aep11krsp2013.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 year ended December 31, 2012
 
OR

[  ]
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)


 
 
 




TABLE OF CONTENTS
  
Page
Number
     
Signatures
  
2
     
Report of Independent Registered Public Accounting Firm
  
3
     
Financial Statements
    
Statements of Net Assets Available for Benefits
  
4
Statements of Changes in Net Assets Available for Benefits
  
5
Notes to Financial Statements
  
6-17
     
Supplemental Schedules
    
Schedule of Assets (Held as of End of Year)
  
18-48
Schedule of Assets (Acquired and Disposed of Within Year)   49
Schedule of Reportable Transactions
  
50
Schedule of Nonexempt Transaction
  
51
     
Exhibits
    
Exhibit Index
  
52
     
Consent of Independent Registered Public Accounting Firm
  
53
     




 

 
1
 


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/  Julia A. Sloat           
                 Julia A. Sloat, Secretary
 
 

Date:  June 28, 2013

 
2
 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Participants of the American Electric Power System Retirement Savings Plan

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, 2012 and 2011, 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 audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2012 and 2011, 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 schedules of (1) assets held as of December 31, 2012, (2) assets acquired and disposed of in 2012, (3) reportable transactions, and (4) nonexempt transaction, are presented for the purpose of additional analysis and are not a required part of the basic financial statements, but are supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. These schedules are the responsibility of the Plan's management. Such schedules have been subjected to the auditing procedures applied in our audit of the basic 2012 financial statements and, in our opinion, are fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.

/s/  Deloitte & Touche LLP

Columbus, Ohio
June 28, 2013

 
3
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2012 and 2011

   
2012
  
2011
ASSETS
            
Investments at Fair Value:
            
Participant Directed Investments
  
$
3,268,509,701 
  
$
2,949,303,441 
Wrap Contracts
    
- 
    
456,104 
TOTAL INVESTMENTS AT FAIR VALUE
    
3,268,509,701 
    
2,949,759,545 
             
Notes Receivable from Participants
    
79,060,932 
    
74,987,631 
             
TOTAL ASSETS
    
3,347,570,633 
    
3,024,747,176 
             
Adjustment from Fair Value to Contract Value for Fully Benefit Responsive Wrap Contracts
    
(17,178,669)
    
(6,071,315)
             
NET ASSETS AVAILABLE FOR BENEFITS
  
$
3,330,391,964 
  
$
3,018,675,861 
             
See Notes to Financial Statements.
            


 
4
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
For the Years Ended December 31, 2012 and 2011

   
2012
  
2011
INVESTMENT INCOME
            
Net Appreciation in Fair Value of Investments
  
$
255,472,235 
  
$
17,822,948 
Interest
    
11,457,388 
    
9,625,575 
Dividends
    
33,392,767 
    
18,442,370 
Total Investment Income
    
300,322,390 
    
45,890,893 
             
CONTRIBUTIONS
            
Participants
    
147,216,242 
    
142,067,219 
Employer
    
65,123,578 
    
63,376,474 
Total Contributions
    
212,339,820 
    
205,443,693 
 
DISTRIBUTIONS TO PARTICIPANTS
    
(198,027,366)
  
 
(227,643,846)
             
ADMINISTRATIVE AND MANAGEMENT FEES
            
Professional Fees
    
(697,438)
    
(737,977)
Investment Advisory and Management Fees
    
(5,339,996)
    
(5,313,267)
Other Fees
    
(482,541)
    
(532,758)
Total Administrative and Management Fees
    
(6,519,975)
    
(6,584,002)
             
INTEREST INCOME ON NOTES RECEIVABLE FROM
      PARTICIPANTS
    
3,449,226 
    
3,508,423 
             
TRANSFERS INTO PLAN
    
152,008 
    
- 
             
INCREASE IN NET ASSETS
    
311,716,103 
    
20,615,161 
             
NET ASSETS AVAILABLE FOR BENEFITS BEGINNING OF YEAR
    
3,018,675,861 
    
2,998,060,700 
             
NET ASSETS AVAILABLE FOR BENEFITS END OF YEAR
  
$
3,330,391,964 
  
$
3,018,675,861 
             
See Notes to Financial Statements.
            

 
5
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
NOTES TO FINANCIAL STATEMENTS
For the Years Ended December 31, 2012 and 2011

1.   PLAN DESCRIPTION

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

General

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).  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.  JPMorgan Chase Bank N.A. is the custodian and trustee and JPMorgan Retirement Plan Services LLC is the record keeper with respect to the Plan, collectively (JPMorgan or the Trustee).

Contributions

Newly eligible employees are automatically enrolled in the Plan with a 3% pretax deferral. Employees may opt out of the automatic enrollment or revise their elections within a reasonable period of time after they are notified of their right not to have such pretax deferrals made on their behalf (or to have such pretax deferrals made at a different percentage) and how their account will be invested in the absence of their making an investment election.  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 (pretax, after-tax or Roth 401(k) contributions) in 1% increments up to 50% of their eligible pay (within Internal Revenue Service (IRS) limits).  Participants who are age 50 and older are able to contribute additional pretax or Roth 401(k) amounts as catch-up contributions.  The catch-up contribution limit was $5,500 for both 2012 and 2011.  The Company contributes to the Plan, on behalf of each participant, an amount equal to 100% of the participant’s contributions up to 1% of the participant’s eligible compensation for each payroll period, plus 70% of the participant’s contributions for the next 5% of the participant’s eligible compensation for each payroll period, subject to certain limitations.  All contributions are deposited in 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 of the Internal Revenue Code (IRC), restricts the amount that certain participants who are deemed highly compensated may contribute to the Plan, provided that it is AEPSC’s intent that the Plan include a “qualified automatic contribution arrangement” (as defined in Section 401(k)(13) of the IRC) effective January 1, 2009, such that only the after-tax contributions made by such highly compensated participants may be subject to such restrictions.

On November 1, 2012, assets of $152,008 were transferred into the Plan in connection with the merger of the terminated AEP Ohio Coal, LLC, Employee Savings Plan into the Plan.  The merger of the plans was necessary under applicable tax regulations that preclude the distribution of amounts from a terminated plan to participants who have not consented to such a distribution to the extent a related employer maintains another individual account retirement plan to which such amounts may be transferred.

Investments

The investment options offered by the Plan are a series of separately managed accounts, interests in commingled and collective trusts, the AEP Stock Fund and self-directed mutual fund brokerage accounts.  Affiliates of JPMorgan provide custody, trustee, recordkeeping and other services with regard to investments.

Participant Loans

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
 
 
6
 
 
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 was in effect as of the first business day of the calendar quarter in which the loan was 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 repay principal and interest payments through payroll deductions.

Participant loans and the accrued interest are collateralized by the account balance, and upon default, the outstanding balance is subject to income taxes and possible tax penalty.

Participant Accounts

Individual accounts are maintained for each Plan participant.  Each participant’s account is credited with the participant’s contributions, the Company’s matching contributions and investment earnings and losses and charged with benefit payments and allocations of Plan expenses.  The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.

Participants may transfer the value of their 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 the Company’s payroll periods.

Vesting and Distribution

Participants are immediately vested in their pretax, after-tax, Roth 401(k) and the Company matching contributions, including earnings thereon.  Excluding participants’ pretax and Roth 401(k) contributions and post-2008 Company matching contributions, all participants may make an unlimited number of withdrawals of their interest in the Plan, including their pre-2009 Company matching contributions.  Pretax and Roth 401(k) contributions are eligible for withdrawal by participants only after age 59-1/2, or earlier upon hardship (as defined by the Plan) or following termination of employment.  Post-2008 Company matching contributions are eligible for withdrawal by participants only after age 59-1/2, or earlier following earlier termination of employment, but not upon hardship.

The AEP Stock Fund, a Plan investment option, is an Employee Stock Ownership Plan.  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 (at least annually) and are treated as ordinary income to the participants for tax purposes.

2.   ACCOUNTING POLICIES

Basis of Accounting

The accompanying financial statements are prepared on an accrual basis of accounting, in conformity with accounting principles generally accepted in the United States of America (GAAP).

Investment Valuation and Income Recognition

Participants direct the investment of their contributions into various investment options offered by the Plan.  Investments are reported in the Statements of Net Assets Available for Benefits at fair value while benefit responsive investment contracts are reported at fair value with an adjustment to contract value.  Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

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

 
7
 

Notes Receivable from Participants

Notes receivable from participants are measured at their unpaid principal balance plus any accrued but unpaid interest. Delinquent participant loans are not recorded as distributions until actually distributed based on the terms of the Plan document.

Administrative Expenses and Management Fees

Administrative and Management Fees incurred relating to JPMorgan during 2012 and 2011 totaled $2,529,547 and $2,998,142, respectively.  The Plan directly pays for administrative, recordkeeping and management fees.

Distributions to Participants

Benefits are recorded when paid.  There were no material amounts of distributions due to participants who requested distributions from the Plan as of December 31, 2012 and 2011.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of net assets available for benefits and changes therein and disclosure of contingent assets.  Actual results could differ from the estimates.

Fair Value Measurements of Assets

The accounting guidance for “Fair Value Measurements and Disclosures” establishes a hierarchy that prioritizes the inputs used to measure fair value.  The hierarchy gives the highest priority to securities with unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).  AEP’s internal staff independently monitors our valuation policies and procedures and provides members of the Benefits Finance Committee (BFC) various monthly and quarterly reports, regarding compliance with policies and procedures.  The BFC consists of our Chief Financial Officer, Treasurer, Chief Administrative Officer, Chief Risk Officer, and EVP General Counsel.
 
The Plan utilizes its trustee’s external pricing service to estimate the fair value of the underlying investments held in the Plan.  The Plan’s investment managers review and validate the prices utilized by the trustee to determine fair value.  The Company performs its own valuation testing to verify the fair values of the securities.  The Company receives audit reports of the trustee’s operating controls and valuation processes.  The trustee uses multiple pricing vendors for the assets held in the trust.

