.39  
LUNDIN PETROLEUM A NPV
    (129,004.06 )     42,690.92  
MEDICEO PALTAC NPV
    (84,716.50 )     54,388.04  
MITSUBISHI RAYON NPV
    (71,725.17 )     55,692.29  
MITSUI MINING & SM NPV
    (29,425.82 )     30,227.01  
NATIXIS EUR1.6(POST SUBDV)
    (12,618.46 )     7,002.60  
NATL BK OF CANADA COM NPV
    (367,056.12 )     302,180.98  
NESTLE SA CHF1(REGD)
    (218,085.26 )     1,919,743.97  
NEWCREST MINING NPV
    (83,607.73 )     76,777.19  
NIPPON EXPRESS CO NPV
    (149,032.80 )     127,361.15  
NIPPON OIL CORP Y50
    (57,481.60 )     59,628.72  
NIPPON STEEL CORP NPV
    (97,548.52 )     99,565.79  
NISHIMATSU CONSTCN NPV
    (52,796.95 )     59,881.20  
NISSIN FOODS HOLDINGS CO LTD NPV
    (66,038.36 )     79,002.27  
NORDEX AG NPV
    (23,025.54 )     21,725.16  
NOVA CHEMICALS COM NPV
    (174,837.07 )     42,603.02  
NTT DOCOMO NPV
    (73,539.56 )     83,450.84  
OGX PETROLEO E GAS COMSTK
    (164,697.23 )     114,172.03  
ONO PHARMACEUTICAL NPV
    (44,880.25 )     38,768.82  
ORIFLAME COSMETICS SDR EACH REP 1 EUR1.25
    (31,181.41 )     35,107.64  
OUTOKUMPU OYJ SER’A’NPV
    (79,025.66 )     63,002.61  
OXIANA LTD NPV
          442,435.05  
OZ MINERALS LTD COMSTK
          71,844.51  
PAPERLINX NPV
    (35,021.23 )     37,605.21  
PILGRIMS PRIDE CORP COM
    (106,092.15 )     102,444.48  
PIRELLI & C EUR0.29
    (57,163.92 )     57,214.26  
PROMISE CO NPV
    (13,228.44 )     13,055.90  
PROSIEBENSAT1 MEDI NPV PRF
    (33,473.56 )     17,950.21  
PVTPL ALLISON TRANSM INC SR NT 144A 11 DUE 11-01-2015 BEO
    (417,500.00 )     443,125.00  

 

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Table of Contents

                 
            Disposition  
Identity of Issue/Description of Investment   Acquisition Cost     Proceeds  
PVTPL ECHOSTAR DBS CORP SR NT 144A 7.75%DUE 05-31-2015 BEO
    (9,975.00 )      
REINET INVESTMENTS ORD NPV
          128,531.19  
REXAM ORD GBX64.285714
    (47,389.21 )     55,634.22  
RICHEMONT(CIE FIN) A CHF1(BR)EQUITY UNIT
    (546,372.90 )     55,731.47  
ROHM CO LTD NPV
    (50,399.75 )     45,244.18  
ROYAL BK SCOT GRP NEW GBP0.25 (NPD-06/06/08)
          139,151.66  
SAIPEM EUR1
    (533,037.18 )     283,448.32  
SAMPO OYJ SER’A’NPV
    (80,363.44 )     87,846.83  
SASOL NPV
    (96,327.52 )     82,659.07  
SEINO HOLDINGS NPV
    (153,671.55 )     135,508.34  
SEMGROUP ENERGY PARTNERS LP COM UNIT REPSTG LTD COM UNIT
    (207,714.25 )     218,834.02  
SHINSEI BANK NPV
    (68,247.58 )     72,671.99  
SHISEIDO CO LTD NPV
    (88,625.93 )     78,984.96  
SIMS METAL MANAGEMENT LTD
    (93,243.96 )     76,765.45  
SINGAPORE EXCHANGE NPV
    (21,223.87 )     19,656.49  
SINGAPORE PETROLEUM CO. LTD SGD0.50
    (89,222.01 )     83,155.33  
SKAND ENSKILDA BKN SER’A’NPV
    (44,671.33 )     39,153.51  
SMURFIT KAPPA GROUP PLC ORD EUR0.001
    (34,496.36 )     21,939.81  
SNAM RETE GAS EUR1
    (78,555.12 )     79,769.30  
SOC GENERALE EUR1.25 (RFD 03/06/2008)
    (101,766.68 )      
SPECTRUM BRANDS INC COM
    (11,330.10 )     8,909.66  
STMICROELECTRONICS EUR1.04
    (45,524.19 )     56,312.04  
SUEZ ENVIRONNEMENT EUR4(B/R22/06/10)VAL RADIEE
          76,812.46  
SUMITOMO OSAKA CEM NPV
    (66,446.33 )     51,209.35  
SVENSKA CELLULOSA SER’B’NPV
    (418,811.12 )      
SVENSKA HANDELSBKN SER’A’SEK4.30
    (47,407.73 )     38,282.80  
SWEDBANK AB PRF SHS (S/R 16/12/08)
          187.81  
SWEDISH MATCH NPV
    (80,703.42 )     75,118.09  
SWISS LIFE HOLDINGS AG
    (68,507.69 )     65,315.20  
TAIHEIYO CEMENT NPV
    (116,850.12 )     98,925.78  
TAISEI CORP NPV
    (122,947.81 )     114,219.71  
TERUMO CORP NPV
    (39,001.11 )     37,999.07  
TGS NOPEC GEOPH.CO NOK0.25
    (14,440.62 )     16,300.61  
THOMSON SA EUR3.75
    (18,997.73 )     14,613.10  
TOPPAN PRINTING CO NPV
    (20,752.50 )     20,385.85  
TRINITY MIRROR ORD GBP0.10
    (25,000.22 )     19,871.49  
UMICORE COMMON STOCK NPV
    (36,961.65 )     38,202.57  
UNI-CHARM CORP NPV
    (78,096.91 )     78,689.36  
VEDANTA RESOURCES ORD USD0.10
    (193,944.54 )     211,691.57  
WA MUT INC UNIT TR PFD INC EQTY REDEMABLE SECS PIERS CAP TR & 1WT EXP
    (52,612.50 )     4,371.49  
WACKER CHEMIE AG NPV(BR)
    (11,119.75 )     10,271.42  
WHITBREAD ORD GBP0.76797385
    (104,308.15 )     73,545.56  
WOLSELEY ORD GBP0.25
    (797,404.54 )     465,763.98  
WOODSIDE PETROLEUM NPV
    (53,116.75 )     40,844.24  
YAMAHA MOTOR CO NPV
    (62,223.91 )     37,878.93  
YANZHOU COAL MININ ‘H’CNY1
    (47,221.83 )     23,068.51  
YARA INTERNATIONAL NOK1.7
    (125,578.30 )     117,927.27  
YELL GROUP ORD GBP0.01
    (17,531.21 )     20,886.78  
 
           
 
    (16,056,522.06 )     18,497,739.71  
 
           

 

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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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
1ST BK IDA KETCHUM DTD 03-05-2008 4.5 03-05-2015
    10,000.00       10,000.00  
1ST BK LEXINGTON TENN CTF DEP ACT/365 SEMI-ANNU 4 03-19-2010
    35,000.00       35,515.90  
1ST REGL BK L A CAL DTD 07-30-2008 3.85 10-30-2009
    10,000.00       10,000.00  
ACCESS NATL BK RESTON VA DTD 08-07-2008 3.1 C/D 02-09-2009
    50,000.00       50,000.00  
ACT/365 AT MAT 2.9 03-19-2009
    60,000.00       60,000.00  
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  
AMCORE BK N A ROCKFORD ILL CTF DEP DTD 07-07-2006 5.55 07-07-2009
    30,000.00       30,000.00  
AMERICAN CMNTY BK WOODSTOCK ILL CTF DEP DTD 08-06-2008 3.8
11-06-2009
    10,000.00       10,000.00  
AMERICAUNITED BK TR CO USA SCHAUMBURG ILL DTD 08-29-2008 2.7 C/D 02-27-2009
    90,000.00       90,000.00  
ANCHOR BK MADISON WIS DTD 08-06-2008 3.65 C/D 08-06-2009
    95,000.00       95,000.00  
APPLE BANCORP INC CTF DEP DTD 10-08-20082.4 C/D 01-08-2009
    95,000.00       95,000.00  
ATLC SOUTHN BK MACON GA DTD 07-18-2008 4.55 12-16-2011
    40,000.00       40,000.00  
BANCORP BK WILMINGTON DEL DTD 10-30-20082.45 C/D 01-30-2009
    95,000.00       94,905.00  
BANK AMER NA CHARLOTTE NC DTD 10-08-20082.8 C/D 04-08-2009
    95,000.00       94,881.25  
BANK AMER NA CHARLOTTE NC DTD 10-15-20082.9 C/D 04-14-2009
    54,000.00       54,000.00  
BANK AMER NA CHARLOTTE NC DTD 10-22-20082.4 C/D 01-22-2009
    25,000.00       25,000.00  
BANK AMER NA CHARLOTTE NC DTD 10-29-20082.45 C/D 01-29-2009
    95,000.00       94,905.00  
BANK FAYETTEVILLE NATL ASSN ARK CTF DEP DTD 12-14-2007 4.5
03-16-2009
    10,000.00       10,000.00  
BANK HAPOALIM B M NEW YORK BRH CTF DEP DTD 04-23-2008 6 04-23-2028
    10,000.00       10,000.00  
BANK HAPOALIM B M NEW YORK BRH DTD 12-15-2008 1.65 C/D 01-15-2009
    120,000.00       120,000.00  
BANK NORTH GA ALPHARETTA DTD 03-31-2008 3.4 C/D 03-31-2009
    50,000.00       50,171.50  
BANK OF AMERICA DTD 11-05-2008 3 C/D 05-05-2009
    120,000.00       120,000.00  
BANK OKLA N A TULSA DTD 06-05-2008 3.35 C/D 06-05-2009
    20,000.00       20,108.40  
BANK OKLA N A TULSA DTD 07-30-2008 3.15 C/D 01-30-2009
    50,000.00       50,000.00  
BANK OZARKS LITTLE ROCK ARK DTD 01-09-2008 4.55 C/D 01-09-2009
    50,000.00       50,008.50  
BANKUNITED FSB CORAL GABLES FLA CTF DEP DTD 04-09-2008 3.45
07-09-2009
    10,000.00       10,000.00  
BANKUNITED FSB CORAL GABLES FLA DTD 04-09-2008 3.4 C/D 04-09-2009
    100,000.00       100,000.00  
BEAL BK DTD 11-26-2008 2.7 C/D 05-26-2009
    95,000.00       95,000.00  
BK TENN KINGSPORT DTD 05-30-2008 3.55 11-30-2009
    7,000.00       7,000.00  

 

