UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

FORM 11-K

(Mark One)
x		Annual report pursuant to Section 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended December 31, 2005
		OR
o		Transition report pursuant to Section 15(d) of the Securities Exchange Act of 1934 for the transition period from        to

 

Commission file number 1-8993

A.                                   Full title of the plan and the address of the plan, if different from that of the issuer named below:

ONEBEACON INSURANCE SAVINGS PLAN

 

B.                                     Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

WHITE MOUNTAINS INSURANCE GROUP, LTD.

Harborside Financial Center, Plaza 5
Jersey City, New Jersey
07311-1114

 

REQUIRED INFORMATION

The following Financial Statements and Schedule for the Plan and a Written Consent of Independent Registered Public Accounting Firm are filed with, and included in, this Report as Exhibits 99(a) and 99(b) hereto, respectively, as detailed below:

99(a)		Financial Statements and Schedule for the Plan consisting of:
		1. Report of Independent Registered Public Accounting Firm;
		2. Statements of Net Assets Available for Benefits as of December 31, 2005 and 2004;
		3. Statements of Changes in Net Assets Available for Benefits for the years ended December 31, 2005 and 2004;
		4. Notes to Financial Statements;
		5. Schedule of Assets (Held at End of Year) December 31, 2005;
99(b)		Consent of Independent Registered Public Accounting Firm

 

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SIGNATURES

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

	ONEBEACON INSURANCE SAVINGS PLAN (the “Plan”)
Date: June 28, 2006	By:	/s/ Thomas N. Schmitt
		Thomas N. Schmitt
		Senior Vice President, Human Resources
		(the Plan Administrator) and Member of the Benefits Committee

 

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EXHIBIT INDEX

EXHIBIT		DESCRIPTION
99(a)		Financial Statements and Schedule for the Plan consisting of:
		1. Report of Independent Registered Public Accounting Firm;
		2. Statements of Net Assets Available for Benefits as of December 31, 2005 and 2004;
		3. Statements of Changes in Net Assets Available for Benefits for the years ended December 31, 2005 and 2004;
		4. Notes to Financial Statements;
		5. Schedule of Assets (Held at End of Year) December 31, 2005;
99(b)		Consent of Independent Registered Public Accounting Firm

 

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Exhibit 99(a)

OneBeacon Insurance Savings Plan

Financial Statements and Supplemental Schedule to

Accompany 2005 Form 5500

Annual Report of Employee Benefit Plan

Under ERISA of 1974

For the Years Ended December 31, 2005 and 2004

OneBeacon Insurance Savings Plan

Index of Financial Statements and Supplemental Schedule

		Page(s)
Report of Independent Registered Public Accounting Firm		2
Statements of Net Assets Available for Benefits
As of December 31, 2005 and 2004		3
Statements of Changes in Net Assets Available for Benefits
For the years ended December 31, 2005 and 2004		4
Notes to Financial Statements		5-11
Supplemental Schedule *:
Schedule of Assets (Held at End of Year) December 31, 2005		12-16

*                    Other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable.

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Report of Independent Registered Public Accounting Firm

To the Participants and Administrator of
OneBeacon Insurance Savings Plan

In our opinion, the accompanying statements of net assets available for benefits and the related statements of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of OneBeacon Insurance Savings Plan (the “Plan”) at December 31, 2005 and 2004, 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. 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 of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) at December 31, 2005 is presented for the purpose of additional analysis and is not a required part of the basic financial statements but is supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This supplemental schedule is the responsibility of the Plan’s management. The supplemental schedule has been subjected to the auditing procedures applied in the audits of the basic financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole.