Assets in the Plan are classified using the following methods.  Equities are classified as Level 1 holdings if they are actively traded on exchanges.  Items classified as Level 1 are investments in money market funds, fixed income and equity mutual funds and domestic equity securities.  They are valued based on observable inputs primarily unadjusted quoted prices in active markets for identical assets.  Items classified as Level 2 are primarily investments in individual fixed income securities and cash equivalents funds.  Fixed income securities do not trade on an exchange and do not have an official closing price but their valuation inputs are based on observable market data.  Pricing vendors calculate bond valuations using financial models and matrices.  The models use observable inputs including yields on benchmark securities, quotes by securities brokers, rating agency actions, discounts or premiums on securities compared to par prices, changes in yields for U.S. Treasury securities, corporate actions by bond issuers, prepayment schedules and histories, economic events and, for certain securities, adjustments to yields to reflect changes in the rate of inflation.  Cash equivalent funds are held to provide liquidity and meet short term cash needs.  The underlying holdings in the cash funds consist of commercial paper, certificates of deposit, treasury bills, and other short-term debt securities.  Short-term debt securities are valued based on observable market data by the trust banks pricing vendor.  Other securities with model-derived valuation inputs that are observable are also classified as Level 2 investments.  Investments with unobservable valuation inputs are classified as Level 3 investments.  Plan assets included in Level 3 are primarily real estate and private equity investments that are valued using methods requiring judgment, including appraisals.
 
 
8
 
 
Equities and Registered Investment Companies are valued based on observable inputs, primarily unadjusted quoted prices in active markets for identical assets.

Investment Descriptions

Common Collective Trusts and the Managed Income Fund are valued at the net asset value per share (NAV).  The basis of the reported NAV is the total fair value of all underlying holdings less expenses and liabilities.  The value of each unit is determined by dividing the net asset value of the fund by the number of applicable units outstanding on the valuation date.  These investments are categorized as Level 2 if they can be redeemed at the NAV price.  The JPMorgan Strategic Property Fund has been categorized as a Level 3 investment since the underlying holdings are diversified real estate assets that are difficult to value and rely on unobservable inputs to measure fair value.  JPMorgan Emerging Markets Fund is classified as Level 3.  The majority of the holdings in the JPMorgan Emerging Markets Fund are equity securities traded on foreign stock exchanges in emerging nations that have limited liquidity.

JPMorgan Liquidity Fund

The objective of this fund is to provide liquidity and meet short-term cash needs while preserving principal. The underlying holdings in the fund are investment grade money market instruments including commercial paper, certificates of deposit, treasury bills and other types of investment grade short-term debt securities. The fund is valued each business day.

JPMorgan US Treasury Plus Money Market Fund

The objective of this fund is to provide liquidity and meet short-term cash needs while preserving principal. The underlying holdings in the fund include U.S. Treasury obligations, including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury, and repurchase agreements fully collateralized by U.S. Treasury securities.

Mellon Capital Small Cap Stock Index Fund

The objective of this fund is to track the performance of the Russell 2000 Index.  The underlying equity holdings of this fund are actively traded on major domestic stock exchanges and have readily available market quotes.

Mellon Capital Stock Index Fund

The objective of this fund is to track the performance of the S&P 500 Index.  The underlying equity holdings of this fund are actively traded on major domestic stock exchanges and have readily available market quotes.

Mellon Capital International Stock Index Fund

The objective of this fund is to track the performance of the MSCI Europe, Australia, and Far East (MSCI EAFE) Index.  The underlying equity holdings of this fund are actively traded on the major non-U.S stock exchanges and have readily available market quotes.

JPMorgan US Real Estate Securities Fund

The objective of this fund is to exceed the performance of the MSCI Real Estate Investment Trust (MSCI U.S. REIT) Index.  The underlying real estate investment trust equity holdings of this fund are actively traded on the major domestic stock exchanges and have readily available market quotes.

Mellon Capital Aggregate Bond Index Fund

The objective of this fund is to track the performance of the Barclay’s Capital U.S. Aggregate Bond Index.  Fixed income securities do not trade on an exchange and do not have an official closing price.
 
 
9
 

Mellon Capital Treasury Inflation-Protected Securities Fund

The objective of this fund is to track the performance of the Barclays Capital U.S. Treasury Inflation-Protected Securities Index.  Treasury Inflation-Protected Securities are backed by the U.S. government and protect investors from the effects of inflation.  The securities are not actively traded on exchanges and do not have an official closing price.

JPMorgan Strategic Property Fund

The objective of this fund is to exceed the performance of the National Council of Real Estate Investment Fiduciaries (NCREIF) Property Index.  The underlying holdings in the fund are diversified real estate assets.  This diversified fund consists of multiple properties and no single asset, tenant or location has undue influence over the fund’s value or performance.   The fund’s diversified holdings help mitigate the risk of default and concentration risk.

JPMorgan Emerging Markets Fund

The objective of this fund is to exceed the performance of the MSCI Emerging Markets (MSCI EM) Free Index.  The majority of the underlying holdings of this fund are traded on foreign stock exchanges in emerging markets.  The securities in these economies are typically less efficient and less liquid than those in developed markets.

Metlife Separate Account No. 690

The objective of the fund is to exceed the performance of the Barclays Capital 1-3 year Government/Credit Index.  The fund seeks to preserve principal and an above average level of income with the goal of minimizing overall portfolio risk.  Fixed income securities do not trade on an exchange and do not have an official closing price.

Wells Fargo Fixed Income Fund N

The objective of the fund is to exceed the performance of the Barclays Capital Intermediate Government/Credit Index.  The fund seeks to preserve principal and an above average level of income with the goal of minimizing overall portfolio risk.  Fixed income securities do not trade on an exchange and do not have an official closing price.

3.   PLAN TERMINATION

Although it has not expressed any intent to do so, AEPSC has the right to take such actions as will allow contributions to the Plan to be discontinued 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.

4.   INVESTMENT CONTRACTS

The Managed Income Fund provides a stable value investment option that includes fully benefit-responsive wrap contracts which assure the book value of investments for plan participants.  The fund’s underlying assets, which are held in a trust, utilize wrap contracts issued by four financial institutions as of December 31, 2012 and 2011.  The contracts provide that participants execute plan transactions at contract value.  Contract value represents contributions made to the fund, plus credited interest, less participant withdrawals, without regard to changes in the fair value of the investments and securities underlying the fund.  The rates for crediting interest are reset periodically 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.  The interest crediting rate cannot be less than 0%.  Certain events initiated by the Plan Sponsor, such as plan termination or a plan merger, would limit the ability of the Plan to administer participant-level transactions at contract value or may allow for the termination of the wrap contract at market value, rather than contract value. In April 2012, AEP initiated a process to identify employee repositioning opportunities and efficiencies.  The process resulted in the redeployment of employees and involuntary severances.  The most intensive part of this process was completed in early 2013, although additional review and steps continue.

 
10
 

This process is not expected to have a material impact on the Managed Income Fund. The Plan sponsor does not believe that any events that may limit the ability of the plan to transact at contract value are probable as of December 31, 2012 or the date these financial statements are issued.  During the year ended December 31, 2012, the average yield based on underlying earnings and the average yield based on interest credited to participants were 0.83% and 1.49%, respectively.  During the year ended December 31, 2011, the average yield based on underlying earnings and the average yield based on interest credited to participants were 1.50% and 1.71%, respectively.

5.   INVESTMENTS EXCEEDING FIVE PERCENT OF THE PLAN’S NET ASSETS

Investments exceeding five percent of the Plan’s net assets as of December 31, 2012 and 2011 were as follows:

   
December 31,
   
2012
  
2011
American Electric Power Company, Inc. Common Stock
  
$
282,978,430 
  
$
285,559,258 
Mellon Capital Aggregate Bond Index Fund
    
464,002,734 
    
371,262,961 
Mellon Capital Stock Index Fund
    
481,200,145 
    
423,823,169 
Mellon Capital International Stock Index Fund
    
305,480,758 
    
260,688,324 

6.   NET APPRECIATION OF INVESTMENTS

During 2012 and 2011, the Plan's investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated (depreciated) in value as follows:
   
Years Ended December 31,
   
2012
  
2011
American Electric Power Company, Inc. Common Stock
  
$
9,617,491 
  
$
39,332,060 
Common/Collective Trusts
    
165,034,728 
    
681,279 
Corporate Stock
    
70,090,069 
    
(14,985,551)
Fixed Income Securities
    
964,770 
    
2,128,176 
Registered Investment Companies
    
9,765,177 
    
(9,333,016)
Net Appreciation in Fair Value of Investments
  
$
255,472,235 
  
$
17,822,948 

7.   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:  JPMorgan Chase Bank, N.A. has been acting as trustee and custodian under the Plan, while its affiliates have been acting as (a) investment manager for a number of the Plan’s investment options, (b) the Plan’s record keeper and (c) investment advisor or investment manager for a number of plan participants with respect to the amounts held in their Plan accounts.

As of December 31, 2012 and 2011, the Plan held 6,630,235 and 6,912,594 shares, respectively, of common stock of American Electric Power Company, Inc., the Plan Sponsor, with a cost basis of $234,634,292 and $240,862,421, respectively.  During the years ended December 31, 2012 and 2011, the Plan recorded dividend income of $13,252,757 and $13,695,209, respectively, related to its investment in that common stock.

The Plan entered into a non-exempt prohibited transaction when it issued a $21,000 loan to a participant, who, as an employee of the Company, was a party-in-interest with respect to the Plan.  An exemption under ERISA 408(b)(1) requires that the loan be made in accordance with specific plan provisions, but the $21,000 loan was issued on April 9, 2008, when the participant’s highest outstanding loan balance in the preceding 12 months was approximately $32,500.  In the aggregate, these two loan balances exceeded the $50,000 limit imposed under the terms of the Plan by $3,500.  The Company undertook steps to remediate the prohibited transaction as relates to the participant, but had not completed the steps to fully remediate the prohibited transaction with the interested government agencies by December 31, 2012.  Because the participant is not a “disqualified person” for purposes of Section 4975 of the IRC, 5330 is not required in connection with this transaction.
 
