blsssp_11k.htm
 
SECURITIES AND EXCHANGE COMMISSION
 
 
Washington, D.C. 20549
 
(Mark One)
 
FORM 11-K
 
x
ANNUAL REPORT PURSUANT TO SECTION 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
   
 
For the fiscal year ended December 31, 2011
 
 
OR
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from              to
 
 
Commission File Number:1-8610
 
 
 
A. Full title of the plan and the address of the plan, if different from that of the issuer named below:
   
 
 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
   
 
B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:
 
 
AT&T INC.
 
 
208 S. Akard, Dallas, Texas 75202
 

 
 

 
 

Financial Statements, Supplemental Schedule and Exhibit
 
Table of Contents
 
Page
 
 
 
 
Report of Independent Registered Public Accounting Firm
1
 
 
Financial Statements:
 
 
 
   Statements of Net Assets Available for Benefits as of December 31, 2011 and 2010
2
   Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2011
3
   Notes to Financial Statements
4
 
 
Supplemental Schedule:
 
 
 
   Schedule H, Line 4(i) – Schedule of Assets (Held at End of Year) as of December 31, 2011
24
 
 
Exhibit:
 
 
 
   23 – Consent of Independent Registered Public Accounting Firm
32

 
 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM


To the Plan Administrator of the
BellSouth Savings and Security Plan

We have audited the accompanying statements of net assets available for benefits of the BellSouth Savings and Security Plan as of December 31, 2011 and 2010, and the related statement of changes in net assets available for benefits for the year ended December 31, 2011.  These financial statements are the responsibility of the Plan's management.  Our responsibility is to express an opinion on these financial statements based on our audits.

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

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

Our audits were conducted for the purpose of forming an opinion on the financial statements taken as a whole. The accompanying supplemental schedule of assets (held at end of year) as of December 31, 2011, is presented for purposes of additional analysis and is not a required part of the 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. Such information is the responsibility of the Plan's management. The information has been subjected to the auditing procedures applied in our audits of the financial statements and, in our opinion, is fairly stated in all material respects in relation to the financial statements taken as a whole.


Dallas, Texas                                                                                                /s/ Ernst & Young LLP
June 22, 2012


1

 
 

 

BELLSOUTH SAVINGS AND SECURITY PLAN
 
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
 
(Dollars in Thousands)
 
 
 
 
   
 
 
 
 
December 31,
 
 
 
2011
   
2010
 
ASSETS
 
 
   
 
 
Investment in AT&T Savings Group Investment Trust
  $ 823,662     $ 804,574  
Investments, at fair value
    1,376,875       1,488,384  
   Total Investments, at fair value (See Note 4)
    2,200,537       2,292,958  
 
               
Notes receivable from participants
    56,007       52,029  
Participant contributions receivable
    569       786  
Employer contributions receivable
    294       247  
Interest receivable
    698       882  
   Total Receivables
    57,568       53,944  
 
               
Total Assets
    2,258,105       2,346,902  
 
               
LIABILITITES
               
Administrative expenses payable
    1,216       1,112  
Due to broker for securities purchased
    15,996       12,558  
 
               
Total Liabilities
    17,212       13,670  
 
               
Net assets reflecting investments at fair value
    2,240,893       2,333,232  
 
               
Adjustment from fair value to contract value for fully benefit- responsive
   investment contracts
    (43,159 )     (35,869 )
 
               
Net Assets Available for Benefits
  $ 2,197,734     $ 2,297,363  
 
               
See Notes to Financial Statements.
               


2

 
 

 

BELLSOUTH SAVINGS AND SECURITY PLAN
 
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
 
FOR THE YEAR ENDED DECEMBER 31, 2011
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
Net Assets Available for Benefits, December 31, 2010
  $ 2,297,363  
 
       
Additions to Net Assets:
       
   Contributions:
       
      Participant contributions
    75,202  
      Employer contributions
    33,686  
      Rollover contributions
    15,650  
 
    124,538  
Investment Income (Loss):
       
   Net income from investment in AT&T Savings Group Investment Trust
    24,554  
   Interest
    3,628  
   Dividends
    47,216  
   Net depreciation in fair value of investments
    (25,700 )
 
    49,698  
 
       
   Interest income on notes receivable from participants
    2,384  
 
       
      Total Additions
    176,620  
 
       
Deductions from Net Assets:
       
   Distributions
    271,813  
   Administrative expenses
    1,617  
 
       
      Total Deductions
    273,430  
 
       
Net decrease before transfers
    (96,810 )
 
       
Transfers to affiliated plan (Note 1)
    (2,819 )
 
       
Net Assets Available for Benefits, December 31, 2011
  $ 2,197,734  
 
       
See Notes to Financial Statements.
       


3

 
 

 
Notes to Financial Statements
(Dollars in Thousands)


NOTE 1. PLAN DESCRIPTION

The BellSouth Savings and Security Plan (Plan) is a defined contribution plan originally established by BellSouth Corporation (BellSouth) to provide a convenient way for eligible nonmanagement employees of participating BellSouth companies to save on a regular and long-term basis. In December 2006, BellSouth was acquired by AT&T Inc. (AT&T or the Company). The following description of the Plan provides only general information. The Plan has detailed provisions covering participant eligibility, participant allotments from pay, participant withdrawals, participant loans, employer contributions and related vesting of contributions and Plan expenses. The Plan text and prospectus include complete descriptions of these and other Plan provisions. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA).

The Plan participates in the AT&T Savings Group Investment Trust (Group Trust) with respect to the AT&T Stable Value Fund option only. The Bank of New York Mellon Corporation (BNY Mellon) serves as trustee for both the Group Trust and the trust holding the Plan’s assets. Fidelity Investments Institutional Operations Company, Inc. (Fidelity) serves as recordkeeper for the Plan. During 2011, participants could invest their contributions in one or more of 12 funds in 1% increments:

· AT&T Stock Fund
· DFA U.S. Small Cap Value Portfolio
· Bond Fund
· DFA International Value Portfolio II
· Vanguard Growth Index Fund
· U.S. Large Cap Value Portfolio II
· Fidelity Growth and Income Portfolio
· T. Rowe Price Mid-Cap Growth Fund
· Balanced Fund
· AT&T Stable Value Fund (also known as the Interest Income Fund)*
· LifePath Funds (based on retirement date)
· Large Cap U.S. Stock Index Fund

* Investment fund option of the Group Trust

In 2011, the Plan was amended to make certain participants eligible to participate in the AT&T Retirement Savings Plan. As a result, participant account balances of approximately $2,819 were transferred out of the Plan during 2011.

