Edgar Filing: AMGEN INC

Form 11-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington D.C. 20549

FORM 11-K

(Mark One)

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

For the fiscal year ended December 31, 2011

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

Commission file number 000-12477

AMGEN RETIREMENT AND SAVINGS PLAN

(Full title of the plan)

AMGEN INC.

(Name of issuer of the securities held)


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

Amgen Retirement and Savings Plan

Audited Financial Statements

and Supplemental Schedules

Years Ended December 31, 2011 and 2010

Contents


Report of Independent Registered Public Accounting Firm			1

Audited Financial Statements:

Statements of Net Assets Available for Benefits at December 31, 2011 and 2010			2
Statements of Changes in Net Assets Available for Benefits for the years ended December 31, 2011 and 2010			3
Notes to Financial Statements			4

Supplemental Schedules:
Schedule of Assets (Held at End of Year)			19
Schedule of Assets (Acquired and Disposed of Within Year)			40
Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible			41
Schedule of Delinquent Participant Contributions			42

Signatures			43
Exhibits			44

Report of Independent Registered Public Accounting Firm

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

Amgen Retirement and Savings Plan

We have audited the accompanying statements of net assets available for benefits of the Amgen Retirement and Savings Plan (the Plan) as of December 31, 2011 and 2010, and the related statements of changes in net assets available for benefits for the years then ended. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Plan’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

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

Our audits were performed for the purpose of forming an opinion on the financial statements taken as a whole. The accompanying supplemental schedules of assets (held at end of year) and loans or fixed income obligations in default or classified as uncollectible as of December 31, 2011, and assets (acquired and disposed of within year) and delinquent participant contributions for the year then ended, are presented for purposes of additional analysis and are not a required part of the financial statements but are supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. Such information is the responsibility of the Plan’s management. The information has been subjected to the auditing procedures applied in our audits of the financial statements and, in our opinion, is fairly stated in all material respects in relation to the financial statements taken as a whole.

/s/ ERNST & YOUNG LLP

Los Angeles, California

June 14, 2012

Amgen Retirement and Savings Plan

Statements of Net Assets Available for Benefits


	December 31
	2011			2010
Assets
Investments at fair value	$	2,565,375,263		$	2,467,408,893
Notes receivable from participants		41,582,977			39,056,821
Other, including due from broker		15,455,227			5,286,145

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

Liabilities
Other, including due to broker		3,654,915			4,339,311

Total liabilities		3,654,915			4,339,311

Net assets reflecting investments at fair value		2,618,758,552			2,507,412,548

Adjustment from fair value to contract value for interests in fully benefit-responsive investment contracts		(9,442,892	)		(7,435,631	)


Net assets available for benefits	$	2,609,315,660		$	2,499,976,917

See accompanying notes.

Amgen Retirement and Savings Plan

Statements of Changes in Net Assets Available for Benefits


	Year Ended December 31
	2011			2010
Additions to (deductions from) net assets:
Employer contributions	$	163,543,169		$	149,724,435
Participant contributions		129,944,790			128,595,814
Rollover contributions		7,685,837			7,411,490
Interest and dividend income		32,884,344			24,808,560
Net realized/unrealized gains (losses)		(72,286,657	)		286,459,798
Interest income on notes receivable from participants		1,904,717			1,935,517
Benefits paid		(148,072,323	)		(109,468,243	)
Investment and administrative fees		(6,265,134	)		(5,587,820	)

Net increase		109,338,743			483,879,551

Net assets available for benefits at beginning of year		2,499,976,917			2,016,097,366

Net assets available for benefits at end of year	$	2,609,315,660		$	2,499,976,917

See accompanying notes.

Amgen Retirement and Savings Plan

Notes to Financial Statements

December 31, 2011

1.	Description of the Plan

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

General

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

Contributions

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

1. Description of the Plan (continued)

Contributions (continued)

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

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

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

1. Description of the Plan (continued)

Vesting

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

Participant Accounts

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

Plan Investments

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

Payments of Benefits

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

1. Description of the Plan (continued)

Payments of Benefits (continued)

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

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

Notes Receivable from Participants

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

Plan Termination

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

Trustee

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

2.	Summary of Significant Accounting Policies

Basis of Accounting

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

Fair Value Measurement

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

Investment Income and Losses

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

Fully Benefit-Responsive Investment Contracts

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

2.	Summary of Significant Accounting Policies (continued)

Fully Benefit-Responsive Investment Contracts (continued)

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

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fully Benefit-Responsive Investment Contracts (continued)

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

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

Notes Receivable from Participants

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

Due from/to Brokers

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

Use of Estimates

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Recent Accounting Pronouncements

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

3.	Fair Value Measurements

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

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

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

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

3.	Fair Value Measurements (continued)

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

$XXX,XXX,XXX

Fair value measurements at December 31, 2011 using

Quoted prices
in active
markets for
identical
assets
(Level 1)

Significant
other
observable
inputs
(Level 2)

Significant
unobservable
inputs
(Level 3)

Total

Amgen stock

149,661,871

Cash and cash equivalents

27,633,435

Common and preferred stocks:

Large cap growth

257,227,790

Large cap value

102,403,491

Small-mid cap growth

40,131,480

Small-mid cap value

228,777,796

191,847

228,969,643

Other

87,684,790

Debt securities:

U.S. Treasury securities

38,694,429

U.S. government agency securities

73,208,766

Corporate debt securities

29,264,262

Mortgage and asset backed securities

19,488,781

Mutual funds:

High yield debt

55,053,733

Inflation indexed debt

37,528,268

International growth

81,546,244

International value

153,974,432

Real estate investment trust index

61,231,722

Other

27,126,159

Collective trust funds:

Capital preservation

265,279,555

Emerging markets equity

95,719,189

Fixed income

17,102,228

Inflation indexed debt

2,385,874

International growth

39,722,707

International value

11,691,206

Large cap growth

20,001,122

Large cap index

435,684,400

Large cap value

9,340,727

Small-mid cap growth

2,336,529

Small-mid cap index

135,575,001

Small-mid cap value

18,785,984

Short term investments

40,496,296

Other

3,650

421,499

425,149

1,348,679,290

1,216,695,973

2,565,375,263

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

3.	Fair Value Measurements (continued)

		$XXX,XXX,XXX		$XXX,XXX,XXX		$XXX,XXX,XXX		$XXX,XXX,XXX
	Fair value measurements at December 31, 2010 using
	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Amgen stock	$	139,405,458	$	-	$	-	$	139,405,458
Cash and cash equivalents		19,881,557		-		-		19,881,557
Common and preferred stocks:
International growth		93,977,228		-		-		93,977,228
Large cap growth		255,478,824		-		-		255,478,824
Large cap value		85,741,285		-		-		85,741,285
Small-mid cap growth		38,249,402		-		-		38,249,402
Small-mid cap value		230,338,562		-		-		230,338,562
Other		70,224,981		-		-		70,224,981
Debt securities:
U.S. Treasury securities		44,550,895		-		-		44,550,895
U.S. government agency securities		-		62,179,392		-		62,179,392
Corporate debt securities		-		23,154,441		-		23,154,441
Mortgage and asset backed securities		-		16,770,352		-		16,770,352
Mutual funds:
High yield debt		55,894,767		-		-		55,894,767
Inflation indexed debt		28,201,779		-		-		28,201,779
International value		185,682,583		-		-		185,682,583
Real estate investment trust index		51,673,083		-		-		51,673,083
Other		23,687,490		-		-		23,687,490
Collective trust funds:
Capital preservation		-		226,216,729		-		226,216,729
Emerging markets equity		-		116,948,981		-		116,948,981
Fixed income		-		16,014,540		-		16,014,540
Inflation indexed debt		-		1,995,480		-		1,995,480
International		-		16,048,576		-		16,048,576
Large cap growth		-		22,395,947		-		22,395,947
Large cap index		-		423,896,749		-		423,896,749
Large cap value		-		6,184,215		-		6,184,215
Small-mid cap growth		-		2,463,833		-		2,463,833
Small-mid cap index		-		142,016,186		-		142,016,186
Small-mid cap value		-		19,473,575		-		19,473,575
Short term investments		-		47,835,124		-		47,835,124
Other		6,445		820,434		-		826,879

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

3. Fair Value Measurements (continued)

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

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

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

4.	Investments

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


	December 31
	2011		2010
Blackrock Equity Index Fund F – Collective trust fund	$	412,424,033	$	399,130,479
Dodge & Cox International Fund – Mutual fund		153,974,432		185,682,583
Amgen stock		149,661,871		139,405,458
Blackrock Extended Equity Market Fund F – Collective trust fund		*		136,228,720
Wells Fargo Fixed Income Fund D – Collective trust fund		*		125,160,486

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

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


	Year Ended December 31
	2011			2010
Amgen stock	$	22,543,979		$	(4,197,153	)
Common and preferred stocks		(26,213,933	)		125,807,749
Debt securities		4,250,759			4,194,190
Mutual funds		(51,339,348	)		37,801,688
Collective trust funds		(21,002,501	)		122,475,000
Other		(525,613	)		378,324

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

5.	Income Tax Status

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

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

6.	Services Provided by the Company

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

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

7.	Reconciliation of Financial Statements to Form 5500

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


	December 31
	2011			2010
Net assets available for benefits per the financial statements	$	2,609,315,660		$	2,499,976,917
Adjustment from fair value to contract value for fully benefit-responsive investment contracts		9,442,892			7,435,631
Amounts allocated to withdrawing participants		(295,391	)		(66,864	)
Deemed loans		(465,964	)		(318,875	)

Net assets per the Form 5500	$	2,617,997,197		$	2,507,026,809

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


	Year Ended December 31 2011
Interest and dividend income	$	32,884,344
Net realized/unrealized losses		(72,286,657	)

Total net investment loss per the financial statements		(39,402,313	)
Adjustment from fair value to contract value for fully benefit-responsive investment contracts:
Less prior year adjustment		(7,435,631	)
Add current year adjustment		9,442,892

Total net investment loss per the Form 5500	$	(37,395,052	)

Amgen Retirement and Savings Plan

Notes to Financial Statements (continued)

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

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


	Year Ended December 31 2011
Benefits paid	$	148,072,323
Investment and administrative fees		6,265,134

Total distributions per the financial statements		154,337,457
Less prior year amounts allocated to withdrawing participants		(66,864	)
Add current year amounts allocated to withdrawing participants		295,391
Less prior year deemed loan balance		(318,875	)
Add current year deemed loan balance		465,964

Total distributions per the Form 5500	$	154,713,073

Supplemental Schedule

Amgen Retirement and Savings Plan

EIN: 95-3540776 Plan: #001

December 31, 2011

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

	### ###		### ###		### ###
Identity of Issue	Description of Investment	Current Value

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

Capital Preservation Asset Class:
Wells Fargo Stable Return Fund G	Common Collective Trust 2,593,606 units		130,388,270
Wells Fargo Fixed Income Fund D	Common Collective Trust 5,903,241 units		71,527,213
Wells Fargo Fixed Income Fund B	Common Collective Trust 3,109,832 units		63,364,072
Northern Trust Global Investments Collective Daily Short Term Investment Fund*	Common Collective Trust 16,992,002 units		16,992,002
Monumental Life Insurance Company	Wrapper Contract		52,500

Total Capital Preservation Asset Class					282,324,057

Emerging Markets Equity Asset Class:
JP Morgan Emerging Markets Equity Focus Fund	Common Collective Trust 5,942,839 units		90,390,588
Northern Trust Global Investments Collective Daily MSCI Emerging Markets Fund – Non Lending*	Common Collective Trust 40,230 units		5,328,601