/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
June 27, 2006

 

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OneBeacon Insurance Savings Plan

Statements of Net Assets Available for Benefits
As of December 31, 2005 and 2004

		2005			2004
Assets
Investments:
Investments at fair value (Notes B,C,D,E)		$	450,911,080		$	428,266,412
Loans to participants at fair value (Note A)		4,298,820			4,733,164
Total Investments		455,209,900			432,999,576
Receivables:
Employer contributions		109,032			110,085
Participant contributions		357,237			350,701
Other receivables		1,058,968			809,825
Total Receivables		1,525,237			1,270,611
Total Assets		456,735,137			434,270,187
Liabilities
Accrued administrative and custody expenses		103,507			63,532
Other accounts payable		707,454			403,218
Total Liabilities		810,961			466,750
Net Assets Available for Benefits		$	455,924,176		$	433,803,437

 

The accompanying notes are an integral part of these financial statements.

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OneBeacon Insurance Savings Plan

Statements of Changes in Net Assets Available for Benefits
For the years ended December 31, 2005 and 2004

		2005			2004
Additions
Investment income:
Interest and dividend income (Notes C and D)		$	18,360,464		$	12,548,460
Interest income, participant loans (Note A)		233,508			244,019
Net appreciation in fair value of investments (Note D)		20,122,612			37,377,231
		38,716,584			50,169,710
Contributions:
Employer		5,122,800			5,518,571
Participant		18,096,190			17,505,733
		23,218,990			23,024,304
Transfers in — rollovers		4,141,956			14,803,694
Other decreases		—			(1,310		)
Total additions		66,077,530			87,996,398
Deductions
Benefits paid to participants		43,415,477			38,554,532
Administrative and custody expenses		541,314			422,572
Total deductions		43,956,791			38,977,104
Net increase		22,120,739			49,019,294
Net Assets Available for Benefits:
Beginning of year		433,803,437			384,784,143
End of year		$	455,924,176		$	433,803,437

 

The accompanying notes are an integral part of these financial statements.

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OneBeacon Insurance Savings Plan

Notes to Financial Statements

A.           Description of the Plan

The following description of the OneBeacon Insurance Savings Plan (the “Plan”) provides only general information. Participants should refer to the Plan agreement and related amendments for a more complete description of the Plan’s provisions.

General

The Plan is a defined contribution plan covering substantially all employees of OneBeacon Insurance Company (the “Company”).

On March 31, 2004, OneBeacon acquired Atlantic Specialty Insurance Company, a subsidiary of Atlantic Mutual Insurance Company (“Atlantic Mutual”), and the renewal rights to Atlantic Mutual’s segmented commercial insurance business, including the unearned premiums on the acquired book. Effective January 1, 2004, the Plan was amended to allow former Atlantic Mutual employees hired by OneBeacon to participate in the Plan.

Effective January 1, 2005, the Plan was amended to update the definition of a highly compensated employee and also to recognize prior service for vesting purposes for the First Media Insurance Specialists, Inc. acquisition, the acquisition of the renewal rights to the HPL and MCE&O business of Chubb Specialty and the sale of National Farmers Union Property and Casualty Company. The Plan was also amended to reduce the small balance cash out provision from $5,000 to $1,000, and to allow the Chief Executive Officer of OneBeacon or his/her designee to approve and execute technical changes to the plan.

The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”).

Eligibility

Employees who complete sixty days of continuous service are eligible to participate in the Plan. Eligible employees are automatically enrolled in the Plan at a 2 percent employee contribution rate, unless waived by the employee.

Contributions

Effective January 1, 2003, participants could contribute 40 percent of annual compensation, as defined by the Plan Agreement on a pre-tax and/or an after-tax basis. Participants direct their contributions and employer contributions into various investment options offered by the Plan. The Company contributes 50 percent of the first 6 percent of base compensation that a participant contributes to the Plan. The matching Company contribution mirrors the employee directed investment options. Eligible participants who attain age 50 before the end of the Plan year can make catch up contributions to the Plan. Contributions are subject to IRS limitations.

Employees hired between June 1, 2001 and April 11, 2003 have been provided with the equivalent of two common shares of White Mountains Insurance Group, Ltd. on the first day of the second month of the quarter following one year of service with the Company. No contributions were made to these employees in 2005. In 2004, the Company contributed

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$491,797 to these employees. Contributions into the White Mountains Stock Fund can be immediately directed by the participant into another investment option.