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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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
BRANCH BKG & TR CO WINSTON SALEM N C DTD09-12-2008 2.5 C/D
01-12-2009
    50,000.00       50,000.00  
BRANCH BKG & TR CO WINSTON SALEM N C DTD10-22-2008 2.45 C/D
01-22-2009
    15,000.00       15,000.00  
BRANCH BKG & TR CO WINSTON SALEM N C DTD10-22-2008 2.95 C/D
04-22-2009
    50,000.00       50,000.00  
BRANCH BKG & TR CO WINSTON SALEM N C DTD10-22-2008 3.45 C/D
07-22-2009
    75,000.00       75,000.00  
BRIDGEVIEW BK GROUP ILL DTD 10-08-2008 2.75 C/D 04-08-2009
    10,000.00       9,987.50  
BUSEY BK CHAMPAIGN ILL DTD 07-11-2008 3.85 10-13-2009
    10,000.00       10,000.00  
BUSINESS BK ST LOUIS CLAYTON MO CTF DEP DTD 05-05-2006 5.2 05-05-2010
    1,001.10       1,001.10  
CAP 1 BK NATL ASSN CTF DEP DTD 03/05/08 ACT/365 SEMI ANNU STEP UP DUE
03-05-15
    95,000.00       94,610.50  
CAP 1 BK USA NATL ASSN GLEN ALLEN CD DTD03/27/2008 SEMI ANNU 4
03-27-2012
    10,000.00       10,000.00  
CAP 1 BK USA NATL ASSN GLEN ALLEN CTF DEP ACT/365 SEMI ANNU 4.75 05-07-2015
    10,000.00       10,080.00  
CAP 1 BK USA NATL ASSN GLEN ALLEN CTF DEP ACT/365 SEMI-ANNU 4
03-24-2010
    25,000.00       25,000.00  
CAP 1 BK USA NATL ASSN GLEN ALLEN CTF DEP DTD 10/15/2008 4.15
10-15-2010
    25,000.00       25,000.00  
CAP 1 BK USA NATL ASSN GLEN ALLEN CTF DEP DTD 4.4 10-17-2011
    60,000.00       60,000.00  
CAP 1 BK USA NATL ASSN GLEN ALLEN CTF DEP S/A DTD10-22-2008 4.15
10-22-2010
    95,000.00       95,000.00  
CAP 1 NATL ASSN MCLEAN VA CTF DEP SEMI-ANNU DTD 11-19-2008 4.25
11-19-2010
    5,000.00       5,000.00  
CAP 1 NATL ASSN MCLEAN VA CTF DEP DTD 10/08/2008 ACT/365 4.65
10-09-2012
    95,000.00       95,000.00  
CAPITAL 1 BK USA NATL ASSN GLEN ALLEN VACTF DEP DTD 06-11-2008 3.85 06-11-2010
    10,000.00       10,000.00  
CAPITAL 1 BK USA NATL ASSN GLEN ALLEN VACTF DEP DTD 09-17-2008 4.15 09-17-2010
    50,000.00       50,000.00  
CAPITAL 1 BK USA NATL ASSN GLEN ALLEN VACTF DEP DTD 10-22-2008 4.65 10-22-2012
    8,000.00       8,000.00  
CAPITAL 1 BK USA NATL ASSN GLEN ALLEN VACTF DEP DTD 11-09-2005 4.75 11-09-2010
    40,205.00       40,205.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 01-23-2008 4.3 C/D 01-23-2009
    13,000.00       13,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 03-19-2008 3.7 C/D 03-19-2009
    96,000.00       96,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 04-16-2008 3.55 C/D 04-16-2009
    44,000.00       44,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 04-23-2008 3.35 C/D 04-23-2009
    6,000.00       6,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 05-07-2008 3.4 C/D 05-07-2009
    99,000.00       99,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 10-01-2008 3.5 C/D 10-01-2009
    40,000.00       40,000.00  
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA DTD 10-22-2008 3.6 C/D 10-22-2009
    60,000.00       60,000.00  
CAPITAL ONE NA MCLEAN VA CTF DEP DTD 11 MAY 8 ACT/365 SEMI-ANNU 4.4 7 NOV 11
    80,000.00       81,544.80  
CAPITAL ONE NATL ASSN MCLEAN VA CTF DEP DTD 04-09-2008 4.25
04-09-2013
    10,000.00       10,000.00  
CAPITAL ONE NATL ASSN MCLEAN VA CTF DEP DTD 09-24-2008 4 03-24-2010
    95,000.00       95,000.00  
CAPITAL ONE NATL ASSN MCLEAN VA CTF DEP DTD 10-22-2008 4.65
10-22-2012
    50,000.00       50,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CAPITAL ONE NATL ASSN MCLEAN VA CTF DEP DTD 11-26-2008 5 11-26-2013
    4,000.00       4,000.00  
CAPITAL ONE NATL ASSN MCLEAN VA DTD 04-09-2008 3.45 C/D 04-09-2009
    200,000.00       200,000.00  
CAPITAL ONE NATL ASSN MCLEAN VA DTD 09-24-2008 3.5 C/D 09-24-2009
    96,000.00       96,000.00  
CAPITAL ONE NATL ASSN MCLEAN VA DTD 10-01-2008 2.8 C/D 04-01-2009
    95,000.00       94,881.25  
CAPITAL ONE NATL ASSN MCLEAN VA DTD 10-08-2008 2.85 C/D 04-08-2009
    95,000.00       94,881.25  
CAPMARK BK MIDVALE UT CD ACT/365 SEMI ANNU DTD 08-13-2008 4.35
08-13-2010
    10,000.00       10,000.00  
CAPMARK BK MIDVALE UT CTF DEP DTD 07/16/2008 ACT/365 5.05 07-16-2013
    70,000.00       70,000.00  
CAPMARK BK MIDVALE UT CTF DEP SEMI-ANNU DTD 11-05-2008 4.75
11-05-2012
    80,000.00       80,000.00  
CAPMARK BK MIDVALE UTAH CTF DEP DTD 07-23-2008 5.05 07-23-2013
    40,000.00       40,000.00  
CAPMARK BK MIDVALE UTAH CTF DEP DTD 07-30-2008 4.25 07-30-2010
    30,000.00       30,000.00  
CAPMARK BK MIDVALE UTAH DTD 07-23-2008 3.8 C/D 07-23-2009
    61,000.00       61,000.00  
CAPMARK BK MIDVALE UTAH DTD 09-24-2008 3.35 C/D 06-24-2009
    186,000.00       186,000.00  
CAPMARK BK MIDVALE UTAH DTD 10-01-2008 3.6 C/D 10-01-2009
    10,000.00       10,000.00  
CAPMARK BK MIDVALE UTAH DTD 10-15-2008 3C/D 04-15-2009
    194,000.00       193,757.50  
CAROLINA 1ST BK GREENVILLE S C CTF DEP DTD 06/04/2008 ACT/365 3.65
12-04-2009
    14,000.00       14,000.00  
CAROLINA FIRST BK GREENVILLE S C CTF DEPDTD 06-04-2008 3.35
08-04-2009
    1,000.00       1,000.00  
CAROLINA FIRST BK GREENVILLE S C CTF DEPDTD 06-18-2008 3.55
07-20-2009
    95,000.00       95,000.00  
CAROLINA FIRST BK GREENVILLE S C CTF DEPDTD 06-18-2008 4 06-18-2010
    95,000.00       95,000.00  
CAROLINA FIRST BK GREENVILLE S C DTD 05-07-2008 3.3 C/D 02-09-2009
    22,000.00       22,000.00  
CATHAY BK LOS ANGELES CALIF DTD 06-13-2008 3.4 C/D 06-12-2009
    98,000.00       98,000.00  
CATHAY BK LOS ANGELES CALIF DTD 07-30-2008 3.7 C/D 07-30-2009
    95,000.00       95,000.00  
CATHAY BK LOS ANGELES CALIF DTD 10-03-2008 3 C/D 04-03-2009
    95,000.00       95,000.00  
CCAP ONE BK USA NATL ASSN GLEN ALLEN CTFDEP DTD 10/15/08 ACT/365 SEMI ANNU 4.0%
    59,000.00       59,870.84  
CHARTER BK EAU CLAIRE WIS DTD 08-08-20083.65 C/D 08-07-2009
    95,000.00       95,000.00  
CHEVY CHASE SVGS BK F S B MCLEAN VA DTD 10-15-2008 3.65 C/D
10-15-2009
    100,000.00       101,119.90  
CHINATRUST BK TORRANCE CALIF DTD 10-15-2008 2.5 C/D 01-15-2009
    105,000.00       104,895.00  
CHINATRUST BK TORRANCE CALIF DTD 10-31-2008 2.55 C/D 02-02-2009
    290,000.00       289,710.00  
CIT BK SALT LAKE CITY UTAH CTF DEP DTD 01-24-2007 0 01-25-2010
    20,000.00       20,511.00  
CIT BK SALT LAKE CITY UTAH DTD 09-10-2008 3.35 C/D 06-10-2009
    50,000.00       50,000.00  
CIT BK SALT LAKE CITY UTAH DTD 09-10-2008 3.55 C/D 09-10-2009
    70,000.00       70,000.00  
CITIZENS 1ST SVGS BK PORT HURON MICH DTD03-26-2008 3.75 03-26-2010
    10,000.00       10,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CITIZENS BK FLINT MICH CTF DEP DTD 12-07-2007 4.6 12-07-2009
    93,000.00       93,000.00  
CITIZENS BK FLINT MICH DTD 10-20-2008 3.6 C/D 10-20-2009
    50,000.00       50,000.00  
COBIZ BK DENVER COLO DTD 10-03-2008 2.25C/D 01-05-2009
    95,000.00       95,000.00  
COLE TAYLOR BK CHICAGO ILL CTF DEP DTD 06-18-2008 3.55 09-18-2009
    25,000.00       25,000.00  
COLE TAYLOR BK CHICAGO ILL DTD 07-23-2008 3.5 C/D 04-23-2009
    12,000.00       12,000.00  
COLUMBUS BANK & TRUST CTF DEP DTD 10-29-2008 3.9 01-29-2010
    75,000.00       75,000.00  
COLUMBUS BANK & TRUST DTD 08-01-2008 3.1C/D 02-02-2009
    10,000.00       10,000.00  
COLUMBUS BANK & TRUST DTD 10-17-2008 2.55 C/D 02-17-2009
    15,000.00       15,000.00  
COMERICA BK DALLAS TEX CTF DEP ACT/365 SEMI-ANNU 3.85 02-05-2010
    80,000.00       80,000.00  
COMERICA BK DALLAS TEX CTF DEP DTD 10-22-2008 3.9 01-22-2010
    35,000.00       35,000.00  
COMERICA BK DALLAS TEX CTF DEP DTD S/A DTD 10-22-2008 4.05 04-22-2010
    140,000.00       140,000.00  
COMERICA BK DALLAS TEX DTD 10-01-2008 2.85 C/D 04-01-2009
    90,000.00       90,000.00  
COMERICA BK DALLAS TEX DTD 10-01-2008 3.55 C/D 10-01-2009
    105,000.00       105,000.00  
COMERICA BK DALLAS TEX DTD 10-08-2008 2.45 C/D 01-08-2009
    348,000.00       348,000.00  
COMERICA BK DALLAS TEX DTD 10-08-2008 2.9 C/D 04-08-2009
    20,000.00       20,000.00  
COMERICA BK DALLAS TEX DTD 10-15-2008 2.95 C/D 04-15-2009
    90,000.00       90,000.00  
COMERICA BK DALLAS TEX DTD 10-22-2008 3.5 C/D 07-22-2009
    95,000.00       95,000.00  
COMMERCE NATL BK COLUMBUS OHIO CTF DEP DTD 07-22-2008 4.4
04-25-2011
    40,000.00       40,000.00  
COMMUNITY BK OF NEV LAS VEGAS CTF DEP DTD 09-30-2008 4.05 09-30-2010
    10,000.00       10,000.00  
COMMUNITY BK OF NEV LAS VEGAS CTF DEP DTD 10-27-2008 3.75 01-27-2010
    20,000.00       20,000.00  
COMMUNITY BK OF NEV LAS VEGAS CTF DEP DTD 11-28-2008 3.4 12-28-2009
    22,000.00       22,000.00  
COMMUNITY BK OF NEV LAS VEGAS CTF DEP DTD 11-28-2008 3.55 02-26-2010
    20,000.00       20,000.00  
COMMUNITY WEST BK N A GOLETA CALIF CTF DEP DTD 10-21-2008 4
04-21-2010
    44,000.00       44,000.00  
CRESCENT BK & TR NEW ORL LA CTF DEP DTD 09/24/2008 ACT/365 4.45
09-26-2011
    95,000.00       95,000.00  
CRESCENT ST BK CARY NORTH CAR CD DTD 11 MAR 08 ACT/365 MNTHLY 4.3 3 NOV 2011
    10,000.00       10,168.90  
CTF DEP DTD 12/11/2008 ACT/365 SEMI ANNUDTD 12-11-2008 2.9 03-11-2010
    5,000.00       5,000.00  
DISCOVER BK GREENWOOD DEL CD ACT/365 SEMI-ANNU DTD 08-29-2008 3.95 11-30-2009
    142,000.00       142,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP 03/08/07 FXD ACT/365 SEMIAN 5.4 03-08-10
    58,000.00       58,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP ACT/365 SEMI-ANNU 4.3
08-30-2010
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP SEMI-ANNU DTD 09-17-2008 5
09-17-2013
    69,000.00       69,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-08-2007 5.4 02-08-2010
    100,000.00       100,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 02-27-2008 3.45 05-27-2009
    75,000.00       75,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-21-2007 5.1 03-21-2012
    19,000.00       19,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 03-28-2007 5.1 03-30-2009
    2,000.00       2,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 05-28-2008 4.85 05-28-2015
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 06/04/2008 ACT/365 SEMI 4.25 12-05-11
    7,000.00       7,102.62  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 06/25/2008 ACT/365 4.2
06-25-2010
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 06-01-2005 4.4 DUE 06-01-2010
    2,000.00       2,040.20  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 07/16/2008 ACT/365 5
07-16-2013
    50,000.00       50,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 07-05-2007 5.45 07-05-2013
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 07-11-2007 5.4 07-11-2013
    5,078.00       5,078.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 08-06-2008 4.75 08-06-2012
    40,000.00       40,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 09/24/2008 ACT/365 5.15
09-24-2015
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 09-17-2008 5.15 09-17-2015
    95,000.00       95,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 09-17-2008 5.2 09-17-2018
    20,000.00       20,000.00  
DISCOVER BK GREENWOOD DEL CTF DEP DTD 9/24/08 ACT/365 SEMI-ANNU 5.2 24 SEP 18
    10,000.00       10,172.40  
DISCOVER BK GREENWOOD DEL DTD 05-21-20084.75 05-21-2015
    25,000.00       25,000.00  
DISCOVER BK GREENWOOD DEL DTD 12-03-20085 12-03-2015
    2,000.00       2,000.00  
DISCOVER BK GREENWOOD DEL DTD 06-25-20085 06-25-2013
    10,000.00       10,000.00  
DISCOVER BK GREENWOOD DEL SEMI-ANNU DTD 01-02-2009 3.6 01-03-2012
    118,000.00       118,000.00  
DTD 07-31-2008 3.65 C/D 07-31-2009
    95,000.00       95,000.00  
DTD 09-25-2008 3.5 C/D 09-25-2009
    25,000.00       25,000.00  
DTD 10-03-2008 2.85 C/D 04-03-2009
    90,000.00       90,000.00  
DTD 10-15-2008 2.5 C/D 01-15-2009
    10,000.00       10,000.00  
DTD 11-25-2008 2.15 C/D 02-25-2009
    130,000.00       129,837.50  
DTD 12-11-2008 5 12-11-2015
    5,000.00       5,000.00  
DTD 12-18-2008 2.3 C/D 09-18-2009
    10,000.00       10,000.00  
DTD 12-26-2008 1.25 C/D 03-26-2009
    197,000.00       197,000.00  
EAGLEBANK BETHESDA MD DTD 07-25-2008 3.7C/D 07-24-2009
    10,000.00       10,000.00  
EAST-WEST BK PASADENA CALIF DTD 10-28-2008 3.05 C/D 04-28-2009
    25,000.00       25,000.00  
EAST-WEST BK PASADENA CALIF DTD 12-30-2008 1 C/D 01-30-2009
    235,000.00       235,000.00  
ENTERPRISE BK & TR CLAYTON MO FORMERLY DTD 08-22-2008 2.65 C/D
01-22-2009
    90,000.00       90,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
FIRESIDE BK PLEASANTON CAL FORMERLY FI CTF DEP DTD 06-21-2007 5.4 06-21-2012
    5,000.00       5,249.40  
FIRST CHICAGO BK & TR ILL DTD 10-16-20083.45 C/D 10-16-2009
    10,000.00       10,000.00  
FIRST FED BK CALIF FSB SANTA MONICA DTD 06-25-2008 3.5 C/D 03-25-2009
    50,000.00       50,000.00  
FIRST FED BK CALIF FSB SANTA MONICA DTD 08-20-2008 3.4 C/D 05-21-2009
    50,000.00       50,000.00  
FIRST FED BK CALIF FSB SANTA MONICA DTD 08-27-2008 3.3 C/D 05-27-2009
    81,000.00       81,000.00  
FIRST NATL BK SIOUX FALLS S D DTD 07-25-2008 3.2 C/D 01-26-2009
    1,000.00       1,000.64  
FIRST REGL BK LOS ANGELES CALIF DTD 07-30-2008 3.75 C/D 07-30-2009
    10,000.00       10,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 04-18-2008 3.55 07-17-2009
    2,000.00       2,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 06/06/2008 ACT/365 3.5 09-08-2009
    15,000.00       15,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 06-13-2008 3.55 09-14-2009
    3,000.00       3,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 07/11/2008 DTD 07-11-2008 4
10-13-2009
    65,000.00       65,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 07-09-2008 4.4 07-09-2010
    5,000.00       5,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 07-23-2008 4.3 07-23-2010
    70,000.00       70,000.00  
FIRSTBANK P R SANTURCE CTF DEP DTD 10/24/08 ACT/365 MONTHLY 3.8 25 JAN 10
    29,000.00       29,356.99  
FIRSTBANK P R SANTURCE CTF DEP DTD 11-19-2008 3.85 02-19-2010
    25,000.00       25,323.75  
FIRSTBANK P R SANTURCE CTF DEP DTD 12-24-2008 3.55 12-27-2010
    240,000.00       240,000.00  
FIRSTBANK P R SANTURCE DTD 05-02-2008 3.35 C/D
02-02-2009
    60,000.00       60,000.00  
FIRSTBANK P R SANTURCE DTD 10-17-2008 2.5 C/D 01-16-2009
    95,000.00       94,905.00  
FIRSTBANK P R SANTURCE DTD 10-17-2008 3.5 C/D 07-17-2009
    230,000.00       229,655.00  
FIRSTBANK P R SANTURCE DTD 11-19-2008 4.25 C/D 11-19-2010
    7,000.00       7,000.00  
FIRSTMERIT BK AKRON OHIO DTD 10-31-2008 3 C/D 05-01-2009
    50,000.00       50,000.00  
FLORIDA CMNTY BK IMMOKALEE FLA DTD 07-24-2007 5.25 01-26-2009
    5,000.00       5,008.65  
FLUSHING SVGS BK N Y CTF DEP DTD 03-10-2006 5.15 09-10-2010
    10,000.00       10,000.00  
FNDTN BK BELLEVUE WA CTF DEP 06/13/08 FXD ACT/365 QTRLY 4.6 06-13-12
    7,000.00       7,033.25  
FOSTER BK CHICAGO ILL DTD 08-08-2008 3.4C/D 05-08-2009
    40,000.00       40,000.00  
FULLERTON CMNTY BK FSB FULLERTON CA SEMIANNU DTD 12-23-2008 2.4 01-25-2010
    240,000.00       240,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BC DTD 06-11-2008 3.3 C/D
03-11-2009
    10,000.00       10,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 05-28-2008 3.25 C/D
03-02-2009
    80,000.00       80,153.60  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 06-18-2008 3.35 C/D
03-18-2009
    95,000.00       95,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 06-18-2008 3.5 C/D
06-18-2009
    95,000.00       95,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 06-25-2008 3.75 C/D
06-25-2009
    65,000.00       65,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 07-16-2008 3.2 C/D
01-16-2009
    155,000.00       155,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 07-23-2008 3.45 C/D
07-23-2009
    60,000.00       60,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 07-30-2008 3.45 C/D
04-30-2009
    31,000.00       31,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 07-30-2008 3.65 C/D
07-30-2009
    95,000.00       95,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 08-20-2008 2.85 C/D
02-20-2009
    90,000.00       90,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 10-09-2008 2.95 C/D
04-09-2009
    50,000.00       50,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 10-16-2008 5 10-16-2013
    10,000.00       10,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 10-23-2008 3.7 C/D
10-23-2009
    152,000.00       152,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 11-06-2008 4.55 11-07-2011
    100,000.00       102,329.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 11-13-2008 4.3 11-15-2010
    224,000.00       228,453.12  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 12-18-2008 2.05 C/D
06-18-2009
    64,000.00       64,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 12-18-2008 3.9 12-19-2011
    100,000.00       100,000.00  
GE CAP FINL INC RETAIL CTF DEP PROGRAM BDTD 7-9-08 3.75 CTF OF DEP DUE 7-9-09
    50,000.00       50,419.00  
GE CAP FINL INC RETAIL PROGRAM B DTD 07-02-2008 3.8 CTF OF DEP DUE 07-02-2009
    10,000.00       10,083.20  
GE CAP FINL RETAIL CD PROGRAM BGE CY UT ACT/365 DTD 09-18-2008 5
09-18-2013
    70,000.00       70,000.00  
GE CAPITAL FINANCE DTD 09-18-2008 4.15 09-20-2010
    75,000.00       76,279.50  
GE MONEY BK DTD 09-18-2008 4.7 09-18-2012
    95,000.00       95,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD06-25-2008 3.75 C/D
06-25-2009
    30,000.00       30,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD07-02-2008 3.25 C/D
01-02-2009
    22,000.00       22,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD07-02-2008 3.55 C/D
04-02-2009
    95,000.00       95,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD08-27-2008 3.5 C/D
08-27-2009
    83,000.00       83,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD09-25-2008 2.8 C/D
03-25-2009
    40,000.00       40,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-02-2008 2.4 C/D
01-02-2009
    231,000.00       231,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-02-2008 2.85 C/D
04-02-2009
    5,000.00       5,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-02-2008 3.55 C/D
10-02-2009
    95,000.00       95,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-09-2008 2.45 C/D
01-09-2009
    40,000.00       39,960.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-09-2008 2.95 C/D
04-09-2009
    115,000.00       115,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD10-30-2008 3.5 C/D
07-30-2009
    10,000.00       10,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD11-06-2008 2.55 C/D
02-06-2009
    15,000.00       15,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD11-06-2008 3.05 C/D
05-06-2009
    100,000.00       100,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD11-06-2008 5.3 11-06-2015
    10,000.00       10,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD11-13-2008 3.45 C/D
08-13-2009
    46,000.00       45,931.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD12-11-2008 2.2 C/D 06-11-2009
    51,000.00       51,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD12-30-2008 1.75 C/D
06-30-2009
    5,000.00       5,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT CTFDEP DTD 12-11-2008 3.85 DUE 12-13-2010
    5,000.00       5,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD11-06-2008 4.3 DUE
11-08-2010
    10,000.00       10,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT DTD12-18-2008 4.75 DUE
12-18-2013
    100,000.00       100,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT GE MONEY BK DTD 11-06-2008 5.05 11-06-2013
    320,000.00       320,000.00  
GE MONEY BK SALT LAKE CY UT INSTL CT GE UT DTD 10-02-2008 5
10-02-2013
    190,000.00       190,000.00  
GEORGIA BK TR CO AUGUSTA DTD 05-09-2008 3.4 C/D 05-08-2009
    108,000.00       108,531.36  
GEORGIAN BK ATLANTA GA CTF DEP DTD 10-23-2008 4.05 10-25-2010
    50,000.00       50,000.00  
GIBRALTAR PRIVATE BK & TR FLA CTF DEP DTD 07-31-2008 4 01-28-2010
    25,000.00       25,000.00  