Participants contribute to the Plan through payroll allotments. Participants may also contribute amounts representing distributions from other qualified defined benefit and defined contribution plans (rollovers). The Company contributes to the Plan by matching the participants’ contributions based on the provisions of the Plan. All contributions are participant directed.

Dividends on shares in the AT&T Stock Fund can either be reinvested in the AT&T Stock Fund on a quarterly basis, or paid into a separate fund known as a Dividend Fund Account (DFA) for distribution at the end of the year.  Interest earned on dividends held in the DFA purchases additional units of the AT&T Stock Fund in the participant’s account.  During 2011, Plan participants elected to receive $1,669 in dividend distributions. This amount is included in distributions on the Plan’s statement of changes in net assets available for benefits.

Each participant is entitled to exercise voting rights attributable to the AT&T shares allocated to their account and is notified by the Company prior to the time that such rights may be exercised. Subject to the fiduciary provisions of ERISA, the trustee will not vote any allocated shares for which instructions have not been given by a participant. The trustee votes any unallocated shares in the same proportion as it votes those shares that were allocated to the extent the proportionate vote is consistent with the trustee’s fiduciary obligations under ERISA. Participants have the same voting rights in the event of a tender or exchange offer.

Although it has not expressed any intent to do so, AT&T has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA and collectively bargained agreements.  In the event that the Plan is terminated, subject to the conditions set forth by ERISA, the account balances of all participants shall be 100% vested.



4

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


Administrative Expenses  Each participant in the Plan may be charged for investment manager fees and administrative expenses, including, trustee and other expenses considered reasonable by the Plan administrator.  Investment manager fees are charged through the applicable investment option.  Administrative fees are divided on a pro rata basis among investment options of the participant.  An additional fee is charged to individual participants for various services provided by the Plan’s recordkeeper and other service providers. Certain expenses are paid by the Plan, Group Trust, or Company.

NOTE 2. ACCOUNTING POLICIES

The accompanying financial statements were prepared in conformity with U.S. generally accepted accounting principles (GAAP), which require management to make estimates that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Distributions are recorded when paid.

Investment Valuation and Income Recognition  Investments are stated at fair value. Fair value 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. See Note 3 for discussion of fair value measurements. Investments in securities traded on a national securities exchange are valued at the last reported sales price on the last business day of the year. If no sale was reported on that date, they are valued at the last reported bid price. Shares of registered investment companies are valued based on quoted market prices, which represent the net asset value of shares held at year-end. Over-the-counter securities (OTC) and government obligations are valued at the bid price or the average of the bid and asked price on the last business day of the year from published sources where available and, if not available, from other sources considered reliable. Depending on the types and contractual terms of OTC derivatives, fair value is measured using valuation techniques such as Black-Scholes option price models, simulation models, or a combination of various models.

Common/collective trust funds and 103-12 investment entities (i.e. an investment entity that holds the assets of two or more plans which are not members of a related group or employee benefit plan) are valued at quoted redemption values that represent the net asset values of units held at year-end. Publicly traded partnerships are valued using trades on a national securities exchange based on the last reported sales price on the last business day of the year.

Investment contracts held by a defined contribution plan are required to be reported at fair value. However, contract value is the relevant measurement attribute for that portion of the net assets available for benefits of a defined contribution plan attributable to fully benefit-responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan. The Group Trust invests in fully benefit-responsive guaranteed investment contracts (GICs) and synthetic investment contracts (Synthetic GICs). GICs are valued at fair value by discounting the associated cash flows of the investment based on current yields of similar instruments with comparable durations considering the credit-worthiness of the issuer. The underlying investments of the Synthetic GICs are owned by the Group Trust and are comprised of corporate bonds and notes, registered investment companies and government securities and are also valued as described above. The fair value of the wrap contracts for the Synthetic GICs is determined using a market approach discounting methodology that incorporates the difference between current market level rates for contract level wrap fees and the wrap fee being charged. The difference is calculated as a dollar value and discounted by the prevailing interpolated swap rate as of period end. The contract value of the fully benefit-responsive investment contracts represents contributions plus earnings, less participant withdrawals and administrative expenses.

Purchases and sales of securities are reflected as of the trade date. Dividend income is recognized on the ex-dividend date. Interest earned on investments is recognized on the accrual basis.

Notes Receivable from Participants Notes receivable from participants represent participant loans that are recorded at their unpaid principal balance plus any accrued, but unpaid interest. Interest income on notes receivable from participants is recorded when it is earned. Related fees are recorded as administrative expenses and are expensed when they are incurred. No allowance for credit losses has been recorded as of December 31, 2011 or 2010. If a participant ceases to make loan repayments and the plan administrator deems the participant loan to be a distribution, the participant loan balance is reduced and a distribution is recorded.



5

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


Recent Accounting Standards

Improving Disclosures about Fair Value Measurements  In January 2010, the FASB issued Accounting Standards Update 2010-06, Improving Disclosures about Fair Value Measurements, (ASU 2010-06). ASU 2010-06 amended Accounting Standards Codification Topic 820, Fair Value Measurements, (ASC 820) to clarify certain existing fair value disclosures and require a number of additional disclosures. The requirement to present changes in Level 3 measurements on a gross basis is effective for reporting periods beginning after December 15, 2010. Since ASU 2010-06 only affects fair value measurement disclosures, adoption of ASU 2010-06 did not have an effect on the Plan’s net assets available for benefits or its changes in net assets available for benefits.

Amendments to Achieve Common Fair Value Measurements and Disclosure Requirements in U.S. GAAP and IFRS  In May 2011, the FASB issued Accounting Standards Update 2011-04, Amendments to Achieve Common Fair Value Measurements and Disclosure Requirements in U.S. GAAP and IFRSs, (ASU 2011-04). ASU 2011-04 amended ASC 820, Fair Value Measurements, to converge the fair value measurement guidance in US generally accepted accounting principles (GAAP) and International Financial Reporting Standards (IFRSs). Some of the amendments clarify the application of existing fair value measurement requirements, while other amendments change a particular principle in ASC 820. In addition, ASU 2011-04 requires additional fair value disclosures, although certain of these new disclosures will not be required for nonpublic entities. The amendments are to be applied prospectively and are effective for annual periods beginning after December 15, 2011. Plan management is currently evaluating the effect that the provisions of ASU 2011-04 will have on the Plan’s financial statements.