 
11
 

8.   FAIR VALUE MEASUREMENTS

For a discussion of fair value accounting and the classification of assets within the fair value hierarchy, see the “Fair Value Measurements of Assets” section of Note 2.

Plan Assets within the Fair Value Hierarchy as of December 31, 2012
 
   
Level 1
  
Level 2
  
Level 3
  
Total
Equities
    
Corporate Stocks
  
$
494,382,946 
  
$
- 
  
$
- 
  
$
494,382,946 
AEP Stock
    
282,978,430 
    
- 
    
- 
    
282,978,430 
Subtotal Equities
    
777,361,376 
    
- 
    
- 
    
777,361,376 
                         
Fixed Income
                        
Government Bonds
    
- 
    
105,989,433 
    
- 
    
105,989,433 
Corporate Debt Securities
    
- 
    
159,049,975 
    
- 
    
159,049,975 
Mortgage Backed Securities
    
- 
    
204,001,237 
    
- 
    
204,001,237 
Subtotal Fixed Income
    
- 
    
469,040,645 
    
- 
    
469,040,645 
                         
Common/Collective Trusts
                        
JPMorgan Liquidity Fund
    
- 
    
14,005,564 
    
- 
    
14,005,564 
JPMorgan US Treasury Plus Money Market Fund
    
- 
    
109,448,923 
    
- 
    
109,448,923 
Mellon Capital Small Cap Stock Index Fund
    
- 
    
163,278,652 
    
- 
    
163,278,652 
Mellon Capital Stock Index Fund
    
- 
    
481,200,145 
    
- 
    
481,200,145 
Mellon Capital International Stock Index Fund
    
- 
    
305,480,758 
    
- 
    
305,480,758 
JPMorgan US Real Estate Securities Fund
    
- 
    
17,816,967 
    
- 
    
17,816,967 
Mellon Capital Aggregate Bond Index Fund
    
- 
    
464,002,734 
    
- 
    
464,002,734 
Mellon Capital Treasury Inflation-Protected Securities Fund
    
- 
    
14,704,660 
    
- 
    
14,704,660 
Metlife Separate Account No. 690
       -     
150,986,394 
    
- 
    
150,986,394 
Wells Fargo Fixed Income Fund N
    
- 
    
125,425,281 
    
- 
    
125,425,281 
JPMorgan Strategic Property Fund
    
- 
    
- 
    
31,791,671 
    
31,791,671 
JPMorgan Emerging Markets Fund
    
- 
    
- 
    
18,068,713 
    
18,068,713 
Subtotal Common/Collective Trusts
    
- 
    
1,846,350,078 
    
49,860,384 
    
1,896,210,462 
                         
Registered Investment Companies
    
109,253,314 
    
- 
    
- 
    
109,253,314 
Cash Equivalents
    
- 
    
19,864,466 
    
- 
    
19,864,466 
Accrued Items and Unsettled Trades
    
545,362 
    
(3,765,924)
    
- 
    
(3,220,562)
                         
Total Assets Reflecting Investments at Fair Value
  
$
887,160,052 
  
$
2,331,489,265 
  
$
49,860,384 
  
$
3,268,509,701 

 
 
12
 


Plan Assets within the Fair Value Hierarchy as of December 31, 2011
 
   
Level 1
  
Level 2
  
Level 3
  
Total
Equities
    
Corporate Stocks
  
$
442,805,802 
  
$
- 
  
$
- 
  
$
442,805,802 
AEP Stock
    
285,559,258 
    
- 
    
- 
    
285,559,258 
Subtotal Equities
    
728,365,060 
    
- 
    
- 
    
728,365,060 
                         
Fixed Income
                        
Government Bonds
    
- 
    
165,171,072 
    
- 
    
165,171,072 
Corporate Debt Securities
    
- 
    
174,701,942 
    
- 
    
174,701,942 
Mortgage Backed Securities
    
- 
    
406,542,746 
    
- 
    
406,542,746 
Subtotal Fixed Income
    
- 
    
746,415,760 
    
- 
    
746,415,760 
                         
Common/Collective Trusts
                        
JPMorgan Liquidity Fund
    
- 
    
142,411,611 
    
- 
    
142,411,611 
Mellon Capital Small Cap Stock Index Fund
    
- 
    
146,226,734 
    
- 
    
146,226,734 
Mellon Capital Stock Index Fund
    
- 
    
423,823,169 
    
- 
    
423,823,169 
Mellon Capital International Stock Index Fund
    
- 
    
260,688,324 
    
- 
    
260,688,324 
JPMorgan US Real Estate Securities Fund
    
- 
    
12,741,862 
    
- 
    
12,741,862 
Mellon Capital Aggregate Bond Index Fund
    
- 
    
371,262,961 
    
- 
    
371,262,961 
Mellon Capital Treasury Inflation-Protected Securities Fund
    
- 
    
8,878,231 
    
- 
    
8,878,231 
JPMorgan Strategic Property Fund
    
- 
    
- 
    
34,096,695 
    
34,096,695 
JPMorgan Emerging Markets Fund
    
- 
    
- 
    
15,195,847 
    
15,195,847 
Subtotal Common/Collective Trusts
    
- 
    
1,366,032,892 
    
49,292,542 
    
1,415,325,434 
                         
Registered Investment Companies
    
94,923,728 
    
- 
    
- 
    
94,923,728 
Cash Equivalents
    
- 
    
21,875,447 
    
- 
    
21,875,447 
Wrap Contracts
    
- 
    
- 
    
456,104 
    
456,104 
Accrued Items and Unsettled Trades
    
593,548 
    
(58,195,536)
    
- 
    
(57,601,988)
                         
Total Assets Reflecting Investments at Fair Value
  
$
823,882,336 
  
$
2,076,128,563 
  
$
49,748,646 
  
$
2,949,759,545 

 
 
13
 

The following tables set forth a summary of the Plan's investments with a reported Net Asset Value as of December 31, 2012 and 2011:

Fair Value Estimated Using Net Asset Value per Share as of December 31, 2012
 
   
Fair Value
  
Redemption Frequency
(If currently eligible)
  
Redemption Notice Period
             
JPMorgan Liquidity Fund
  
$
14,005,564 
  
Daily
  
1 Day
JPMorgan US Treasury Plus Money Market Fund
    
109,448,923 
  
Daily
  
Trade Date + 0
Mellon Capital Small Cap Stock Index Fund
    
163,278,652 
  
Daily
  
Trade Date + 1
Mellon Capital Stock Index Fund
    
481,200,145 
  
Daily
  
Trade Date + 1
Mellon Capital International Stock Index Fund
    
305,480,758 
  
Daily
  
Trade Date + 1
JPMorgan US Real Estate Securities Fund
    
17,816,967 
  
Daily
  
1 Day
Mellon Capital Aggregate Bond Index Fund
    
464,002,734 
  
Daily
  
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
    
14,704,660 
  
Daily
  
Trade Date + 1
JPMorgan Strategic Property Fund
    
31,791,671 
  
Quarterly
  
45 Days
JPMorgan Emerging Markets Fund
    
18,068,713 
  
Daily
  
1 Day
Metlife Separate Account No. 690
    
150,986,394 
  
Monthly
  
1 Month
Wells Fargo Fixed Income Fund N
    
125,425,281 
  
Monthly
  
1 Month
Total Assets
  
$
1,896,210,462 
        

 
Fair Value Estimated Using Net Asset Value per Share as of December 31, 2011
 
   
Fair Value
  
Redemption Frequency
(If currently eligible)
  
Redemption Notice Period
             
JPMorgan Liquidity Fund
  
$
142,411,611 
  
Daily
  
1 Day
Mellon Capital Small Cap Stock Index Fund
    
146,226,734 
  
Daily
  
Trade Date + 1
Mellon Capital Stock Index Fund
    
423,823,169 
  
Daily
  
Trade Date + 1
Mellon Capital International Stock Index Fund
    
260,688,324 
  
Daily
  
Trade Date + 1
JPMorgan US Real Estate Securities Fund
    
12,741,862 
  
Daily
  
1 Day
Mellon Capital Aggregate Bond Index Fund
    
371,262,961 
  
Daily
  
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
    
8,878,231 
  
Daily
  
Trade Date + 1
JPMorgan Strategic Property Fund
    
34,096,695 
  
Quarterly
  
45 Days
JPMorgan Emerging Markets Fund
    
15,195,847 
  
Daily
  
1 Day
Total Assets
  
$
1,415,325,434 
        

 
14
 

There have been no transfers between Level 1, Level 2, and Level 3 during the years ended December 31, 2012 and 2011.

The following tables set forth a reconciliation of changes in the fair value of investments classified as Level 3 in the fair value hierarchy.

Changes in Fair Value Measurements for the Year Ended December 31, 2012
  
   
   
JPMorgan
Strategic
Property
Fund
  
JPMorgan
Emerging
Markets
Fund
  
Wrap
Contracts
  
Total
Balance at Beginning of Year
  
$
34,096,695 
  
$
15,195,847 
  
$
456,104 
  
$
49,748,646 
                         
Realized Gains (Losses)
    
(1,030,618)
    
520,253 
    
(456,104)
    
(966,469)
Unrealized Gains (Losses)
    
(6,980,456)
    
2,274,613 
    
- 
    
(4,705,843)
Purchases
    
(1,513,950)
    
(1,825,000)
    
- 
    
(3,338,950)
Sales
    
7,220,000 
    
1,903,000 
    
- 
    
9,123,000 
Issuances
    
- 
    
- 
    
- 
    
- 
Settlements
    
- 
    
- 
    
- 
    
- 
Balance at End of Year
  
$
31,791,671 
  
$
18,068,713 
  
$
- 
  
$
49,860,384 

 
Changes in Fair Value Measurements for the Year Ended December 31, 2011
  
   
   
JPMorgan
Strategic
Property
Fund
  
JPMorgan
Emerging
Markets
Fund
  
Wrap
Contracts
  
Total
Balance at Beginning of Year
  
$
29,191,929 
  
$
14,787,949 
  
$
914,421 
  
$
44,894,299 
                         
Realized Gains
    
- 
    
133,801 
    
- 
    
133,801 
Unrealized Gains (Losses)
    
5,119,766 
    
3,313,297 
    
(458,317)
    
7,974,746 
Purchases
    
(215,000)
    
(3,504,200)
    
- 
    
(3,719,200)
Sales
    
- 
    
465,000 
    
- 
    
465,000 
Issuances
    
- 
    
- 
    
- 
    
- 
Settlements
    
- 
    
- 
    
- 
    
- 
Balance at End of Year
  
$
34,096,695 
  
$
15,195,847 
  
$
456,104 
  
$
49,748,646 
 
9.   RISK AND UNCERTAINTIES

The Plan utilizes various investment instruments, including common stock, bonds, commingled funds and investment contracts.  Investment securities are exposed to various risks, such as interest rate, credit and 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 change could materially affect the amounts reported in the financial statements.

