Document



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, 2015
 
 
 
 
 
 
 
OR
 
 
 
 
 
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d)
 
 
OF THE SECURITIES EXCHANGE ACT OF 1934
 
 
 
 
 
 
 
For the transition period from __________ to __________
 
 
 
 
 
 
 
 
 
 
 
 
Commission File Number: 1 - 3525
 
 
 
 
 
 
 
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
 
 
 
Supplemental Schedules
 
 
Schedule of Assets (Held as of End of Year)
 
19
Schedule of Assets (Acquired and Disposed of Within Year)
 
61
Schedule of Nonexempt Transactions
 
62
 
 
 
Exhibits
 
 
Exhibit Index
 
63
Consent of Independent Registered Public Accounting Firm
 
64

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/ Lonni Dieck
 
 
 
 
Lonni Dieck, SVP and Treasurer
 
 
 
 
 
Date: June 27, 2016
 
 
 
 

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, 2015 and 2014, 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, 2015 and 2014, 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.

The supplemental schedules listed in the table of contents have been subjected to audit procedures performed in conjunction with the audit of the Plan's financial statements. The supplemental schedules are the responsibility of the Plan's management. Our audit procedures included determining whether the supplemental schedules reconcile to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the supplemental schedules, we evaluated whether the supplemental schedules, including their form and content, are presented in compliance with the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, such schedules are fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ Deloitte & Touche LLP
Columbus, Ohio
June 27, 2016

3



AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2015 and 2014
 
 
2015
 
2014
ASSETS
 
 
 
 
Investments at Fair Value
 
$
3,192,088,609
 
 
 
$
3,201,259,640
 
 
 
 
 
 
 
Investments at Contract Value
 
734,837,295
 
 
 
770,493,619
 
 
 
 
 
 
 
 
 
Notes Receivable from Participants
 
87,524,769
 
 
 
85,735,539
 
 
 
 
 
 
 
NET ASSETS AVAILABLE FOR BENEFITS
 
$
4,014,450,673

 
 
$
4,057,488,798

 
 
 
 
 
 
See Notes to Financial Statements beginning on page 6.
 
 
 
 

4



AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
For the Years Ended December 31, 2015 and 2014
 
 
2015
 
2014
INVESTMENT INCOME
 
 
 
 
Net Appreciation (Depreciation) in Investments
 
$
(7,668,543
)
 
$
252,616,091

Interest and Dividends
 
30,016,946
 
 
32,584,744
 
Total Investment Income
 
22,348,403
 
 
285,200,835
 
 
 
 
 
 
CONTRIBUTIONS
 
 
 
 
Participants
 
170,142,439
 
 
159,338,477
 
Employer
 
72,420,999
 
 
69,502,858
 
Total Contributions
 
242,563,438
 
 
228,841,335
 
 
 
 
 
 
DISTRIBUTIONS TO PARTICIPANTS
 
(304,736,006
)
 
(253,597,210
)
 
 
 
 
 
Administrative and Management Fees
 
 
 
 
Professional Fees
 
(639,628
)
 
(645,113
)
Investment Advisory and Management Fees
 
(6,123,841
)
 
(6,332,592
)
Other Fees
 
(427,954
)
 
(266,265
)
Total Administrative and Management Fees
 
(7,191,423
)
 
(7,243,970
)
 
 
 
 
 
INTEREST INCOME ON NOTES RECEIVABLE FROM PARTICIPANTS
 
3,977,463
 
 
3,871,300
 
 
 
 
 
 
INCREASE (DECREASE) IN NET ASSETS
 
(43,038,125
)
 
257,072,290
 
 
 
 
 
 
NET ASSETS AVAILABLE FOR BENEFITS BEGINNING OF YEAR
 
4,057,488,798
 
 
3,800,416,508
 
 
 
 
 
 
NET ASSETS AVAILABLE FOR BENEFITS END OF YEAR
 
$
4,014,450,673

 
$
4,057,488,798

 
 
 
 
 
See Notes to Financial Statements beginning on page 6.
 
 
 
 

5



AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
NOTES TO FINANCIAL STATEMENTS
For the Years Ended December 31, 2015 and 2014

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 full-time and part-time employees of the participating subsidiaries of American Electric Power Company, Inc. (AEP or the Company) who are not covered through a unionized collective bargaining agreement. 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. (JPMorgan or the Trustee) is the custodian and trustee. JPMorgan Retirement Plan Services, LLC was the record keeper with respect to the Plan through August 30, 2014, when it was acquired by Great West Financial Retirement Plan Services, LLC (Empower Retirement). Empower Retirement began record keeping at the date of acquisition.

Subsequent Events

In January 2016, Dolet Hills Lignite Company, LLC (DHLC) became a participating AEP System employer whose employees became eligible to participate in the Plan. In connection with that transition, DHLC and the Plan Sponsor decided that DHLC’s 401(k) Savings Plan would be merged into the Plan and as a result $20,283,110 in assets were transferred to the Plan in 2016.

In November 2015, AEP sold its commercial barge transportation subsidiary, AEP River Operations (AEPRO), to American Commercial Barge Lines (ACBL), a nonaffiliated party. ACBL acquired AEPRO by purchasing all the common stock of AEP Resources, Inc., the parent company of AEPRO. AEP agreed to cause the Plan account balances of the participants who became employees of ACBL or its affiliates to be transferred to the 401(k) retirement plan in which they had become participants following the sale.  As a result, $62,597,637 was transferred by the Plan to the ACBL’s 401(k) Plan in February 2016.


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 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 eligible to contribute additional pretax or Roth 401(k) amounts as catch-up contributions. The catch-up contribution limit was $6,000 and $5,500 for 2015 and 2014, respectively. An employee who is eligible to participate in the Plan also

6



may roll eligible retirement benefits into the Plan. The Company contributes to the Plan, on behalf of each participant, an amount equal to 100% of the participant’s non-rollover 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 that are withheld from a participant’s pay or are made by the Company 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), such that only the after-tax contributions made by such highly compensated participants may be subject to such restrictions.

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 and Empower Retirement provide custody, trustee, recordkeeping and other services with regard to investments.

Notes Receivable from Participants

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 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

7



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 fully benefit responsive investment contracts are reported at contract value. The Statement of Changes in Net Assets Available for Benefits is prepared using contract value basis. 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. Net appreciation includes the Plan’s gains or losses on investments bought or sold as well as held throughout the year. 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.

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 and Management Fees

Administrative and Management Fees incurred relating to JPMorgan and Empower Retirement during 2015 and 2014 totaled $2,532,903 and $2,657,969, respectively. The Plan directly pays for administrative, recordkeeping and management fees.


8



Distributions to Participants

Distributions to participants are recorded when paid. There were no material amounts of distributions due to participants who requested distributions from the Plan as of December 31, 2015 and 2014.

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 fair value hierarchy that prioritizes the inputs used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). AEPSC’s staff independently monitors valuation policies and procedures and provides members of the Benefits Finance Committee (BFC) and its Investment Subcommittee (IC) various monthly and quarterly reports, regarding compliance with policies and procedures. The BFC consists of AEPSC’s Chief Financial Officer, Treasurer, Chief Administrative Officer, Chief Risk Officer, Executive Vice President General Counsel in addition to the President of Energy Supply. The IC consists of AEPSC’s Treasurer, Chief Risk Officer, Director of Trusts and Investments and Managing Director of Corporate Finance.

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, in part by reviewing audit reports of the Trustee’s operating controls and valuation processes.

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.

The Trustee uses multiple pricing vendors for the assets held in trust. The Trustee’s 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

9



3 are primarily real estate and emerging market investments that are valued using methods requiring judgment, including appraisals.

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 are valued at the net asset value per share (NAV) and the Managed Income Fund is valued at contract value. 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. The JPMorgan Emerging Markets Fund and the Mellon Capital Emerging Markets Stock Index Fund have been classified as Level 3 investments since the majority of the holdings are equity securities traded on foreign stock exchanges in emerging nations that may have limited liquidity.

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.

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.

JPMorgan US Real Estate Securities Fund

The objective of this fund is to exceed the performance of the Morgan Stanley Capital International 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.

This fund was liquidated and replaced with the Mellon Capital REIT Index Fund effective August 15, 2014.

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.


10



This fund was liquidated and replaced with the Mellon Capital Emerging Markets Stock Index Fund effective August 15, 2014.

3. NEW ACCOUNTING PRONOUNCEMENT

Upon issuance of final pronouncements, management reviews the new accounting literature to determine its relevance, if any, to the Plan. The following final pronouncement will impact the financial statements.