NOTE 3. FAIR VALUE MEASUREMENTS

ASC 820 establishes a framework for measuring fair value. That framework provides a fair value hierarchy that prioritizes the inputs to valuation techniques 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). The three levels of the fair value hierarchy are described below:

Level 1
Inputs to the valuation methodology are unadjusted quoted prices for identical assets or liabilities in active markets that the Plan has the ability to access.

Level 2
Inputs to the valuation methodology include:
· 
Quoted prices for similar assets and liabilities in active markets;
· 
Quoted prices for identical or similar assets or liabilities in inactive markets;
· 
Inputs other than quoted market prices that are observable for the asset or liability;
· 
Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

If the asset or liability has a specified (contractual) term, the Level 2 input must be observable for substantially the full term of the asset or liability

Level 3
Inputs to the valuation methodology are unobservable and significant to the fair value measurement.

The asset’s or liability’s fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Valuation techniques used need to maximize the use of observable inputs and minimize the use of unobservable inputs.

The valuation methodologies described in Note 2 may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while Plan management believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date. There have been no changes in the methodologies used at December 31, 2011 and 2010.

See Note 4 for fair value hierarchy for the Group Trust’s and Plan’s investments.



6

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


NOTE 4. INVESTMENTS

The Plan held investments in its own trust and in the Group Trust (through participation in the AT&T Stable Value Fund option only) as of December 31, 2011 and 2010, and for the year ended December 31, 2011.

Plan Investments

Investments representing 5% or more of Plan net assets at December 31 were:

 
 
2011
   
2010
AT&T Stock Fund (AT&T common shares)
  $ 508,182     $ 523,390
T. Rowe Price Mid-Cap Growth Fund
    173,766       197,929
DFA U.S. Small Cap Value II Fund
    115,763       142,612

The Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated (depreciated) in fair value as follows for the year ended December 31, 2011:

Common stock
$ 15,381  
Registered investment companies
  (47,368 )
Common/collective trust funds
  3,985  
Fixed income securities
  2,302  
Total
$ (25,700 )


7

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



The following table sets forth by level, within the fair value hierarchy, the Plan’s assets at fair value as of December 31, 2011:

   
Plan Assets at Fair Value as of December 31, 2011
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Interest bearing cash
  $ 2,751     $ -     $ -     $ 2,751  
Short term investments
    4,052       -       -       4,052  
Blended equity & debt1
    -       49,534       -       49,534  
US equity securities
                               
   AT&T common stock
    508,182       -       -       508,182  
   Index stock fund2
    -       99,817       -       99,817  
   Futures
    29       -       -       29  
Mutual funds – large cap
    215,150       -       -       215,150  
Mutual funds – mid cap
    243,916       -       -       243,916  
Mutual funds – small cap
    115,763       -       -       115,763  
Fixed income securities:
                               
   Bond index fund3
    -       13,378       -       13,378  
   Short term investments
    1,943       (342 )     -       1,601  
   Futures
    (31 )     -       -       (31 )
   Corporate debt instruments
                               
      Asset backed securities
    -       1,644       -       1,644  
      Commercial mortgage backed securities
    -       1,699       -       1,699  
      Collateralized mortgage obligations
    -       7,788       -       7,788  
      Other corporate debt instruments
    -       37,560       -       37,560  
   U.S. government securities
                               
      Asset backed securities
    -       9,502       -       9,502  
      Other U.S. government securities
    -       64,540       -       64,540  
Total assets at fair value
  $ 1,091,755     $ 285,120     $ -     $ 1,376,875  


 
8

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



The following table sets forth by level, within the fair value hierarchy, the Plan’s assets at fair value as of December 31, 2010:

   
Plan Assets at Fair Value as of December 31, 2010
       
Level 1
 
Level 2
 
Level 3
 
Total
Interest bearing cash
  $ 5,210   $ -   $ -   $ 5,210
Short term investments
    7,261     -     -     7,261
Blended equity & debt1
    -     45,369     -     45,369
US equity securities
                       
   AT&T common stock
    523,390     -     -     523,390
   Index stock fund2
    -     104,242     -     104,242
   Futures
    122     -     -     122
Mutual funds – large cap
    259,314     -     -     259,314
Mutual funds – mid cap
    269,957     -     -     269,957
Mutual funds – small cap
    142,612     -     -     142,612
Fixed income securities:
                       
   Bond index fund3
    -     13,258     -     13,258
   Short term investments
    1,708     30     -     1,738
   Futures
    -     76     -     76
   Corporate debt instruments
                       
      Asset backed securities
    -     2,321     -     2,321
      Commercial mortgage backed securities
    -     1,667     -     1,667
      Collateralized mortgage obligations
    -     8,238     -     8,238
      Other corporate debt instruments
    -     24,201     -     24,201
   U.S. government securities
                       
      Asset backed securities
    -     10,546     -     10,546
      Other U.S. government securities
    -     54,517     -     54,517
   Other investments
    -     14,345     -     14,345
Total assets at fair value
  $ 1,209,574   $ 278,810   $ -   $ 1,488,384

 
 1
This category includes common/collective trust funds also known as LifePath Portfolios which are well diversified portfolios that adjust the mix of the various underlying investments over time. The change in allocation of investments is designed to move from a more aggressive investment strategy to a more conservative strategy as the participants come closer to retirement. The year associated with the fund identification denotes the projected year of retirement of the participant selecting the fund. There are currently no redemption restrictions on these investments. The fair value of the investments in this category have been estimated using the net asset value per share.
 
 2
This category includes a common/collective trust fund with an objective of providing investment results that approximate the overall performance of the common stocks included in the Standard and Poor's Composite Stock Price Index of 500 stocks (the “S&P 500®”).  There are currently no redemption restrictions on this investment. The fair value of the investment in this category has been estimated using the net asset value per share.
 
 3
This category includes a common/collective trust fund with an objective to approximate the overall performance of the Barclays Capital Aggregate Bond Index. There are currently no redemption restrictions on these investments. The fair value of the investments in this category have been estimated using the net asset value per share.


9

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



AT&T Savings Group Investment Trust Investments

AT&T established the Group Trust to manage assets of pooled investment options among various AT&T sponsored employee benefit trusts. Each participating trust’s interest in the investment fund options (i.e., separate accounts) of the Group Trust is based on account balances of the participants and their elected investment fund options. The Group Trust assets are allocated among the participating plans by assigning to each trust those transactions (primarily contributions, distributions, and expenses) that can be specifically identified and by allocating investment income and administrative expenses to the individual plans on a daily basis based on each participant’s account balance within each investment fund option.