 
 
15
 

10.   FEDERAL INCOME TAX

The IRS has determined that the Plan meets the requirements of Section 401(a) of the IRC and recognizes the exempt status of the Plan’s trust pursuant to Section 501(a) of the IRC.

The Plan has been amended subsequent to the issuance of the most recent IRS determination letter and the Plan Sponsor submitted an application to the IRS on January 30, 2012, for an updated determination letter that will take into account those additional amendments.  Plan management believes that the Plan is currently designed and operated in compliance with the applicable requirements of the IRC and that the Plan’s trust continues to be tax-exempt.  Therefore, no provision for income taxes has been included in the Plan’s financial statements.

GAAP requires Plan management to evaluate tax positions taken by the Plan and to recognize a tax liability if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan Administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2012 and 2011, there are no uncertain positions taken or expected to be taken that would require recognition of a liability or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions. However, there are currently no audits for any tax periods in progress.  The Plan Administrator believes it is no longer subject to income tax examinations for years prior to 2009.

11.   RECONCILIATION OF FINANCIAL STATEMENTS TO THE FORM 5500

Due to changes in the IRS Form 5500 filing requirements, the income statement in Schedule H, Part II, is now required to separately report certain deemed distributions of participant loans, whether or not those loans may otherwise remain collectible and would still be (and are) reflected as assets on the accompanying financial statements, which are prepared on the accrual basis of accounting.  Because loans deemed distributed are no longer to be carried as assets of the Plan unless and until the participant actually undertakes the repayment, amounts reported on Schedule H as Participant Loans as of the beginning and ending of the year were adjusted so that prospectively the amounts reported on Schedule H, Part I, Line 1c(8), columns (a) and (b) are in conformity with the Form 5500 filing requirements, but differ from those reported in the accompanying financial statements.

   
January 1,
Participant Loans – Schedule H, Part I, Line 1c(8), Column (a)
  
2012
  
2011
Beginning Balance per Financial Statements
  
$
74,987,631 
  
$
70,565,226 
Less: Loans Deemed Distributed with No Post-Default Payments
    
(1,695,638)
    
(1,474,224)
Balance Reported on Form 5500
  
$
73,291,993 
  
$
69,091,002 

   
December 31,
Participant Loans – Schedule H, Part I, Line 1c(8), Column (b)
  
2012
  
2011
Ending Balance per Financial Statements
  
$
79,060,932 
  
$
74,987,631 
Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
    
(2,053,161)
    
(1,695,638)
Balance Reported on Form 5500
  
$
77,007,771 
  
$
73,291,993 
 
 
16
 

As a result of the changes to Form 5500, beginning and ending Net Assets Available for Benefits as well as Increase (Decrease) in Net Assets will differ between reported amounts on the Financial Statements and Form 5500 as follows:

   
January 1,
Net Assets – Schedule H, Part I, Line 1l, Column (a)
  
2012
  
2011
Beginning Balance per Financial Statements
  
$
3,018,675,861 
  
$
2,998,060,700 
Less: Adjustment from Contract Value to Fair Value
    
6,071,315 
    
(8,599,095)
Less: Loans Deemed Distributed with No Post-Default Payments
    
(1,695,638)
    
(1,474,224)
Beginning Balance Reported on Form 5500
  
$
3,023,051,538 
  
$
2,987,987,381 


   
December 31,
Net Assets – Schedule H, Part I, Line 1l, Column (b)
  
2012
  
2011
Ending Balance per Financial Statements
  
$
3,330,391,964 
  
$
3,018,675,861 
Less: Adjustment from Contract Value to Fair Value
    
17,178,669 
    
6,071,315 
Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
    
(2,053,161)
    
(1,695,638)
Balance Reported on Form 5500
  
$
3,345,517,472 
  
$
3,023,051,538 


   
December 31,
Increase in Net Assets – Schedule H, Part II, Line 2k
  
2012
  
2011
Per Financial Statements
  
$
311,716,103 
  
$
20,615,161 
Less: Adjustment from Contract Value to Fair Value
    
11,107,354 
    
14,670,410 
Less: Loans Deemed Distributed
    
(357,523)
    
(221,414)
Reported on Form 5500
  
$
322,465,934 
  
$
35,064,157 

 
17
 

AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR)
DECEMBER 31, 2012
           
     
INVESTMENT CONTRACTS:
      
    Stable Value Wrap      
    Prudential Insurance Company of America, 1.57%      
    variable annual yield  (1.57% at December 31, 2012)      
    with an indeterminate maturity date   $
                           -
    Stable Value Wrap      
    Met Life Inc.      
    variable annual yield (1.27% at December 31, 2012)      
    with an indeterminate maturity date                                   -
    Stable Value Wrap      
    ING Life Ins. Co.      
    variable annual yield (2.06% at December 31, 2012)      
    with an indeterminate maturity date                                                 -
    Stable Value Wrap      
    Natixis Financial Products Inc.      
    variable annual yield (1.91% at December 31, 2012)      
    with an indeterminate maturity date                                                 -
    Subtotal Wrapper Contracts    $                                             -
         
 Shares
  
Identity of Issuer, Borrower, Lessor or Similar Party
    
 Fair Value
   
Common / Collective Trusts
      
         11,250,821
  
Wells Fargo Fixed Income Fund N
    
          125,425,281
           1,479,728
  
Metlife Separate Account No 690
    
          150,986,394
       109,448,923
  
JPMorgan US Treasury Plus Money Market Fund
    
          109,448,923
   
Total Common / Collective Trusts
  
$
          385,860,598
           
   
Corporate Debt Securities
      
           2,125,000
  
Access to Loans for Learning Student Loan Corp, 0.91%,7/25/2036
  
              2,134,167
           2,750,000
  
Ally Auto Receivables Trust 2012-4, 0.59%,1/17/2017
    
              2,747,883
           2,500,000
  
Ally Auto Receivables Trust 2012-SN1, 0.51%,12/22/2014
    
              2,502,025
           3,000,000
  
Ally Auto Receivables Trust, 0.62%,3/15/2017
    
              3,002,430
           2,700,000
  
American Express Credit Account Master Trust, 0.68%,3/15/2018
  
              2,708,640
           1,230,000
  
American Express Credit Corp, 7.30%,8/20/2013
    
              1,282,841
           1,375,000
  
AmeriCredit Automobile Receivables Trust, 0.51%,1/08/2016
    
              1,374,945
              620,000
  
Anheuser-Busch InBev Worldwide Inc, 1.38%,7/15/2017
    
                 626,529
           2,535,000
  
Anheuser-Busch InBev Worldwide Inc, 4.13%,1/15/2015
    
              2,708,876
           1,680,000
  
AT&T Inc, 2.95%,5/15/2016
    
              1,778,650
              415,000
  
AT&T Inc, 2.40%,8/15/2016
    
                 433,082
           1,085,000
  
Bank of America Corp, 3.63%,3/17/2016
    
              1,149,666
           1,085,000
  
Bank of America Corp, 3.88%,3/22/2017
    
              1,176,704
              770,000
  
Bank of America Corp, 3.75%,7/12/2016
    
                 823,076
           1,245,000
  
Bank of Nova Scotia, 2.05%,10/07/2015
    
              1,286,683
           1,120,000
  
Barclays Bank PLC, 5.20%,7/10/2014
    
              1,191,702
           4,980,000
  
BMW Vehicle Owner Trust, 0.76%,8/25/2015
    
              4,996,733
              500,000
  
Chevron Corp, 1.10%,12/05/2017
    
                 503,490
           1,542,000
  
Citigroup Inc, 6.00%,12/13/2013
    
              1,615,800
 
 
 
18
 
 
              700,000
  
Citigroup Inc, 4.59%,12/15/2015
    
                 764,225
              525,000
  
Citigroup Inc, 0.58%,6/09/2016
    
                 496,099
           1,355,000
  
Citigroup Inc, 3.95%,6/15/2016
    
              1,458,468
              685,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.38%,1/19/2017
                 735,889
              780,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 2.13%,10/13/2015
                 805,038
           2,000,000
  