Accounting Standards Update (ASU) 2015-12 “Plan Accounting: Defined Contribution Pension Plans (Topic 962)” (ASU 2015-12)

In July 2015, the Financial Accounting Standards Board (FASB) issued ASU 2015-12 reducing complexity in employee benefit plan accounting consistent with its simplification initiative.  There are three parts under this new standard to take into consideration. They are as follows:

Part I amends the accounting guidance to allow fully benefit-responsive investment contracts to be measured, presented and disclosed at contract value only. This will eliminate fair value adjustments that were previously presented on the face of plan benefit financial statements and modify the reconciliation disclosure in the footnotes.

Part II amends the accounting guidance to remove the requirement to disclose individual investments that are 5% or more of net assets and net appreciation and depreciation for investments by general type.

Part III provides a practical expedient to permit plans to measure investments and investment-related accounts as of a month-end date that is closest to the plan’s fiscal year-end, when the fiscal period does not coincide with a month end.

The new accounting standard is effective for annual periods beginning after December 15, 2015.  Early adoption is permitted. Management has analyzed the impact of this new standard and determined that it did not have a material impact on the financial statements. Management adopted ASU 2015-12 upon its issuance date and applied the new standard retrospectively.

4. 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.

5. 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, 2015 and 2014. 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.


11



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, 2015 or the date these financial statements are issued.

6. PARTY-IN-INTEREST TRANSACTIONS

Certain transactions involving the Plan and its assets involved parties in interest with respect to the Plan, but most of 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 acted as trustee and custodian under the Plan, while its affiliates have acted as (a) investment managers for a number of the Plan’s investment options, (b) the Plan’s record keepers through August 30, 2014 (Empower Retirement, a non-affiliate, became the Plan’s record keeper on August 31, 2014) 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, 2015 and 2014, the Plan held 5,503,327 and 5,415,534 shares, respectively, of common stock of American Electric Power Company, Inc., the parent company of the Plan Sponsor, with a cost basis of $219,608,258 and $204,336,056, respectively. During the years ended December 31, 2015 and 2014, the Plan recorded dividend income of $12,146,882 and $12,155,855, respectively, related to its investment in that common stock.

The Plan entered into a non-exempt prohibited transaction when it made a series of overpayments to the Trustee between October 2006 and July 2014. ERISA Section 406(a)(1)(D) prohibits the use of plan assets by, or transfer of plan assets to, a party in interest (such as a fiduciary investment manager or Trustee). Although an exemption under ERISA 408(b)(2) generally is applicable to contracts with parties (such as Trustees) for services necessary for the operation of a plan where no more than reasonable compensation is paid therefor, the described payments represent the amount invoiced and paid by the Plan in excess of the amount required by the applicable contract.

The Trustee had agreed to apply different fee rates to different plan accounts, depending on the classification of the activity transacted in those accounts, and had agreed to waive normal fees with regard to other accounts. However, upon a review of the invoices generated by the Trustee, it was discovered that (a) for the period between July 2006 and July 2014, the Trustee had mistakenly applied incorrect fee rates applicable to certain accounts, and (b) between July 2009 and July 2014, it had mistakenly applied fees that it had agreed to waive. These resulted in an effective overcharge for their services. Following confirmation of the overpayments in 2014, the Plan secured repayment of the excess charges and the Trustee and Plan Sponsor are finalizing their review to confirm that the transactions are fully remediated.

The Plan is reviewing whether certain legal fees paid by the Plan in September 2012 entailed a non-exempt prohibited transaction. The Company is reviewing to confirm whether the fees did in fact relate to services for the operation of the Plan (and therefore not a prohibited transaction under ERISA). If the payment is determined to be inappropriate, the Company would contribute to the Plan to fully remediate the issue.

12



7. 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, 2015
 
 
 
 
 
 
 
 
 
 
 
Level 1
 
Level 2
 
Level 3
 
Total
Equities
 
 
 
 
 
 
 
 
Corporate Stocks
 
$
651,023,438

 
$

 
$

 
$
651,023,438

AEP Stock
 
320,678,864
 
 
 
 
 
 
320,678,864
 
Subtotal Equities
 
971,702,302
 
 
 
 
 
 
971,702,302
 
 
 
 
 
 
 
 
 
 
Fixed Income
 
 
 
 
 
 
 
 
Government Bonds
 
 
 
22,185,387
 
 
 
 
22,185,387
 
Corporate Debt Securities
 
 
 
12,881,747
 
 
 
 
12,881,747
 
Mortgage Backed Securities
 
 
 
13,834,151
 
 
 
 
13,834,151
 
Subtotal Fixed Income
 
 
 
48,901,285
 
 
 
 
48,901,285
 
 
 
 
 
 
 
 
 
 
Common/Collective Trusts
 
 
 
 
 
 
 
 
JPMorgan Liquidity Fund
 
 
 
12,470,523
 
 
 
 
12,470,523
 
Mellon Capital Small Cap Stock Index Fund
 
 
 
168,768,573
 
 
 
 
168,768,573
 
Mellon Capital Mid Cap Stock Index Fund
 
 
 
65,664,948
 
 
 
 
65,664,948
 
Mellon Capital Stock Index Fund
 
 
 
679,723,905
 
 
 
 
679,723,905
 
Mellon Capital International Stock Index Fund
 
 
 
390,982,224
 
 
 
 
390,982,224
 
Mellon Capital REIT Index Fund
 
 
 
26,129,855
 
 
 
 
26,129,855
 
Mellon Capital Aggregate Bond Index Fund
 
 
 
565,276,859
 
 
 
 
565,276,859
 
Mellon Capital Treasury Inflation-Protected Securities Fund
 
 
 
18,154,304
 
 
 
 
18,154,304
 
JPMorgan Strategic Property Fund
 
 
 
 
 
46,781,444
 
 
46,781,444
 
Mellon Capital Emerging Markets Stock Index Fund
 
 
 
 
 
24,600,662
 
 
24,600,662
 
Subtotal Common/Collective Trusts
 
 
 
1,927,171,191
 
 
71,382,106
 
 
1,998,553,297
 
 
 
 
 
 
 
 
 
 
Registered Investment Companies
 
159,986,702
 
 
 
 
 
 
159,986,702
 
Cash Equivalents
 
 
 
13,495,014
 
 
 
 
13,495,014
 
Accrued Items and Unsettled Trades
 
(3,656,148
)
 
3,106,157
 
 
 
 
(549,991
)
 
 
 
 
 
 
 
 
 
Total Assets Reflecting Investments at Fair Value
 
$
1,128,032,856

 
$
1,992,673,647

 
$
71,382,106

 
$
3,192,088,609


13



Plan Assets within the Fair Value Hierarchy as of December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Level 1
 
Level 2
 
Level 3
 
Total
Equities
 
 
 
 
 
 
 
 
Corporate Stocks
 
$
670,804,490

 
$

 
$

 
$
670,804,490

AEP Stock
 
328,831,224
 
 
 
 
 
 
328,831,224
 
Subtotal Equities
 
999,635,714
 
 
 
 
 
 
999,635,714
 
 
 
 
 
 
 
 
 
 
Fixed Income
 
 
 
 
 
 
 
 
Government Bonds
 
 
 
20,650,454
 
 
 
 
20,650,454
 
Corporate Debt Securities
 
 
 
11,293,814
 
 
 
 
11,293,814
 
Mortgage Backed Securities
 
 
 
15,798,844
 
 
 
 
15,798,844
 
Subtotal Fixed Income
 
 
 
47,743,112
 
 
 
 
47,743,112
 
 
 
 
 
 
 
 
 
 
Common/Collective Trusts
 
 
 
 
 
 
 
 
JPMorgan Liquidity Fund
 
 
 
11,537,076
 
 
 
 
11,537,076
 
Mellon Capital Small Cap Stock Index Fund
 
 
 
186,655,588
 
 
 
 
186,655,588
 
Mellon Capital Mid Cap Stock Index Fund
 
 
 
46,993,184
 
 
 
 
46,993,184
 
Mellon Capital Stock Index Fund
 
 
 
683,575,296
 
 
 
 
683,575,296
 
Mellon Capital International Stock Index Fund
 
 
 
376,228,524
 
 
 
 
376,228,524
 
Mellon Capital REIT Index Fund
 
 
 
25,011,659
 
 
 
 
25,011,659
 
Mellon Capital Aggregate Bond Index Fund
 
 
 
562,375,327
 
 
 
 
562,375,327
 
Mellon Capital Treasury Inflation-Protected Securities Fund
 
 
 
17,061,173
 
 
 
 
17,061,173
 
JPMorgan Strategic Property Fund
 
 
 
 
 