The participating entities and ownership percentages of the Group Trust are listed below:

 
 
December 31,
 
 
2011
 
2010
AT&T Savings Plan Master Trust (AT&T Master Trust)
    86.7 %     86.6 %
AT&T Savings Master Trust (Master Trust)
    6.1 %     6.3 %
BellSouth Savings and Security Plan
    7.2 %     7.1 %
Total
    100.0 %     100.0 %


10

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



The Plan’s percentage interest in each of the investment fund options within the Group Trust is disclosed below as of December 31, 2011.

 
AT&T Total
Return Bond
Fund
 
AT&T U.S.
Stock Fund
 
AT&T
International
Stock Fund
 
AT&T
Stable Value
Fund
 
Group
Trust
Interest bearing cash
$
 - 
 
 
$
 - 
 
 
$
 2,824
 
 
$
 - 
 
 
$
 2,824
 
Common/collective trust
   funds
 
 - 
 
 
 
 420,247
 
 
 
 166,567
 
 
 
 - 
 
 
 
 586,814
 
103-12 investment entities
 
 - 
 
 
 
 - 
 
 
 
 102,904
 
 
 
 - 
 
 
 
 102,904
 
Equities - common stock
 
 - 
 
 
 
 1,535,614
 
 
 
 151,924
 
 
 
 - 
 
 
 
 1,687,538
 
Equities - preferred stock
 
 - 
 
 
 
 - 
 
 
 
 2,179
 
 
 
 - 
 
 
 
 2,179
 
Publicly traded
   partnerships
 
 - 
 
 
 
 4,378
 
 
 
 - 
 
 
 
 - 
 
 
 
 4,378
 
Registered investment
   companies
 
 1,405,006
 
 
 
 43,068
 
 
 
 1,956
 
 
 
 547
 
 
 
 1,450,577
 
Investment contracts
   (at fair value):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
   Guaranteed investment
      contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 6,222
 
 
 
 6,222
 
   Synthetic GICs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
      Interest bearing cash
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 58
 
 
 
 58
 
      Corporate and other
         bonds and notes
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 2,641,392
 
 
 
 2,641,392
 
      Registered investment
         companies
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 819,425
 
 
 
 819,425
 
      Futures
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 (383)
 
 
 
 (383)
 
      Government securities
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 4,019,599
 
 
 
 4,019,599
 
      Wrapper contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 2,252
 
 
 
 2,252
 
Group Trust investments
   at fair value
 
 1,405,006
 
 
 
 2,003,307
 
 
 
 428,354
 
 
 
 7,489,112
 
 
 
 11,325,779
 
Unsettled trades and other
 
 3,942
 
 
 
 (2,022)
 
 
 
 793
 
 
 
 (175,832)
 
 
 
 (173,119)
 
Adjustment from fair value
   to contract value for fully
   benefit-responsive
   investment contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 (383,199)
 
 
 
 (383,199)
 
Group Trust net assets
$
 1,408,948
 
 
$
 2,001,285
 
 
$
 429,147
 
 
$
 6,930,081
 
 
$
 10,769,461
 
Plan's percentage
   ownership interest
   of investments
 
 - 
%
 
 
 - 
%
 
 
 - 
%
 
 
 11.3
%
 
 
 7.2
%


11

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)

 


The Plan’s percentage interest in each of the investment fund options within the Group Trust is disclosed below as of December 31, 2010.

 
AT&T Total
Return Bond
Fund
 
AT&T U.S.
Stock Fund
 
AT&T
International
Stock Fund
 
AT&T
Stable Value
Fund
 
Group
Trust
Interest bearing cash
$
 - 
 
 
$
 - 
 
 
$
 3,669
 
 
$
 - 
 
 
$
 3,669
 
Common/collective trust
   funds
 
 - 
 
 
 
 815,433
 
 
 
 218,702
 
 
 
 - 
 
 
 
 1,034,135
 
103-12 investment entities
 
 - 
 
 
 
 - 
 
 
 
 47,732
 
 
 
 - 
 
 
 
 47,732
 
Equities - common stock
 
 - 
 
 
 
 1,378,536
 
 
 
 271,343
 
 
 
 - 
 
 
 
 1,649,879
 
Equities - preferred stock
 
 - 
 
 
 
 - 
 
 
 
 4,237
 
 
 
 - 
 
 
 
 4,237
 
Equities - loaned
 
 - 
 
 
 
 (69)
 
 
 
 - 
 
 
 
 - 
 
 
 
 (69)
 
Publicly traded
   partnerships
 
 - 
 
 
 
 3,676
 
 
 
 - 
 
 
 
 - 
 
 
 
 3,676
 
Registered investment
   companies
 
 1,326,799
 
 
 
 36,762
 
 
 
 2,120
 
 
 
 545
 
 
 
 1,366,226
 
Investment contracts
   (at fair value):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
   Guaranteed investment
      contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 27,223
 
 
 
 27,223
 
   Synthetic GICs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
      Interest bearing cash
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 36,594
 
 
 
 36,594
 
      Corporate preferred
         stock
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 3,311
 
 
 
 3,311
 
      Corporate and other
         bonds and notes
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 3,264,699
 
 
 
 3,264,699
 
      Registered investment
         companies
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 614,215
 
 
 
 614,215
 
      Futures
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 81
 
 
 
 81
 
      Government securities
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 3,468,987
 
 
 
 3,468,987
 
      Wrapper contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 15,609
 
 
 
 15,609
 
Market value of securities
   on loan
 
 - 
 
 
 
 69
 
 
 
 - 
 
 
 
 - 
 
 
 
 69
 
Collateral received for
   securities loaned
 
 - 
 
 
 
 71
 
 
 
 - 
 
 
 
 - 
 
 
 
 71
 
Group Trust investments
   at fair value
 
 1,326,799
 
 
 
 2,234,478
 
 
 
 547,803
 
 
 
 7,431,264
 
 
 
 11,540,344
 
Unsettled trades and other
 
 5,425
 
 
 
 (609)
 
 
 
 1,381
 
 
 
 (446,763)
 
 
 
 (440,566)
 
Adjustment from fair value
   to contract value for fully
   benefit-responsive
   investment contracts
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 (311,368)
 
 
 
 (311,368)
 
Obligation to return
   collateral on
   loaned securities
 
 - 
 
 
 
 (71)
 
 
 
