Edgar Filing: AMERICAN ELECTRIC POWER CO INC

q20711k.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 11-K

(Mark One)

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

For the fiscal year ended December 31, 2006

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

For the transition period from to

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

(Full title of the plan)

AMERICAN ELECTRIC POWER COMPANY, INC.

1 Riverside Plaza, Columbus, Ohio 43215

(Name of issuer of the securities held

pursuant to the plan and the address

of its principal executive office)

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN

TABLE OF CONTENTS



SIGNATURES

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

FINANCIAL STATEMENTS:
	Statements of Net Assets Available for Benefits as of December 31, 2006 and 2005

	Statements of Changes in Net Assets Available for Benefits for the Years Ended December 31, 2006 and 2005

	Notes to Financial Statements as of December 31, 2006 and 2005, and for the Years then Ended

SUPPLEMENTAL SCHEDULE:
	Schedule of Assets (Held at End of Year) as of December 31, 2006

EXHIBITS:
	Exhibit Index

	Consent of Independent Registered Public Accounting Firm

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Benefits Finance Committee has duly caused this annual report to be signed by the undersigned thereunto duly authorized.

	By: /s/ Stephan T. Haynes
	Stephan T. Haynes, Secretary

Date: July 12, 2007

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

American Electric Power Service Corporation, as Plan Administrator:

We have audited the accompanying statements of net assets available for benefits of the American Electric Power System Retirement Savings Plan (the “Plan”) as of December 31, 2006 and 2005, 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 standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in 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 Plan management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2006 and 2005, and the changes in net assets available for benefits for the years then ended in conformity with accounting principles generally accepted in the United States of America.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule listed in the Table of Contents is presented for the purpose of additional analysis and is not a required part of the basic financial statements but is 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. This supplemental schedule is the responsibility of the Plan's management. The supplemental schedule has been subjected to the auditing procedures applied in our audit of the basic 2006 financial statements and, in our opinion, is fairly stated in all material respects when considered in relation to the basic 2006 financial statements taken as a whole.

/s/ Deloitte & Touche LLP

Columbus, Ohio

July 12, 2007

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS AS OF

DECEMBER 31, 2006 AND 2005

	2006		2005
ASSETS
Investments:
Participant – directed investments (at fair value)	$	2,895,323,884	$	2,781,045,544
Participant Loans		55,239,294		55,014,826
Total Investments	$	2,950,563,178	$	2,836,060,370

NET ASSETS AVAILABLE FOR BENEFITS AT FAIR VALUE	$	2,950,563,178	$	2,836,060,370

See notes to financial statements.

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

FOR THE YEARS ENDED DECEMBER 31, 2006 AND 2005

	2006			2005
NET INVESTMENT INCOME
Interest	$	44,815,428		$	37,173,823
Dividends		29,661,277			59,184,701
Net Appreciation in Fair Value of Investments		216,080,147			87,773,142
TOTAL		290,556,852			184,131,666

CONTRIBUTIONS
Participants		145,140,492			131,405,750
Employer		60,107,657			55,007,584
TOTAL		205,248,149			186,413,334

Distributions To Participants		(377,061,437	)		(242,978,237	)

ADMINISTRATIVE AND MANAGEMENT FEES
Professional Fees		(480,436	)		(201,733	)
Investment Advisory and Management Fees		(3,501,192	)		(1,896,276	)
Other Fees		(259,128	)		(58,343	)
TOTAL		(4,240,756	)		(2,156,352	)

INCREASE IN NET ASSETS		114,502,808			125,410,411

NET ASSETS AVAILABLE FOR BENEFITS BEGINNING OF YEAR		2,836,060,370			2,710,649,959

NET ASSETS AVAILABLE FOR BENEFITS END OF YEAR	$	2,950,563,178		$	2,836,060,370

See notes to financial statements.

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS FOR THE YEARS ENDED DECEMBER 31, 2006 AND 2005

1. PLAN DESCRIPTION

The following description of the American Electric Power System Retirement Savings Plan (the “Plan”) is provided for general information purposes only. Participants should refer to the Plan documents for more complete information.

The Plan is a defined contribution plan that became effective and commenced operations on January 1, 1978. The Plan covers eligible regularly scheduled full-time and part-time employees of the participating subsidiaries of American Electric Power Company, Inc. (“AEP” or the “Company”). Eligible employees may enroll in the Plan upon commencement of employment. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”). Generally, eligible employees participating in the Plan may make contributions (as pre-tax, after-tax or, effective beginning July 1, 2006, designated Roth 401(k) contributions) in 1% increments up to 30% of their eligible pay (within IRS limits). That 30% limit will be increased to 50% effective beginning July 1, 2007. Participants who are age 50 and older are able to save additional pre-tax or Roth 401(k) dollars; the catch-up contribution limit was $5,000 and $4,000 for 2006 and 2005, respectively. The Company contributes to the Plan, on behalf of each participant, an amount equal to 75% of the participant’s contributions up to 6% of the participant’s eligible compensation for each payroll period, subject to certain limitations. All contributions are deposited to the American Electric Power System Retirement Savings Plan Trust after each pay period. The Plan, in a manner consistent with the requirements under section 401 et seq., of the Internal Revenue Code, restricts the amount that certain participants who are deemed highly compensated may contribute to the Plan. Participants are allowed to change investment elections, change investment percentages in the funds, or move existing fund balances on a daily basis. Participants are immediately vested in their pre-tax, after-tax, Roth 401(k) and the Company matching contributions, including earnings thereon.

American Electric Power Service Corporation (“AEPSC”) is the plan administrator (Plan Administrator) and plan sponsor (Plan Sponsor). AEPSC is a wholly-owned subsidiary of AEP. Until July 1, 2006, Fidelity Management Trust Company (“Fidelity”) was the trustee for all funds and the record keeper for the entire Plan.

Effective July 1, 2006, Fidelity Management Trust Company was replaced by JP Morgan Chase Bank N.A. as custodian and trustee and JP Morgan Retirement Plan Services LLC as record keeper with respect to the Plan. Also effective July 1, 2006, the investment options offered by the Plan were changed to a series of separately managed accounts, interests in commingled and collective trusts and self-directed mutual fund brokerage accounts for which JP Morgan affiliates provide custody, trustee, recordkeeping and other services.

The AEP Stock Fund, a Plan investment option, is an Employee Stock Ownership Plan (“ESOP”). As a result, participants can elect to have dividends generated from their AEP Stock Fund holdings paid out in cash, rather than automatically reinvested in the fund. The dividend payouts are made periodically, but no less often than annually, and are treated as ordinary income for tax purposes. The 10 percent early withdrawal penalty for individuals under age 59-1/2 does not apply to these dividend payouts.

Participants may transfer the value of their own cumulative contributions, in any whole percentage or dollar amount, among investments, and change their investment elections on a daily basis. Participants may change their payroll contribution elections coinciding with Company payroll periods. Excluding their pre-tax and Roth 401(k) contributions, participants may make an unlimited number of withdrawals of their interest in the Plan, including Company matching contributions, which are immediately vested. Pre-tax and Roth 401(k) contributions are not eligible for withdrawal by participants not yet age 59-1/2, except under hardship as defined by the Plan or severance of employment.

Participants may borrow from their savings plan accounts, a minimum of $1,000 but no more than the lesser of $50,000 or 50% of their account balance. Loan terms range from 12 months to 60 months (or up to 180 months for certain residential loans), or any monthly increment in-between. Interest rates, fixed for the life of the loan, are calculated by adding 1% to the prime rate, as reported in the Wall Street Journal. For loans taken before July 1, 2006, the interest rate is in effect as of the first business day of the calendar quarter in which the loan is taken. For loans taken after July 1, 2006, the interest rate is in effect as of the first business day of the calendar month in which the loan is taken. Active employees make principal and interest payments through payroll deductions.

Retirees/surviving spouses may make monthly payments using a coupon book or through automatic withdrawal from their bank account. Participant loans and the accrued interest are collateralized by the account balance, and upon default, the outstanding balance is subjected to income taxes and possibly penalty taxes.

2. ACCOUNTING POLICIES

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

Certain amounts in the 2005 financial statements have been reclassified to conform with the 2006 presentation.

Investments are reported in the Statements of Net Assets Available for Benefits at fair value, except for its benefit responsive investment contract investments, which are stated at contract value.

The shares of AEP common stock held in the AEP Stock Fund investments are valued at year-end quoted stock closing prices.

Quoted market prices are used to value investments (including, but not limited to, the shares of AEP common stock held in the AEP Stock Fund), except investments in registered investment companies, collective trust funds or commingled funds, which are stated at estimated fair values based on the value of the underlying securities and assets as provided by the Trustee. All participant loans are valued at the outstanding loan balances.

The Managed Income Fund includes investment contracts valued at contract value, which is equal to cost (contributions), plus interest, less withdrawals. As described in Financial Accounting Standards Board Staff Position, FSP AAG INV-1, Reporting of Fully Benefit-Responsive Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare and Pension Plans (the “FSP AAG INV-1”), investment contracts held by a defined-contribution plan are required to be reported at fair value. The Plan adopted FSP AAG INV-1 in 2006. The adoption did not have a material effect on the Plan’s financial statements as interest rates are adjusted to the market quarterly. Accordingly, contract value approximates fair value.

Purchases and sales of securities have been recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. These amounts are reinvested by the Trustee in the same funds that generated such income with the exception of the AEP Stock Fund, which pays out or reinvests dividends at each participant direction.

Administrative and Management Fees paid to both Fidelity and JPMorgan for 2006 totaled $1,941,205 and such fees paid to Fidelity for 2005 totaled $904,495. The structure for the payment of the Plan’s administrative and management fees changed in connection with the transition from Fidelity to JPMorgan effective July 1, 2006 (as described in Footnote 1). Prior to July 1, 2006, the Plan was not charged separate fees to Fidelity for recordkeeping services. Fidelity received compensation in the form of management fees directly from the Plan’s holdings in various mutual funds as many of the holdings were managed by Fidelity. Effective July 1, 2006, the Plan directly pays for administrative, recordkeeping and management fees.

Distributions are recorded when paid. There were no material amounts due to participants who requested distributions from the Plan as of December 31, 2006 and 2005.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of net assets available for benefits and changes therein. Actual results could differ from those estimates.

The Plan utilizes various investment instruments, including common stock, bonds, commingled funds and investment contracts. Investment securities, in general, are exposed to various risks, such as interest rate, credit, and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

3. INVESTMENT CONTRACTS

During the year ended December 31, 2005 and the six month period ended June 30, 2006, the Plan had a Managed Income Fund with Fidelity as trustee, which invested primarily in fully benefit responsive investment contracts. Fidelity maintained the assets in a custodian account. There were no reserves against contract value for credit risk of the contract issuer or otherwise. The account was credited with earnings on the underlying investments and charged for Plan withdrawals (credited interest rates ranged from 5.65% to 4.05% and 5.65% to 3.76% for 2006 and 2005, respectively). The average yield for each investment contract ranged from 5.04% to 4.16% and 4.16% to 3.87% for fiscal years ending December 31, 2006 and 2005, respectively. The investment is recorded in the 2005 financial statements based on the contract value of the underlying investment contracts as reported to the Plan by Fidelity. Contract value represents contributions made under the contract, plus earnings, less withdrawals. All investment contracts maintained by Fidelity were terminated in June of 2006 as part of the transfer of recordkeeping and investment functions from Fidelity to JPMorgan Retirement Plan Services LLC.

At December 31, 2006, the Managed Income Fund provides a self managed stable value investment option to participants that includes synthetic guaranteed investment contracts (“GIC”) which simulates the performance of a guaranteed investment contract through an issuer’s guarantee of a specific interest rate (the wrapper contract) and a portfolio of financial instruments that are owned by the Plan. The Plan entered into four synthetic GIC contracts in July 2006. The synthetic GIC contracts include underlying assets which are held in a trust owned by the Plan and utilizes benefit-responsive wrapper contracts issued by four banking institutions. The contracts provide that participants execute plan transactions at contract value. Contract value represents contributions made to the fund, plus earnings, less participant withdrawals. The interest rates are reset quarterly based on market rates of other similar investments, the current yield of the underlying investments and the spread between the market value and contract value, but the rate cannot be less than 0%. Certain events such as plan termination or a plan merger initiated by the Plan Sponsor, may limit the ability of the Plan to transact at contract value or may allow for the termination of the wrapper contract at less than contract value. The Plan Sponsor does not believe that any events that may limit the ability of the plan to transact at contract value are probable. At December 31, 2006 the credited rate and the average yield based on annualized earnings and interest credited to participants was 5.50% and 5.29%, respectively.

4. INVESTMENTS EXCEEDING 5% OF PLAN NET ASSETS

Investments exceeding five percent of net assets as of December 31, 2006 and 2005 were:

	FAIR VALUE
	2006		2005
American Electric Power Company, Inc. Common Stock	$	401,083,727	$	517,452,122

Fidelity Blue Chip Growth Fund	$	-	$	245,710,255

Fidelity US Equity Index Commingled Pool	$	-	$	211,263,445

Morgan Guaranty Act Contract	$	-	$	206,692,392

Bank of America Contract	$	-	$	206,691,132

State Street Bank & Trust Company Contract	$	-	$	206,691,243

Rabobank Nederland Contract	$	-	$	206,684,414

Fidelity Low-Priced Stock Fund	$	-	$	152,202,523

Intermediate Bond Fund - JPMorgan Chase Bank	$	828,681,084	$	-

EB Daily Liquidity Aggregate Bond Index Fund	$	185,242,997	$	-

EB Daily Liquidity Stock Index Fund	$	339,905,703	$	-

5. NET APPRECIATION IN FAIR VALUE OF INVESTMENTS

During 2006 and 2005, the Plan's investments (including investments purchased, sold as well as held during the year) appreciated in value as follows:

	Year Ended December 31,
	2006		2005
Investment at Fair Value:
American Electric Power Company, Inc. – Common Stock	$	50,371,670	$	39,600,019

Investments at Estimated Fair Value:
Securities, Mutual Funds and Group Annuity, Bank Investment and Other Fixed Income Contracts	$	165,708,477	$	48,173,123
Total Net Appreciation	$	216,080,147	$	87,773,142

6. FEDERAL INCOME TAX

The Internal Revenue Service (IRS) has determined that the Plan meets the requirements of Section 401(a) of the Internal Revenue Code (the Code); therefore, the Plan’s Trust is exempt from federal income tax pursuant to Section 501(a) of the Code.

The Plan obtained its latest determination letter on February 15, 2005, in which the IRS stated that the Plan, as then designed, was in compliance with the applicable requirements of the Code; provided however, the letter merely acknowledges receipt of (without approving) the provisions intended to satisfy the requirements of the Code, as amended by the Economic Growth and Tax Relief Reconciliation Act of 2001 (“EGTRRA”) and it contemplates that AEP will make some additional changes to the plan documents that were proposed in correspondence sent to the IRS in connections with its determination letter application. Those changes were made pursuant to documents signed on May 11, 2005.

On January 30, 2007, the Company submitted an application to the IRS for an updated determination letter with respect to compliance of the Plan and its trust with the applicable requirements of the Code. That application remains pending. The Company may timely further amend the Plan so that it remains in compliance with the requirements of the Code. The Company and Plan management believe that the Plan is currently designed and operated in compliance with the applicable requirements of the Code, and the Plan continues to be tax-exempt. Therefore, no provision for income taxes has been included in the Plan’s financial statements.

Under current income tax laws and regulations, participants are not subject to federal income tax on the employer contributions to their accounts or on the accumulated earnings on employee and Company contributions until such amounts are distributed to participants. Employees have the option to make contributions to the Plan on a pre-tax basis, in which case federal income tax is deferred until such amounts are distributed. Effective beginning July 1, 2006, employees have the option to make designated Roth Contributions to the Plan, in which case federal income tax does not apply to accumulated earnings distributed as part of a qualified distribution.

7. PLAN TERMINATION

Although it has not expressed any intent to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA. In the event of Plan termination, participants remain 100 percent vested in their accounts.

8. EXEMPT PARTY-IN-INTEREST TRANSACTIONS

Certain transactions involving the Plan and its assets involved parties in interest with respect to the Plan, but those transactions were not prohibited transactions under ERISA because of the applicability of one or more exemptions. The exempt party-in-interest transactions involving the Plan included the following: While Fidelity Management Trust Company was acting as trustee and custodian and record keeper under the plan, its affiliate was acting as the investment manager or investment advisor with respect to certain mutual funds made available as investment options under the Plan. While JPMorgan Chase Bank, N.A., was acting as trustee and custodian under the Plan, its affiliates have been acting as investment manager for a number of the Plan’s investment options, the Plan’s record keeper and investment advisor or investment manager for a number of plan participants with respect to the amounts held in their plan.