Total Emerging Markets Equity Asset Class					95,719,189

Fixed Income Asset Class:
Northern Trust Global Investments Collective Daily Aggregate Bond Index Fund – Non Lending*	Common Collective Trust 140,482 units		17,102,228
United States Treasury Notes 1.375% Due 3/15/2013	Government Bonds 5,660,000 units		5,740,698
United States Treasury Notes 3.125% Due 5/15/2019	Government Bonds 4,290,000 units		4,810,161
United States Treasury SEC Stripped Interest Payments Due 05/15/2020	Government Bonds 5,057,000 units		4,359,208
United States Treasury Bonds 8.875% Due 8/15/2017	Government Bonds 2,025,000 units		2,898,437
United States Treasury Notes 2.25% Due 1/31/2015	Government Bonds 2,580,000 units		2,725,324
United States Treasury Notes 1.375% Due 2/15/2013	Government Bonds 2,400,000 units		2,431,966
United States Treasury Notes 2.625% Due 12/31/2014	Government Bonds 2,026,000 units		2,160,853
United States Treasury Bonds Inflation Index 2.375% Due 1/15/2027	Index Linked Government Bonds 1,230,000 units		1,783,769
United States Treasury Bonds 4.375% Due 11/15/2039	Government Bonds 1,176,000 units		1,526,777
United States Treasury Notes 4.75% Due 8/15/2017	Government Bonds 995,000 units		1,198,042
United States Treasury Notes 1.375% Due 11/30/2018	Government Bonds 1,170,000 units		1,174,022
Northern Trust Global Investments Collective Daily Short Term Investment Fund*	Common Collective Trust 1,080,406 units		1,080,406
United States Treasury SEC Stripped Interest Payment Due 08/15/2020	Government Bonds 1,250,000 units		1,069,090
Fannie Mae Pool #466430 3.37% Due 11/01/2020	Government Mortgage Backed Securities 1,000,000 units		1,052,941
Fannie Mae Pool #735581 5% Due 6/01/2035	Government Mortgage Backed Securities 970,946 units		1,050,022
United States Treasury Bonds Inflation Index 2.5% Due 1/15/2029	Index Linked Government Bonds 720,000 units		1,013,154
Fannie Mae Capital 0% Due 10/09/2019	Government Agency Bonds 1,210,000 units		930,327
JP Morgan Chase Commercial Mortgage Securities Corporation Series 2005-LDP2 4.78% Due 7/15/2042	Commercial Mortgage Backed Securities 890,000 units		921,222
Federal National Mortgage Association 5.25% Due 8/1/2012	Government Agency Bonds 840,000 units		863,231
Fannie Mae 0% Due 06/01/2017	Government Agency Bonds 880,000 units		810,265
Fannie Mae 0% Due 7/05/2014	Government Agency Bonds 800,000 units		783,025
Fannie Mae 4.625% Due 5/1/2013	Government Agency Bonds 730,000 units		768,985
Ginnie Mae Pool #004903 6.5% Due 12/20/2040	Government Mortgage Backed Securities 665,621 units		761,366
Ginnie Mae 5.5% Due 6/20/2035	Government Mortgage Backed Securities 650,000 units		757,622
United States Treasury SEC Stripped Interest Payments Due 11/15/2029	Government Bonds 1,230,000 units		736,919
United States Treasury SEC Stripped Interest Payment Due 02/15/2027	Government Bonds 1,000,000 units		661,349
United States Treasury SEC Stripped Interest Payment Due 11/15/2027	Government Bonds 1,000,000 units		642,721
Fannie Mae Preassign 00015 5.9% Due 7/25/2042	Government Mortgage Backed Securities 569,184 units		632,907
Ginnie Mae 6% Due 11/16/2032	Government Mortgage Backed Securities 517,000 units		604,925
Fannie Mae 2006-114 5.5% Due 10/25/2035	Government Mortgage Backed Securities 545,000 units		599,572
United States Treasury 0% Due 2/15/2030	Government Bonds 1,000,000 units		593,728
Resolution FDG Corporation Federal Book Entry Principal Payment Due 07/15/2020	Government Agency Bonds 700,000 units		583,468
Fannie Mae Pool #333873 7% Due 11/01/2025	Government Mortgage Backed Securities 501,872 units		577,241
Federal Home Loan Mortgage Corporation Series 2072 6.5% Due 7/15/2028	Government Mortgage Backed Securities 489,502 units		565,528
Fannie Mae Remic Series 2008-75 4.5% Due 9/25/2023	Government Mortgage Backed Securities 500,000 units		545,448
United States Treasury Notes 3% Due 2/28/17	Government Bonds 490,000 units		541,910
AH Mortgage Servicer Advance Revolving Trust 2011-1 A2 3.37% Due 05/10/2013	Asset Backed Securities 542,000 units		539,832
National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020	Government Mortgage Backed Securities 534,409 units		536,413
Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018	Government Mortgage Backed Securities 498,321 units		535,437
Ginnie Mae Pool #738052 6% Due 07/20/2036	Government Mortgage Backed Securities 447,600 units		507,690
Federal Home Loan Mortgage Corporation Series 2113 6.5% Due 01/15/2029	Government Mortgage Backed Securities 445,401 units		506,829
Toyota Motor Credit Corporation 2% Due 09/15/2016	Corporate Bonds 500,000 units		504,976
Federal Home Loan Mortgage Corporation Pool #G0/6493 4.5% Due 05/01/2041	Government Mortgage Backed Securities 475,971 units		504,647
Ginnie Mae 2004-30 5.5% Due 2/20/2034	Government Mortgage Backed Securities 440,000 units		502,468
Federal Home Loan Mortgage Corporation Series 3895 4.5% Due 07/15/2041	Government Mortgage Backed Securities 450,000 units		499,228
Fannie Mae Pool #889649 6.5% Due 08/01/2037	Government Mortgage Backed Securities 453,444 units		491,293
Fannie Mae Pool #AD9151 5% Due 08/01/2040	Government Mortgage Backed Securities 450,837 units		487,554
United States Treasury Notes 3.625% Due 8/15/2019	Government Bonds 420,000 units		486,445
Wachovia Corporation 5.75% Due 2/01/2018	Corporate Bonds 420,000 units		477,129
Fannie Mae Pool #AD0329 6.5% Due 9/01/2028	Government Mortgage Backed Securities 428,139 units		476,587
AT&T Inc. 5.6% Due 5/15/2018	Corporate Bonds 410,000 units		476,401
Federal Home Loan Mortgage Corporation Series 2173 6.5% Due 7/15/2029	Government Mortgage Backed Securities 411,887 units		475,858
Fannie Mae Pool 6.0% Due 7/1/2037	Government Mortgage Backed Securities 428,336 units		475,200

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

United States Treasury Bonds 8.125% Due 02/15/2021	Government Bonds 300,000 units		466,781
Federal Home Loan Mortgage Corporation Preassign 00162 5.5% Due 9/15/2033	Government Mortgage Backed Securities 440,000 units		466,532
Fannie Mae 6% Due 07/25/2037	Government Mortgage Backed Securities 400,000 units		462,449
Federal Home Loan Mortgage Corporation Series 3855 6.5% Due 11/15/2036	Government Mortgage Backed Securities 405,072 units		460,390
Federal Home Loan Mortgage Corporation Series 3211 6% Due 12/15/2035	Government Mortgage Backed Securities 410,000 units		459,263
Federal Home Loan Mortgage Corporation Series 2461 6.5% Due 6/15/2032	Government Mortgage Backed Securities 395,128 units		447,263
Fannie Mae 3.726% Due 06/25/2021	Government Mortgage Backed Securities 410,000 units		444,992
Federal Home Loan Mortgage Corporation Series 2989 5% Due 06/15/2025	Government Mortgage Backed Securities 410,000 units		443,342
General Electric Capital Corporation 2.25% Due 11/19/2015	Corporate Bonds 439,000 units		440,963
LB-UBS Commercial Mortgage Trust 4.954% Due 9/15/2030	Commercial Mortgage Backed Securities 400,000 units		436,657
Federal Home Loan Mortgage Corporation Pool 5.5% Due 1/1/2038	Government Mortgage Backed Securities 401,866 units		436,604
Fannie Mae Pool #467025 3.38% Due 01/01/2018	Government Mortgage Backed Securities 410,000 units		435,827
Anadarko Petroleum Corporation 6.45% Due 9/15/2036	Corporate Bonds 380,000 units		433,238
Ginnie Mae Pool #738058 6% Due 05/20/2036	Government Mortgage Backed Securities 380,592 units		431,687
Federal Home Loan Mortgage Corporation Series 2901 4.5% Due 12/15/2019	Government Mortgage Backed Securities 380,000 units		429,494
Fannie Mae Remic Trust 2009-108 5% Due 9/25/2039	Government Mortgage Backed Securities 389,195 units		427,886
Fannie Mae Pool #465973 3.59% Due 10/01/2020	Government Mortgage Backed Securities 400,000 units		426,530
Federal Home Loan Mortgage Corporation Series 3819 6% Due 04/15/2036	Government Mortgage Backed Securities 355,610 units		426,273
Ginnie Mae 2010-026 Remic 5% Due 02/20/2021	Government Mortgage Backed Securities 369,169 units		423,412
Federal Home Loan Mortgage Corporation Series 3181 6.5% Due 7/15/2036	Government Mortgage Backed Securities 355,169 units		420,950
Fannie Mae Remic Trust 2010-9 4.5% Due 10/25/2039	Government Mortgage Backed Securities 385,000 units		415,552
Federal Home Loan Mortgage Corporation Series 3406 6% Due 1/15/2038	Government Mortgage Backed Securities 370,000 units		412,781
Fannie Mae Pool #467059 3.81% Due 01/01/2019	Government Mortgage Backed Securities 380,136 units		411,027
Fannie Mae Preassign 00611 5.5% Due 4/25/2033	Government Mortgage Backed Securities 355,590 units		410,922
Fannie Mae Pool #995149 6.5% Due 10/01/2038	Government Mortgage Backed Securities 358,483 units		402,634
Fannie Mae Remic 6% Due 4/25/2037	Government Mortgage Backed Securities 353,606 units		394,658
AmeriCredit .83999997377% Due 11/10/2014	Asset Backed Securities 393,000 units		392,405
Fannie Mae 2010-19 5% Due 2/25/2021	Government Mortgage Backed Securities 347,081 units		392,038
Federal Home Loan Mortgage Corporation Pool 5.5% Due 11/1/2037	Government Mortgage Backed Securities 360,260 units		391,796
Federal Home Loan Mortgage Corporation Preassign 00130 6.5% Due 2/25/2043	Government Mortgage Backed Securities 351,926 units		391,747
Ginnie Mae Pool #711068 5% Due 1/15/2040	Government Mortgage Backed Securities 350,723 units		391,111
JP Morgan Mortgage Trust Series 2004-A3 Due 07/25/2034	Collateralized Mortgage Obligations 430,000 units		390,015
Federal Home Loan Mortgage Corporation 6.15% Due 4/15/2028	Government Mortgage Backed Securities 337,255 units		385,790
Chase Mortgage Financial Trust Series 2007-A1 Pass-Through 2.753% Due 02/25/2037	Collateralized Mortgage Obligations 409,320 units		383,213
Ginnie Mae 5.5% Due 11/20/2033	Government Mortgage Backed Securities 325,000 units		377,057
Ginnie Mae Pool #711067 5% Due 1/15/2040	Government Mortgage Backed Securities 337,092 units		375,906
Fannie Mae 2011-M2 3.645% Due 07/25/2021	Government Mortgage Backed Securities 355,000 units		375,430
Goldman Sachs Group Inc. 5.375% Due 3/15/2020	Corporate Bonds 380,000 units		375,069
Fannie Mae Pool #468564 4.06% Due 07/01/2021	Government Mortgage Backed Securities 340,000 units		371,836
Fannie Mae Series 2004-W12 6% Due 7/25/2044	Government Mortgage Backed Securities 332,816 units		370,178
Banc America Mortgage Securities Inc. Series 2003-3 5.5% Due 5/25/2033*	Collateralized Mortgage Obligations 360,000 units		368,199
Fannie Mae Pool #256601 6% Due 2/01/2027	Government Mortgage Backed Securities 333,953 units		368,195
Fannie Mae Pool #735070 6.5% Due 10/01/2024	Government Mortgage Backed Securities 329,980 units		367,321
Fannie Mae Remic Series 2004-68 5% Due 9/25/2029	Government Mortgage Backed Securities 330,000 units		366,867
Fannie Mae Remic Trust 2005-118 6% Due 01/25/2032	Government Mortgage Backed Securities 350,000 units		365,686
JP Morgan Chase Commercial Mortgage Securities Trust 2006-A4 Due 05/12/2045	Commercial Mortgage Backed Securities 330,000 units		362,212
Federal Home Loan Mortgage Corporation Pool #A57681 6% Due 12/01/2036	Government Mortgage Backed Securities 328,515 units		361,943
Fannie Mae Series 2010-111 Class AE 5.5% Due 4/25/2038	Government Mortgage Backed Securities 342,462 units		361,773
Fannie Mae Pool #256556 6% Due 1/01/2027	Government Mortgage Backed Securities 323,081 units		356,208
Fannie Mae Preassign 00166 6.5% Due 8/25/2036	Government Mortgage Backed Securities 313,199 units		355,561
Federal Home Loan Mortgage Corporation 6% Due 7/15/2037	Government Mortgage Backed Securities 300,000 units		351,308
Banc America Mortgage Trust 2006 5 5.41% Due 9/10/2047*	Commercial Mortgage Backed Securities 325,000 units		351,185
Ginnie Mae Pool #005072 6.5% Due 10/20/2039	Government Mortgage Backed Securities 304,380 units		347,878
Federal Home Loan Mortgage Corporation Pool #G12728 6% Due 7/01/2022	Government Mortgage Backed Securities 318,489 units		346,793
Federal Home Loan Mortgage Corporation Series 3653 5% Due 04/15/2040	Government Mortgage Backed Securities 312,639 units		345,266
Resolution FDG Corporation Federal Generic Principle Payment Due 10/15/2019	Government Agency Bonds 400,000 units		344,726
Ginne Mae 0% Due 12/20/2040	Government Mortgage Backed Securities 391,087 units		344,474
Federal Home Loan Mortgage Corporation Series 2885 6% Due 11/15/2034	Government Mortgage Backed Securities 275,035 units		344,203
Conoco Inc. 6.95% Due 4/15/2029	Corporate Bonds 250,000 units		340,824
Federal Home Loan Mortgage Corporation Series 2901 5% Due 06/15/2018	Government Mortgage Backed Securities 305,000 units		340,044
Federal Home Loan Mortgage Corporation Series 3383 5.5% Due 11/15/2027	Government Mortgage Backed Securities 285,000 units		336,626
Fannie Mae Pool #889213 5.5% Due 10/01/2020	Government Mortgage Backed Securities 308,772 units		336,204
Ginnie Mae 2005-28 5.5% Due 04/20/2035	Government Mortgage Backed Securities 296,332 units		335,945
Federal Home Loan Mortgage Corporation Series 2843 5% Due 8/15/2019	Government Mortgage Backed Securities 298,000 units		327,418
General Electric Capital Corporation 5.625% Due 5/01/2018	Corporate Bonds 290,000 units		324,801
Federal Home Loan Mortgage Corporation Series 2864 5.5% Due 7/15/2033	Government Mortgage Backed Securities 290,000 units		323,510