Covidien International Finance SA, 2.80%,6/15/2015
    
              2,091,820
           1,280,000
  
Credit Suisse/New York NY, 3.50%,3/23/2015
    
              1,349,824
           1,340,000
  
CVS Caremark Corp, 3.25%,5/18/2015
    
              1,420,628
              945,000
  
Deutsche Bank AG/London, 3.88%,8/18/2014
    
                 991,957
           1,220,000
  
Devon Energy Corp, 1.88%,5/15/2017
    
              1,243,705
              755,000
  
DIRECTV Holdings LLC / DIRECTV Financing Co Inc, 2.40%,3/15/2017
  
                 773,362
           2,470,000
  
DIRECTV Holdings LLC / DIRECTV Financing Co Inc, 3.50%,3/01/2016
  
              2,616,743
           1,175,000
  
Duke Realty LP, 5.95%,2/15/2017
    
              1,343,201
           2,650,781
  
Ford Credit Auto Owner Trust, 0.84%,6/15/2015
    
              2,657,541
           2,140,038
  
Ford Credit Auto Owner Trust, 0.97%,1/15/2015
    
              2,144,874
              435,000
  
Ford Motor Credit Co LLC, 4.25%,2/03/2017
    
                 466,011
           1,595,000
  
Ford Motor Credit Co LLC, 3.00%,6/12/2017
    
              1,638,735
           2,500,000
  
GE Capital Commercial Mortgage Corp, 4.89%,3/10/2040
    
              2,604,675
           1,775,000
  
GE Equipment Transportation LLC, 0.62%,7/25/2016
    
              1,777,041
           2,000,000
  
GEDFT 2012-4 A, 0.65%,10/20/2017
    
              2,004,500
           1,205,000
  
Georgia Power Co, 3.00%,4/15/2016
    
              1,288,061
              900,000
  
GlaxoSmithKline Capital PLC, 1.50%,5/08/2017
    
                 913,086
           2,140,000
  
Goldman Sachs Group Inc/The, 3.63%,2/07/2016
    
              2,265,233
              291,988
  
Harley-Davidson Motorcycle Trust 2011-1, 0.61%,10/15/2014
    
                 292,052
              860,000
  
Hartford Financial Services Group Inc, 4.00%,10/15/2017
    
                 939,464
              895,000
  
Hewlett-Packard Co, 3.00%,9/15/2016
    
                 900,728
              950,000
  
Honda Auto Receivables Owner Trust, 0.52%,8/18/2016
    
                 950,732
           5,390,000
  
Honda Auto Receivables Owner Trust, 0.88%,9/21/2015
    
              5,418,459
           4,480,000
  
HSBC Finance Corp, 0.59%,1/15/2014
    
              4,466,336
           4,525,000
  
Hyundai Auto Receivables Trust, 0.83%,12/15/2015
    
              4,546,992
           1,400,000
  
Intel Corp, 1.35%,12/15/2017
    
              1,399,594
           1,505,000
  
International Business Machines Corp, 0.55%,2/06/2015
    
              1,505,286
           3,110,000
  
John Deere Capital Corp, 0.48%,6/16/2014
    
              3,115,256
              500,000
  
JPMorgan Chase & Co, 4.65%,6/01/2014
    
                 526,805
           1,350,000
  
Kraft Foods Group Inc, 2.25%,6/05/2017
    
              1,396,332
           1,270,000
  
LG&E and KU Energy LLC, 2.13%,11/15/2015
    
              1,296,822
              555,000
  
Lowe's Cos Inc, 1.63%,4/15/2017
    
                 567,937
              404,000
  
Macy's Retail Holdings Inc, 5.90%,12/01/2016
    
                 474,704
           1,125,000
  
Massachusetts Health & Educational Facilities Authority, 5.26%,10/01/2018
  
              1,344,094
           2,756,823
  
Mercedes-Benz Auto Receivables Trust 2011-1, 0.85%,3/16/2015
  
              2,763,302
           1,380,000
  
Morgan Stanley, 4.75%,3/22/2017
    
              1,505,525
              545,000
  
Morgan Stanley, 5.55%,4/27/2017
    
                 604,203
           1,615,000
  
Morgan Stanley, 4.00%,7/24/2015
    
              1,689,742
           2,095,000
  
NBCUniversal Media LLC, 3.65%,4/30/2015
    
              2,228,703
           1,800,000
  
New Hampshire Higher Education Loan Corp, 0.00%,10/25/2028
  
              1,799,820
           1,000,000
  
New York Life Global Funding, 1.30%,10/30/2017
    
              1,003,920
              483,431
  
Nissan Auto Lease Trust 2011-A, 0.39%,1/15/2014
    
                 483,484
              415,726
  
Nissan Auto Lease Trust 2011-A, 0.70%,1/15/2014
    
                 415,847
           3,353,210
  
Nissan Auto Receivables Owner Trust, 0.74%,9/15/2014
    
              3,358,341
           1,470,000
  
Phillips 66, 2.95%,5/01/2017
    
              1,557,965
 
 
 
19
 
 
           2,000,000
  
Porsche Innovative Lease Owner Trust, 0.54%,12/21/2015
    
              2,000,660
           3,445,000
  
Prudential Financial Inc, 5.10%,9/20/2014
    
              3,687,356
              475,000
  
Rio Tinto Finance USA Ltd, 2.25%,9/20/2016
    
                 492,779
           2,135,000
  
Royal Bank of Scotland PLC/The, 4.88%,3/16/2015
    
              2,293,161
           2,725,000
  
Santander Drive Auto Receivables Trust 2012-5, 0.57%,12/15/2015
  
              2,727,643
           2,120,000
  
Shell International Finance BV, 3.10%,6/28/2015
    
              2,245,843
           2,050,032
  
SLM Student Loan Trust, 0.37%,2/27/2017
    
              2,049,233
           1,775,000
  
Small Business Administration Participation Certificates, 2.09%,11/01/2032
  
              1,800,123
           2,581,827
  
Small Business Administration Participation Certificates, 4.14%,2/01/2030
  
              2,834,897
           1,350,000
  
Toronto-Dominion Bank/The, 2.50%,7/14/2016
    
              1,420,268
995,000
  
Total Capital International SA, 1.55%,6/28/2017
    
              1,010,343
480,000
  
UBS AG/Stamford CT, 3.88%,1/15/2015
    
                507,197
645,000
  
UBS AG/Stamford CT, 5.88%,12/20/2017
    
               767,718
385,000
  
United Technologies Corp, 1.80%,6/01/2017
    
               396,304
1,080,000
  
Verizon Communications Inc, 2.00%,11/01/2016
    
            1,117,724
1,240,000
  
Verizon Communications Inc, 3.00%,4/01/2016
    
            1,320,364
1,215,324
  
Volkswagen Auto Lease Trust, 1.00%,2/20/2014
    
            1,216,637
1,355,000
  
Wal-Mart Stores Inc, 2.80%,4/15/2016
    
            1,445,094
2,000,000
  
World Omni Auto Receivables Trust, 0.61%,6/15/2017
    
            2,000,200
   
Total Corporate Debt Securities
  
$
        145,780,627
           
   
Government Bonds
      
14,095,000
  
United States Treasury Inflation Indexed Bonds, 0.13%,4/15/2017
$
            15,371,950
5,000,000
  
United States Treasury Inflation Indexed Bonds, 0.13%,7/15/2022
  
              5,459,719
600,000
  
United States Treasury Note/Bond, 0.63%,9/30/2017
    
                 598,920
3,385,000
  
United States Treasury Note/Bond, 0.63%,5/31/2017
    
              3,390,281
2,995,000
  
United States Treasury Note/Bond, 0.75%,6/30/2017
    
              3,012,790
10,785,000
  
United States Treasury Note/Bond, 0.88%,4/30/2017
    
            10,917,332
11,000,000
  
United States Treasury Note/Bond, 0.88%,7/31/2019
    
            10,864,260
8,050,000
  
United States Treasury Note/Bond, 1.00%,3/31/2017
    
              8,194,015
1,000,000
  
Beaver County School District, 1.76%,2/01/2018
    
              1,017,610
700,000
  
City of Columbus OH, 1.28%,8/15/2017
    
                 699,580
400,000
  
County of Baltimore MD, 3.31%,11/01/2019
    
                 442,288
1,650,000
  
County of Harris TX, 1.37%,10/01/2018
    
              1,641,998
300,000
  
County of New Castle DE, 1.00%,7/15/2016
    
                 300,105
1,110,000
  
County of Travis TX, 0.87%,3/01/2016
    
              1,106,104
1,500,000
  
Denver City & County School District No 1, 0.97%,12/01/2016
    
              1,493,520
3,030,000
  
European Investment Bank, 1.63%,6/15/2017
    
              3,127,566
135,000
  
Lake County Township High School District No 121 Warren, 0.85%,3/01/2014
  
                 135,200
295,000
  
Lake County Township High School District No 121 Warren, 1.00%,3/01/2015
  
                 296,089
1,619,220
  
MSN 41079 and 41084 Ltd, 1.72%,7/13/2024
    
              1,630,166
925,000
  
New York State Dormitory Authority, 1.00%,2/15/2016
    
                 923,021
3,124,735
  
North Carolina State Education Assistance Authority, 1.04%,7/25/2039
  
              3,155,326
1,400,000
  
Overseas Private Investment Corp, 0.00%,7/12/2014
    
              1,406,496
1,400,000
  
Petroleos Mexicanos, 2.00%,12/20/2022
    
              1,431,528
2,000,000
  
Phoenix 2012 LLC, 1.61%,7/03/2024
    
              2,006,660
1,000,000
  
South San Antonio Independent School District/TX, 3.75%,8/15/2014
  
              1,050,180
550,000
  
State of Connecticut, 1.70%,10/15/2018
    
                 553,262
875,000
  
State of Michigan, 1.38%,5/15/2016
    
                 885,824
1,000,000
  
State of New York, 3.75%,3/01/2018
    
              1,124,570
 
 
 
20
 
500,000
  
State of Ohio, 3.18%,5/01/2018
    
                 540,730
1,200,000
  
State of Wisconsin, 5.05%,5/01/2018
    
              1,386,048
2,000,000
  
Tagua Leasing LLC, 1.58%,11/16/2024
    
              1,997,880
1,000,000
  
Virginia College Building Authority, 4.25%,2/01/2018
    
              1,136,560
735,000
  
Washington & Multnomah Counties School District No 48J Beaverton, 1.72%,6/15/2019
                 733,684
260,000
  