GIBRALTAR PRIVATE BK & TR FLA CTF DEP DTD 07-31-2008 5.05 07-31-2015
    25,000.00       25,000.00  
GLDM SACHS BK SALT LAKE CY UT CTFDEP DTD01/30/08 ACT/365 SEMI ANNU DTD 4.4
    15,000.00       15,113.25  
GMAC BK MIDVALE UT CTF DEP DTD S/A DTD 10-17-2008 04-16-2010
    130,000.00       130,000.00  
GMAC BK MIDVALE UT DTD 11-28-2008 2.75 C/D 05-28-2009
    77,000.00       76,903.75  
GMAC BK MIDVALE UTAH CTF DEP DTD 01-09-2008 4.55 01-10-2011
    70,000.00       70,000.00  
GMAC BK MIDVALE UTAH CTF DEP DTD 04-09-2008 3.85 04-08-2011
    10,000.00       10,000.00  
GMAC BK MIDVALE UTAH DTD 04-09-2008 3.4 C/D 01-09-2009
    5,000.00       5,000.00  
GMAC BK MIDVALE UTAH DTD 04-09-2008 3.5 C/D 04-09-2009
    200,000.00       200,000.00  
GMAC BK MIDVALE UTAH DTD 04-17-2008 3.45C/D 04-17-2009
    20,000.00       20,000.00  
GMAC BK MIDVALE UTAH DTD 10-08-2008 3.6 C/D 10-08-2009
    30,000.00       29,940.00  
GMAC BK MIDVALE UTAH DTD 10-17-2008 3 C/D 04-17-2009
    10,000.00       10,000.00  
GMAC BK MIDVALE UTAH DTD 10-17-2008 3.45C/D 07-17-2009
    50,000.00       49,925.00  
GMAC BK MIDVALE UTAH DTD 10-31-2008 3.5 C/D 07-31-2009
    50,000.00       50,000.00  
GOLDMAN SACHS BK SALT LAKE CITY UTAH CTFDEP DTD 10/15/08 ACT/365 SEMI ANNU 5
    20,000.00       20,627.00  
GOLDMAN SACHS BK USA SALT LAKE CY UT CTFDEP ACT/365 SEMI-ANNU 5.15 10-01-2015
    10,000.00       10,278.40  
GOLDMAN SACHS BK USA SALT LAKE CY UT CTFDEP DTD 10/08/2008 SA 5 10-08-2013
    190,000.00       190,000.00  
GOLDMAN SACHS BK USA SALT LAKE CY UT CTFDEP DTD 10/22/2008 4.25 10-22-2010
    24,000.00       24,000.00  
GOLDMAN SACHS BK USA SALT LAKE CY UT DTD01-16-2008 5 01-16-2018
    30,000.00       30,000.00  
GOLDMAN SACHS BK USA SALT LAKE CY UT DTD02-27-2008 5 02-27-2018
    25,000.00       25,000.00  
GOLDMAN SACHS BK USA SALT LAKE CY UT CTFDEP S/A DTD10-22-2008 5.35 10-22-2018
    15,000.00       15,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 03-19-2008 4.75 03-19-2018
    10,000.00       10,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 07-30-2008 5.15 07-30-2015
    45,000.00       45,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 10-24-2007 5.2 10-24-2014
    10,000.00       10,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 11-12-2008 4.3 11-12-2010
    30,000.00       30,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 11-19-2008 4.25 11-19-2010
    20,000.00       20,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 12-05-2007 5.15 12-05-2017
    10,000.00       10,000.00  
GOLDMAN SACHS BK USA YORK CTF DEP DTD 12-24-2008 3.45 12-27-2010
    80,000.00       80,000.00  
GOLDMAN SACHS BK USA YORK DTD 10-01-20082.85 C/D 04-01-2009
    115,000.00       115,000.00  
GOLDMAN SACHS BK USA YORK DTD 10-08-20082.85 C/D 04-08-2009
    95,000.00       95,000.00  
GOLDMAN SACHS BK USA YORK DTD 10-08-20083.3 C/D 07-08-2009
    10,000.00       10,000.00  
GOLDMAN SACHS BK USA YORK DTD 10-08-20083.55 C/D 10-08-2009
    80,000.00       80,000.00  
GOLDMAN SACHS BK USA YORK DTD 10-22-20083.65 C/D 10-22-2009
    10,000.00       10,000.00  
GOLDMAN SACHS DTD 11-26-2008 4.25 11-26-2010
    75,000.00       75,000.00  
GOLDMAN SACHS USA SALT LAKE CY UT CTFDEP04/02/2008 ACT/365 SEMI 4.75 04-02-18
    10,000.00       10,175.10  
GREAT SOUTHN BK REEDS SPRINGS MO CTF DEPDTD 10/20/2008 ACT/365 MONTHLY 4.6
    1,000.00       1,007.61  
GREAT SOUTHN BK REEDS SPRINGS MO CTF DEPDTD 10-03-2008 4.25
01-03-2011
    95,000.00       95,000.00  
GREAT SOUTHN BK REEDS SPRINGS MO DTD 09-29-2008 4.3 12-29-2010
    85,000.00       86,701.70  
GTY BK & TR CO DENVER COLO CTF DEP ACT/365 MONTHLY DTD 05-30-08 3.45
    5,000.00       5,044.00  
GTY BK & TR CO DENVER COLO DTD 07-30-2008 4.6 07-29-2011
    30,000.00       30,000.00  
HANMI BK LOS ANGELES CALIF CTF DEP DTD 12-12-2008 3 02-12-2010
    1,000.00       1,000.00  
HANMI BK LOS ANGELES CALIF DTD 10-22-2008 3.7 C/D 10-22-2009
    3,000.00       3,000.00  
HARRIS NATL ASSN CHGO ILL CTF DEP DTD 09/18/2008 ACT/365 MONTHLY 09-18-2028
    29,875.00       30,000.00  
HILLCREST BK OVERLAND PK KANS CTF DEP DTD 10-21-2008 0 10-21-2011
    50,000.00       50,000.00  
HSBC BK USA N A WILMINGTON DEL CTF DEP DTD 03-21-2006 0 09-21-2011
    20,000.00       20,000.00  
HUNTINGTON NATL BK COLUMBUS OHIO DTD 01-31-2008 3.4 C/D 01-30-2009
    10,000.00       10,000.00  
IMPERIAL CAP BK LA JOLLA CALIF CTF DEP DTD 06-25-2008 4 12-28-2009
    53,000.00       53,000.00  
IRONSTONE BK FT MYERS FLA CTF DEP DTD 07-18-2007 5.45 07-18-2017
    10,000.00       10,000.00  
IRONSTONE BK FT MYERS FLA CTF DEP DTD 11-17-2006 5.2 11-17-2016
    5,000.00       5,133.35  
JPMORGAN CHASE BK N A NY N Y FORME EQTY LKD CTF DEP LKD S&P 500 INDEX 3-30-2012
    20,000.00       20,000.00  
KEY BK NATL ASSN OH CTF DEP DTD 10/15/2008 ACT/365 4.25 10-15-2010
    10,000.00       10,000.00  
KEY BK NATL ASSN OHIO CTF DEP DTD 10 AUG2008 ACT/365 MONTHLY 4.25 08 OCT 2010
    30,000.00       30,570.60  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
LAKE FST BK & TR CO ILL DTD 11-21-2008 2.95 C/D 05-21-2009
    90,000.00       90,000.00  
LASALLE BK N A CHICAGO ILL CTF DEP DTD 06-06-2007 5.25 06-06-2017
    10,000.00       10,278.10  
LASALLE BK N A CHICAGO ILL CTF DEP DTD 08-02-2006 5.2 08-03-2009
    100,000.00       100,000.00  
LEHMAN BROS BK FSB WILMINGTON DEL CTF DEP DTD 03-22-2006 5.15
03-22-2011
    100,000.00       100,000.00  
LEHMAN BROS BK FSB WILMINGTON DEL CTF DEP DTD 12-14-2005 4.85 DUE 12-14-2010
    50,000.00       51,369.50  
LEHMAN BROS BK FSB WILMINGTON DEL DTD 08-06-2008 3.75 C/D 08-06-2009
    41,000.00       41,000.00  
LEHMAN BROS COML BK SALT LAKE CITY UTAH CTF DEP DTD 02-29-2008 0 02-28-2013
    5,000.00       5,000.00  
LEHMAN COML BK SALT LAKE CY UT DTD 06-30-2008 4.25 06-30-2010
    10,000.00       10,000.00  
M & I MARSHALL & ILSLEY BK MILWAUKEE WISDTD 10-17-2008 3.45 C/D
07-17-2009
    50,000.00       50,000.00  
MACHIAS SVGS BK ME CTF DEP DTD 03-23-2005 4.25 DUE 03-23-2010
    30,000.00       30,535.20  
MB FINL BK N A CHICAGO ILL CTF DEP DTD 06-09-2008 3.85
06-09-2010
    7,000.00       7,000.00  
MB FINL BK N A CHICAGO ILL CTF DEP DTD 07-25-2008 4.6 07-25-2011
    40,000.00       40,000.00  
MERCANTILE TR & SVGS BK QUINCY ILL DTD 08-08-2008 3.35 C/D 05-08-2009
    50,000.00       50,000.00  
MERIDIAN BK NATL ASSN WICKENBURG ARIZ CTF DEP DTD 02-20-2008 4.25 02-20-2018
    225,000.00       225,000.00  
MERRICK BK CORP SOUTH JORDAN UTAH CTF DEP DTD 06-20-2008 4.3
06-20-2011
    7,000.00       7,000.00  
MERRICK BK CORP SOUTH JORDAN UTAH CTF DEP DTD 07-30-2007 5.2
07-30-2009
    10,000.00       10,000.00  
MIDDLEBURG BK VA DTD 05-22-2008 3.25 C/D02-23-2009
    10,000.00       10,016.50  
MIDFIRST BK OKLA CITY DTD 08-20-2008 2.85 C/D 02-20-2009
    90,000.00       90,000.00  
MONTHLY DTD 12-19-2008 3.35 06-21-2010
    50,000.00       50,000.00  
MONTHLY DTD 12-19-2008 3.9 12-19-2011
    15,000.00       15,000.00  
MORGAN STANLEY BK AG CTF DEP DTD 12/12/08 ACT/365 MTHLY 3.9
12-13-10
    99,000.00       99,000.00  
MORGAN STANLEY BK N A CTF DEP S/A DTD 11-12-2008 4.15 05-12-2010
    55,000.00       55,000.00  
MORGAN STANLEY BK N A MONTHLY DTD 11-28-2008 4.15 11-29-2010
    25,000.00       25,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 01-02-2009 2 C/D
10-02-2009
    20,000.00       20,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 10-08-2008 3.35 C/D 07-08-2009
    10,000.00       9,985.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 10-08-2008 3.6 C/D 10-08-2009
    150,000.00       150,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 10-15-2008 3.45 C/D 07-15-2009
    85,000.00       85,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 11-05-2008 2.6 C/D 02-05-2009
    146,000.00       145,854.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 11-05-2008 4
12-31-2009
    220,000.00       220,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 11-28-2008 3.25 C/D 11-27-2009
    65,000.00       65,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 12-05-2008 2 C/D
03-05-2009
    300,000.00       300,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 12-12-2008 1.8 C/D 03-12-2009
    35,000.00       35,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 12-12-2008 2.65 C/D 09-14-2009
    70,000.00       69,895.00  
MORGAN STANLEY BK N A SALT LAKE CITY UTAH DTD 12-26-2008 1.7 C/D 06-26-2009
    80,000.00       80,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT CTF DEP DTD 10-15-2008 4.05 04-15-2010
    23,000.00       23,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT CTF DEP DTD 10-15-2008 4.55 10-17-2011
    56,000.00       56,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT CTF DEP DTD 10-22-2008 4.75 10-22-2012
    10,000.00       10,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT CTF DEP DTD 10-29-2008 5.05 10-29-2013
    10,000.00       10,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT CTF DEP DTD 12-05-2008 4.6 12-05-2012
    30,000.00       30,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT MONTHLY DTD 01-02-2009 3.45 01-03-2012
    10,000.00       10,000.00  
MORGAN STANLEY BK N A SALT LAKE CITY UT MONTHLY DTD 12-05-2008 4.1 12-06-2010
    30,000.00       30,000.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA 10/15/2008 ACT/365 4.25
10-15-2010
    119,000.00       119,000.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA CTF DEP DTD 01/02/2009 3.15 01-03-2011
    30,000.00       29,880.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA CTF DEP DTD 12-26-2008 3.15 12-27-2010
    95,000.00       95,000.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA CTF DEP S/A 10-29-2008 4.55 10-31-2011
    11,000.00       11,000.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA CTF DEP S/A DTD 10-29-2008 4 12-29-2009
    50,000.00       50,000.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA DTD 01-02-2009 1.7 C/D
07-02-2009
    20,000.00       19,975.00  
MORGAN STANLEY BK N A SALT LAKE CY UTA DTD 12-12-2008 3.6 06-14-2010
    20,000.00       20,181.00  
MORGAN STANLEY BK SALT LAKE CY UT CTF DEP DTD 10/08/2008 4.25
10-08-2010
    119,000.00       119,000.00  
MORGAN STANLEY BK SALT LAKE CY UT CTF DEP DTD 10/08/2008 5.05
10-08-2013
    191,000.00       191,000.00  
MORGAN STANLEY BK SALT LAKE CY UT DTD 10-08-2008 4.75 10-09-2012
    56,000.00       56,000.00  
NATIONAL CITY BK CLEVELAND OHIO DTD 07-31-2008 3.8 C/D 07-31-2009
    95,000.00       95,000.00  
NATIONAL CITY BK CLEVELAND OHIO DTD 08-22-2008 3.65 C/D 08-21-2009
    50,000.00       50,000.00  
NATIONAL REP BK CHICAGO CTF DEP DTD 10-30-2008 4.7 10-30-2013
    50,000.00       50,000.00  
NATL REP BK CHGO CTF DEP ACT/365 MONTHLYDTD 08-28-2008 4.75
08-28-2012
    25,000.00       25,000.00  
NEW FRONTIER BK GREELEY COLO CTF DEP DTD10 JAN 2008 ACT/365 SEMI ANNU 3.6 04
    5,000.00       5,050.80  
NEW FRONTIER BK GREELEY COLO CTF DEP DTD10/15/08 ACT/365 SEMI ANNU 4.5%
    85,000.00       86,998.35  
NEW FRONTIER BK GREELEY COLO CTF DEP DTD11 JUL 08 ACT/365
SEMI-ANN 4.75 7 NOV 12
    100,000.00       102,923.00  
NEW FRONTIER BK GREELEY COLO DTD 09-26-2008 4.45 12-27-2011
    1,000.00       1,019.70  
NEW SOUTH FED SVGS BK IRONDALE ALA CTF DEP ACT/365 MONTHLY 4 17 SEP 10
    95,000.00       96,401.25  
NEW SOUTH FED SVGS BK IRONDALE ALA CTF DEP DTD ACT/365 MONTHLY 3.65 18 JAN 10
    6,000.00       6,064.44  
NEW SOUTH FED SVGS BK IRONDALE ALA DTD 08-06-2008 3.65 C/D 08-06-2009
    95,000.00       95,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
NEW YORK CMNTY BK WESTBURY NEW YORK DTD 07-31-2008 3.7 C/D
07-31-2009
    105,000.00       105,000.00  
NEW YORK COML BK ISLANDIA NY DTD 10-07-2008 2.85 C/D 04-07-2009
    20,000.00       20,000.00  
OLD NATL BK EVNSVL IND CTF DEP DTD 07/09/2008 DTD 7-9-2008 4.25 DUE
7-9-2010
    30,000.00       30,000.00  
ORIENTAL BK & TR SAN JUAN P R DTD 08-22-2008 2.85 C/D 02-23-2009
    95,000.00       95,000.00  
PARAGON COML BK RALEIGH N C DTD 08-22-2008 2.7 C/D 02-23-2009
    90,000.00       90,000.00  
PARKWAY BK & TR HARWOOD HEIGHTS ILL DTD 06-30-2008 3.8 C/D
06-30-2009
    10,000.00       10,000.00  
PARKWAY BK & TR HARWOOD HEIGHTS ILL DTD 10-09-2008 3.55 C/D
10-09-2009
    95,000.00       95,000.00  
PEOPLES BK OZARKS NIXA MO CTF DEP DTD 07-13-2007 5.5 07-13-2017
    10,000.00       10,000.00  
PINNACLE NATL BK NASHVILLE TENN DTD 10-15-2008 3.5 C/D 10-15-2009
    10,000.00       10,000.00  
PRIVATEBANK & TC CHICAGO ILL DTD 06-25-2008 3.65 C/D 06-25-2009
    10,000.00       10,000.00  
PRIVATEBANK & TC CHICAGO ILL DTD 06-27-2008 3.55 C/D 03-27-2009
    10,000.00       10,036.00  
R G PREMIER BK P R HATO REY CTF DEP DTD 05/24/2006 DTD 05-24-2006 5.4
05-24-2011
    95,000.00       99,205.65  
R G PREMIER BK P R HATO REY CTF DEP DTD 06-07-2006 5.3 06-08-2009
    75,000.00       76,033.50  
R G PREMIER BK P R HATO REY CTF DEP DTD 11-08-2006 5.1 11-09-2009
    10,000.00       10,000.00  
R G PREMIER BK P R HATO REY CTF DEP DTD 12-27-2006 4.95 12-28-2009
    75,000.00       75,000.00  
RABOBANK NATL ASSN EL CENTRO CALIF CTF DEP DTD 03-15-2006 0
09-15-2009
    10,000.00       10,000.00  
RIVERSIDE NATL BK FLA CTF DEP DTD 04-23-2008 3.55 09-23-2009
    12,000.00       12,000.00  
S.W BK ST LOUIS MO DTD 04-18-2008 5.2 10-18-2018
    10,000.00       10,000.00  
SALLIE MAE BK MURRAY UT CTF DEP ACT/365 MONTHLY 4.35 10-29-2010
    10,000.00       10,000.00  
SALLIE MAE BK MURRAY UT CTF DEP SEMI ANNU DTD 11-13-2008 5
11-13-2013
    160,000.00       160,000.00  
SALLIE MAE BK MURRAY UTAH CTF DEP DTD 10/29/08 ACT/365 SEMI-ANNU 4.15 4/29/10
    3,000.00       3,050.01  
SALLIE MAE BK MURRAY UTAH CTF DEP DTD 10-01-2008 4 04-01-2010
    19,000.00       19,000.00  
SALLIE MAE BK MURRAY UTAH CTF DEP DTD 10-22-2008 4.25 10-22-2010
    3,000.00       3,000.00  
SALLIE MAE BK MURRAY UTAH CTF DEP DTD 11-13-2008 4.7 11-13-2012
    10,000.00       10,000.00  
SALLIE MAE BK MURRAY UTAH CTF DEP DTD 11MAY 08 ACT/365 SEMI ANNU 4.3 05 NOV 10
    130,000.00       132,580.50  
SALLIE MAE BK MURRAY UTAH DTD 06-20-20083.35 C/D 03-20-2009
    95,000.00       95,000.00  
SALLIE MAE BK MURRAY UTAH DTD 10-22-20083.05 C/D 04-22-2009
    10,000.00       9,987.50  
SALLIE MAE BK MURRAY UTAH DTD 10-29-20083.1 C/D 04-29-2009
    28,000.00       27,965.00  
SALLIE MAE BK MURRAY UTAH DTD 10-29-20083.6 C/D 07-29-2009
    3,000.00       2,995.50  
SEATTLE BK WASH DTD 10-09-2008 2.85 C/D 04-09-2009
    75,000.00       75,000.00  
SOVEREIGN BK FSB WYOMISSING PA CTF DEP SEMI ANNU DTD 11-12-2008
3.85 12-30-2009
    140,000.00       140,000.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
STERLING SVGS BK SPOKANE WASH CTF DEP DTD 06/18/08 ACT/365
SEMI-ANNU 3.55
    20,000.00       20,201.40  
STERLING SVGS BK SPOKANE WASH CTF DEP DTD 07-02-2008 4.05 01-04-2010
    39,000.00       39,567.45  
STERLING SVGS BK SPOKANE WASH CTF DEP DTD 09-30-2008 4.05 03-30-2010
    95,000.00       95,000.00  
STERLING SVGS BK SPOKANE WASH CTF DEP DTD 10 JAN 08 ACT/365
SEMI-ANNU 4.1%
    5,000.00       5,079.35  
STERLING SVGS BK SPOKANE WASH CTF DEP DTD 10-01-2008 3.75 02-01-2010
    10,000.00       10,000.00  
STRATEGIC CAP BK CHAMPAIGN ILL DTD 04-09-2008 3.5 C/D 04-09-2009
    20,000.00       20,000.00  
SUMMIT CMNTY BK MOOREFIELD WEST VA CTF DEP DTD 06-16-2006 5.25
06-16-2009
    100,000.00       100,000.00  
SUN NATL BK VINELAND NJ DTD 07-25-2008 3.5 C/D 04-27-2009
    13,000.00       13,000.00  
SUNTRUST BK ATLANTA GA CTF DEP DTD 03-29-2006 0 09-29-2009
    10,000.00       10,000.00  
TOMATOBANK NA DIAMOND BAR CALIF DTD 08-27-2008 2.9 C/D 02-27-2009
    90,000.00       90,000.00  
TOMATOBANK NA DIAMOND BAR CALIF DTD 09-30-2008 3.75 C/D 12-30-2009
    25,000.00       25,291.75  
TRISTATE CAP BK PITT PA CTF DEP DTD 06/11/2008 ACT/365 MONTHLY 3.5 09-11-09
    10,000.00       10,094.70  
UNITED COML BK SAN FRAN CAL CTF DEP DTD 10 AUG 8 ACT/365 SEMI ANNU 4.5 7 OCT 11
    129,000.00       131,898.63  
UTD CMNTY BKS INC BLAIRSVILLE GA CTF DEPDTD 08/27/2008 ACT/365 4.3
08-27-2010
    50,000.00       50,000.00  
UTD COML BK SAN FRAN CAL CTF DEP DTD 07/30/2008 ACT/365 4.3
07-30-2010
    20,000.00       20,000.00  
UTD COML BK SAN FRAN CAL CTF DEP DTD 10-17-2008 4.15 10-18-2010
    112,000.00       112,000.00  
UTD COML BK SAN FRAN CAL DTD 12-02-2008 2.55 C/D 06-02-2009
    50,000.00       50,000.00  
VINEYARD BK RANCHO CUCAMONGA CALIF CTF DEP DTD 06-18-2008 3.5
08-18-2009
    25,000.00       25,000.00  
VINEYARD BK RANCHO CUCAMONGA CALIF DTD 06-27-2008 4 C/D
10-27-2009
    21,000.00       21,000.00  
WACHOVIA BK N A CHARLOTTE N C CTF DEP DTD 04-04-2006 0 04-01-2011
    10,000.00       10,000.00  
WACHOVIA BK N A CHARLOTTE N C CTF DEP DTD 09/30/2008 ACT/365 4.25
09-30-2010
    100,000.00       100,000.00  
WACHOVIA BK N A CHARLOTTE N C CTF DEP DTD 09/30/2008 ACT/365 5.05
09-30-2013
    34,000.00       34,000.00  
WACHOVIA BK N A CHARLOTTE N C DTD 09-30-2008 2.85 C/D 03-30-2009
    105,000.00       105,000.00  
WACHOVIA BK N A CHARLOTTE N C DTD 09-30-2008 3.55 C/D 09-30-2009
    95,000.00       95,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP ACT/365 MAT 07-18-2008 3.8
07-17-2009
    155,000.00       155,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP ACT/365 SEMI ANNU 4.05
03-19-2010
    120,000.00       121,839.60  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP ACT/365 SEMI ANNU 4.25
09-20-2010
    150,000.00       152,812.50  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP ACT/365 SEMI ANNU D 505
09-19-2013
    90,000.00       93,084.30  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP DTD 05/14/2008 ACT/365 4.4
05-14-2012
    20,000.00       20,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP DTD 06-11-2008 4.7 06-11-2013
    10,000.00       10,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP DTD 07/03/2008 DTD
07-03-2008 4 1-4-2010
    10,000.00       10,140.60  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
WACHOVIA MTG FSB LAS VEGAS NEV CTF DEP DTD 09-30-2008 5.05
09-30-2013
    30,000.00       30,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 07-11-2008 3.55 C/D 04-13-2009
    10,000.00       10,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 07-18-2008 3.15 01-20-2009
    10,000.00       10,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 08-01-2008 3.7 C/D 07-31-2009
    95,000.00       95,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 08-15-2008 3.1 C/D 02-17-2009
    5,000.00       5,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 08-29-2008 3.35 C/D 05-29-2009
    70,000.00       70,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 08-29-2008 3.6 C/D 08-28-2009
    16,000.00       16,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 09-12-2008 2.9 C/D 03-12-2009
    10,000.00       10,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 09-12-2008 3.35 C/D 06-12-2009
    21,000.00       21,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 09-19-2008 3.35 C/D 06-19-2009
    51,000.00       51,000.00  
WACHOVIA MTG FSB LAS VEGAS NEV DTD 09-30-2008 3.3 C/D 06-30-2009
    106,000.00       106,000.00  
WASHINGTON MUT BK HENDERSON NEV CTF DEP DTD 04-18-2007 5.1
04-18-2017
    10,000.00       10,000.00  
WASHINGTON MUT BK HENDERSON NEV CTF DEP DTD 08-16-2006 5.15
08-17-2009
    110,000.00       110,000.00  
WASHINGTON MUT BK HENDERSON NEV DTD 07-18-2007 5.25 C/D 07-16-2010
    96,000.00       99,155.52  
WESTERNBANK P R DTD 08-22-2007 5.15 08-24-2009
    6,000.00       6,000.00  
WORLD SVGS BK FSB OAKLAND CAL CTF DEP 07-06-2007 5.3 07-06-2010
    23,000.00       23,000.00  
WORLD SVGS BK FSB OAKLAND CALIF CTF DEP DTD 11-28-2007 4.6
11-29-2010
    100,000.00       102,542.00  
ZIONS 1ST NATL BK SALT LAKE CY UT DTD 08-26-2008 2.9 CTF OF DEP
02-24-2009
    81,000.00       81,000.00  
ZIONS 1ST NATL BK SALT LAKE CY UT DTD 09-24-2008 3.5 C/D 09-23-2009
    20,000.00       20,000.00  
ZIONS 1ST NATL BK SALT LAKE CY UT DTD 10-06-2008 2.45 C/D 01-05-2009
    50,000.00       50,000.00  
 