43,471,057
 
 
43,471,057
 
Mellon Capital Emerging Markets Stock Index Fund
 
 
 
 
 
23,593,030
 
 
23,593,030
 
Subtotal Common/Collective Trusts
 
 
 
1,909,437,827
 
 
67,064,087
 
 
1,976,501,914
 
 
 
 
 
 
 
 
 
 
Registered Investment Companies
 
166,797,451
 
 
 
 
 
 
166,797,451
 
Cash Equivalents
 
 
 
14,642,032
 
 
 
 
14,642,032
 
Accrued Items and Unsettled Trades
 
(5,703,792
)
 
1,643,209
 
 
 
 
(4,060,583
)
 
 
 
 
 
 
 
 
 
Total Assets Reflecting Investments at Fair Value
 
$
1,160,729,373

 
$
1,973,466,180

 
$
67,064,087

 
$
3,201,259,640



14



The following tables set forth a summary of the Plan's investments with a reported Net Asset Value as of December 31, 2015 and 2014:
Fair Value Estimated Using Net Asset Value per Share as of December 31, 2015
 
 
 
 
 
Common/Collective Trusts
 
Fair Value
 
Redemption
Frequency
(If currently
eligible)
 
Redemption
Notice Period
JPMorgan Liquidity Fund
 
$
12,470,523
 
 
Daily
 
1 Day
Mellon Capital Small Cap Stock Index Fund
 
168,768,573
 
 
Daily
 
Trade Date + 1
Mellon Capital Mid Cap Stock Index Fund
 
65,664,948
 
 
Daily
 
Trade Date + 1
Mellon Capital Stock Index Fund
 
679,723,905
 
 
Daily
 
Trade Date + 1
Mellon Capital International Stock Index Fund
 
390,982,224
 
 
Daily
 
Trade Date + 1
Mellon Capital REIT Index Fund
 
26,129,855
 
 
Daily
 
Trade Date + 1
Mellon Capital Aggregate Bond Index Fund
 
565,276,859
 
 
Daily
 
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
 
18,154,304
 
 
Daily
 
Trade Date + 1
JPMorgan Strategic Property Fund
 
46,781,444
 
 
Quarterly
 
45 Days
Mellon Capital Emerging Markets Stock Index Fund
 
24,600,662
 
 
Daily
 
Trade Date + 1
Total Assets
 
$
1,998,553,297
 

 
Fair Value Estimated Using Net Asset Value per Share as of December 31, 2014
 
 
 
 
 
Common/Collective Trusts
 
Fair Value
 
Redemption
Frequency
(If currently
eligible)
 
Redemption
Notice Period
JPMorgan Liquidity Fund
 
$
11,537,076
 
 
Daily
 
1 Day
Mellon Capital Small Cap Stock Index Fund
 
186,655,588
 
 
Daily
 
Trade Date + 1
Mellon Capital Mid Cap Stock Index Fund
 
46,993,184
 
 
Daily
 
Trade Date + 1
Mellon Capital Stock Index Fund
 
683,575,296
 
 
Daily
 
Trade Date + 1
Mellon Capital International Stock Index Fund
 
376,228,524
 
 
Daily
 
Trade Date + 1
Mellon Capital REIT Index Fund
 
25,011,659
 
 
Daily
 
Trade Date + 1
Mellon Capital Aggregate Bond Index Fund
 
562,375,327
 
 
Daily
 
Trade Date + 1
Mellon Capital Treasury Inflation-Protected Securities Fund
 
17,061,173
 
 
Daily
 
Trade Date + 1
JPMorgan Strategic Property Fund
 
43,471,057
 
 
Quarterly
 
45 Days
Mellon Capital Emerging Markets Stock Index Fund
 
23,593,030
 
 
Daily
 
Trade Date + 1
Total Assets
 
$
1,976,501,914
 
 
 


15



It is the Plan’s policy to record transfers in and transfers out of each level at the end of each reporting period. There have been no transfers between Level 1, Level 2, and Level 3 during the years ended December 31, 2015 and 2014.

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, 2015
 
 
 
 
 
 
 
 
 
JPMorgan
Strategic
Property
Fund
 
Mellon Capital
Emerging
Markets Stock
Index Fund
 
Total
Balance at Beginning of Year
 
$
43,471,057
 
 
$
23,593,030
 
 
$
67,064,087
 
 
 
 
 
 
 
 
Realized Gains (Losses)
 
292,098
 
 
(82,761
)
 
209,337
 
Unrealized Gains (Losses)
 
6,118,401
 
 
(4,051,825
)
 
2,066,576
 
Purchases
 
490,575
 
 
10,979,105
 
 
11,469,680
 
Sales
 
(3,590,687
)
 
(5,836,887
)
 
(9,427,574
)
Balance at End of Year
 
$
46,781,444
 

$
24,600,662
 
 
$
71,382,106
 
Changes in Fair Value Measurements for the Year Ended December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
JPMorgan
Strategic
Property
Fund
 
JPMorgan
Emerging
Markets
Fund
 
Mellon Capital
Emerging
Markets Stock
Index Fund
 
Total
Balance at Beginning of Year
 
$
37,903,552
 
 
$
21,301,049
 
 
$
 
 
$
59,204,601
 
 
 
 
 
 
 
 
 
 
Realized Gains (Losses)
 
149,113
 
 
6,521,839
 
 
(196,087
)
 
6,474,865
 
Unrealized Gains (Losses)
 
4,198,421
 
 
(4,309,936
)
 
(2,439,325
)
 
(2,550,840
)
Purchases
 
3,969,971
 
 
2,208,893
 
 
31,850,213
 
 
38,029,077
 
Sales
 
(2,750,000
)
 
(25,721,845
)
 
(5,621,771
)
 
(34,093,616
)
Balance at End of Year
 
$
43,471,057
 
 
$
 
 
$
23,593,030
 
 
$
67,064,087
 

8. 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.

16



9. FEDERAL INCOME TAX

The IRS has issued a favorable determination letter dated September 24, 2013 with respect to the Plan. A favorable determination letter indicates that, in the opinion of the IRS, the terms of that the Plan meets the requirements of Section 401(a) of the IRC, and thereby 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 that IRS determination letter. 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, 2015 and 2014, 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 2012.

10. RECONCILIATION OF FINANCIAL STATEMENTS TO THE FORM 5500

The following is a reconciliation of participant loans and net assets available for benefits per the financial statements to Form 5500 as of and for the years ended December 31, 2015 and 2014, and for the year ended December 31, 2015.
 
 
January 1,
Participant Loans - Schedule H, Part I, Line 1c(8), Column (a)
 
2015
 
2014
Beginning Balance per Financial Statements
 
$
85,735,539

 
$
83,912,060

Less: Loans Deemed Distributed with No Post-Default Payments
 
(2,386,756
)
 
(2,135,738
)
Balance Reported on Form 5500
 
$
83,348,783

 
$
81,776,322

 
 
December 31,
Participant Loans - Schedule H, Part I, Line 1c(8), Column (b)
 
2015
 
2014
Ending Balance per Financial Statements
 
$
87,524,769

 
$
85,735,539

Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
 
(2,532,695
)
 
(2,386,756
)
Balance Reported on Form 5500
 
$
84,992,074

 
$
83,348,783

 
 
January 1,
Net Assets - Schedule H, Part I, Line 1l, Column (a)
 
2015
 
2014
Beginning Balance per Financial Statements
 
$
4,057,488,798
 
 
$
3,800,416,508
 
Plus: Adjustment from Contract Value to Fair Value
 
7,328,563
 
 
866,725
 
Less: Loans Deemed Distributed with No Post-Default Payments
 
(2,386,756
)
 
(2,135,738
)
Beginning Balance Reported on Form 5500
 
$
4,062,430,605
 
 
$
3,799,147,495
 

17



 
 
December 31,
Net Assets - Schedule H, Part I, Line 1l, Column (b)
 
2015
 
2014
Ending Balance per Financial Statements
 
$
4,014,450,673
 
 
$
4,057,488,798
 
Plus: Adjustment from Contract Value to Fair Value
 
 
 
7,328,563
 
Less: Assets and Activity Related to Loans Deemed Distributed with No Post-Default Payments
 
(2,532,695
)
 
(2,386,756
)
Balance Reported on Form 5500
 
$
4,011,917,978
 
 
$
4,062,430,605
 
 
 
December 31,
Increase (Decrease) in Net Assets - Schedule H, Part II, Line 2k
 
2015
 
2014
Per Financial Statements
 
$
(43,038,125
)
 
$
257,072,290
 
Plus (Less): Change in Contract Value to Fair Value
 
(7,328,563
)
 
6,461,838
 
Less: Loans Deemed Distributed
 
(145,939
)
 
(251,018
)
Reported on Form 5500
 
$
(50,512,627
)
 
$
263,283,110
 

18



AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR)
DECEMBER 31, 2015
 
 
 
 
 
 
INVESTMENT CONTRACTS:
 
 
 
Stable Value Wrap
 
 
 
  Prudential Insurance Company of America
 
 
 
  variable annual yield  (1.97 at December 31, 2015)
 
 
 
  with an indeterminate maturity date
$

 
Stable Value Wrap
 
 
 
  Met Life Inc.
 