 - 
 
 
 
 - 
 
 
 
 (71)
 
Group Trust net assets
$
 1,332,224
 
 
$
 2,233,798
 
 
$
 549,184
 
 
$
 6,673,133
 
 
$
 10,788,339
 
Plan's percentage
   ownership interest
   of investments
 
 - 
%
 
 
 - 
%
 
 
 - 
%
 
 
 11.5
%
 
 
 7.1
%


 
12

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



Net Appreciation (Depreciation) in Fair Value of Group Trust Investments and
Total Investment Income for the year ended December 31, 2011

 
AT&T Total
Return Bond
Fund
 
AT&T U.S.
Stock Fund
 
AT&T
International
Stock Fund
 
AT&T
Stable Value
Fund
 
Group
Trust
Interest bearing cash
$
 - 
 
 
$
 - 
 
 
$
 (9,624)
 
 
$
 - 
 
 
$
 (9,624)
 
Common/collective
   trust funds
 
 - 
 
 
 
 (57,223)
 
 
 
 (37,204)
 
 
 
 - 
 
 
 
 (94,427)
 
103-12 investment entities
 
 - 
 
 
 
 - 
 
 
 
 (9,893)
 
 
 
 - 
 
 
 
 (9,893)
 
Equities
 
 - 
 
 
 
 1,555
 
 
 
 (23,887)
 
 
 
 - 
 
 
 
 (22,332)
 
Publicly traded
   partnerships
 
 - 
 
 
 
 558
 
 
 
 - 
 
 
 
 - 
 
 
 
 558
 
Registered investment
   companies
 
 18,568
 
 
 
 (1)
 
 
 
 - 
 
 
 
 - 
 
 
 
 18,567
 
Total net appreciation/
   (depreciation) in
   fair value of Group
   Trust Investments
$
 18,568
 
 
$
 (55,111)
 
 
$
 (80,608)
 
 
$
 - 
 
 
$
 (117,151)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment income:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest
$
 - 
 
 
$
 59
 
 
$
 2,235
 
 
$
 224,474
 
 
$
 226,768
 
Dividends
 
 50,496
 
 
 
 20,255
 
 
 
 6,199
 
 
 
 - 
 
 
 
 76,950
 
Securities lending
 
 - 
 
 
 
 - 
 
 
 
 - 
 
 
 
 2
 
 
 
 2
 
Total investment
   income of Group
   Trust Investments
$
 50,496
 
 
$
 20,314
 
 
$
 8,434
 
 
$
 224,476
 
 
$
 303,720
 


13

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



The following table sets forth by level, within the fair value hierarchy, the Group Trust’s assets at fair value as of December 31, 2011:

   
Group Trust Assets and Liabilities at Fair Value
   
December 31, 2011
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Interest bearing cash
  $ 2,824     $ -     $ -     $ 2,824  
U.S. equity securities:
                               
   U.S. common stock:
                               
      Large cap
    894,512       -       -       894,512  
      Small cap
    480,383       -       -       480,383  
      Common stock – registered investment companies
    43,068       -       -       43,068  
      Common/collective trusts1
    -       420,247       -       420,247  
      Publicly traded partnerships
    4,378       -       -       4,378  
International equity securities:
                               
      Common stock
    312,643       -       -       312,643  
      Common stock – registered investment companies
    1,956       -       -       1,956  
      Common/collective trusts2
    -       166,567       -       166,567  
      Preferred stock
    2,179       -       -       2,179  
      103-12 investment entities3
    -       102,904       -       102,904  
Fixed income securities:
                               
      Blackrock mutual fund
    194,220       -       -       194,220  
      WAMCO mutual fund
    533,376       -       -       533,376  
      PIMCO total return mutual fund
    677,410       -       -       677,410  
Stable Value Fund:
                               
      Common stock – registered investment companies
    547       189       -       736  
      Guaranteed investment contracts
    -       6,222       -       6,222  
      Synthetic GICs:
                               
         Interest bearing cash
    -       58       -       58  
         Corporate and other bonds and notes:
                               
            U.S. corporate bonds and notes
    -       1,355,424       -       1,355,424  
            International corporate bonds and notes
    -       524,632       -       524,632  
            Asset-backed securities
    -       361,303       -       361,303  
            Collateralized mortgage obligations
    -       42,928       -       42,928  
            Commercial mortgage-backed securities
    -       357,105       -       357,105  
         Short term investment funds - registered
            investment companies
    819,236       -       -       819,236  
         Futures
    (383 )     -       -       (383 )
         Government securities:
                               
            U.S. government4
    171,066       3,804,094       -       3,975,160  
            Municipals
    -       31,467       -       31,467  
            Non U.S. government
    -       12,972       -       12,972  
         Wrapper contracts
    -       2,252       -       2,252  
Total assets and liabilities at fair value
  $ 4,137,415     $ 7,188,364     $ -     $ 11,325,779  


14

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



1
The objective of these common/collective trust funds held in the AT&T U.S. Stock Fund is to deliver cost-effective, high-quality exposure to the U.S. equity market with close tracking of the Russell 3000 Index and to provide for liquidity. These common/collective trust funds have redemption restrictions limited to daily and weekly settlement. All of the common/collective trust funds are invested in U.S. equities, with the majority being Large cap. The fair value of the investment in this category has been estimated using the net asset value per share.

2
The objective of these common/collective trust funds held in the AT&T International Stock Fund is to provide a diversified fund that seeks exposure to the international markets. One fund seeks to deliver cost effective, high quality exposure to the international equity market tracking the ACWI ex US Index, and provide for liquidity.  The other funds seek to provide returns in excess of the MSCI Emerging Markets Index. These common/collective trust funds have redemption restrictions limited to daily, weekly or monthly settlement and participants may be subject to short-term trading fees related to certain transactions. The fair value of the investment in this category has been estimated using the net asset value per share.

3
These are equity commingled funds that invest primarily in publically traded non-U.S. securities. The fair value of the investments in this category has been estimate using the net asset value per share reported by the fund manager.  The funds are selected by AT&T, and AT&T determines the timing and amount of contributions/redemptions, redemptions occur at net asset value. These are open ended funds with no fund maturity dates.