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Federal Home Loan Mortgage Corporation Preassign 00213 5% Due 7/15/2032	Government Mortgage Backed Securities 308,000 units		321,733
PHH Mortgage Trust Series 6% Due 07/25/2038	Collateralized Mortgage Obligations 311,434 units		319,242
Fannie Mae Pool 5.0% Due 6/1/2035	Government Mortgage Backed Securities 294,024 units		317,970
Fannie Mae Pool #890268 6.5% Due 10/01/2038	Government Mortgage Backed Securities 280,675 units		315,243
Freddie Mac Series 3605 5.5% Due 6/15/2037	Government Mortgage Backed Securities 265,000 units		314,234
Federal Home Loan Mortgage Corporation Series 1503 7% Due 5/15/2023	Government Mortgage Backed Securities 275,786 units		313,901
Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044	Government Mortgage Backed Securities 279,166 units		311,009
CWMBS Inc. Pass-Through 5.25% Due 5/25/2034	Collateralized Mortgage Obligations 300,987 units		308,148
Fannie Mae Pool #AA8502 6% Due 8/01/2037	Government Mortgage Backed Securities 276,413 units		308,124
Ginnie Mae Pool #738051 6% Due 03/20/2041	Government Mortgage Backed Securities 271,920 units		307,406
Citigroup Inc. 8.5% Due 5/22/2019	Corporate Bonds 260,000 units		306,042
Federal Home Loan Mortgage Corporation Series 2003-T57 7% Due 7/25/2043	Government Mortgage Backed Securities 267,721 units		305,739
Wachovia Corporation 5.625% Due 10/15/2016	Corporate Bonds 280,000 units		304,835
Ginnie Mae Pool #556303 4.5% Due 12/15/2016	Government Mortgage Backed Securities 279,570 units		304,331
First Horizon Mortgage Pass-Through Trust Series 2004-AR6 4.75% Due 12/25/34	Collateralized Mortgage Obligations 338,063 units		303,279
Fannie Mae 1993-215 6.5% Due 7/15/2014	Government Mortgage Backed Securities 266,537 units		301,348
Freddie Mac Series 2078 6.5% Due 8/15/2028	Government Mortgage Backed Securities 262,334 units		300,264
CWMBS Inc. 5.25% Due 5/25/2034	Collateralized Mortgage Obligations 292,410 units		299,232
Federal Home Loan Mortgage Corporation Pool #B3-1407 5% Due 7/01/2033	Government Mortgage Backed Securities 282,935 units		297,214
Telefonica 6.221% Due 7/03/2017	Corporate Bonds 290,000 units		297,209
Fannie Mae Remic Trust 2002 7% Due 12/25/2041	Government Mortgage Backed Securities 267,921 units		296,531
Fannie Mae Preassign 00890 7% Due 11/25/2031	Government Mortgage Backed Securities 250,731 units		296,494
Ginnie Mae 2006-033 6% Due 07/20/2036	Government Mortgage Backed Securities 263,287 units		294,886
Fannie Mae Remic Trust 2001-16 6% Due 5/25/2031	Government Mortgage Backed Securities 262,080 units		294,261
First Franklin Mortgage Loan Trust Series 2005-FF9 Floating Rate Due 10/25/2035	Asset Backed Securities 308,317 units		293,485
GS Mortgage Securities Corporation 2004-6F 5.5% Due 05/25/3034	Collateralized Mortgage Obligations 281,294 units		292,920
CVS Caremark Corporation 6.6% Due 3/15/2019	Corporate Bonds 240,000 units		292,538
Federal Home Loan Mortgage Corporation Pool #A52195 7% Due 9/01/2036	Government Mortgage Backed Securities 255,728 units		292,131
Verizon Communications Inc. 5.5% Due 2/15/2018	Corporate Bonds 250,000 units		291,453
Fannie Mae Pool #466049 2.49% Due 10/01/2017	Government Mortgage Backed Securities 283,886 units		291,219
CNH Equipment Trust 2011-B .91% Due 08/15/2016	Asset Backed Securities 292,000 units		290,817
Freddie Mac Series 2797 4% Due 6/15/2032	Government Mortgage Backed Securities 273,537 units		288,830
Federal Home Loan Mortgage Corporation Series Floating Rate 3852 Due 05/15/2041	Government Mortgage Backed Securities 283,513 units		287,762
Wachovia Bank National Association 6% Due 11/15/2017	Corporate Bonds 260,000 units		287,098
Master Asset Security Trust 2003-6 5% Due 7/25/2023	Collateralized Mortgage Obligations 278,230 units		285,949
Citigroup Mortgage Securities Inc. 2004-4 Remic 5.5% Due 6/25/2034	Collateralized Mortgage Obligations 273,401 units		285,486
Ginnie Mae Pool #782933 6.5% Due 10/15/2023	Government Mortgage Backed Securities 258,085 units		285,041
Comcast Corporation 6.5% Due 1/15/2017	Corporate Bonds 240,000 units		282,282
Federal Home Loan Mortgage Corporation 7% Due 7/15/2027	Government Mortgage Backed Securities 245,044 units		280,107
Federal Home Loan Mortgage Corporation 5% Due 3/15/2018	Government Mortgage Backed Securities 250,000 units		278,601
Federal Home Loan Mortgage Corporation Pool #K00035 6.5% Due 5/01/2037	Government Mortgage Backed Securities 250,033 units		277,741
Federal Home Loan Mortgage Corporation Pool #A79090 6.5% Due 7/01/2034	Government Mortgage Backed Securities 242,288 units		277,617
Washington Mutual Mortgage 5.5% Due 4/25/2033	Collateralized Mortgage Obligations 264,196 units		277,375
Ginnie Mae 6% Due 8/20/2038	Government Mortgage Backed Securities 231,000 units		276,745
Fannie Mae Remic Trust 2001-81 6.5% Due 1/25/2032	Government Mortgage Backed Securities 245,683 units		276,606
Fannie Mae Pool #745735 5% Due 3/01/2021	Government Mortgage Backed Securities 253,159 units		274,938
Ginnie Mae 2007-024 Remic Pass-Through Floating Rate Due 5/20/2037	Government Mortgage Backed Securities 1,756,097 units		273,714
Barclays Bank 5.2% Due 7/10/2014	Corporate Bonds 260,000 units		268,013
Federal Home Loan Mortgage Corporation Series 2672 5% Due 11/15/2022	Government Mortgage Backed Securities 250,000 units		267,839
Fannie Mae Pool #AD0584 7% Due 1/01/2039	Government Mortgage Backed Securities 232,544 units		267,446
United States Treasury Bonds 4.24% Due 5/15/2039	Government Bonds 210,000 units		267,159
Fannie Mae Series 2007-100 5.75% Due 10/25/2035	Government Mortgage Backed Securities 247,555 units		264,746
Federal Home Loan Mortgage Corporation Series 1680 6.5% Due 2/15/2024	Government Mortgage Backed Securities 235,107 units		263,604
United States Treasury Bonds 4.5% Due 02/15/2036	Government Bonds 200,000 units		261,719
Ally Auto 2.23% Due 03/15/2016	Asset Backed Securities 255,000 units		261,614
Federal Home Loan Mortgage Corporation Series 2595 5.5% Due 4/15/2023	Government Mortgage Backed Securities 235,000 units		260,381
UBS AG Stamford Branch 3.875% Due 1/15/2015	Corporate Bonds 260,000 units		259,285
American Express Credit 5.125% Due 8/25/2014	Corporate Bonds 240,000 units		257,837
Transocean Inc. 5.25% Due 3/15/2013	Corporate Bonds 250,000 units		256,999
Ginnie Mae Pool #005159 7% Due 01/20/2039	Government Mortgage Backed Securities 220,454 units		256,110
Federal Home Loan Mortgage Corporation Pool #G04467 6% Due 9/01/2035	Government Mortgage Backed Securities 227,322 units		253,224
National Bank of Canada 1.65% Due 01/30/2014	Corporate Bonds 250,000 units		252,640
Bank of America Corporation 4.9% Due 05/01/2013*	Corporate Bonds 250,000 units		250,202
First Horizon Mortgage Pass-Through 2003-AR4 Due 12/25/33	Collateralized Mortgage Obligations 277,316 units		249,942
Fannie Mae Pool #735439 6% Due 9/01/2019	Government Mortgage Backed Securities 230,283 units		249,057

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Ginnie Mae 2008-047 Remic 5.25% Due 6/16/2038	Government Mortgage Backed Securities 215,000 units		248,128
Master Adjustable Rate Mortgages Trust 2004-8 Due 08/25/2034	Collateralized Mortgage Obligations 280,924 units		247,459
Merrill Lynch & Company Inc. 6.875% Due 4/25/2018*	Corporate Bonds 250,000 units		246,485
Honda Auto 1.8% Due 04/17/2017	Asset Backed Securities 240,000 units		243,868
Kraft Foods Inc. 5.375% Due 2/10/2020	Corporate Bonds 210,000 units		242,309
Citigroup/Deutsche Bank Commercial 2005-CD1 Variable Rate Due 07/15/2044	Commercial Mortgage Backed Securities 230,000 units		241,207
Residential Accredited Loans Inc. Pass-Through Series 2003QS7 4.75% Due 4/25/2033	Collateralized Mortgage Obligations 238,249 units		240,111
Federal Home Loan Mortgage Corporation Pool #G3/0484 6.5% Due 01/01/2029	Government Mortgage Backed Securities 214,603 units		239,458
Fannie Mae Pool #7335503 6% Due 4/01/2035	Government Mortgage Backed Securities 214,601 units		239,221
Structured Asset Securities Corporation 2003-BC10 Pass-Through Due 10/25/2033	Asset Backed Securities 300,000 units		238,949
Federal Home Loan Mortgage Corporation Series 2557 5.3% Due 1/15/2033	Government Mortgage Backed Securities 217,340 units		238,873
Structured Asset Securities Corporation 2003-26A Pass-Through Due 9/25/2033	Collateralized Mortgage Obligations 286,750 units		238,526
Fannie Mae Pool #576557 6.5% Due 6/01/2019	Government Mortgage Backed Securities 214,256 units		238,501
Fannie Mae Pool #AD0471 5.5% Due 1/01/2024	Government Mortgage Backed Securities 214,566 units		233,092
Fannie Mae Remic Trust Pass-Through Variable Rate Due 1/25/2040	Government Mortgage Backed Securities 1,843,962 units		232,396
Federal Home Loan Mortgage Corporation Series 2649 5.5% Due 10/15/2022	Government Mortgage Backed Securities 215,000 units		231,784
Fannie Mae Preassign 00491 5% Due 2/25/2018	Government Mortgage Backed Securities 216,102 units		231,374
Federal Home Loan Mortgage Corporation Series 2479 6% Due 8/15/2032	Government Mortgage Backed Securities 212,632 units		230,865
Federal Home Loan Mortgage Corporation Series 2347 5.75% Due 8/15/2031	Government Mortgage Backed Securities 206,598 units		230,690
Fannie Mae Pool #351397 7% Due 3/01/2026	Government Mortgage Backed Securities 201,221 units		230,498
Federal Home Loan Mortgage Corporation Series 2073 6.5% Due 07/15/2028	Government Mortgage Backed Securities 201,095 units		230,202
General Electric Capital Corporation 6% Due 8/07/2019	Corporate Bonds 200,000 units		229,726
Caterpillar Financial Services Corporation 6.2% Due 9/30/2013	Corporate Bonds 210,000 units		228,923
Federal Home Loan Mortgage Corporation Preassign 00121 0% Due 7/15/2036	Government Mortgage Backed Securities 239,390 units		228,199
Federal Home Loan Mortgage Corporation Series 2669 5.5% Due 8/15/2033	Government Mortgage Backed Securities 210,000 units		225,762
Federal Home Loan Mortgage Corporation Series 2684 0% Due 1/15/2033	Government Mortgage Backed Securities 247,736 units		225,685
Banc America Commercial Mortgage Inc. 2005-3 Pass-Through 4.727% Due 7/10/2043*	Commercial Mortgage Backed Securities 220,000 units		225,204
John Deere Capital Corporation 4.9% Due 9/09/2013	Corporate Bonds 210,000 units		224,046
BB&T Corporation 3.85% Due 7/27/2012	Corporate Bonds 220,000 units		223,589
Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034	Collateralized Mortgage Obligations 234,647 units		222,756
Ginnie Mae Pool #603459 6% Due 1/15/2018	Government Mortgage Backed Securities 202,688 units		222,094
Fannie Mae Remic Series 2004-101 5% Due 1/25/2020	Government Mortgage Backed Securities 200,000 units		221,606
JP Morgan Mortgage Trust Series 2004-S1 5.5% Due 9/25/2034	Collateralized Mortgage Obligations 214,231 units		221,406
Goldman Sachs Group Inc. 7.5% Due 2/15/2019	Corporate Bonds 200,000 units		220,882
Wells Fargo Mortgage Backed Securities Due 9/25/2034	Collateralized Mortgage Obligations 230,693 units		218,898
Federal Home Loan Mortgage Corporation Pool #P20410 5.5% Due 10/01/2033	Government Mortgage Backed Securities 209,268 units		218,420
Bayview Commercial Asset Trust Variable Rate Due 11/25/2035	Commercial Mortgage Backed Securities 291,763 units		218,335
Fannie Mae Remic Trust 2005-50 5% Due 6/25/2025	Government Mortgage Backed Securities 200,000 units		217,063
Credit Suisse Group AG 5.4% Due 01/14/2020	Corporate Bonds 230,000 units		216,928
Morgan Stanley Mortgage Loan Trust 2004-2AR 5% Due 9/25/2034	Collateralized Mortgage Obligations 212,230 units		216,217
Master Alternative Loan Trust 5.5% Pass-Through	Collateralized Mortgage Obligations 206,419 units		215,106
Fannie Mae Remic Series 2007-116 5.5% Due 8/25/2035	Government Mortgage Backed Securities 190,000 units		214,793
Devon Energy Corporation 7.95% Due 4/15/2032	Corporate Bonds 150,000 units		214,679
Banc America Mortgage Securities Inc. 2004-3 Pass-Through 5.5% Due 4/25/2034*	Collateralized Mortgage Obligations 210,000 units		214,313
Fannie Mae Remic Trust 2008-91 Floating Rate Due 3/25/2038	Government Mortgage Backed Securities 1,970,315 units		213,958
Washington Mutual Mortgage Pass-Through 2.67% Due 8/25/2033	Collateralized Mortgage Obligations 225,743 units		212,909
Banc America Mortgage Securities Inc. 5% Due 6/25/2019*	Collateralized Mortgage Obligations 205,860 units		212,442
United States Treasury Notes 4% Due 8/15/2018	Government Bonds 180,000 units		211,992
British Telecommunications PLC Stepup 12/15/2030	Corporate Bonds 150,000 units		211,395
Fannie Mae Remic Trust 2005-97 5.5% Due 11/25/2035	Government Mortgage Backed Securities 185,903 units		211,147
Fannie Mae Remic Trust 2003-84 5% Due 3/25/2032	Government Mortgage Backed Securities 200,000 units		210,795
Fannie Mae Pool #941028 6.5% Due 7/01/2038	Government Mortgage Backed Securities 187,530 units		209,923
Toronto Dominion Bank 2.2% Due 7/29/2015	Corporate Bonds 205,000 units		209,911
Pfizer Inc. 6.2% Due 3/15/2019	Corporate Bonds 170,000 units		209,764
FirstEnergy Corporation 7.375% Due 11/15/2031	Corporate Bonds 170,000 units		209,062
Banc of America Alternative Loan Trust 2003-5 5% Due 7/25/2018*	Collateralized Mortgage Obligations 202,293 units		208,918
JP Morgan Mortgage Trust 2006-A2 3.75% Due 04/25/2036	Collateralized Mortgage Obligations 226,732 units		207,776
HSBC Bank PLC 4.75% Due 01/19/2021	Corporate Bonds 200,000 units		207,393
Simon Property Group Inc. 6.125% Due 5/30/2018	Corporate Bonds 180,000 units		206,641
Thornburg Mortgage Securities Trust 2004-3 Pass-Through Floating Rate Due 11/30/2044	Collateralized Mortgage Obligations 240,213 units		205,720
Fannie Mae Pool #889665 6% Due 8/01/2037	Government Mortgage Backed Securities 183,135 units		202,027
Fannie Mae 1999-54 6.5% Due 11/25/2029	Government Mortgage Backed Securities 176,324 units		201,461
Master Asset Security Trust 5.25% Due 7/25/2019	Collateralized Mortgage Obligations 196,550 units		201,313
Federal Home Loan Mortgage Corporation 6% Due 6/15/2033	Government Mortgage Backed Securities 190,000 units		200,976
Structured Asset Securities Corporation 2003-14 Due 05/25/2033	Collateralized Mortgage Obligations 192,689 units		200,187