 
 
  variable annual yield (1.28% at December 31, 2015)
 
 
 
  with an indeterminate maturity date
 

 
Stable Value Wrap
 
 
 
 Voya Life Ins. and Annuity Co.
 
 
 
  variable annual yield (1.95% at December 31, 2015)
 
 
 
  with an indeterminate maturity date
 
58,920

 
Stable Value Wrap
 
 
 
  American General Life Ins. Co.
 
 
 
  variable annual yield (1.94% at December 31, 2015)
 
 
 
  with an indeterminate maturity date
 

 
Subtotal Wrapper Contracts
$
58,920

 
 
 
 
 Shares
Identity of Issuer, Borrower, Lessor or Similar Party
 
 
 Fair Value
 
Common / Collective Trusts
 
 
 
 
Wells Fargo Fixed Income Fund N
 
$
108,630,760

 
Metlife Separate Account No 690
 
 
163,572,898

 66,337,048
JPMorgan US Treasury Plus Money Market Fund
 
 
67,054,840

 
Total Common / Collective Trusts
 
$
339,258,498

 
 
 
 
 
 
Corporate Debt Securities
 
 
 
 
AbbVie Inc, 1.8%, $290,000 par, due 5/14/2018
 
$
288,665

 
ACE INA Holdings Inc, 2.3%, $310,000 par, due 11/3/2020
 
 
307,771

 
Ally Auto Receivables Trust 2013-2, 0.79%, $440,102 par, due 1/15/2018
 
439,686

 
Ally Auto Receivables Trust 2014-3, 1.28%, $2,060,000 par, due 6/17/2019
 
2,054,152

 
Altera Corp, 2.5%, $1,400,000 par, due 11/15/2018
 
 
1,411,431

 
American Express Credit Corp, 2.25%, $1,030,000 par, due 8/15/2019
 
1,030,180

 
American Honda Finance Corp, 1.5%, $140,000 par, due 3/13/2018
 
138,974

 
American Honda Finance Corp, 1.6%, $770,000 par, due 7/13/2018
 
766,039

 
American Honda Finance Corp, 2.13%, $700,000 par, due 2/28/2017
 
707,472

 
AmeriCredit Automobile Receivables Trust 2014-2, 0.94%, $2,000,000 par, due 2/8/2019
1,992,850

 
Amex Credit Acct Mstr Trst AMXCA 2014-3 A 3.0-YR, 1.43%, $2,000,000 par, due 6/15/2020
1,996,516

 
AT&T Inc, 2.4%, $415,000 par, due 8/15/2016
 
 
417,743

 
AT&T Inc, 2.95%, $1,680,000 par, due 5/15/2016
 
 
1,690,230

 
AT&T Inc, 3%, $380,000 par, due 6/30/2022
 
 
370,887

 
Automatic Data Processing Inc, 2.25%, $720,000 par, due 9/15/2020
 
722,727

 
BA Credit Card Trust, 1.36%, $2,000,000 par, due 9/15/2020
 
 
1,986,444

 
Bank of America Corp, 3.63%, $1,085,000 par, due 3/17/2016
 
 
1,090,581

 
Bank of America Corp, 3.75%, $770,000 par, due 7/12/2016
 
 
779,655

 
Bank of America Corp, 3.88%, $1,085,000 par, due 3/22/2017
 
 
1,108,722

 
Bank of America NA, 2.05%, $800,000 par, due 12/7/2018
 
 
797,696

 
Bank of New York Mellon Corp/The, 2.1%, $750,000 par, due 8/1/2018
 
755,135

 
Bank of New York Mellon Corp/The, 2.2%, $1,000,000 par, due 3/4/2019
 
1,003,030


19



 
Bank of Nova Scotia/The, 1.7%, $1,340,000 par, due 6/11/2018
 
 
1,334,917

 
Barclays Dryrock Issuance Trust, 0.67%, $2,000,000 par, due 3/16/2020
 
1,996,816

 
Bayer US Finance LLC, 2.38%, $850,000 par, due 10/8/2019
 
 
850,534

 
Becton Dickinson and Co, 2.67%, $700,000 par, due 12/15/2019
 
703,811

 
BNP Paribas SA, 1.38%, $1,300,000 par, due 3/17/2017
 
 
1,298,742

 
BP Capital Markets PLC, 1.38%, $1,400,000 par, due 5/10/2018
 
1,379,932

 
Branch Banking & Trust Co, 2.3%, $400,000 par, due 10/15/2018
 
403,996

 
Capital Auto Receivables Asset Trust 2015-2, 1.73%, $2,200,000 par, due 9/20/2019
2,189,530

 
Capital Auto Receivables Asset Trust, 1.18%, $2,000,000 par, due 12/20/2017
 
1,998,072

 
Capital One Multi-Asset Execut, 1.26%, $1,800,000 par, due 1/15/2020
 
1,799,476

 
Capital One Multi-Asset Execution Tr, 1.48%, $1,000,000 par, due 7/15/2020
 
1,000,186

 
Capital One NA/Mclean VA, 2.35%, $450,000 par, due 8/17/2018
 
450,846

 
Cargill Inc, 6%, $1,300,000 par, due 11/27/2017
 
 
1,395,601

 
CarMax Auto Owner Trust 2015-1, 1.38%, $2,100,000 par, due 11/15/2019
 
2,090,848

 
Caterpillar Financial Services Corp, 2%, $910,000 par, due 3/5/2020
 
901,675

 
Caterpillar Financial Services Corp, 2.25%, $430,000 par, due 12/1/2019
 
431,144

 
Chase Issuance Trust, 1.38%, $1,200,000 par, due 11/15/2019
 
 
1,196,569

 
Chase Issuance Trust, 1.62%, $790,000 par, due 7/15/2020
 
 
787,314

 
Chevron Corp, 0.53%, $290,000 par, due 11/15/2017
 
 
288,645

 
Chevron Corp, 1.34%, $390,000 par, due 11/15/2017
 
 
388,773

 
Chevron Corp, 1.36%, $400,000 par, due 3/2/2018
 
 
396,799

 
Chevron Corp, 2.42%, $740,000 par, due 11/17/2020
 
 
735,838

 
Cisco Systems Inc, 2.45%, $1,260,000 par, due 6/15/2020
 
 
1,271,961

 
Citigroup Inc, 0.75%, $525,000 par, due 6/9/2016
 
 
523,453

 
Citigroup Inc, 1.7%, $700,000 par, due 4/27/2018
 
 
693,061

 
Citigroup Inc, 3.95%, $1,355,000 par, due 6/15/2016
 
 
1,373,784

 
City of Frisco TX, 2.92%, $855,000 par, due 2/15/2023
 
 
857,172

 
CNH Equipment Trust 2014-B, 0.91%, $2,000,000 par, due 5/15/2019
 
1,991,830

 
CNH Equipment Trust 2015-B, 1.37%, $2,000,000 par, due 7/15/2020
 
1,975,304

 
Commonwealth Edison Co, 4%, $1,361,000 par, due 8/1/2020
 
 
1,439,064

 
ConocoPhillips Co, 2.2%, $450,000 par, due 5/15/2020
 
 
435,444

 
Credit Suisse AG/New York NY, 1.38%, $370,000 par, due 5/26/2017
 
368,252

 
Credit Suisse AG/New York NY, 1.75%, $590,000 par, due 1/29/2018
 
588,343

 
CVS Health Corp, 2.8%, $1,000,000 par, due 7/20/2020
 
 
1,004,492

 
Daimler Finance North America LLC, 2.45%, $1,000,000 par, due 5/18/2020
 
980,800

 
Dell Equipment Finance Trust 2015-2, 1.42%, $1,000,000 par, due 12/22/2017
 
996,629

 
DIRECTV Holdings LLC / DIRECTV Financing Co Inc, 2.4%, $755,000 par, due 3/15/2017
761,075