           
Certificates of Deposit Total
    23,937,159.10       23,988,031.33  
 
           
 
6 FLAGS INC SR NT 8.875 DUE 02-01-2010/02-01-2006 BEO
    9,235.00       1,325.00  
6 FLAGS INC SR NT 9.75 DUE 04-15-2013/04-15-2008
    24,556.25       3,718.75  
ACCURIDE CORP SR SUB NT 8.5% DUE 02-01-2015/02-01-2009 REG
    3,985.00       1,625.00  
AES CORP 7.75 DUE 03-01-2014/02-13-2004 BEO
    5,300.00       4,400.00  
AES CORP SR NT 7.75% DUE 10-15-2015 REG
    40,000.00       33,600.00  
AES CORP SR NT 8% DUE 10-15-2017/01-17-2008 BEO
    220,000.00       180,400.00  
ALBERTSONS INC SR NT 8.35 DUE 05-01-2010BEO
    10,490.82       9,450.00  
ALCOA INC NT 6% DUE 07-15-2013 BEO
    119,622.00       108,501.96  
ALLIED WASTE N AMER INC ALLIED WASTE NA 5.75 DUE 02-15-2011 BEO
    13,714.62       14,137.50  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ALLIS-CHALMERS ENERGY INC FORMERLY ALLI SR NT 9 DUE 01-15-2014 BEO
    4,660.00       2,650.00  
ALTRIA GROUP INC NT 9.7% DUE 11-10-2018 BEO
    209,855.10       226,974.30  
AMBAC FINL GROUP INC 9.375 DUE 08-01-2011 REG
    4,972.50       2,762.50  
AMER INTL GRP 4% MTN 20/09/2011 EUR50000
    191,360.06       170,281.12  
AMER MOVIL S A B DE C V 5.625 DUE 11-15-2017 BEO
    59,779.80       53,341.74  
AMERADA HESS CORP NT 7.875% DUE 10-01-2029/09-30-2029 BEO
    57,790.80       47,999.10  
AMERADA HESS CORP NT DTD 08/15/2001 7.3%DUE 08-15-2031/08-14-2031 BEO
    180,169.07       150,126.24  
AMERICAN AXLE & MFG INC GTD SR NT 7.875%DUE 03-01-2017/03-01-2008 REG
    4,233.00       1,600.00  
AMERICAN EXPRESS CO SUB DEB FLTG RATE VAR RT DUE
09-01-2066/09-01-2016
    72,672.60       36,235.57  
AMERICAN GEN FIN CORP MEDIUM TERM SR NTS-BOOK ENTRY MTN 4.875% DUE 07-15-2012
    4,274.45       2,150.00  
AMERISOURCEBERGEN CORP SR NT 5.875% DUE 09-15-2015
    19,900.00       17,479.68  
AMERN EXPRESS CENTURION BK NEWARK DEL BKNT VAR RT DUE
03-23-2010
    267,000.00       277,273.50  
AMERN GEN FIN CORP INCOMENOTES BOOK E TRANCHE # TR 00048 4.2 DUE 08-15-2009
    14,463.05       10,162.50  
ANADARKO FIN CO SR NT 7.5% DUE 05-01-2031/08-27-2001 BEO
    33,635.40       26,528.31  
ANADARKO PETE CORP SR NT 6.45% DUE 09-15-2036/09-19-2006 BEO
    150,240.18       118,325.10  
ANADARKO PETE CORP SR NT FLTG RATE DUE 09-15-2009/03-15-2008 BEO
    140,000.00       133,955.22  
AOL TIME WARNER INC DEB DTD 04/19/2001 7.625% DUE
04-15-2031/04-14-2031 BEO
    166,174.69       167,077.70  
ARVINMERITOR INC NT 8.75% DUE 03-01-2012/02-26-2002 BEO
    4,541.50       2,650.00  
ASBURY AUTOMOTIVE GROUP INC SR SUB NT CONV 3% DUE 09-15-2012 BEO
    2,232.50       1,055.22  
ASBURY AUTOMOTIVE GROUP INC SR SUB NT 8%DUE 03-15-2014/03-15-2008 BEO
    3,102.50       1,410.00  
AT&T BROADBAND CORP NT 9.455% DUE 11-15-2022 BEO
    10,550.94       11,264.83  
AVIS BUDGET CAR RENT LLC / AVIS BUDGET FSR NT 7.625
05-15-2014/06-01-2007 BEO
    4,385.00       1,450.00  
BARCLAYS BK PLC PERPETUAL SUB UPPER TIERNT 144A 7.7% DUE
04-25-2049 BEO
    600,000.00       396,756.00  
BEAR STEARNS COS INC SER NT DUE 02-01-2012 BEO
    1,059,960.00       973,857.50  
BON-TON DEPT STORES INC SR NT 10.25% DUE03-15-2014/03-15-2010
    25,048.44       3,000.00  
BORDEN CHEM INC
    24,585.18       1,500.00  
BOWATER INC DEB 9% DUE 08-01-2009 REG
    20,474.50       4,800.00  
BOYD GAMING CORP SR SUB NT 6.75 DUE 04-15-2014/04-15-2009 REG
    9,855.00       6,300.00  
BOYD GAMING CORP SR SUB NT 7.125% DUE 02-01-2016/02-01-2009 REG
    39,800.00       23,600.00  
BRIT TELECOMMUNICATIONS P L C VARIABLE RATE NT DUE
12-15-2010/01-11-2001 BEO
    54,910.35       56,578.45  
CCH I LLC / CCH HLDGS LLC SR SECD NT 11%DUE 10-01-2015/10-01-2010 REG
    31,162.50       5,250.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CENTENNIAL COMMUNICATIONS CORP NEW SR NTFLT RT DUE
01-01-2013/01-01-2009 BEO
    3,171.25       2,910.00  
CHESAPEAKE ENERGY CORP CHESAPEAKE ENRGY 7.25% DUE 12-15-2018 BEO
    30,000.00       23,400.00  
CHESAPEAKE ENERGY CORP SR NT 6.25% DUE 01-15-2018/07-15-2010 REG
    19,784.60       14,800.00  
CHESAPEAKE ENERGY CORP SR NT 6.5% DUE 08-15-2017 REG
    978.75       765.00  
CHIQUITA BRANDS INTL INC SR NT 8.875% DUE 12-01-2015/06-01-2008 REG
    23,263.63       17,750.00  
CHS / CMNTY HEALTH SYS INC SR NT 8.875% DUE 07-15-2015/07-15-2008 BEO
    39,717.60       36,800.00  
CIT GROUP INC 7.625% DUE 11-30-2012 BEO
    46,155.60       38,250.00  
CIT GROUP INC INTERNOTES BOOK ENTRY TRANCHE # TR 00419 6.5% DUE 03-15-2010
    10,000.00       6,625.00  
CIT GROUP INC INTERNOTES BOOK ENTRY MTN 4.6% DUE 08-15-2010
    3,947.50       3,312.50  
CIT GROUP INC INTERNOTES BOOK ENTRY MTN 6.5% DUE
06-15-2022/06-15-2010
    4,000.00       1,905.00  
CIT GROUP INC NEW SR NT 5.4% DUE 03-07-2013 BEO
    60,500.00       75,522.80  
CITIGROUP FDG INC DISC COML PAPER 3/A3 YRS 1&2 01-26-2009
    426,398.75       428,959.62  
CITIZENS COMMUNICATIONS CO CITIZENS COMMUNICATIONS 9.25 DUE
05-15-2011 BEO
    11,187.50       9,500.00  
CITIZENS COMMUNICATIONS CO SR NT 7.875% DUE 01-15-2027 BEO
    20,800.00       11,600.00  
CITIZENS COMMUNICATIONS CO SR NT 9% DUE 08-15-2031 BEO
    17,745.00       12,700.00  
CLEAR CHANNEL COMMUNICATIONS INC 4.25 DUE 05-15-2009 BEO
    48,056.60       44,000.00  
CLEAR CHANNEL COMMUNICATIONS INC SR NT DTD 03/21/2006 6.25% DUE 03-15-2011 BEO
    59,398.20       18,000.00  
CLOROX CO SR NT 5% DUE 01-15-2015 REG
    33,006.35       33,108.32  
CMO FNMA SERIES 2003-88 CLASS-F DUE 05-25-2030 REG
    365,282.59       355,876.79  
CMO INDYMAC INDX MTG LN TR 2007-AR15 CTFCL 2-A-1 VAR RATE DUE
08-25-2037 REG
    222,738.34       141,276.97  
CMO INDYMAC INDX MTG LN TR 2007-AR5 MTG CL 2-A-1 VAR DUE
05-25-2037 REG
    143,579.21       100,198.60  
CMO J P MORGAN CHASE COML MTG SECS CORP 5.2945% DUE 01-12-2043 BEO
    100,499.63       80,323.90  
CMO MASTR ADJ RATE MTGS TR 2004-15 MTG PASSTHRU CTF CL 1-A-1 DUE 12-25-2034 REG
    22,273.99       11,885.63  
CMO ML-CFC COML MTG TR 2007-6 MTG PASSTHRU CTF CL A-4 DUE
03-12-2051 REG
    150,823.00       103,272.30  
CMO THORNBURG MTG SECS TR 2006-3 SERIES CLASS-A3 DUE 06-25-2046 REG
    367,264.68       359,301.65  
CMO WELLS FARGO ALTERNATIVE LN 2007-PA2 MTG AST BKD CTF CL
II-A-1 DUE 06-25-2037
    165,430.54       102,534.40  
COLEMAN CABLE INC SR NT 9.875% DUE 10-01-2012/10-01-2008 REG
    9,385.00       6,325.00  
COLUMBIA / HCA HEALTHCARE CORP 7.5 DUE 11-15-2095 REG
    92,400.00       88,981.20  
COMCAST CORP NEW 0 DUE 08-15-2037 BEO
    170,283.20       168,488.32  
COMCAST CORP NEW COMCAST CORPORATION 6.5% DUE 01-15-2017 BEO
    141,600.20       133,341.39  
COMMERCIAL VEH GROUP INC SR NT 8% DUE 07-01-2013/07-01-2008 REG
    6,230.00       3,290.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
COMPAGNIE GENERALE DE GEOPHYSIQUE VERITASR NT 7.75 DUE
05-15-2017
    25,912.50       14,500.00  
COMPAGNIE GENERALE DE GEOPHYSIQUE SR NT 7.5% DUE
05-15-2015/05-15-2006 REG
    25,550.00       15,500.00  
COMPLETE PRODTN SVCS INC SR NT 8% DUE 12-15-2016/12-15-2008 REG
    41,075.00       25,200.00  
CONSECO FIN SECURITIZATIONS CORP SR/SUB PASSTHRU 06-01-2030 BEO
    197,789.90       151,873.71  
CONSECO FIN SECURITIZATIONS SER 2000-4 CL A6 EXP MAT 4-1-13 8.31
05-01-32 BEO
    72,332.96       45,749.16  
CONSTAR INTL INC NEW SR SUB NT 11% DUE 12-01-2012/12-01-2008 BEO
    23,190.28       500.00  
CONTINENTAL AIRLS INC NTS 8.75% DUE 12-01-2011/11-13-2006 BEO
    8,010.00       6,150.00  
CVS CAREMARK CORP PASS THRU CTF 144A 6.943% DUE
01-10-2030/04-10-2008 BEO
    147,316.03       92,627.90  
CVS CAREMARK CORP SR NT FLTG DUE 06-01-2010/12-01-2008 REG
    1,470,735.00       1,380,166.50  
DAVE & BUSTERS INC SR NT 11.25% DUE 03-15-2014/03-15-2010
    52,545.31       26,000.00  
DAVITA INC SR NT 6.625% DUE 03-15-2013/03-15-2009 REG
    45,237.50       42,750.00  
DELUXE CORP SR NT 5 DUE 12-15-2012/12-14-2012 BEO
    12,617.50       6,937.50  
DENNYS HLDGS INC SR NT 10% DUE 10-01-2012/10-01-2008 REG
    4,685.00       3,450.00  
DEUTSCHE BK AG LDN 0% IDX-LKD BDS 24/06/09 USD
    20,000.00       1,416,786.00  
DEUTSCHE TELEKOM INTL FIN B V NT 5.75% DUE 03-23-2016 REG
    74,516.25       71,792.85  
DEX MEDIA INC NT 8% DUE 11-15-2013/11-15-2008 REG
    7,695.00       1,850.00  
DI FIN SUB LLC / DYNCORP INTL LLC / DIV SR SUB NT 9.5 DUE 02-15-2013 REG
    8,160.00       6,970.00  
DIRECTV HLDGS LLC / DIRECTV FING INC SR NT 8.375% DUE
03-15-2013/03-15-2008 BEO
    20,837.50       19,900.00  
DOLE FOOD INC DEB DTD 08-03-1993 8.75% DUE 07-15-2013 REG
    9,438.10       5,900.00  
DOLLAR GEN CORP SR NT 10.625% DUE 07-15-2015/07-15-2011 REG
    26,628.30       23,875.00  
DRS TECHNOLOGIES INC SR NT 6.625% DUE 02-01-2016/02-01-2011 REG
    10,000.00       10,000.00  
DVI INC IN DEFAULT 9.875 DUE 12-31-2040/02-01-2003 REG
    18,733.76       3,250.00  
DYNEGY HLDGS INC SR NT 7.75% DUE 06-01-2019 REG
    64,168.75       44,850.00  
E TRADE FINL CORP FORMERLY E TRADE GROU SR NT 8 DUE 06-15-2011 REG
    4,135.00       2,275.00  
EASTMAN KODAK CO 7.25 DUE 11-15-2013 BEO
    39,200.80       25,800.00  
ECHOSTAR DBS CORP SR NT 6.625% DUE 10-01-2014 REG
    9,910.20       8,350.00  
ECHOSTAR DBS CORP SR NT 7.125% DUE 02-01-2016
    14,941.80       12,525.00  
ECHOSTAR DBS CORP SR NT 7.75% DUE 05-31-2015 REG
    9,975.00       8,500.00  
EDISON MISSION ENERGY SR NT TRANCHE A 7%DUE 05-15-2017 REG
    40,000.00       34,800.00  
EDISON MISSION ENERGY SR NT TRANCHE B 7.2% DUE 05-15-2019 REG
    50,000.00       41,000.00  
EDISON MISSION ENERGY SR NT TRANCHE C 7.625% DUE 05-15-2027 REG
    10,000.00       7,750.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
EKSPORTFINANS A S A MEDIUM TERM NTS BOOKTR # TR 00147 5.5 DUE
06-26-2017 REG
    992,650.00       1,091,859.00  
EL PASO CORP EL PASO ENERGY CORP 7% DUE 05-15-2011/05-14-2011 BEO
    10,158.33       9,000.00  
EL PASO CORP NAT GAS SR NT 7 DUE 06-15-2017 BEO
    158,758.40       125,216.80  
EL PASO ENERGY CORP MEDIUM TERM NTS BOOK TR 4 7.8 8-1-31
    80,550.71       56,680.76  
EL PASO ENERGY CORP MTN BOOKTRANCHE # TR00005 7.75 1-15-2032 BEO
    316,853.98       214,209.93  
EL PASO NAT GAS CO NT 8.375% DUE 06-15-2032/06-14-2032 BEO
    87,902.32       75,934.41  
ENTERPRISE PRODS OPER LLC GTD SR NT 9.75% DUE 01-31-2014/12-08-2008 REG
    190,000.00       193,474.72  
EXELON CORP EXELON CORP 5.625 6 15 35 5.625% DUE 06-15-2035/06-09-2005 BEO
    126,059.90       82,064.06  
FIRSTENERGY CORP NT SER C 7.375 DUE 11-15-2031/11-14-2031 BEO
    416,850.95       359,486.08  
FMC FIN III S A GTD SR NT 6.875% DUE 07-15-2017 BEO
    29,467.50       28,050.00  
FORD HLDGS INC DEB DTD 03/01/1990 9.375%DUE 03-01-2020 REG
    12,787.50       2,640.00  
FORD MTR CO DEL 9.98% DUE 02-15-2047 REG
    35,380.00       7,600.00  
FORD MTR CO DEL SR NT CONV 4.25 DUE 12-15-2036 REG
    20,000.00       4,925.00  
FORD MTR CR CO CONTINUOUSLY OFFERED BDS TRANCHE # TR 00212 09/17/03 6.15 9-20-10
    9,155.00       5,107.35  
FORD MTR CR CO LLC GLOBAL LANDMARK SECS-GLOBLS 7.375% DUE
02-01-2011 BEO
    103,003.20       76,046.20  
FORD MTR CR CO LLC NT 7% DUE 10-01-2013
    351,000.00       270,332.00  
FORD MTR CR CO LLC NT 7.375% DUE 10-28-2009 BEO
    146,475.64       131,733.15  
FORD MTR CR CO MEDIUM TERM NTS BOOK ENTRY 7.5% DUE
04-25-2011/04-25-2001
    8,936.00       4,696.29  
FORD MTR CR CO NT 8 DUE 12-15-2016 REG
    218,262.50       149,814.41  
FOREST CITY ENTERPRISES INC SR NT 6.5% DUE 02-01-2017/02-01-2010 BEO
    16,000.00       5,600.00  
FREEPORT-MCMORAN COPPER & GOLD INC SR NT8.375% DUE
04-01-2017/04-01-2008 REG
    237,544.20       180,400.00  
FREESCALE SEMICONDUCTOR INC SR NT 8.875%DUE 12-15-2014/12-15-2008 REG
    10,000.00       4,400.00  
GEN MTR CORP 8.80 BD DUE 3-1-2021 REG PUTABLE ON 3-1-98
    12,857.04       1,680.00  
GEN MTRS ACCEP CORP 5.625 DUE 05-15-2009BEO
    82,467.30       86,486.94  
GEN MTRS ACCEP CORP NT DTD 09/12/2001 6.875 DUE 09-15-2011 BEO
    177,650.00       153,831.79  
GEN MTRS ACCEP CORP SMARTNOTES BOOK TRANCHE # TR 00645 7.5 DUE 10-15-2012
    9,796.50       4,500.00  
GEN MTRS ACCEP CORP SMARTNOTES TRANCHE #TR 00651 7.75 DUE
10-15-12/05 BEO
    1,008.00       450.00  
GEN MTRS CORP 8.25 DUE 07-15-2023 BEO
    99,400.00       23,100.00  
GEN MTRS CORP 8.25 DUE 07-15-2023 BEO
    1,092.60       160.00  
GEN MTRS CORP SR NT 7.125 DUE 07-15-2013REG
    20,242.60       3,200.00  
GENERAL MTRS ACCEP CORP GLOBAL BD 7.25% DUE 03-02-2011 BEO
    99,792.10       84,983.50  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
GENERAL MTRS ACCEP CORP GMAC GWBAL 7.0% 02-01-02 7% DUE
02-01-2012 BEO
    10,069.50       7,900.00  
GENERAL MTRS ACCEP CORP NT 6.75% DUE 12-01-2014
    312,000.00       273,458.40  
GENERAL MTRS ACCEP CORP NT 7.75% DUE 01-19-2010 BEO
    872,378.10       802,695.60  
GENERAL MTRS ACCEP CORP NT 7.75% DUE 01-19-2010 BEO
    9,904.95       8,900.00  
GENERAL MTRS ACCEP CORP SR NT DTD 01/14/1999 5.85% DUE 01-14-2009 BEO
    84,787.50       89,413.47  
GENERAL MTRS CORP DEB DTD 06/10/1996 8.1% DUE 06-15-2024/06-15-2008 BEO
    11,715.00       1,540.00  
GENERAL MTRS CORP NT DTD 07/15/1991 9.4%DUE 07-15-2021 REG
    9,565.00       1,500.00  
GEORGIA GULF CORP SR NT 9.5% DUE 10-15-2014/10-15-2008 REG
    9,930.40       3,000.00  
GLITNIR BANKI HF GLOBAL MEDIUM TERM SR NTRANCHE # TR 00003 6.33 DUE 07-28-2011
    100,000.00       4,750.00  
GLITNIR BANKI HF MEDIUM TERM SR BK NTS BTRANCHE # TR 00005 BD IN DEFAULT
    99,776.00       4,750.00  
GMAC LLC NT 7.375 DUE DO NOT USE SEE SEC#1-002955
    9,196.13       13,090.00  
GRAHAM PACKAGING CO L P / GPC CAP CORP ISR NT 8.5% DUE
10-15-2012/10-15-2008 REG
    20,050.00       14,250.00  
GROUP 1 AUTOMOTIVE INC SR SUB NT 8.25% DUE 08-15-2013/08-15-2008 REG
    4,810.00       3,300.00  
HARRAHS OPER INC GTD SR NT DTD 09/28/2005 5.75 DUE 10-01-2017 REG
    18,148.96       4,187.50  
HARRY & DAVID OPERATIONS CORP SR NT 9% DUE 03-01-2013/03-01-2008 REG
    24,098.75       7,750.00  
HCA INC 6.25 DUE 02-15-2013/02-14-2013 BEO
    20,349.75       12,500.00  
HCA INC FORMERLY HCA-HEALTHCARE CO NT DTD 09-23-2002 6.3 DUE
10-01-2012 BEO
    1,373.60       1,410.00  
HCA INC NT 7.5% DUE 11-06-2033/11-05-2033 REG
    19,964.47       9,300.00  
HCA INC SR SECD NT 9.125% DUE 11-15-2014/11-15-2008 BEO
    10,000.00       9,275.00  
HCA INC SR SECD NT 9.25% DUE 11-15-2016/11-15-2008 BEO
    60,000.00       55,050.00  
HCA INC SR SECD TOGGLE NT 9.625 DUE 11-15-2016/11-15-2008 BEO
    3,023.44       2,340.00  
HERTZ CORP SR NT 10.5% DUE 01-01-2016/01-01-2009
    10,987.50       4,562.50  
HERTZ CORP SR NT 8.875% DUE 01-01-2014/01-01-2009
    15,000.00       9,225.00  
HERTZ CORP SR NT 8.875% DUE 01-01-2014/01-01-2009
    4,766.25       3,050.00  
HOST MARRIOTT L P SR NT SER Q 6.75% DUE 06-01-2016/06-01-2008
    10,000.00       7,300.00  
HOVNANIAN K ENTERPRISES INC GTD SR SUB NT 7.75% DUE
05-15-2013/05-15-2008 REG
    21,441.15       6,000.00  
IDEARC INC SR NT 8 DUE 11-15-2016 REG
    3,335.00       425.00  
IDEARC INC SR NT 8 DUE 11-15-2016 REG
    51,506.25       3,750.00  
ILFC E-CAPITAL TR II BD 144A DUE 12-21-2065/12-21-2008 BEO
    19,974.80       8,352.26  
INN OF THE MTN GODS RESORT & CASINO SR NT 12% DUE
11-15-2010/11-15-2008 REG
    11,775.00       3,300.00  
INTERNATIONAL COAL GROUP INC NEW SR NT 10.25% DUE
07-15-2014/07-15-2008
    24,256.77       18,750.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
INTERNATIONAL LEASE FIN CORP MEDIUM TERMNTS BOOK ENTRY MTN 7.7% DUE 03-15-2010
    2,560.00       2,490.00  
INTL LEASE FIN CORP- MEDIUM TER TRANCHE # TR 00565 4.375 DUE
11-01-2009
    83,000.00       87,673.90  
INTL LEASE FIN CORP- MEDIUM TER TRANCHE # TR 00588 5.625 DUE
09-15-2010
    483,750.00       471,630.00  
ISTAR FINL INC SR NT 5.125% DUE 04-01-2011 REG
    8,210.00       3,425.00  
JPMORGAN CHASE & CO GLOBAL MEDIUM TERM NZERO CPN DUE
02-19-2010
    20,000.00       14,922.00  
KAUPTHING BK HF MED TRM SR BK NTS TR # SR 7.625 12-31-40 BD IN DEFAULT
    401,980.80       14,400.00  
KERR MCGEE CORP 6.95 DUE 07-01-2024 BEO
    21,612.60       17,536.96  
KERR MCGEE CORP CRP KMG 7.875 DUE 09-15-2031 BEO
    142,201.98       119,671.11  
KINDER MORGAN ENERGY PARTNERS L P KINDERMORGAN ENER PT NT 5 12-15-13 BEO
    27,962.20       26,161.35  
KINDER MORGAN ENERGY PARTNERS L P 7.125 3-15-12 BEO
    10,461.80       9,658.02  
KINDER MORGAN ENERGY PARTNERS L P KINDERMORGAN ENERGY PARTNERS 6 DUE 020117
    80,698.84       69,454.00  
KINDER MORGAN ENERGY PARTNERS L P KMP 5.95 02/15/18 5.95% DUE
02-15-2018 BEO
    69,639.70       59,742.55  
KINDER MORGAN ENERGY PARTNERS L P SR NT 6.3% DUE
02-01-2009/01-29-1999 BEO
    20,183.60       19,980.72  
KINDER MORGAN ENERGY PARTNERS L P SR NT 6.95 DUE 01-15-2038 REG
    31,099.40       24,262.41  
KINDER MORGAN ENERGY PARTNERS L P SR NT UNSOLICITED 5.85 DUE
09-15-2012 BEO
    9,594.50       9,157.99  
LANDSBANKI IS HF MED TRM SR BK NTS BTRNCHE #SR00001 6.1 08-25-11 IN DEFAULT
    189,950.60       3,325.00  
LEHMAN BROS HLDGS INC 5.857 DUE BD IN DEFAULT
    52,998.00       6.00  
LEHMAN BROS HLDGS INC LEHMAN BROTHERS HOLDINGS 6.75 12-28-17 BEO DEFAULT
    349,741.00       35.00  
LEHMAN BROS HLDGS INC MEDIUM TERM NT TRANCHE 00861 6.2 09-26-14 BD IN DEFAULT
    39,966.40       3,800.00  
LEHMAN BROS HLDGS INC MTN BEO # TR00048 5.625 01-24-2013 BD IN DEFAULT
    1,094,984.00       104,500.00  
LEHMAN BROS HLDGS INC MTN TRANCHE # TR 00475 3.6 DUE 03-13-2009 REG IN DEFAULT
    24,962.50       2,437.50  
LEHMAN BROS HLDGS INC SR NT DTD 08/19/1997 7.2% DUE 12-31-2040 REG
    10,075.10       950.00  
LEUCADIA NATL CORP JR SUB DEFFERABLE INTDEB 8.65% DUE
01-15-2027/01-15-2009 REG
    3,155.00       1,972.50  
LEVEL 3 COMMUNICATIONS INC SR CONV NT 2.875 DUE
07-15-2010/07-08-2003 REG
    2,626.00       1,860.00  
LIBERTY MEDIA CORP SR EXCHANGEABLE EXCH INTO SPRINT 3.75
02-15-30/02-15-04
    14,616.40       7,950.00  
MERCER INTL INC SR NT 9.25% DUE 02-15-2013/02-15-2009 BEO
    4,435.00       2,475.00  
METLIFE INC JR SUB DEB 6.4% DUE 12-15-2066/12-15-2008 REG
    27,182.40       18,000.00  
MGM MIRAGE 7.625 DUE 01-15-2017 BEO
    50,630.21       32,250.00  
MGM MIRAGE SR NT 6.75% DUE 09-01-2012 REG
    20,000.00       14,000.00  
MICHAELS STORES INC SR NT 10% DUE 11-01-2014/11-01-2008 REG
    4,360.00       2,250.00  
MOHEGAN TRIBAL GAMING AUTH SR SUB NT 8% DUE 04-01-2012/04-01-2008 BEO
    7,000.00       4,270.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
MORGAN STANLEY DEAN WITTER DISCOVER & COTR # TR 00709 11/13/8 10.75 13 NOV 2023
    74,275.00       75,000.00  
MRS FIELDS FAMOUS BRANDS LLC / MRS FIELDSR SECD NT 10 DUE
10-24-2014
    837.13        
NEWS AMER INC SR NT 6.65% DUE 11-15-2037REG
    9,855.00       9,897.61  
NEXTEL COMMUNICATIONS INC CONV SR NT 5.25% DUE
01-15-2010/01-15-2009 BEO
    3,008.00       2,600.10  
NEXTEL COMMUNICATIONS INC SR SER RED NT SER F 5.95 DUE
03-15-2014/03-15-2009 REG
    15,327.50       6,300.00  
NEXTEL COMMUNICATIONS INC SR SERIAL RED NT SER D 7.375 DUE
08-01-2015REG
    55,000.00       21,000.00  
NEXTEL COMMUNICATIONS INC SR SERIAL RED NT SER D 7.375 DUE
08-01-2015REG
    7,882.50       4,173.82  
NII HLDGS INC NT CONV 3.125 DUE 06-15-2012 BEO
    1,443.75       1,210.05  
NOVA CHEMICALS CORP SR NT 6.5% DUE 01-15-2012 REG
    9,500.36       4,175.00  
NPC INTL INC SR SUB NT 9.5% DUE 05-01-2014/05-01-2008 REG
    24,081.25       18,000.00  
NRG ENERGY INC 7.375% DUE 02-01-2016/02-01-2009 BEO
    10,437.50       9,300.00  
NRG ENERGY INC SR NT 7.25% DUE 02-01-2014/02-01-2010 REG
    39,937.50       37,400.00  
NRG ENERGY INC SR NT 7.375% DUE 01-15-2017/01-15-2009 REG
    10,437.50       9,200.00  
NXP B V / NXP FDG LLC SR SECD NT 7.875% DUE 10-15-2014/10-15-2008 REG
    5,000.00       1,950.00  
OPTI CDA INC GTD SR SECD NT 7.875% DUE 12-15-2014/12-15-2008 BEO
    40,000.00       20,400.00  
OPTI CDA INC GTD SR SECD NT 8.25% DUE 12-15-2014/12-15-2008 REG
    25,137.50       13,500.00  
OXFORD INDS INC SR NT 8.875% DUE 06-01-2011/06-01-2008 REG
    10,650.00       7,550.00  
PACIFIC GAS & ELEC CO 1ST MTG BD 6.05% DUE 03-01-2034 REG
    54,835.77       58,413.25  
PACIFIC GAS & ELEC CO 8.25% DUE 10-15-2018/10-21-2008 BEO
    78,674.40       96,116.88  
PARK OHIO INDS INC OHIO SR SUB NT 8.375%DUE 11-15-2014/11-15-2009 REG
    6,987.27       3,280.00  
PARK PL ENTMT CORP SR SUB NT 8.125% DUE 05-15-2011/05-14-2011 BEO
    18,097.92       8,330.00  
PEABODY ENERGY CORP SR NT 6.875% DUE 03-15-2013/03-15-2008 BEO
    15,049.69       14,212.50  
PENNEY J C INC DEB 7.4 DUE 04-01-2037 REG PUT
    10,462.50       6,583.88  
PETROBRAS INTL FIN CO GLOBAL NT 6.125% DUE 10-06-2016 REG
    109,590.60       107,250.00  
PILGRIMS PRIDE CORP SR SUB NT 8.375 DUE 05-01-2017 BEO
    25,094.98       2,100.00  
PLY GEM INDS INC SR SUB NT 9% DUE 02-15-2012/02-15-2008 REG
    23,800.00       6,000.00  
POINDEXTER J B INC SR NT 8.75% DUE 03-15-2014/03-15-2009 REG
    23,013.89       11,500.00  
PRIDE INTL INC DEL SR NT 7.375% DUE 07-15-2014/07-15-2008 REG
    19,894.80       18,600.00  
PVTPL AES CORP 2ND PRIORITY SR SECD NT 144A 8.75% DUE
05-15-2013/05-15-2008 BEO
    163,277.40       149,760.00  
PVTPL AES CORP SR NT 144A 8% DUE 06-01-2020 REG
    100,000.00       77,500.00  
PVTPL AIFUL CORP SR NT 144A 5% DUE 08-10-2010 BEO
    108,598.60       60,477.89  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
PVTPL AIR 2 US ENHANCED EQUIP SER A 8.027 DUE 10-01-2020 BEO SF
10-01-2000
    20,094.68       29,769.89  
PVTPL AMES TRUE TEMPER INC SR SUB NT 10%DUE 07-15-2012/07-15-2008 REG
    25,802.78       8,750.00  
PVTPL CMO CMO HLDGS III LTD SER 2007-R11CL A-1A VAR RT DUE 9-27-37 BEO
    648,080.85       692,877.39  
PVTPL CMO GMAC COML MTG SECS INC MTG PT CTF 1998-C2 CL F 144A 6.5 05-15-35
    93,750.00       142,065.30  
PVTPL DR PEPPER SNAPPLE GROUP INC SR NT 144A 6.82% DUE 05-01-2018 BEO
    59,991.00       59,181.12  
PVTPL ENERGY FUTURE HLDGS CORP 11.25% DUE 11-01-2017/11-01-2012 BEO
    714,896.50       354,050.00  
PVTPL ENERGY FUTURE HLDGS CORP SR NT 144A 10.875 DUE 11-01-2017 BEO
    10,000.00       7,100.00  
PVTPL EVRAZ GROUP S A 8.875% DUE 04-24-2013 BEO
    170,000.00       86,700.00  
PVTPL GLEN MEADOW PASS-THRU TR GLEN MEADOW PASS THRU 6.505 DUE 021267 BEO
    96,462.00       44,709.30  
PVTPL GLITNIR BANKI HF SUB NT FIXED/ FLT RT 144A DUE 06-15-2016 BEO
    100,000.00       15.00  
PVTPL ICICI BK LTD SUB NT 144A VAR RT DUE 04-30-2022/04-30-2017 BEO
    121,958.54       64,063.66  
PVTPL INDYMAC ABS INC 2006-H1 CL A VAR RT DUE 04-25-2036 REG
    442,106.82       95,176.47  
PVTPL KAZMUNAIGAZ FIN SUB BV GTD GLOBAL # TR 00002 8.375 DUE
07-02-2013 BEO
    159,198.40       124,800.00  
PVTPL LEVEL 3 FING INC SR GTD NT 9.25 DUE 11-01-2014/11-01-2010 REG
    25,387.50       14,500.00  
PVTPL PEGASUS AVIATION LEASE SECUR SER 2000-1 NT CL A-2 144A 8.37
3-25-2030 BEO
    143,425.00       117,552.50  
PVTPL PETROLEUM EXPT LTD NT CL A-2 144A 4.633% DUE
06-15-2010/07-20-2005 BEO
    133,332.01       131,232.03  
PVTPL RESIDENTIAL CAP LLC SR SECD NT 144A 9.625% DUE 05-15-2015 BEO
    64,853.43       16,240.00  
PVTPL SEMGROUP L P / SEMGROUP FIN SR NT 144A 8.75 11-15-15/10 BEO BD IN DEFAULT
    24,625.00       875.00  
PVTPL SHINSEI FIN CAYMAN LTD PERP PFD SECS STEP-UP 144A VAR RT DU7-20-16 BEO
    103,335.10       23,006.72  
PVTPL SOUTHN NAT GAS CO SOUTHN NAT GAS 5.9 DUE 04-01-2017 BEO
    30,015.70       23,773.74  
PVTPL TL ACQUISITIONS INC SR TOGGLE NT 144A 10.5% DUE
01-15-2015/07-15-2008 BEO
    19,744.80       8,200.00  
PVTPL TNK-BP FIN S A SR MTN BK ENT TRANCHE # TR 00006 7.875 3-13-2018 BEO
    98,728.00       50,000.00  
PVTPL TNK-BP FIN S A SR MTN TRANCHE # TR00002 144A 7.5 DUE 07-18-2016 BEO
    119,551.20       60,048.00  
PVTPL TURANALEM FIN BV CO GUAR 8.25 DUE 01-22-2037 BEO
    210,706.50       90,300.00  
PVTPL VEDANTA RES PLC SR GLOBAL NT 144A 8.75% DUE 01-15-2014 BEO
    100,000.00       60,000.00  
PVTPL VISTEON CORP SR NT 144A 12.25% DUE12-31-2016/12-31-2013 BEO
    17,407.99       4,560.00  
QUALITY DISTR LLC / QD CAP CORP SR SUB NT 9% DUE 11-15-2010/11-15-2008 REG
    25,300.00       8,125.00  
QWEST COMMUNICATIONS INTL INC SR NT FLTGRATE DUE
02-15-2009/02-15-2008 REG
    15,093.75       14,925.00  
QWEST COMMUNICATIONS INTL INC SR NT SER B 7.5% DUE
02-15-2014/02-15-2008 REG
    26,937.50       19,305.00  
QWEST CORP NT FLTG RATE DUE 06-15-2013 REG
    500,000.00       372,500.00  
R H DONNELLEY CORP SR NT SER A-4 8.875% DUE 10-15-2017/10-15-2012 REG
    5,000.00       750.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
RADIAN GROUP INC DEB 7.75 DUE 06-01-2011BEO
    16,653.25       8,950.00  
REALOGY CORP SR SUB NT 12.375% DUE 04-15-2015/04-15-2008 REG
    10,145.00       2,600.00  
REALOGY CORP SR SUB NT 12.375% DUE 04-15-2015/04-15-2008 REG
    98,575.00       14,850.00  
RESIDENTIAL CAP LLC SR SECD NT 144A 8.5%DUE 05-15-2010 BEO
    47,625.00       20,357.10  
REYNOLDS AMERN INC REYNOLDS AMER 6.75 DUE 06-15-2017 BEO
    49,954.00       39,689.30  
ROGERS CABLE INC SR SECD 2ND PRIORITY NT6.75% DUE
03-15-2015/03-14-2015 REG
    20,287.50       19,476.28  
ROGERS WIRELESS INC SR SECD NT 6.375 DUE03-01-2014 REG
    10,000.00       9,505.97  
ROYAL BK SCOTLAND GROUP PLC PFD CAP SECS144A DUE 10-29-2049 BEO
    120,000.00       56,104.32  
ROYAL KPN NV 8 DUE 10-01-2010
    32,316.90       30,276.09  
S W AIRLS CO NT 6.5 DUE 03-01-2012/02-28-2012 BEO
    10,071.30       9,415.49  
SABRE HLDGS CORP SR NT 8.35% DUE 03-15-2016/03-13-2006 REG
    46,136.26       10,750.00  
SAFEGUARD SCIENTIFICS INC SR DEB CONV 2.625% DUE
03-15-2024/03-20-2009 REG
    1,460.00       1,398.67  
SEALY MATTRESS CO SR SUB NT 8.25% DUE 06-15-2014/06-15-2008 REG
    4,385.00       2,987.50  
SERVICE CORP INTL SR NT 6.75% DUE 04-01-2016/10-21-2004 REG
    9,813.80       7,600.00  
SHAW COMMUNICATIONS INC SR NT 7.25 DUE 04-06-2011/04-05-2011 BEO
    10,500.00       9,450.00  
SLM CORP MEDIUM TERM NTS BOOK ENTRY 5.625 DUE 08-01-2033
    16,965.50       12,132.92  
SLM CORP MEDIUM TERM NTS BOOK ENTRY TRANCHE # TR 00015 5 DUE
04-15-2015 BEO
    8,834.00       6,344.09  
SLM CORP MEDIUM TERM NTS BOOK ENTRY 5% DUE 10-01-2013 BEO
    142,469.70       114,483.20  
SLM CORP MEDIUM TERM NTS BOOK ENTRY NT 5.05% DUE 11-14-2014 BEO
    26,786.40       19,964.67  
SLM CORP MEDIUM TERM NTS BOOK ENTRY TR #00057 5.375% DUE
05-15-2014 REG
    175,732.70       131,600.43  
SOLO CUP CO SR SUB NT 8.5 DUE 02-15-2014/02-15-2009 REG
    41,044.79       32,000.00  
SONIC AUTOMOTIVE INC SR SUB NT 8.625% DUE 08-15-2013/08-15-2008 REG
    4,716.50       1,862.50  
SOUTHERN UN CO NEW SOUTHN UN CO 7.2 DUE 11/01/66 DUE
11-01-2066/11-01-2008 BEO
    3,053.75       1,050.00  
SOUTHN NAT GAS CO SOUTHN NAT GAS CO 8 DUE 03-01-2032/02-28-2032 BEO
    17,437.50       12,499.01  
SPECTRUM BRANDS INC SR SUB 12.5% DUE 10-02-2013/10-01-2008 BEO
    2,834.38       832.50  
SPECTRUM BRANDS INC SR SUB NT 7.375% DUE02-01-2015/02-01-2010 REG
    21,201.82       4,625.00  
SPRINT CAP CORP NT 7.625% DUE 01-30-2011BEO
    48,150.50       41,750.00  
SPRINT CAP CORP NT 8.375 DUE 03-15-2012 BEO
    121,410.63       84,000.00  
SPRINT CAP CORP NT 8.75% DUE 03-15-2032 BEO
    12,020.67       6,750.00  
SR NT 10.75% DUE 04-01-2013/04-01-2008 BEO
    24,734.03       6,000.00  
STANDARD PAC CORP NEW SR NT 6.5% DUE 08-15-2010/09-07-2005 REG
    10,091.67       7,850.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
STATION CASINOS INC SR NT 7.75% DUE 08-15-2016/08-15-2011 REG
    41,062.50       7,600.00  
STATION CASINOS INC SR SUB NT 6.875% DUE03-01-2016/03-01-2009 REG
    5,125.00       287.50  
STEEL DYNAMICS INC SR NT 6.75% DUE 04-01-2015/04-01-2011 BEO
    35,012.50       24,150.00  
STEEL DYNAMICS INC SR NT 7.375% DUE 11-01-2012 REG
    10,000.00       7,300.00  
SUBN PROPANE PARTNERS L P / SUBN ENE SR NT 6.875 DUE
12-15-2013/12-15-2008 REG
    24,457.25       20,500.00  
SUN MEDIA CORP CDA SR NT 7.625% DUE 02-15-2013/02-15-2008 BEO
    16,237.50       12,075.00  
SUNTRUST PFD CAP I NORMAL PFD PUR SECS PPS 5.853 DUE
12-15-2011/12-15-2011REG
    56,511.60       32,400.00  
SVC CORP INTL SR NT 7.5 DUE 04-01-2027 REG
    30,000.00       19,200.00  
TCI COMMUNICATIONS INC 7.875% DUE 02-15-2026 REG
    181,243.19       160,835.91  
TEEKAY SHIPPING CORP SR NT 8.875 DUE 07-15-2011 BEO
    18,448.23       15,210.00  
TELECOM ITALIA CAP ***TELECOM ITALIA CAPITAL SA NOTES 5.25 DUE
10-01-2015 BEO
    9,937.00       7,612.50  
TELECOM ITALIA CAP GTD SR NT 4.95% DUE 09-30-2014/09-30-2006 REG
    49,825.50       38,062.50  
TELECOM ITALIA CAP GTD SR NT SER B 5.25 DUE 11-15-2013/05-15-2005 REG
    24,927.40       19,062.50  
TENET HEALTHCARE CORP SR NT 9.875% DUE 07-01-2014 REG
    17,420.00       12,880.00  
TENET HEALTHCARE CORP SR NT DTD 11/06/2001 6.375 DUE 12-01-2011 BEO
    95,063.75       75,705.00  
TENET HEALTHCARE CORP SR NT DTD 11/06/2001 6.875% DUE 11-15-2031 BEO
    2,279.38       1,260.00  
TENET HEALTHCARE CORP SR NT VAR RT DUE 02-01-2015
    107,262.54       87,745.00  
TESORO CORP FORMERLY TESORO PETE CORP T SR NT 6.25 DUE 11-01-2012 BEO
    16,842.36       13,900.00  
TFM S A DE C V TFM SA DE CV SRNT 9.375 DUE 05-01-2012 BEO
    16,900.00       18,300.00  
THORNBURG MTG INC MTN 8 DUE 05-15-2013/05-15-2008
    2,569.31       1,012.50  
TIME WARNER CABLE INC NT 8.75% DUE 02-14-2019 BEO
    138,300.70       152,226.90  
TN GAS PIPELN CO DEB DTD 03/13/1997 7.625 DUE 04-01-2037 REG
    67,790.00       47,624.64  
TOLL CORP TOLL BROTHERS INC. 8.25% DUE 12-01-2011/12-01-2008 BEO
    9,785.00       8,900.00  
TOUSA INC SR SUB NT 7.5% DUE 03-15-2011/03-15-2008 REG
    18,931.25       31.25  
TRAVELERS COS INC JR SUB DEB FXD / FLTG RATE 6.25 DUE
03-15-2067/03-15-2017BEO
    47,181.70       32,751.85  
TRIBUNE CO NEW NT 4.875% DUE 08-15-2010/08-15-2005 REG
    9,490.00       712.50  
TRONOX WORLDWIDE LLC / TRONOX FIN CORP 9.5 DUE 12-01-2012/12-01-2009 IN DEFAULT
    4,535.00       500.00  
TURANALEM FINANCE 8.25% GTD MTN 22/01/37USD
    130,162.50       59,800.00  
TXU CORP SR NT SER P 5.55% DUE 11-15-2014/08-15-2005 REG
    18,272.30       9,344.56  
TXU CORP SR NT SER Q 6.5% DUE 11-15-2024/08-15-2005 REG
    33,738.40       14,151.52  
TXU CORP SR NT SER R 6.55% DUE 11-15-2034/08-15-2005 REG
    144,371.50       52,326.76  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
TYCO INTL FINANCE S A CRP TYC 6.375% DUE10-15-2011/10-14-2011 BEO
    87,592.60       98,294.40  
TYCO INTL FINANCE S A GTD NT DTD 02/21/2001 6.75% DUE 02-15-2011 BEO
    89,398.30       89,458.47  
TYCO INTL LTD / TYCO INTL FIN S A NT 6.875% DUE 01-15-2021 REG
    368,590.84       319,361.75  
TYCO INTL LTD / TYCO INTL FIN S A NT 7% DUE 12-15-2019 REG
    57,176.47       61,610.25  
USFREIGHTWAYS CORP GTD DEB 8.5% DUE 04-15-2010 BEO
    5,495.00       3,120.00  
USG CORP SR NT 6.3 DUE 11-15-2016 REG
    13,087.89       9,406.43  
VALE OVERSEAS LTD VALE OVERSEAS 6.875 1121 36 6.875% DUE 11-21-2036 BEO
    201,457.59       190,617.00  
VANDERBILT MTG & FIN INC 1997B MFD HSG SR/SUB PASSTHRU IB-2 8.155 10-07-26 BEO
    17,708.96       12,391.02  
VANDERBILT MTG & FIN INC 1997C MFD HSG SR/SUB PASSTHRU IB-2 7.83 08-07-2027 REG
    20,395.17       15,702.56  
VANDERBILT MTG & FIN INC SER 2000B CL IB-2 9.25 DUE 07-07-2030 REG
    143,150.64       109,943.04  
VENTAS RLTY LTD PARTNERSHIP / VENTAS CAPSR NT 2012 9 5-1-12/4-30-12 BEO
    10,000.00       8,900.00  
VENTAS RLTY LTD PARTNERSHIP / VENTAS CAPCORP SR NT 2009 8.75 DUE 05-01-2009 BEO
    20,766.67       19,700.00  
VERASUN ENERGY CORP SR SECD NT 9.875 DUE 12-15-2012 BD IN DEFAULT
    4,685.00       2,625.00  
VISTEON CORP 8.25% DUE 08-01-2010 BEO
    7,612.50       2,480.00  
VISTEON CORP 8.25% DUE 08-01-2010 BEO
    8,935.00       3,100.00  
WA MUT INC SUB NT 8.25 DUE 04-01-2010 BEO IN DEFAULT
    16,575.00       4,051.20  
WASTE MGMT INC DEL SR NT 6.875% DUE 05-15-2009 BEO
    491,840.00       497,678.50  
WASTE MGMT INC DEL WMI 7.375 DUE 08-01-2010 BEO
    89,633.70       91,204.92  
WESTLAKE CHEM CORP SR NT 6.625% DUE 01-15-2016/01-15-2011 REG
    10,969.90       6,380.00  
WESTPOINT STEVENS INC SR NT 7.875 DUE 06-15-2008 BEO
    3,239.00       1.00  
WEYERHAEUSER CO NT 6.75% DUE 03-15-2012/09-24-2002 BEO
    67,299.30       53,709.00  
WILLIAMS COS INC 7.75 DUE 06-15-2031 BEO
    69,615.00       57,540.00  
WILLIAMS COS INC DEB SER A 7.5% DUE 01-15-2031 BEO
    2,846.77       2,010.00  
WINDSTREAM CORP SR NT 8.625 DUE 08-01-2016 BEO
    37,439.85       30,975.00  
XEROX CORP SER NT 6.75% DUE 02-01-2017/08-18-2006 BEO
    9,939.20       7,256.34  
XEROX CORP US$ SR NT 9.75 DUE 01-15-2009
    645,615.00       599,397.00  
XM SATELLITE RADIO INC SR NT 9.75% DUE 05-01-2014/05-01-2008
    25,268.23       24,000.00  
XTO ENERGY INC SR NT 7.5 DUE 04-15-2012/04-14-2012 BEO
    29,624.88       25,697.31  
XTO ENERGY INC XTO ENERGY INC 5.65% DUE 04-01-2016/03-30-2006 BEO
    147,520.50       137,620.20  
XTO ENERGY INC XTO ENERGY INC6.750 08/01/2037 6.75 DUE 08-01-2037 BEO
    9,655.00       9,365.64  
YELLOW ROADWAY CORP CONTINGENT SR NT CONV 5% DUE
08-08-2023/08-13-2010 REG
    2,730.00       920.17  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
Corporate Debt Instruments — Other Total
    29,266,784.75       23,029,191.66  
 
           
 