Participant Accounts

Each participant’s account is credited with the participant’s contribution and allocations of (a) the Company’s contribution (b) Plan earnings, net of an allocation of investment fees and (c) applicable loan fees. Allocations are based on participant earnings or account balances, as defined. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.

Vesting

Participants are vested immediately in their contributions plus actual earnings thereon. Vesting in the Company’s contribution portion of their accounts is based on years of continuous service. A participant is 100 percent vested after three years of credited service.

Forfeitures

Forfeitures are used to reduce future Company contributions. The balances as of December 31, 2005 and 2004, in the forfeiture account were $4,359 and $4,248, respectively. During 2005 and 2004, $496,376 and $562,635, respectively, of forfeited funds were used to offset employer contributions.

Participant Loans

Participants may borrow from their fund accounts a minimum of $500 up to a maximum of $50,000 or 50 percent of their vested account balance, whichever is less. The loans are secured by the balance in the participant’s account and bear interest at the prime rate (7.25% and 5.25% at December 31, 2005 and December 31, 2004, respectively) plus 1 percent as of the beginning of the month in which the loan was made.

Payment of Benefits

On termination of service due to death, disability, or retirement, a participant may elect to receive either a lump-sum amount equal to the value of the participant’s vested interest in his or her account, or annual installments over time. For termination of service for other reasons, a participant may only receive the value of the vested interest in his or her account as a lump-sum distribution.

Expenses

The Company paid the majority of administrative expenses, including all management fees relating to the Plan, except for certain administration and custodian fees paid by the Plan to Vanguard Fiduciary Trust Company (“Vanguard”), the Trustee of the Plan, and Mellon Global Securities Services (“Mellon”), the custodian of some of the assets of the Plan. Fees paid to Vanguard and Mellon totaled $541,314 and $422,572 in 2005 and 2004, respectively.

Plan Termination

While the Company has not expressed any intent to discontinue their contributions or terminate the Plan, they are free to do so at any time. In the event the Plan is terminated, the Plan provides that each participant’s balance, inclusive of Company contributions, becomes immediately 100 percent vested and shall be distributed to the participants.

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B.    Investment Options

During the plan years ended December 31, 2005 and 2004, participants were able to allocate their contributions among various registered investment company options, a company stock fund and four specific Plan-sponsored funds comprised of stocks, bonds, government securities and guaranteed investment contracts as follows:

 

*  Columbia Management announced on February 24, 2005 that the Columbia Mid-Cap Value Fund was being merged into another mid-cap fund. Consequently, the Columbia Mid-Cap Value Fund is no longer an investment option for the Plan participants. The Company added the Vanguard Selected Value Fund to replace the Columbia Mid-Cap Value Fund. Participants who did not change their investment option from Columbia Mid-Cap Value Fund were automatically enrolled in the Vanguard Selected Value Fund.

C.             Summary of Accounting Policies

The following accounting policies, which conform to accounting principles generally accepted in the United States of America, have been used consistently in the preparation of the Plan’s financial statements and notes to the financial statements.

Basis of Accounting

The financial statements of the Plan are prepared under the accrual method of accounting.

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Use of Estimates

The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of additions and deductions during the reporting period. Actual results could differ from those estimates.

Investment Valuation and Income Recognition

The Plan’s investments are stated at fair value, except for its investment contracts, which are valued at contract value which approximates fair value (Note E). Many factors are considered in arriving at that fair market value. In general, corporate bonds and U.S. government securities are valued based on yields currently available on comparable securities of issuers with similar credit ratings. Shares of company stock, preferred stock and common stock are valued at quoted market prices. Registered investment companies are valued at the net asset value as reported by the fund at year end. Units of common/collective trust funds are valued at the net asset value of the fund, as reported by Vanguard, on the last business day of the year. Participant loans are recorded at cost plus accrued interest, which approximates fair value.

Purchases and sales are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date.

In accordance with the policy of stating investments at fair value, the Plan presents in the Statements of Changes in Net Assets Available for Benefits the net appreciation (depreciation) in the fair value of its investments which consists of the realized gains or losses and the unrealized appreciation (depreciation) on those investments.