 
Discover Card Execution Note Trust, 1.22%, $2,000,000 par, due 10/15/2019
 
1,997,788

 
Duke Energy Florida LLC, 4.55%, $1,300,000 par, due 4/1/2020
 
1,405,292

 
Duke Realty LP, 5.95%, $108,000 par, due 2/15/2017
 
 
112,762

 
Ecolab Inc, 2.25%, $830,000 par, due 1/12/2020
 
 
825,223

 
Edsouth Indenture No 2 LLC, 1.57%, $1,253,177 par, due 9/25/2040
 
1,253,110

 
Education Loan Asset-Backed Trust I, 1.22%, $795,242 par, due 6/25/2026
 
788,942

 
Educational Funding of the South Inc, 0.97%, $1,831,018 par, due 4/25/2035
 
1,992,940

 
EMC Corp/MA, 1.88%, $930,000 par, due 6/1/2018
 
 
867,763

 
EMD Finance LLC (Merck KGaA), 2.4%, $810,000 par, due 3/19/2020
 
788,493

 
Enterprise Fleet Financing LLC, 1.3%, $2,000,000 par, due 9/20/2020
 
1,992,940

 
Extended Stay America Trust 2013-ESH, 2.96%, $2,000,000 par, due 12/5/2019
2,001,768

 
Exxon Mobil Corp, 1.91%, $1,337,000 par, due 3/6/2020
 
 
1,325,824

 
FedEx Corp, 2.3%, $360,000 par, due 2/1/2020
 
 
361,391

 
Fifth Third Auto Trust 2014-2, 0.89%, $2,000,000 par, due 11/15/2018
 
1,994,868

 
Ford Credit Auto Lease Trust 2014-B, 0.89%, $2,000,000 par, due 9/15/2017
 
1,996,904

 
Ford Credit Auto Owner Trust 2014-A, 0.79%, $1,358,143 par, due 5/15/2018
 
1,356,786

 
Ford Credit Auto Owner Trust 2015-A, 1.28%, $2,000,000 par, due 9/15/2019
 
1,996,772


20



 
Ford Credit Auto Owner Trust 2015-B, 1.16%, $2,500,000 par, due 11/15/2019
 
2,481,648

 
Ford Credit Auto Owner Trust 2015-REV1, 2.12%, $1,600,000 par, due 7/15/2026
1,579,819

 
Ford Motor Credit Co LLC, 3%, $1,595,000 par, due 6/12/2017
 
 
1,610,507

 
Ford Motor Credit Co LLC, 4.25%, $435,000 par, due 2/3/2017
 
 
444,443

 
GE Capital International Funding Co, 0.96%, $2,195,000 par, due 4/15/2016
 
2,195,990

 
GE Capital International Funding Co, 2.34%, $220,000 par, due 11/15/2020
 
218,165

 
GE Dealer Floorplan Master Note Trust, 0.78%, $2,000,000 par, due 7/20/2019
 
1,997,182

 
GE Equipment Midticket LLC Series 2013-1, 0.95%, $665,800 par, due 4/22/2016
665,227

 
General Electric Capital Corp, 2.2%, $86,000 par, due 1/9/2020
 
 
86,319

 
General Mills Inc, 2.2%, $520,000 par, due 10/21/2019
 
 
520,115

 
Georgia-Pacific LLC, 2.54%, $380,000 par, due 11/15/2019
 
 
377,814

 
GlaxoSmithKline Capital PLC, 1.5%, $900,000 par, due 5/8/2017
 
903,793

 
Goldman Sachs Group Inc/The, 2.75%, $540,000 par, due 9/15/2020
 
539,645

 
Goldman Sachs Group Inc/The, 3.63%, $2,140,000 par, due 2/7/2016
 
2,145,425

 
Halliburton Co, 3.38%, $620,000 par, due 11/15/2022
 
 
610,163

 
Honda Auto Receivables 2015-1 Owner Trust, 1.05%, $2,000,000 par, due 10/15/2018
1,993,126

 
Honda Auto Receivables Owner Trust 2014-3, 0.88%, $2,100,000 par, due 6/15/2018
2,094,784

 
HSBC USA Inc, 2.38%, $1,330,000 par, due 11/13/2019
 
 
1,324,425

 
Hyundai Auto Receivables Trust 2015-B, 1.12%, $2,200,000 par, due 11/15/2019
2,183,073

 
Hyundai Capital America, 2%, $310,000 par, due 3/19/2018
 
 
306,316

 
Illinois Tool Works Inc, 1.95%, $1,000,000 par, due 3/1/2019
 
 
1,001,051

 
Intel Corp, 1.35%, $1,400,000 par, due 12/15/2017
 
 
1,401,862

 
International Business Machines Corp, 1.95%, $2,000,000 par, due 2/12/2019
 
2,009,418

 
John Deere Capital Corp, 1.6%, $640,000 par, due 7/13/2018
 
 
637,098

 
John Deere Capital Corp, 1.75%, $340,000 par, due 8/10/2018
 
 
340,088

 
JPMorgan Chase & Co, 2.25%, $620,000 par, due 1/23/2020
 
 
609,944

 
JPMorgan Chase & Co, 2.55%, $480,000 par, due 10/29/2020
 
 
475,972

 
JPMorgan Chase & Co, 3.15%, $500,000 par, due 7/5/2016
 
 
505,169

 
JPMorgan Chase & Co, 3.45%, $910,000 par, due 3/1/2016
 
 
913,797

 
Kentucky Higher Education Student Loan Corp, 0.74%, $1,253,444 par, due 6/1/2026
1,253,683

 
KeyBank NA/Cleveland OH, 1.7%, $310,000 par, due 6/1/2018
 
307,830

 
KeyBank NA/Cleveland OH, 2.25%, $550,000 par, due 3/16/2020
 
543,847

 
KeyBank NA/Cleveland OH, 2.5%, $250,000 par, due 12/15/2019
 
250,347

 
Kraft Foods Group Inc, 2.25%, $1,350,000 par, due 6/5/2017
 
 
1,359,755

 
Lockheed Martin Corp, 2.5%, $700,000 par, due 11/23/2020
 
 
695,848

 
Lowe's Cos Inc, 1.63%, $220,000 par, due 4/15/2017
 
 
221,366

 
Marathon Oil Corp, 2.7%, $1,320,000 par, due 6/1/2020
 
 
1,163,901

 
Massachusetts Health & Educational Facilities Authority, 5.26%, $1,125,000 par, due 10/1/2018
1,235,948

 
MassMutual Global Funding II, 2.1%, $1,000,000 par, due 8/2/2018
 
1,003,341

 
McDonald's Corp, 2.1%, $260,000 par, due 12/7/2018
 
 
260,167

 
Medtronic Inc, 2.5%, $420,000 par, due 3/15/2020
 
 
422,980

 
Merck & Co Inc, 3.88%, $400,000 par, due 1/15/2021
 
 
428,822

 
Micron Semiconductor Asia Pte Ltd, 1.26%, $1,692,600 par, due 1/15/2019
 
1,683,120

 
MidAmerican Energy Co, 2.4%, $530,000 par, due 3/15/2019
 
 
534,073

 
Missouri Higher Education Loan, $1,327,224 par, due 5/25/2032
 
1,287,846

 
MMAF Equipment Finance LLC 2015-A, 1.39%, $2,000,000 par, due 10/16/2019
1,984,952

 
Morgan Stanley Capital I Trust 2007-IQ13, 5.36%, $1,325,000 par, due 3/15/2044
1,360,078

 
Morgan Stanley Capital I Trust 2007-TOP27, 5.64%, $1,573,826 par, due 6/11/2042
1,644,300