At December 31, 2006 and 2005, the Plan held 9,420,072 and 13,951,257 shares, respectively of common stock of American Electric Power, Inc., the parent company and Plan Sponsor, with a cost basis of $303,523,152 and $449,014,903, respectively. During the years ended December 31, 2006 and 2005, the Plan recorded dividend income of $18,700,272 and $19,772,636, respectively.

9. LEGAL ISSUES

Kermit Bridges v. American Electric Power Company, Inc. et al.; John N. Suhayda v. American Electric Power Company, Inc. et al.; and Selena Plentl v. American Electric Power Company, Inc. et al. In the fourth quarter of 2002 and the first quarter of 2003, three putative class action lawsuits were filed on behalf of the Plan against American Electric Power Company, Inc., certain AEP Executives, and AEP’s ERISA Plan Administrator alleging violations of ERISA in the selection of AEP Stock as an investment alternative and in the allocation of assets to AEP stock. The complaint requested compensation for losses suffered by the Plan, plus equitable relief, costs, attorney fees and other relief the court considers appropriate. The ERISA actions were originally pending in Federal District Court in Columbus, Ohio. In July 2006, following the withdrawal of two of the plaintiffs, the Federal District Court entered judgment denying the remaining plaintiff’s motion for class certification and dismissing all claims without prejudice. In August 2006, the plaintiff filed a notice of appeal of that judgment in the U.S. Court of Appeals for the Sixth Circuit. The parties have filed briefs, and the Court will hear the oral argument on July 27, 2007. The U.S. Department of Labor has intervened and filed a brief in support of the plaintiff, now appellant, and has been allocated part of appellant’s oral argument time. The position of the defendants, now appellees, is that the Order of the Federal District Court should be affirmed. The outcome of the appeal cannot be determined at this time. However, a recent opinion issued by the U.S. Court of Appeals for the Seventh Circuit raising a similar issue was decided in favor of the plaintiff/appellant, and there are similar cases pending before other courts.

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

SUPPLEMENTAL SCHEDULE OF ASSETS HELD AS OF DECEMBER 31, 2006

Identity of Issuer, Borrower, Lessor or Similar Party	Number of SHARES/UNITS		FAIR VALUE
INVESTMENT CONTRACTS:
Stable Value Wrap Bank of America variable annual yield (5.5% at December 31, 2006) with an indeterminate maturity date		-	$	2,490,315
Stable Value Wrap UBS variable annual yield (5.5% at December 31, 2006) with an indeterminate maturity date		-		2,490,315
Stable Value Wrap IXIS variable annual yield (5.5% at December 31, 2006) with an indeterminate maturity date		-		2,490,315
Stable Value Wrap State Street Bank variable annual yield (5.5% at December 31, 2006) with an indeterminate maturity date		-		2,490,315
Subtotal			$	9,961,260

Intermediate Bond Fund- JPMorgan Chase Bank		74,271,679	$	828,681,084
U.S. Treasury Notes (3.625%, due at December 30, 2007)				844,289
JPMorgan Chase Bank Liquidity Fund		8,422,864		8,422,864
Cash				89,236

TOTAL – INVESTMENT CONTRACTS			$	847,998,733

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

SUPPLEMENTAL SCHEDULE OF ASSETS HELD AS OF DECEMBER 31, 2006 (continued)

Identity of Issuer, Borrower, Lessor or Similar Party	Number of SHARES/UNITS				FAIR VALUE
Cash Equivalents
(VAN 2) JPMORGAN DOMESTIC LIQUIDITY		27,197,450		Units	$	27,319,673
CASH ACCOUNT		3,942,739		Units		3,979,425
CASH – COMMINGLED FUNDS		1,030,880		Units		1,030,879
JP MORGAN LIQUID ASSETS MONEY MARKET FUND		3,279,382		Units		3,279,382
UNITED STATES OF AMERICA		(1,288,474	)	Units		(1,288,474	)
Total Cash Equivalents					$	34,320,885

Common/Collective Trusts
ALLIANCE BERNSTEIN INT’L STYLE BLEND		9,668,298		Units		124,915,006
EB DAILY LIQUIDITY AGGREGATE BOND INDEX FUND		1,225,338		Units		185,242,997
EB DAILY LIQUIDITY STOCK INDEX FUND		1,080,665		Units		339,905,703
INCOME - EB DAILY LIQUIDITY INTERNATIONAL STOCK INDEX FUND		829,594		Units		94,600,971
INCOME - EB DAILY LIQUIDITY SMALL CAP STOCK INDEX FUND		549,920		Units		59,753,587
JPMCB EMERGING MARKETS		268,818		Units		10,365,633
JPMCB LIQUIDITY FUND		5,677,262		Units		5,677,263
JPMCB STRATEGIC PROPERTY FUND		28,553		Units		45,850,165
JPMCB US REAL ESTATE SECURITIES FUND		644,284		Units		26,106,375
Total Common/Collective Trusts					$	892,417,700

Derivatives
P/CALL EURO DOLLAR FUT OPT 94.750 DUE 19/MAR/2007		19		Units		1,425
P/CALL EURO DOLLAR OPT 94.000DUE 18/JUN/2007		10		Units		19,250
P/CALL EURO DOLLAR OPT 94.000DUE 19/MAR/2007		8		Units		13,600
P/CALL EURO DOLLAR OPT 95.000DUE 17/SEP/2007		1		Units		463
P/CALL EURO DOLLAR OPTION 95.000DUE 17/SEP/2007		5		Units		2,313
P/CALL US TRAS NTS 5 YERS 102.000DUE 23/FEB/2007		3		Units		9,188
P/CALL USTN 5 YR FUTURE 102.000DUE 23/FEB/2007		2		Units		6,125
P/CALL USTN 5 YR FUTURE 102.500DUE 23/FEB/2007		17		Units		43,563
P/PUT EURO DOLLAR FUT OPT 93.000DUE 19/MAR/2007		15		Units		94
P/PUT EURO DOLLAR FUT OPT 95.500DUE 19/MAR/2007		4		Units		8,200
W/CALL EURO DOLLAR FUT OPT 95.130DUE 19/MAR/2007		(1	)	Units		(13	)
W/CALL US TREASURY NOTE 10 108.000DUE 23/FEB/2007		(1	)	Units		(469	)
W/CALL US TREASURY NOTE 10 109.000DUE 23/FEB/2007		(20	)	Units		(4,063	)
W/CALL US TREASURY NOTE 10 110.000DUE 23/FEB/2007		(57	)	Units		(4,453	)
W/CALL US TREASURY NOTE 10 111.000DU 23/FEB/2007		(4	)	Units		(125	)
W/CALL USA TREAS BDS 114.000DUE 23/FEB/2007		(4	)	Units		(1,125	)
W/CALL USA TREAS BDS 115.000DUE 23/FEB/2007		(9	)	Units		(1,406	)
W/CALL USA TREAS BDS 116.000DUE 23/FEB/2007		(4	)	Units		(313	)
W/CALL USA TREAS BDS OPT 114.000DUE 23/FEB/2007		(6	)	Units		(1,688	)
W/CALL USA TREAS BDS OPT 115.000DUE 23/FEB/2007		(1	)	Units		(156	)
W/PUT EURO DOLLAR FUT OPT 94.625DUE 19/MAR/2007		(10	)	Units		(500	)
W/PUT US TREASURY NOTE 10 107.000DUE 23/FEB/2007		(2	)	Units		(969	)
W/PUT US TREASURY NOTE 10 108.000DUE 23/FEB/2007		(10	)	Units		(10,000	)
W/PUT USA TREAS BDS 107.000DUE 23/FEB/2007		(1	)	Units		(63	)
W/PUT USA TREAS BDS 109.000DUE 23/FEB/2007		(14	)	Units		(3,719	)
W/PUT USA TREAS BDS 111.000DUE 23/FEB/2007		(2	)	Units		(1,750	)
W/PUT USA TREAS BDS 112.000DUE 23/FEB/2007		(1	)	Units		(1,391	)
W/PUT USA TREAS BDS 113.000DUE 23/FEB/2007		(2	)	Units		(4,125	)
W/PUT USA TREAS BDS 113.000DUE 23/FEB/2007		(7	)	Units		(14,438	)
W/PUT USA TREAS NTS FUT 10 104.000DUE 23/FEB/2007		(2	)	Units		(63	)
W/PUT USA TREAS NTS FUT 10 106.000DUE 23/FEB/2007		(18	)	Units		(3,656	)
Total Derivatives					$	49,736

Employer Stock
AMERICAN ELECTRIC POWER COMPANY, INC. COMMON STOCK $6.50 PAR VALUE		9,420,072		Units		401,083,727
Total Employer Stock					$	401,083,727