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Fannie Mae 0% Due 12/01/2024	Government Mortgage Backed Securities 212,095 units		199,988
Residential Accredited Loans Inc. Pass-Through Series 2004-QS7 5.5% Due 5/25/2034	Collateralized Mortgage Obligations 227,406 units		199,547
National Australia Bank Limited 3% Due 07/27/2016	Corporate Bonds 200,000 units		199,254
Citigroup Inc. 6.01% Due 1/15/2015	Corporate Bonds 190,000 units		198,494
Shell International Finance 4.375% Due 3/25/2020	Corporate Bonds 170,000 units		198,469
Morgan Stanley 6.625% Due 4/01/2018	Corporate Bonds 200,000 units		197,489
Master Alternative Loan Trust 2004-3 6.25% Due 4/25/2034	Collateralized Mortgage Obligations 192,424 units		194,533
Fannie Mae Remic Trust 2010-49 Variable Rate Due 3/25/2040	Government Mortgage Backed Securities 163,598 units		194,454
Residential FDG Mortgage Securities I Inc. 2003-S4 5.75% Due 3/25/2033	Collateralized Mortgage Obligations 184,363 units		193,535
Fannie Mae Pool #888281 6% Due 4/01/2027	Government Mortgage Backed Securities 175,393 units		193,377
Fannie Mae Pool #888890 6.5% Due 10/01/2037	Government Mortgage Backed Securities 171,487 units		192,607
CWMBS Inc. 4% Due 8/25/2033	Collateralized Mortgage Obligations 192,022 units		192,047
Ginnie Mae Pool #004318 7% Due 12/20/2038	Government Mortgage Backed Securities 164,901 units		191,725
Federal Home Loan Mortgage Corporation Series Floating Rate 3852 Due 05/15/2041	Government Mortgage Backed Securities 191,382 units		191,593
GMAC Mortgage Loan Trust 2003-J10 4.75% Due 1/25/2019	Collateralized Mortgage Obligations 186,487 units		191,570
Citigroup Mortgage Loan Trust 2008-AR4 Remic Pass-Through Due 11/25/2038	Collateralized Mortgage Obligations 191,999 units		191,516
Morgan Stanley Dean Witter Capital I Trust 2003-HYB1 Variable Rate Due 2/25/2033	Collateralized Mortgage Obligations 213,522 units		190,053
Federal Home Loan Mortgage Corporation Series 2656 5% Due 10/15/2032	Government Mortgage Backed Securities 175,000 units		189,848
Ginnie Mae 6% Due 12/20/2039	Government Mortgage Backed Securities 174,362 units		188,807
Sequoia Mortgage Trust Floating Rate Due 11/20/2034	Collateralized Mortgage Obligations 228,592 units		188,720
Pacific Gas & Electric Company 6.05% Due 3/01/2034	Corporate Bonds 150,000 units		185,676
Baker Hughes Inc. 7.5% Due 11/15/2018	Corporate Bonds 140,000 units		184,692
Deutsche Telekom International 5.75% Due 3/23/2016	Corporate Bonds 165,000 units		183,625
Oncor Electric Delivery Company 6.8% Due 9/1/2018	Corporate Bonds 150,000 units		182,415
Ginnie Mae Pool #699238 6.5% Due 9/15/2023	Government Mortgage Backed Securities 165,269 units		181,661
Fannie Mae Trust 2004 7% Due 2/25/2044	Government Mortgage Backed Securities 158,577 units		181,017
Banc America Commercial Mortgage Trust 2006-3 Due 7/10/2044*	Commercial Mortgage Backed Securities 165,000 units		180,887
Cobalt CMBS Commercial Mortgage Trust 2006-C1 Pass-Through 5.186% Due 8/01/48	Commercial Mortgage Backed Securities 170,000 units		180,816
Fannie Mae Pool #550382 6.45% Due 7/1/2030	Government Mortgage Backed Securities 157,373 units		180,557
GlaxoSmithKline 5.65% Due 5/15/2018	Corporate Bonds 150,000 units		180,541
Fannie Mae Pool 5.5% Due 11/1/2036	Government Mortgage Backed Securities 164,740 units		179,727
Structured Asset Securities Corporation Series 2004-6XS Due 3/25/2034	Asset Backed Securities 193,357 units		179,196
Federal Home Loan Mortgage Corporation Series 3688 Variable Rate Due 11/15/2046	Government Mortgage Backed Securities 150,540 units		177,860
Fannie Mae Preassign 00277 5.5% Due 2/25/2033	Government Mortgage Backed Securities 155,000 units		177,652
Residential Accredited Loans Inc. Pass-Through 5% Due 3/25/2019	Collateralized Mortgage Obligations 174,915 units		176,581
Federal Home Loan Mortgage Corporation Series 3201 Floating Rate Due 8/15/2036	Government Mortgage Backed Securities 1,167,702 units		175,800
Wells Fargo Mortgage Backed Securities 2004-K Due 7/25/2034	Collateralized Mortgage Obligations 176,172 units		175,559
CenterPoint Energy 6.5% Due 05/01/2018	Corporate Bonds 150,000 units		175,112
Fannie Mae Pool #767867 5.5% Due 3/01/2033	Government Mortgage Backed Securities 159,627 units		174,847
Ginnie Mae 2009-016 Remic Pass-Through Floating Rate Due 05/20/2037	Government Mortgage Backed Securities 1,003,217 units		173,643
Fannie Mae 2001-T10 Pass-Through 7% Due 12/25/2041	Government Mortgage Backed Securities 156,868 units		173,592
Ginnie Mae 2006-26 Remic 0% Due 6/20/2036	Government Mortgage Backed Securities 188,283 units		172,965
Wellpoint Inc. 5.875% Due 6/15/2017	Corporate Bonds 150,000 units		172,839
Federal Home Loan Mortgage Corporation Pool #E0227 6% Due 11/01/2021	Government Mortgage Backed Securities 157,722 units		172,626
Fannie Mae Pool #256928 6% Due 10/01/2027	Government Mortgage Backed Securities 156,556 units		172,510
Comcast Corporation 5.9% Due 03/15/2016	Corporate Bonds 150,000 units		171,689
Bank of America Corporation 5.65% Due 5/01/2018*	Corporate Bonds 180,000 units		171,496
Ginnie Mae Remic Series 2008-40 Floating Rate Due 5/16/2038	Government Mortgage Backed Securities 934,012 units		171,469
Federal Home Loan Mortgage Corporation Pool 5.891% Due 8/1/2037	Government Mortgage Backed Securities 160,877 units		171,467
Fannie Mae 6.5% Due 2/25/2047	Government Mortgage Backed Securities 154,232 units		171,311
Federal Home Loan Mortgage Corporation Series 1078 6.5% Due 5/15/2021	Government Mortgage Backed Securities 157,046 units		171,166
Wells Fargo Mortgage Backed Series 2006-5 Due 04/25/2036	Collateralized Mortgage Obligations 170,503 units		170,230
Berkshire Hathaway Inc. 3.2% Due 2/11/2015	Corporate Bonds 160,000 units		169,626
Citigroup Mortgage Loan Trust 2003-1 5.25% Due 9/25/2033	Collateralized Mortgage Obligations 159,836 units		168,613
Ginnie Mae Pool #738679 7% Due 11/20/2038	Government Mortgage Backed Securities 144,353 units		167,614
United States Treasury Notes 3.25% Due 12/31/2016	Government Bonds 150,000 units		167,484
Ginnie Mae 5.5% Due 6/20/2038	Government Mortgage Backed Securities 142,000 units		167,352
Federal Home Loan Mortgage Corporation Pool #A72934 8% Due 2/01/2038	Government Mortgage Backed Securities 138,369 units		167,187
Federal Home Loan Mortgage Corporation Series 2994 5% Due 6/15/2035	Government Mortgage Backed Securities 149,000 units		166,568
Fannie Mae Pool #888366 7% Due 4/01/2037	Government Mortgage Backed Securities 145,264 units		165,884
Verizon Communications Inc. 6.4% Due 2/15/2038	Corporate Bonds 130,000 units		165,022
Credit Agricole SA 8.375% Floating Rate Due 8/15/2029	Corporate Bonds 220,000 units		165,000
General Electric Capital Corporation 5.9% Due 5/13/2014	Corporate Bonds 150,000 units		164,273
Hess Corporation LLC 5.29% Due 3/25/2016	Asset Backed Securities 150,000 units		162,391
Ginnie Mae 2010-001 Remic Pass-Through Floating Rate Due 8/16/2039	Government Mortgage Backed Securities 1,379,046 units		162,387

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Centex Home Equity 4.68% Due 6/25/2032	Asset Backed Securities 170,309 units		161,385
Federal Home Loan Mortgage Corporation Pool #E90573 6% Due 7/01/2017	Government Mortgage Backed Securities 146,898 units		160,779
Ginnie Mae 6.5% Due 6/2/2032	Government Mortgage Backed Securities 137,977 units		158,125
Time Warner Cable Inc. 7.3% Due 7/1/2038	Corporate Bonds 130,000 units		157,970
Ginnie Mae 2009-106 Floating Rate Due 6/20/2037	Government Mortgage Backed Securities 958,769 units		157,053
Ginnie Mae 2010-014 0% Due 3/20/2036	Government Mortgage Backed Securities 167,208 units		156,690
Ginnie Mae Pool #738054 6.5% Due 01/20/2039	Government Mortgage Backed Securities 137,300 units		156,578
Duke Energy Corporation 5.625% Due 11/30/2012	Corporate Bonds 150,000 units		156,305
Federal Home Loan Mortgage Corporation Series 2648 5% Due 7/15/2033	Government Mortgage Backed Securities 152,190 units		155,384
Wells Fargo Mortgage Backed Securities 2003-F Variable Rate Due 6/25/2033	Collateralized Mortgage Obligations 155,096 units		155,182
CitiFinancial Mortgage 5.348% Due 8/25/2033	Asset Backed Securities 160,999 units		155,077
Fannie Mae Pool #AE0081 6% Due 7/01/2024	Government Mortgage Backed Securities 142,161 units		154,017
Banc America Alternative Loan Trust 2004-6 5% Due 7/25/2019*	Collateralized Mortgage Obligations 151,431 units		153,293
Fannie Mae Remic Pass-Through Trust 2009-112 Floating Rate Due 1/25/2040	Government Mortgage Backed Securities 1,212,696 units		152,837
Fannie Mae Remic Series 1997-57 5% Due 9/18/2027	Government Mortgage Backed Securities 142,417 units		152,589
GTP Acquisition Partners I, LLC 4.347% Due 06/15/2016	Corporate Bonds 152,000 units		151,353
Banc America Mortgage Securities 2004-C 3.73055% Due 4/25/2034*	Collateralized Mortgage Obligations 167,162 units		150,609
Countrywide Financial Corporation 5.8% Due 6/07/2012*	Corporate Bonds 150,000 units		150,316
Federal Home Loan Mortgage Corporation Pool #G30290 6.5% Due 3/01/2026	Government Mortgage Backed Securities 134,458 units		150,031
Morgan Stanley 5.625% Due 1/9/2012	Corporate Bonds 150,000 units		150,023
Fannie Mae Remic Series 2007-35 5% Due 9/25/2033	Government Mortgage Backed Securities 145,063 units		149,812
Morgan Stanley Capital I Trust 2011-C3 4.054% Due 7/15/2049	Commercial Mortgage Backed Securities 141,000 units		149,340
Federal Home Loan Mortgage Corporation Series 2046 6.5% Due 4/15/2028	Government Mortgage Backed Securities 129,086 units		147,709
Fannie Mae Pool #889213 6% Due 4/01/2034	Government Mortgage Backed Securities 134,793 units		147,118
Sequoia Mortgage Trust Variable Rate Due 9/20/2034	Collateralized Mortgage Obligations 178,999 units		146,790
Ginne Mae 2008-087 Remic Pass-Through 6.5% Due 10/20/2038	Government Mortgage Backed Securities 753,331 units		146,636
Federal Home Loan Mortgage Corporation Series 3253 Principal Only Due 12/15/2021	Government Mortgage Backed Securities 149,489 units		146,511
UnitedHealth Group Inc. 4.875% Due 2/15/2013	Corporate Bonds 140,000 units		145,784
Federal Home Loan Mortgage Corporation Series 3784 Floating Rate Due 07/15/2023	Government Mortgage Backed Securities 1,081,388 units		144,882
Ginnie Mae Pool #534607 6.45% Due 8/15/2030	Government Mortgage Backed Securities 126,779 units		144,282
Ginnie Mae 2008-050 Remic Pass-Through 6% Due 6/20/2038	Government Mortgage Backed Securities 123,000 units		142,846
Ginnie Mae 2007-058 Remic Pass-Through Floating Rate Due 10/20/2037	Government Mortgage Backed Securities 948,411 units		142,742
Nordea Bank 7% Due 11/13/2014	Corporate Bonds 140,000 units		142,231
Ginnie Mae 2008-091 Remic Pass-Through 6.5% Due 11/20/2038	Government Mortgage Backed Securities 837,562 units		142,109
Fannie Mae Pool #888601 5.5% Due 6/01/2020	Government Mortgage Backed Securities 129,804 units		141,092
Ginnie Mae Remic Series 2008-073 Floating Rate Due 8/20/2038	Government Mortgage Backed Securities 900,510 units		140,295
Morgan Stanley 5.75% Due 01/25/2021	Corporate Bonds 150,000 units		139,921
Federal Home Loan Mortgage Corporation Series 2058 6.5% Due 5/15/2028	Government Mortgage Backed Securities 134,686 units		138,712
Fannie Mae Remic Series 2003-47 5.75% Due 6/25/2033	Government Mortgage Backed Securities 119,000 units		137,061
Fannie Mae 2001-82 6.5% Due 1/25/2032	Government Mortgage Backed Securities 119,530 units		136,768
Fannie Mae Remic Trust 2004-70 5% Due 10/25/2024	Government Mortgage Backed Securities 125,000 units		136,662
United States Treasury Bonds 6.375% Due 8/15/27	Government Bonds 90,000 units		136,420
Ginnie Mae 2008-60 5.5% Due 7/16/2023	Government Mortgage Backed Securities 120,000 units		134,941
Federal Home Loan Mortgage Corporation Pool #G12988 6% Due 1/01/2023	Government Mortgage Backed Securities 122,027 units		132,871
Citigroup Inc. 6.875% Due 3/5/2038	Corporate Bonds 120,000 units		131,834
Fannie Mae Series 390 Variable Rate Due 6/25/2038	Government Mortgage Backed Securities 947,090 units		131,273
JP Morgan Remic Series 2010-4 Variable Rate Due 8/26/2035	Collateralized Mortgage Obligations 134,031 units		131,155
Royal Bank of Scotland 6.4% Due 10/21/2019	Corporate Bonds 140,000 units		131,066
Ally Auto 1.55% Due 10/15/2014	Asset Backed Securities 129,000 units		130,583
Wells Fargo Mortgage Backed Securities 2004-BB Trust Due 1/25/2035	Collateralized Mortgage Obligations 135,752 units		129,651
Ginnie Mae 2004-86 Remic Pass-Through Floating Due 9/20/2034	Government Mortgage Backed Securities 901,184 units		129,406
BP Capital Markets PLC 5.25% Due 11/07/2013	Corporate Bonds 120,000 units		128,708
Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034	Collateralized Mortgage Obligations 133,790 units		128,502
Telecom Italia Capital 5.25% Due 10/01/2015	Corporate Bonds 140,000 units		128,426
Illinois State Taxable Pension 5.1% Due 06/01/2033	Municipal/Provincial Bonds 140,000 units		127,775
Wachovia Commercial Mortgage Trust 2005-C21 5.203% Due 10/15/2044	Commercial Mortgage Backed Securities 120,000 units		126,964
Ginnie Mae 2009-072 Remic Pass-Through Floating Rate Due 08/16/2039	Government Mortgage Backed Securities 957,867 units		125,588
Morgan Stanley Capital I Trust Due 02/12/2044	Commercial Mortgage Backed Securities 16,042,411 units		125,227
Federal Home Loan Mortgage Corporation Pool #C9-0767 6% Due 12/01/2023	Government Mortgage Backed Securities 113,427 units		124,968
Federal Home Loan Mortgage Corporation Series 2934 Principal Only Due 2/15/2020	Government Mortgage Backed Securities 129,372 units		124,773
Fannie Mae 3.625% Due 02/12/2013	Government Agency Bonds 120,000 units		124,446
Ginnie Mae 2006-023 Remic Floating Rate Due 1/20/2036	Government Mortgage Backed Securities 936,005 units		124,184
Dominion Resources Inc. 5.7% Due 9/17/2012	Corporate Bonds 120,000 units		124,023
Fannie Mae Preassign 00472 7% Due 7/25/2042	Government Mortgage Backed Securities 110,168 units		123,963
Mercedes-Benz Auto Receivables Trust 2011-1CI .85% Due 03/15/2015	Asset Backed Securities 123,000 units		123,096