ABBOTT LABS 5.15% DUE 11-30-2012/11-09-2007 BEO
    5,002.40       5,363.68  
ALLSTATE LIFE GL FDG SECD MED TRM TRANCHE # TR 00039 5.375 DUE
4-30-2013
    59,940.00       59,063.88  
AMERICAN EXPRESS CO 4.75% DUE 06-17-2009BEO
    4,896.40       4,965.12  
AMERICAN EXPRESS CO NT 7% DUE 03-19-2018REG
    298,851.00       303,343.20  
AMERICAN EXPRESS CO SR NT 5.25% DUE 09-12-2011
    22,953.84       24,116.33  
AMERIPRISE FINL INC SR NT 5.35% DUE 11-15-2010/11-23-2005 REG
    9,010.00       8,962.67  
AMERN INTL GROUP INC MEDIUM TERM NTS TRANCHE # TR 00079 5.85 DUE 01-16-2018
    19,889.80       13,405.70  
APACHE CORP NT 6% DUE 09-15-2013 REG
    109,423.60       114,077.92  
ARGENT SECS INC 2004-W10 AST BKD PASSTHRU CTF CL A2 10-25-2034 REG
    168,209.86       110,059.85  
ASSET BACKED SECS CORP HOME EQUITY LN TR2001-HE3 CTF CL A1
11-15-2031 BEO
    24,562.21       19,318.03  
AT&T INC GLOBAL NT 5.5% DUE 02-01-2018/02-01-2008 BEO
    239,472.00       242,550.00  
BA CR CARD TR 2008-3 NT CL A FLTG 08-15-2011/03-16-2009 REG
    800,000.00       793,319.20  
BAKER HUGHES INC BAKER HUGHES INCYIELD TO MATURITY 7.578 7.5 DUE 11-15-2018 BEO
    139,185.00       155,212.12  
BANK AMER CORP BANK AMER 5.75% DUE 12-01-2017 BEO
    29,789.10       29,953.23  
BANK AMER CORP SENIOR NOTE 5.625% DUE 10-14-2016 BEO
    19,169.55       19,742.16  
BANK AMER CORP SUB INTERNOTES BOOK ENTRYTRANCHE # SB 00092 6% DUE 02-15-2012
    25,661.50       25,391.98  
BEAR STEARNS ABS I TR 2004-BO1 AST BACKED CTF II-A-2 10-25-2034 REG
    1,178,368.67       1,127,135.55  
BEAR STEARNS COS INC BEAR STEARNS CO 6.410 2 17 6.4% DUE 10-02-2017
    37,108.80       41,567.12  
BEAR STEARNS COS INC SR GLOBAL NT 7.25% DUE 02-01-2018 BEO
    316,514.20       350,673.92  
BELLSOUTH CORP NT 4.75% DUE 11-15-2012 BEO
    9,664.90       9,810.73  
BERKSHIRE HATHAWAY FIN CORP SR NT 4.2% DUE 12-15-2010/05-03-2004 REG
    9,799.50       10,233.41  
BERKSHIRE HATHAWAY FIN CORP SR NT 4.625%DUE 10-15-2013/04-22-2004 REG
    24,620.94       25,740.58  
BRAZOS TEX HIGHER ED AUTH INC STUDENT LNREV VAR-NTS-SER I-A-1
09-26-2016 REG
    84,000.02       79,865.54  
BRISTOL MYERS SQUIBB CO SR NT 5.25 DUE 08-15-2013 BEO
    4,968.15       5,335.78  
CAP AUTO RECEIVABLES AST TR 2008-2 CAP AUTO TR 2 CAP AUTO T
10-15-2012 BEO
    600,000.00       534,532.20  
CATERPILLAR FINL SVCS CORP MEDIUM TERM N# TR 00789 5.05 DUE
12-01-2010 REG
    4,950.00       5,030.97  
CATERPILLAR FINL SVCS CORP MEDIUM TERM NTRANCHE # TR 00819 6.2 DUE 09-30-2013
    159,828.80       164,946.72  
CHASE ISSUANCE TR 2007-1 NT CL A 03-15-2013 REG
    493,359.38       444,384.50  
CISCO SYS INC SR NT FLTG RATE DUE 02-20-2009 REG
    1,400,935.00       1,399,554.80  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CIT HOME EQUITY LN TR 2003-1 ASSET BKD CTF CL A-4 03-20-2032 REG
    385,395.96       281,684.30  
CITICORP SUB NT DTD 10/18/1996 7.25% DUE10-15-2011 REG
    969,720.00       982,981.00  
CITIGROUP INC 5.5 DUE 02-15-2017 BEO
    117,416.80       109,175.88  
CITIGROUP INC GLOBAL SR NT 6.5% DUE 08-19-2013 BEO
    129,923.30       131,181.18  
CITIGROUP INC SR NT 6.875% DUE 03-05-2038 BEO
    188,711.80       216,198.53  
CITIGROUP INC SUB NT 5% DUE 09-15-2014
    117,227.20       114,345.66  
CITIGROUP MTG LN TR 2005-HE2 ASSET BKD CTF CL A 144A VAR 05-25-2035 BEO
    114,281.59       99,572.41  
CMO 1ST HORIZON MTG PASSTHRU TR SER 2004-AA1 CL-A1 DUE 06-25-2034 BEO
    160,937.13       89,478.09  
CMO 2005-AR17 CL A-1A2 DUE 12-25-2045 REG
    168,117.85       77,881.43  
CMO 2005-AR2 CL 2A-1A VAR DUE 01-25-2045REG
    239,124.65       122,991.13  
CMO 2006-2N MTG PASSTHRU CTF CL 1-A1 VARDUE 02-25-2046 REG
    316,588.61       128,879.11  
CMO ALTERNATIVE LN TR 2006-OA11 CL A-4 FLTG DUE 07-25-2036 REG
    339,365.55       118,768.78  
CMO BANC AMER COML MTG INC SERIES 2005-5CL-A4 DUE 10-10-2045 REG
    70,354.06       57,050.63  
CMO BANC AMER COML MTG TR 2007-5 5.62 DUE 10-10-2014 REG
    5,228.13       6,426.16  
CMO BANC AMER MTG SECS INC BOAMS 2004-2 1A5 6.5% DUE 10-25-2031 BEO
    86,915.97       78,149.11  
CMO BEAR STEARNS ALT-A TR SER 2005-4 CL II-3A-2 DUE 05-25-2035 REG
    126,764.85       86,642.58  
CMO BEAR STEARNS ARM TR 2002-11 CL I-A-1DUE 02-25-2033/04-25-2006 BEO
    91,624.38       72,581.48  
CMO BEAR STEARNS ARM TR 2002-11 CL I-A-2DUE 02-25-2033/04-25-2006 BEO
    61,750.58       50,945.62  
CMO BEAR STEARNS ARM TR 2003-1 MTG PASSTHRU CTF CL V-A-1 DUE
04-25-2033 BEO
    690,302.06       555,884.65  
CMO BEAR STEARNS ARM TR 2005-6 MTG PASSTHRU CTF CL I-A-1 DUE
08-25-2035 REG
    400,705.13       193,094.74  
CMO CR SUISSE 1ST BSTN MTG SECS CORP SER2005-C2 CL A4 4.832 DUE
04-15-2037 BEO
    60,307.50       48,910.20  
CMO CWALT INC 2005-14 ALT LN TR MTG PASSTHRU DUE 05-25-2035 REG
    133,177.51       61,018.74  
CMO CWALT INC 2005-38 MTG PASSTHRU CTF CL A-3 DUE 09-25-2035 REG
    168,737.38       76,094.32  
CMO CWALT INC COUNTRYWIDE ALTERNATIVE DUE 07-25-2035 BEO
    168,408.81       77,041.30  
CMO CWALT INC COUNTRYWIDE ALTERNATIVE DUE 07-25-2035 BEO
    233,204.43       106,277.32  
CMO CWALT INC SER 2005-J12 CL 2-A-1 FLT RT DUE 08-25-2035 REG
    195,027.65       94,056.96  
CMO CWMBS INC 2003-60 CHL MTG PASSTHRU CTF CL 1-A-2 DUE 02-25-2034 REG
    238,921.84       163,716.90  
CMO DSLA MTG LN TR 2006-AR1 MTG PASSTHRUCTF CL 1A-1A DUE
03-19-2046 REG
    550,343.83       333,995.99  
CMO GE COML MTG CORP SER 2007-C1 TR MTG PASSTHRU CTF CL A-4 DUE 12-10-2049 REG
    394,096.49       305,592.68  
CMO GREENPOINT MTG FDG TR 2005-AR4 MTG PASSTHRU CTF CL I-A-1 DUE 10-25-2045 REG
    80,607.65       35,948.09  
CMO GREENPOINT MTG FDG TR SER 2006-AR5 CLASS-A1A DUE 10-25-2046 REG
    284,972.52       233,131.72  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CMO GREENWICH CAP COML FDG CORP SER 2005-GG5 CL A5 DUE 04-10-2037 BEO
    398,812.50       328,721.20  
CMO GS MTG SECS CORP SER 2005-AR6 CL 2A14.540901% DUE
09-25-2035/10-25-2005 REG
    255,923.28       189,776.31  
CMO GS MTG SECS CORP SER 2005-RP3 CL 1AFDUE 09-25-2035 BEO
    342,281.22       269,173.23  
CMO GS MTG SECS TR 2007 GG10 MTG PASS THRU CTF CL A-4 DUE
08-10-2045 REG
    275,231.25       195,927.39  
CMO HARBORVIEW MTG LN TR 2005-9 CL 2-A-1A DUE 06-20-2035 REG
    134,595.70       64,516.43  
CMO IMPAC CMB TR SER 2003-9F CL A VAR RATE 1.47125% DUE 07-25-2033 REG
    332,007.31       260,188.15  
CMO INDYMAC ARM TR 2001-H2 MTG PASSTHRU CTF A-2 VAR RATE DUE
01-25-2032 BEO
    13,924.59       9,891.20  
CMO INDYMAC INDA MTG LN TR 2007-AR7 MTG PASS THRU CTF CL 1-A-1 11-25-37 REG
    78,324.64       48,312.77  
CMO LB-UBS COML MTG TR SR 2005-C5 CL A-4DUE 09-15-2030 BEO
    100,375.00       81,630.20  
CMO MASTR ADJ RATE MTG TR 2007-3 MTG PASSTHRU CTF CL 1-2A1 VAR 05-25-47
    568,044.78       224,846.74  
CMO MERRILL LYNCH MTG TR 2005-CKI1 COML MTG PASSTHRU CTF A6 DUE 11-12-2037 REG
    99,979.95       82,538.10  
CMO MERRILL LYNCH MTG TR 2006-C1 CL A-4 DUE 05-12-2039 REG
    159,669.82       130,303.68  
CMO MORGAN STANLEY CAP I INC 2005-HQ6 CTF A-4A 4.989 DUE 08-13-2042 REG
    100,548.30       81,697.60  
CMO MORGAN STANLEY MTG LN TR 2004-2AR SER 2005-10 MTG DUE
12-25-2035
    158,622.17       129,364.02  
CMO RESDNTL ACCREDIT LNS INC MTG 2005-QO3 CL A-1 DUE 10-25-2045 REG
    197,143.82       90,455.82  
CMO RESDNTL ACCREDIT LNS INC MTG PASS SER 2004-QA6 CL NBIV FLTRT 12-26-2034REG
    524,263.59       255,777.96  
CMO RESDNTL ACCREDIT LNS INC MTG PASS TH2003-QS1 CTF CL A-4 DUE01-25-2033 BEO
    120,212.42       99,414.27  
CMO SER 2005-7N CL 1A1B DUE 12-25-2035 BEO
    145,016.09       41,508.39  
CMO STRUCTURED AST MTG INVTS II INC MTG PA CL I-A-1A DUE 08-25-2036 REG
    371,225.41       147,522.58  
CMO THORNBURG MTG SECS TR 2007-4 6.200665% DUE 09-25-2037 BEO
    208,510.38       162,279.90  
CMO THORNBURG MTG SECS TR 2007-4 MTG PASS THRU CTF CL 1A-2 DUE 09-25-2037 REG
    224,601.94       159,728.74  
CMO WACHOVIA BK COML MTG TR 2005-C18 COMMTG PASSTHRU A-4 DUE 04-15-2042 REG
    130,541.06       105,235.13  
CMO WACHOVIA BK COML MTG TR SER 2005-C20CL A-7 DUE 07-15-2042 BEO
    109,789.45       90,054.58  
CMO WAMU MTG PASS-THRU CTFS 2005-AR17 CLA-1A1 DUE 12-25-2045 REG
    252,620.01       118,448.92  
CMO WAMU MTG PASS-THRU CTFS 2005-AR6 CL 2-A-1A DUE 04-25-2045 REG
    118,760.84       54,350.90  
CMO WAMU MTG PASS-THRU CTFS 2005-AR8 CL 1-A-1A DUE 06-25-2045 REG
    165,878.03       66,312.23  
CMO WAMU MTG PASS-THRU CTFS SER 2005-AR11 CL A1A FLT RT 8-25-2045REG
    358,839.78       194,088.25  
CMO WAMU MTG PASS-THRU CTFS SER 2005-AR13 CL A-1A1 FLT RT
10-25-2045BEO
    136,274.56       74,429.89  
CMO WELLS FARGO MTG BACKED SECS 2004-S TR CL A-7 DUE 09-25-2034 REG
    735,951.56       755,103.58  
CMO ZUNI MTG LN TR 2006-1 CL A-1 .51938%DUE 08-25-2036 REG
    184,359.54       174,761.97  
CONOCO FDG CO NT 6.35% DUE 10-15-2011 BEO
    22,240.80       21,040.68  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
CONOCO INC NT DTD 04/20/1999 6.95% DUE 04-15-2029 BEO
    20,854.00       21,522.02  
CONOCOPHILLIPS AUSTRALIA FDG CO GTD NT FLTG RATE DUE
04-09-2009/04-09-2008 REG
    684,000.00       683,220.92  
CONOCOPHILLIPS CO NT 8.75 DUE 05-25-2010BEO
    204,471.75       184,438.45  
CONS EDISON CO N Y INC BD 5.3 DUE 12-01-2016 BEO
    9,162.10       9,666.33  
COUNTRYWIDE FINL CORP MEDIUM TERM NTS BOTRANCHE # TR 00159 5.8 DUE 06-07-2012
    9,725.00       9,746.53  
COUNTRYWIDE FINL CORP SUB NT 6.25% DUE 05-15-2016 BEO
    35,150.00       37,980.32  
COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSTRANCHE # TR 00287
    245,875.00       308,636.62  
COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSTRANCHE # TR 00324 4.125 9-15-2009
    57,550.00       59,296.86  
COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSTRANCHE # TR 00324 4.125 9-15-2009
    189,000.00       197,656.20  
COUNTRYWIDE HOME LNS INC MEDIUM TERM NTSBOOK ENTRY TRANCHE # TR 00173 6.25 DUE
    8,885.00       10,050.00  
CWABS INC SER 2005-AB1 CL A3 FLT RT 08-25-2035 REG
    450,000.00       298,412.55  
CWABS INC SERIES 2002-1 CLASS-A FLTG RATE ASSET BACKED CTF
08-25-2032 BEO
    33,536.44       13,611.40  
DEERE JOHN CAP CORP MEDIUM TERM NTS-BOOKTRANCHE # TR 00353 VAR RT DUE 06-10-11
    900,000.00       821,243.70  
DET EDISON CO 6.125 DUE 10-01-2010 BEO
    54,990.10       55,317.63  
DIAGEO CAP PLC DIAGEO PLC 7.375% DUE 01-15-2014 BEO
    229,121.40       245,007.73  
DOMINION RES INC DEL NT DTD 09/16/2002 5.7 DUE 09-17-2012 BEO
    118,603.10       113,870.70  
DOMINION RES INC DEL SR NT SER D 5.125% DUE 12-15-2009/12-14-2009 BEO
    69,687.10       69,845.93  
DOMINION RES INC VA NEW DOMINION RES INC4.75 12 15 10 4.75% DUE
12-15-2010 BEO
    9,989.10       9,887.87  
DOMINION RESOURCES INC V SR NT 2008 SER D 8.875% DUE 01-15-2019 BEO
    19,994.40       21,567.78  
ELECTR DATA SYS CORP NT 7.125 DUE 10-15-2009/10-12-1999 BEO
    131,387.34       127,078.13  
EXPORT IMPORT BK KOREA EXPORT-IMPORT BK KOREA VAR RT DUE
06-01-2009
    699,867.00       698,055.40  
FIRST UN CORP SUB NT DTD 01/18/1994 6.375% DUE 01-15-2009 REG
    2,860.00       2,998.65  
FORD CR AUTO OWNER TR 2008-C ASSET BACKED NT CL A-2B 01-15-2011 REG
    200,000.00       194,081.00  
GCB WALT DISNEY COMP D12/04/07 0.010 JD12 4.7 DUE 12-01-12 BEO
    4,914.73       5,129.29  
GEN ELEC CAP CORP INTERNOTES BOOK EN TRANCHE # TR 00152 3.25 DUE 07-15-2010
    9,900.00       9,808.80  
GEN ELEC CAP CORP INTERNOTES BOOK EN TRANCHE # TR 00338 4.125 DUE 05-15-2009
    19,448.99       20,010.38  
GEN ELEC CAP CORP INTERNOTES BOOK EN MTNTRANCHE # TR 00070 4.05 3-15-12/04
    1,881.68       1,901.60  
GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00560 4.625 DUE 09-15-2009
    15,625.80       15,179.12  
GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00654 4.25
9-13-2010 REG
    24,450.25       24,973.15  
GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00714 5 DUE
11-15-2011
    2,894.58       3,055.18  
GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00800 5.625 DUE 09-15-2017
    58,473.00       59,599.98  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00804 VAR RT DUE 11-15-2067
    240,431.10       150,856.56  
GEN ELEC CAP CORP MEDIUM TERM NTS BOOK TRANCHE # TR 00443 7.375 1-19-10 BEO
    17,491.85       17,381.00  
GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY MTN 3.75% DUE 12-15-2009
    9,768.30       10,103.61  
GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY MTN 4.375% DUE 11-21-2011
    23,557.23       24,944.03  
GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY MTN 5% DUE 01-08-2016
    5,390.74       5,867.66  
GENERAL ELECTRIC CAPITAL CORP MTN # TR 00482 6.125% DUE 02-22-2011
    4,985.80       5,192.29  
GLAXOSMITHKLINE CAP INC GTD NT 5.65% DUE05-15-2018 BEO
    209,871.90       220,568.88  
GOLDMAN SACHS GROUP INC 4.5% DUE 06-15-2010 BEO
    137,911.20       137,954.46  
GOLDMAN SACHS GROUP INC 5.5 DUE 11-15-2014 BEO
    20,032.76       18,592.28  
GOLDMAN SACHS GROUP INC BD 6.15% DUE 04-01-2018 BEO
    603,012.00       576,576.60  
GOLDMAN SACHS GROUP INC BOND 5.25 DUE 10-15-2013 BEO
    455,375.00       459,326.00  
GOLDMAN SACHS GROUP INC NT 6.875 DUE 01-15-2011 BEO
    9,685.00       10,149.19  
GSAA HOME EQUITY TR 2007 7 SR AST BACKEDCTF CL A 4 VAR RATE
07-25-2037 REG
    174,487.50       19,194.84  
HANCOCK JOHN LIFE INS CO SIGNATURENOTES TRANCHE TR 00604 FLTG 2/09/06 04-15-2009
    2,000.00       1,971.19  
HARTFORD FINL SVCS GROUP INC NT 5.25 DUE 10-15-2011 BEO
    8,308.00       8,771.55  
HELLER FINL INC NT 7.375% DUE 11-01-2009BEO
    5,059.65       5,176.97  
HEWLETT PACKARD CO NT 4.5% DUE 03-01-2013 BEO
    4,783.69       5,094.08  
HOUSEHOLD FIN CORP NT 8% DUE 07-15-2010 BEO
    75,068.87       71,164.17  
HSBC CAP FDG DLR 2 L P PERP PFD SECS 144A DUE 12-29-2049/06-27-2013 BEO
    45,000.00       24,385.01  
HSBC FINANCE CORPORATION CRP HI 7 DUE 05-15-2012 BEO
    35,201.07       35,053.13  
HSEHD FIN CORP HSEHD FIN GLBL CPN 6.375 MAT 11/27/12 6.375 DUE
11-27-2012 BEO
    14,904.90       14,675.70  
I/O CMO GMAC COML MTG SECS INC SER 1999-CTL1 CL X 12-15-2016 BEO
    17,391.79       115.10  
J P MORGAN CHASE & CO GLOBAL SUB NT 5.75 DUE 01-02-2013 BEO
    56,817.90       55,800.03  
J P MORGAN CHASE & CO GLOBAL SUB NT 5.75 DUE 01-02-2013 BEO
    50,389.00       50,727.30  
J P MORGAN CHASE & CO NT 6.75 DUE 02-01-2011 BEO
    119,675.90       117,894.90  
KEYCORP FRN SNR EMTN 11/10 EUR10000
    217,824.44       222,408.06  
LEHMAN XS TR SER 2006 GP4 MTG PASSTHRU CTF CL 3-A1A .45938% DUE
08-25-2046 REG
    553,415.08       425,256.84  
MCDONALDS CORP MTN BE TRANCHE # TR 000846 DUE 04-15-2011
    24,214.25       26,524.35  
MERRILL LYNCH & CO INC MEDIUM TERM NTS BTRANCHE # TR 00457 VAR RT DUE 02-05-10
    990,000.00       1,043,776.80  
MERRILL LYNCH & CO INC MEDIUM TERM NTS BTRANCHE # TR 00667 5.45 DUE 02-05-2013
    379,854.80       365,273.48  
MERRILL LYNCH & CO MTN 5.076% 22/03/2011
    651,793.80       715,931.33  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
MORGAN STANLEY DEAN WITTER & CO GLOBAL NT 4/25/01 6.75 DUE 4-15-11 BEO
    28,615.71       29,283.63  
MORGAN STANLEY FOR EQTY SEE 617 SR GBL MTN SER F FLTG RT DUE
10-18-16 BEO
    40,147.73       27,522.16  
MORGAN STANLEY FOR EQUITY ISSUES SEE 61747Y NT 4% DUE 01-15-2010 BEO
    9,781.80       9,810.19  
MORGAN STANLEY FORMERLY MORGAN STANLEY MORGAN STANLEY 5.95 DUE 12-28-2017
    99,717.00       82,998.10  
MORGAN STANLEY GLOBAL MED TERM NT SER F 5.75% DUE 08-31-2012
    92,029.50       83,917.26  
MORGAN STANLEY MTN 6% DUE 04-28-2015
    693,210.00       603,911.00  
MORGAN STANLEY NOTES 5.625 DUE 01-09-2012 BEO
    142,385.60       132,762.98  
MORGAN STANLEY SR GLOBAL MEDIUM TERM NT SER F VAR RT DUE
05-14-2010
    400,000.00       372,318.80  
MSDWCC HELOC TR 2005-1 ASSET BKD NT CL AFLTG 07-25-2017/02-25-2005 BEO
    44,096.24       29,579.89  
NATIONAL CITY CORP SUB NT 5.75% DUE 02-01-2009 BEO
    4,860.00       4,967.80  
NATL AUSTRALIA BK LTD GLOBAL MEDIUM TRANCHE # SR 00013 VAR RT DUE 02-08-2010
    400,000.00       400,268.00  
NATL RURAL UTILS COOP FIN CORP COLL TR BD 10.375 DUE
11-01-2018/10-30-2008 REG
    10,815.40       11,642.64  
NATL WESTMINSTER BK PLC SUB NT 7.375 DUE10-01-2009 BEO
    389,500.00       392,194.40  
NELNET STUDENT LN TR 2008-4 ASSET BKD NTCL A-4 FLTG 04-25-2024 REG
    110,000.00       89,114.74  
OCCIDENTAL PETE CORP C CRP OXY 7% DUE 11-01-2013/10-21-2008 BEO
    178,444.80       196,460.10  
OPTION ONE MTG LN TR 2003-1 CL A-2 02-25-2033 BEO
    376,003.72       256,079.06  
ORIGEN MANUFACTURED HSG CONT TR SER 02-A SR/SUB ASTBKD CTF CL A-1 05-15-32
    21,107.55       18,858.14  
PROCTER & GAMBLE CO NT 4.95% DUE 08-15-2014/08-10-2004 BEO
    1,990.92       2,065.89  
PROTECTIVE LIFE SECD TRS INTERNOTES BOOKENTRY MTN 5.5% DUE
11-15-2015/05-15-2009
    3,860.00       4,099.77  
PVTPL AMERICAN INTL GROUP INC NT 144A 8.25% DUE 08-15-2018 BEO
    131,500.00       146,383.80  
PVTPL AMERICAN INTL GROUP INC NT 144A 8.25% DUE 08-15-2018 BEO
    240,000.00       175,660.56  
PVTPL ASIF GLOBAL FING XIX SR NT 144A 4.9% DUE 01-17-2013 BEO
    9,987.60       8,027.42  
PVTPL CMO GREENPOINT MTG FDG TR SER 2006AR6 CL 1-A1A VAR RT DUE 10-25-2046
    173,571.78       139,356.93  
PVTPL CORPORACION NACIONAL DEL COBRE DE CHILE NT 144A 4.75% DUE 10-15-2014 BEO
    49,241.00       46,959.65  
PVTPL HBOS CAP FDG NO 2 L P BONDS 144A 6.071% DUE
06-30-2049/06-30-2014 BEO
    28,240.50       11,095.53  
PVTPL PACIFIC LIFE GLOBAL FDG NT 144A 5.15 DUE 04-15-2013 BEO
    99,073.00       93,955.80  
PVTPL PETE EXPT LTD NT CL A-1 144A 4.623DUE 06-15-2010 BEO SINKING FD 12-15-2008
    99,998.98       98,414.97  
PVTPL RABOBANK CAP FDG III 5.254% DUE 12-29-2049/06-30-2017 BEO
    20,155.20       10,965.46  
PVTPL RABOBANK CAP FDG TR II BD 144A 5.26% DUE 12-29-2049/12-31-2013 BEO
    10,181.40       5,290.30  
PVTPL SYSTEMS 2001 A T LLC SERIES-2001 CLASS-G 144A 6.664 DUE
09-15-2013 BEO
    187,962.79       184,926.66  
PVTPL VERIZON WIRELESS CAP LLC / CELLCO PARTNE NT 144A 8.5 DUE
11-15-2018 BEO
    19,801.20       23,433.54  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
REGIONS FINL CORP NEW FLTG RT DUE 06-26-2012
    401,875.00       402,726.00  
SACO I TR 2005-7 MTG BKD CTF CL A VAR RATE 09-25-2035 REG
    67,946.92       44,300.24  
SBC COMMUNICATIONS INC NT 4.125% DUE 09-15-2009/11-03-2004
    1,098,680.00       1,104,506.70  
SBC COMMUNICATIONS INC NT 5.1% DUE 09-15-2014 BEO
    58,023.40       58,979.22  
STRUCTURED ADJ RATE MTG LN TR 2004-16 MTG PASSTHRU CTF 1-A2 ADJ 11-25-2034 REG
    80,201.91       41,234.63  
TARGET CORP NT 4 DUE 06-15-2013/06-14-2013 BEO
    85,046.22       83,948.94  
UNILEVER CAP CORP NT 7.125% DUE 11-01-2010/10-24-2000 BEO
    49,552.00       53,471.80  
UNITED PARCEL SVC INC SR NT 4.5% DUE 01-15-2013/01-15-2008 REG
    219,065.00       226,939.24  
UNITED PARCEL SVC INC SR NT 5.5% DUE 01-15-2018/01-15-2008 REG
    3,706.06       4,253.67  
UNITEDHEALTH GROUP INC UNITEDHEALTH GROUP INC 4.875% DUE
02-15-2013 BEO
    79,160.80       74,689.92  
UNITEDHEALTH GROUP INC UNITEDHEALTH GROUP INC 4.875% DUE
04-01-2013 BEO
    78,902.40       74,544.48  
VAR RT DUE 03-20-2010
    84,000.00       92,780.00  
VERIZON COMMUNICATIONS INC NT 4.35% DUE 02-15-2013/02-12-2008 BEO
    39,448.00       38,687.40  
VERIZON COMMUNICATIONS INC NT 8.95% DUE 03-01-2039 BEO
    146,224.50       193,753.50  
VERIZON GLOBAL FDG CORP NT 7.25 DUE 12-01-2010 BEO
    123,041.95       120,561.52  
WACHOVIA CAP TR III FIXED-FLTG RATE NORMAL WACHOVIA 5.8% DUE 03-15-2042 REG
    80,100.50       47,200.00  
WACHOVIA CORP GL MED TRM SR NTS TRANCHE # SR 00032 5.75 DUE
02-01-2018 BEO
    211,091.03       210,417.90  
WACHOVIA CORP NEW NT 5.625% DUE 10-15-2016 BEO
    163,811.20       182,699.40  
WACHOVIA CORP NEW SUB NT DTD 03/15/1999 6.15% DUE 03-15-2009 BEO
    4,860.00       5,033.05  
WELLPOINT INC NT 5% DUE 01-15-2011/01-10-2006 BEO
    4,645.15       4,871.02  
WELLPOINT INC WELLPOINT INC 5.875 20170615 5.875 DUE 06-15-2017 BEO
    9,924.60       9,101.35  
WELLS FARGO & CO NEW SUB GLOBAL NT 6.375% DUE 08-01-2011 BEO
    86,430.55       86,761.29  
WELLS FARGO CAP X GTD CAP SECS 5.95% DUE12-15-2086/12-15-2008 REG
    99,900.00       85,704.80  
WELLS FARGO CAP XV C CRF WFC DUE 12-29-2049/09-26-2017 BEO
    100,000.00       101,000.00  
WORLD SVGS BK FSB OAKLAND CAL MEDIUM T NT 4.125 DUE 12-15-2009 REG
    2,800.00       2,976.48  
WYETH NT 5.95 DUE 04-01-2037/03-27-2007 BEO
    109,253.10       122,131.57  
 