Corporate Stocks
3M CO COM STK USD0.01		11,800		Units		919,574
4 KIDS ENTERTAINMENT INC COM STK USD0.01		7,300		Units		133,006
ABBOTT LABS COM NPV		69,500		Units		3,385,345
ABERCROMBIE & FITCH CO CLASS'A'COM STK USD0.01		41,700		Units		2,903,571
ACCENTURE LTD BERM CLS'A'COM USD0.0000225		24,700		Units		912,171
ACCO BRANDS CORP COM STK USD0.01		25,700		Units		680,279
ACE LTD COM STK NPV		31,900		Units		1,940,158
ACUITY BRANDS INC COM STK USD0.01		14,000		Units		728,560
ADAPTEC INC COM STK USD0.001		146,800		Units		684,088
ADESA INC COM STK USD0.01		39,500		Units		1,096,125
ADOBE SYSTEMS INC COM STK USD0.0001		143,300		Units		5,892,496
ADVANCE AMER CASH ADVANCE CTRS INC COM USD0.01		6,700		Units		98,155
ADVANCE AUTO PARTS INC COM STK USD0.0001		11,700		Units		416,754
ADVANTA CORP CLASS'B'NON VTG USD0.01		8,900		Units		388,307
AETNA INC NEW COM STK USD0.001		32,300		Units		1,394,714
AFC ENTERPRISES INC COM STK USD0.001		3,000		Units		53,010
AFFILIATED MANAGERS GROUP INC COM STK USD0.01		26,600		Units		2,796,458
AFFYMETRIX INC COM STK USD0.01		36,100		Units		832,466
AGILENT TECHNOLOGIES INC COM STK USD0.01		56,600		Units		1,972,510
AIR PRODUCTS & CHEMICALS INC COM STK USD1		5,700		Units		402,534
AKAMAI TECHNOLOGIES COM STK USD0.01		8,900		Units		472,768
ALABAMA NATIONAL BANCORPORATION COM ST USD1		1,100		Units		76,016
ALCON INC CHF0.20		37,400		Units		4,180,198
ALEXANDRIA REAL ESTATE EQUITIES COM STK USD0.01		3,000		Units		303,420
ALLIANCE DATA SYSTEM COM STK USD0.01		46,000		Units		2,873,620
ALLIANCE IMAGING INC COM STK USD0.01		10,305		Units		68,528
ALLIANT TECHSYSTEMS INC COM STK USD0.01		3,400		Units		265,846
ALLIED WASTE INDUSTRIES INC COM STK USD0.01		38,200		Units		469,478
ALLSTATE CORP COM USD0.01		29,600		Units		1,936,566
ALLTEL CORP COM STK USD1		25,900		Units		1,569,670
ALPHARMA INC CLASS'A'COM STK USD0.20		17,000		Units		409,700
AMBAC FINANCIAL GROUP INC COM STK USD0.01		26,400		Units		2,351,448
AMDOCS ORD GBP0.01		24,700		Units		957,125
AMEDISYS INC COM STK USD0.001		51,134		Units		1,680,775
AMER INTL GRP COM USD2.50		87,300		Units		6,255,918
AMERICAN EAGLE OUTFITTER COM STK USD0.01		20,700		Units		647,600
AMERICAN EQUITY INVT LIFE HLDG CO COM STK USD1		15,900		Units		207,177
AMERICAN EXPRESS CO COM USD0.20		48,200		Units		2,924,294
AMERICAN POWER CONVERSION COM STK USD0.01		30,500		Units		932,995
AMERISOURCEBERGEN CORP COM STK NPV		28,000		Units		1,258,880
AMERISTAR CASINOS INC COM STK USD0.01		3,700		Units		113,738
AMGEN INC COM USD0.0001		28,000		Units		1,912,680
AMPHENOL CORP CLASS'A'COM STK USD0.001		43,700		Units		2,714,162
ANDREW CORP COM STK USD0.01		115,900		Units		1,185,657
ANHEUSER-BUSCH COS COM USD1		28,500		Units		1,402,200
APARTMENT INV&MGMT COM USD0.01 CL'A'		15,100		Units		854,962
APOGEE ENTERPRISES INC COM STK USD0.33 1/3		7,700		Units		148,687
APOLLO INVESTMENT CORP COM STK USD0.001		27,500		Units		616,000
APPLE INC COM STK NPV		58,800		Units		4,988,592
APTARGROUP INC COM STK USD0.01		34,200		Units		2,019,168
ARES CAPITAL CORP COM STK USD0.001		22,000		Units		420,420
ARROW ELECTRONICS INC COM STK USD1		55,000		Units		1,735,250
ASBURY AUTOMOTIVE GROUP INC COM STK USD0.01		20,400		Units		480,624
ASHFORD HOSPITALITY TRUST INC COM STK USD0.01		6,600		Units		83,490
ASHLAND INC COM STK USD1		6,400		Units		442,752
ASPEN INSURANCE HLDGS COM STK USD0.15144558		10,100		Units		266,236
ASSURANT INC COM STK USD0.01		13,400		Units		740,350
ASSURED GUARANTY LTD COM STK USD0.01		31,700		Units		843,220
ASTORIA FINANCIAL CORP COM STK USD0.01		62,100		Units		1,872,936
ASTRAZENECA ADR EACH REP 1 ORD USD0.25(MGT)		22,900		Units		1,226,295
AT&T INC COM STK USD1		52,700		Units		1,884,025
ATMEL CORP COM STK USD0.001		192,700		Units		1,165,835
ATMI INC COM STK USD0.01		6,300		Units		192,339
ATWOOD OCEANICS INC COM STK USD1		16,100		Units		788,417
AUTODESK INC COM STK NPV		54,900		Units		2,221,254
AUTOLIV INC COM STK USD1		15,500		Units		934,650
AUTOZONE INC COM STK USD0.01		5,600		Units		647,136
AVNET INC COM STK USD1		108,600		Units		2,772,558
AVOCENT CORP COM STK USD0.01		10,700		Units		362,195
BANNER CORP COM STK USD0.01		3,000		Units		133,590
BANTA CORP COM STK USD0.10		13,400		Units		487,760
BASF AG ADR-EACH REPR 1 ORD NPV LEVEL II		4,400		Units		427,724
BAXTER INTL INC COM USD1		4,300		Units		199,477
BEA SYSTEMS INC COM USD0.001		65,000		Units		817,700
BECKMAN COULTER INC COM STK USD0.10		19,300		Units		1,154,140
BECTON DICKINSON & CO COM STK USD1		18,100		Units		1,274,150
BEL FUSE INC CLASS'B'SHS USD0.1		6,300		Units		219,177
BELDEN INC COM STK USD0.01		7,200		Units		281,808
BENCHMARK ELECTRONICS INC COM STK USD0.10		66,500		Units		1,619,940
BERKLEY(W.R.)CORP COM STK USD0.20		64,500		Units		2,228,367
BHP BILLITON LIMITED ADR EACH REP 2 ORD NPV(MGT)		10,900		Units		433,275
BIG 5 SPORTING GOODS CORP COM STK USD0.01		3,400		Units		83,028
BIO RAD LABORATORIES INC CLASS'A'COM STK USD0.0001		1,600		Units		132,032
BISYS GROUP COM STK USD0.02		16,600		Units		214,306
BJ SERVICES COM STK USD0.10		63,300		Units		1,858,976
BJS WHOLESALE CLUB INC COM STK USD0.01		14,900		Units		463,539
BMC SOFTWARE INC COM STK USD0.01		27,200		Units		875,840
BOEING CO COM STK USD5		57,000		Units		5,063,880
BOK FINANCIAL CORP COM STK USD0.00006		6,200		Units		340,876
BORG-WARNER INC COM STK USD0.01		26,645		Units		1,572,588
BRINKER INTERNATIONAL COM STK USD0.10		23,650		Units		713,284
BROADCOM CORP CLASS'A'COM STK USD0.0001		71,400		Units		2,306,934
BROADWING CORPORATION		52,100		Units		813,802
BROOKS AUTOMATION INC		69,800		Units		1,005,120
BROWN SHOE CO INC COM STK USD3.75		7,700		Units		368,214
CABLEVISION SYSTEMS CORP NY GROUP COM STK USD0.01		73,100		Units		2,081,888
CABOT CORP COM STK USD1		3,400		Units		148,138
CABOT OIL & GAS CO COM USD0.10		3,900		Units		236,535
CADENCE DESIGN SYSTEMS INC COM STK USD0.01		118,900		Units		2,129,499
CAE INC COM NPV		143,000		Units		1,312,740
CAMBREX CORP COM STK USD0.10		7,300		Units		165,856
CAMECO CORP COM NPV		84,100		Units		3,404,742
CAREMARK RX INC COM STK USD0.001		4,500		Units		258,715
CARTERS INC COM STK USD0.01		72,200		Units		1,841,100
CDW CORPORATION COM USD0.01		12,400		Units		871,968
CEC ENTERTAINMENT COM STK USD0.10		2,400		Units		96,600
CELGENE CORP COM STK USD0.01		11,800		Units		678,854
CEMEX S.A.B. DE C.V. ADR EACH REP 10 CPO(SPON)		12,900		Units		437,052
CENTENNIAL COMMUNICATIONS CORP CLASS'A'COM STK USD0.01		112,900		Units		811,751
CENTRAL PAC FINL CORP COM		5,000		Units		193,800
CEPHALON INC COM STK USD0.01		22,300		Units		1,570,143
CHAMPION ENTERPRISES INC COM STK USD1		31,900		Units		298,584
CHARMING SHOPPES INC COM STK USD0.10		78,800		Units		1,066,164
CHECKPOINT SYSTEMS COM STK USD0.10		8,900		Units		179,780
CHESAPEAKE ENERGY CORP COM STK USD0.01		33,100		Units		963,541
CHEVRON CORP COM STK USD0.75		22,500		Units		1,654,425
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)		8,100		Units		221,454
CHILDRENS PLACE RETAIL STORE INC COM STK USD0.10		5,700		Units		362,064
CHITTENDEN CORP COM STK USD1		3,406		Units		104,530
CIBER INC COM STK USD0.01		30,100		Units		204,078
CIGNA CORP COM STK USD0.25		25,800		Units		3,395,154
CIMAREX ENERGY CO COM STK USD0.01		4,500		Units		164,250
CINCINNATI BELL NC USD0.01		281,300		Units		1,285,541
CISCO SYSTEMS COM USD0.001		226,100		Units		6,179,313
CIT GROUP INC COM STK USD0.01		37,100		Units		2,069,067
CITIGROUP INC COM STK USD0.01		37,100		Units		2,066,470
CLAIRES STORES INC COM STK USD0.05		29,000		Units		961,060
CLARCOR INC COM STK USD1		12,500		Units		422,625
COACH INC COM STK USD0.01		105,700		Units		4,540,872
COGNEX CORP COM STK USD0.002		33,100		Units		788,442
COGNIZANT TECHNOLO COM CL'A'USD0.01		21,300		Units		1,643,508
COLDWATER CREEK COM STK USD0.01		56,600		Units		1,387,832
COLGATE-PALMOLIVE CO COM STK USD1		20,000		Units		1,304,800
COLUMBIA BANKING SYSTEMS INC COM STK NPV		3,300		Units		115,896
COMERICA INC COM STK USD5		13,300		Units		780,444
COMPASS BANCSHARES INC COM STK USD2		25,100		Units		1,507,004
COMPLETE PRODUCTION SERVICES INC COM STK USD0.01		68,600		Units		1,454,320
COMPUTER SCIENCES CORP COM STK USD1		45,900		Units		2,449,683
COMSTOCK RESOURCES INC COM STK USD0.50		28,500		Units		885,210
COMTECH TELECOMMUNICATIONS COM STK USD0.10		4,017		Units		152,927
COMVERSE TECHNOLOGY INC COM STK USD0.10		19,700		Units		415,867
CONOCOPHILLIPS COM STK USD1.25		24,000		Units		1,726,800
CONSECO INC COM STK USD0.01		10,300		Units		205,794
CONSOL ENERGY INC COM STK USD0.01		10,700		Units		343,791
CONSOLIDATED EDISON INC COM STK USD0.10		39,900		Units		1,917,993
CORE LABORATORIES NV EUR0.01		1,900		Units		153,900
CORN PRODUCTS INTERNATIONAL INC COM STK USD0.01		3,800		Units		131,252
CORNING INC COM STK USD0.50		82,500		Units		1,543,575
COVANCE COM STK USD0.01		6,100		Units		359,351
COVENTRY HEALTHCAR COM STK USD0.01		30,500		Units		1,526,525
COWEN GROUP INC COM STK NPV		13,600		Units		287,640
CRANE CO COM STK USD1		25,500		Units		934,320
CROWN MEDIA HOLDINGS CLASS'A'COM STK USD0.01		48,900		Units		177,507
CSG SYSTEMS INTL INC COM STK USD0.01		4,700		Units		125,631
CTS CORP COM STK NPV		6,936		Units		109,103
CUMMINS INC COM STK USD2.50		21,000		Units		2,481,780
CV THERAPEUTICS INC COM STK USD0.001		45,700		Units		637,972
CYTEC INDUSTRIES INC COM STK USD0.01		8,500		Units		480,335
DARDEN RESTAURANTS INC COM STK NPV		35,900		Units		1,442,103
DAVITA INC COM STK USD0.001		16,900		Units		961,272
DEL MONTE FOODS COM STK USD0.01		97,800		Units		1,078,734
DEUTSCHE BANK AG ORD NPV(REGD)		14,700		Units		1,958,628
DIEBOLD INC COM STK USD1.25		8,700		Units		405,420
DIGITAL REALTY TRUST INC COM STK USD0.01		6,600		Units		227,807
DILLARDS INC CLASS'A'COM NPV		20,100		Units		703,701
DIRECTV GROUP INC COM USD0.01		28,800		Units		718,272
DISCOVERY HLDG CO CLASS'A'COM STK USD0.01		56,800		Units		913,912
DOMTAR INC COM NPV		19,800		Units		167,112
DONNELLEY(R.R.)& SONS CO COM STK USD1.25		44,000		Units		1,563,760
DREAMWORKS ANIMATION SKG INC CLASS 'A' COM STK USD0.01		37,900		Units		1,117,671
DRS TECHNOLOGIES INC COM STK USD0.01		11,500		Units		605,820
DST SYSTEMS INC DELAWARE COM STK USD0.01		32,200		Units		2,016,686
DUKE REALTY CORP COM STK USD0.01		37,000		Units		1,513,300
E TRADE FINANCIAL CORP COM STK USD0.01		80,400		Units		1,802,568
EARTHLINK INC COM STK USD0.01		43,300		Units		307,430
EATON CORP COM USD0.50		22,400		Units		1,683,136
ECI TELECOM ORD ILS0.12		17,362		Units		150,355
EDUCATION REALTY TRUST INC COM STK USD0.01		11,800		Units		174,286
EDWARDS(A.G)INC COM STK USD1		15,600		Units		990,444
EL PASO ELECTRIC CO COM STK NPV		13,200		Units		321,684
ELEC DATA SYS CORP COM USD0.01		33,600		Units		925,680
ELECTRONIC ARTS COM USD0.01		66,300		Units		3,338,868
ELECTRONICS FOR IMAGING COM STK USD0.01		21,800		Units		579,444
EMULEX CORP COM STK USD0.10		43,400		Units		846,734
ENCORE ACQUISITION CO COM STK USD0.01		23,100		Units		566,643
ENDURANCE SPECIALTY HLDGS COM STK USD1		7,200		Units		263,376
ENERGEN CORP COM STK USD0.01		10,000		Units		469,400
ENERGY EAST CORP COM STK USD0.01		12,900		Units		319,920
ENERSYS COM USD0.01		10,900		Units		174,400
ENI ADR EACH REP 2 ORD (MGT)		24,300		Units		1,634,904
ENTERCOM COMMUNICATIONS COM STK USD0.01		16,300		Units		459,334
ESSEX PROPERTY TRUST INC COM STK USD0.0001		2,000		Units		260,180
EVEREST RE GROUP COM STK USD0.01		5,500		Units		539,605
EXPRESS SCRIPTS IN COM USD0.01		4,600		Units		329,360
FAIRCHILD SEMICONDUCTOR INTL INC		27,400		Units		460,594
FEI CO COM STK NPV		6,800		Units		179,316
FERRO CORP COM STK USD1		13,600		Units		281,384
FINISH LINE INC CLASS'A'COM STK USD0.01		36,700		Units		524,076
FIRST FINANCIAL BANKSHARES INC COM STK USD10		2,200		Units		92,752
FIRST INDIANA CORP COM STK USD0.01		3,000		Units		76,080
FIRST MARBLEHEAD CORP COM STK USD0.01		19,450		Units		1,062,943
FIRST MIDWEST BANCORP COM STK USD0.01		6,400		Units		249,440
FIRST PLACE FINANCIAL/OHIO COM STK USD0.01		3,400		Units		79,866
FIRSTENERGY CORP COM STK USD0.10		31,500		Units		1,899,450
FISERV INC COM STK USD0.01		17,300		Units		906,866
FLEETWOOD ENTERPRISES INC COM STK USD1		76,400		Units		604,324
FLEXTRONICS INTERNATIONAL ORD USD0.01		102,300		Units		1,174,404
FLIR SYSTEMS INC COM STK USD0.01		41,377		Units		1,317,030
FLUSHING FINANCIAL CORP COM STK USD0.01		49,900		Units		851,793
FOOT LOCKER INC COM STK USD0.01		22,600		Units		495,618
FORRESTER RESEARCH INC COM STK USD0.01		4,400		Units		119,284
FOUNDRY NETWORKS INC COM STK USD0.0001		79,500		Units		1,190,910
FPL GROUP INC COM STK USD0.01		35,300		Units		1,921,026
FULLER(H.B.)CO COM STK USD1		17,000		Units		438,940
G & K SERVICES INC CLASS'A'COM STK USD0.50		3,400		Units		132,362
GAMESTOP CORPORATION NEW CLASS 'A' COM USD0.001		12,000		Units		661,320
GATX CORP COM STK USD0.625		3,300		Units		142,989
GENCORP INC COM STK USD0.10		50,700		Units		710,814
GENENTECH INC COM USD0.02		52,300		Units		4,243,099
GENERAL CABLE CORP COM STK USD0.01		15,300		Units		668,763
GENERAL COMMUNICATIONS CLASS'A'COM NPV		18,100		Units		284,713
GENERAL DYNAMICS CORP COM STK USD1		11,300		Units		840,155
GENERAL ELECTRIC CO. COM STK USD0.06		112,300		Units		4,210,547
GENERAL MILLS INC COM STK USD0.1		23,400		Units		1,347,840
GENESIS HEALTHCARE CORP COM STK USD0.01		3,300		Units		155,859
GEVITY HR INC COM USD0.01		24,000		Units		568,560
GILEAD SCIENCES COM USD0.001		105,800		Units		6,869,594
GLACIER BANCORP COM STK USD0.01		2,457		Units		60,049
GLAXOSMITHKLINE ADR EACH REPR 2 ORD GBP0.25		24,700		Units		1,312,947
GLOBAL IMAGING SYSTEMS COM STK USD0.01		17,497		Units		384,059
GOL LINHAS AEREAS INTELIGENTES SA ADR EACH REPR 1 PREF SHS		0		Units		1,581
GOLD KIST HLDGS INC COM USD0.01		14,000		Units		294,280
GOLDMAN SACHS GROUP INC COM STK USD0.01		24,000		Units		4,784,400
GOODRICH CORP COM STK USD5		45,100		Units		2,063,565
GOOGLE INC COM STK USD0.001 CLS'A'		16,600		Units		7,643,968
GRACO INC COM STK USD1		53,700		Units		2,127,594
GRAY TELEVISION INC.		58,900		Units		433,504
GREATBATCH INC COM STK USD0.001		3,361		Units		90,478
GREIF INC COM STK CLASS'A' NPV		1,000		Units		118,760
GRIFFON CORP COM STK USD0.25		14,800		Units		377,400
GROUP 1 AUTOMOTIVE INC COM STK NPV		9,463		Units		489,426
GUESS INC COM STK USD0.01		11,600		Units		735,788
HANMI FINANCIAL CORP COM STK USD0.001		6,000		Units		135,540
HANOVER INSURANCE GROUP INC COM STK USD0.01		10,900		Units		531,920
HANSEN NATURAL CORP COM STK USD0.005		12,500		Units		421,000
HARLAND(JOHN H.)CO COM STK USD1		14,300		Units		717,860
HARLEY DAVIDSON COM STK USD0.01		9,200		Units		648,324
HARMONIC INC COM STK USD0.001		174,800		Units		1,270,796
HARRAHS ENTERTAINMENT INC COM STK USD0.10		20,400		Units		1,687,488
HARRIS CORP COM STK USD1		9,100		Units		417,326
HARSCO CORP COM STK USD1.25		24,800		Units		1,887,280
HARTE-HANKS INC COM STK USD1		27,700		Units		767,567
HARTFORD FINANCIAL SERVICES GRP INC COM STK USD0.01		21,700		Units		2,034,877
HASBRO INC COM STK USD0.50		24,200		Units		659,450
HEALTH CARE REIT INC COM STK USD1		5,862		Units		252,170
HEALTH NET INC COM USD0.001		76,700		Units		3,732,222
HEALTHSPRING USD0.01		11,300		Units		229,955
HEIDRICK & STRUGGLES COM STK USD0.01		20,700		Units		876,852
HELIX ENERGY SOLUTIONS GROUP INC COM STK NPV		29,500		Units		925,415
HELMERICH & PAYNE INC COM STK USD0.10		48,100		Units		1,177,007
HERBALIFE LTD		6,700		Units		269,072
HESS CORPORATION COM USD1		33,300		Units		1,654,011
HEWITT ASSOCIATES COM USD0.01 CLASS A		22,800		Units		587,100
HEWLETT PACKARD CO COM USD0.01		68,400		Units		2,819,084
HILB ROGAL & HOBBS COM STK NPV		6,700		Units		282,204
HOLOGIC INC COM STK USD0.01		22,700		Units		1,073,256
HOME PROPERTIES INC COM STK USD0.01		7,600		Units		450,452
HORMEL FOODS CORP COM STK USD0.0586		42,000		Units		1,568,280
HOSPIRA INC COM STK USD0.01		8,900		Units		298,862
HOUSTON EXPLORATION CO COM STK USD0.01		1,200		Units		62,136
HUMAN GENOME SCIENCES COM STK USD0.01		69,600		Units		865,824
HYPERION SOLUTIONS CORP COM STK USD0.001		30,200		Units		1,085,388
IBERIABANK CORP COM STK USD1		2,700		Units		160,299
IDACORP INC COM STK NPV		41,000		Units		1,584,650
IKON OFFICE SOLUTIONS COM STK NPV		40,900		Units		669,533
IMATION CORP COM STK USD0.01		14,200		Units		659,306
IMS HEALTH INC COM STK USD0.01		43,100		Units		1,184,388
INDEPENDENT BANK CORP MICHIGAN COM STK USD1		3,150		Units		79,664
INDEPENDENT BANK CORP(MASS) COM STK USD0.01		2,400		Units		86,856
INDYMAC BANCORP INC COM STK USD0.01		10,500		Units		474,180
INFINITY PROPERTY & CASUALTY CORP COM NPV		5,200		Units		251,628
INFOSYS TECHNOLOGIES ADR EACH REPR 1ORD INR5		24,100		Units		1,314,896
ING GROEP N.V. ADR-EACH REPR 1 ORD(SPONS)		44,900		Units		1,983,233
INGRAM MICRO INC CLASS'A'COM STK USD0.01		36,000		Units		734,760
INSIGHT ENTERPRISE INC COM STK USD0.01		32,800		Units		618,936
INTEGRATED DEVICE TECHNOLOGY COM STK USD0.001		32,000		Units		495,360
INTER TEL INC COM STK NPV		7,400		Units		164,576
INTERACTIVE DATA CORP COM STK NPV		15,200		Units		365,408
INTERCONTINENTAL EXCHANGE INC COM STK USD0.01		21,800		Units		2,352,220
INTERNATIONAL BUS MACH CORP COM STK USD0.20		9,500		Units		922,925
INTERNATIONAL GAME TECHNOLOGY COM STK USD0.000625		15,200		Units		704,099
INTERNATIONAL SPEEDWAY CORP CLASS'A'COM STK USD0.01		15,600		Units		796,224
INVITROGEN COM STK USD0.01		11,900		Units		673,421
IPC HLDGS COM STK USD0.01		48,200		Units		1,515,890
JACK IN THE BOX INC COM STK USD0.01		4,000		Units		244,160
JARDEN CORP COM STK NPV		13,600		Units		473,144
JOHNSON & JOHNSON COM STK USD1		19,700		Units		1,300,594
JOHNSON CONTROLS INC COM STK USD0.16 2/3		11,000		Units		948,387
JONES APPAREL GROUP INC COM STK USD0.01		15,600		Units		521,508
JOS A BANK CLOTHIERS COM STK USD0.01		36,300		Units		1,065,405
JOURNAL COMMUNICATIONS INC COM STK USD0.01		32,800		Units		413,608
JOY GLOBAL INC COM STK USD1		40,000		Units		1,933,600
K&F INDUSTRIES HOLDINGS INC COM STK USD0.01		21,400		Units		485,994
KADANT INC COM STK USD0.01		3,906		Units		95,228
KEANE INC COM STK USD0.10		22,800		Units		271,548
KELLOGG CO COM STK USD0.25		26,200		Units		1,311,572
KELLWOOD CO COM STK USD0.01		8,700		Units		282,924
KENNAMETAL INC CAP STK USD1.25		8,200		Units		482,570
KEY ENERGY SERVICES INC COM STK USD0.10		29,200		Units		456,980
KIMBERLY-CLARK CORP COM STK USD1.25		19,400		Units		1,327,050
KINDRED HEALTHCARE INC COM STK USD0.25		29,100		Units		734,775
KINETIC CONCEPTS INC COM STK USD0.001		8,200		Units		324,310
KKR FINANCIAL HLDGS LLC COM STK USD0.01		22,100		Units		592,059
KLA TENCOR CORP COM STK USD0.001		19,200		Units		955,200
KNOLL INC COM STK USD1		27,300		Units		600,600
KOHLS CORP COM STK USD0.01		9,600		Units		656,928
L-1 IDENTITY (HLD) COM STK USD0.001		29,700		Units		449,361
LAB CORP AMER HLDG COM USD0.1		17,900		Units		1,315,113
LABOR READY INC COM STK NPV		4,817		Units		88,296
LAKELAND FINANCIAL CORP COM STK USD0.01		3,300		Units		84,249
LAM RESEARCH CORP COM STK USD0.001		100,000		Units		5,062,000
LANCE INC COM STK USD0.833		2,103		Units		42,228
LANDSTAR SYSTEMS INC COM STK USD0.01		3,200		Units		122,176
LEHMAN BROS HLDGS INC COM STK USD0.10		24,800		Units		1,937,376
LENNOX INTERNATIONAL INC COM STK USD0.01		32,300		Units		992,902
LEXINGTON REALTY TRUST COM STK USD0.0001		8,800		Units		202,554
LIBERTY GLOBAL INC COM STK SERIES 'C' USD0.01		55,300		Units		1,548,400
LIBERTY MEDIA-INTERACTIVE A COM STK USD0.01 'A'		21,100		Units		455,127
LIFEPOINT HOSPITALS INC COM STK USD0.01		30,100		Units		1,014,370
LIMITED BRANDS INC COM STK USD0.50		22,600		Units		654,044
LIN TV CORP COM STK USD0.01		100,300		Units		997,985
LINCARE HLDGS INC COM STK USD0.01		34,400		Units		1,370,496
LINCOLN ELECTRIC HLDGS INC COM STK NPV		5,200		Units		315,328
LINCOLN NATIONAL CORP COM STK USD1.25		18,600		Units		1,235,040
LOCKHEED MARTIN CORP COM STK USD1		9,300		Units		856,251
LODGENET ENTERTAINMENT CORP COM STK USD0.01		38,900		Units		973,667
LOEWS CORP CAROLINA GROUP COM STK USD0.01		9,200		Units		595,424
LOUISIANA-PACIFIC CORP COM STK USD1		20,100		Units		432,753
LOWE'S COS INC COM STK USD0.50		64,800		Units		2,018,520
MACATAWA BANK CORP COM STK NPV		3,400		Units		72,284
MACY'S INC COM STK USD0.01		50,500		Units		1,933,177
MAF BANCORP INC COM STK USD0.01		1,800		Units		80,892
MAGELLAN HEALTH SERVICES INC		5,700		Units		246,354
MANPOWER INC COM STK USD0.01		33,400		Units		2,502,662
MARATHON OIL CORP COM STK USD1		17,600		Units		1,628,000
MARRIOTT INTERNATIONAL INC COM STK USD0.01 CL'A'		62,100		Units		2,967,512
MARVELL TECH GROUP COM NPV		173,500		Units		3,329,465