 4
Average duration of U.S. government securities is approximately 3 years.



15

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



The following table sets forth by level, within the fair value hierarchy, the Group Trust’s assets at fair value as of December 31, 2010:

   
Group Trust Assets and Liabilities at Fair Value
   
December 31, 2010
   
Level 1
   
Level 2
   
Level 3
   
Total
Interest bearing cash
  $ 3,669     $ -     $ -     $ 3,669  
U.S. equity securities:
                               
   U.S. common stock:
                               
      Large cap
    910,941       -       -       910,941  
      Small cap
    467,595       -       -       467,595  
      Common stock – registered investment companies
    36,762       -       -       36,762  
   U.S. common stock – loaned
    (69 )     -       -       (69 )
   Common/collective trusts1
    -       815,433       -       815,433  
   Publicly traded partnerships
    3,676       -       -       3,676  
International equity securities:
                               
   Common stock
    271,343       -       -       271,343  
   Common stock – registered investment companies
    2,120       -       -       2,120  
   Common/collective trusts2
    -       218,702       -       218,702  
   Preferred stock
    4,237       -       -       4,237  
   103-12 investment entities3
    -       47,732       -       47,732  
Fixed income securities:
                               
   Blackrock mutual fund
    111,357       -       -       111,357  
   WAMCO mutual fund
    378,428       -       -       378,428  
   PIMCO total return mutual fund
    837,014       -       -       837,014  
Stable Value Fund:
                               
   Common stock – registered investment companies
    545       -       -       545  
   Guaranteed investment contracts
    -       27,223       -       27,223  
   Synthetic GICs:
                               
      Interest bearing cash
    -       36,594       -       36,594  
      Corporate preferred stock
    3,311       -       -       3,311  
      Corporate and other bonds and notes:
                               
         U.S. corporate bonds and notes
    -       1,417,533       -       1,417,533  
         International corporate bonds and notes
    -       612,459       -       612,459  
         Asset-backed securities
    -       619,982       -       619,982  
         Collateralized mortgage obligations
    -       80,829       -       80,829  
         Commercial mortgage-backed securities
    -       533,896       -       533,896  
      Short term investment funds - registered
         investment companies
    614,215       -       -       614,215  
      Futures
    81       -       -       81  
      Government securities:
                               
         U.S. government4
    53,911       3,325,640       -       3,379,551  
         Municipals
    59,528       -       -       59,528  
         Other
    1,035       -       -       1,035  
         Non U.S. government
    28,873       -       -       28,873  
      Wrapper contracts
    -       15,609       -       15,609  
Market value of securities on loan:
                               
   U.S. stock fund
    69       -       -       69  
Collateral received for securities loaned
    71       -       -       71  
Total assets and liabilities at fair value
  $ 3,788,712     $ 7,751,632     $ -     $ 11,540,344  


16

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



1
The objective of the common/collective trust funds held in the AT&T U.S. Stock Fund is to deliver high-quality, active exposure to the large-capitalization U.S. equity market with close tracking of the Russell 3000 Index, high-quality and cost-effective index-based solutions to institutional investors and to provide for liquidity. These common/collective trust funds have redemption restrictions limited to daily and monthly settlement. All of the common/collective trust funds are invested in either Large-cap or Mid-cap equities, with the majority being Large cap. The fair value of the investment in this category has been estimated using the net asset value per share.

2
The objective of the common/collective trust funds held in the AT&T International Stock Fund is to provide a diversified fund that seeks to provide returns in excess of the international markets as represented by the All Country World Index U.S. index. The five common/collective trust funds have redemption restrictions limited to daily, weekly or monthly. All but one of these funds are invested in developed countries (i.e., developed:  Europe, Japan, UK, Australia, etc.). The fair value of the investment in this category has been estimated using the net asset value per share.

3
This is an equity commingled fund that invests primarily in publically traded non-U.S. securities. The fair value of the investments in this category has been estimated using the net asset value per share reported by the fund manager. The fund is selected by AT&T, and AT&T determines the timing and amount of contributions/redemptions, redemptions occur at net asset value. This is an open ended fund with no fund maturity date.

4
Average duration of U.S. government securities is approximately 3 years.



17

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)



Derivative Financial Instruments
In the normal course of operations, Group Trust assets and liabilities held in the AT&T Stable Value Fund (Stable Value Fund) may include derivative financial instruments (futures and foreign currency forward contracts). These instruments involve, in varying degrees, elements of credit and market volatility risks in excess of more traditional investment holdings such as equity and debt instruments. The contract or notional amounts disclosed provide a measure of the Group Trust’s involvement in such instruments but are not indicative of potential loss. The intent is to use derivative financial instruments as an economic hedge to manage market volatility and foreign currency exchange rate risk associated with the Stable Value Fund’s investment assets. The Group Trust’s fiduciaries do not anticipate any material adverse effect on the Group Trust’s financial position resulting from its involvement in these instruments.

The following table presents the effect of gains (losses) with respect to these derivative instruments, by type of derivative. The gains (losses) are located on the Statement of Changes in Net Assets Available for Benefits as Net Income from Investment in AT&T Savings Group Investment Trust to the extent of the Plan’s ownership in the Group Trust.

 
 
Year Ended
 
 
December 31, 2011
Futures contracts
  $ 1,038  
Forward foreign currency exchange rate contracts
  $ (995 )

In addition to the derivative financial instruments held by the Group Trust, the Plan also holds derivative financial instruments as Plan investments in its own trust. The following table presents the effect of losses with respect to these derivative instruments, by type of derivative. The losses are located on the statements of changes in net assets available for benefits as net depreciation in fair value of investments.

 
 
Year Ended
 
 
December 31, 2011
Futures contracts
  $ (24 )

Futures Contracts
The primary risk managed by the Group Trust using futures contracts is the price risk associated with investments. On behalf of the Group Trust, investment managers enter into various futures contracts to economically hedge investments. These contracts, which are considered derivatives under Accounting Standards Codification Topic 815, Derivatives and Hedging are agreements between two parties to buy or sell a security or financial interest at a set price on a future date and are standardized and exchange-traded. Upon entering into such a contract on behalf of the Group Trust, the investment manager is required to pledge to the broker an amount of cash or securities equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Pursuant to the contract, the investment manager agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded on a daily basis by the trustee as a realized gain or loss equal to the difference in the value of the contract between daily closing prices. Upon entering into such contracts, the Group Trust bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the Group Trust may not achieve the anticipated benefits of the futures contracts and may realize a loss. With futures, there is minimal counterparty credit risk to the Group Trust since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. The investments in the Group Trust are subject to equity price risk and interest rate risk, in the normal course of pursuing its investment objectives. The U.S. interest rate futures held in the portfolio as of December 31, 2011 and 2010 were used primarily to hedge and manage the duration risk of the portfolio.