Benefit Payments

Benefit payments are recorded when paid.

Risks and Uncertainties

The Plan provides various investment options in any combination of stocks, bonds, fixed income securities, registered investment companies, money market funds, and other investment securities. Investment securities are exposed to various risks such as interest rate, market, and credit risks. Due to the level of risk associated with certain investment securities, and a level of uncertainty related to changes in the value of investment securities, it is at least reasonably possible that changes in risks in the near term would materially affect participants’ account balances and the amounts reported in the Statements of Net Assets Available for Benefits and the Statements of Changes in Net Assets Available for Benefits.

Reclassifications

Certain reclassifications were made to the prior year financial statements to conform to current year presentation.

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Recently Issued Accounting Pronouncements

In December 2005, the Financial Accounting Standards Board (FASB) released FASB Staff Position Nos. AAG INV-1 and SOP 94-4-1, Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare and Pension Plans. The FASB Staff Position (FSP) clarifies the definition of fully benefit-responsive investment contracts for contracts held by defined contribution plans. The FSP also establishes enhanced financial statement presentation and disclosure requirements for defined contribution plans subject to the FSP effective for financial statements for issued for periods ending after December 15, 2006.  Management intends to adopt the FSP in the Plan’s financial statements for the year ended December 31, 2006. The effect of the FSP on the Plan’s financial statements is expected to include enhanced financial statement presentation and disclosure requirements.

D.            Investments

The following presents the fair value of investments that represent 5 percent or more of the Plan’s net assets.

 

During 2005 and 2004, 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:

 

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E.    Investment Contracts (OneBeacon Insurance Stable Value Fund)

The Plan has entered into benefit-responsive investment contracts with Bank of America, GE Life and Annuity Insurance, IXIS, JP Morgan Chase Bank, Massachusetts Mutual, Metropolitan Life Insurance, Monumental Life Insurance Company, New York Life Insurance, Principal Financial Group, Rabobank Nederland, State Street Bank, Travelers, and also invests in the Vanguard Prime Money Market Fund. The Stable Value Fund is credited with earnings on the underlying investments and charged for participant withdrawals and administrative expenses. The contracts are included in the financial statements at contract value, which approximates fair value, as reported to the Plan by these institutions. Contract value represents contributions made under the contracts, plus earnings, less participant withdrawals and administrative expenses. The average yields during the years ended December 31, 2005 and 2004 were 4.28 percent and 4.48 percent, respectively. The crediting interest rates ranged from 3.55 percent to 4.58 percent and 2.65 percent to 7.13 percent at December 31, 2005 and 2004, respectively. The crediting interest rate on synthetic contracts is based on a formula agreed upon with the issuer, but may not be less than 0 percent. Such interest rates are reviewed on a quarterly basis for resetting.

Synthetic GICs represent individual assets placed in a trust, with ownership by the Plan, that also contain a third party issued benefit-responsive wrapper contract that guarantees that participant transactions are executed at contract value. Individual assets of the synthetic GICs are valued based on the policy in Note C. The value of the wrapper is the difference between the fair value of the underlying assets and the contract value. At December 31 2005 and 2004, the values of the wrappers were $527,454 and $(752,864), respectively.

F.              Related Party Transactions

The Plan invests in shares of mutual funds managed by an affiliate of Vanguard. Vanguard acts as trustee for only those investments as defined by the Plan. The Plan also has investments, which are managed by White Mountains Advisors LLC, an affiliate of the Company. Transactions in such investments qualify as party-in-interest transactions, which are exempt from the prohibited transaction rules. Participants’ loans also constitute party-in-interest transactions.