MASCO CORP COM STK USD1		31,600		Units		943,892
MASSEY ENERGY COM COM STK USD0.625		10,300		Units		239,681
MATTEL INC COM STK USD1		28,500		Units		645,810
MATTHEWS INTL CORP CLASS'A'COM STK USD1		10,600		Units		417,110
MAX CAPITAL GROUP COM STK USD1		33,600		Units		833,952
MAXIMUS INC COM STK NPV		14,786		Units		455,113
MB FINANCIAL INC COM STK USD0.01		4,400		Units		165,484
MBIA INC COM STK USD1		7,800		Units		572,286
MCAFEE INC COM STK USD0.01		31,000		Units		879,780
MCCLATCHY CO CLASS'A'COM STK USD0.01		13,400		Units		582,632
MCDONALD'S CORP COM STK USD0.01		15,200		Units		673,816
MCKESSON CORP COM STK USD0.01		26,500		Units		1,345,140
MEADWESTVACO CORPORATION COM NPV		27,700		Units		832,662
MEDAREX INC COM STK USD0.01		89,400		Units		1,322,226
MEDCO HEALTH SOLUTIONS INC COM STK USD0.01		25,300		Units		1,352,032
MEDIA GENERAL INC CLASS'A'COM USD5		4,300		Units		159,831
MEDICAL PROPERTIES TRUST INC COM STK USD0.001		29,500		Units		459,315
MEMC ELECTRONICS MATERIALS INC COM STK USD0.01		22,500		Units		880,650
MERCK & CO INC COM STK USD0.01		29,600		Units		1,301,276
MERRILL LYNCH & CO INC COM STK USD1.333		40,300		Units		3,751,930
METLIFE INC COM STK USD0.01		32,700		Units		1,929,627
METTLER TOLEDO COM STK USD0.01		11,700		Units		922,545
MFA MORTGAGE INVESTMENTS COM SHS		66,800		Units		517,700
MICROCHIP TECHNOLOGY COM STK USD0.001		23,600		Units		771,720
MICROSOFT CORP COM USD0.0000125		205,100		Units		6,124,286
MILLENNIUM PHARM COM USD0.001		73,400		Units		800,060
MINERALS TECHNOLOGIES INC COM STK USD0.10		3,100		Units		182,249
MOLECULAR DEVICES COM STK USD0.001		16,557		Units		348,856
MOLINA HEALTHCARE INC COM STK USD0.001		3,100		Units		100,781
MONACO COACH CORP COM STK USD0.01		28,300		Units		400,728
MONEYGRAM INTERNATIONAL INC COM USD0.01		9,600		Units		301,536
MONSANTO CO NEW(DELAWARE) COM STK USD0.01		19,700		Units		1,034,841
MONSTER WORLDWIDE COM USD0.001		28,300		Units		1,319,912
MOOG INC CLASS'A'(LIM.V)USD1		7,400		Units		282,606
MORGAN STANLEY COM STK USD0.01		23,500		Units		1,913,605
MOTOROLA INC COM STK USD3		102,600		Units		2,114,651
MPS GROUP INC COM STK USD0.01		31,000		Units		439,580
MUELLER INDUSTRIES INC COM STK USD0.01		3,500		Units		110,950
MYRIAD GENETICS IN COM USD0.01		79,800		Units		2,497,740
NASDAQ STOCK MARKET INC COM STK USD0.01		36,200		Units		1,114,598
NATIONWIDE FINANCIAL SOLUTIONS INC CLASS'A'COM STK USD0.01		14,300		Units		778,349
NAVIGATORS GROUP INC COM STK USD0.10		4,500		Units		216,810
NCR CORP COM STK USD0.01		20,900		Units		893,684
NEENAH PAPER INC COM STK USD0.01		5,800		Units		204,856
NET BANK INC COM STK USD0.01		61,400		Units		284,896
NEUSTAR INC-CLASS COM STK USD0.001		30,400		Units		986,176
NEW YORK TIMES CO COM CLASS'A'STK USD0.10		15,000		Units		365,400
NEWPARK RESOURCES INC COM STK USD0.01		36,100		Units		260,281
NEWS CORP CLASS'A'NON VTG COM STKUSD0.01		166,500		Units		3,576,420
NII HOLDINGS INC COM STK USD0.001		35,700		Units		2,300,508
NIKE INC CLASS'B'COM STK NPV		45,800		Units		4,552,705
NOBLE CORP COM STK USD0.1		28,300		Units		2,155,045
NOBLE ENERGY INC COM USD3.33 1/3		38,200		Units		1,874,474
NOBLE INTERNATIONAL LD COM STK NPV		5,600		Units		112,280
NORDSON CORP COM STK NPV		4,900		Units		245,025
NORDSTROM INC COM STK NPV		13,500		Units		666,090
NORTHROP GRUMMAN CORP COM STK USD1		12,600		Units		853,020
NORTHWEST NATURAL GAS CO COM STK USD3.167		8,500		Units		360,740
NOVARTIS AG ADR EACH REPR 1 CHF0.50(REGD)		67,100		Units		3,854,224
NOVELLUS SYSTEMS INC COM STK NPV		56,100		Units		1,930,962
NU SKIN ENTERPRISES INC CLASS'A'COM STK USD0.001		11,300		Units		205,999
NUVEEN INVESTMENTS CLASS'A'COM USD0.01		27,700		Units		1,437,076
NVIDIA CORP COM USD0.001		23,900		Units		884,539
NYMAGIC INC COM STK USD1		2,500		Units		91,700
NYSE GROUP INC COM STK USD0.01		28,700		Units		2,789,640
OAKLEY INC COM STK NPV		11,400		Units		228,684
OCCIDENTAL PETROLEUM CORP COM USD0.20		75,900		Units		3,722,411
OCEANEERING INTERNATIONAL INC COM STK USD0.25		6,700		Units		265,990
OFFICE DEPOT INC COM STK USD0.01		17,400		Units		664,158
OFFICEMAX INC COM STK USD2.50		13,800		Units		687,240
OLD DOMINION FREIGHT LINE INC COM STK USD0.10		6,900		Units		166,083
OLD REPUBLIC INTERNATIONAL CORP COM STK USD1		69,700		Units		1,622,616
OLIN CORP COM STK USD1		13,500		Units		223,020
OMNICARE INC COM STK USD1		27,500		Units		1,062,325
OPENTV CORP NPV CLASS'A'		136,800		Units		317,376
OPTIONSXPRESS HLDGS INC COM STK USD0.0001		34,900		Units		791,881
ORACLE CORP COM USD0.01		50,900		Units		872,426
O'REILLY AUTOMOTIVE INC COM STK USD0.01		41,700		Units		1,336,902
OSHKOSH TRUCK CORP COM STK USD0.01		30,900		Units		1,496,178
OSI PHARMACEUTICALS INC COM STK USD0.01		16,400		Units		573,672
OVERSEAS SHIPHOLDING GROUP INC COM STK USD1		14,300		Units		805,090
OXFORD INDUSTRIES INC COM STK USD1		21,800		Units		1,082,370
PACER INTL INC COM		6,700		Units		201,469
PACIFIC CONTINETAL CORP COM STK USD1		2,917		Units		56,240
PACIFIC SUNWEAR OF CALIFORNIA INC COM STK USD0.01		29,300		Units		573,694
PACTIV CORP COM STK USD0.01		12,600		Units		449,694
PALL CORP COM STK USD0.10		50,200		Units		1,734,410
PARAMETRIC TECHNOLOGY CORP NEW COM STK USD0.01		11,900		Units		214,438
PARKWAY PROPERTIES INC COM STK USD0.001		4,200		Units		214,242
PARTNERRE COM STK USD1		10,500		Units		745,815
PATTERSON COS INC COM STK USD0.01		22,600		Units		802,526
PATTERSON UTI ENERGY INC COM STK USD0.01		78,100		Units		1,814,263
PAXAR CORP COM STK USD0.10		19,100		Units		440,446
PDL BIOPHARMA INC COM STK USD0.01		87,300		Units		1,758,222
PENN NATIONAL GAMING INC COM STK USD0.01		28,700		Units		1,194,494
PENNEY(J.C.)CO INC COM STK USD0.50		8,300		Units		642,088
PEPSI BOTTLING GROUP INC COM STK USD0.01		41,600		Units		1,290,432
PEPSICO INC CAP USD0.016666		76,000		Units		4,777,620
PERFORMANCE FOODS GROUP INC COM STK USD0.01		12,000		Units		331,680
PEROT SYSTEMS CLASS'A'COM STK USD0.01		76,500		Units		1,253,835
PER-SE TECHNOLOGIES INC COM STK USD0.01		17,500		Units		486,150
PFIZER INC COM USD0.05		52,300		Units		1,354,570
PHILADELPHIA CONSOLIDATED HOLDINGS COM STK NPV		7,100		Units		316,376
PHOTRONICS INC COM STK USD0.01		75,300		Units		1,230,402
PINNACLE WEST CAPITAL CORP COM STK USD2.50		32,300		Units		1,637,287
PLATINUM UNDERWRITERS HLDGS LTD SHS		51,100		Units		1,581,034
PMI GROUP INC COM STK USD0.01		53,300		Units		2,516,959
POLO RALPH LAUREN CORP CLASS'A'COM STK USD0.01		15,500		Units		1,204,505
POLYCOM INC COM STK USD0.0005		26,900		Units		831,479
PPG INDUSTRIES INC COM STK USD1.666		6,100		Units		391,681
PRAXAIR INC COM STK USD0.01		6,800		Units		403,444
PRECISION CASTPARTS COM NPV		78,900		Units		6,178,698
PREFERRED BK LOS ANGELES CALIFORNIA COM STK USD0.01		1,400		Units		84,126
PREMIUM STANDARD FARMS INC COM STK USD0.01		27,100		Units		504,873
PRICELINE.COM INC COM STK USD0.008		30,600		Units		1,334,466
PRIDE INTL INC NEW COM USD0.01		34,000		Units		1,020,340
PROCTER & GAMBLE CO COM STK NPV		51,700		Units		3,322,759
PROGRESS SOFTWARE CORP COM STK USD0.01		8,300		Units		231,819
PROSPERITY BANCSHARES INC COM STK USD1		4,600		Units		159,264
PROTECTIVE LIFE CORP COM STK USD0.50		14,700		Units		698,250
PULTE HOMES INC COM STK USD0.01		36,200		Units		1,200,392
QLOGIC CORP COM STK USD0.001		60,900		Units		1,334,928
QUALCOMM INC COM STK USD0.0001		123,400		Units		4,678,286
QUESTAR CORP COM STK NPV		12,500		Units		1,038,125
QUIKSILVER INC COM STK USD0.01		27,600		Units		434,700
QUINTANA MARITIME LTD COM STK USD0.01		18,800		Units		207,176
R.H. DONNELLEY CORP COM STK USD1		18,400		Units		1,154,232
RADIAN GROUP INC COM USD0.001		15,700		Units		846,387
RAILAMERICA INC COM STK USD0.001		10,200		Units		164,016
RAMCO-GERSHENSON PROPERTIES TRUST SBI USD0.01		6,200		Units		239,243
RARE HOSPITALITY INC COM STK NPV		34,000		Units		1,119,620
RAYONIER INC COM STK NPV		10,000		Units		410,500
RC2 CORP COM STK USD0.01		5,200		Units		228,800
READERS DIGEST ASSOCIATION INC CLASS'A'COM STK NON VTG USD0.01		34,300		Units		572,810
RECORDKEEPER FEES		0		Units		(29,464	)
RED ROBIN GOURMET BURGERS INC COM STK USD0.001		15,800		Units		566,430
REGENERON PHARMACEUTICALS INC COM STK USD0.001		46,700		Units		937,269
REHABCARE GROUP INC COM		14,600		Units		216,810
RELIANCE STEEL & ALUMINIUM COM STK NPV		10,800		Units		425,952
RESEARCH IN MOTION COM NPV		23,000		Units		2,938,940
RESOURCES CONNECTION INC COM STK USD0.01		22,700		Units		722,768
REYNOLDS AMERICAN INC COM STK USD0.0001		19,900		Units		1,317,028
RF MICRO DEVICES INC COM STK NPV		130,600		Units		886,774
ROBERT HALF INTERNATIONAL INC COM STK USD1		36,900		Units		1,369,728
ROCHE HLDG AG ADR-REPR GENUS PTG CERT NPV SPONS(BNY)		65,500		Units		5,862,106
ROCK-TENN CO CLASS'A'COM STK USD0.01		13,300		Units		360,563
ROCKWELL COLLINS INC COM STK USD0.01		13,900		Units		879,731
ROHM & HAAS CO COM STK USD2.50		8,500		Units		434,520
ROWAN COS INC COM USD0.125		20,900		Units		693,880
ROYAL DUTCH SHELL ADR EACH REPR 2'A'SHS		23,200		Units		1,642,328
RTI INTERNATIONAL METALS INC COM STK USD0.01		17,500		Units		1,368,850
RUDDICK CORP COM STK USD1		28,500		Units		794,010
RYDER SYSTEM INC COM STK USD0.50		1,400		Units		71,484
SAFECO CORP COM STK NPV		25,300		Units		1,582,515
SANDISK CORP COM STK USD0.001		10,900		Units		469,027
SANMINA-SCI CORP COM STK USD0.01		92,400		Units		318,780
SAP AG ADR EACH 1 REP 1 COM NPV(SPONS)LEVEL II		64,700		Units		3,435,570
SCHLUMBERGER COM USD0.01		38,500		Units		2,436,535
SCHOLASTIC CORP COM STK USD0.01		20,100		Units		720,384
SCHWAB(CHARLES)CORP COM STK USD0.01		179,300		Units		3,467,662
SCIENTIFIC GAMES CLASS'A'COM USD0.01		13,100		Units		396,013
SCOTTS MIRACLE-GRO CO CLASS'A'COM STK NPV		26,300		Units		1,358,395
SEACOAST BANKING COM USD0.10		2,900		Units		72,384
SEALY CORP COM STK USD0.01		42,000		Units		619,500
SEARS HLDGS CORP COM STK USD0.01		4,000		Units		671,720
SEITEL COM STK USD0.01(NEW)		195,400		Units		698,555
SEMPRA ENERGY CORP COM STK NPV		34,400		Units		1,940,016
SERVICE CORPORATION INTERNATIONAL COM STK USD1		45,500		Units		466,375
SHERWIN-WILLIAMS CO COM STK USD1		4,800		Units		305,184
SIERRA PACIFIC RESOURCES COM STK USD0.01		23,100		Units		388,773
SILGAN HLDGS INC COM STK USD0.01		11,100		Units		487,512
SIMON PROPERTY GROUP INC COM STK USD0.0001		8,300		Units		840,707
SINCLAIR BROADCAST GROUP INC CLASS'A'COM STK USD0.01		53,300		Units		566,313
SKECHERS USA INC CLASS'A'COM STK USD0.001		4,100		Units		136,571
SKYWEST INC COM STK NPV		6,200		Units		158,348
SMART & FINAL COM USD0.01		6,900		Units		130,410
SMITHFIELD FOODS COM USD0.5		13,000		Units		333,580
SMUCKER(J.M.)CO COM STK NPV		13,600		Units		659,192
SMURFIT-STONE CONTAINER CORP COM STK USD0.01		29,700		Units		313,632
SONOCO PRODUCTS CO COM STK NPV		42,300		Units		1,609,938
SOUTHWEST BANCORP INC OKLAHOMA COM STK USD1		3,100		Units		86,622
SPARTECH CORP COM STK USD0.75		7,800		Units		204,516
ST MARY LAND & EXPLORATION COM STK USD0.01		5,700		Units		209,988
ST.JUDE MEDICAL INC COM STK USD0.10		93,400		Units		3,414,704
STANCORP FINANCIAL GROUP COM STK NPV		6,100		Units		274,805
STANDEX INTERNATIONAL CORP COM STK USD1.5		15,500		Units		467,015
STANLEY WORKS COM STK USD2.50		10,400		Units		523,016
STARBUCKS CORP COM STK NPV		69,500		Units		2,461,690
STATOIL ADR EACH REP 1 ORD NOK2.50 LVL111(BNY)		59,900		Units		1,576,568
STEEL DYNAMICS INC COM STK USD0.01		12,900		Units		420,540
STEINER LEISURE COM STK USD0.01		29,700		Units		1,351,350
STERIS CORP COM STK NPV		8,100		Units		203,877
STILLWATER MINING CO COM STK USD0.01		87,900		Units		1,097,871
SUNCOR ENERGY COM STK NPV		24,300		Units		1,917,513
SUNOCO INC COM STK USD1		47,400		Units		2,955,864
SWIFT ENERGY CO COM STK USD0.01		13,100		Units		587,011
SY BANCORP INC COM STK NPV		3,000		Units		84,450
SYBASE INC COM STK USD0.001		14,300		Units		353,210
SYKES ENTERPRISES INC COM STK USD0.01		11,800		Units		208,152
SYMMETRY MEDICAL INC COM STK USD0.0001		28,900		Units		399,687
SYNIVERSE HLDGS INC COM STK USD0.001		36,100		Units		541,139
TANGER FACTORY OUTLET CENTERS COM STK USD0.01		10,100		Units		394,708
TARGET CORP COM STK USD0.0833		54,200		Units		3,092,110
TAUBMAN CENTRES INC COM STK USD0.01		4,700		Units		240,805
TECHNITROL INC COM STK USD0.125		46,200		Units		1,103,718
TEKTRONIX INC COM STK NPV		8,200		Units		239,194
TEMPLE-INLAND INC COM STK USD1		18,400		Units		846,952
TEMPUR PEDIC INTERNATIONAL INC COM STK USD0.01		26,100		Units		534,006
TENNECO INC COM STK USD0.01		3,732		Units		92,255
TERADYNE INC COM STK USD0.125		24,800		Units		371,008
TEREX CORP COM STK USD0.01		27,300		Units		1,763,034
TESORO CORP COM STK USD0.1666		23,100		Units		1,519,287
TETRA TECH INC COM STK USD0.01		28,800		Units		520,992
THE MOSAIC COMPANY		63,000		Units		1,345,680
THERAVANCE INC COM STK USD1		30,300		Units		935,967
TJX COS INC COM STK USD1		24,100		Units		687,332
TORCHMARK CORP COM STK USD1		29,700		Units		1,893,672
TOTAL S A SPONSORED ADR(CNV 1/2 SHS EUR10)		22,400		Units		1,611,008
TRIAD HOSPITALS INC COM STK USD0.01		18,200		Units		761,306
TRIQUINT SEMI CONDUCTOR INC COM STK USD0.001		181,900		Units		818,550
TRUSTMARK CORP COM STK NPV		5,000		Units		163,550
TUPPERWARE BRANDS CORP COM STK USD0.01		11,000		Units		251,196
TWEEN BRANDS INC COM STK USD0.01		25,800		Units		1,030,194
TYCO INTERNATIONAL LTD COM STK USD0.20		30,200		Units		921,100
UAP HLDG CORP COM STK USD0.001		27,500		Units		692,450
UBS AG CHF0.10		66,400		Units		4,005,912
UCBH HLDGS INC COM STK USD0.01		9,500		Units		167,105
UNIFI INC COM STK USD0.10		107,000		Units		262,150
UNITED AMERICA INDEMNITY LTD COM STK		6,600		Units		167,178
UNITED BANKSHARES INC COM STK USD2.50		6,400		Units		249,152
UNITED FIRE & CASUALTY CO COM STK USD3.33 1/3		3,700		Units		130,925
UNITED ONLINE INC COM STK USD0.001		33,200		Units		440,896
UNITED RENTALS INC COM STK USD0.01		30,200		Units		767,986
UNITED STATES CELLULAR CORP COM STK USD1		26,500		Units		1,844,135
UNITED STATES STEEL CORP COM STK USD1		18,400		Units		1,345,776
UNITED STATIONERS INC COM STK USD0.10		14,200		Units		662,998
UNITED TECHNOLOGIES CORP COM STK USD1		44,700		Units		2,794,644
UNITEDHEALTH GROUP INC COM STK USD0.01		26,800		Units		1,439,964
UNIVERSAL COMPRESSION HLDS COM STK USD0.01		3,600		Units		223,596
UNIVERSAL CORP COM STK NPV		3,300		Units		161,733
UNIVERSAL TECHNICAL INSTITUTE COM STK USD0.0001		23,700		Units		526,377
URS CORP COM STK USD0.01		53,000		Units		2,271,050
VALASSIS COMMUNICATIONS INC COM STK USD0.01		26,100		Units		378,450
VALSPAR CORP COM STK USD0.50		49,900		Units		1,385,723
VARIAN SEMICONDUCT EQUIP ASSOC INC COM STK USD1		35,500		Units		1,615,960
VECTREN CORP COM NPV		21,200		Units		599,536
VERIGY LTD COM NPV		13,700		Units		243,175
VERITAS DGC INC COM STK USD0.01		2,200		Units		188,386
VF CORP COM STK NPV		20,800		Units		1,707,264
VIAD CORP COM STOCK USD1.5		9,900		Units		402,336
VISHAY INTL USD0.10		107,100		Units		1,450,134
VULCAN MATERIALS CO COM STK USD1		4,500		Units		404,415
WALT DISNEY CO. DISNEY COM USD0.01		148,400		Units		5,132,261
WARNACO GROUP INC CLS'A'COM STK USD0.01		26,400		Units		670,032
WASHINGTON GROUP INTERNATIONAL INC COM STK USD0.01		15,900		Units		950,661
WASHINGTON MUTUAL INC COM STK NPV		41,900		Units		1,906,031
WATERS CORP COM STK USD0.01		30,500		Units		1,493,585
WATSON WYATT WORLDWIDE INC CLASS'A'COM STK USD0.01		15,900		Units		719,078
WAUSAU PAPER CORP COM STK NPV		12,200		Units		182,878
WELLPOINT INC COM STK USD0.01		61,000		Units		4,800,090
WERNER ENTERPRISES INC COM STK USD0.01		73,400		Units		1,283,032
WEST COAST BANCORP ORE COM STK USD0.01		4,000		Units		138,560
WESTAMERICA BANCORP COM STK NPV		2,400		Units		121,512
WEYERHAEUSER CO COM STK USD1.25		6,200		Units		438,030
WHIRLPOOL CORP COM STK USD1		11,600		Units		963,032
WHOLE FOODS MARKET INC COM STK NPV		64,000		Units		3,003,520
WILLIAMS-SONOMA INC COM STK USD0.01		13,500		Units		424,440
WILLIS GROUP HOLDINGS COM STK USD0.000115		10,200		Units		407,439
WINNEBAGO INDUSTRIES INC COM STK USD0.50		26,000		Units		858,330
WSFS FINANCIAL CORP COM STK USD0.01		1,900		Units		127,167
WYETH COM USD0.333		57,900		Units		2,948,268
XEROX CORP COM STK USD1		53,500		Units		906,825
XM SATELLITE RADIO HLDGS CLASS'A'COM STK USD0.01		73,700		Units		1,064,965
ZALE CORP COM STK USD0.01		28,500		Units		803,985
ZUMIEZ INC COM STK NPV		20,500		Units		605,570
ABBOTT LABS COM NPV		800		Units		39,171
ADOBE SYSTEMS INC COM STK USD0.0001		1,800		Units		74,784
AGILENT TECHNOLOGIES INC COM STK USD0.01		700		Units		24,311
ALCON INC CHF0.20		500		Units		56,354
AMEDISYS INC COM STK USD0.001		2,100		Units		70,157
AMER INTL GRP COM USD2.50		1,200		Units		86,293
AMERICAN EXPRESS CO COM USD0.20		600		Units		36,682
AMGEN INC COM USD0.0001		300		Units		20,431
APPLE INC COM STK NPV		700		Units		56,134
ATWOOD OCEANICS INC COM STK USD1		(1,000	)	Units		(49,204	)
BOEING CO COM STK USD5		600		Units		53,180
BORG-WARNER INC COM STK USD0.01		(2,865	)	Units		(169,792	)
BROADCOM CORP CLASS'A'COM STK USD0.0001		900		Units		28,991
CAREMARK RX INC COM STK USD0.001		12,700		Units		723,597
CIGNA CORP COM STK USD0.25		100		Units		13,230
CISCO SYSTEMS COM USD0.001		2,900		Units		79,676
COACH INC COM STK USD0.01		1,200		Units		52,126
COLDWATER CREEK COM STK USD0.01		(3,500	)	Units		(86,903	)
COMTECH TELECOMMUNICATIONS COM STK USD0.10		(1,216	)	Units		(46,886	)
CORNING INC COM STK USD0.50		1,000		Units		18,739
ELECTRONIC ARTS COM USD0.01		800		Units		40,532
EXPEDIA INC COM STK USD0.001		5,600		Units		117,621
EXPRESS SCRIPTS IN COM USD0.01		3,200		Units		231,941
FOUNDRY NETWORKS INC COM STK USD0.0001		(1,000	)	Units		(15,040	)
GENENTECH INC COM USD0.02		600		Units		48,041
GENERAL ELECTRIC CO. COM STK USD0.06		1,500		Units		56,181
GILEAD SCIENCES COM USD0.001		1,000		Units		64,902
GOLDMAN SACHS GROUP INC COM STK USD0.01		200		Units		40,111
GOOGLE INC COM STK USD0.001 CLS'A'		200		Units		92,794
HOSPIRA INC COM STK USD0.01		(1,800	)	Units		(60,715	)
INFOSYS TECHNOLOGIES ADR EACH REPR 1ORD INR5		300		Units		16,428
INTEGRATED ALARM SERVICES GROUP INC COM STK		17,700		Units		57,122
INTERCONTINENTAL EXCHANGE INC COM STK USD0.01		200		Units		21,669
INTERNATIONAL GAME TECHNOLOGY COM STK USD0.000625		200		Units		9,216
LANCE INC COM STK USD0.833		(2,103	)	Units		(42,762	)
LOWE'S COS INC COM STK USD0.50		800		Units		24,862
MACY'S INC COM STK USD0.01		600		Units		22,835
MARRIOTT INTERNATIONAL INC COM STK USD0.01 CL'A'		800		Units		38,470
MARVELL TECH GROUP COM NPV		2,300		Units		44,016
MERRILL LYNCH & CO INC COM STK USD1.333		500		Units		46,696
MICROSOFT CORP COM USD0.0000125		2,700		Units		80,743
MONSANTO CO NEW(DELAWARE) COM STK USD0.01		200		Units		10,580
MORGAN STANLEY BDS 18/OCT/2016 USD100000		(10,000	)	Units		(10,036	)
MOTOROLA INC COM STK USD3		1,300		Units		26,737
NEWS CORP CLASS'A'NON VTG COM STKUSD0.01		1,700		Units		36,868
NII HOLDINGS INC COM STK USD0.001		400		Units		25,532
NIKE INC CLASS'B'COM STK NPV		500		Units		49,723
NOVARTIS AG ADR EACH REPR 1 CHF0.50(REGD)		800		Units		46,212
NUVEEN INVESTMENTS CLASS'A'COM USD0.01		(500	)	Units		(26,318	)
NYSE GROUP INC COM STK USD0.01		300		Units		29,029
OCCIDENTAL PETROLEUM CORP COM USD0.20		500		Units		24,545
OXFORD INDUSTRIES INC COM STK USD1		600		Units		29,814
PEPSICO INC CAP USD0.016666		900		Units		56,595
PRICELINE.COM INC COM STK USD0.008		(1,800	)	Units		(78,695	)
PROCTER & GAMBLE CO COM STK NPV		600		Units		38,611
QUALCOMM INC COM STK USD0.0001		1,600		Units		60,454
RARE HOSPITALITY INC COM STK NPV		1,700		Units		56,111
RESEARCH IN MOTION COM NPV		300		Units		38,798
RESOURCES CONNECTION INC COM STK USD0.01		1,300		Units		42,160
ROCHE HLDG AG ADR-REPR GENUS PTG CERT NPV		800		Units		71,862
SANDISK CORP COM STK USD0.001		(1,000	)	Units		(43,190	)
SAP AG ADR EACH 1 REP 1 COM NPV(SPONS)LEVEL II		600		Units		31,850
SCHLUMBERGER COM USD0.01		500		Units		31,809
SCHWAB(CHARLES)CORP COM STK USD0.01		2,400		Units		46,487
ST.JUDE MEDICAL INC COM STK USD0.10		1,200		Units		43,925
STARBUCKS CORP COM STK NPV		800		Units		28,527
SUNCOR ENERGY COM STK NPV		300		Units		23,568
TARGET CORP COM STK USD0.0833		700		Units		39,947
UBS AG CHF0.80		800		Units		48,451
UNITED TECHNOLOGIES CORP COM STK USD1		500		Units		31,317
VARIAN SEMICONDUCT EQUIP ASSOC INC COM STK USD1		3,100		Units		142,537
VERIGY LTD COM NPV		0		Units		0
WALT DISNEY CO. DISNEY COM USD0.01		1,900		Units		65,901
WHOLE FOODS MARKET INC COM STK NPV		800		Units		37,515
WILLIAMS-SONOMA INC COM STK USD0.01		3,600		Units		115,139
WYETH COM USD0.333		700		Units		35,854
Total Corporate Stock					$	664,080,967