The fair value of the open futures contracts is separately disclosed in the detail of the Group Trust investments presented below and are included in the Statement of Net Assets Available for Benefits to the extent of the Plan’s ownership in the Group Trust.



18

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


At December 31, 2011, open futures contracts held in the Group Trust were as follows:

Type of Contract
 
Number of
Contracts
Buy/(Sell)
 
Expiration
   
Notional
Value
 
Fair Value
US Treasury Bond Future
    (255 )     3/2012     $ (36,927 )   $ (552 )
US Treasury Bond Future
    (15 )     3/2012       (2,172 )     (22 )
US Treasury Bond Future
    (10 )     3/2012       (1,448 )     (35 )
US 10-Year Treasury Note Future
    180       3/2012       23,603       317  
US 5-Year Treasury Note Future
    107       3/2012       13,189       8  
US 2-Year Treasury Note Future
    191       3/2012       42,124       25  
US 2-Year Treasury Note Future
    700       3/2012       154,383       98  
US Ultra Bond Future
    (132 )     3/2012       (21,145 )     (138 )
US Ultra Bond Future
    (18 )     3/2012       (2,883 )     (84 )
Total
                  $ 168,724     $ (383 )

At December 31, 2010, open futures contracts held in the Group Trust were as follows:

Type of Contract
 
Number of
Contracts
Buy/(Sell)
 
Expiration
   
Notional
Value
 
Fair Value
90-Day EuroDollar Future
    (405 )     3/2012     $ (100,288 )   $ (147 )
U.S. Treasury Bond Future
    (184 )     3/2011       (22,471 )     630  
U.S. 10-Year Treasury Notes Future
    (151 )     3/2011       (18,186 )     (61 )
U.S. 5-Year Treasury Notes Future
    283       3/2011       33,314       (5 )
U.S. 2-Year Treasury Notes Future
    170       3/2011       37,214       (19 )
U.S Ultra Bond Future
    (12 )     3/2011       (1,525 )     42  
U.S. Treasury Bond Future
    (45 )     3/2011       (5,496 )     129  
U.S. 10-Year Treasury Notes Future
    195       3/2011       23,485       (770 )
U.S. 2-Year Treasury Notes Future
    402       3/2011       88,000       (57 )
U.S Ultra Bond Future
    (160 )     3/2011       (20,335 )     339  
Total
                  $ 13,712     $ 81  

The fair value of the open futures contracts is presented below and is included in investments on the Plan’s Statement of Net Assets Available for Benefits.

At December 31, 2011, open futures contracts held by the Plan were as follows:

Type of Contract
 
Number of
Contracts
Buy/(Sell)
 
Expiration
   
Notional
Value
 
Fair
Value
S&P e-mini 500 Index Futures U.S.
    118       3/2012     $ 7,390     $ 29  
U.S. Treasury Bond Future
    (26 )     3/2012       (3,409 )     (31 )
Total
                  $ 3,981     $ (2 )



19

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


At December 31, 2010, open futures contracts held by the Plan were as follows:

Type of Contract
 
Number of
Contracts
Buy/(Sell)
 
Expiration
   
Notional
Value
 
Fair
Value
S&P e-mini 500 Index Futures U.S.
    103       3/2011     $ 6,453     $ 122
U.S. Treasury Bond Future
    (23 )     3/2011       (2,770 )     76
Total
                  $ 3,683     $ 198

The futures held in the Plan as of December 31, 2011 and 2010, were used primarily to maintain the target allocations of the portfolio.

Foreign Currency Contracts
The primary risks managed by the Group Trust using foreign currency forward contracts is the foreign currency exchange rate risk associated with the Group Trust’s investments denominated in foreign currencies. On behalf of the Group Trust, investment managers enter into forward foreign currency contracts, which are agreements to exchange foreign currencies at a specified future date at a specified rate, the terms of which are not standardized on an exchange. These contracts are intended to minimize the effect of currency fluctuations on the performance of investments denominated in foreign currencies. Although in some cases, forward foreign currency contracts are used to express a view on the direction of a particular currency, risk arises both from the possible inability of the counterparties to meet the terms of the contracts (credit risk) and from movement in foreign currency exchange rates (market risk). Foreign currency forward contracts are entered into with major banks to minimize credit risk, and accordingly, no credit reserve has been established against these amounts.

The contracts are recorded at fair value on the date the contract is entered into, which is typically zero. The fair value of the foreign currency contracts are disclosed in unsettled trades and other of the Group Trust, which is then allocated to the Plan and is included in Statement of Net Assets Available for Benefits to the extent of the Plan’s ownership in the Group Trust.

As of December 31, 2011 and 2010, the contracts held by the Group Trust were:

 
 
Notional Value
   
Fair Value
 
 
2011
   
2010
   
2011
   
2010
Derivative assets
  $ 14,504     $ 105,795     $ 7     $ 671
Derivative liabilities
  $ 14,504     $ 105,795     $ (68 )   $ 408

Fully Benefit-Responsive Investment Contracts
The Stable Value Fund consists of fully benefit-responsive investment contracts with various financial institutions and insurance companies which can be accounted for by the plan at contract value. Generally contract value represents contributions made under the contract, plus earnings, less participant withdrawals and administrative expenses.

The benefit-responsive investment contracts held by the Stable Value Fund as of December 31, 2011 include registered investment contracts, Traditional Guaranteed Investment Contracts (“Traditional GICs”) and Synthetic GICs. Synthetic GICs are constructed by combining a stable value insurance wrapper contract and a fixed income portfolio. The assets supporting the Synthetic GICs are owned by the Group Trust and generally consist of high quality fixed income securities. At December 31, 2011, the underlying net assets in the Stable Value Fund allocated to the Plan had a fair value of $823,622 and a contract value of $780,463. At December 31, 2010, the underlying net assets in the Stable Value Fund allocated to the Plan had a fair value of $804,574 and a contract value of $768,705. For the years ended December 31, 2011 and 2010, the average yield earned on these contracts was 1.50% and 2.41%, and the average yield earned by the Plan, adjusted to reflect actual interest rate credited to participants, was 2.95% and 3.60%. No valuation reserves were recorded to adjust contract amounts as of December 31, 2011 or 2010.



20

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


Traditional GICs (also known as “General Account GICs”) are issued by insurance companies and typically pay a guaranteed fixed or floating rate of interest over the life of the contract with a repayment of principal at maturity. A Synthetic GIC is similar to a Traditional GIC but has unbundled the insurance and investment components of the Traditional GIC.