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Bank of America Auto Trust 1.31% Due 7/15/2014*	Asset Backed Securities 122,365 units		122,730
Fannie Mae Remic Trust 2001-38 Principal Only Due 8/25/2031	Government Mortgage Backed Securities 133,195 units		121,798
Credit Suisse First Boston Securities Corporation Series 2006-C1 Floating Rate Due 2/15/2039	Commercial Mortgage Backed Securities 110,000 units		121,736
Roche Holdings Inc. 6% Due 3/1/2019	Corporate Bonds 100,000 units		121,541
Ontario Province Canada 4% Due 10/07/2019	Municipal/Provincial Bonds 110,000 units		121,445
Citigroup Commercial Mortgage Trust Series 2005-C3 Due 5/15/2043	Commercial Mortgage Backed Securities 115,000 units		121,311
Merrill Lynch & Company Inc. 6.15% Due 4/25/2013*	Corporate Bonds 120,000 units		121,124
Fannie Mae Remic Trust 1997-89 7% Due 12/20/2027	Government Mortgage Backed Securities 492,696 units		118,443
Ginnie Mae Remic Series 2007-16 Floating Rate Due 4/20/2037	Government Mortgage Backed Securities 888,429 units		118,273
Ginnie Mae Pool #534855 6.45% Due 11/15/2030	Government Mortgage Backed Securities 101,976 units		116,055
Comcast Corporation 5.7% Due 07/01/2019	Corporate Bonds 100,000 units		116,009
Morgan Stanley Mortgage Loan Trust 2004-2AR Due 09/25/2034	Collateralized Mortgage Obligations 146,322 units		115,804
Federal Home Loan Mortgage Corporation Series 2626 5% Due 6/15/2033	Government Mortgage Backed Securities 106,977 units		115,602
Amerada Hess Corporation 7.3% Due 8/15/2031	Corporate Bonds 90,000 units		115,491
Ginnie Mae Pool #614616 Series 2018 5.5% Due 7/15/2018	Government Mortgage Backed Securities 104,376 units		114,432
Capital One Financial Corporation 4.75% Due 07/15/2021	Corporate Bonds 110,000 units		113,202
XTO Energy Inc. 7.5% Due 4/15/2012	Corporate Bonds 110,000 units		112,202
GS Mortgage Securities Corporation 2005-RP2 Variable Rate Due 3/25/2035	Collateralized Mortgage Obligations 138,108 units		111,524
Bayview Commercial Asset Trust Variable Rate Due 1/25/2036	Collateralized Mortgage Obligations 161,422 units		111,422
Ginnie Mae 5.25% Due 3/20/2038	Government Mortgage Backed Securities 100,000 units		111,319
Ginnie Mae Pool #534720 6.45% Due 9/15/2030	Government Mortgage Backed Securities 97,368 units		110,810
General Electric Capital Corporation 5.625% Due 9/15/2017	Corporate Bonds 100,000 units		110,678
Hewlett-Packard Company 6% Due 09/15/2041	Corporate Bonds 100,000 units		110,662
Banc America Commercial Mortgage Inc. 2005-6 5.195% Due 9/10/2047*	Commercial Mortgage Backed Securities 100,000 units		110,599
General Electric Capital Corporation 5.5% Due 1/08/2020	Corporate Bonds 100,000 units		110,029
Morgan Stanley Capital I Trust Inc. 2004-HQ3 4.8% Due 1/13/2041	Commercial Mortgage Backed Securities 105,000 units		109,983
Ginnie Mae 5.25% Due 4/20/2038	Government Mortgage Backed Securities 94,000 units		109,849
Indymac Mortgage Backed Securities Inc. 4.75% Due 2/25/2019	Asset Backed Securities 108,314 units		109,253
Ginnie Mae Remic Series 2008-79 Floating Rate Due 9/20/2038	Government Mortgage Backed Securities 544,704 units		108,708
Wells Fargo Mortgage Backed Securities 2003-A Trust Due 2/25/2033	Collateralized Mortgage Obligations 115,315 units		108,611
Dow Chemical Company 8.55% Due 05/15/2019	Corporate Bonds 83,000 units		108,591
Fannie Mae Pool #745406 6% Due 3/01/2021	Government Mortgage Backed Securities 100,207 units		108,502
Federal Home Loan Mortgage Corporation Preassign 00890 Due 4/15/2036	Government Mortgage Backed Securities 112,833 units		108,082
MetLife Global 5.125% Due 6/10/2014	Corporate Bonds 100,000 units		107,673
GMAC Commercial Mortgage Securities 5.238% Due 11/10/2045	Commercial Mortgage Backed Securities 100,000 units		107,658
Credit Suisse First Boston 5.125% Due 08/15/2015	Corporate Bonds 100,000 units		105,336
Ontario Province Canada 2.7% Due 6/16/2015	Municipal/Provincial Bonds 100,000 units		104,736
Fannie Mae Preassign 00033 5% Due 3/25/2032	Government Mortgage Backed Securities 100,000 units		104,549
Michigan Indiana Power Company 7% Due 3/15/2019	Corporate Bonds 85,000 units		104,549
National Semiconductor 6.6% Due 06/15/2017	Corporate Bonds 85,000 units		104,403
Ohio State University General Receipts Bond 4.8% Due 06/01/2111	Municipal/Provincial Bonds 100,000 units		104,297
United States Treasury Bonds Inflation Index 1.75% Due 1/15/2028	Index Linked Government Bonds 80,000 units		103,992
Ginnie Mae 2007-059 Remic Pass-Through Due 4/20/2037	Government Mortgage Backed Securities 843,825 units		103,435
Apache Corporation 6% Due 1/15/2037	Corporate Bonds 80,000 units		103,142
Prime Mortgage Trust 2004-2 Pass-Through 4.75% Due 11/25/2019	Collateralized Mortgage Obligations 100,209 units		103,081
Commonwealth Bank of Australia 3.75% Due 10/15/2014	Corporate Bonds 100,000 units		103,030
International Business 1.95% Due 07/22/2016	Corporate Bonds 100,000 units		102,916
Nordea Bank 4.875% Due 1/27/2020	Corporate Bonds 100,000 units		102,694
Total Capital 2.3% Due 3/15/2016	Corporate Bonds 100,000 units		102,633
Wyeth 5.95% Due 4/01/2037	Corporate Bonds 80,000 units		102,478
Tennessee Valley Authority Global Power Bond 2009 Series C 5.25% Due 09/15/2039	Government Agency Bonds 80,000 units		102,121
Fannie Mae Remic Series 2004-36 Due 5/25/2034	Government Mortgage Backed Securities 78,978 units		101,929
Fannie Mae Pool #254179 6% Due 1/01/2022	Government Mortgage Backed Securities 92,294 units		101,671
HSBC Finance Corporation 5% Due 06/30/2015	Corporate Bonds 100,000 units		101,539
MetLife Global 2.5% Due 1/11/2013	Corporate Bonds 100,000 units		101,212
Ginnie Mae 2008-069 Remic Pass-Through 5.75% Due 8/20/2038	Government Mortgage Backed Securities 85,291 units		100,882
Federal Home Loan Mortgage Corporation Adjustable Rate Due 5/1/2037	Government Mortgage Backed Securities 94,673 units		100,721
Santander Drive Auto Receivables Trust 2010-A3 1.83% Due 11/17/2014	Asset Backed Securities 100,000 units		100,407
Bank of Nova Scotia 1.65% Due 10/29/2015	Corporate Bonds 100,000 units		99,879
Banc America Mortgage Securities Inc. 2004-11 5.75% Due 12/25/2024*	Collateralized Mortgage Obligations 95,713 units		99,079
Washington Mutual Variable Rate Pass-Through Due 9/25/2033	Collateralized Mortgage Obligations 103,872 units		98,252
HSBC Home Equity Loan Trust Series 2006-1 Due 1/20/2036	Asset Backed Securities 105,124 units		97,998
Ginnie Mae Remic Series 1997-16 Due 10/20/2027	Government Mortgage Backed Securities 448,329 units		97,955
Fannie Mae Remic Trust 2006-20 Variable Rate Due 4/25/2036	Government Mortgage Backed Securities 608,676 units		97,582
Boeing Company 6% Due 3/15/2019	Corporate Bonds 80,000 units		97,026