Washington County School District No 13 Banks, 1.85%,6/15/2018
  
                 260,411
   
Total Government Bonds
  
$
            88,291,673
           
   
Mortgage Backed Securities
      
1,385,000
  
Bear Stearns Commercial Mortgage Securities, 5.45%,3/11/2039
  
              1,562,696
2,320,000
  
Bear Stearns Commercial Mortgage Securities, 5.71%,9/11/2038
  
              2,655,727
2,407,998
  
COMM 2004-LNB2 Mortgage Trust, 4.72%,3/10/2039
    
              2,492,470
2,250,000
  
Credit Suisse First Boston Mortgage Securities Corp, 5.10%,8/15/2038
  
              2,473,110
1,685,395
  
DBRR 2012 - EZ1 A, 0.95%,9/25/2045
    
              1,689,297
2,000,000
  
FNA 2012 - M14 ASQ2, 1.11%,2/25/2017
    
              2,021,260
4,000,000
  
FNCN 10-YR 2.5 TBA FEB, 2.50%,11/29/2022
    
              4,188,280
4,130,000
  
General Electric Capital Corp, 2.30%,4/27/2017
    
              4,282,314
452,747
  
Ginnie Mae I pool, 5.00%,10/15/2019
    
                 489,844
3,040,207
  
Ginnie Mae II pool, 4.12%,8/21/2062
    
              3,443,083
951,011
  
Government National Mortgage Association, 4.25%,11/20/2034
  
                 973,003
720,477
  
Government National Mortgage Association, 4.00%,12/16/2038
  
                 763,461
1,100,000
  
Government National Mortgage Association, 5.50%,2/16/2037
    
              1,238,371
1,103,966
  
Government National Mortgage Association, 3.50%,2/20/2039
    
              1,174,166
1,586,478
  
Government National Mortgage Association, 3.00%,3/20/2038
    
              1,641,770
1,006,924
  
Government National Mortgage Association, 4.50%,4/20/2040
    
              1,088,797
856,686
  
Government National Mortgage Association, 4.00%,5/16/2035
    
                 904,939
1,000,000
  
Government National Mortgage Association, 5.00%,5/20/2038
    
              1,084,955
966,967
  
Government National Mortgage Association, 4.25%,5/20/2039
    
              1,040,394
807,054
  
Government National Mortgage Association, 4.50%,5/20/2040
    
                 891,996
643,648
  
Government National Mortgage Association, 4.00%,6/20/2040
    
                 694,925
643,035
  
Government National Mortgage Association, 4.50%,7/20/2038
    
                 682,247
1,692,431
  
Government National Mortgage Association, 3.50%,1/20/2039
    
              1,802,118
2,608,085
  
Government National Mortgage Association, 4.00%,9/20/2038
    
              2,811,438
2,744,615
  
Government National Mortgage Association, 4.25%,10/20/2038
  
              2,940,087
3,838,277
  
Government National Mortgage Association, 4.50%,4/20/2036
    
              3,986,795
4,036,852
  
Government National Mortgage Association, 4.50%,9/20/2036
    
              4,212,920
1,429,688
  
Greenwich Capital Commercial Funding Corp, 4.92%,1/05/2036
  
              1,456,509
1,392,454
  
Greenwich Capital Commercial Funding Corp, 4.57%,8/10/2042
  
              1,395,475
2,384,000
  
Merrill Lynch Mortgage Trust, 5.26%,11/12/2037
    
              2,649,768
1,946,416
  
Morgan Stanley Bank of America Merrill Lynch Trust, 0.66%,11/15/2045
  
              1,945,307
2,560,000
  
Morgan Stanley Capital I Trust 2005-HQ5, 5.17%,1/14/2042
    
              2,744,986
2,239,042
  
LB-UBS Commercial Mortgage Trust, 4.69%,7/15/2032
    
              2,264,992
2,310,000
  
LB-UBS Commercial Mortgage Trust, 4.95%,9/15/2030
    
              2,523,375
1,914,341
  
UBS-Barclays Commercial Mortgage Trust, 0.73%,8/10/2049
    
              1,918,093
257,499
  
Wachovia Bank Commercial Mortgage Trust, 5.24%,10/15/2044
  
                 285,032
940,386
  
Fannie Mae Pool, 3.00%,10/01/2027
    
              1,011,094
1,570,595
  
Fannie Mae Pool, 4.50%,12/01/2022
    
              1,692,104
2,750,000
  
Fannie Mae Pool, 1.27%,9/01/2017
    
              2,798,098
1,982,137
  
Fannie Mae Pool, 2.00%,12/10/2022
    
              2,037,062
8,000,000
  
Fannie Mae Pool, 2.50%,1/01/2023
    
              8,396,640
 
 
 
21
 
2,580,420
  
Fannie Mae Pool, 2.50%,10/01/2022
    
              2,708,357
2,616,626
  
Fannie Mae Pool, 2.50%,11/01/2022
    
              2,746,358
1,960,796
  
Fannie Mae Pool, 2.50%,11/01/2022
    
              2,058,012
2,652,061
  
Fannie Mae Pool, 2.50%,12/01/2022
    
              2,783,550
7,675,698
  
Fannie Mae Pool, 2.50%,5/01/2022
    
              8,056,259
2,518,744
  
Fannie Mae Pool, 2.50%,8/01/2022
    
              2,643,623
2,545,180
  
Fannie Mae Pool, 2.50%,9/01/2022
    
              2,671,370
5,784,840
  
Fannie Mae Pool, 3.00%,5/01/2027
    
              6,114,056
4,016,983
  
Fannie Mae Pool, 4.00%,11/01/2025
    
              4,371,690
4,906,605
  
Fannie Mae Pool, 4.00%,6/01/2026
    
              5,257,084
4,262,335
  
Fannie Mae Pool, 4.50%,6/01/2018
    
              4,696,650
2,950,630
  
Fannie Mae Pool, 5.00%,3/01/2025
    
              3,249,903
5,748,379
  
Fannie Mae Pool, 5.00%,6/01/2020
    
              6,246,993
2,897,351
  
Fannie Mae Pool, 5.00%,6/01/2023
    
              3,148,667
3,122,343
  
Fannie Mae Pool, 5.50%,9/01/2023
    
              3,417,373
5,175,000
  
Federal Home Loan Mortgage Corp, 1.00%,9/29/2017
    
              5,229,389
2,150,000
  
Federal National Mortgage Association, 0.88%,10/26/2017
    
              2,158,708
4,150,000
  
Federal National Mortgage Association, 0.88%,12/20/2017
    
              4,158,093
1,236,335
  
Freddie Mac Gold Pool, 5.00%,2/01/2025
    
              1,349,080
991,988
  
Freddie Mac Gold Pool, 5.00%,4/01/2023
    
              1,065,405
2,999,841
  
Freddie Mac Gold Pool, 4.00%,7/01/2026
    
              3,172,395
2,218,471
  
Freddie Mac Gold Pool, 4.50%,6/01/2025
    
              2,410,380
4,358,790
  
Freddie Mac Gold Pool, 5.00%,10/01/2020
    
              4,677,147
573,219
  
Freddie Mac REMICS, 5.00%,6/15/2033
    
                 586,690
3,724,307
  
Freddie Mac REMICS, 4.50%,7/15/2032
    
              3,854,583
2,395,932
  
Freddie Mac REMICS, 4.75%,6/15/2035
    
              2,561,985
2,776,254
  
Freddie Mac REMICS, 5.00%,4/15/2033
    
              2,885,027
981,118
  
Helios Leasing I LLC, 1.56%,9/28/2024
    
                 978,989
2,300,000
  
Citigroup Commercial Mortgage Trust, 4.73%,10/15/2041
    
              2,433,055
   
Total Mortgage Backed Securities
  
$
          184,039,869
           
   
Net Assets Pending Settlement
  
             (2,805,873)
           
   
Subtotal Stable Value
$
                          801,166,894
           
   
TOTAL - INVESTMENT CONTRACTS
$
                          801,166,894
   
ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE
  
                           (17,178,669)
   
TOTAL - INVESTMENT CONTRACTS AT CONTRACT VALUE
$
                          783,988,225

 
 
22
 

 
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR (continued))
DECEMBER 31, 2012
       
 Shares
Identity of Issuer, Borrower, Lessor or Similar Party
  
 Fair Value
 
Cash Equivalents
    
    19,864,466
Cash Equivalents
$
                 19,864,466
 
Total Cash Equivalents
$
                 19,864,466
       
 
Common / Collective Trusts
    
         378,440
JPMCB US Real Estate Securities Fund
$
                 17,816,967
      3,671,983
EB Daily Liquidity Non SL Aggregate Bond Index Fund
  
               464,002,734
      2,707,059
EB Daily Liquidity Non SL International Stock Index Fund
  
               305,480,758
      1,135,157
EB Daily Liquidity Non SL Small Cap Stock
  
               163,278,652
      3,427,742
EB Daily Liquidity Non SL Stock Index Fund
  
               481,200,145
         117,161
EB DL Non SL Treasury Inflation Protected Securities Fund
  
                 14,704,660
      1,003,260
JPMCB Emerging Markets - Equity Focused
  
                 18,068,713
           16,936
JPMCB Strategic Property Fund
  
                 31,791,671
     14,005,564
JPMCB Liquidity Fund
  
                 14,005,564
 
Total Common / Collective Trusts
$
            1,510,349,864
       
 
AEP Stock
    
                     6,630,235
American Electric Power Company, Inc.   Common Stock $6.50 par value
$
               282,978,430
 
Total AEP Stock
$
               282,978,430
       
 
Corporate Stock
    
            9,400
3M CO COM STK USD0.01
$
                      872,790
            5,950
AARON'S INC CLASS'A'COM VTG USD0.5
  
                      168,266
           41,200
ABB LTD ADR EACH REPR I CHF2.50(SPON)
  