           
Corporate Debt Instruments — Preferred Total
    37,902,936.71       32,289,911.29  
 
           
 
ABN AMRO CAP FDG TR VII GTD TR PFD SECS 6.08%
    8,446.80       11,976.00  
ADR BANCO ITAU HLDG FINANCEIRA S A FORMERLY SPONSORED ADR REPSTG 500 PFD
    29,856.63       15,950.00  
ADR COMPANHIA ENERGETICA DE MINAS GERAISSPONSORED ADR PAR $0.01 REP NON VTG PFD
    2,885.75       2,748.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR NET SERVICOS DE COMUNICACAO S A SPONSORED ADR REPSTG PFD NEW
    1,260.55       582.00  
ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR NON VTG
    31,635.40       11,225.50  
ADR ROYAL BK SCOTLAND GROUP PLC SPONSORED ADR SER M REPSTG PREF M
    6,131.85       4,430.00  
ADR ROYAL BK SCOTLAND GROUP PLC ADR REPSTG PREF SHS SER Q
    1,010.95       879.00  
ADR TELECOMUICACOES DE SAO PAULO S A TELESP SPONSORED ADR REPSTG PFD
    30,207.92       21,545.10  
AES TR III TR PFD STK CONV SECS
    4,939.95       3,780.00  
AMERICAN INTL GROUP INC CORP UNIT
    1,568.95       2,550.00  
AMERICAN INTL GROUP INC JR SUB DEB SER A-5 PFD STK
    7,568.95       7,940.00  
AMR CORP DEL PFD
    10,530.85       6,990.00  
AT&T INC SR NT
    17,390.08       19,328.50  
AXIS CAPITAL HOLDINGS LTD PFD STK
    2,108.95       2,607.00  
BAC CAP TR XII GTD CAP SECS
    13,746.25       10,459.35  
BANK AMER CORP DEP SH REPSTG 1/1000TH PFD SER I PFD STK
    32,483.28       31,134.97  
BANK AMER CORP DEPOSITARY SH REPSTG 1/1000TH PFD SER J
    5,287.45       4,850.00  
BANK AMER CORP NON CUMULATIVE PERP CONV PFD SER L NON CUM PERP CONV PFD SER L
    31,688.05       32,575.00  
BLACKOUT MEDIA CORP PFD
    1,073.97        
BRE PPTYS INC PFD SER D 6.75%
    5,639.95       3,753.00  
CAPITAL AUTOMOTIVE REIT RED PFD SHS SER A 7.50%
    6,849.95       1,209.39  
CASINO GUICH-PERR PRF EUR1.53
    130,221.24       143,339.73  
CBS CORP NEW SR NT
    1,865.48       1,115.20  
CIA PARANAENSE DE PRF’B’NPV
    93,035.06       58,662.09  
CITIGROUP CAP XV ENHANCED TR PFD SECS
    17,484.30       10,526.00  
CITIGROUP FDG INC PISTONS BASED UPON CBOE S&P 500
    4,635.95       2,592.00  
CITIGROUP INC DEP SH REPSTG 1/1000TH PFDCONV SER CONV PFD STK
    11,941.45       6,997.50  
CITIGROUP INC DEP SHS REPSTG 1/1000TH PFD SER AA PFD STK
    108,562.05       84,535.00  
COMCAST CORP NEW NT
    2,562.45       2,293.20  
COMCAST CORP NEW NT SER B
    6,820.45       5,830.00  
CORP BACKED CALL TR CTFS J C PENNEY JC PENNEY DEB BKD 2006-1 CTF A-1
    3,149.95       1,340.00  
CORPORATE BACKED TR CTFS USE 21988K FOR EQUITY ISSUES SER 2001-8 CL A-1
    2,109.95       264.93  
CORTS TR BELLSOUTH CAP FDG DEBS CORP BKDTR SECS 7.12% CORP BKD TR SECS 7.12%
    4,858.95       4,950.00  
CREDIT SUISSE GUERNSEY BRH CAP NT TIER 1PFD STK
    11,491.00       10,275.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
DUKE RLTY CORP DEP SH REPSTG 1/10TH PFD SER L PFD STK
    5,296.45       2,160.90  
DUKE RLTY CORP DEP SH REPSTG 1/10TH PFD SER M PFD STK
    2,537.95       1,100.00  
FED HOME LN MTG CORP VAR RATE
    3,697.90       981.50  
FEDERAL HOME LN MTG CORP PFD FLTG RATE
    2,224.95       264.00  
FIRST INDL RLTY TR DEP SHS REPSTG 1/10000 PFD SER J
    2,552.95       1,000.00  
FNMA NON CUM PFD SER R 7.625% PFD STK
    278.12       82.85  
FNMA PFD SER M 4.75
    12,612.95       300.00  
FORD MTR CO CAP TR II TR ORIGINATED PFD SECS 6.50%
    46,437.09       27,962.00  
FORD MTR CR CO LLC 7.375 PRF 15/10/31 USD25
    4,486.95       2,160.00  
FORD MTR CR CO LLC 7.6 PRF SNR NTS 3/1/2032 CALL ON 2/27/07
    1,957.93       1,088.00  
FRANKLIN BK CORP PFD SER A 7.50%
    16,219.90       0.10  
GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD
CL B
    128,882.39       79,805.70  
GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD
CL B
    127,053.67       64,620.00  
GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD
CL B
    94,147.75       64,620.00  
GDR UNIBANCO-UNIAO DE BANCOS BRASILEIROSS A UNITS PFD & PFD
CL B
    924,308.09       706,942.80  
GEN ELEC CAP CORP NT
    2,579.41       2,113.61  
GEN MTRS CORP SR DEB CONV SER B
    101,023.71       18,662.00  
GEN MTRS CORP SR DEB CONV SER B
    199,818.23       86,344.00  
GEN MTRS CORP SR DEB CONV SER C
    22,762.00       3,200.00  
GEN MTRS CORP SR DEB CONV SER C
    11,130.96       8,316.80  
GEN MTRS CORP SR NT 7.375 CALLABLE 10/03/2006
    10,972.94       5,270.00  
GEN MTRS CORP SR NT 7.5 PRF 01/07/2044 USD25
    2,012.95       315.00  
GEN MTRS CORP SR NT PFD 7.250 CALLABLE 07/15/2006
    1,882.95       318.00  
GENERAL ELEC CAP CORP PUBLIC INCOME NT PINES
    19,584.40       18,640.48  
GENERAL MTRS CORP QUARTERLY INT BD QUIBS
    11,041.90       2,289.00  
GENERAL MTRS CORP SR DEB CONV SER D
    11,008.95       8,250.00  
GENERAL MTRS CORP SR NT
    3,756.91       1,008.00  
GMAC LLC PFD 7.35 CALLABLE 8/8/07 DUE 8/8/32
    4,300.69       2,373.60  
HOSPITALITY PPTYS TR PFD SER C 7.00%
    4,273.90       3,927.00  
HUNTINGTON PFD CAP INC EXCH PREP PFD SECS CL C
    9,429.40       5,687.22  
ING GROEP N V PERP HYBRID CAP SECS
    5,172.95       5,640.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ING GROEP N V PERPETUAL DENT SECS 6.125%PFD STK
    6,069.92       4,480.00  
JPMORGAN CHASE & CO FORMERLY J P MORGAN DEPOS SHS REPSTG 1/4TH PFD SER E STK
    10,258.95       10,237.50  
JPMORGAN CHASE CAP XIV CAP SECS SER N
    7,005.95       6,294.00  
JPMORGAN CHASE CAP XIX CAP SECS SER S
    2,529.95       2,197.00  
JPMORGAN CHASE CAP XVI TR PFD SECS SER P
  12,656.45       10,690.00  
LEHMAN BROS HLDGS CAP TR V PFD SECS SER M 6.00 PFD STK
    9,892.95       2.25  
MBNA CAP D TR PFD SECS SER D 8.125% TRUPS MBNA CAP D
    2,559.95       1,870.00  
MERRILL LYNCH & CO INC CALLABLE STK RETURN INCOME DEBT SECS CONV PFD STK
    4,131.75       2,597.40  
METLIFE INC SR NT DTD 11/21/2003
    6,768.95       6,600.00  
NEWCASTLE INVT CORP NEW PFD SER D 8.375
    986.13       180.00  
NEXEN INC SUB NT
    2,689.95       1,745.00  
PFD $3.50
    7,312.95       5,160.00  
PREFERREDPLUS TR SER QWS-1 TR CTF
    1,956.64       906.10  
PREFERREDPLUS TR SER UPC-1 TR CTF
    2,025.73       1,151.75  
PRIMUS GUARANTY LTD PFD STK
    3,128.70       875.00  
PUB STORAGE DEP SHS REPSTG 1/1000TH PFD SER K
    10,066.84       9,515.18  
PUB STORAGE DEPY SH REPSTG 1/100TH COM SER A
    2,070.54       1,920.00  
REORG/WACHOVIA CORP STK MERGER TO WELLSFARGO PFD 1003111 12/31/08
    1,328.02       0.35  
SAMSUNG ELECTRONIC PFD KRW5000
    145,198.50       61,450.52  
SATURNS TRIBUNE CO 2006-1 UNIT CL A
    2,502.97       72.00  
SCHERING PLOUGH CORP PFD CONV MANDATORY 2007 CONV PFD STK
    53,440.47       52,200.00  
TELE NORTE LESTE P PRF NPV
           
TELEMAR NORTE LEST PRF’A’NPV
    145,961.84       61,878.22  
TR ORIGINATED PFD SECS 13.25%
    1,307.60        
UNITED STATES CELLULAR CORP SR NT
    1,950.72       1,241.00  
UNITED STATES CELLULAR CORP SR NT PREFERRED
    5,159.95       3,700.00  
US BANCORP DEL DEPOSITARY SHS REPSTG 1/1000TH PFD SER B
    8,233.95       8,120.00  
USB CAP VI GTD TR PFD SECS
    2,454.95       1,938.00  
VORNADO RLTY TR PFD SER E 7
    2,536.95       1,705.00  
WACHOVIA PFD FDG CORP PERP PFD SECS SER A 7.25%
    3,434.95       2,520.00  
WASHINGTON MUT INC 7.75% NON CUMULATIVE PERP CONV PFD CONV PFD
    31,361.71       23,807.60  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
WELLS FARGO CAP IX TR ORIGINATED PFD SECS 5.625 TOPRS
    2,291.32       2,099.00  
WELLS FARGO CAP XII ENHANCED TR PFD SECSTRUPS PFD STK
    76,525.45       75,329.70  
 
           
Corporate Stock — Preferred Total
    3,020,299.70       2,017,158.59  
 
           
 
REORG SOVEREIGN BANCORP INC STOCK MERGER TO BANCO SANTANDER EFF 1-30-09.
    220,399.62       40,379.00  
REORG SOVEREIGN BANCORP INC STOCK MERGER TO BANCO SANTANDER EFF 1-30-09.
    84,378.62       55,279.00  
1 800 FLOWERS COM INC CL A COM STK
    13,356.98       5,730.00  
1/10 BERKSHIRE HATHAWAY INC DEL CL A COMSTK
    2,810,289.67       2,318,400.00  
1ST BANCORP P R COM
    33,532.95       36,762.00  
1ST BANCORP P R COM
    169,640.65       194,950.00  
1ST CMNTY BANCSHARES INC NEV COM
    32,369.04       31,383.00  
1ST FINL HLDGS INC COM
    25,986.80       28,336.00  
1ST HORIZON NATL CORP COM
    135,252.36       156,436.00  
1ST HORIZON NATL CORP COM
    205,949.60       181,804.00  
1ST HORIZON NATL CORP COM
    135,832.71       52,152.38  
1ST HORIZON NATL CORP COM
    8,119.76       4,397.52  
1ST HORIZON NATL CORPORATION
          7.13  
1ST MED GROUP INC COM
    676.26       4.02  
1ST NIAGARA FINL GROUP INC NEW COM
    42,784.72       46,893.00  
1ST NIAGARA FINL GROUP INC NEW COM
    163,840.58       174,636.00  
1ST NIAGARA FINL GROUP INC NEW COM
    60,159.60       64,680.00  
21ST CENTY HLDG CO COM
    5,988.95       4,630.00  
3COM CORP COMMON STOCK
    2,959.17       2,339.28  
3COM CORP COMMON STOCK
    118,005.30       110,124.00  
3DICON CORP COM
    9,785.16       540.00  
3I GROUP ORD GBP0.738636
    476,330.47       163,212.23  
3M CO COM
    391,808.07       305,970.68  
3M CO COM
    744,695.41       989,688.00  
3M CO COM
    251,328.88       198,340.38  
4 KIDS ENTMT INC COM
    3,994.75       882.00  
5 STAR QUAL CARE INC COM
    10.19       1.53  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
5TH 3RD BANCORP COM
    500,595.93       119,034.86  
5TH 3RD BANCORP COM
    503,925.00       303,968.00  
5TH 3RD BANCORP COM
    118,385.31       48,394.42  
6 FLAGS INC COM
    156,848.12       16,843.85  
727 COMMUNICATIONS INC COM PAR $0.001 COM PAR $0.001
    553.72        
A D A M INC COM
    11,851.85       5,500.00  
A.C.L.N LTD COM STK
    43,328.56        
A21 INC COM STK
    13,531.45       5.00  
AAON INC COM PAR $0.004 COM PAR $0.004
    31,382.16       30,276.00  
AAR CORP COM
    9,485.90       11,046.00  
AARO BROADBAND WIRELESS COMMUNICATIONS INC COM
    989.95        
AARON RENTS INC CL B CL B
           
AARON RENTS INC CL B CL B
    319,354.73       306,130.00  
AASTROM BIOSCIENCES INC COM
    24,928.40       15,700.00  
ABATIX CORP FORMERLY ABATIX ENVIRONMENTAL CORP TO 05/20/1999 COM
    2,167.77       600.00  
ABAXIS INC COM
    6,657.72       3,206.00  
ABB LTD CHF2.02 (REGD)
    431,097.57       331,727.31  
ABBOTT LAB COM
    214,909.52       215,114.72  
ABBOTT LAB COM
    604,177.99       603,081.00  
ABBOTT LAB COM
    1,146,175.85       2,060,082.00  
ABBOTT LAB COM
    410,839.82       382,129.20  
ABBOTT LAB COM
    102,129.85       115,652.79  
ABCOURT MINES INC CL B CL B COM STK
    10,890.05       1,425.60  
ABERCROMBIE & FITCH CO CL A
    4,418.79       4,917.19  
ABERCROMBIE & FITCH CO CL A
    169,301.91       53,061.00  
ABIOMED INC COM
    381,441.85       446,624.00  
ABIOMED INC COM
    44,118.33       45,155.00  
ABITIBIBOWATER INC COM STK
    4,670.16       64.39  
ABITIBIBOWATER INC COM STK
    552,347.47       19,787.00  
ABLAZE TECHNOLOGIES INC COM
    4,812.53       2.00  
ABRAXIS BIOSCIENCE INC NEW COM
    40.47       1,648.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ABSOLUTE HEALTH & FITNESS INC COM STK
    272.49       0.02  
ABSOLUTE SOFTWARE CORP COM STK
    2,199.20       563.05  
AC ENERGY INC NEV COM STK
    11,365.43       70.04  
ACADIA PHARMACEUTICALS INC COM
    5,236.22       630.00  
A-CAP RESOURCES COM STK
    53,101.75       2,492.95  
ACCENTURE LTD BERMUDA CLS A COM
    154,424.69       156,544.94  
ACCENTURE LTD BERMUDA CLS A COM
    312,290.39       339,343.71  
ACCO BRANDS CORP COM
    467.80       79.35  
ACCOR EUR3
    914,641.07       586,387.92  
ACCURAY INC DEL COM
    38,655.93       12,900.00  
ACHILLION PHARMACEUTICALS INC COM
    4,314.21       680.00  
ACME PACKET INC COM STK
    5,445.93       2,104.00  
ACTELION CHF0.50 (REGD)
    279,500.22       317,663.17  
ACTELION CHF0.50 (REGD)
    209,080.91       285,182.51  
ACTIGA CORP COM STK
    6,214.80       360.00  
ACTIS GLOBAL VENTURES INC COM STK
    9,177.30       0.90  
ACTIVE PWR INC COM
    720.03       96.00  
ACTIVIDENTITY CORP COM STK
    6,567.36       2,237.50  
ACTIVISION BLIZZARD INC COM STK
    201,854.82       109,900.80  
ACTIVISION BLIZZARD INC COM STK
    282,146.39       196,871.04  
ACTUANT CORP CL A NEW
    33,757.93       21,159.20  
ACUITY BRANDS INC COM
    34,291.69       30,565.00  
ACUITY BRANDS INC COM
    99,719.94       104,730.00  
ACURA PHARMACEUTICALS INC COM NEW STK
    39,800.22       32,376.74  
ACUSPHERE INC COM
    27,136.58       980.00  
ACXIOM CORP COM
    97,889.40       109,485.00  
ACXIOM CORP COM
    233,081.58       269,252.00  
ADA-ES INC COM STK
    3,069.05       620.00  
ADAPTEC INC COM
    9,007.84       7,590.00  
ADAPTEC INC COM
    491,544.72       429,445.50  
ADAPTEC INC COM
    34,772.68       31,680.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADC TELECOMMUNICATIONS INC COM NEW
    139,185.84       76,033.00  
ADC TELECOMMUNICATIONS INC COM NEW
    87,245.19       46,495.00  
ADC TELECOMMUNICATIONS INC COM NEW
    46,959.48       30,260.04  
ADECCO SA
    5,177.95       3,361.60  
ADHEREX TECHNOLOGIES INC COM NEW
    24,098.06       565.50  
ADMINISTAFF INC COM
    341,050.60       205,960.00  
ADOBE SYS INC COM
    254,075.40       281,028.00  
ADOBE SYS INC COM
    276,714.91       266,188.87  
ADOBE SYS INC COM
    144,382.08       96,166.93  
ADOBE SYS INC COM
    208,489.44       107,514.50  
ADR 3SBIO INC SPONSORED ADR
    11,835.78       11,310.00  
ADR 51JOB INC SPONSORED ADR REPSTG COM
    560.64       123.20  
ADR A/S DAMPSKIBSSELSKABET TORM SPONSORED ADR
    3,009.25       1,087.00  
ADR ABB LTD SPONSORED ADR
    130,192.08       147,338.16  
ADR ABB LTD SPONSORED ADR
    1,704,165.48       1,253,184.90  
ADR ABB LTD SPONSORED ADR
    138,240.24       96,964.60  
ADR ACERGY S A SPONSORED ADR
    977.74       433.50  
ADR ACTIONS SEMICONDUCTOR CO LTD ADR ADR- COMMON STOCK
    6,827.32       4,508.00  
ADR AEGON N V NY REGISTRY SHS SHS
    130,923.62       61,002.15  
ADR ALCATEL-LUCENT
    821,425.74       338,625.00  
ADR ALCATEL-LUCENT
    151,837.51       27,980.10  
ADR ALLIED IRISH BKS P L C SPONSORED ADRREPSTG ORD
    73,039.75       15,059.59  
ADR ALUMINA LTD SPONSORED ADR
    23,934.95       4,708.00  
ADR ALUMINUM CORP CHINA LTD SPONSORED ADR REPSTG H SHS
    51,899.73       31,005.45  
ADR ANGLO AMERN PLC ADR NEW
    292,143.24       129,005.24  
ADR ANGLO PLATINUM LTD ADR
    121,571.94       51,731.99  
ADR ANGLOGOLD ASHANTI LTD
    105,598.15       78,668.69  
ADR ARACRUZ CELULOSE S A SPONSORED ADR REPSTG CL B SHS
    7,900.10       9,475.20  
ADR ARCELORMITTAL SA LUXEMBOURG N Y REGISTRY SHS
    101,380.69       53,606.20  
ADR ARM HLDS PLC SPONSORED ISIN US0420681068
    1,299.34       770.00  
ADR ASIA PULP & PAPER LTD SPONSORED ADR
    416.17        