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

American Express Company 7% Due 3/19/2018	Corporate Bonds 80,000 units		96,673
Chase FDG Mortgage Loan 4.499% Due 8/25/2030	Asset Backed Securities 96,650 units		96,405
Port Authority NY & NJ 5.647% Due 11/01/2040	Municipal/Provincial Bonds 85,000 units		96,318
Diageo Capital PLC 4.828% Due 7/15/2020	Corporate Bonds 85,000 units		96,119
Citigroup Inc. 6.125% Due 11/21/2017	Corporate Bonds 90,000 units		96,051
Federal Home Loan Mortgage Corporation Gold Pool 6.5% Due 4/01/2021	Government Mortgage Backed Securities 85,981 units		95,939
Time Warner Cable Inc. 6.75% Due 7/01/2018	Corporate Bonds 80,000 units		95,017
Equity One ABS Inc. 5.05% Due 9/25/2033	Asset Backed Securities 115,995 units		94,775
Fannie Mae Pool #550390 6.45% Due 10/01/2030	Government Mortgage Backed Securities 82,163 units		94,267
Rabobank Nederland Variable Rate Due 12/29/2049	Corporate Bonds 80,000 units		93,600
Fannie Mae Remic Trust 2005-103 Variable Rate Due 7/25/2035	Government Mortgage Backed Securities 88,344 units		93,303
Federal Home Loan Mortgage Corporation Pool #M30285 5% Due 2/01/2018	Government Mortgage Backed Securities 87,522 units		92,275
Morgan Stanley 3.45% Due 2/11/2015	Corporate Bonds 100,000 units		92,069
Fannie Mae Preassign 00506 6% Due 4/25/2017	Government Mortgage Backed Securities 84,942 units		91,960
PNC FDG Corporation 6.7% Due 6/10/2019	Corporate Bonds 75,000 units		91,503
PPL Energy Supply LLC 4.6% Due 12/15/2021	Corporate Bonds 90,000 units		91,269
Federal Home Loan Mortgage Corporation 0% Due 11/15/2037	Government Mortgage Backed Securities 96,613 units		91,037
Ginnie Mae 6% Due 6/20/2032	Government Mortgage Backed Securities 84,365 units		90,832
Time Warner Cable Inc. 8.75% Due 2/14/2019	Corporate Bonds 70,000 units		89,385
Anheuser Busch 5.375% Due 11/15/2014	Corporate Bonds 80,000 units		88,890
Ginnie Mae 2010-014 Remic Pass-Through Principal Only Due 12/20/2032	Government Mortgage Backed Securities 95,609 units		87,807
Federal Home Loan Mortgage Corporation Pool 5.5% Due 11/1/2035	Government Mortgage Backed Securities 80,646 units		87,794
MidAmerican Energy 5.3% Due 3/15/2018	Corporate Bonds 75,000 units		87,579
Microsoft Corporation 5.3% Due 02/08/2041	Corporate Bonds 69,000 units		87,353
Blackrock Inc. 6.25% Due 9/15/2017*	Corporate Bonds 75,000 units		87,256
Ginnie Mae Pool #535143 6.45% Due 1/15/2031	Government Mortgage Backed Securities 76,664 units		87,249
Apache Corporation 6% Due 9/15/2013	Corporate Bonds 80,000 units		87,153
Ginnie Mae Remic Series 2006-26 Due 6/20/2036	Government Mortgage Backed Securities 671,657 units		87,086
PacifiCorp 5.75% Due 04/01/2037	Corporate Bonds 70,000 units		86,479
National Rural Utilities 10.375% Due 11/01/2018	Corporate Bonds 60,000 units		86,325
BB&T Corporation 5.2% Due 12/23/2012	Corporate Bonds 80,000 units		85,648
Petro-Canada 7.875% Due 06/15/2026	Corporate Bonds 65,000 units		85,468
Cleveland Electric Illumination Company 5.65% Due 12/15/2013	Corporate Bonds 80,000 units		85,383
Intel Corporation 3.3% Due 10/01/2021	Corporate Bonds 81,000 units		85,328
Federal Home Loan Mortgage Corporation Series 3747 4.5% Due 07/15/2037	Government Mortgage Backed Securities 756,671 units		84,550
Fannie Mae Remic Trust 2010-35 Variable Rate Due 4/25/2040	Government Mortgage Backed Securities 650,938 units		84,173
United States Treasury Bonds Inflation Index 2% Due 1/15/2026	Index Linked Government Bonds 60,000 units		84,148
Capital One Financial Corporation 6.75% Due 9/15/2017	Corporate Bonds 75,000 units		84,039
Ginnie Mae Pool #535166 6.45% Due 1/15/2031	Government Mortgage Backed Securities 72,920 units		82,988
Time Warner Cable Inc. 6.75% Due 6/15/2039	Corporate Bonds 70,000 units		82,720
Oracle Corporation 5% Due 07/08/2019	Corporate Bonds 70,000 units		82,530
Federal Home Loan Mortgage Corporation Preassign 00603 5% Due 2/15/2020	Government Mortgage Backed Securities 802,105 units		82,326
Federal Home Loan Mortgage Corporation Series 3218 Floating Rate Due 9/15/2026	Government Mortgage Backed Securities 553,673 units		81,857
Fannie Mae 6% Due 4/18/2036	Government Agency Bonds 70,000 units		81,281
Sempra Energy 9.8% Due 02/15/2019	Corporate Bonds 60,000 units		81,033
Nelnet Student Loan Trust Floating Rate Due 4/25/2024	Asset Backed Securities 80,000 units		81,019
Federal Home Loan Mortgage Corporation Pool #G02809 3.5% Due 5/01/2036	Government Mortgage Backed Securities 71,603 units		81,000
ebay Inc. 3.25% Due 10/15/2020	Corporate Bonds 80,000 units		80,755
Federal Home Loan Mortgage Corporation Series 10 Due 7/15/2019	Government Mortgage Backed Securities 72,892 units		80,439
Federal Home Loan Mortgage Corporation Principal Only Due 12/15/2032	Government Mortgage Backed Securities 86,859 units		79,638
Fannie Mae Remic 390 6% Due 7/25/2023	Government Mortgage Backed Securities 715,862 units		79,062
Delta Air Lines Inc. 6.821% Due 8/10/2022	Corporate Bonds 75,634 units		78,939
Time Warner Entertainment 8.375% Due 7/15/2033	Corporate Bonds 60,000 units		78,643
Macquarie Group Limited 7.3% Due 8/01/2014	Corporate Bonds 75,000 units		78,083
Federal Home Loan Mortgage Corporation Series 3593 Floating Rate Due 11/15/2024	Government Mortgage Backed Securities 600,843 units		77,953
Ginnie Mae 2003-018 Floating Rate Due 9/20/2032	Government Mortgage Backed Securities 66,417 units		77,800
Fannie Mae Pool 5.5% Due 2/1/2036	Government Mortgage Backed Securities 71,072 units		77,538
Walt Disney Company 4.125% Due 12/01/2041	Corporate Bonds 75,000 units		77,370
Federal Home Loan Mortgage Corporation Series 3117 Principal Only Due 2/15/2036	Government Mortgage Backed Securities 80,398 units		76,889
Kaupthing Bank 7.625% Due 12/31/2040	Corporate Bonds 310,000 units		76,725
Fannie Mae Interest Strip 5.01% Due 11/15/2021	Government Mortgage Backed Securities 100,000 units		76,675
Ginnie Mae 2002-41 Remic Trust Floating Rate Due 6/16/2032	Government Mortgage Backed Securities 390,048 units		76,456
Jeffries Group 8.5% Due 7/15/2019	Corporate Bonds 75,000 units		76,125
Fannie Mae Preassign 00059 6.5% Due 2/25/2044	Government Mortgage Backed Securities 68,254 units		76,000
Fannie Mae 2003-45 5.5% Due 6/25/2033	Government Mortgage Backed Securities 64,000 units		75,727

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Nomura Holdings Inc. 5% Due 3/04/2015	Corporate Bonds 75,000 units		75,523
E. I. du Pont de Nemours & Company 5.6% Due 12/15/2036	Corporate Bonds 60,000 units		74,255
Rio Tinto Financial USA 3.5% Due 11/02/2020	Corporate Bonds 72,000 units		73,592
Federal Home Loan Mortgage Corporation Series 3117 Due 02/15/2036	Government Mortgage Backed Securities 77,379 units		72,737
Hewlett-Packard Company 4.375% Due 09/15/2021	Corporate Bonds 70,000 units		72,243
Federal Home Loan Mortgage Corporation Pool #G13390 6% Due 1/01/2024	Government Mortgage Backed Securities 66,227 units		72,154
Halliburton Company 8.75% Due 02/15/2021	Corporate Bonds 50,000 units		71,917
Union Pacific Corporation 4.163% Due 07/15/2022	Corporate Bonds 66,000 units		71,634
Federal Home Loan Mortgage Corporation Pool #B3-1151 6.5% Due 11/01/2031	Government Mortgage Backed Securities 64,921 units		70,965
ASIF Global Financing XIX 4.9% Due 01/17/2013	Corporate Bonds 70,000 units		70,585
Anheuser Busch 5.375% Due 1/15/2020	Corporate Bonds 60,000 units		70,368
Federal Home Loan Mortgage Corporation Series 3101 5.5% Due 1/15/2036	Government Mortgage Backed Securities 60,000 units		68,858
Fannie Mae Remic Trust 2001-4 7% Due 3/25/2021	Government Mortgage Backed Securities 63,226 units		68,685
Boeing Capital Corporation 4.7% Due 10/27/2019	Corporate Bonds 60,000 units		68,296
Ginnie Mae Pool #534544 6.45% Due 8/15/2030	Government Mortgage Backed Securities 59,554 units		67,776
HSBC Home Equity Loan Trust Series 2005-2 Due 1/20/2035	Asset Backed Securities 76,220 units		67,639
Fannie Mae Pool #745948 6.5% Due 10/01/2036	Government Mortgage Backed Securities 60,184 units		67,596
PSEG Power LLC 5.125% Due 04/15/2020	Corporate Bonds 60,000 units		67,306
Cox Communications Inc. 8.375% Due 03/01/2039	Corporate Bonds 50,000 units		66,948
Southern California Edison 6.65% Due 04/01/2029	Corporate Bonds 50,000 units		65,912
American Municipal Power Ohio Inc. Rev. 7.499% Due 2/15/2050	Municipal/Provincial Bonds 50,000 units		65,283
Fannie Mae Series 331 Variable Rate Due 2/01/2033	Government Mortgage Backed Securities 274,937 units		64,954
AOL Time Warner 7.625% Due 04/15/2031	Corporate Bonds 50,000 units		64,544
Federal Home Loan Mortgage Corporation Floating Rate Due 10/15/2040	Government Mortgage Backed Securities 388,689 units		64,101
Federal Home Loan Mortgage Corporation Series 2611 Floating Rate Due 5/15/2033	Government Mortgage Backed Securities 61,592 units		63,717
Fannie Mae Preassign 00869 Variable Rate Due 12/25/2032	Government Mortgage Backed Securities 55,118 units		63,603
Coca-Cola Company 3.3% Due 09/01/2021	Corporate Bonds 60,000 units		63,182
Citigroup Inc. 6.375% Due 8/12/2014	Corporate Bonds 60,000 units		62,971
PPG Industries Inc. 7.4% Due 9/30/2012	Corporate Bonds 50,000 units		62,352
United Technologies Corporation 6.125% Due 02/01/2019	Corporate Bonds 50,000 units		61,784
Duke Energy Corporation 6% Due 12/01/2028	Corporate Bonds 50,000 units		61,753
Federal Home Loan Mortgage Corporation Series 3306 Floating Rate Due 4/15/2037	Government Mortgage Backed Securities 58,118 units		61,500
Vodafone Group PLC 5% Due 09/15/2015	Corporate Bonds 55,000 units		61,396
AT&T Inc. 6.3% Due 1/15/2038	Corporate Bonds 50,000 units		61,387
Ginnie Mae 2003-112 Floating Rate Due 10/20/2032	Government Mortgage Backed Securities 500,000 units		61,114
News America Inc. 7.625% Due 11/30/2028	Corporate Bonds 50,000 units		60,389
Wal-Mart Stores Inc. 5.25% Due 09/01/2035	Corporate Bonds 50,000 units		59,809
Federal Home Loan Mortgage Corporation Series 2650 Principal Only Due 12/15/2032	Government Mortgage Backed Securities 65,393 units		59,801
Bear Stearns Commercial Mortgage Securities Inc. Series 2005-PWR9 4.871% Due 9/15/2015	Commercial Mortgage Backed Securities 55,000 units		59,652
FPL Group Capital Inc. 7.875% Due 12/15/2015	Corporate Bonds 50,000 units		59,650
CSX Corporation 6.25% Due 3/15/2018	Corporate Bonds 50,000 units		59,520
Hewlett-Packard Company 6.125% Due 3/1/2014	Corporate Bonds 55,000 units		59,304
Dow Chemical Company 4.25% Due 11/15/2020	Corporate Bonds 57,000 units		59,248
Canadian Natural Resources Limited 5.9% Due 02/01/2018	Corporate Bonds 50,000 units		58,930
Fannie Mae Preassign 00464 Due 1/25/2036	Government Mortgage Backed Securities 59,902 units		58,707
Federal Home Loan Mortgage Corporation Series 3213 6% Due 9/15/2036	Government Mortgage Backed Securities 50,000 units		58,294
Cisco Systems Inc. 5.5% Due 2/22/2016	Corporate Bonds 50,000 units		58,187
Praxair Inc. 5.2% Due 3/15/2017	Corporate Bonds 50,000 units		57,678
Countrywide Financial Corporation 6.25% Due 5/15/2015*	Corporate Bonds 60,000 units		56,528
Alberta Energy Limited 7.375% Due 11/01/2031	Corporate Bonds 45,000 units		56,278
Federal Home Loan Mortgage Corporation Series 2755 Principal Only Due 2/15/2029	Government Mortgage Backed Securities 56,426 units		56,224
Intuit Inc. 5.75% Due 3/15/2017	Corporate Bonds 50,000 units		56,088
Merrill Lynch Mortgage Trust Series 2005-LC1 Due 1/12/2044*	Commercial Mortgage Backed Securities 60,000 units		56,061
AGL Capital Corporation 3.5% Due 09/15/2021	Corporate Bonds 56,000 units		56,030
Waste Management Inc. of Delaware 4.75% Due 6/20/2020	Corporate Bonds 50,000 units		54,852
Xerox Corporation 5.625% Due 12/15/2019	Corporate Bonds 50,000 units		54,619
DirecTV Holdings 6% Due 08/15/2040	Corporate Bonds 50,000 units		54,544
Bank of New York Inc. 4.6% Due 1/15/2020	Corporate Bonds 50,000 units		54,431
Federal Home Loan Mortgage Corporation Pool #M30277 5% Due 11/01/2017	Government Mortgage Backed Securities 51,390 units		54,181
National Semiconductor 3.95% Due 04/15/2015	Corporate Bonds 50,000 units		54,010
Arrow Electronics Inc. 6% Due 4/1/2020	Corporate Bonds 50,000 units		53,608
Potash Corporation of Saskatchewan, Inc. 3.75% Due 09/30/2015	Corporate Bonds 50,000 units		53,607
New York Life Global 5.375% Due 09/15/2013	Corporate Bonds 50,000 units		53,337
Lockheed Martin 4.25% Due 11/15/2019	Corporate Bonds 50,000 units		53,183
General Electric Capital Corporation 5.875% Due 1/14/2038	Corporate Bonds 50,000 units		52,979