The Plan invests in the White Mountains Stock Fund (the “Fund”) which is comprised of common shares of White Mountains Insurance Group, Ltd. (the Parent Company) and small amounts of cash invested in the Vanguard Prime Money Market Fund. The share values of the Fund are recorded and maintained by Vanguard. During the years ended December 31, 2005 and 2004, the Plan purchased shares in the Fund in the amounts of $4,085,735 and $5,289,582, respectively; sold shares in the Fund of $4,584,999 and $3,242,290, respectively; had dividend earnings of $215,106 and $25,201; and had net appreciation/(depreciation) in the Fund of $(2,312,806) and $4,923,900 respectively. The total value of the Plan’s investment in the Fund was $14,686,764 and $17,532,825 at December 31, 2005 and 2004, respectively.

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G.             Tax Status

The Internal Revenue Service has determined and informed the Company by a letter dated January 16, 2002, that the Plan and related trust are designed in accordance with applicable sections of the Internal Revenue Code (“IRC”). The Plan has since been amended. However, management believes the Plan is designed and operates in accordance with the IRC, therefore, no provision for income taxes is required.

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OneBeacon Insurance Savings Plan

Schedule of Assets (Held at End of Year)
Form 5500, Schedule H, Part IV, Line 4i

		IDENTITY OF ISSUE  BORROWER, LESSOR, OR SIMILAR PARTY		DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL		COST**		SHARES/UNITS/ PAR VALUE		CURRENT VALUE
*		THE BOSTON COMPANY INC POOLED DAILY LIQUIDITY FUND		VAR RT 12/31/2099 DD 03/01/76				19,621,950		$  19,621,950
		3M CO		Common Stock				5,800		449,500
		ABITIBI CONSOLIDATED INC COM		Common Stock				267,400		1,082,970
		ACCO BRANDS CORP COM		Common Stock				705		17,273
		ALBERTO CULVER COM		Common Stock				8,800		402,600
		ALBERTSONS INC COM		Common Stock				28,200		602,070
		ALCAN INC		Common Stock				12,200		499,590
		ALCOA INC COM		Common Stock				26,800		792,476
		AMERADA HESS CORP COM		Common Stock				37,436		4,747,634
		ARCHER DANIELS MIDLAND CO COM		Common Stock				86,600		2,135,556
		AUTOMATIC DATA PROCESSING INC		Common Stock				27,900		1,280,331
		BARRICK GOLD CORP COM		Common Stock				15,700		437,559
		BERKSHIRE HATHAWAY INC DEL B		Common Stock				550		1,614,525
		CALGON CARBON CORP COM		Common Stock				14,600		83,074
		CALLAWAY GOLF CO COM		Common Stock				18,400		254,656
		CANADIAN SUPERIOR ENERGY INC COM		Common Stock				20,300		41,209
		CAPITOL FED FINL COM		Common Stock				35,000		1,152,900
		CHARTER FINL CORP WEST PT GA		Common Stock				22,000		785,620
		CHEMTURA CORP		Common Stock				918		11,659
		CHEVRON CORPORATION COM		Common Stock				42,232		2,397,511
		COCA COLA CO COM		Common Stock				13,600		548,216
		DU PONT E I DE NEMOURS & CO		Common Stock				41,200		1,751,000
		EL PASO ELEC CO COM NEW		Common Stock				111,446		2,344,824
		FAIRMONT HOTELS & RESORTS INC		Common Stock				68,809		2,918,190
		FORTUNE BRANDS INC COM		Common Stock				3,000		234,060
		INCO LTD COM		Common Stock				2,000		87,140
		KERR MCGEE CORP		Common Stock				7,600		690,536
		LONGVIEW FIBRE CO (REIT)		Common Stock				92,700		1,929,087
		MARATHON OIL CORP		Common Stock				79,800		4,865,406
		MARSH & MCLENNAN COS INC COM		Common Stock				18,600		590,736
		MERCK & CO INC COM		Common Stock				54,500		1,733,645
		MEREDITH CORP COM		Common Stock				70,900		3,710,906
		NEW ENG BANCSHARES INC		Common Stock				3,000		74,250
		NEW YORK TIMES CO CL A		Common Stock				25,600		677,120
		NEWMONT MINING CORP HOLDING CO		Common Stock				19,600		1,046,640

 