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR ASTRAZENECA PLC SPONSORED ADR UK
    17,789.09       17,273.63  
ADR AU OPTRONICS CORP SPONSORED ADR
    15,984.85       11,389.44  
ADR AUSTRALIA & NEW ZEALAND BKG GROUP LTD SPONSORED ADR
    26,021.40       12,898.60  
ADR AXA SA SPONSORED ADR
    46,902.40       30,896.25  
ADR BABCOCK & BROWN AIR LTD SPONSORED ADR ADR
    3,614.00       3,385.00  
ADR BAE SYS PLC SPONSORED ADR
    3,354.95       2,166.68  
ADR BAIDU INC SPONSORED ADR
    372,195.13       319,243.65  
ADR BANCO BILBAO VIZCAYA ARGENTARIA S A SPONSORED ADR
    164,332.87       141,224.43  
ADR BANCO BRADESCO S A SPONSORED ADR REPSTG PFD SHS NEW 2004
    31,866.64       15,081.36  
ADR BANCOLOMBIA S A SPONSORED ADR REPSTG4 PREF SHS
    8,249.19       5,837.50  
ADR BARLOW LTD ADR
    17,767.90       11,300.50  
ADR BASF AKTIENGESELLSCHAFT — LEVEL I
    50,767.37       36,039.29  
ADR BAYER A G SPONSORED ADR
    81,729.94       62,894.76  
ADR BERKELEY TECH LTD SPONSORED ADR
    14,194.86       29.33  
ADR BHP BILLITON LTD SPONSORED ADR
    322,560.67       216,455.64  
ADR BHP BILLITON PLC SPONSORED ADR
    9,524.63       6,751.50  
ADR BNP PARIBAS SPONSORED ADR REPSTG
    17,250.93       6,832.74  
ADR BP P L C SPONSORED ADR SPONSORED ADR
    423,172.88       382,809.15  
ADR BP P L C SPONSORED ADR SPONSORED ADR
    328,373.00       257,070.00  
ADR BRIT AMERN TOB PLC SPONSORED COM STK
    6,873.95       5,311.00  
ADR BT GROUP PLC ADR
    31,296.24       17,882.10  
ADR C P POKPHAND LTD SPONSORED ADR NEW
    3,037.12       323.50  
ADR CANON INC A.D.R. FOR COM YEN
    7,403.01       4,710.00  
ADR CATHAY PAC AWYS LTD SPONSORED ADR
    533.95       281.28  
ADR CEMEX SAB DE CV
    92,242.54       41,358.50  
ADR CEMEX SAB DE CV
    949,476.50       593,542.46  
ADR CEMEX SAB DE CV
    234,317.14       75,596.94  
ADR CGG VERITAS ADS EACH 5 REPR 1 ORD EUR2
    18,912.19       5,996.00  
ADR CHEUNG KONG HLDG LTD A.D.R. FOR ORD HK $2
    33,866.06       25,299.35  
ADR CHICAGO BRDG & IRON CO N V N Y REGISTRY SH NV
    51,999.63       24,471.75  
ADR CHINA DIGITAL TV HLDG CO LTD SPONSORED ADR
    202,589.34       57,738.20  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR CHINA FIN ONLINE CO LTD SPONSORED ADR
    3,346.93       2,460.50  
ADR CHINA LIFE INS CO LTD SPONSORED ADR REPSTG H SHS
    28,005.89       20,416.00  
ADR CHINA MED TECHNOLOGIES INC SPONSOREDADR
    111,975.39       52,007.42  
ADR CHINA MOBILE LTD
    705,299.63       522,738.00  
ADR CHINA OILFIELD SVCS LTD SPONSORED ADR REPSTG H SHS
    3,553.95       1,612.85  
ADR CHINA PETE & CHEM CORP SPONSORED ADRREPSTG H SHS
    74,259.38       33,675.55  
ADR CHINA SOUTHN AIRLS LTD 50 SHS CL H ISIN US1694091091
    18,286.06       6,367.50  
ADR CHINA SUNERGY CO LTD SPONSORED ADR
    42,003.02       19,947.50  
ADR CHINA TECHFAITH WIRELESS COMMUNICATION TECH LTD SPONSORED ADR
    11,935.45       3,840.00  
ADR CNOOC LTD SPONSORED ADR SPONSORED ADR
    19,397.46       16,762.24  
ADR CNOOC LTD SPONSORED ADR SPONSORED ADR
    21,605.27       16,190.80  
ADR COCA-COLA FEMSA S.A.B DE C.V.
    5,508.95       4,351.00  
ADR COCA-COLA HELLENIC BOTTLING CO S A SPONSORED ADR
    4,437.45       1,446.00  
ADR COMPANHIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP SPONSORED ADR
    186,517.65       102,287.25  
ADR COMPANHIA SIDERURGICA NACIONAL REPSTG ORD SHS
    16,228.26       7,686.00  
ADR COMPANHIA VALE DO RIO DOCE SPONSOREDADR
    666,982.71       299,177.55  
ADR COMPANIA DE MINAS BUENAVENTURA S A SPONSORED ADR REPSTG SER B SHS
    33,031.41       24,621.12  
ADR CPFL ENERGIA S A SPONSORED ADR
    3,238.78       1,758.15  
ADR CREDIT SUISSE GROUP SPONSORED ADR ISIN US2254011081
    74,270.16       38,716.20  
ADR CREDIT SUISSE GROUP SPONSORED ADR ISIN US2254011081
    220,582.97       115,866.00  
ADR CTRIP COM INTL LTD AMERICAN DEP SHS AMERICAN DEP SHS
    72,359.21       38,270.40  
ADR DESARROLLADORA HOMEX SAB DE CV SPONSORED ADR
    5,643.44       2,283.00  
ADR DEUTSCHE TELEKOM AG ISIN # US2515661054
    7,178.05       5,355.00  
ADR DRDGOLD LTD SPONSORED ADR REPSTG 10 SHS
    6,364.73       9,329.75  
ADR E ON AG SPONSORED ADR
    62,106.10       44,473.05  
ADR E-HOUSE CHINA HLDGS LTD ADR
    41,693.43       24,219.00  
ADR ELAN CORP PLC ADR REPRESENTING SHS
    60,183.88       23,202.00  
ADR EMBOTELLADORA ANDINA S A SPONSORED ADR REPSTG SER A
    1,645.95       1,050.00  
ADR EMBRAER-EMPRESA BRASILEIRA DE AERONAUTICA S A SPONSR ADR REPSTG PFDSHS
    6,544.99       3,242.00  
ADR ENI S P A SPONSORED ADR
    45,057.04       33,474.00  
ADR ERICSSON L M TEL CO ADR CL B SEK 10 NEW ERICSSON L M TEL CO ADR
    145,827.09       109,340.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR ERICSSON L M TEL CO ADR CL B SEK 10 NEW ERICSSON L M TEL CO ADR
    4,246.94       2,811.60  
ADR FOCUS MEDIA HLDG LTD SPONSORED ADR
    60,918.37       22,452.30  
ADR FOMENTO ECONOMICO MEXICANA SAB DE CV
    5,185.35       6,026.00  
ADR FRANCE TELECOM
    3,371.15       2,807.00  
ADR FUTUREMEDIA PLC SPONSORED ADR COM NEW DEC 2007 ADR
    999.60       0.40  
ADR GAFISA S A SPONSORED ADR REPSTG 2 COM SHS
    13,434.31       3,704.00  
ADR GDF SUEZ SPONSORED ADR ADR
    5,250.11       4,664.67  
ADR GENESIS LEASE LTD ADR ADR
    71,580.78       17,786.55  
ADR GERDAU S A SPONSORED ADR
    26,892.25       21,285.00  
ADR GLAXOSMITHKLINE PLC SPONSORED ADR
    149,210.44       116,696.32  
ADR GLAXOSMITHKLINE PLC SPONSORED ADR
    812,488.74       626,136.00  
ADR GLAXOSMITHKLINE PLC SPONSORED ADR
    116,547.59       93,398.62  
ADR GMARKET INC SPONSORED ADR
    17,732.34       13,800.00  
ADR GOL LINHAS AEREAS INTELIGENTES SPONSORED ADR REPSTG PFD SHS
    23,240.07       5,160.60  
ADR GOLD FIELDS LTD NEW SPONSORED ADR
    28,294.02       28,052.25  
ADR GRUPO AEROPORTUAIRO DEL PACIFICO SABDE CV
    9,614.12       7,251.30  
ADR GRUPO CASA SABA S A DE C V SPONSOREDADR
    2,614.70       1,380.00  
ADR GRUPO SIMEC SAB
    306.43       123.75  
ADR GRUPO TELEVISA SA DE CV SPONSORED ADR REPSTG ORD PARTN SPONS ADR
    17,846.03       11,952.00  
ADR GRUPO TMM SAB SPONSORED ADR REPSTG SER A SHS CPO
    1,308.95       1,420.00  
ADR GUANGSHEN RY LTD
    5,827.67       6,179.52  
ADR GUSHAN ENVIRONMENTAL ENERGY LTD SPONSORED ADR
    19,494.34       2,668.00  
ADR HANG LUNG PPTYS LTD SPONSORED ADR
    9,900.90       10,864.10  
ADR HARMONY GOLD MNG LTD
    75,877.75       109,700.00  
ADR HDFC BK LTD ADR REPSTG 3 SHS
    11,182.10       10,849.76  
ADR HITACHI LTD A.D.R. FOR 10 COM
    124,469.32       82,194.00  
ADR HONDA MOTOR CO. LTD AMER DEPOSITARY SHARES REPRESENTING 10 SHARES OF COMMON
    66,651.22       51,642.80  
ADR HOYA CORP SPONSORED ADR
    2,158.95       1,699.94  
ADR HSBC HLDGS PLC SPONSORED ADR NEW
    245,686.33       131,409.00  
ADR HSBC HLDGS PLC SPONSORED ADR NEW
    108,089.87       60,302.13  
ADR HUANENG PWR INTL INC SPONSORED ADR SER N SHS
    8,315.42       10,213.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR HUTCHISON TELECOMMUNICATIONS INTL LTD SPONSORED ADR
    15,828.98       4,864.05  
ADR IBERDROLA S A SPONSORED ADR REPSTG 1ORD SHS
    19,218.51       18,181.20  
ADR ICICI BK LTD
    3,731.65       5,775.00  
ADR ICICI BK LTD
    487,683.59       291,849.25  
ADR IMPALA PLATINUM HLDGS LTD SPONSORED ADR REPSTG 1/4 SH
    9,303.78       4,818.79  
ADR INFINEON TECHNOLOGIES AG SPONSORED ADR ADR STK ISIN# US45662N1037
    13,782.88       1,820.00  
ADR INFOSYS TECHNOLOGIES LTD SPONSORED ADR REPSTG 1 EQUITY SH
    412,097.77       274,446.90  
ADR INFOSYS TECHNOLOGIES LTD SPONSORED ADR REPSTG 1 EQUITY SH
    64,027.76       35,061.39  
ADR ING GROEP N V SPONSORED ADR
    38,331.68       22,200.00  
ADR INSIGNIA SOLUTIONS PLC SPONSORED ADR
    601,291.48       1,304.00  
ADR INTERCONTINENTAL HOTELS GROUP PLC NEW SPONSORED ADR NEW JUNE 2007
    19,283.95       12,555.00  
ADR INTESA SANPAOLO S P A SPONSORED ADR REPSTG ORD SHS ADR
    29,176.56       16,930.16  
ADR IRELAND BK SPONSORED
    6,933.28       6,215.31  
ADR JA SOLAR HLDGS CO LTD SPONSORED ADR
    407,452.64       163,385.56  
ADR JARDINE MATHESON HLDGS LTD ADR
    9,158.95       5,550.00  
ADR JSC MMC NORILSK ADR
    446.16       137.00  
ADR JSC MMC NORILSK NICKEL SPONSORED ADR
    146,527.37       34,164.90  
ADR JSC MMC NORILSK NICKEL SPONSORED ADR
    164,898.47       49,241.60  
ADR KEPPEL LTD SPONSORED
    2,958.95       3,005.35  
ADR KONGZHONG CORP SPONSORED ADR
    18,102.16       9,373.30  
ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000
    79,048.73       45,701.00  
ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000
    51,454.92       44,210.75  
ADR KOREA ELEC PWR CORP SPONSORED ADR ISIN #US5006311063
    15,011.69       16,254.00  
ADR KUBOTA CORP
    3,774.47       3,426.65  
ADR KYOCERA CORP A.D.R. FOR COM
    119,806.43       108,555.00  
ADR LAN AIRL S A
    1,315.84       764.75  
ADR LDK SOLAR CO LTD SPONSORED ADR
    273,964.19       88,664.96  
ADR LENOVO GROUP LTD SPONSORED ADR
    12,388.30       7,078.37  
ADR LIHIR GOLD LTD SPONSORED ADR
    10,435.15       6,579.00  
ADR LUXOTTICA GROUP S P A SPONSORED ADR
    18,888.95       14,496.00  
ADR M 2003 PLC SPONSORED ADR
    4,800.70       8.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR MACQUARIE GROUP LTD ADR ADR
    11,426.77       4,017.22  
ADR MECHEL OAO SPONSORED ADR
    104,486.72       26,660.00  
ADR METAL STORM LTD SPONSORED ADR
    5,539.48       1,394.20  
ADR MINDRAY MED INTL LTD SPONSORED ADR REPSTG CL A
    83,145.89       48,240.00  
ADR MINDRAY MED INTL LTD SPONSORED ADR REPSTG CL A
    211,620.25       96,120.00  
ADR MITSUBISHI UFJ FINL GROUP INC SPONSORED ADR
    56,417.58       35,552.25  
ADR MIZUHO FINL GROUP INC SPONSORED ADR
    1,275.95       577.00  
ADR MOBILE TELESYSTEMS OJSC SPONSORED
    11,677.98       3,735.20  
ADR NATIONAL AUSTRALIA BK LTD SPONSORED ADR
    7,973.95       4,365.12  
ADR NATIONAL GRID TRANSCO PLC SPONSORED ADR NEW
    12,743.96       11,656.26  
ADR NATUZZI S P A ADR
    2,631.60       840.00  
ADR NESTLE S A SPONSORED ADR REPSTG REG SH
    250,730.70       283,458.00  
ADR NESTLE S A SPONSORED ADR REPSTG REG SH
    140,971.77       125,381.47  
ADR NEW ORIENTAL ED & TECHNOLOGY GROUP INC SPONSORED ADR REPSTG COM
    153,994.00       150,892.68  
ADR NEW ORIENTAL ED & TECHNOLOGY GROUP INC SPONSORED ADR REPSTG COM
    23,083.34       19,053.77  
ADR NEWCREST MNG LTD SPONSORED ADR
    168,607.90       191,668.71  
ADR NINTENDO LTD
    31,162.93       26,154.81  
ADR NIPPON TELEG & TEL CORP SPONSORED ADR
    13,867.95       13,595.00  
ADR NIPPON TELEG & TEL CORP SPONSORED ADR
    132,657.90       165,804.62  
ADR NOAH ED HLDGS LTD ADR
    1,198.15       315.00  
ADR NOKIA CORP SPONSORED ADR
    192,560.32       128,060.40  
ADR NOMURA HLDGS INC SPONSORED ADR
    26,668.09       13,568.75  
ADR NORSK HYDRO A.S. SPONSORED FOR COMMON STOCK
    3,221.59       694.79  
ADR NOVARTIS AG
    91,346.46       84,094.40  
ADR NOVARTIS AG
    775,809.67       726,496.00  
ADR NOVO-NORDISK A S ADR
    14,903.46       12,333.60  
ADR NTT DOCOMO INC SPONSORED ADR
    6,156.98       6,533.46  
ADR OAO GAZPROM LEVEL 1 ADR
    22,002.51       6,735.50  
ADR OAO GAZPROM LEVEL 1 ADR
           