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

CenterPoint Energy Resources Corporation 4.5% 01/15/2021	Corporate Bonds 50,000 units		52,956
Federal Home Loan Mortgage Corporation Floating Rate Due 4/15/2037	Government Mortgage Backed Securities 50,265 units		52,508
Fannie Mae Pool #550389 6.45% Due 9/1/2030	Government Mortgage Backed Securities 45,679 units		52,408
New York Life Global 3% Due 5/04/2015	Corporate Bonds 50,000 units		52,366
Norfolk Southern 6% Due 05/23/2111	Corporate Bonds 45,000 units		52,236
First Horizon Pass-Through Series 2003-7 4.5% Due 9/25/2018	Collateralized Mortgage Obligations 50,693 units		52,093
Bunge Limited Finance Corporation 5.875% Due 5/15/2013	Corporate Bonds 50,000 units		52,041
Bank of New York Inc. 2.95% Due 6/18/2015	Corporate Bonds 50,000 units		51,853
Goldman Sachs Group Inc. 6.15% Due 4/01/2018	Corporate Bonds 50,000 units		51,604
Deutsche Bank 4.875% Due 5/20/2013	Corporate Bonds 50,000 units		51,110
HSBC Finance Corporation 4.75% Due 07/15/2013	Corporate Bonds 50,000 units		51,057
Viacom Inc. 7.875% Due 7/30/2030	Corporate Bonds 40,000 units		50,888
Royal Bank of Canada 2.3% Due 07/20/2016	Corporate Bonds 50,000 units		50,827
Fifth Third Bancorp 3.625% Due 01/25/2016	Corporate Bonds 50,000 units		50,730
The Mosaic Company 3.75% Due 11/15/2021	Corporate Bonds 50,000 units		50,520
Fannie Mae Pool 5.5% Due 6/1/2036	Government Mortgage Backed Securities 46,058 units		50,348
Duke Capital Corporation 8% Due 10/01/2019	Corporate Bonds 40,000 units		50,337
Wea Finance LLC 6.75% Due 09/02/2019	Corporate Bonds 45,000 units		50,191
Freddie Mac Series 2643 Floating Rate Due 3/15/2032	Government Mortgage Backed Securities 28,564 units		49,398
Morgan Stanley 4.75% Due 4/1/2014	Corporate Bonds 50,000 units		49,254
Federal Home Loan Mortgage Corporation Pool 5.697% Due 4/1/2037	Government Mortgage Backed Securities 46,114 units		48,927
Fannie Mae Remic Trust 2009-15 Variable Rate Due 3/25/2024	Government Mortgage Backed Securities 433,499 units		48,858
SunTrust Banks Inc. 5.25% Due 11/05/2012	Corporate Bonds 47,000 units		48,167
Ginnie Mae 2009-010 Remic Pass-Through Floating Rate Due 3/16/2034	Government Mortgage Backed Securities 452,624 units		47,975
Ginnie Mae 2010-014 Remic Pass-Through Principal Only Due 6/16/2033	Government Mortgage Backed Securities 49,497 units		47,833
Nevada Power Company 5.45% Due 05/15/2041	Corporate Bonds 40,000 units		47,523
Connecticut Light & Power Company 5.65% Due 05/01/2018	Corporate Bonds 40,000 units		47,397
Dell Inc. 5.875% Due 6/15/2019	Corporate Bonds 40,000 units		46,973
Alabama Power Company 6.125% Due 05/15/2038	Corporate Bonds 35,000 units		46,602
Deutsche Bank Financial 5.375% Due 03/02/2015	Corporate Bonds 45,000 units		46,409
StatoilHydro ASA 5.25% Due 04/15/2019	Corporate Bonds 40,000 units		46,290
Federal Home Loan Mortgage Corporation Series 3171 Principal Only Due 6/15/2036	Government Mortgage Backed Securities 50,465 units		46,155
Fannie Mae Remic Trust 1993-G17 Variable Rate Due 4/25/2023	Government Mortgage Backed Securities 171,878 units		45,921
ERP Operating Limited Partnership 4.625% Due 12/15/2021	Corporate Bonds 45,000 units		45,889
Goldman Sachs 3.7% Due 8/01/2015	Corporate Bonds 46,000 units		45,066
BHP Billiton Finance USA Limited 5.5% Due 04/01/2014	Corporate Bonds 40,000 units		43,968
Talisman Energy, Inc. 7.75% Due 06/01/2019	Corporate Bonds 35,000 units		43,157
BP Capital Markets PLC 3.875% Due 3/10/2015	Corporate Bonds 40,000 units		42,712
Pitney Bowes Inc. 5.875% Due 8/15/2014	Corporate Bonds 40,000 units		42,533
Commonwealth Bank of Australia 5.0% Due 10/15/2019	Corporate Bonds 40,000 units		42,422
Allstate Life 5.375% Due 4/30/2013	Corporate Bonds 40,000 units		42,237
US Bancorp 4.125% Due 05/24/2021	Corporate Bonds 38,000 units		42,220
Wells Fargo & Company 5.5% Due 05/01/2013	Corporate Bonds 40,000 units		42,204
Principal Life Inc. 5.3% Due 12/14/2012	Corporate Bonds 40,000 units		41,632
Ginnie Mae 2008-060 Remic Pass-Through 5.5% Due 7/20/2038	Government Mortgage Backed Securities 35,000 units		41,573
Fannie Mae Pool #550387 6.45% Due 8/01/2030	Government Mortgage Backed Securities 35,010 units		40,167
PNC FDG Corporation 5.25% Due 11/15/2015	Corporate Bonds 36,000 units		39,155
Fannie Mae Remic Trust 2010-43 4.5% Due 2/25/2025	Government Mortgage Backed Securities 568,902 units		39,067
Appalachian Power Company 6.7% Due 08/15/2038	Corporate Bonds 30,000 units		38,805
Delta Air Lines Inc. 4.95% Due 5/23/2019	Corporate Bonds 38,129 units		38,605
PNC FDG Corporation 5.625% Due 2/01/2017	Corporate Bonds 35,000 units		38,111
Time Warner Cable Inc. 8.25% Due 4/01/2019	Corporate Bonds 30,000 units		37,680
Johnson Controls Inc. 4.25% Due 03/01/2021	Corporate Bonds 35,000 units		37,400
Telecom Italia Capital 6.999% Due 6/04/2018	Corporate Bonds 40,000 units		37,396
Bunge Limited Finance Corporation 8.5% Due 6/15/2019	Corporate Bonds 30,000 units		36,517
Public Service Electric & Gas 2.7% Due 5/01/2015	Corporate Bonds 35,000 units		36,487
Nationwide Mutual Insurance Company 9.375% Due 08/15/2039	Corporate Bonds 30,000 units		36,254
CME Group Inc. 5.75% Due 2/01/2014	Corporate Bonds 33,000 units		35,971
Pacific Gas & Electric Company 5.625% Due 11/30/2017	Corporate Bonds 30,000 units		35,500
Crown Castle Towers LLC 3.214% Due 08/15/2015	Corporate Bonds 35,000 units		35,391
Progress Energy 4.4% Due 01/15/2021	Corporate Bonds 32,000 units		35,273
Crh America, Inc. 6% Due 09/30/2016	Corporate Bonds 33,000 units		35,251
Boeing Company 4.875% Due 11/15/2020	Corporate Bonds 30,000 units		35,027
Norfolk Southern 7.25% Due 2/15/2031	Corporate Bonds 25,000 units		34,690
Southwestern Public Service Company 8.75% Due 12/01/2018	Corporate Bonds 25,000 units		34,146

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Goldman Sachs 3.625% Due 02/07/2016	Corporate Bonds 35,000 units		33,818
Fannie Mae Remic Trust 2006-21 5.5% Due 3/25/2029	Government Mortgage Backed Securities 32,864 units		33,802
Dominion Resources Inc. 8.875% Due 1/15/2019	Corporate Bonds 25,000 units		33,176
Kellogg Company 3.25% Due 05/21/2018	Corporate Bonds 31,000 units		32,600
Kansas City Power & Light Company 5.3% Due 10/01/2041	Corporate Bonds 30,000 units		32,290
Bank of New York Inc. 4.15% Due 02/01/2021	Corporate Bonds 30,000 units		31,760
Fannie Mae Floating Rate 2007-88 Due 9/25/2037	Government Mortgage Backed Securities 204,885 units		31,748
Target Corporation 6.35% Due 11/01/2032	Corporate Bonds 25,000 units		31,745
Gap, Inc. 5.95% Due 04/12/2021	Corporate Bonds 33,000 units		31,475
Rabobank Nederland 4.5% Due 01/11/2021	Corporate Bonds 30,000 units		31,165
Elm Road Generating Station LLC 6.09% Due 2/11/2040	Corporate Bonds 25,000 units		31,163
CSX Corporation 7.9% Due 05/01/2017	Corporate Bonds 25,000 units		31,142
Northern States Power Company 5.35% Due 11/01/2039	Corporate Bonds 25,000 units		31,051
Public Service Electric & Gas 5.375% Due 11/01/2039	Corporate Bonds 25,000 units		30,912
US Bancorp 2.45% Due 07/27/2015	Corporate Bonds 30,000 units		30,745
Devon Energy Corporation 6.3% Due 01/15/2019	Corporate Bonds 25,000 units		30,579
CVS Caremark Corporation 6.125% Due 9/15/2039	Corporate Bonds 25,000 units		30,422
PACCAR Financial Corporation 1.55% Due 09/29/2014	Corporate Bonds 30,000 units		30,353
PPG Industries Inc. 6.65% Due 03/15/2018	Corporate Bonds 25,000 units		30,245
Verizon Communications Inc. 6.1% Due 4/15/2018	Corporate Bonds 25,000 units		30,034
Southern California Edison 5.5% Due 08/15/2018	Corporate Bonds 25,000 units		29,961
Burlington Northern Santa Fe 5.75% Due 05/01/2040	Corporate Bonds 25,000 units		29,910
PepsiCo Inc. 7.9% Due 11/01/2018	Corporate Bonds 22,000 units		29,701
Berkshire Hathaway Inc. 5.75% Due 1/15/2040	Corporate Bonds 25,000 units		29,662
United Parcel Service Inc. 8.375% 4/01/2030	Corporate Bonds 20,000 units		29,295
Northwest Airlines Pass-Through Trust 1999-2 Mortgage .575% Due 3/01/2019	Asset Backed Securities 28,060 units		29,253
American Water Capital Corporation 6.085% Due 10/15/2017	Corporate Bonds 25,000 units		29,081
Public Service Company of Colorado 3.2% Due 11/15/2020	Corporate Bonds 28,000 units		29,045
Cash and cash equivalents	Cash and cash equivalents		29,029
Dell Inc. 5.65% Due 04/15/2018	Corporate Bonds 25,000 units		28,962
Xerox Corporation 6.75% Due 2/01/2017	Corporate Bonds 25,000 units		28,637
Jeffries Group 6.25% Due 1/15/2036	Corporate Bonds 35,000 units		28,619
Ginnie Mae 2001-53 Remic Trust Due 10/20/2031	Government Mortgage Backed Securities 214,447 units		28,565
Centel Capital Corporation 9.00% Due 10/15/2019	Corporate Bonds 25,000 units		28,159
CenterPoint Energy 7% Due 03/01/2014	Corporate Bonds 25,000 units		28,101
Wisconsin Power & Light Company 6.375% Due 8/15/2037	Corporate Bonds 20,000 units		27,314
National City Corporation 4.9% Due 01/15/2016	Corporate Bonds 25,000 units		27,016
Federal Home Loan Mortgage Corporation Pool #M30262 5% Due 3/1/2017	Government Mortgage Backed Securities 25,378 units		26,757
Philips Electronics 7.2% Due 6/01/2026	Corporate Bonds 20,000 units		26,505
Electric Data Systems Inc. Step Coupon 6% Due 8/01/2013	Corporate Bonds 25,000 units		26,502
Fannie Mae 5% Due 3/25/2023	Government Mortgage Backed Securities 287,788 units		26,322
Aquila Inc. Due 7/01/2012	Corporate Bonds 25,000 units		26,253
Rio Tinto Financial USA 3.75% Due 09/20/2021	Corporate Bonds 25,000 units		26,197
Jackson National Life 5.375% Due 5/08/2013	Corporate Bonds 25,000 units		26,164
Fannie Mae Remic Trust 1997-30 8% Due 5/18/2027	Government Mortgage Backed Securities 130,013 units		26,150
AGL Capital Corporation 5.875% Due 03/15/2041	Corporate Bonds 22,000 units		26,026
Glitnir Banki HF Medium Term In Default 6.375% Due 9/25/2012	Corporate Bonds 100,000 units		26,000
CNA Financial Corporation 5.875% Due 8/15/2020	Corporate Bonds 25,000 units		25,681
Nordstrom, Inc. 4% Due 10/15/2021	Corporate Bonds 24,000 units		25,018
American Water Capital Corporation 6.593% Due 10/15/2037	Corporate Bonds 20,000 units		24,640
Cisco Systems Inc. 5.5% Due 01/15/2040	Corporate Bonds 20,000 units		24,471
Nomura Holdings Inc. 4.125% Due 01/19/2016	Corporate Bonds 25,000 units		24,397
Continental Airlines Pass-Through Trust 2007-1A 5.983% Due 04/19/2022	Corporate Bonds 23,237 units		24,194
Union Pacific Corporation 5.45% Due 1/31/2013	Corporate Bonds 23,000 units		24,127
ERAC USA Finance LLC 2.25% Due 01/10/2014	Corporate Bonds 24,000 units		23,900
Macquarie Group Limited 6.25% Due 01/14/2021	Corporate Bonds 25,000 units		23,884
General Mills Inc. 5.65% Due 2/15/2019	Corporate Bonds 20,000 units		23,734
Viacom Inc. 3.875% due 12/15/2021	Corporate Bonds 23,000 units		23,480
Cisco Systems Inc. 4.45% Due 01/15/2020	Corporate Bonds 20,000 units		22,739
Goldman Sachs 5.25% Due 07/27/2021	Corporate Bonds 23,000 units		22,437
Northrop Grumman 5.05% Due 08/01/2019	Corporate Bonds 20,000 units		22,296
Banc America Mortgage Securities Inc. Series 2003-8 4.5% Due 10/25/2033*	Collateralized Mortgage Obligations 22,066 units		22,034
Ginnie Mae 2008-071 Remic Pass-Through Floating Rate Due 8/20/2038	Government Mortgage Backed Securities 155,140 units		21,821
Charles Schwab Corporation 4.95% Due 6/01/2014	Corporate Bonds 20,000 units		21,675
Pitney Bowes Inc. 6.25% Due 3/15/2019	Corporate Bonds 20,000 units		21,653