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		IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY		DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL		COST**		SHARES/UNITS/ PAR VALUE		CURRENT VALUE
		NORSK HYDRO A S SPONSORED ADR		Common Stock				400		41,272
		NORTHGATE MINERALS CORP		Common Stock				100,400		183,732
		NRG ENERGY INC		Common Stock				2,200		103,664
		OCTEL CORP COM		Common Stock				80,000		1,301,600
		PETRO-CANADA COM SHS COM		Common Stock				33,000		1,322,970
		PFIZER INC COM STK UDS0.05		Common Stock				42,400		988,768
		POST PROPERTIES INC COM (REIT)		Common Stock				47,300		1,889,635
		POTLATCH CORP COM (REIT)		Common Stock				42,200		2,151,356
		RYDER SYS INC COM		Common Stock				31,200		1,279,824
		SAFEWAY INC NEW COM		Common Stock				2,100		49,686
		SIERRA PAC RES NEW COM		Common Stock				210,249		2,741,647
		TECK COMINCO LTD CL B SUB VTG		Common Stock				24,255		1,288,381
		TECO ENERGY INC COM		Common Stock				8,200		140,876
		TOOTSIE ROLL INDUSTRIES INC		Common Stock				16,400		474,452
		TRIZEC CDA SUB VTG SHS		Common Stock				19,300		416,680
		UNISOURCE ENERGY CORP COM		Common Stock				101,800		3,176,160
		XEROX CORP COM		Common Stock				11,300		165,544
										59,706,716
*		WHITE MOUNTAINS STOCK		Company Stock				26,174		14,619,488
		ALBERTSONS INC CVT PFD		Preferred Stock				7,500		168,750
		EQUITY OFFICE PPTYS TR PFD CV		Preferred Stock				5,400		270,000
		MIGRANT TR I GTD SECS CVT PFD		Preferred Stock				14,100		747,300
		TRAVELERS PROPERTY CASUALTY CORP		Preferred Stock				8,600		212,936
		XEROX CORP CONV PFD SERIES C%		Preferred Stock				4,200		513,450
										1,912,436
		3M EMPLOYEE STK OWNERSHIP 144A		Corporate Bond 5.620% 07/15/2009				429,473		434,871
		AMERICAN GEN FIN MTN #TR00378		Corporate Bond 5.375% 10/01/2012				2,000,000		2,010,168
		ARIZONA PUB SVC CO NT		Corporate Bond 5.800% 06/30/2014				1,000,000		1,030,639
		CALPINE CORP SR NT		Corporate Bond 8.500% 02/15/2011				1,350,000		411,750
		COORS BREWING CO		Corporate Bond 6.375% 05/15/2012				2,000,000		2,119,360
		DEERE & CO DEB		Corporate Bond 7.850% 05/15/2010				2,000,000		2,230,632
		DU PONT EI DE NEMOURS & CO NT		Corporate Bond 6.875% 10/15/2009				2,000,000		2,128,676
		ENERGY EAST CORP NT		Corporate Bond 5.750% 11/15/2006				2,500,000		2,516,273
		FOSTERS FIN CORP NT 144A		Corporate Bond 6.875% 06/15/2011				1,000,000		1,077,252
		HARTFORD LIFE INC SR NT		Corporate Bond 7.375% 03/01/2031				1,000,000		1,222,278
		HARVARD UNIV MASS		Corporate Bond 8.125% 04/15/2007				1,045,000		1,089,956
		KINDER MORGAN ENERGY SR NT		Corporate Bond 7.500% 11/01/2010				1,000,000		1,096,437

 