Corporate Debt Securities
AIFUL CORPORATION 5% DUE 10/AUG/2005		70,000		Units		69,299
ALTERNATIVE LOAN TRUST 2006-OA 4-A-1 VARIABLE 5-Aug-46		383,443		Units		383,907
ALTRIA GROUP INC 7.00% 04/NOV/2013		200,000		Units		219,520
AMERICAN HOME MORTGAGE ASSETS TRUST 2006-2 2A1 VARIABLE 25/SEP/2046		372,607		Units		373,388
AMERICAN HOME MORTGAGE ASSETS TRUST 2006-3 3A12 VAR 25/OCT/2046		361,388		Units		359,990
AMERICAN HOME MORTGAGE ASSETS TRUST 2006-4 I A-1- VARIABLE 25/OCT/2046		393,961		Units		394,959
ANADARKO FINANCE CORP 7.5% BDS 01/MAY/2031 USD1000		120,000		Units		137,654
ANADARKO PETROLEUM CORP 5.79% SR FLTG RATE NTS 15/SEP/2009 USD1000		110,000		Units		110,748
ANADARKO PETROLEUM CORP 5.95% SNR NTS 15/SEP/2016 USD1000		70,000		Units		71,327
ANADARKO PETROLEUM CORP 6.45% SNR NTS 15/SEP/2036 USD1000		110,000		Units		113,165
AOL TIME WARNER INC 6.875% NTS 01/MAY/2012 USD1000		100,000		Units		106,821
AOL TIME WARNER INC 7.7% BDS 01/MAY/2032 USD1000		30,000		Units		34,234
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2006-3 A-4 VARIABLE 10/JUL/2044		430,000		Units		449,104
BANC OF AMERICA FUNDING 2006-E TRUST 2006-E 2-A-1 VARIABLE 20/JUN/2036		269,964		Units		273,235
BANC OF AMERICA FUNDING 2006-G TRUST 2006-G 2-A-2 VARIABLE 20/JUL/2036		356,494		Units		356,596
BANK OF AMERICA CORP 5.375% BDS 15/AUG/2011 USD1000		90,000		Units		92,463
BAYVIEWW 2003 LJ1 A4 3.44% DUE 25-APRL-12		108,346		Units		106,101
BEAR STEARNS ALT-A TR 2004-11 MTG PASSTHRU CTF CL II-A-2		363,507		Units		371,302
BEAR STEARNS SECURITIES TRUST 01-3 A-1 VARIABLE 25-Oct-32		14,734		Units		14,815
C-BASS MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-MH AF-3 1 VARIABLE 25/OCT/2036		100,000		Units		101,271
CE ELEC UK FDG CO SRNT144A6.995% 30/DEC/2007		250,000		Units		253,313
CITIGROUP INC 4.125% 22/FEB/2010		310,000		Units		305,297
CLEAR CHANNEL COMMUNICATIONS INC 6.25% BDS 15/MAR/2011 USD1000		80,000		Units		79,218
COMCAST CORP 6.5% BDS 15/JAN/2017 USD1000		90,000		Units		96,631
COMCAST CORP 6.50 15/JAN/2015		210,000		Units		225,099
COMM 2006-C8 A-4 5.306% 10/DEC/2046		310,000		Units		309,872
COMMERCIAL MORTGAGE ACCEPTANCE CORP. 97- ML1 A-4 6.735% 15/DEC/2030		303,920		Units		307,136
CONOCO INC 6.95% SNR NTS 15/APR/2029 USD1000		280,000		Units		322,154
COUNTRYWIDE ALTERNATIVE LOAN TRUST SER#2005-59 FLTG RTE DUE 20/NOV/2035		324,919		Units		326,609
COUNTRYWIDE HOME EQUITY LOAN TRUST 2004-R CL 2A		313,284		Units		315,348
CREDIT SUISSE COMMERCIAL MTG TRUST 5.467% CMO 15/SEP/2039 USD1000 CL'A3'		360,000		Units		364,411
CREDIT SUISSE WARBURG PINCUS TRUST 5.5% NTS 16/AUG/2011 USD1000		40,000		Units		41,261
CSMC TRUST 2006-CF2 VAR 25/MAY/2036		296,721		Units		297,277
CWABS ASSET-BACKED NOTE TRUST 2006-SD A-1 14 VARIABLE 25/JUL/2036		354,434		Units		355,877
CWALT ALTERNATIVE LN TR SER 2006 OA FR CMO 20/DEC/2046 USD1000 '1-A1-A		395,403		Units		395,741
CWALT INC 12667GPB3 20/JUL/2035		333,333		Units		334,735
CWALT INC 2005-44 MTG PASSTHRU CTF 1A1 FLT		562,802		Units		564,273
CWHEQ REVOLVING HOME EQUITY LOAN RESECURITIZATION TRUST 2006-RE 04-F-1 VARIABLE 15/MAY/2034		317,319		Units		318,170
CWMBS INC 12669GUX7 25/MAR/2035		283,394		Units		284,259
CWMBS, INC. 2003-60 DUE 25/FEB/2034		368,066		Units		368,231
DAIMLERCHRYSLER NA HLDGS 5.875% BDS 15/MAR/2011 USD100000		170,000		Units		173,581
DEUTSCHE TELEKOM INTL FINANCE B.V. 5.75% BDS 23/MAR/2016 USD1000		70,000		Units		70,067
DEVON ENERGY CORP 7.95% SR DEB 15/APR/2032 USD		120,000		Units		148,101
DOMINION RESOURCES INC 5.7% 17/SEP/2012		130,000		Units		133,614
DRIVE AUTO RECEIVABLES TRUST 2006-2 A-3 14 5.330% 15-Apr-14		320,000		Units		322,758
DUKE ENERGY CORP 5.625% DUE 30/NOV/2012		170,000		Units		173,893
EXELON CORP 5.625% BDS 15/JUN/2035 USD1000		120,000		Units		113,335
FIRSTENERGY CORP 6.45% BDS 15/NOV/2011 USD1000		80,000		Units		84,084
FIRSTENERGY CORP 7.375% BDS 15/NOV/2031 USD1000		200,000		Units		229,652
GENERAL ELECT CAP CORP 4.125% 01/SEP/2009		310,000		Units		306,512
GLITNIR BANKI HF 6.33% NTS 28/JUL/2011 USD1000 144A'		150,000		Units		158,057
GOLDMAN SACHS GROUP LP 4.500 15JNE15/JUN/2010		110,000		Units		107,881
GREENPOINT MORTGAGE FUNDING TRUST 2006-AR 1- A1A VARIABLE 25/OCT/2046		395,149		Units		395,607
GREENPOINT MORTGAGE FUNDING TRUST 2006-AR A1-A VARIABLE 25/SEP/2046		383,066		Units		383,243
GSAA HOME EQUITY TRUST SER 2005-5 CL A4		400,000		Units		401,651
HARBORVIEW MORTGAGE LOAN TRUST 2006-7 2A-1A VARIABLE 19/SEP/2036		358,082		Units		358,801
HARBORVIEW MORTGAGE LOAN TRUST 2006-9 2A1A VAR 19-Nov-36		390,721		Units		392,273
HOUSEHOLD FINANCE CORP 4.625% DUE 15/JAN/2008		300,000		Units		304,391
HYPOTHEKENBANK IN ESSEN 5% MTN 20/JAN/2012 USD1000 144A'		10,000		Units		10,018
IMPAC CMB TRUST SER 2003-12 CL A1		105,953		Units		106,101
IMPERIAL CMB TRUST SERIES 2003-4 DUE 25FEB25/FEB/2033		13,744		Units		13,761
IXIS REAL ESTATE CAPITAL TRUST 2006-HE A-1 VARIABLE 25/AUG/2036		240,575		Units		240,796
JPMORGAN CHASE & CO 5.125% 15/SEP/2014		410,000		Units		409,347
KERR MCGEE CORP 6.95% 01/JUL/2024		30,000		Units		32,993
KINDER MORGAN ENER PART		70,000		Units		66,684
KONINKLIJKE KPN NV 8% BDS 01/OCT/2010 USD1000		120,000		Units		131,878
LANDSBANKI ISLAND 6.1% NTS 25/AUG/2011 USD1000 144A'		150,000		Units		155,703
LEHMAN BROTHERS HOLDINGS 4.00% DUE 22/JAN/2008		130,000		Units		130,506
LEHMAN XS TRUST 2006-14 1-A1B VARIABLE 25/SEP/2046		392,681		Units		393,333
LEHMAN XS TRUST 2006-GP 3-A1A VAR 25/AUG/2046		376,891		Units		376,938
MERRILL LYNCH MORTGAGE TRUST 2006-C1 A-4 VARIABLE 12-May-39		400,000		Units		413,514
METLIFE INC BDS 15/DEC/2066 USD1000		90,000		Units		90,589
MORGAN STANLEY 3.625% 01/APR/2008		40,000		Units		39,553
MORGAN STANLEY 5.625% BDS 09/JAN/2012 USD1000		130,000		Units		135,027
MORGAN STANLEY BDS 18/OCT/2016 USD100000		30,000		Units		30,398
MORGAN STANLEY MORTGAGE LOAN TRUST 4.215% CMO 25/AUG/2034 USD		88,825		Units		88,953
NELNET STUDENT LN TR 2005-2 A2		219,968		Units		219,831
NEWS AMERICA INC 6.2% BDS 15/DEC/2034 USD1000		50,000		Units		48,399
ONCOR ELECTRIC DELIVERY CO 6.375% NTS 15/JAN/2015 USD1000		10,000		Units		10,602
PACIFIC GAS & ELECTRIC 6.05% 01/MAR/2034		90,000		Units		92,587
PETROBRAS INTERNATIONAL FINANCE 6.125% NTS 06/OCT/2016 USD1000		90,000		Units		92,202
RESIDENTIAL CAPITAL CORP 6% BDS 22/FEB/2011 USD1000		440,000		Units		448,628
RESONA PFD GLOBAL SECS VAR PERP 144A		60,000		Units		64,438
SHINSEI FIN CAYMAN LTD 6.418%/FR PRF SEC 29/1/49 USD1000'144A'		110,000		Units		113,064
SIERRA TIMESHARE RECEIVABLES FUNDING LLC 2006-1 A-2 14 VARIABLE 20/MAY/2018		294,648		Units		295,119
SMFG PREFERRED CAPITAL VAR BDS PERPETUAL USD100000 144A'		100,000		Units		99,489
SPRINT CAP CORP NT 8.375% DUE 15/MAR/2012		190,000		Units		215,848
SPRINT CAP CORP NT 8.75% 15/MAR/2032 UNRESTRICTED		20,000		Units		24,588
SPRINT NEXTEL CORP 6% NTS 01/DEC/2016 USD1000		70,000		Units		68,702
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR I-A-3 VARIABLE 25/JUL/2036		369,204		Units		370,256
STRUCTURED ASSET MORTGAGE INVESTMENTS INC 2006-AR7 A1A VAR 25/AUG/2036		386,069		Units		387,180
SUNTRUST CAPITAL VIII 6.1% NTS 15/12/36 USD1000		120,000		Units		117,250
TELECOM ITALIA CAPITAL 5.25% 01OCT20015		70,000		Units		66,306
TERWIN MORTGAGE TRUST TMTS 20 AF-3 VARIABLE 25-Jul-36		200,000		Units		197,716
THORNBURG MORTGAGE SECURITIES TRUST 2005-2 A4 FLT 25-Jul-45		352,688		Units		353,023
THORNBURG MORTGAGE SECURITIES TRUST 2005-4 A-3 VARIABLE 25/DEC/2035		374,413		Units		374,471
THORNBURG MORTGAGE SECURTIES TRUST SERIES 2005-2 CL A3 VAR 25/JUL/2045		339,108		Units		339,528
TXU CORP 5.55% SNR NTS 15/NOV/2014 USD1000 SER'P'		30,000		Units		28,693
TYCO INTERNATIONAL 6% NTS 15/NOV/2013 USD1000		220,000		Units		229,315
VALE OVERSEAS LTD 6.875% NTS 21/NOV/2036 USD1000		110,000		Units		113,661
VERIZON GLOBAL FUNDING CORP 7.375% BDS 01/SEP/2012 USD1000		40,000		Units		44,716
VIACOM INC 5.75% 30/APR/2011		40,000		Units		40,410
WACHOVIA CORPORATION 5.25% 01/AUG/2014		290,000		Units		292,811
WACHOVIA MTG LN TR 2005-A 1-A-1 20/SEP/2035 FLT		336,283		Units		333,246
WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2005-AR A-1A2 VARIABLE 25/DEC/2045		288,544		Units		289,927
WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2005-AR A-1A2 VARIABLE 25/DEC/2045		257,233		Units		258,217
WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR 1-A1 VARIABLE 25/SEP/2036		182,929		Units		185,415
WAMU MORTGAGE PASS-THROUGH TRUST 2005 AR14 1A1		161,113		Units		160,182
WASTE MGMT INC DEL SR NT 6.375% 15/NOV/2012		130,000		Units		137,198
WELLS FARGO CAPITAL VAR BDS 01/DEC/2086 USD100000		100,000		Units		98,450
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2006-AR II-A-3 VARIABLE 25/APR/2036		338,779		Units		337,712
WEYERHAEUSER CO 6.75% NTS 15/MAR/2012 USD1000		250,000		Units		267,160
Total Corporate Debt Securities					$	23,944,744