 
Morgan Stanley Capital I Trust 2011-C3, 4.12%, $1,900,000 par, due 7/15/2049
 
2,021,727

 
Morgan Stanley, 4.75%, $1,380,000 par, due 3/22/2017
 
 
1,429,430

 
Morgan Stanley, 5.55%, $545,000 par, due 4/27/2017
 
 
571,836

 
Navient Student Loan Trust 2015-2, 0.84%, $2,000,000 par, due 8/27/2029
 
1,963,058

 
Nevada Power Co, 6.5%, $697,000 par, due 5/15/2018
 
 
776,321

 
New Hampshire Higher Education Loan Corp, $998,442 par, due 10/25/2028
 
995,716


21



 
New York Life Global Funding, 1.3%, $1,000,000 par, due 10/30/2017
 
995,951

 
Nissan Auto Lease Trust 2014-B, 1.12%, $2,000,000 par, due 9/15/2017
 
1,994,796

 
Ohio Phase-In-Recovery Funding LLC, 2.05%, $1,800,000 par, due 7/1/2019
 
1,802,543

 
Oracle Corp, 2.25%, $710,000 par, due 10/8/2019
 
 
717,410

 
Oracle Corp, 2.38%, $640,000 par, due 1/15/2019
 
 
649,882

 
Phillips 66, 2.95%, $1,470,000 par, due 5/1/2017
 
 
1,489,980

 
PNC Bank NA, 1.5%, $1,400,000 par, due 10/18/2017
 
 
1,397,481

 
PNC Bank NA, 2.3%, $580,000 par, due 6/1/2020
 
 
574,807

 
Praxair Inc, 2.25%, $580,000 par, due 9/24/2020
 
 
578,206

 
Public Service Electric & Gas Co, 2%, $1,400,000 par, due 8/15/2019
 
1,390,410

 
Reckitt Benckiser Treasury Services PLC, 2.13%, $900,000 par, due 9/21/2018
 
891,724

 
Rio Tinto Finance USA PLC, 2.25%, $900,000 par, due 12/14/2018
 
877,556

 
Royal Bank of Canada, 1.88%, $1,625,000 par, due 2/5/2020
 
 
1,595,370

 
SBA Small Business Investment Cos, 2.52%, $1,983,529 par, due 3/10/2025
 
2,005,644

 
SBA Small Business Investment Cos, 2.83%, $2,000,000 par, due 9/10/2025
 
2,027,404

 
SBA Small Business Investment Cos, 3.19%, $3,688,839 par, due 3/10/2024
 
3,830,970

 
SBA Small Business Investment Cos, 3.64%, $2,425,334 par, due 9/10/2023
 
2,539,769

 
Shell International Finance BV, 2.25%, $1,000,000 par, due 11/10/2020
 
985,289

 
Siemens Financieringsmaatschappij NV, 2.15%, $980,000 par, due 5/27/2020
 
970,671

 
SLCC Student Loan Trust I, 1.64%, $1,506,114 par, due 10/25/2027
 
1,509,378

 
State Street Corp, 2.55%, $700,000 par, due 8/18/2020
 
 
708,713

 
Statoil ASA, 2.25%, $920,000 par, due 11/8/2019
 
 
916,738

 
Student Loan Corp, 1.12%, $1,326,362 par, due 7/25/2036
 
 
1,308,454

 
Toronto-Dominion Bank/The, 2.13%, $1,400,000 par, due 7/2/2019
 
1,398,132

 
Toronto-Dominion Bank/The, 2.25%, $1,400,000 par, due 9/25/2019
 
1,405,160

 
Total Capital International SA, 1.55%, $995,000 par, due 6/28/2017
 
997,543

 
Toyota Auto Receivables 2014-C Owner Trust, 0.93%, $2,000,000 par, due 7/16/2018
1,995,828

 
Toyota Motor Credit Corp, 2%, $400,000 par, due 10/24/2018
 
 
402,262

 
Toyota Motor Credit Corp, 2.15%, $850,000 par, due 3/12/2020
 
849,781

 
UBS AG/Stamford CT, 2.38%, $400,000 par, due 8/14/2019
 
 
399,532

 
UBS AG/Stamford CT, 5.88%, $375,000 par, due 12/20/2017
 
 
405,037

 
Union Pacific Corp, 5.65%, $1,400,000 par, due 5/1/2017
 
 
1,473,265

 
UnitedHealth Group Inc, 1.9%, $500,000 par, due 7/16/2018
 
 
501,504

 
Verizon Communications Inc, 2%, $1,080,000 par, due 11/1/2016
 
1,086,726

 
Vermont Student Assistance Corp, 1.17%, $1,245,339 par, due 4/30/2035
 
1,209,125

 
Volkswagen Group of America Finance LLC, 1.6%, $650,000 par, due 11/20/2017
631,113

 
Volkswagen Group of America Finance LLC, 2.4%, $200,000 par, due 5/22/2020
187,227

 
Westpac Banking Corp, 2.25%, $1,075,000 par, due 11/9/2020
 
 
1,061,072

 
Westpac Banking Corp, 2.3%, $600,000 par, due 5/26/2020
 
 
596,671

 
World Omni Auto Receivables Trust 2013-B, 0.83%, $873,163 par, due 8/15/2018
871,418

 
World Omni Auto Receivables Trust 2014-A, 0.94%, $1,989,021 par, due 4/15/2019
1,983,798

 
World Omni Auto Receivables Trust 2015-A, 1.34%, $2,000,000 par, due 5/15/2020
1,990,512

 
Total Corporate Debt Securities
 
$
192,769,643

 
 
 
 
 
 
Government Bonds
 
 
 
 
Arizona School Facilities Board, 1.75%, $1,300,000 par, due 7/1/2019
$
1,299,909

 
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, 5.71%, $1,351,516 par, due 9/11/2038
1,360,242

 
Beaver County School District, 1.76%, $1,000,000 par, due 2/1/2018
 
1,001,340

 
Coos County School District No 13 North Bend, 2.01%, $1,005,000 par, due 6/15/2020
999,161

 
County of Harris TX, 1.37%, $1,650,000 par, due 10/1/2018
 
 
1,640,331

 
County of Macomb MI, 2.69%, $1,000,000 par, due 11/1/2021
 
 
1,011,820

 
County of New Castle DE, 1%, $300,000 par, due 7/15/2016
 
 
300,234

 
Hashemite Kingdom of Jordan Government AID Bond, 2.58%, $3,150,000 par, due 6/30/2022
3,184,162

 
MSN 41079 and 41084 Ltd, 1.72%, $1,238,572 par, due 7/13/2024
 
1,206,498

 
North Carolina State Ed Assistance Auth, 1.22%, $2,026,376 par, due 7/25/2039
1,966,699

 
Petroleos Mexicanos, 0.79%, $2,227,500 par, due 2/15/2024
 
 
2,233,425

 
Petroleos Mexicanos, 2%, $980,000 par, due 12/20/2022
 
 
974,225


22



 
Petroleos Mexicanos, 2.38%, $1,900,000 par, due 4/15/2025
 
 
1,896,844

 
Petroleos Mexicanos, 2.83%, $1,848,750 par, due 2/15/2024
 
 
1,890,101

 
Phoenix 2012 LLC, 1.61%, $1,518,373 par, due 7/3/2024
 
 
1,472,104

 
State of Maryland, 1.4%, $1,250,000 par, due 8/1/2017
 
 
1,254,413

 
State of New York, 3.75%, $1,000,000 par, due 3/1/2018
 
 
1,051,400

 
State of Ohio, 3.18%, $500,000 par, due 5/1/2018
 
 
521,465

 
State of Tennessee, 2.33%, $855,000 par, due 8/1/2017
 
 
869,355

 
State of Texas, 2.84%, $1,200,000 par, due 10/1/2022
 
 
1,229,400

 
Tagua Leasing LLC, 1.58%, $1,537,497 par, due 11/16/2024
 
 
1,484,472

 
United States Small Business Administration, 2.09%, $1,408,159 par, due 11/1/2032
1,388,009

 
United States Small Business Administration, 4.14%, $1,730,488 par, due 2/1/2030
1,855,582

 
United States Treasury Inflation Indexed Bonds, 0.13%, $1,775,000 par, due 7/15/2022
1,779,985

 
United States Treasury Inflation Indexed Bonds, 0.13%, $4,330,000 par, due 7/15/2024
4,119,103

 
United States Treasury Inflation Indexed Bonds, 0.63%, $6,000,000 par, due 1/15/2024
6,046,559

 
United States Treasury Note/Bond, 1.63%, $1,750,000 par, due 7/31/2020
 
1,741,660

 
United States Treasury Note/Bond, 1.75%, $3,000,000 par, due 9/30/2022
 
2,940,468

 
United States Treasury Note/Bond, 2%, $2,000,000 par, due 2/15/2025
 
1,955,078

 
United States Treasury Note/Bond, 2%, $3,975,000 par, due 11/30/2022
 
3,953,261

 
United States Treasury Note/Bond, 2%, $5,975,000 par, due 7/31/2022
 
5,958,897

 
United States Treasury Note/Bond, 2.25%, $2,000,000 par, due 11/15/2025
 
1,995,546

 
United States Treasury Note/Bond, 2.25%, $4,400,000 par, due 11/15/2024
 
4,397,765

 
United States Treasury Note/Bond, 2.38%, $2,100,000 par, due 8/15/2024
 
2,121,903

 
Virginia College Building Authority, 4.25%, $1,000,000 par, due 2/1/2018
 
1,060,860

 
Total Government Bonds
 
$
70,162,276

 
 
 
 
 
 
Mortgage Backed Securities
 
 
 
 
Citigroup Commercial Mortgage Trust 2013-GC11, 2.69%, $2,275,000 par, due 12/10/2022
$
2,263,554