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		IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY		DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL		COST**		SHARES/UNITS/ PAR VALUE		CURRENT VALUE
		PACIFIC GAS & ELECTRIC CO 1ST MTG		Corporate Bond 4.200% 03/01/2011				1,500,000		1,438,269
		SOUTHERN ENERGY INC SR NT 144A		Corporate Bond 7.400% 07/15/2004				2,350,000		2,914,000
		PEARSON PLC SR NT 144A		Corporate Bond 7.000% 06/15/2011				1,000,000		1,076,125
		TEXTRON FINL CORP MTN #TR00622		Corporate Bond 2.750% 06/01/2006				2,000,000		1,984,768
		TEXTRON FINL CORP NT		Corporate Bond 6.000% 11/20/2009				2,000,000		2,072,290
		TRIBUNE CO MTN #TR 00043		Corporate Bond 5.900% 01/24/2006				1,000,000		1,000,197
		WELLPOINT HEALTH NETWORKS NT		Corporate Bond 6.375% 06/15/2006				1,000,000		1,006,739
										28,860,680
		3M CO LIQUID YLD OPT NT		Convertible Bond 2.400% 11/21/2032				4,200,000		3,732,750
		AMDOCS LTD SR NT CONV		Convertible Bond 0.500% 03/15/2024				225,000		201,656
		CSX CORP DEB CONV		Convertible Bond ZEROCPN 10/30/2021				1,300,000		1,241,500
		DIAMOND OFFSHORE CONV DEBS		Convertible Bond 1.500% 04/15/2031				725,000		1,037,656
		DIAMOND OFFSHORE DRILLING CONV		Convertible Bond ZEROCPN 06/06/2020				750,000		444,375
		EASTMAN KODAK CO SR NT CVT		Convertible Bond 3.375% 10/15/2033				2,425,000		2,315,875
		FAIRMONT HOTELS & RESORTS INC		Convertible Bond 3.750% 12/01/2023				1,925,000		2,235,406
		GENERAL MILLS INC SR DEB CONV		Convertible Bond ZEROCPN 10/28/2022				6,950,000		4,951,875
		INCO LTD CONV DEB		Convertible Bond 1.000% 03/14/2023				3,050,000		4,315,750
		LOCKHEED MARTIN CORP SR DEB		Convertible Bond VAR RT 08/15/2033				525,000		559,850
		MIRANT CORP SR DEB CVT		Convertible Bond 2.500% 06/15/2021				2,725,000		2,915,750
		PLACER DOME INC SR DEB CONV		Convertible Bond 2.750% 10/15/2023				1,600,000		1,970,000
		SCHLUMBERGER LTD SR NT CONVA		Convertible Bond 1.500% 06/01/2023				3,550,000		4,881,250
		SCHLUMBERGER LTD ST NT CONVB		Convertible Bond 2.125% 06/01/2023				125,000		161,875
		TRIZEC HAHN CORP DEBS EXCH		Convertible Bond 3.000% 01/29/2021				5,200,000		4,602,000
		UNISOURCE ENERGY CORP 144A		Convertible Bond 4.500% 03/01/2035				1,400,000		1,400,000
		USF&G CORP SUB CVT NT		Convertible Bond ZEROCPN 03/03/2009				2,150,000		1,800,625
										38,768,193
		FEDERAL HOME LN MTG CORP DEBS		US Gov’t Security 7.800% 09/12/2016				1,000,000		1,019,504
		U S TREASURY NOTES		US Gov’t Security 3.000% 02/15/2008				500,000		485,918
										1,505,422
		Insurance and Investment Contracts
		BANK OF AMERICA 03010
		WRAPPER CONTRACTS		4.02% 06/30/2008						149,506
		UNDERLYING ASSETS
*		Vanguard Intermediate-Term Bond Trust						396,680		6,215,979
		TOTAL CONTRACT VALUE								6,365,485

 