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

United States Treasury Bonds Inflation Index 3.875% Due 4/15/2029	Index Linked Government Bonds 10,000 units		21,464
State Street Corporation 4.3% Due 5/30/2014	Corporate Bonds 20,000 units		21,405
Allied Waste North America Inc. 6.875% Due 06/01/2017	Corporate Bonds 20,000 units		21,150
CNA Financial Corporation 5.85% Due 12/15/2014	Corporate Bonds 20,000 units		21,074
Fannie Mae 2009-18 5% Due 3/25/2024	Government Mortgage Backed Securities 224,292 units		20,952
Morgan Stanley 5.3% Due 3/01/2013	Corporate Bonds 20,000 units		20,245
Citigroup Inc. 5.875% Due 5/29/2037	Corporate Bonds 20,000 units		19,975
Fannie Mae Remic Series 2008-80 5.60825% Due 9/25/2038	Government Mortgage Backed Securities 160,507 units		19,202
American Airlines Pass Through Trust 5.25% Due 07/31/2022	Corporate Bonds 19,970 units		18,573
Ryder Systems Inc. 3.6% Due 3/16/2016	Corporate Bonds 18,000 units		18,570
Nucor Corporation 5.85% Due 06/01/2018	Corporate Bonds 15,000 units		17,896
Berkshire Hathaway Inc. 2.45% Due 12/15/2015	Corporate Bonds 17,000 units		17,625
Medco Health 7.125% Due 03/15/2018	Corporate Bonds 15,000 units		17,484
Dow Chemical Company 4.125% Due 11/15/2021	Corporate Bonds 17,000 units		17,437
American Airlines 2011-2 8.625% Due 04/15/2023	Corporate Bonds 17,000 units		17,340
Waste Management Inc. 4.6% Due 03/01/2021	Corporate Bonds 16,000 units		17,338
ACE INA Holdings Inc. 5.6% Due 5/15/2015	Corporate Bonds 15,000 units		16,733
SABMiller PLC 5.7% Due 01/15/2014	Corporate Bonds 15,000 units		16,267
Federal Home Loan Mortgage Corporation Series 3219 6% Due 4/15/2036	Government Mortgage Backed Securities 109,603 units		15,930
San Diego Gas & Electric 3.95% Due 11/15/2041	Corporate Bonds 14,000 units		14,337
Fannie Mae Preassign 00470 7% Due 6/25/2033	Government Mortgage Backed Securities 81,460 units		14,100
Public Service Company of Oklahoma 4.4% Due 02/01/2021	Corporate Bonds 13,000 units		14,089
Shell International Finance BV 6.375% Due 12/15/2038	Corporate Bonds 10,000 units		13,763
Federal Home Loan Mortgage Corporation Series 3058 0% Due 10/15/2035	Government Mortgage Backed Securities 14,422 units		13,638
Federal Home Loan Mortgage Corporation Series 2684 0% Due 10/15/2033	Government Mortgage Backed Securities 13,653 units		13,617
Amerada Hess Corporation 7.875% Due 10/01/2029	Corporate Bonds 10,000 units		13,435
Wal-Mart Stores Inc. 6.2% Due 4/15/2038	Corporate Bonds 10,000 units		13,429
Southern Company 1.95% Due 09/01/2016	Corporate Bonds 13,000 units		13,123
Fannie Mae Remic Trust 2008-53 Variable Rate Due 7/25/2038	Government Mortgage Backed Securities 89,199 units		12,857
CBS Corporation 8.875% Due 05/15/2019	Corporate Bonds 10,000 units		12,844
Florida Power & Light Company 5.95% Due 10/01/2033	Corporate Bonds 10,000 units		12,790
AT&T Inc. 6.4% Due 5/15/2038	Corporate Bonds 10,000 units		12,354
Lincoln National Corporation 4.85% Due 06/24/2021	Corporate Bonds 12,000 units		12,225
Kroger Company 6.15% Due 1/15/2020	Corporate Bonds 10,000 units		12,135
Fannie Mae Remic Series 2009-9 5% Due 2/25/2024	Government Mortgage Backed Securities 121,645 units		12,012
Kroger Company 5.4% Due 7/15/2040	Corporate Bonds 11,000 units		11,851
Federal Home Loan Mortgage Corporation Series 2326 6.5% Due 6/15/2031	Government Mortgage Backed Securities 9,841 units		11,369
News America Inc. 6.65% Due 11/15/2037	Corporate Bonds 10,000 units		11,329
Aon Corporation 3.5% Due 9/30/2015	Corporate Bonds 11,000 units		11,288
BAE Systems Holdings Inc. 5.2% Due 8/15/2015	Corporate Bonds 10,000 units		10,752
AIG Sunamerica Global Financing X 6.9% Due 03/15/2032	Corporate Bonds 10,000 units		10,592
Burlington Northern Santa Fe 3.45% Due 09/15/2021	Corporate Bonds 10,000 units		10,307
Citigroup Inc. 4.75% Due 05/19/2015	Corporate Bonds 10,000 units		10,128
Rabobank Nederland 2.125% Due 10/13/2015	Corporate Bonds 10,000 units		9,799
Ginnie Mae 2003-076 Remic Pass-Through Variable Rate Due 9/20/2031	Government Mortgage Backed Securities 135,403 units		9,639
General Electric Capital Corporation 5.3% Due 02/11/2021	Corporate Bonds 9,000 units		9,621
Citigroup Inc. 6.125% Due 8/25/2036	Corporate Bonds 10,000 units		8,650
PSEG Power LLC 4.15% Due 09/15/2021	Corporate Bonds 8,000 units		8,309
Lehman Brothers Holdings Inc. 6.2% Due 9/26/2014	Corporate Bonds 30,000 units		7,913
Shell International Finance 3.1% Due 6/28/2015	Corporate Bonds 7,000 units		7,505
Newell Rubbermaid 4.7% Due 8/15/2020	Corporate Bonds 7,000 units		7,394
Bear Stearns Asset Backed Securities Trust Adjustable Rate Due 12/25/2033	Asset Backed Securities 8,443 units		7,062
Federal Home Loan Mortgage Corporation Preassign 00482 6.5% Due 3/15/2033	Government Mortgage Backed Securities 35,911 units		6,507
John Deere Owner 1.28999996185% Due 01/15/2016	Asset Backed Securities 5,000 units		5,028
Residential Asset Mortgage Products Inc. Floating Rate Due 3/25/2033	Asset Backed Securities 2,394 units		1,620
Xcel Energy, Inc. 4.8% Due 09/15/2041	Corporate Bonds 1,000 units		1,090
Wisconsin Electric Power Company 2.95% Due 09/15/2021	Corporate Bonds 1,000 units		1,019
Lehman Brothers Holdings Inc. 6.5% Due 7/19/2017	Corporate Bonds 180,000 units		18
Lehman Brothers Holdings Inc. 6.75% Due 12/28/2017	Corporate Bonds 130,000 units		13
Lehman Brothers Holdings Inc. 5.857%	Corporate Bonds 10,000 units		1

Total Fixed Income Asset Class				177,197,163

High Yield Asset Class:
Blackrock High Yield Bond Fund*	Mutual Fund 7,449,761 units		55,053,733
Northern Trust Global Investments Collective Daily Short Term Investment Fund*	Common Collective Trust 3,066,442 units		3,066,442

Total High Yield Asset Class				58,120,175

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Inflation Protection Asset Class:
Vanguard Inflation Protected Fund	Mutual Fund 1,354,322 units		37,528,268
Northern Trust Global Investments Collective Daily Tips Index Fund – Non Lending*	Common Collective Trust 18,139 units		2,385,874

Total Inflation Protection Asset Class				39,914,142

International Growth Asset Class:
GE Investments International Equity Fund	Mutual Fund 8,647,534 units		81,546,245
Artisan International Fund	Common Collective Trust 2,321,830 units		30,532,066
Northern Trust Global Investments Collective Daily EAFE Index Fund*	Common Collective Trust 49,302 units		9,190,641
Cash and cash equivalents	Cash and cash equivalents		11,686
Northern Trust Global Investments Collective Daily Short Term Investment Fund*	Common Collective Trust 96 units		96

Total International Growth Asset Class				121,280,734

International Value Asset Class:
Dodge & Cox International Fund	Mutual Fund 5,265,883 units		153,974,432
Northern Trust Global Investments Collective Daily EAFE Index Fund*	Common Collective Trust 62,716 units		11,691,206
Cash and cash equivalents	Cash and cash equivalents		42,364

Total International Value Asset Class				165,708,002

Large Cap Growth Asset Class:
Northern Trust Global Investments Collective Daily Russell 1000 Growth Index Fund – Non Lending*	Common Collective Trust 124,272 units		20,001,119
Apple Inc.	Common Stock 38,440 shares		15,568,198
Google Inc. Class A	Common Stock 18,920 shares		12,220,428
Visa Inc. Class A	Common Stock 104,280 shares		10,587,549
Qualcomm Inc.	Common Stock 167,700 shares		9,173,190
Amazon.com Inc.	Common Stock 49,730 shares		8,608,263
Allergan Inc.	Common Stock 64,060 shares		5,620,624
Schlumberger Limited	Common Stock 78,310 shares		5,349,356
Alexion Pharmaceuticals Inc.	Common Stock 24,580 shares		5,332,470
Salesforce.com Inc.	Common Stock 51,630 shares		5,238,380
F5 Networks Inc.	Common Stock 44,530 shares		4,725,523
Northern Trust Global Investments Collective Daily Short Term Investment Fund*	Common Collective Trust 4,652,195 units		4,652,195
Nike Inc. Class B	Common Stock 54,800 shares		4,577,575
Starbucks Corporation	Common Stock 97,430 shares		4,482,754
priceline.com Inc.	Common Stock 9,330 shares		4,363,734
Coach Inc.	Common Stock 69,580 shares		4,247,163
Oracle Corporation	Common Stock 153,460 shares		3,936,249
Intuitive Surgical, Inc.	Common Stock 8,120 shares		3,759,641
National Oilwell Varco	Common Stock 54,800 shares		3,725,852
IntercontinentalExchange, Inc.	Common Stock 30,420 shares		3,667,131
Praxair Inc.	Common Stock 33,280 shares		3,557,632
Precision Castparts Corporation	Common Stock 21,100 shares		3,477,069
Las Vegas Sands Corporation	Common Stock 81,160 shares		3,467,967
FMC Technologies Inc.	Common Stock 56,000 shares		2,924,880
W.W. Grainger Inc.	Common Stock 15,000 shares		2,807,850
Coca-Cola Company	Common Stock 39,610 shares		2,771,512
American Tower Corporation Class A	Common Stock 45,130 shares		2,708,251
Costco Wholesale Corporation	Common Stock 31,910 shares		2,658,742
ASML Holding	Common Stock 60,000 shares		2,507,400
EMC Corporation	Common Stock 111,560 shares		2,403,002
American Express Company	Common Stock 50,840 shares		2,398,123
Ametek Inc.	Common Stock 29,170 shares		2,380,545
Anadarko Petroleum Corporation	Common Stock 16,050 shares		2,226,547
Estee Lauder Companies Inc. Class A	Common Stock 19,810 shares		2,225,059
Joy Global Inc.	Common Stock 28,680 shares		2,150,140
Baker Hughes Inc.	Common Stock 43,820 shares		2,131,405
Whole Foods Market Inc.	Common Stock 30,390 shares		2,114,536
Expeditors International of Washington Inc.	Common Stock 50,920 shares		2,085,683
Illumina, Inc.	Common Stock 62,000 shares		1,889,760
Biogen Idec Inc.	Common Stock 16,830 shares		1,852,142
Accenture PLC	Common Stock 34,570 shares		1,840,162
Monster Beverage Corporation	Common Stock 19,960 shares		1,839,114
Cognizant Technology Solutions Corporation Class A	Common Stock 27,770 shares		1,785,888

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

	### ###		### ###	### ###
Identity of Issue	Description of Investment	Current Value

Limited Brands	Common Stock 43,560 shares		1,757,646
Southwestern Energy	Common Stock 54,000 shares		1,724,760
Halliburton Company	Common Stock 47,810 shares		1,649,923
Charles Schwab Corporation	Common Stock 145,000 shares		1,632,700
CSX Corporation	Common Stock 76,400 shares		1,608,984
Avago Technologies Limited	Common Stock 55,260 shares		1,594,804
Citrix Systems, Inc.	Common Stock 26,210 shares		1,591,471
Johnson & Johnson	Common Stock 24,150 shares		1,583,757
Wal-Mart Stores Inc.	Common Stock 25,500 shares		1,523,880
Noble Energy Inc.	Common Stock 15,770 shares		1,488,530
C H Robinson Worldwide Inc.	Common Stock 21,000 shares		1,465,380
Nordstrom Inc.	Common Stock 27,880 shares		1,385,915
Discover Financial Services	Common Stock 54,810 shares		1,315,440
Stryker Corporation	Common Stock 26,400 shares		1,312,344
T Rowe Price Group Inc.	Common Stock 22,720 shares		1,293,904
Plains Exploration & Production Company	Common Stock 34,700 shares		1,274,184
Ecolab, Inc.	Common Stock 21,500 shares		1,242,915
Baxter International Inc.	Common Stock 24,280 shares		1,201,374
Shire PLC	Common Stock 11,020 shares		1,144,978
Freeport-McMoran Copper & Gold Inc.	Common Stock 30,868 shares		1,135,634
Agilent Technologies Inc.	Common Stock 32,460 shares		1,133,828
TJX Companies Inc.	Common Stock 17,400 shares		1,123,170
Mastercard, Inc. Class A	Common Stock 3,000 shares		1,118,460
Sherwin-Williams Company	Common Stock 12,470 shares		1,113,197
Marathon Oil Corporation	Common Stock 37,950 shares		1,110,797
Chipotle Mexican Grill Inc.	Common Stock 3,280 shares		1,107,787
Covidien PLC	Common Stock 24,520 shares		1,103,645
Skyworks Solutions Inc.	Common Stock 67,030 shares		1,087,227
ebay Inc.	Common Stock 35,480 shares		1,076,108
CBS Corporation Class B	Common Stock 39,640 shares		1,075,830
Chevron Corporation	Common Stock 10,000 shares		1,064,000
Baidu, Inc.	Common Stock 9,100 shares		1,059,877
The Mosaic Company	Common Stock 20,770 shares		1,047,431
Dentsply International,Inc.	Common Stock 29,640 shares		1,037,104
CF Industries Holdings, Inc.	Common Stock 7,080 shares		1,026,458
Tiffany & Company	Common Stock 15,240 shares		1,009,802
Perrigo Company	Common Stock 10,300 shares		1,002,190
Occidental Petroleum Corporation	Common Stock 10,690 shares		1,001,653
Cardinal Health Inc.	Common Stock 24,500 shares		994,945
Cerner Corporation	Common Stock 16,140 shares		988,575
Bed Bath & Beyond Inc.	Common Stock 17,050 shares		988,389
VMware Inc.	Common Stock 11,820 shares		983,306
AmerisourceBergen Corporation	Common Stock 26,380 shares		981,072
Stericycle, Inc.	Common Stock 12,510 shares		974,779
Tempur-Pedic International, Inc.	Common Stock 18,450 shares		969,179
Check Point Software Technologies	Common Stock 18,290 shares		960,957
Parker-Hannifin Corporation	Common Stock 12,590 shares		959,988
Red Hat Inc.	Common Stock 23,050 shares		951,735
Church & Dwight Inc.	Common Stock 20,580 shares		941,741
Monsanto Company	Common Stock 13,320 shares		933,332
Teradata Corporation	Common Stock 19,170 shares		929,937
Norfolk Southern Corporation	Common Stock 12,720 shares		926,779
Nvidia Corporation	Common Stock 66,820 shares		926,125
Wynn Resorts Limited	Common Stock 8,370 shares		924,801
Valeant Pharmaceuticals International Inc.	Common Stock 19,180 shares		895,514
ENSCO PLC	Common Stock 18,940 shares		888,665
Regeneron Pharmaceuticals, Inc.	Common Stock 16,000 shares		886,880
Chicago Bridge & Iron Company	Common Stock 23,460 shares		886,788
Eaton Corporation	Common Stock 20,240 shares		881,047
Intuit Inc.	Common Stock 16,280 shares		856,165
Lululemon Athletica Inc.	Common Stock 18,330 shares		855,278
JP Morgan Chase & Company	Common Stock 25,710 shares		854,858
Broadcom Corporation Class A	Common Stock 29,070 shares		853,495
Dick’s Sporting Goods, Inc.	Common Stock 23,100 shares		851,928
Netflix Inc.	Common Stock 12,000 shares		831,480

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

	### ###		### ###		### ###
Identity of Issue	Description of Investment	Current Value

Abercrombie & Fitch Company	Common Stock 16,820 shares		821,489
Potash Corporation of Saskatchewan, Inc.	Common Stock 19,350 shares		798,768
CME Group, Inc.	Common Stock 3,250 shares		791,928	&n

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