                      856,548
           24,059
ABBOTT LABORATORIES COM STK NPV
  
                   1,575,865
           17,600
ABBOTT LABORATORIES COM STK NPV
  
                   1,152,800
            7,440
ABM INDUSTRIES INC COM STK USD0.01
  
                      148,428
           21,000
ACCENTURE PLC CLS'A'USD0.0000225
  
                   1,396,500
            9,900
ACE LIMITED CHF30.57
  
                      790,020
           28,400
ACME PACKET INC COM STK USD0.001
  
                      628,208
           11,220
ACTUANT CORP CLS'A' COM STK USD0.20
  
                      313,150
           10,690
AEGION CORP USD0.01
  
                      237,211
            6,735
AEROPOSTALE INC COM STK USD0.01
  
                        87,622
            6,271
AEROPOSTALE INC COM STK USD0.01
  
                        81,586
           25,900
AETNA INC NEW COM STK USD0.001
  
                   1,199,170
            4,300
AFC ENTERPRISES INC USD0.01
  
                      112,359
            3,195
AFFILIATED MANAGERS GROUP INC COM STK USD0.01
  
                      415,829
           30,400
AFLAC INC COM STK USD0.10
  
                   1,614,848
           21,600
AGCO CORP COM STK USD0.01
  
                   1,060,992
           64,131
AGILENT TECHNOLOGIES INC COM STK USD0.01
  
                   2,631,936
           19,200
AGILENT TECHNOLOGIES INC COM STK USD0.01
  
                      787,968
            2,900
AGRIUM INC COM NPV
  
                      291,189
           12,000
AIR METHODS CORP COM STK USD0.06
  
                      442,680
            3,300
AIR PRODUCTS & CHEMICALS INC COM STK USD1
  
                      279,378
           26,255
ALEXION PHARMACEUTICAL INC COM NPV USD0.001
  
                   2,462,982
            4,280
ALLEGHENY TECHNOLOGIES INC COM STK USD0.10
  
                      129,941
           27,571
ALLERGAN INC COM STK USD0.01
  
                   2,529,088
            9,600
ALLIANCE DATA SYSTEM COM STK USD0.01
  
                   1,389,696
            4,600
ALLIANCE DATA SYSTEM COM STK USD0.01
  
                      665,896
           21,900
ALLSTATE CORP COM STK USD0.01
  
                      879,723
           53,711
ALTERA CORP COM STK USD0.001
  
                   1,849,807
            6,000
ALTERRA CAPITAL HLDGS LTD USD0.01
  
                      169,140
           24,217
AMAZON COM INC COM STK USD0.01
  
                   6,081,857
           11,775
AMC NETWORKS INC USD0.01
  
                      582,863
           17,800
AMEREN CORP COM STK USD0.01
  
                      546,816
           44,200
AMERICAN EAGLE OUTFITTER COM STK USD0.01
  
                      906,542
           21,710
AMERICAN EAGLE OUTFITTER COM STK USD0.01
  
                      445,272
           10,457
AMERICAN GREETINGS CORP COM STK CLASS'A'USD1
  
                      176,619
           13,800
AMERICAN PUBLIC EDUCATION INC COM STK USD0.01
  
                      498,318
           35,666
AMERICAN TOWER CORPORATION
  
                   2,755,912
 
 
 
23
 
           13,200
AMERIPRISE FINANCIAL INC COM STK USD0.01
  
                      826,716
           18,300
AMERIPRISE FINANCIAL INC COM STK USD0.01
  
                   1,146,129
           28,800
AMERISOURCEBERGEN CORP COM STK NPV
  
                   1,243,584
           12,300
AMGEN INC COM STK USD0.0001
  
                   1,061,736
           21,900
AMPHENOL CORP CLASS'A'COM STK USD0.001
  
                   1,419,492
            4,170
AMSURG CORP COM STK NPV
  
                      125,142
           24,118
ANADARKO PETROLEUM CORP COM STK USD0.10
  
                   1,792,209
            2,400
ANN INC USD0.0068
  
                        81,216
           28,160
ANWORTH MORTGAGE ASSET CORP COM STK USD0.01
  
                      166,989
            8,300
APACHE CORP USD0.625
  
                      651,550
           12,955
APOLLO INVESTMENT CORP COM STK USD0.001
  
                      110,895
           18,035
APPLE INC COM STK NPV
  
                   9,613,196
            2,800
APPLE INC COM STK NPV
  
                   1,492,484
           10,000
ARCHER DANIELS MIDLAND CO COM STK NPV
  
                      273,900
           12,655
ARES CAPITAL CORP COM STK USD0.001
  
                      221,463
            6,119
ARGO GROUP INTL HLDGS COM STK USD0.01
  
                      205,537
           41,375
ARMOUR RESIDENTIAL REIT INC USD0.0001
  
                      267,696
           54,200
ARRIS GROUP INC COM STK USD0.01
  
                      809,748
           22,400
ARROW ELECTRONICS INC COM STK USD1
  
                      852,992
           22,995
ARROW ELECTRONICS INC COM STK USD1
  
                      875,650
           10,040
ASBURY AUTOMOTIVE GROUP INC COM STK USD0.01
  
                      321,581
           53,000
ASCENA RETAIL GROUP INC USD0.05
  
                      979,970
           29,265
ASCENA RETAIL GROUP INC USD0.05
  
                      541,110
            3,120
ASHLAND INC COM STK USD1
  
                      250,879
            7,600
ASPEN INSURANCE HLDGS COM STK USD0.15144558
  
                      243,808
           11,100
ASSOCIATED ESTATES REALTY CORP COM NPV
  
                      178,932
           21,900
ASSURANT INC COM STK USD0.01
  
                      759,930
            3,400
ASSURANT INC COM STK USD0.01
  
                      117,980
            7,800
ASSURANT INC COM STK USD0.01
  
                      270,660
           73,600
ASSURED GUARANTY LTD COM STK USD0.01
  
                   1,047,328
         225,193
ATMEL CORP COM STK USD0.001
  
                   1,475,014
           26,000
ATWOOD OCEANICS INC COM STK USD1
  
                   1,190,540
           14,200
AUTOLIV INC COM STK USD1
  
                      956,938
            1,960
AUTOLIV INC COM STK USD1
  
                      132,084
            2,300
AUTOZONE INC COM STK USD0.01
  
                      815,189
            1,600
AUTOZONE INC COM STK USD0.01
  
                      567,088
           45,812
AVAGO TECHNOLOGIES LTD NPV
  
                   1,450,408
           39,100
AVNET INC COM STK USD1
  
                   1,196,851
           18,035
AVNET INC COM STK USD1
  
                      552,051
            6,415
AXIS CAPITAL HLDGS COM STK USD0.0125
  
                      223,819
           15,646
BAIDU INC ADR EACH REPR 0.10 SHARE A
  
                   1,569,137
            5,900
BALL CORP COM STK NPV
  
                      264,025
           13,400
BALL CORP COM STK NPV
  
                      599,650
            1,100
BANCFIRST CORP COM STK USD1
  
                        46,596
           12,632
BBCN BANCORP INC
  
                      146,152
            6,280
BEACON ROOFING SUPPLY INC COM STK USD0.01 CLS'A'
  
                      208,998
           17,600
BED BATH AND BEYOND COM STK USD0.01
  
                      984,016
            3,000
BEL FUSE INC CLASS'B'SHS USD0.1
  
                        58,650
           31,400
BELDEN INC COM STK USD0.01
  
                   1,412,686
            6,150
BELDEN INC COM STK USD0.01
  
                      276,689
            5,100
BELDEN INC COM STK USD0.01
  
                      229,449
         112,100
BELO CORP USD0.01 A
  
                      859,807
           19,500
BEMIS CO INC COM STK USD0.10
  
                      652,470
            3,200
BERRY PETROLEUM CORP CLASS'A'COM STK USD0.01
  
                      107,360
           14,500
BIG LOTS INC COM STK USD0.01
  
                      412,670
            5,900
BIG LOTS INC COM STK USD0.01
  
                      167,914
           11,214
BIOGEN IDEC INC COM STK USD0.0005
  
                   1,644,757
            9,500
BIOMED REALTY TRUST INC COM STK USD0.01
  
                      185,868
           36,356
BOEING CO COM STK USD5
  
                   2,739,788
           22,290
BORG-WARNER INC COM STK USD0.01
  
                   1,596,410
           16,800
BP AMOCO P.L.C ADR-EACH CNV INTO 6 ORD USD0.25
  
                      699,552
            8,480
BRADY CORP 'A'NON.V USD0.01
  
                      283,232
           19,200
BRINK'S COMPANY BRINKS GROUP COM USD1
  
                      547,776
            4,840
BRINK'S COMPANY BRINKS GROUP COM USD1
  
                      138,085
           35,400
BRISTOL-MYERS SQUIBB CO COM STK USD0.10
  
                   1,153,686
 
 
 
24
 
            5,350
BRISTOW GROUP INC COM STK USD0.01
  
                      287,081
            9,800
BROOKFIELD RESIDENTIAL PPTYS INC USD0.01
  
                      175,812
           40,906
BRUNSWICK CORP COM STK USD0.75
  
                   1,189,956
            1,337
BUCKEYE TECHNOLOGIES INC COM STK USD0.01
  
                        38,385
           17,050
BUCKLE COM STK USD0.05
  
                      761,112
            4,000
BUNGE LTD COM STK USD0.01
  
                      290,760
            7,537
BURBERRY GROUP SPON ADR EACH REP 2 ORD
  
                      310,284
           67,200
CA INC COM STK USD0.10
  
                   1,477,056
           76,100
CABLEVISION SYSTEMS CORP NY GROUP COM STK USD0.01
  
                   1,136,934
            8,065
CABOT CORP COM STK USD1
  
                      320,906
            4,959
CABOT CORP COM STK USD1
  
                      197,319
            3,700
CACI INTL INC CLASS A COM
  
                      203,611
           86,200
CAE INC COM NPV
  
                      874,930
           27,422
CALLAWAY GOLF CO COM STK USD0.01
  
                      178,243
            9,700
CAMBREX CORP COM STK USD0.10
  
                      110,386
           82,200
CAMECO CORP COM NPV
  
                   1,629,247
           13,800
CAMERON INTERNATIONAL CORP COM STK USD0.01
  
                      779,148
            4,888
CANADIAN PACIFIC RAILWAYS COM NPV
  
                      498,402
           10,895
CAPSTEAD MTGE.CORP COM STK USD0.01
  
                      128,234
           33,200
CAPSTEAD MTGE.CORP COM STK USD0.01
  
                      390,764
           26,900
CARDINAL HEALTH INC COM STK NPV
  
                   1,115,140
           16,300
CARLISLE COS INC COM STK USD1
  
                      957,788
           19,769
CARLISLE COS INC COM STK USD1
  
                   1,161,626
            1,822
CASCADE CORP COM STK USD0.50
  
                      117,155
            6,400
CATAHY GENERAL BANCORP COM STK USD0.01
  
                      124,800
            4,620
CATO CORP CLASS'A'COM STK USD0.03 1/3
  
                      126,727
           10,200
CBL & ASSOCIATES PROPERTIES INC COM STK USD0.01
  
                      218,586
           23,700
CBS CORP CLASS'B' COM STK USD0.001
  
                      905,313
            6,300
CEC ENTERTAINMENT COM STK USD0.10
  
                      209,097
            6,349
CELANESE CORP COM STK USD0.0001 CLS'A'
  