 
Fannie Mae Pool, 2%, $1,077,689 par, due 11/1/2022
 
 
1,082,448

 
Fannie Mae Pool, 2%, $1,234,871 par, due 5/1/2023
 
 
1,240,315

 
Fannie Mae Pool, 2%, $1,438,294 par, due 8/1/2023
 
 
1,444,659

 
Fannie Mae Pool, 2.11%, $3,441,151 par, due 1/1/2020
 
 
3,474,954

 
Fannie Mae Pool, 2.5%, $1,270,148 par, due 8/1/2022
 
 
1,293,549

 
Fannie Mae Pool, 2.5%, $1,309,365 par, due 11/1/2022
 
 
1,333,564

 
Fannie Mae Pool, 2.5%, $1,367,530 par, due 8/1/2023
 
 
1,392,807

 
Fannie Mae Pool, 2.5%, $1,368,208 par, due 10/1/2022
 
 
1,393,487

 
Fannie Mae Pool, 2.5%, $1,369,570 par, due 9/1/2022
 
 
1,394,866

 
Fannie Mae Pool, 2.5%, $1,409,022 par, due 1/1/2028
 
 
1,427,687

 
Fannie Mae Pool, 2.5%, $1,442,874 par, due 11/1/2022
 
 
1,469,498

 
Fannie Mae Pool, 2.5%, $1,585,507 par, due 12/1/2022
 
 
1,614,768

 
Fannie Mae Pool, 2.5%, $1,737,711 par, due 8/1/2022
 
 
1,769,777

 
Fannie Mae Pool, 2.5%, $2,343,927 par, due 2/1/2023
 
 
2,387,055

 
Fannie Mae Pool, 2.5%, $2,610,347 par, due 6/1/2023
 
 
2,658,566

 
Fannie Mae Pool, 2.5%, $651,114 par, due 8/1/2023
 
 
663,138

 
Fannie Mae Pool, 2.5%, $668,224 par, due 9/1/2023
 
 
680,562

 
Fannie Mae Pool, 2.55%, $1,652,384 par, due 8/1/2042
 
 
1,673,646

 
Fannie Mae Pool, 2.62%, $1,902,866 par, due 7/1/2042
 
 
1,932,079

 
Fannie Mae Pool, 2.65%, $4,059,058 par, due 7/1/2045
 
 
4,127,360

 
Fannie Mae Pool, 2.69%, $1,904,977 par, due 6/1/2045
 
 
1,939,669

 
Fannie Mae Pool, 2.71%, $3,263,802 par, due 6/1/2022
 
 
3,297,011

 
Fannie Mae Pool, 2.8%, $4,190,684 par, due 10/1/2021
 
 
4,308,254

 
Fannie Mae Pool, 2.86%, $1,438,646 par, due 3/1/2044
 
 
1,479,270

 
Fannie Mae Pool, 3%, $222,958 par, due 5/1/2027
 
 
230,869

 
Fannie Mae Pool, 3%, $723,708 par, due 10/1/2027
 
 
743,403

 
Fannie Mae Pool, 4%, $2,017,791 par, due 11/1/2025
 
 
2,142,567

 
Fannie Mae Pool, 4%, $2,510,678 par, due 6/1/2026
 
 
2,665,785

 
Fannie Mae Pool, 4.5%, $1,086,808 par, due 6/1/2018
 
 
1,123,060

 
Fannie Mae Pool, 4.5%, $463,152 par, due 12/1/2022
 
 
486,539


23




 
Fannie Mae Pool, 5%, $1,017,693 par, due 6/1/2023
 
 
1,092,544

 
Fannie Mae Pool, 5%, $1,532,106 par, due 3/1/2025
 
 
1,654,788

 
Fannie Mae Pool, 5%, $1,562,234 par, due 6/1/2020
 
 
1,634,726

 
Fannie Mae Pool, 5.5%, $1,287,357 par, due 9/1/2023
 
 
1,433,348

 
Fannie Mae-Aces, 0.44%, $1,835,115 par, due 5/25/2018
 
 
1,826,593

 
Fannie Mae-Aces, 2.17%, $5,000,000 par, due 9/25/2019
 
 
5,038,225

 
FHLMC K710 A2 Multifam, 1.88%, $2,000,000 par, due 5/25/2019
 
1,999,252

 
FHLMC Multifamily Structured Pass Through Certificates, 2.35%, $2,000,000 par, due 4/25/2021
2,021,824

 
FHLMC Multifamily Structured Pass Through Certificates, 2.79%, $3,800,000 par, due 1/25/2022
3,852,239

 
FHLMC Multifamily Structured Pass Through Certificates, 3.13%, $2,000,000 par, due 8/25/2047
2,068,812

 
FHLMC Multifamily Structured Passthrough, 2.7%, $2,175,000 par, due 5/25/2018
2,222,293

 
FHMS K712 A2, 1.87%, $4,125,000 par, due 11/25/2019
 
 
4,102,222


24



 
FNA 2012 - M14 ASQ2, 1.11%, $1,726,278 par, due 2/25/2017
 
 
1,728,766

 
Freddie Mac Gold Pool, 2.5%, $1,146,317 par, due 4/1/2023
 
 
1,169,294

 
Freddie Mac Gold Pool, 2.5%, $1,188,141 par, due 4/1/2023
 
 
1,211,960

 
Freddie Mac Gold Pool, 2.5%, $1,340,313 par, due 1/1/2028
 
 
1,362,790

 
Freddie Mac Gold Pool, 4%, $1,006,746 par, due 7/1/2026
 
 
1,063,431

 
Freddie Mac Gold Pool, 4.5%, $1,239,780 par, due 6/1/2025
 
 
1,331,412

 
Freddie Mac Gold Pool, 5%, $1,380,212 par, due 10/1/2020
 
 
1,462,723

 
Freddie Mac Gold Pool, 5%, $343,410 par, due 4/1/2023
 
 
368,737

 
Freddie Mac Gold Pool, 5%, $639,880 par, due 2/1/2025
 
 
685,557

 
Freddie Mac Non Gold Pool, 2.33%, $1,485,857 par, due 10/1/2043
 
1,508,599

 
Freddie Mac Non Gold Pool, 2.47%, $2,879,998 par, due 8/1/2045
 
2,911,482

 
Freddie Mac Non Gold Pool, 2.68%, $3,495,774 par, due 8/1/2045
 
3,550,458

 
Freddie Mac REMICS, 4.5%, $430,549 par, due 7/15/2032
 
 
436,002

 
Freddie Mac REMICS, 4.75%, $730,857 par, due 6/15/2035
 
 
751,412

 
Freddie Mac REMICS, 5%, $188,060 par, due 4/15/2033
 
 
189,654

 
GAHR Commercial Mortgage Trust 2015-NRF, 1.63%, $2,000,000 par, due 12/15/2016
1,993,162

 
Ginnie Mae I pool, 5%, $155,494 par, due 10/15/2019
 
 
164,188

 
Ginnie Mae II pool, 4.12%, $2,980,078 par, due 8/1/2062
 
 
3,133,114

 
Government National Mortgage Association, 3%, $507,760 par, due 3/20/2038
 
517,696

 
Government National Mortgage Association, 3.5%, $639,072 par, due 2/20/2039
664,185

 
Government National Mortgage Association, 3.5%, $857,358 par, due 1/20/2039
892,993

 
Government National Mortgage Association, 4%, $308,710 par, due 12/16/2038
 
317,492

 
Government National Mortgage Association, 4%, $309,159 par, due 5/16/2035
 
317,420

 
Government National Mortgage Association, 4%, $316,669 par, due 6/20/2040
 
330,107

 
Government National Mortgage Association, 4%, $889,422 par, due 9/20/2038
 
922,536

 
Government National Mortgage Association, 4.25%, $345,372 par, due 5/20/2039
361,621

 
Government National Mortgage Association, 4.25%, $958,668 par, due 10/20/2038
1,003,610

 
Government National Mortgage Association, 4.5%, $195,706 par, due 7/20/2038
203,838

 
Government National Mortgage Association, 4.5%, $201,016 par, due 4/20/2040
206,840

 
Government National Mortgage Association, 4.5%, $209,986 par, due 9/20/2036
210,844

 
Government National Mortgage Association, 4.5%, $413,210 par, due 5/20/2040
436,812

 
Government National Mortgage Association, 4.5%, $722,189 par, due 4/20/2036
737,066

 
Government National Mortgage Association, 5%, $482,834 par, due 5/20/2038
 
494,225

 
Government National Mortgage Association, 5.5%, $481,534 par, due 2/16/2037
499,571

 
GS Mortgage Securities Trust 2011-GC5, 3.71%, $2,000,000 par, due 8/10/2044
2,097,266