14

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		IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY		DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL		COST**		SHARES/UNITS/ PAR VALUE		CURRENT VALUE
		IXIS 1362-01
		WRAPPER CONTRACTS		4.41% constant duration						105,633
		UNDERLYING ASSETS
*		Vanguard Short-Term Bond Trust						245,735		2,513,865
*		Vanguard Intermediate-Term Bond Trust						527,650		8,268,271
*		Vanguard Total Bond Market Index Fund						240,468		2,419,111
		TOTAL CONTRACT VALUE								13,306,880
		JP MORGAN ABEAC01
		WRAPPER CONTRACTS		4.54% constant duration						21,189
		UNDERLYING ASSETS
*		Vanguard Intermediate-Term Bond Trust						230,708		3,615,190
*		Vanguard Total Bond Market Index Fund						493,626		4,965,873
		TOTAL CONTRACT VALUE								8,602,252
		GE LIFE GS-3912		4.28% 07/15/2008						1,223,653
		MASSACHUSETTS MUTUAL 35121		4.31% 06/30/2009						1,064,605
		MONUMENTAL SV04529Q		4.14% 1/16/2007						2,814,351
		PRINCIPAL 6-11504-1		3.55% 03/13/2008						1,309,853
		PRINCIPAL 6-11504-2		3.80% 01/17/2007						2,072,397
		RABOBANK GAC099601
		WRAPPER CONTRACTS		4.58% constant duration						78,950
		UNDERLYING ASSETS
*		Vanguard Intermediate-Term Bond Trust						1,043,448		16,350,825
		TOTAL CONTRACT VALUE								16,429,775
		STATE STREET BANK 101049
		WRAPPER CONTRACTS		4.05% constant duration						134,518
		UNDERLYING ASSETS
*		Vanguard Short-Term Bond Trust						1,016,799		10,401,850
*		Vanguard Intermediate-Term Bond Trust						106,821		1,673,880
		TOTAL CONTRACT VALUE								12,210,248
		TRAVELERS GR-18716		3.99% 12/05/2008						4,040,074

 

15

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		IDENTITY OF ISSUE, BORROWER, LESSOR, OR SIMILAR PARTY		DESCRIPTION OF INVESTMENT INCLUDING MATURITY DATE, RATE OF INTEREST, COLLATERAL		COST**		SHARES/UNITS/ PAR VALUE		CURRENT VALUE
		UBS AG 3159
		WRAPPER CONTRACTS		4.16% constant duration						37,658
		UNDERLYING ASSETS
*		Vanguard Short-Term Bond Trust						243,907		2,495,167
*		Vanguard Intermediate-Term Bond Trust						67,438		1,056,757
		TOTAL CONTRACT VALUE								3,589,582
*		Vanguard 500 Index Fund Investor Shares		Registered Investment Company				286,543		32,929,494
*		Vanguard Asset Allocation Fund Investor Shares		Registered Investment Company				359,085		9,095,635
*		Vanguard Extended Market Index Fund Investor Shares		Registered Investment Company				394,932		13,530,365
*		Vanguard High-Yield Corporate Fund Investor Shares		Registered Investment Company				468,684		2,891,780
*		Vanguard International Growth Fund Investor Shares		Registered Investment Company				459,412		9,647,655
*		Vanguard Long-Term Investment Grade Investor Shares		Registered Investment Company				1,185,316		11,284,212
*		Vanguard Morgan Growth Fund Investor Shares		Registered Investment Company				145,049		2,568,822
*		Vanguard Prime Money Market Fund		Registered Investment Company				20,266,818		20,266,818
*		Vanguard Selected Value Fund		Registered Investment Company				552,815		10,426,091
*		Vanguard Short-Term Investment Grade Investor Shares		Registered Investment Company				350,415		3,682,859
*		Vanguard Small-Cap Index Fund Investor Shares		Registered Investment Company				373,057		10,639,578
*		Vanguard Total International Stock Index Fund		Registered Investment Company				349,671		4,989,811
*		Vanguard U.S. Growth Fund Investor Shares		Registered Investment Company				117,639		2,111,620
*		Vanguard Wellington Fund Investor Shares		Registered Investment Company				897,961		27,253,127
*		Vanguard Windsor Fund Investor Shares		Registered Investment Company				2,086,971		35,791,550
*		Vanguard Windsor II Fund Investor Shares		Registered Investment Company				503,595		15,777,623
										212,887,040
*		PARTICIPANT LOANS		(4.00% - 11.70%)				4,298,820		4,298,820
										$ 455,209,900

*                    Denotes party-in-interest.

**             Cost is omitted for participant-directed investments.

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