Government Bonds
UNITED MEXICAN STATES 7.5% 08APR08/APR/2033		277,000		Units		331,650
UNITED STATES OF AMER TREAS BONDS 2% BDS 15/JAN/2026 USD1000		80,000		Units		77,296
UNITED STATES OF AMER TREAS BONDS 4.5% BDS 15/FEB/2036 USD1000		380,000		Units		367,815
UNITED STATES OF AMER TREAS NOTES 2.375% NTS 15/APR/2011 USD1000		1,150,000		Units		1,171,091
UNITED STATES OF AMER TREAS NOTES 3.875% TIPS 15/JAN/2009 USD1000		20,000		Units		25,744
UNITED STATES OF AMER TREAS NOTES 4.625% TB 31/OCT/2011 USD1000 SER 'P'		1,150,000		Units		1,154,932
UNITED STATES OF AMER TREAS NOTES 4.625% TB 'R' 31/DEC/2011 USD1000		770,000		Units		767,414
UNITED STATES OF AMER TREAS NOTES 5.125% NTS 15/MAY/2016 USD1000		30,000		Units		31,101
UNITED STATES OF AMER TREAS NOTES FLT TIPS 15/APR/2029 USD1000		80,000		Units		124,546
UNITED STATES OF AMER TREAS NOTES INFL I/L NTS 15/JUL/2015 USD1000		40,000		Units		40,153
UNITED STATES OF AMERICA TREASURY BONDS VAR 15-Jul-16		190,000		Units		193,610
UNITED STATES TREAS NTS 04.875% 30/APR/2011		2,200,000		Units		2,232,634
USA TREASURY NTS 4.875% T-NTS 15/AUG/2016 USD		30,000		Units		30,911
USA TREASURY NTS VAR TIPS 15/APR/2010 USD1000		230,000		Units		232,853
US TREASURY NOTE - 4.625%, 2/28.2008 (912828EY)		2,020,000		Units		2,011,478
UNITED STATES OF AMER TREAS NOTES 4.625% TB 'R'		(770,000	)	Units		(768,123	)
Total Government Bonds					$	8,025,105