ADR OIL CO LUKOIL SPONSORED ADR
    477,159.46       180,395.00  
ADR OPEN JT STK CO-VIMPEL COMMUNICATIONSSPONSORED ADR
    152,207.31       84,530.96  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR ORKLA A S SPONSORED ADR
    12,998.95       6,490.90  
ADR PANASONIC CORP ADR ADR
    32,770.24       20,264.76  
ADR PANASONIC CORP ADR ADR
    333,444.68       279,900.00  
ADR PARTNER COMMUNICATIONS CO LTD ADR ISIN US70211M1099
    22,633.65       16,665.00  
ADR PERFECT WORLD CO LTD SPONSORED ADR REPSTG CL B
    2,621.43       1,725.00  
ADR PETROBAS ENERGIA PARTICIPACIONES S ASPONSORED ADR REPSTG 2 CL B SH
    8,626.90       7,917.00  
ADR PETROCHINA CO LTD SPONSORED ADR
    151,688.65       83,690.41  
ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR
    566,270.87       361,203.01  
ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR
    267,048.64       134,009.28  
ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR
    931,724.68       603,654.01  
ADR POSCO SPONSORED ADR
    115,818.22       72,766.75  
ADR PRANA BIOTECHNOLOGY LTD SPONSORED ADR
    9,018.90       5,700.00  
ADR RANDGOLD RES LTD ADR
    21,434.36       21,960.00  
ADR REDIFF COM INDIA LTD SPONSORED ADR ISIN# US7574791007
    4,514.43       506.52  
ADR RENESOLA LTD SPONSORED ADS ADR
    25,723.18       29,370.60  
ADR RIO TINTO PLC SPONSORED ADR
    55,170.62       13,781.05  
ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104
    35,191.95       35,978.50  
ADR ROCHE HLDG LTD SPONSORED ADR ISIN #US771195104
    67,692.29       62,977.28  
ADR ROYAL BK SCOTLAND GROUP PLC SPONSORED ADR REPSTG 20 ORD SH
    38,255.10       25,971.04  
ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS
    27,046.85       21,176.00  
ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG A SHS
    107,616.83       116,468.00  
ADR ROYAL DUTCH SHELL PLC SPONSORED ADR REPSTG B SHS
    30,448.11       25,715.00  
ADR SADIA S A
    53,176.57       27,028.40  
ADR SANOFI-AVENTIS SPONSORED ADR
    40,236.20       29,973.12  
ADR SANOFI-AVENTIS SPONSORED ADR
    910,525.31       691,440.00  
ADR SAP AKTIENGESELLSCHAFT SPONSORED ADR
    13,677.90       14,488.00  
ADR SAP AKTIENGESELLSCHAFT SPONSORED ADR
    1,051,368.03       720,778.00  
ADR SASOL LTD SPONSORED ADR
    42,998.49       32,665.41  
ADR SATYAM COMPUTER SVCS LTD AMERN DEPOSITORY RCPT ISIN US8040981016
    1,299.24       1,356.00  
ADR SCMP GROUP LTD SPONSORED ADR
    2,109.95       220.00  
ADR SEMICONDUCTOR MFG INTL CORP SPONSORED ADR
    467.95       358.70  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR SHANDA INTERACTIVE ENTMT LTD SPONSORED ADR
    20,942.48       22,263.68  
ADR SIEMENS AG COM DM50 (NEW)
    387,139.97       340,875.00  
ADR SIEMENS AG COM DM50 (NEW)
    153,619.25       115,215.75  
ADR SILEX SYS LTD SPONSORED ADR
    95,719.07       24,429.60  
ADR SILICON MOTION TECHNOLOGY CORP SPONSORED ADR REPSTG SHS
    18,849.96       3,526.60  
ADR SINOPEC SHANGHAI PETROCHEMICAL CO LTD SPONSORED ADR REPSTG CL H SHS
    13,004.89       5,232.00  
ADR SK TELECOM LTD SPONSORED ADR
    2,461.16       1,818.00  
ADR SKILLSOFT PUB LTD CO SPONSORED ADR
    141,673.95       103,530.00  
ADR SOCIEDAD QUIMICA Y MINERA DE CHILE SA SPONSORED ADR REPSTG SER B SHS
    88,011.12       81,096.75  
ADR SOLARFUN PWR HLDGS CO LTD SPONSORED ADR
    223,655.24       82,750.17  
ADR SONY CORP AMERN SH NEW
    573,290.78       349,920.00  
ADR SONY CORP AMERN SH NEW
    86,036.80       43,040.16  
ADR SPONSORED ADR
    3,721.13       2,440.00  
ADR SPONSORED ADR REPSTG ORD SHS ADR
    2,131.56       799.00  
ADR ST GEORGE BK LTD SPONSORED ADR
    4,008.62       2,249.57  
ADR STARPHARMA HLDGS LTD SPONSORED ADR ADR
    3,409.95       1,359.50  
ADR STERLITE INDS INDIA LTD ADS
    48,243.20       11,950.80  
ADR SUMITOMO MITSUI FINL GROUP INC ADR
    27,415.21       15,657.95  
ADR SUNTECH PWR HLDGS CO LTD ADR
    628,216.13       306,785.70  
ADR SYNGENTA AG SPONSORED ADR
    29,592.80       19,061.18  
ADR TAIWAN SEMICONDUCTOR MFG CO LTD SPONSORED ADR
    369,769.13       279,573.10  
ADR TAIWAN SEMICONDUCTOR MFG CO LTD SPONSORED ADR
    1,114,249.47       896,721.10  
ADR TAIWAN SEMICONDUCTOR MFG CO LTD SPONSORED ADR
    22,236.86       18,312.20  
ADR TAM S A SPONSORED ADR REPSTG PFD
    9,110.23       2,472.00  
ADR TATA COMMUNICATIONS LTD SPONSORED ADR ADR
    5,508.95       4,274.00  
ADR TATA MTRS LTD SPONSORED ADR
    33,956.77       8,677.50  
ADR TELECOM CORP NEW ZEALAND LTD SPONSORED ADR
    13,962.73       5,433.70  
ADR TELEFONICA DE ARGENTINA S A SPONSORED ADR REPSTG 0.8156 CL B SHS
    1,832.95       800.00  
ADR TELEFONICA S A SPONSORED
    69,714.93       58,696.69  
ADR TELEFONOS DE MEXICO S A SPONSORED ADR REPSTG SH ORD L
    1,983.95       1,654.26  
ADR TENARIS S A SPONSORED ADR
    42,183.25       20,665.30  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADR TERNIUM S A SPONSORED ADR
    5,858.51       1,285.50  
ADR TEVA PHARMACEUTICAL INDS
    1,144,940.24       1,056,033.99  
ADR TEVA PHARMACEUTICAL INDS
    102,134.64       102,763.98  
ADR TEVA PHARMACEUTICAL INDS
    1,030,979.38       1,028,789.19  
ADR TEVA PHARMACEUTICAL INDS
    834,917.63       817,344.00  
ADR THE9 LTD ADR ADR
    5,872.30       3,996.00  
ADR TOMKINS PLC SPONSORED ADR
    11,038.95       7,310.00  
ADR TOTAL SA
    276,835.64       261,513.70  
ADR TOTAL SA
    73,749.80       56,682.50  
ADR TOYOTA MTR CORP ADR FOR 2 COM
    362,589.81       287,936.00  
ADR TOYOTA MTR CORP ADR FOR 2 COM
    396,457.00       269,940.00  
ADR TRANSPORTADORA DE GAS DEL SUR S A SPONSORED ADR REPSTG 5 CL B SH
    4,848.07       2,612.74  
ADR TRINITY BIOTECH PLC SPONSORED ADR NEW
    9,389.77       1,404.80  
ADR TURKCELL ILETISIM HIZMETLERI A S SPONSORED ADR NEW
    11,424.20       8,748.00  
ADR ULTRAPAR PARTICIPACOES S A SPONSORED# US90400P1012
    6,698.32       6,747.00  
ADR UNILEVER N V NEW YORK SHS NEW
    108,456.77       88,134.50  
ADR UNILEVER PLC SPONSORED ADR NEW
    12,617.61       9,208.00  
ADR UNITED MICROELECTRONICS CORP SPONSORED ADR NEW
    42,835.03       30,332.96  
ADR VEOLIA ENVIRONNEMENT SPONSORED ADR
    100,568.06       58,314.69  
ADR VESTAS WIND SYS A/S UTD KINGDOM UNSPONSORED ADR REPSTG 3 ORD SHS
    33,542.35       32,247.45  
ADR VISIONCHINA MEDIA INC SPONSORED ADR
    252.40       65.52  
ADR VODAFONE GROUP PLC NEW SPONSORED ADRNEW ADR
    251,834.23       204,706.60  
ADR VODAFONE GROUP PLC NEW SPONSORED ADRNEW ADR
    35,320.96       30,393.46  
ADR VOTORANTIM CELULOSE E PAPEL S A SPONSORED ADR
    3,268.61       1,982.50  
ADR WESTPAC BKG LTD SPONSORED A.D.R.
    24,731.70       14,584.42  
ADR WIMM-BILL-DANN FOODS OJSC SPONSORED ADR
    53,422.07       13,944.30  
ADR WIPRO LTD SPONSORED ADR REPSTG 1 SH SPONSORED ADR REPSTG 1 SH\COM\
    19,046.65       10,162.50  
ADR XINYUAN REAL ESTATE CO LTD SPONSOREDADR
    863.08       976.00  
ADR YANZHOU COAL MNG CO LTD ISIN US9848461052
    19,860.50       9,964.00  
ADR YINGLI GREEN ENERGY HLDG CO LTD ADR ADR
    51,771.14       16,671.30  
ADUDDELL INDS INC COM STK
    45.03       0.35  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ADVANCE AMER CASH ADVANCE CTRS INC COM STK
    53,717.90       17,577.00  
ADVANCE AMER CASH ADVANCE CTRS INC COM STK
    115,754.38       16,821.00  
ADVANCE AUTO PTS INC COM
    117,188.88       97,585.00  
ADVANCED BATTERY TECHNOLOGIES INC COM COM
    6,024.59       5,253.50  
ADVANCED BIOTHERAPY INC
    33,718.30       8,161.20  
ADVANCED CELL TECHNOLOGY INC COM
    9,961.75       5,616.60  
ADVANCED DEPOSITION TECHNOLOGIES INC COM
    1,506.39       0.15  
ADVANCED GROWING SYS INC NEV COM
    4,040.70       2,000.00  
ADVANCED ID CORP COM
    11,240.98       2,100.00  
ADVANCED MED INST INC COM
    8,759.95       350.00  
ADVANCED MICRO DEVICES INC COM
    250,379.55       32,832.00  
ADVANCED MICRO DEVICES INC COM
    116,037.15       71,258.40  
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       220.00  
ADVANTA CORP CL B
    4,843.11       3,605.25  
ADVANTEST CORP NPV
    74,249.05       85,184.78  
ADVENTRX PHARMACEUTICALS INC COM STK
    1,384.45       37.50  
AECOM TECHNOLOGY CORP DELAWARE COM
    90,451.75       92,804.60  
AEGEAN MARINE PETROLEUM NETWORK INC COM STK USD0.01
    11,220.34       12,041.60  
AEGIS ASSMTS INC COM
    3,578.85       1.20  
AEGON NV COM STK EUR0.12
    32,127.55       38,337.41  
AEHR TEST SYS COM
    1,007.51       205.00  
AEON CREDIT SERV NPV
    320,636.30       184,185.33  
AERCAP HOLDINGS N.V. EUR0.01
    8,988.95       1,505.00  
AERO PERFORMANCE PRODS INC COM STK
    956.80       210.00  
AEROFOAM METALS INC COM
    5,138.44       3.00  
AEROPOSTALE COM
    21,898.24       11,237.80  
AEROPOSTALE COM
    7,271.10       8,050.00  
AEROVIRONMENT INC COM
    99,570.54       132,147.90  
AES CORP COM
    341,234.58       138,432.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AES CORP COM
    26,399.37       11,395.92  
AETNA INC
    65,125.91       46,241.14  
AETNA INC
    161,514.99       327,636.00  
AETNA INC
    296,309.17       319,200.00  
AETRIUM INC COM STK USD0.001
    4,149.95       1,950.00  
AFC ENTERPRISES INC COM
    9,101.20       4,690.00  
AFFILIATED COMPUTER SVCS INC CL A COM
    133,179.71       110,280.00  
AFFILIATED COMPUTER SVCS INC CL A COM
    583,013.67       523,830.00  
AFFILIATED MANAGERS GROUP INC COM STK
    915,147.99       507,232.00  
AFFILIATED MANAGERS GROUP INC COM STK
    215,723.99       145,043.20  
AFFILIATED MANAGERS GROUP INC COM STK
    10,940.51       4,192.00  
AFFYMETRIX INC OC-CAP STK
    2,870.35       717.60  
AFFYMETRIX INC OC-CAP STK
    15,550.00       11,960.00  
AFLAC INC COM
    360,897.85       536,328.00  
AFLAC INC COM
    91,069.13       83,859.88  
AFRICAN DIAMOND CO INC COM
    2,808.95       2,750.00  
AGCO CORP COM
    14,703.48       7,171.36  
AGCO CORP COM
    94,916.64       99,078.00  
AGCO CORP COM
    506,581.97       224,105.00  
AGCO CORP COM
    182,950.40       75,488.00  
AGILENT TECHNOLOGIES INC COM
    50,616.17       45,639.60  
AGILENT TECHNOLOGIES INC COM
    974.66       468.90  
AGILENT TECHNOLOGIES INC COM
    239,370.49       137,840.97  
AGL RES INC COM
    46,033.86       37,297.75  
AGNICO EAGLE MINES LTD COM
    333,683.82       317,476.05  
AGRIUM INC COM
    57,585.38       57,031.23  
AIFUL CORP NPV
    217,373.56       68,238.83  
AIR CDA INC CL A COM STK
    3,547.70       3,544.00  
AIR FRANCE — KLM EUR8.50
    1,174,864.73       364,582.78  
AIR LIQUIDE(L’) EUR5.50
    614,760.94       509,663.07  
AIR METHODS CORP COM NEW COM NEW
    5,776.25       2,398.50  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AIR PROD & CHEM INC COM
    198,333.22       261,404.00  
AIR PROD & CHEM INC COM
    580,807.64       588,159.00  
AIR PROD & CHEM INC COM
    281,118.54       296,593.00  
AIR PROD & CHEM INC COM
    184,021.76       107,195.25  
AIR PROD & CHEM INC COM
    148,502.01       136,985.75  
AIR TRANS SVCS GROUP INC COM STK
    10,188.13       423.00  
AIR WTR INTL CORP COM STK
    482.67        
AIRCASTLE LIMITED COM STK
    38,748.48       10,109.70  
AIRGAS INC COM
    186,292.34       180,523.70  
AIRGAS INC COM
    15,179.56       13,646.50  
AIRNET COMMUNICATIONS CORP COM NEW STK
    3,389.37        
AIRSCOOTER CORP COM
    10,628.14       1,050.00  
AIRSPAN NETWORKS INC COM STK ISIN#US00950H1023
    25,623.18       2,120.30  
AIRTECH INTL GROUP INC COM NEW
    6,883.43        
AIRTRAN HLDGS INC COM
    8,406.14       10,434.00  
AIRVANA INC COM STK
    17,570.69       17,974.44  
AISIN SEIKI CO NPV
    87,669.66       83,105.35  
AK STL HLDG CORP COM STK PAR $0.01
    181,397.63       26,096.00  
AK STL HLDG CORP COM STK PAR $0.01
    60,618.29       15,016.37  
AKAMAI TECHNOLOGIES INC COM STK
    69,995.77       44,138.25  
AKAMAI TECHNOLOGIES INC COM STK
    202,688.48       63,378.00  
AKEENA SOLAR INC COM STK
    31,077.78       11,162.80  
AKZO NOBEL NV EUR2
    315,303.44       184,972.28  
ALADDIN KNOWLEDGE SYS COM
    4,394.81       1,848.00  
ALASKA AIR GROUP INC COM
    7,537.90       10,939.50  
ALASKA COMMUNICATIONS SYS GROUP INC COM ISIN US01167P1012
    71,058.24       59,608.59  
ALBANY INTL CORP NEW CL A
    714.45       642.00  
ALBANY MOLECULAR RESH INC COM
    247,298.13       149,976.52  
ALBERTA STAR DEV CORP COM
    239,120.74       20,498.16  
ALBERTO-CULVER CO NEW COM STK
    90,003.36       102,942.00  
ALBERTO-CULVER CO NEW COM STK
    211,189.60       189,952.50  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ALBERTO-CULVER CO NEW COM STK
    1,127.20       1,229.59  
ALCOA INC COM STK
    268,154.48       208,564.25  
ALCOA INC COM STK
    423,182.94       224,254.16  
ALCOA INC COM STK
    865,596.69       343,430.00  
ALCON INC COM CHF0.20
    2,845.29       1,516.23  
ALDERSHOT RES LTD NEW COM STK
    252.75       32.40  
ALEXANDER & BALDWIN INC COM
    16,193.26       8,771.00  
ALEXCO RESOURCE CORP COM STK
    15,422.86       10,950.00  
ALEXION PHARMACEUTICALS INC COM
    93,416.45       144,036.20  
ALEXION PHARMACEUTICALS INC COM
    128,494.81       124,348.84  
ALGONQUIN PWR INC FD TR UNITS COM
    15,848.21       4,210.20  
ALICO INC COM
    9,520.83       9,298.01  
ALIGN TECHNOLOGY INC COM
    4,900.23       4,375.00  
ALIGN TECHNOLOGY INC COM
    68,997.64       46,375.00  
ALKERMES INC COM
    8,587.18       5,325.00  
ALL FUELS & ENERGY CO COM STK
    2,154.95       1.52  
ALLEGHENY ENERGY INC COM
    145,004.13       142,212.00  
ALLEGHENY ENERGY INC COM
    8,211.41       7,089.74  
ALLEGHENY TECHNOLOGIES INC COM
    85,126.06       61,425.18  
ALLEGHENY TECHNOLOGIES INC COM
    38,878.26       28,135.67  
ALLEGIANT TRAVEL CO COM
    186,704.02       228,279.00  
ALLERGAN INC COM
    192,969.56       306,432.00  
ALLERGAN INC COM
    132,019.42       95,558.40  
ALLERGAN INC COM
    49,020.42       37,760.04  
ALLETE INC COM NEW
    7,164.15       6,454.00  
ALLIANCE 1 INTL INC COM
    3,790.27       2,940.00  
ALLIANCE DATA SYS CORP COM
    151,369.02       167,508.00  
ALLIANCE DATA SYS CORP COM
    67,474.15       41,877.00  
ALLIANCE HEALTHCARE SVCS INC COM NEW COMNEW
    3,232.03       3,188.00  
ALLIANCE HEALTHCARE SVCS INC COM NEW COMNEW
    146,119.44       142,663.00  
ALLIANCE HLDGS GP L P
  2,147.31       1,345.60  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ALLIANT TECHSYSTEMS INC COM
    3,506.05       3,430.40  
ALLIANT TECHSYSTEMS INC COM
    171,791.04       137,216.00  
ALLIANZ SE (SE SOCIETAS EUROPEAE)
    1,313,311.07       740,201.61  
ALLIED CAP CORP NEW COM
    11,912.90       18,023.00  
ALLIED CAP CORP NEW COM
    48,341.33       65,905.00  
ALLIED CAP CORP NEW COM
    231,773.37       37,485.56  
ALLIED ENERGY INC FLA COM
    539.95       80.00  
ALLIED HEALTHCARE INTL INC COM
    5,708.95       5,450.00  
ALLIED IRISH BANKS PLC
    240,880.57       85,157.13  
ALLIED MOTION TECHNOLOGIES INC COM
    4,590.68       2,016.00  
ALLIED NEV GOLD CORP COM STK
    25,949.04       25,203.86  
ALLIED WORLD ASSURANCE COM STK
    61,786.73       73,080.00  
ALLIED WORLD ASSURANCE COM STK
    150,219.33       154,280.00  
ALLIED WORLD ASSURANCE COM STK
    126,734.27       121,800.00  
ALLION HEALTHCARE INC COM
    1,076.90       824.00  
ALLIS-CHALMERS ENERGY INC FORMERLY ALLI COM PAR $0.01 NEW
    132,142.65       44,550.00  
ALLIS-CHALMERS ENERGY INC FORMERLY ALLI COM PAR $0.01 NEW
    10,024.68       3,300.00  
ALLOY INC COM NEW STK
    1,261.93       634.50  
ALLSCRIPT-MISYS HEALTHCARE SOLUTIONS INC
    116,672.97       129,108.80  
ALLSTATE CORP COM
    46,985.43       31,261.59  
ALLSTATE CORP COM
    113,259.94       78,624.00  
ALLSTATE CORP COM
    773,866.44       511,678.44  
ALLSTATE CORP COM
    347,810.99       439,901.28  
ALMOST FAMILY INC COM
    85,212.68       81,233.88  
ALNYLAM PHARMACEUTICALS INC COM
    252,655.80       237,408.00  
ALPHA NAT RES INC COM STK
    267,024.43       189,423.00  
ALPHA NAT RES INC COM STK
    177,102.97       52,795.59  
ALPHATEC HLDGS INC COM STK
    2,614.95       1,175.00  
ALPHATRADE COM NEW STK
    114.95       15.00  
ALPINE AIR EXPRESS INC COM NEW STK
    11,342.65       4,065.00  
ALPS ELECTRIC CO NPV
    161,999.59       73,419.75  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ALSTOM EUR7.0
    726,071.57       437,073.69  
ALTAIR NANOTECHNOLOGOES INC COM
    24,175.65       12,078.00  
ALTERA CORP COM
    3,398.95       3,342.00  
ALTERA CORP COM
    252,500.18       123,654.00  
ALTERNATE ENERGY CORP NEV COM STK
    12,225.43       450.00  
ALTRA HLDGS INC COM
    5,205.81       2,373.00  
ALTRA HLDGS INC COM
    27,569.80       15,820.00  
ALTRIA GROUP INC COM
    501,909.08       772,578.00  
ALTRIA GROUP INC COM
    64,069.43       64,547.16  
ALTRIA GROUP INC COM
    1,015,114.27       816,931.39  
ALTUS PHARMACEUTICALS INC COM
    2,288.95       795.00  
ALVARION LTD COM
    15,800.31       6,497.70  
AMADA CO LTD NPV
    111,961.12       85,383.34  
AMAZON COM INC COM
    75,067.10       89,022.08  
AMAZON COM INC COM
    394,037.55       405,112.00  
AMAZON COM INC COM
    986,063.35       728,176.00  
AMAZON COM INC COM
    74,352.91       55,690.08  
AMAZON GOLDSANDS LTD COM STK
    3,519.95       48.00  
AMBAC FNCL GROUP COM STK
    515,542.60       276,893.40  
AMCOR LIMITED NPV
    197,570.03       166,238.97  
AMDL INC COM PAR 2006 STK
    478.91       69.00  
AMDOCS ORD GBP0.01
    64,554.86       43,438.75  
AMDOCS ORD GBP0.01
    27,689.57       15,308.73  
AMEDISYS INC COM
    98,393.05       107,897.40  
AMEDISYS INC COM
    36,528.26       37,826.10  
AMELOT HLDGS INC COM
    726.85       300.00  
AMER ELEC PWR CO INC COM
    355,482.37       276,224.00  
AMER ELEC PWR CO INC COM
    362,211.10       334,131.20  
AMER ELEC PWR CO INC COM
    13,009.73       11,929.42  
AMER FINL GROUP INC OH COM STK
    38,541.45       34,320.00  
AMER FINL GROUP INC OH COM STK
    303,553.94       234,520.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AMER FINL GROUP INC OH COM STK
    198,414.90       157,872.00  
AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS
    204,066.33       117,351.63  
AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS
    17,502.32       14,875.20  
AMER MOVIL SAB DE C V SPONSORED ADR REPSTG SER L SHS
    362,373.15       197,716.20  
AMER WILD WOODLAND GINSENG CORP
    281,353.61        
AMEREN CORP COM
    220,173.42       172,952.00  
AMEREN CORP COM
    11,305.90       8,697.26  
AMERICAN APPAREL INC COM STK
    7,088.95       1,990.00  
AMERICAN BIO MEDICA CORP COM
    15,880.90       4,800.00  
AMERICAN CAP AGY CORP COM
    2,000.95       2,274.39  
AMERICAN CAP LTD COM STK
    73,170.65       66,420.00  
AMERICAN CAP LTD COM STK
    221,601.31       16,200.00  
AMERICAN CAP LTD COM STK
    12,153.56       11,340.00  
AMERICAN CAP LTD COM STK
    267,589.24       97,877.55  
AMERICAN EAGLE OUTFITTERS INC NEW COM
    94,709.96       44,793.99  
AMERICAN EAGLE OUTFITTERS INC NEW COM
    61,601.80       71,136.00  
AMERICAN EAGLE OUTFITTERS INC NEW COM
    103,854.95       99,113.04  
AMERICAN EAGLE OUTFITTERS INC NEW COM
    363,558.02       336,024.00  
AMERICAN EAGLE OUTFITTERS INC NEW COM
    37,396.64       34,632.00  
AMERICAN ENTERPRISE DEV CORP COM STK
    277.90       110.00  
AMERICAN EQUITY INVT LIFE HLDG CO COM
    194,700.34       243,600.00  
AMERICAN EXPRESS CO
    1,113,447.45       456,330.00  
AMERICAN EXPRESS CO
    698,068.62       534,240.00  
AMERICAN EXPRESS CO
    73,743.60       39,728.03  
AMERICAN GREEN GROUP INC COM NEW COM NEW
    864.95        
AMERICAN INTERNATIONAL GROUP
    1,427,553.77       983,496.66  
AMERICAN INTERNATIONAL GROUP
    2,348,945.17       105,028.29  
AMERICAN INTERNATIONAL GROUP
    1,773,561.37       76,773.00  
AMERICAN INTL PETE CORP COM PAR $0.08 NEW COM PAR $0.08 NEW
    3,347.50        
AMERICAN OIL & GAS INC NEV NEW COM
    7,503.98       984.00  
AMERICAN PHYSICIANS CAP INC COM
    4,698.97       4,830.83  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AMERICAN PHYSICIANS CAP INC COM
    45,765.50       52,910.00  
AMERICAN PUB ED INC COM STK
    86,526.52       81,408.91  
AMERICAN RAILCAR INDS INC COM STK
    75,203.06       24,219.00  
AMERICAN REPROGRAPHICS CO COM
    32,208.73       12,019.80  
AMERICAN SEC RES CORP COM
    1,959.55       210.00  
AMERICAN SUPERCONDUCTOR CORP SHS
    30,725.01       19,164.25  
AMERICAN TECHNOLOGY CORP COM NEW COM NEW
    5,428.66       550.00  
AMERICAN TOWER CORP CL A
    430,995.68       287,336.00  
AMERICAN UNITY INVTS INC FLA COM STK
    2,159.75       4.00  
AMERICAN VANGUARD CORP COM
    12,750.08       9,360.00  
AMERICAN WTR WKS CO INC NEW COM
    206,393.02       204,415.20  
AMERICAN WTR WKS CO INC NEW COM
    18,109.63       17,825.15  
AMERICAS CAR-MART INC COM
    13,353.57       9,667.00  
AMERICAS WIND ENERGY CORP COM
    2,960.87       223.20  
AMERICREDIT CORP COM
    98,768.95       114,600.00  
AMERIGO RES LTD
    7,753.40       6,156.00  
AMERIGROUP CORP COM
    971.51       1,416.96  
AMERIGROUP CORP COM
    175,466.26       150,552.00  
AMERIGROUP CORP COM
    282,665.89       277,488.00  
AMERIGROUP CORP COM
    650,940.96       687,816.00  
AMERIPRISE FINL INC COM
    97,403.19       124,742.40  
AMERIPRISE FINL INC COM
    4,522.04       4,672.00  
AMERISOURCEBERGEN CORP COM
    127,549.53       142,640.00  
AMERISOURCEBERGEN CORP COM
    159,899.59       146,206.00  
AMERISOURCEBERGEN CORP COM
    139,572.84       141,926.80  
AMERISTAR CASINOS INC COM STK USD0.01
    5,153.95       6,350.40  
AMERITYRE CORP COM
    56,503.42       3,911.60  
AMERN COML LINES INC COM NEW
    3,418.49       980.00  
AMERN ECOLOGY CORP COM NEW
    8,697.32       6,473.60  
AMERN HOMEPATIENT INC COM
    938.95       420.00  
AMERN ITALIAN PASTA CO CL A
    7,408.49       7,372.20  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AMERN MED SYS HLDGS INC COM STK
    33.01       17.98  
AMERN ORIENTAL BIOENGINEERING INC COM STK
    45,944.03       50,870.68  
AMERN ORIENTAL BIOENGINEERING INC COM STK
    25,013.78       21,728.00  
AMERN SCI & ENGR INC COM
    33,935.07       48,130.73  
AMERN SOFTWARE INC CL A
    19,174.10       13,592.74  
AMERN STS WTR CO COM
    24,337.90       26,384.00  
AMETEK INC NEW COM
    7.01       4.44  
AMETEK INC NEW COM
    247,713.57       233,825.40  
AMETEK INC NEW COM
    220,926.56       145,008.00  
AMGEN INC COM
    875,295.07       1,516,515.00  
AMGEN INC COM
    678,980.90       820,050.00  
AMGEN INC COM
    154,229.88       163,605.75  
AMICAS INC COM
    1,204.41       951.90  
AMISH NATURALS INC COM STK
    4,371.75       34.35  
AMKOR TECHNOLOGY INC COM
    36,258.15       12,862.00  
AMKOR TECHNOLOGY INC COM
    102,172.24       27,250.00  
AMKOR TECHNOLOGY INC COM
    268,732.54       54,282.00  
AMN HEALTHCARE SVCS INC COM
    41,297.28       20,304.00  
AMOROCORP INC COM STK
    1,030.00        
AMPCO-PITTSBURG CORP COM
    7,793.95       10,850.00  
AMPHENOL CORP NEW CL A
    9,879.50       4,796.00  
AMPHENOL CORP NEW CL A
    176,085.61       105,512.00  
AMR CORP COM
    369,673.28       371,316.00  
AMR CORP COM
    102,543.47       102,389.32  
AMR CORP COM
    12,114.00       12,804.00  
AMR CORP COM
    747,422.73       813,726.21  
AMSURG CORP COM
    16,466.34       14,984.28  
AMTECH SYS INC COM PAR $0.01 NEW STK
    21,998.41       18,450.00  
AMTRUST FINL SVCS INC COM
    116,133.42       90,480.00  
AMYLIN PHARMACEUTICALS INC COM
    26,094.34       19,367.25  
ANADARKO PETRO CORP COM
    358,557.62       265,995.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ANADARKO PETRO CORP COM
    154,158.83       117,955.60  
ANADARKO PETRO CORP COM
    309,591.45       440,086.80  
ANADIGICS INC COM
    15,995.20       7,696.00  
ANADIGICS INC COM
    32,974.24       10,863.20  
ANALOG DEVICES INC COM
    238,150.00       138,846.00  
ANALOG DEVICES INC COM
    379,878.22       384,204.00  
ANALOG DEVICES INC COM
    6,724.77       5,059.32  
ANALYSTS INTL CORP COM
    6,839.98       1,740.00  
ANAVEX LIFE SCIENCES CORP COM STK
    51,973.81       26,000.00  
ANDERSONS INC COM
    95,326.28       46,144.00  
ANDERSONS INC COM
    25,432.83       9,888.00  
ANDINA MINERALS INC COM STK
    15,983.43       20,828.11  
ANDREA ELECTRS CORP COM
    70.80       8.00  
ANDRESMIN GOLD CORP COM NEW COM NEW
    3,777.90       16.00  
ANGLO AMERICAN USD0.54945
    259,855.01       302,695.67  
ANGLO IRISH BK CP GB EUR0.16
    85,051.50       16,170.30  
ANIKA THERAPEUTICS INC COM STK
    5,889.29       1,520.00  
ANIMAL HEALTH INTL INC COM
    23,598.97       6,816.00  
ANNTAYLOR STORES CORP COM
    11,612.95       2,885.00  
ANNTAYLOR STORES CORP COM
    82,259.25       31,735.00  
ANNTAYLOR STORES CORP COM
    23,789.70       25,965.00  
ANSYS INC COM
    87,898.58       61,358.00  
ANSYS INC COM
    292,426.16       201,644.70  
ANSYS INC COM
    17,977.32       14,307.57  
ANTARES PHARMA INC COM
    2,109.95       555.00  
ANTIGENICS INC DEL COM STOCK
    6,452.69       768.00  
ANTOFAGASTA ORD GBP0.05
    523,415.54       258,775.59  
ANTRIM ENERGY INC COM
    820.73       105.72  
AON CORP COM
    70,837.02       76,605.36  
AON CORP COM
    8,442.22       9,562.29  
AON CORP COM
    188,231.23       306,056.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
APACHE CORP COM
    371,611.03       312,578.82  
APACHE CORP COM
    290,990.64       617,853.70  
APACHE CORP COM
    453,424.18       275,761.00  
APACHE CORP COM
    245,386.78       256,010.55  
APACHE CORP COM
    355,779.31       353,249.84  
APERTURE HEALTH INC COM STK
    22,909.95       366.00  
APEX SILVER MINE LTD COM STK
    10,294.31       5,194.00  
APOGEE ENTERPRISES INC COM
    2,343.98       1,054.48  
APOGEE ENTERPRISES INC COM
    521,436.19       249,676.00  
APOGEE TECH INC COM STK
    14,354.85       3,900.00  
APOLLO GOLD CORP YUKON COM DO NOT USE SEE 2009928
    6,750.80       9,177.00  
APOLLO GROUP INC CL A CL A
    51,068.47       56,468.94  
APOLLO GROUP INC CL A CL A
    129,547.39       206,874.00  
APOLLO GROUP INC CL A CL A
    80,017.05       110,332.80  
APOLLO INVT CORP COM SH BEN INT
    250,016.35       120,874.84  
A-POWER ENERGY GENERATION SYSTEMS LTD COM STK USD0.0001
    8,675.63       4,622.50  
APPIANT TECHNOLOGIES INC COM
    554.95       1.65  
APPLE INC
    11,061,895.29       7,878,658.50  
APPLE INC
    721,001.75       508,686.00  
APPLE INC
    1,472,558.08       752,530.95  
APPLE INC
    663,276.56       588,915.00  
APPLE INC
    578,299.88       418,215.00  
APPLE INC
    761,636.58       1,877,700.00  
APPLIED ENERGETICS INC COM STK
    9,572.33       608.00  
APPLIED INDL TECHNOLOGIES INC COM
    5,057.55       3,784.00  
APPLIED INDL TECHNOLOGIES INC COM
    514,620.21       360,426.00  
APPLIED INDL TECHNOLOGIES INC COM
    29,872.98       20,812.00  
APPLIED MATERIALS INC COM
    406,278.21       337,329.00  
APPLIED MATERIALS INC COM
    1,133,221.10       596,657.00  
APPLIED MATERIALS INC COM
    653,773.52       334,290.00  
APPLIED MATERIALS INC COM
    229,526.07       129,650.25  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
APPLIED MICRO CIRCUITS CORP COM NEW STK
    1,124.66       982.50  
APPLIED MICRO CIRCUITS CORP COM NEW STK
    238,558.32       112,398.00  
APPLIED MICRO CIRCUITS CORP COM NEW STK
    32,272.02       16,113.00  
APPLIED NEUROSOLUTIONS INC COM
    10,569.95       750.00  
APPLIED SIGNAL TECH INC COM
    4,799.78       5,024.58  
APPLIED SIGNAL TECH INC COM
    11,989.36       14,352.00  
APPLIEDTHEORY CORP COM
    11,260.37       10.00  
APTARGROUP INC COM
    5,329.93       4,341.78  
AQUA AMER INC COM
    17,677.98       14,876.73  
AQUILINE RES INC COM STK
    191,056.28       36,645.21  
ARABIAN AMERN DEV CO COM
    27,899.12       8,755.20  
ARADIGM CORP COM NEW
    4,134.83       185.00  
ARAFURA RESOURCES LTD COM STK
    41,599.55       7,501.54  
ARC ENERGY TR TR UNIT UNIT
    79,811.36       68,383.56  
ARCELORMITTAL NPV
    158,908.95       175,524.11  
ARCELORMITTAL NPV
    479,439.34       249,729.43  
ARCH CAPITAL GROUP COM STK
    206,131.78       236,938.00  
ARCH CAPITAL GROUP COM STK
    240,736.32       245,350.00  
ARCH CAPITAL GROUP COM STK
    284,798.78       273,390.00  
ARCH CAPITAL GROUP COM STK
    318,047.91       315,450.00  
ARCH COAL INC COM
    86,636.84       50,426.87  
ARCHER-DANIELS-MIDLAND CO COM
    124,528.66       196,044.00  
ARCHER-DANIELS-MIDLAND CO COM
    253,090.09       456,753.69  
ARCHER-DANIELS-MIDLAND CO COM
    146,832.69       178,457.70  
ARCHER-DANIELS-MIDLAND CO COM
    397,735.50       288,300.00  
ARCHER-DANIELS-MIDLAND CO COM
    147,706.41       136,491.14  
ARCTIC GLACIER INCOME FD TR UNIT
    2,244.68       129.60  
ARENA RES INC COM
    33,606.84       25,140.55  
ARENA RES INC COM
    315,011.89       188,203.00  
ARENA RES INC COM
    107,400.89       83,848.65  
ARES CAP CORP COM
    10,900.30       4,664.40  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
AREVA COM STK
    50,223.68       26,758.78  
ARGAN INC COM
    11,083.50       7,630.00  
ARGO GROUP INTERNATIONAL HOLDINGS COM STK
    444,906.87       352,768.00  
ARGON ST INC COM
    110,866.30       86,756.00  
ARIAD PHARMACEUTICALS INC COM
    7,093.73       1,275.00  
ARIBA INC COM NEW
    1,052.12       483.07  
ARIBA INC COM NEW
    204,137.37       100,940.00  
ARIBA INC COM NEW
    13,730.00       14,420.00  
ARIES MARITIME TRANSPORT LIMITED COM STK
    338.26       31.68  
ARKANSAS BEST CORP DEL COM
    60,034.58       54,198.00  
ARKANSAS BEST CORP DEL COM
    103,539.69       111,407.00  
ARMSTRONG WORLD INDS INC NEW COM STK
    185,234.44       125,396.00  
AROTECH CORP COM NEW STK
    11,709.37       360.39  
ARRAY BIOPHARMA INC COM
    2,845.30       1,012.50  
ARRHYTHMIA RESH TECHNOLOGY INC COM PAR $0.01 NEW COM PAR $0.01 NEW
    21,646.52       3,000.00  
ARRIS GROUP INC COM
    73,860.50       86,655.00  
ARRIS GROUP INC COM
    2,123.35       2,385.00  
ARROW ELECTR INC COM
    257,616.00       135,648.00  
ARROW ELECTR INC COM
    106,991.04       146,952.00  
ARROW ELECTR INC COM
    12,335.61       7,347.60  
ARROW ELECTR INC COM
    219,314.96       128,112.00  
ARROW ELECTR INC COM
    503,611.25       339,120.00  
ARROW ELECTR INC COM
    305,086.04       171,444.00  
ARROW ELECTR INC COM
    108,155.67       118,692.00  
ART TECH GROUP INC OC-COM ISIN US04289L107
    3,490.51       2,065.10  
ARTHROCARE CORP COM
    9,192.01       954.00  
ARVINMERITOR INC COM STK ISIN# US0433531011
    91,630.99       21,945.00  
ASA LTD
    117,919.25       90,561.98  
ASAHI BREWERIES NPV
    207,307.30       200,333.15  
ASAHI KASEI CORP NPV
    101,499.08       68,836.18  
ASBURY AUTOMOTIVE GROUP INC COM
    56,190.20       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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ASBURY AUTOMOTIVE GROUP INC COM
    5,918.95       4,570.00  
ASCENDIA BRANDS INC COM STK
    4,119.90       1.95  
ASCENT MEDIA CORP COM SER A STK
    1,614.41       2,467.92  
ASCENT SOLAR TECHNOLOGIES INC COM
    46,932.67       25,906.40  
ASCENT SOLAR TECHNOLOGIES INC WT CL B EXP
    194,449.33       22,732.60  
ASCIANO GROUP NPV(STAPLED)
    58,623.82       66,957.35  
ASHLAND INC NEW COM
    439,759.44       76,723.00  
ASHLAND INC NEW COM
    514,422.59       91,437.00  
ASHLAND INC NEW COM
    578,945.12       169,452.73  
ASHLAND INC NEW COM
    21,324.59       15,765.00  
ASIA GLOBAL CROSSING
    715.19       0.30  
ASIA GLOBAL HLDGS CORP COM STK
    1,129.95       84.00  
ASIA PAC FD INC COM
    368.65       211.86  
ASIAINFO HLDGS INC COM
    65,974.36       63,758.40  
ASML HOLDING NEW
    205,345.10       175,724.90  
ASPECT MED SYS INC COM ISIN US0452351085
    4,908.21       613.80  
ASPEN INSURANCE HLDGS COM
    241,647.76       213,400.00  
ASPEN INSURANCE HLDGS COM
    643,105.72       583,212.50  
ASPEN INSURANCE HLDGS COM
    266,631.75       242,500.00  
ASPEN INSURANCE HLDGS COM
    2,537.91       2,425.00  
ASPEN TECHNOLOGY INC COM
    4,681.39       2,226.00  
ASPENBIO INC COM
    5,867.46       6,170.00  
ASSOCD BRIT FOODS ORD GBP0.0568
    586,160.45       347,403.54  
ASSOCTD BANC-CORP COM
    16,136.88       12,163.85  
ASSURANT INC COM
    16,161.44       24,000.00  
ASSURANT INC COM
    162,781.15       90,000.00  
ASSURED PHARMACY INC COM
    45,128.35       651.30  
ASTA FDG INC COM
    20,344.32       5,984.00  
ASTEC INDS INC COM
    53,425.90       50,128.00  
ASTELLAS PHARMA NPV
    576,996.12       528,582.46  
ASTORIA FINL CORP COM
    230,656.32       159,856.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ASTRAZENECA ORD USD0.25
    1,081,363.12       950,180.35  
ASTRO MED INC NEW COM STK
    9,377.49       5,896.38  
ASYST TECHNOLOGIES INC COM
    15,957.95       1,185.00  
AT & T LATIN AMER CORP COM
    11.28        
AT&T INC COM
    380,534.09       381,900.00  
AT&T INC COM
    875,856.14       714,837.00  
AT&T INC COM
    3,373,266.93       4,181,605.50  
AT&T INC COM
    791,679.33       694,772.74  
ATAC RES LTD COM
    3,880.10       729.00  
ATC TECHNOLOGY CORP COM
    38,220.00       35,112.00  
ATHENAHEALTH INC COM MON STOCK
    44,035.12       61,245.36  
ATHENAHEALTH INC COM MON STOCK
    6,159.40       7,524.00  
ATHEROGENICS INC COM
    4,614.65       400.00  
ATHEROS COMMUNICATIONS INC COM
    237,021.77       111,188.70  
ATHEROS COMMUNICATIONS INC COM
    21,781.54       13,222.44  
ATLANTIC PWR CORP
    1,943.75       1,271.76  
ATLANTIC WIND & SOLAR INC COM
    3,462.95       78.65  
ATLAS AIR WORLDWIDE HLDGS INC COM NEW STK
    15,139.48       5,670.00  
ATLAS ENERGY RES LLC COM STK
    6,665.62       4,724.90  
ATLAS MNG CO COM STK
    4,389.63       474.00  
ATLC TELE-NETWORK INC COM NEW
    50,634.00       39,825.00  
ATMEL CORP COM
    3,977.90       2,817.00  
ATMI INC COM
    10,576.95       12,344.00  
ATMOS ENERGY CORP COM
    100,841.85       92,430.00  
ATMOS ENERGY CORP COM
    208,482.44       180,120.00  
ATMOS ENERGY CORP COM
    657,382.31       584,205.00  
ATMOS ENERGY CORP COM
    350,213.48       362,610.00  
ATMOS ENERGY CORP COM
    8,101.61       6,291.52  
ATNA RES LTD COM
    1,505.36       477.90  
ATP OIL & GAS CORP COM
    24,908.80       9,360.00  
ATRION CORP COM
    10,655.48       19,420.00  

 

 


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, 2008
* Denotes party-in-interest investment
                 
Identity of Issue/Description of Investment   Historical Cost     Current Value  
ATSI COMMUNICATIONS INC COM NEW
    11.55       32.00  
ATWOOD OCEANICS INC COM
    55,348.19       22,828.32  
AU OPTRONICS CORP TWD10
    153,306.45       161,816.69  
AUDIOCODES LTD COM STK
    25,308.95       17,400.00  
AUEX VENTURES INC COM AUEX VENTURES, INC. F
    17,952.78       26,896.97  
AURIZON MINES LTD COM STK
    10,589.48       10,270.80  
AURORA OIL & GAS CORP COM STK
    7,757.21       259.58  
AUST & NZ BANK GRP NPV
    208,512.40       239,854.22  
AUTODESK INC COM
    48,213.44       27,804.75  
AUTODESK INC COM
    12,112.80       15,720.00  
AUTODESK INC COM
    76,959.40       108,075.00  
AUTOIMMUNE INC COM
    3,050.69       1,070.00  
AUTOLIV INC COM STK
    18,108.95       8,584.00  
AUTOLIV INC COM STK
    43,569.82       49,358.00  
AUTOLIV INC COM STK
    79,487.56       32,190.00  
AUTOMATIC DATA PROCESSING INC COM
    128,388.14       119,916.70  
AUTOMATIC DATA PROCESSING INC COM
    63,430.55       66,169.88  
AUTOMATIC DATA PROCESSING INC COM
    312,259.92       495,684.00  
AUTOMATIC DATA PROCESSING INC COM
    1,155,220.51       952,028.00  
AUTONATION INC DEL COM
    39,300.69       26,300.56  
AUTONATION INC DEL COM
    120,674.38