                      282,721
            9,800
CELANESE CORP COM STK USD0.0001 CLS'A'
  
                      436,394
            3,715
CENTENE CORP(DEL) COM STK USD0.001
  
                      152,315
            1,400
CF INDUSTRIES HOLDINGS INC COM STK USD0.01
  
                      284,424
            5,130
CHATHAM LODGING TRUST USD0.01
  
                        79,925
           23,100
CHECK POINT SOFTWARE TECHNOLOGIES ORD ILS1
  
                   1,100,484
           10,145
CHECKPOINT SYSTEMS COM STK USD0.10
  
                      108,957
            4,925
CHEMED CORP CAP USD1
  
                      337,806
            6,600
CHEVRON CORP COM STK USD0.75
  
                      713,724
            6,400
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)
  
                      296,640
           11,108
CHICAGO BRIDGE & IRON CO N.V. EUR0.01 (REG)
  
                      515,034
           41,600
CHICOS FAS INC COM STK USD0.01
  
                      767,936
            8,389
CHICOS FAS INC COM STK USD0.01
  
                      154,861
            3,740
CHILDRENS PLACE RETAIL STORE INC COM STK USD0.10
  
                      165,645
            6,313
CHIPOTLE MEXICAN GRILL COM STK USD0.01
  
                   1,877,865
           10,000
CHUBB CORP COM STK USD1
  
                      757,300
           17,600
CIGNA CORP COM STK USD0.25
  
                      940,896
         305,200
CINCINNATI BELL NC USD0.01
  
                   1,672,496
            4,900
CITRIX SYSTEMS INC COM STK USD0.001
  
                      322,175
            4,005
CITY NATIONAL CORP COM STK USD1
  
                      198,328
            8,000
CLIFFS NATURAL RESOURCES INC COM STK USD0.125
  
                      308,480
           41,317
COACH INC COM STK USD0.01
  
                   2,293,507
            7,300
COACH INC COM STK USD0.01
  
                      405,223
           17,900
COGNEX CORP COM STK USD0.002
  
                      659,078
            4,350
COLONY FINANCIAL INC USD0.01
  
                        86,565
            5,534
COLONY FINANCIAL INC USD0.01
  
                      110,127
            4,965
COLUMBIA BANKING SYSTEMS INC COM STK NPV
  
                        89,072
            9,530
COMERICA INC COM STK USD5
  
                      290,570
            1,822
COMMERCE BANCSHARES INC COM STK USD5
  
                        63,871
           23,410
COMPUTER SCIENCES CORP COM STK USD1
  
                      942,253
           11,589
COMSTOCK RESOURCES INC COM STK USD0.50
  
                      175,342
           15,857
COMTECH TELECOMMUNICATIONS COM STK USD0.10
  
                      402,451
           20,603
CONCHO RESOURCES INC COM STK USD0.001
  
                   1,659,778
           12,000
CONOCOPHILLIPS USD0.01
  
                      695,880
            8,110
CONTANGO OIL & GAS COM USD0.04
  
                      343,540
           39,167
CONVERGYS CORP COM STK NPV
  
                      644,689
 
 
 
25
 
           33,504
COSTCO WHOLESALE CORP COM STK USD0.005
  
                   3,309,190
            5,902
COVANCE INC COM STK USD0.01
  
                      340,959
            7,320
COVANTA HOLDING CORP
  
                      134,834
            2,769
CRA INTERNATIONAL INC COM
  
                        54,743
           10,700
CRANE CO COM STK USD1
  
                      495,196
           26,244
CROWN CASTLE INTERNATIONAL CORP COM STK USD0.01
  
                   1,893,767
            8,300
CUMMINS INC COM STK USD2.50
  
                      899,305
           22,600
CUMMINS INC COM STK USD2.50
  
                   2,448,710
           10,280
CURTISS-WRIGHT CORP COM STK USD1
  
                      337,492
           12,111
CVB FINANCIAL NPV
  
                      125,954
           17,700
CVS CAREMARK CORP COM STK USD0.01
  
                      855,795
           46,180
CYS INVESTMENTS INC USD0.01
  
                      545,386
           17,866
CYS INVESTMENTS INC USD0.01
  
                      210,997
           37,056
DANA HOLDING CORP USD0.01
  
                      578,444
           13,638
DARDEN RESTAURANTS INC COM STK NPV
  
                      614,665
            8,200
DECKERS OUTDOOR CORP COM STK USD0.01
  
                      330,214
           10,600
DIAMOND OFFSHORE DRILLING INC COM STK USD0.01
  
                      720,376
           12,960
DIANA SHIPPING INC COM STK USD0.01
  
                        94,608
           14,800
DIEBOLD INC COM STK USD1.25
  
                      453,028
           10,700
DILLARDS INC NPV A
  
                      896,339
           19,300
DISCOVER FINANCIAL SERVICES COM STK USD0.01
  
                      746,717
           15,500
DISCOVER FINANCIAL SERVICES COM STK USD0.01
  
                      599,695
           47,150
DISCOVERY COMMUNICATIONS INC CLS 'C' USD0.01
  
                   2,758,275
           52,445
DOLE FOOD CO INC USD0.001
  
                      601,544
           21,000
DOLLAR TREE INC COM STK USD0.01
  
                      851,760
            7,100
DOVER CORP COM STK USD1
  
                      466,541
            8,900
DOW CHEMICAL CO COM STK USD2.50
  
                      287,648
           53,400
DR HORTON INC COM STK USD0.01
  
                   1,056,252
           25,200
DR PEPPER SNAPPLE GROUP INC USD0.01
  
                   1,121,904
            9,100
DTE ENERGY CO COM STK NPV
  
                      552,097
            6,400
DU PONT(E.I.)DE NEMOURS & CO COM STK USD0.30
  
                      287,808
           66,579
DUKE REALTY CORP COM STK USD0.01
  
                      923,451
           54,106
DUNKIN BRANDS GROUP INC USD0.001
  
                   1,795,237
           10,485
EAST WEST BANCORP INC USD0.001
  
                      225,323
            4,300
EASTMAN CHEMICAL CO COM STK USD0.01
  
                      292,615
           16,600
EATON CORP PLC NPV
  
                      899,720
           27,404
EBAY INC COM STK USD0.001
  
                   1,398,152
           23,800
EBIX. COM INC USD0.10
  
                      382,466
           11,900
EDISON INTERNATIONAL COM STK NPV
  
                      541,777
           36,980
EDWARDS GROUP LTD ADR REP 1 ORD SH SPONSORED
  
                      224,838
            9,700
EL PASO ELECTRIC CO COM STK NPV
  
                      309,527
            8,465
ELECTRONICS FOR IMAGING INC COM STK USD0.01
  
                      160,750
         125,773
EMC CORP COM STK USD0.01
  
                   3,182,057
           32,200
ENCANA CORP COM NPV
  
                      636,272
           19,600
ENDURANCE SPECIALTY HLDGS LTD USD1
  
                      777,924
            4,100
ENERGEN CORP COM STK USD0.01
  
                      184,869
           15,785
ENERSYS COM USD0.01
  
                      593,990
           11,604
ENERSYS COM USD0.01
  
                      436,659
           14,200
ENI ADR EACH REP 2 ORD (MGT)
  
                      697,788
            4,633
ENSIGN GROUP INC COM NPV
  
                      125,971
               500
ENSTAR GROUP LIMITED SHS
  
                        55,990
            7,500
ENTERGY CORP COM STK USD0.01
  
                      478,125
           12,052
EOG RESOURCES INC COM STK USD0.01
  
                   1,455,761
            8,100
EPR PROPERTIES SBI USD0.01
  
                      379,566
            6,805
EQUIFAX INC COM STK USD1.25
  
                      368,287
            2,716
EQUITY LIFESTYLE PROPERTIES INC COM STK USD0.01
  
                      182,760
           28,368
ESTEE LAUDER COMPANIES INC USD0.01 A
  
                   1,698,108
           69,500
EXPRESS INC USD0.01
  
                   1,048,755
            5,995
EXPRESS INC USD0.01
  
                        90,465
           49,164
EXPRESS SCRIPTS HLDG CO USD0.01
  
                   2,654,856
            8,000
EXXON MOBIL CORP COM STK NPV
  
                      692,400
            2,800
F5 NETWORK INC COM STK USD0.01
  
                      272,020
           56,993
FACEBOOK INC USD0.000006 A
  
                   1,517,724
            2,700
FAIR ISAAC CORP COM STK USD0.01
  
                      113,481
           13,165
FEDERATED INVESTORS INC COM STK CLASS'B'USD0.01
  
                      266,328
 
 
 
26
 
           26,715
FIDELITY NATIONAL FINANCIAL INC CLASS 'A' COM STK
  
                      629,138
           10,205
FIFTH STREET FINANCE CORP USD0.01
  
                      106,336
           48,700
FIFTH THIRD BANCORP COM STK NPV
  
                      744,623
           23,110
FINISH LINE INC CLASS'A'COM STK USD0.01
  
                      437,472
            8,555
FIRST AMERICAN FINANCIAL CORP USD0.00001