Mortgage Backed Securities
FEDERAL HOME LN MTG CORP MTN CALL 5.5%11/DEC/2008		60,000		Units		60,147
FEDERAL HOME LOAN BANKS 4.875% BDS 18/NOV/2011 USD10000		140,000		Units		140,581
FEDERAL HOME LOAN BANKS 5.4% BDS 02/JAN/2009 USD10000		90,000		Units		89,865
FEDERAL HOME LOAN MTG CORP		90,000		Units		86,545
FEDERAL NATL MTG ASSN DISC NT MATURES 25/JUN/2007		350,000		Units		341,537
FEDERAL NATIONAL MORTGAGE ASSOC 5.4% NTS 13/APR/2009 USD1000		20,000		Units		20,230
FEDERAL NATIONAL MORTGAGE ASSOC 6% MTG BCKD P/THRU 15/1/34 USD1000		3,950,000		Units		3,975,920
FEDERAL NATIONAL MORTGAGE ASSOC 6.5% MTG BKD P/THRU 15/1/32 USD1000		1,780,000		Units		1,813,375
FNMA TBA 15YR TBA 05.000% JAN		1,000,000		Units		982,812
FNMA TBA 5.5% MBPT 15/1/19 USD1000		2,000,000		Units		1,999,376
FNMA TBA SF 5.0 30 YR JAN		8,200,000		Units		7,915,558
RUSSIAN FEDERATION VAR BDS 31/MAR/2030 USD REGS		300,000		Units		344,137
TBA FNMA SF 5.50 30 YRS JAN		2,100,000		Units		2,075,063
TBA GNMA 5.50 30 YR JAN		950,000		Units		945,250
TBA GNMA I SF 6.00 30 YRS JAN		2,100,000		Units		2,128,875
FEDERAL HOME LOAN BANKS 5.4% BDS 02/JAN/2009		(90,000	)	Units		(89,982	)
FEDERAL NATIONAL MORTGAGE ASSOC 6% MTG BCKD P/THRU		(3,950,000	)	Units		(3,987,016	)
FEDERAL NATIONAL MORTGAGE ASSOC 6.5% MTG BKD		(1,780,000	)	Units		(1,817,215	)
FNMA TBA 15YR TBA 05.000% JAN		(1,000,000	)	Units		(992,344	)
FNMA TBA 5.5% MBPT 15/1/19 USD1000		(2,000,000	)	Units		(2,013,047	)
FNMA TBA SF 5.0 30 YR JAN		(8,200,000	)	Units		(8,006,941	)
TBA FNMA SF 5.50 30 YRS JAN		(2,100,000	)	Units		(2,084,992	)
TBA GNMA 5.50 30 YR JAN		(950,000	)	Units		(950,742	)
TBA GNMA I SF 6.00 30 YRS JAN		(2,100,000	)	Units		(2,135,557	)
Total Mortgage Backed Securities					$	841,435