 
Helios Leasing I LLC, 1.56%, $748,371 par, due 9/28/2024
 
 
722,326

 
Hilton USA Trust 2013-HLF, 1.27%, $1,813,429 par, due 11/5/2030
 
1,804,927

 
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4, 4.39%, $1,900,000 par, due 7/15/2046
2,034,594

 
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8, 2.38%, $2,000,000 par, due 4/15/2022
1,979,778

 
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, 2.55%, $2,000,000 par, due 4/15/2046
1,981,724

 
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, 0.66%, $452,024 par, due 11/15/2045
450,503

 
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9, 2.66%, $2,000,000 par, due 1/15/2023
1,991,748

 
SCG Trust 2013-SRP1, 1.73%, $1,330,000 par, due 11/15/2016
 
 
1,334,197

 
Towd Point Mortgage Trust 2015-6, 3.5%, $1,582,959 par, due 4/25/2055
 
1,592,932

 
Total Mortgage Backed Securities
 
$
133,211,224

 
 
 
 
 
 
Net Assets Pending Settlement
$
1,467,355

 
 
 
 
 
 
Subtotal Stable Value
$
736,927,916

 
 
 
 
 
 
TOTAL - INVESTMENT CONTRACTS
 
736,927,916

 
ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE
 
(2,090,621
)
 
TOTAL - INVESTMENT CONTRACTS AT CONTRACT VALUE
$
734,837,295


25



AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
PLAN #002 EIN #13-4922641
SCHEDULE OF ASSETS (HELD AT END OF YEAR (continued))
DECEMBER 31, 2015
 
 
 
 
 Shares
Identity of Issuer, Borrower, Lessor or Similar Party
 
 Fair Value
 
Cash Equivalents
 
 
13,495,014

Cash Equivalents
$
13,495,014

 
Total Cash Equivalents
$
13,495,014

 
 
 
 
 
Common / Collective Trusts
 
 
89,532

Mellon Capital REIT Index Fund
$
26,129,855

4,294,764

Mellon Capital Aggregate Bond Index Fund
 
565,276,859

3,018,468

Mellon Capital International Stock Index Fund
 
390,982,224

843,042

Mellon Capital Small Cap Stock Index Fund
 
168,768,573

3,174,648

Mellon Capital Stock Index Fund
 
679,723,905

341,340

Mellon Capital Mid Cap Stock Index Fund
 
65,664,948

155,377

Mellon Capital Treasury Inflation-Protected Securities Fund
 
18,154,304

324,675

Mellon Capital Emerging Markets Stock Index Fund
 
24,600,662

19,789

JPMorgan Strategic Property Fund
 
46,781,444

12,470,523

JPMorgan Liquidity Fund
 
12,470,523

 
Total Common / Collective Trusts
$
1,998,553,297

 
 
 
 
 
AEP Stock
 
 
5,503,327

American Electric Power Company, Inc. Common Stock $6.50 par value
$
320,678,864

 
Total AEP Stock
$
320,678,864

 
 
 
 
 
Corporate Stocks
 
 
6,800

3M CO COMMON STOCK USD 0.01
$
1,024,352

8,806

AARON'S INC COMMON STOCK USD 0.5
 
197,386

127,455

ABBOTT LABORATORIES COMMON STOCK USD 0
 
5,724,004

16,915

ABERCROMBIE & FITCH CO COMMON STOCK USD 0.01
 
456,705

14,352

ABM INDUSTRIES INC COMMON STOCK USD 0.01
 
408,601

8,100

ABM INDUSTRIES INC COMMON STOCK USD 0.01
 
230,607

15,900

ACCENTURE PLC COMMON STOCK USD 0.0000225
 
1,661,550

44,000

ACTIVISION BLIZZARD INC COMMON STOCK USD 0.000001
 
1,703,240

5,302

ACTUANT CORP COMMON STOCK USD 0.2
 
127,036

17,200

ACTUANT CORP COMMON STOCK USD 0.2
 
412,112

53,243

ADOBE SYSTEMS INC COMMON STOCK USD 0.0001
 
5,001,647

31,000

ADT CORP/THE COMMON STOCK 0.01
 
1,022,380

7,700

ADVANCE AUTO PARTS INC COMMON STOCK USD 0.0001
 
1,159,371

9,228

AECOM COMMON STOCK USD 0.01
 
277,117

24,346

AECOM COMMON STOCK USD 0.01
 
731,110

8,844

AEGION CORP COMMON STOCK USD 0.01
 
170,778

27,435

AES TIETE ENERGIA SA COMMON STOCK USD 0.01
 
262,553

13,100

AETNA INC COMMON STOCK USD 0.01
 
1,416,372

20,300

AGCO CORP COMMON STOCK USD 0.01
 
921,417

8,294

AIR LEASE CORP COMMON STOCK USD 0.01
 
278,103

13,748

AIR METHODS CORP COMMON STOCK USD 0.06
 
576,454

2,500

AIR PRODUCTS & CHEMICALS INC COMMON STOCK USD 1
 
327,300

8,561

AIRCASTLE LTD COMMON STOCK USD 0.01
 
178,839

15,500

AKORN INC COMMON STOCK USD 0
 
578,305

5,800

ALBEMARLE CORP COMMON STOCK USD 0.01
 
326,540

24,708

ALEXION PHARMACEUTICALS INC COMMON STOCK USD
 
4,713,051


26



50,330

ALIBABA GROUP HOLDING LTD ADR USD 0.000025
 
4,090,319

14,329

ALLERGAN PLC COMMON STOCK USD 0.0033
 
4,477,813

5,800

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD 0.01
 
1,604,106

4,000

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD 0.01
 
1,106,280

13,700

ALLSTATE CORP/THE COMMON STOCK USD 0.01
 
854,743

18,868

ALLY FINANCIAL INC COMMON STOCK USD 0.1
 
351,700

9,620

ALPHABET INC COMMON STOCK USD 0.001
 
7,300,426

8,921

ALPHABET INC COMMON STOCK USD 0.001
 
6,940,627

8,700

ALTRA INDUSTRIAL MOTION CORP
 
219,501

19,287

AMAZON.COM INC COMMON STOCK USD 0.01
 
13,035,890

20,075

AMC NETWORKS INC COMMON STOCK USD
 
1,499,201

8,200

AMDOCS LTD COMMON STOCK USD 0.01
 
448,868

14,200

AMEREN CORP COMMON STOCK USD 0.01
 
613,866

21,300

AMERICAN AIRLINES GROUP INC COMMON STOCK USD 0.01
 
902,055

10,492

AMERICAN CAPITAL AGENCY CORP REIT USD 0.01
 
184,030

7,999

AMERICAN CAPITAL MORTGAGE INVESTMENT CORP REIT USD
 
114,866

38,529

AMERICAN EAGLE OUTFITTERS INC COMMON STOCK USD
 
597,200

18,000

AMERICAN INTERNATIONAL GROUP INC COMMON STOCK USD
 
1,115,460

23,300

AMERICAN PUBLIC EDUCATION INC COMMON STOCK USD
 
433,613

20,045

AMERICAN RESIDENTIAL PROPERTIES INC REIT USD 0.01
 
378,851

29,973

AMERICAN TOWER CORP REIT USD 0.01
 
2,920,569

9,800

AMERIPRISE FINANCIAL INC COMMON STOCK USD 0.01
 
1,042,916

14,900

AMERISOURCEBERGEN CORP COMMON STOCK USD 0.01
 
1,545,279

9,900

AMGEN INC COMMON STOCK USD 0.0001
 
1,607,067

4,566

AMSURG CORP COMMON STOCK USD 0
 
347,016

10,389

AMSURG CORP COMMON STOCK USD 0
 
789,564

11,659

ANADARKO PETROLEUM CORP COMMON STOCK USD 0.1
 
566,394

10,300

ANTHEM INC COMMON STOCK USD 0.01
 
1,436,232

23,311

ANWORTH MORTGAGE ASSET CORP REIT USD 0.01
 
104,900

25,898

APOLLO INVESTMENT CORP COMMON STOCK USD 0.001
 
140,428

87,603

APPLE INC COMMON STOCK USD 0.00001
 
9,221,092

13,000

APPLE INC COMMON STOCK USD 0.00001
 
1,368,380

126,050

APPLIED MICRO CIRCUITS CORP COMMON STOCK USD 0.01
 
802,939

9,300

ARCHER-DANIELS-MIDLAND CO COMMON STOCK USD 0
 
341,124

10,477

ARES CAPITAL CORP COMMON STOCK USD 0.001
 
149,297

30,106

ARES COMMERCIAL REAL ESTATE CORP REIT USD 0.01
 
351,939