Registered Investment Companies
AIM ENERGY CLASS B		117		Units		4,298
AIM HIGH YIELD INVESTOR CLASS		7,857		Units		35,513
AIM INTERNATIONAL CORE EQUITY INV CL		4,533		Units		66,492
AIM LEISURE INVESTOR CLASS		108		Units		5,141
ALLIANCEBER GLOBAL GOV'T INCOME TR CL A		4,347		Units		33,690
ALLIANCEBER INTL VALUE ADVISOR		1,683		Units		38,260
ALLIANZ NFJ DIVIDEND VALUE FD CL D		1,957		Units		33,382
ALPINE DYNAMIC DIVID FUND		2,428		Units		31,421
ALPINE INTERNATIONAL REAL ESTATE EQUITY Y		1,871		Units		76,193
ALPINE REALTY INCOME & GROWTH Y		627		Units		17,168
AMANA MUTUAL FUND TRUST GROWTH		2,087		Units		43,148
AMANA MUTUAL FUND TRUST INCOME		2,402		Units		66,604
AMERICAN AMCAP CLASS A		955		Units		19,126
AMERICAN BALANCED CL R5		19,806		Units		376,900
AMERICAN BALANCED CLASS R3		308		Units		5,832
AMERICAN BEACON BALANCED		4,439		Units		63,342
AMERICAN BEACON ERMG MKTS PLANAHEAD CL		780		Units		13,023
AMERICAN BEACON LARGE CAP VALUE PLAN		5,196		Units		118,363
AMERICAN BOND FUND OF AMERICA CL R3		4,880		Units		65,002
AMERICAN CAPITAL INCOME BUILDER CL A		1,846		Units		112,824
AMERICAN CAPITAL INCOME BUILDER CL R3		234		Units		14,295
AMERICAN CAPITAL INCOME BUILDER R5		476		Units		29,093
AMERICAN CAPITAL WORLD GRTH & INC A		281		Units		11,762
AMERICAN CAPITAL WORLD GRWTH & INC R5		908		Units		38,080
AMERICAN CENTURY CAPITAL PRESERVATION		202,280		Units		204,523
AMERICAN CENTURY CAPITAL VAL INV SHR		1,141		Units		9,529
AMERICAN CENTURY EMERGING MARKETS INV		11,933		Units		107,278
AMERICAN CENTURY EQUITY GROWTH		1,857		Units		47,611
AMERICAN CENTURY EQUITY INCOME		24,133		Units		207,061
AMERICAN CENTURY GLOBAL GOLD		3,906		Units		76,670
AMERICAN CENTURY HERITAGE		2,311		Units		36,487
AMERICAN CENTURY INTERNATIONAL BOND		3,737		Units		51,501
AMERICAN CENTURY LARGE CO. VAL CL A		1,160		Units		8,805
AMERICAN CENTURY MID CAP VALUE INV SHS		465		Units		5,979
AMERICAN CENTURY ONE CHOICE VERY AGGR INV		209		Units		2,805
AMERICAN CENTURY REAL ESTATE		1,582		Units		48,027
AMERICAN CENTURY TAX FREE BOND		469		Units		5,064
AMERICAN CENTURY UTILITIES		3,048		Units		49,676
AMERICAN EUROPACIFIC GROWTH CL R5		460		Units		21,423
AMERICAN EUROPACIFIC GROWTH CLASS A		380		Units		17,710
AMERICAN FUNDAMENTAL INVESTORS R3		625		Units		24,998
AMERICAN FUNDAMENTAL INVESTORS R5		2,841		Units		113,811
AMERICAN GROWTH FUND OF AMERICA CL R3		180		Units		5,846
AMERICAN GROWTH FUND OF AMERICA CL R5		5,335		Units		175,299
AMERICAN GROWTH FUND OF AMERICA CLASS F		117		Units		3,811
AMERICAN HIGH INCOME TRUST R3		2,717		Units		34,258
AMERICAN INCOME FUND OF AMERICA CLASS A		4,918		Units		100,135
AMERICAN INCOME FUND OF AMERICA R5		742		Units		15,107
AMERICAN NEW PERSPECTIVE CLASS A		3,608		Units		114,511
AMERICAN SMALLCAP WORLD CLASS C		318		Units		11,900
AMERICAN WORLD GROWTH INCOME CL R3		795		Units		33,197
ARIEL FUND		162		Units		8,402
ARTISAN OPPORTUNISTIC VALUE		901		Units		10,054
ASTON/ABN REAL ESTATE CL N		167		Units		2,726
ASTON/TAMRO LARGE CAP VALUE CL N		1,200		Units		15,242
BANKS ULTRA SECTOR PRO FUND INVESTOR		436		Units		19,895
BARON ASSET		2,088		Units		124,883
BARON PARTNERS FUND		6,697		Units		149,618
BIOTECHNOLOGY ULTRA SECTOR PRO FD INVS		178		Units		9,576
BRANDYWINE BLUE		5,474		Units		173,514
BRIDGEWAY AGGRESSIVE INVESTOR 2		2,119		Units		35,866
BRIDGEWAY BALANCED PORTFOLIO		729		Units		9,137
BRIDGEWAY SMALL CAP GROWTH CL N		3,821		Units		54,532
BRIDGEWAY ULTRA SMALL CO MARKET		2,940		Units		57,456
BUFFALO SCIENCE & TECHNOLOGY FD		763		Units		10,017
BUFFALO BALANCED FUND		525		Units		6,174
BUFFALO HIGH YIELD		1,190		Units		13,267
BUFFALO MID CAP FUND		7,556		Units		113,411
BUFFALO USA GLOBAL		1,259		Units		28,033
CAMBIAR OPPORTUNITY INVESTOR CL		4,544		Units		92,282
CAPITAL WORLD BOND FUND R5		3,060		Units		58,837
COHEN & STEERS REALTY SHARES		1,805		Units		161,432
COLUMBIA SMALL CAP VALUE II CL A		807		Units		10,954
CRM MID CAP VALUE INVESTOR SHARES		614		Units		18,057
DAVIS NEW YORK VENTURE INSTL CL Y		4,207		Units		163,882
DELAWARE DIVERSIFIED INCOME FD CL A		1,391		Units		12,184
DIAMOND HILL FINANCIAL LONG/SHT A		489		Units		10,215
DIAMOND HILL LARGE CAP CLASS A		1,561		Units		25,535
DIAMOND HILL LONG SHORT CLASS A		1,631		Units		30,296
DIREXION EMERGING MKTS BULL 2X INVST		473		Units		14,968
DODGE & COX INTERNATL STOCK FUND		18,369		Units		827,722
DREYFUS S&P 500 STOCK INDEX FUND		96		Units		2,834
DREYFUS APPRECIATION FUND		482		Units		21,115
DREYFUS FOUNDERS MID CAP GROWTH FD CL R		850		Units		5,000
DREYFUS LIFETIME GROWTH INVESTOR SHS		173		Units		3,068
DREYFUS PREMIER GREATER CHINA CL R		1,293		Units		46,412
DREYFUS PREMIER S&P STARS OPPR CL T		138		Units		3,070
DWS GOLD & PRECIOUS METALS CL S		8,587		Units		177,412
EVERGREEN EMERG MKTS GROWTH FUND CLASS C		687		Units		13,263
EXCELSIOR EMERGING MARKETS		1,067		Units		15,110
EXCELSIOR ENERGY & NATURAL RESOURCES		93		Units		2,023
EXCELSIOR INTERNATL		4,145		Units		75,850
EXCELSIOR LARGE CAP GROWTH		3,020		Units		31,047
EXCELSIOR MID CAP VALUE & RESTRUCTING		817		Units		17,600
EXCELSIOR SMALL CAP		710		Units		12,812
EXCELSIOR VALUE AND RESTRUCTURING		3,332		Units		175,081
FAIRHOLME FUND		18,134		Units		551,422
FALLING US DOLLAR PRO FUND INV CLASS		513		Units		14,865
FBR LARGE CAP FINANCIAL CLASS		66		Units		1,348
FEDERATED HIGH YIELD INSTL FUND		5,729		Units		34,833
FIDELITY ADV HIGH INC ADVANTAGE CL B		480		Units		5,026
FIDELITY ADVISOR DIVERSIFIED INT'L I		338		Units		7,816
FIDELITY ADVISOR HIGH INCOME ADV CL I		279		Units		2,829
FIDELITY ADVISOR LEVERGED CO STK CL I		501		Units		16,608
FIDELITY ADVISOR UTILITIES CLASS A		128		Units		2,467
FIDELITY BALANCED		1,005		Units		19,534
FIDELITY BLUE CHIP VALUE		1,363		Units		20,173
FIDELITY CANADA		1,859		Units		89,665
FIDELITY CAPITAL & INCOME		7,989		Units		71,018
FIDELITY CAPITAL APPRECIATION		229		Units		6,205
FIDELITY EMERGING MARKETS		445		Units		10,845
FIDELITY EUROPE		757		Units		29,785
FIDELITY EUROPE CAPITAL APPRECIATION		1,025		Units		27,960
FIDELITY FLOATING RATE HIGH INCOME		8,279		Units		82,373
FIDELITY FREEDOM 2020		2,642		Units		41,024
FIDELITY INTERNAT'L REAL ESTATE FUND		775		Units		12,837
FIDELITY INT'L DISCOVERY		548		Units		20,781
FIDELITY INTL SMALL CAP OPP FUND		332		Units		5,242
FIDELITY JAPAN		2,995		Units		51,126
FIDELITY LARGE CAP VALUE		7,397		Units		110,666
FIDELITY LATIN AMERICA		955		Units		42,714
FIDELITY LEVERAGED COMPANY STOCK		5,764		Units		166,997
FIDELITY NORDIC		260		Units		10,398
FIDELITY OTC PORT		2,240		Units		92,627
FIDELITY OVERSEAS		439		Units		19,655
FIDELITY PURITAN		3,768		Units		75,251
FIDELITY REAL ESTATE INVESTMENT		1,349		Units		49,081
FIDELITY SELECT BROKERAGE & INVS MGT		226		Units		16,716
FIDELITY SELECT CHEMICALS		71		Units		4,740
FIDELITY SELECT CNSMER DSCRTNRY PORT		360		Units		9,443
FIDELITY SELECT CONSTRUCTN & HOUSING		221		Units		9,861
FIDELITY SELECT DEFENSE & AEROSPACE		478		Units		38,983
FIDELITY SELECT ENERGY		705		Units		34,376
FIDELITY SELECT ENERGY SERVICE		141		Units		9,519
FIDELITY SELECT ENVIRONMENTAL SVCS		574		Units		9,920
FIDELITY SELECT GOLD		1,341		Units		48,963
FIDELITY SELECT INDUSTRIAL EQUIPMENT		356		Units		11,015
FIDELITY SELECT INDUSTRIALS PORT		504		Units		10,316
FIDELITY SELECT LEISURE		512		Units		40,506
FIDELITY SELECT MATERIALS PORTFOLIO		212		Units		10,044
FIDELITY SELECT MEDICAL DELIVERY		215		Units		10,497
FIDELITY SELECT MEDICAL EQUIP&SYSTEM		450		Units		10,364
FIDELITY SELECT NATURAL GAS		264		Units		9,944
FIDELITY SELECT NATURAL RESOURCES		668		Units		18,620
FIDELITY SELECT SOFTWARE & COMPUTER		2,263		Units		148,368
FIDELITY SELECT TRANSPORT		202		Units		10,140
FIDELITY STRATEGIC DIVIDEND & INCOME		365		Units		4,748
FIDELITY STRATEGIC INCOME		8,465		Units		90,069
FIDELITY VALUE		181		Units		14,571
FIFTH THIRD BALANCED CLASS B		197		Units		2,524
FORWARD HOOVER SMALL CAP EQUITY		2,152		Units		44,052
FORWARD INTERNATIONL EQUITY FUND		195		Units		3,554
FORWARD INTERNTL SMALL CO INVESTOR CL		1,040		Units		19,711
FPA NEW INCOME		1,683		Units		18,256
FRANKLIN GOLD AND PRECIOUS METALS CL C		105		Units		3,291
FRANKLIN INCOME CLASS C		8,584		Units		23,005
FRANKLIN STRATEGIC INCOME C		3,285		Units		33,966
GABELLI ASSET FUND		54		Units		2,565
GABELLI EQUITY INCOME FUND		1,213		Units		25,556
GAMCO GLOBAL TELECOMMUNICATIONS		234		Units		5,260
GAMCO GOLD FUND		1,449		Units		36,186
GLOBAL EMERGING MARKETS		748		Units		11,015
GOLDMAN SACHS ASSET ALLOC GRWTH STRAT A		9,470		Units		137,974
GREENSPRING FUND		173		Units		4,059
GUINNESS ATKINSON GLOBAL ENERGY		206		Units		5,257
GUINNESS ATKINSON GLOBAL INNOVATORS		169		Units		3,039
HARBOR BOND INST.		20,554		Units		237,606
HARBOR CAPITAL APPRECIATION INV CL		2,488		Units		82,220
HARBOR INTERNATIONAL		1,525		Units		94,604
HARBOR INTERNATIONAL INVESTOR SHARES		2,258		Units		139,047
HARDING LOEVNER EMERGING MKT PORT		594		Units		26,580
HARTFORD CAPITAL APPRECIATION CL A		1,811		Units		68,874
HARTFORD CAPITAL APPRECIATION CL C		532		Units		18,477
HARTFORD GLOBAL HEALTH CL C		835		Units		13,810
HARTFORD HIGH YIELD CL A		300		Units		2,413
HEARTLAND SELECT VALUE		2,449		Units		68,430
HEARTLAND VALUE		1,563		Units		80,039
HENNESSY BALANCED		427		Units		5,085
HENNESSY CORNERSTONE GROWTH		448		Units		8,167
ICON ENERGY		873		Units		27,679
ICON EUROPE FUND		198		Units		4,176
ICON FINANCIAL FUND		395		Units		5,867
ICON HEALTHCARE		1,001		Units		16,599
ICON LONG SHORT CLASS I		2,210		Units		38,745
ICON MATERIALS		1,421		Units		16,361
ING RUSSIA CL A		180		Units		11,242
IVY INTERNATIONAL GROWTH FUND CL Y		164		Units		5,462
JAMES ADVANTAGE SMALL CAP		2,732		Units		64,582
JAMES BALANCED: GOLDEN RAINBOW FUND		1,876		Units		33,119
JANUS ADVISER INTERNATL GROWTH S		466		Units		25,318
JANUS CONTRARIAN FUND		2,511		Units		42,256
JANUS CORE FUNDAMENTAL EQUITY		418		Units		10,835
JANUS MID CAP VALUE INVST SHS		471		Units		11,209
JANUS ORION FUND		509		Units		5,022
JANUS OVERSEAS		9,242		Units		453,639
JENNISON NATURAL RESOURCES FD CL Z		759		Units		34,603
JENNISON UTILITY CL C		1,776		Units		25,065
JENSEN PORTFOLIO CLASS J		2,946		Units		79,342
JOHN HANCOCK YIELD FUND CL B		1,287		Units		7,256
JPMORGAN ASIA EQUITY CLASS A		310		Units		9,130
JPMORGAN CAPITAL GROWTH CL A		230		Units		9,198
JPMORGAN DIVERSIF MID CAP GROWTH CL A		247		Units		5,512
JPMORGAN EMERGING MARKETS DEBT SELECT		987		Units		8,605
JPMORGAN EMERGING MARKETS EQUITY CL A		3,044		Units		55,911
JPMORGAN INTERNATL EQUITY INDEX CL A		463		Units		12,853
JPMORGAN INTERNATL VALUE FUND CLASS A		5,770		Units		101,726
JPMORGAN INTERNTL EQUITY FUND CLASS A		309		Units		11,584
JPMORGAN INTREPID EUROPEAN CLASS A		1,611		Units		45,721
JPMORGAN INTREPID MID CAP FUND CLASS A		4,038		Units		68,082
JPMORGAN INVESTOR GROWTH & INCOME CL A		87		Units		1,253
JPMORGAN MULTI MNGR SMALL CAP VALUE FD		223		Units		3,837
JPMORGAN PRIME MMKT FUND MORGAN CLASS		9,241		Units		9,241
JPMORGAN REALTY INCOME FUND CLASS A		1,116		Units		18,677
JPMORGAN SMALL CAP VALUE CLASS A		302		Units		6,971
JPMORGAN US REAL ESTATE CLASS A		1,958		Units		44,298
JPMORGAN VALUE ADVANTAGE CL A		220		Units		4,167
JPMORGAN VALUE OPPORTUNITIES CL A		57		Units		1,134
JULIUS BAER GLOBAL EQUITY CLASS A		124		Units		5,004
JULIUS BAER INTL EQUITY FUND II CL A		3,430		Units		51,753
KEELEY SMALL CAP VALUE FD INC		208		Units		5,429
KINETICS PARADIGM FUND		132		Units		3,392
LAZARD EMERGING MKTS OPEN CLASS		5,532		Units		115,186
LOOMIS SAYLES BOND RETAIL SHARES		46,091		Units		682,511
LOOMIS SAYLES GLOBAL BOND RETAIL		1,691		Units		25,834
MAINSTAY ICAP INTERNATIONAL FD I		194		Units		7,596
MAINSTAY ICAP SELECT EQUITY FD CL I		14,096		Units		612,386
MANAGERS BOND		5,417		Units		134,607
MANAGERS SMALL CAP FUND		342		Units		5,400
MARSHALL MID CAP VALUE CL Y		2,787		Units		42,311
MARSICO 21ST CENTURY FUND		11,908		Units		181,354
MARSICO FOCUS		5,643		Units		108,854
MARSICO GROWTH FUND		9,081		Units		182,434
MARSICO INTERNAT'L OPPORTUNITIES		1,841		Units		31,136
MATRIX ADVISORS VALUE		134		Units		7,712
MATTHEWS ASIA PACIFIC FUND		661		Units		11,183
MATTHEWS ASIAN TECHNOLOGY FUND		3,431		Units		27,176
MATTHEWS CHINA FUND		2		Units		60
MATTHEWS INDIA FUND		2,877		Units		44,453
MATTHEWS KOREA FUND		2,345		Units		14,611
MERGER FUND		1,468		Units		22,938
METZLER PAYDEN EURO EMERGING MKTS CL		2,891		Units		93,728
MIDAS FUND		1,209		Units		5,188
MOBILE TELCOMM ULTRA SECTOR PRO FD INVSTR		299		Units		5,787
MUHLENKAMP FUND		2,338		Units		203,770
MUTUAL SERIES DISCOVERY CLASS Z		3,703		Units		112,789
MUTUAL SERIES EUROPEAN CLASS Z		1,125		Units		27,667
MUTUAL SERIES FINCL SERVICES CLASS Z		1,214		Units		27,413
MUTUAL SERIES MUTUAL BEACON CLASS C		1,102		Units		18,144
MUTUAL SERIES SHARES CLASS Z		4,149		Units		108,250
NEEDHAM GROWTH FUND		383		Units		14,959
NEUBERGER BERMAN INT'L INVESTOR CLASS		763		Units		18,690
NEUBERGER BERMAN INT'L TRUST CLASS		5,195		Units		139,643
NEUBERGER BERMAN PARTNERS INVESTOR		4,050		Units		125,768
NEUBERGER BERMAN REAL ESTATE TRUST CL		699		Units		11,222
NORTHEAST INVESTORS TRUST		1,304		Units		10,122
NORTHERN SMALL CAP VALUE		533		Units		8,840
NUMERIC INVESTORS MID CAP		656		Units		12,054
OAKMARK FUND I		231		Units		10,618
OAKMARK GLOBAL SELECT FD CL I		535		Units		5,763
OAKMARK SELECT I		3,857		Units		129,130
OBERWEIS CHINA OPPORTUNITIES FUND		14,879		Units		290,591
OIL & GAS ULTRA SECT PRO FDS -INVESTOR		985		Units		40,981
OPPENHEIMER INT'L BOND CLASS A		1,024		Units		6,167
OPPENHEIMER MAIN ST SMALL CAP CLASS A		372		Units		8,217
PARNASSUS EQUITY INCOME PORTFOLIO		106		Units		2,642
PARNASSUS FIXED INCOME FUND		1,435		Units		23,114
PERMANENT PORTFOLIO FD INC		2,150		Units		69,583
PERRITT EMERGING OPPORTUNITIES FUND		268		Units		3,761
PHOENIX FOREIGN OPPORTUNITIES CL A		830		Units		20,747
PHOENIX MID CAP VALUE FUND CL A		313		Units		7,899
PIMCO COMMODITY REAL RETURN CL D		664		Units		9,217
PIMCO DEVELOPING LOCAL MKTS D		5,079		Units		54,495
PIMCO FLOATING RATE INCOME CL D		2,701		Units		28,550
PIMCO REAL RETURN CLASS D		4,448		Units		47,371
PIMCO TOTAL RETURN CLASS D		3,574		Units		37,097
PRO FUNDS SHORT REAL ESTATE INVESTOR CL		2,089		Units		47,087
PRUDENT GLOBAL INC FUNDS		1,787		Units		22,355
PUTNAM GLOBAL NATURAL RESOURCE C		608		Units		17,197
QUANT FOREIGN VALUE FUND ORDINARY SHS		815		Units		17,841
QUANTITATIVE EMRG MKTS FD-ORDINARY SHS		884		Units		19,589
ROYCE MICROCAP INVESTMENT CLASS		1,892		Units		32,820
ROYCE OPPORTUNITY FUND INVEST CLASS		8,291		Units		108,121
ROYCE PENNSYLVANIA MUTUAL INVST CLASS		13,322		Units		154,139
ROYCE TOTAL RETURN FD INVESTMENT CL		6,302		Units		86,648
ROYCE VALUE FUND SERVICE CL		4,478		Units		49,522
ROYCE VALUE PLUS SERVICE CLASS		29,323		Units		413,165
RS GLOBAL NATURAL RESOURCES CL A		1,347		Units		41,552
RS VALUE FUND CL A		2,191		Units		60,110
RYDEX BASIC MATERIALS ADVISOR CL		309		Units		11,353
RYDEX BASIC MATERIALS INV CLASS		1,547		Units		58,989
RYDEX BIOTECHNOLOGY INV CLASS		113		Units		2,473
RYDEX INVERSE S&P 500 INVESTOR SHS		604		Units		4,516
RYDEX OTC INVESTOR CLASS		4,274		Units		49,957
RYDEX RETAILING INV CLASS		223		Units		3,109
RYDEX TECHNOLOGY INVESTOR CLASS		230		Units		2,831
RYDEX TITAN 500 CLASS H		340		Units		16,136
RYDEX VELOCITY 100 CLASS H		524		Units		12,085
SCHNEIDER VALUE FUND		4,726		Units		107,649
SELECTED AMERICAN SHARES CL S		3,618		Units		166,631
SKYLINE SPECIAL EQUITIES		1,147		Units		29,805
SOUND MIND INVESTING FUND		17,688		Units		200,402
SOUND SHORE FD INC		729		Units		28,554
SPARTAN INTL INDEX INVESTOR CLASS		259		Units		11,449
SSGA EMERGING MARKETS		742		Units		17,396
SSGA INTERNATIONAL STOCK SELECTION		8,201		Units		113,259
SSGA TUCKERMAN ACTIVE REIT		1,073		Units		22,912
STERLING SMALL CAP VALUE FUND		1,579		Units		23,705
STRATEGIC PARTNERS REAL ESTATE CL A		295		Units		8,586
STRATTON SMALL CAP VALUE FUND		1,664		Units		80,579
T ROWE PRICE CAP APPRECIATION		9,206		Units		189,831
T ROWE PRICE EMERGING MKTS STOCK		4,646		Units		150,577
T ROWE PRICE EQUITY INCOME		2,111		Units		62,367
T ROWE PRICE EQUITY INCOME ADVISOR CL		170		Units		5,002
T ROWE PRICE EQUITY INDEX TR FD		142		Units		5,404
T ROWE PRICE GROWTH STOCK		4,318		Units		136,568
T ROWE PRICE HEALTH SCIENCES		289		Units		7,541
T ROWE PRICE INTL DISCOVERY FUND		443		Units		21,023
T ROWE PRICE LATIN AMERICA FUND		2,278		Units		85,971
T ROWE PRICE MEDIA & TELECOMMUNICATIONS		233		Units		10,077
T ROWE PRICE NEW HORIZONS FD INC		16,731		Units		565,975
T ROWE PRICE PERSONAL STRAT GRWTH		203		Units		5,147
T ROWE PRICE REAL ESTATE FUND		3,498		Units		88,607
T ROWE PRICE RET 2040 FD		233		Units		4,365
T ROWE PRICE SPECTRUM INCOME		1,511		Units		18,421
TAMARACK MICROCAP VALUE CL S		2,395		Units		54,531
TELECOMM ULTRA SECTOR PRO FD INVSTR		1,376		Units		37,043
THIRD AVENUE REAL ESTATE VALUE		518		Units		17,932
THIRD AVENUE VALUE		4,620		Units		274,721
THORNBURG INTL VALUE CL A		1,544		Units		43,970
THORNBURG INTL VALUE CL INSTL		2,247		Units		65,178
TIAA-CREF INSTL LRG CAP VALUE -RETAIL		184		Units		2,873
TIAA-CREF INSTL MID CAP VALUE -RETAIL		3,132		Units		56,625
TIAA-CREF INSTL REAL ESTATE SEC - RETAIL		3,077		Units		48,592
TOCQUEVILLE FUND		1,439		Units		36,498
TOCQUEVILLE GOLD FUND		818		Units		42,064
TOUCHSTONE MID CAP GROWTH CLASS A		99		Units		2,314
TRANSAMERICA PREMIER EQUITY		6,212		Units		139,885
T-ROWE PRICE EMERG EURO & MEDITERRANEAN		6,421		Units		208,298
ULTRA JAPAN PRO FUND INVESTORS SHS		907		Units		44,268
ULTRA MID CAP PRO FUND INVESTOR SHS		850		Units		41,012
ULTRA SHORT SMALL CAP PRO FDS-INVST CL		3,351		Units		44,830
ULTRA SMALL CAP PRO FUND INVESTOR SHS		378		Units		12,066
ULTRASHORT OTC PRO FUND INVESTOR SHS		4,079		Units		55,061
UMB SCOUT SMALL CAP		2,465		Units		41,485
UMB SCOUT WORLDWIDE		4,665		Units		152,366
US GLOBAL CHINA REGION OPPORTUNITY		2,817		Units		29,549
US GLOBAL REGION EAST EUROPEAN		2,686		Units		122,172
US GLOBAL RESOURCES		17,684		Units		262,431
US GOLD SHARES		8,816		Units		141,671
US WORLD PRECIOUS MINERALS		15,336		Units		443,777
VALUE LINE EMERGING OPPORTUNITY		1,045		Units		32,311
VAN ECK GLOBAL HARD ASSETS CLASS C		179		Units		6,489
VAN KAMPEN COMSTOCK CLASS C		1,497		Units		28,827
VAN KAMPEN REAL ESTATE SEC CLASS C		607		Units		18,991
VAN WAGONER EMERGING GROWTH FUND		2,111		Units		9,711
VAN WAGONER SMALL CAP GROWTH		1,072		Units		10,332
VANGUARD DEVELOPED MRKTS INDEX INV		1,886		Units		23,726
VANGUARD EMERGING MARKETS STOCK INDEX		1,174		Units		28,498
VANGUARD ENERGY		5,546		Units		358,418
VANGUARD EQUITY INCOME		209		Units		5,284
VANGUARD EUROPEAN STOCK INDEX		327		Units		11,800
VANGUARD GLOBAL EQUITY		1,237		Units		28,348
VANGUARD GROWTH INDEX		110		Units		3,277
VANGUARD INDEX TRUST S&P 500 PORT		3,722		Units		511,786
VANGUARD INDEX TRUST SMALL CAP GROWTH		624		Units		11,446
VANGUARD INFLATION PROTECTED SECS		14,755		Units		173,820
VANGUARD INTERNATL VALUE PORTFOLIO		1,093		Units		44,089
VANGUARD INT'L GROWTH PORTFOLIO		713		Units		17,010
VANGUARD LONG TERM INVMT GRADE INV		459		Units		4,242
VANGUARD MID CAP INDEX		2,389		Units		47,260
VANGUARD MID-CAP GROWTH FUND		628		Units		10,722
VANGUARD PACIFIC STOCK INDEX		848		Units		10,541
VANGUARD PRIMECAP CORE FD INVESTOR CL		819		Units		10,326
VANGUARD REIT INDEX FUND		4,506		Units		115,275
VANGUARD SMALL CAP STOCK INDEX TRUST		153		Units		5,003
VANGUARD SMALL CAP VALUE INDEX		684		Units		11,657
VANGUARD STRATEGIC SMALL CAP EQ INVT		2,865		Units		58,966
VANGUARD TARGET RET 2015 FD INVESTOR CL		2,248		Units		28,007
VANGUARD TAX MANAGED SMALL CAP INVESTOR		809		Units		20,799
VANGUARD TOTAL INTL STOCK INDEX FUND		2,055		Units		36,316
VANGUARD TOTAL STOCK MARKET		4,876		Units		166,210
VANGUARD VALUE INDEX		1,559		Units		41,428
VANGUARD WINDSOR II		1,140		Units		39,616
VANGUARD/WELLESLEY INCOME		459		Units		10,016
WASATCH GLOBAL SCIENCE & TECHNOLOGY		1,484		Units		21,942
WELLS FARGO ASIA PACIFIC FD-INVESTOR		2,443		Units		30,509
WELLS FARGO MID CAP DISCIPLINED FD-INVES		1,718		Units		39,039
WESTPORT SELECT CAP CLASS I		1,290		Units		32,206
WILLIAM BLAIR VALUE DISCOVERY CLASS N		1,859		Units		30,247
WM HIGH YIELD FUND CLASS C		536		Units		4,702
YACKTMAN FOCUSED FD		1,883		Units		30,122
Total Registered Investment Companies					$	22,560,852

PARTICIPANT LOANS (interest rate ranging from 5.00% through 9.25% maturing through December 2021)					$	55,239,294

TOTAL INVESTMENTS					$	2,950,563,178

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

EXHIBIT INDEX

Exhibit Number		Description

23		Consent of Independent Registered Public Accounting Firm

EXHIBIT 23

AMERICAN ELECTRIC POWER SYSTEM

RETIREMENT SAVINGS PLAN

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

American Electric Power Company, Inc.:

We consent to the incorporation by reference in Registration Statements No. 333-128043 and 333-39402 on Form S-8 and Post-Effective Amendment No. 3 to Registration Statement No. 33-01052 of American Electric Power System Retirement Savings Plan on Form S-8 of our report dated July 12, 2007 appearing in this Annual Report on Form 11-K of American Electric Power System Retirement Savings Plan for the year ended December 31, 2006.

/s/ Deloitte & Touche LLP

Columbus, Ohio

July 12, 2007