Wrapper contracts are typically issued by a bank or insurance company, and seek to provide preservation of principal by permitting daily liquidity at contract value for participant directed transactions, in accordance with the provisions of the Plan. Wrapper contracts amortize the realized and unrealized gains and losses on the underlying fixed income investments through adjustments to the future interest crediting rate of the contract. Wrapper contracts typically contain contractual provisions that prevent the interest crediting rate from falling below zero. The fair value of the wrapper contracts for the Group Trust was $2,252 and $15,609 at December 31, 2011 and 2010.

Wrapper contracts’ interest crediting rates are typically reset on a monthly or quarterly basis and are based on the characteristics of the underlying fixed income securities. Other key factors that influence the interest crediting rates are market interest rates, the amount and timing of participant transactions into and out of the wrapper contract, investment returns on the underlying fixed income securities, the duration of those investments, and the default or credit failure of any of the securities. In some instances, the default or credit failure of a security could result in the reduction of contract value, and a loss of principal would be realized by the Stable Value Fund. Changes in market interest rates can affect the yield to maturity and the market value of the underlying investment, and can have a material impact on the wrapper contract’s interest crediting rate. Additionally, participant withdrawals and transfers from the Stable Value Fund are paid at contract value but funded through the market value liquidation of the underlying investments, which also impacts the interest crediting rate. The resulting gains and losses in the market value of the underlying investments relative to the wrapper contract value are represented on the Plan’s statement of net assets available for benefits as the “Adjustment from fair value to contract value for fully benefit-responsive investment contracts,” and the amount allocated to the Plan totaled $(43,159) at December 31, 2011 and $(35,869) at December 31, 2010. If this adjustment is positive, it indicates that the wrapper contract value is greater than the market value of the underlying investments and the embedded market value losses will be amortized in the future through a lower interest crediting rate. If the adjustment is negative, the embedded market gains would cause the future interest crediting rate to be higher.

In certain circumstances, the amount withdrawn from the wrapper contract could be payable at fair value rather than at contract value. These events include termination of the Plan, a material adverse change to the provisions of the Plan, if AT&T elects to withdraw from a wrapper contract in order to switch to a different investment provider or, in the event of a spin-off or sale of a division, if the terms of the successor plan do not meet the contract issuers’ underwriting criteria for issuance of a clone wrapper contract. Events that would permit a wrapper contract issuer to terminate a wrapper contract upon short notice include the Plan’s loss of qualified status, un-cured material breaches of responsibilities or material and adverse changes to the provisions of the Plan. The Company does not believe any of the events are probable of occurring in the foreseeable future.

Investment Risk
Investments held by the Group Trust and the Plan are exposed to various risks, such as interest rate, market and credit risks. Due to the level of risk associated with certain investments, it is at least reasonably possible that changes in the values of investments could occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the statements of net assets available for benefits. Participants’ accounts that are invested in the Company stock fund option are exposed to market risk in the event of a significant decline in the value of AT&T stock.

Additionally, the Group Trust invests in securities with contractual cash flows, such as asset backed securities, collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, delinquencies or defaults, or both, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates



21

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


NOTE 5. RELATED PARTY TRANSACTIONS

Plan assets are invested in AT&T stock either directly or through the Group Trust. Because the Company is the plan sponsor, transactions involving the Company’s stock qualify as party-in-interest transactions.  In addition, certain investments held by the Plan and Group Trust are managed by BNY Mellon and Fidelity as trustee and record keeper, respectively, as defined by various  agreements. Therefore, these transactions and fees paid to these entities qualify as parties-in-interest transactions.  All of these transactions are exempt from the prohibited transactions rules.

NOTE 6. TAX STATUS

The Plan has received a determination letter from the Internal Revenue Service (IRS) dated January 17, 2003, stating that the Plan is qualified under Section 401(a) of the Internal Revenue Code (IRC) and, therefore, the related trust is exempt from taxation.  Subsequent to this determination by the IRS, the Plan was amended and restated.  Once qualified, the Plan is required to operate in conformity with the IRC to maintain its qualification.  The plan administrator believes the Plan is being operated in compliance with the applicable requirements of the IRC and, therefore, believes that the Plan, as amended, is qualified and the related trust is tax exempt.  In addition, the Plan was filed with the IRS for a favorable determination letter on February 2, 2009 pursuant to, and as part of, the IRS determination letter filing program (Cycle C).

Accounting principles generally accepted in the United States require Plan management to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination by the IRS. The Plan administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2011, there were no uncertain positions taken or expected to be taken. The Plan has recognized no interest or penalties related to uncertain tax positions. 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 2008.

NOTE 7. RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500

The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31:

 
 
2011
 
2010
Net Assets Available for Benefits per the financial statements
  $ 2,197,734     $ 2,297,363  
Adjustment from contract value to fair value for fully benefit-responsive
   investment contracts
    43,159       35,869  
Distributions payable to participants
    (411 )     (319 )
Net Assets Available for Benefits per the Form 5500
  $ 2,240,482     $ 2,332,913  

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

Distributions to participants per the financial statements
  $ 271,813  
Distributions payable to participants at December 31, 2010
    (319 )
Distributions payable to participants at December 31, 2011
    411  
Distributions to participants per the Form 5500
  $ 271,905  

Distributions payable to participants are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, but not yet paid as of that date.



22

 
 

 
Notes to Financial Statements (Continued)
(Dollars in Thousands)


The following is a reconciliation of total additions per the financial statements to total income per the Form 5500 for the year ended December 31, 2011:

Total additions per the financial statements
  $ 176,620  
Adjustment from contract value to fair value for fully benefit-responsive investment
   contracts at December 31, 2011
    43,159  
Adjustment from contract value to fair value for fully benefit-responsive investment
   contracts at December 31, 2010
    (35,869 )
Total income  per the Form 5500
  $ 183,910  
 
       
Fully benefit-responsive contracts are recorded on the Form 5500 at fair value versus contract value on the financial
statements.
 

NOTE 8. SUBSEQUENT EVENTS

In June 2012, as a result of the sale of AT&T's Advertising Solutions and Interactive businesses, approximately $10,643 of participant accounts and balances were transferred from the Plan to a successor plan sponsored by the acquirer.



23

 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value
 
Large Cap U.S. Stock Index Fund
 
 
 
 
 
NORTHERN TRUST S&P 500 INDEX
   STOCK FUND
COMMON/COLLECTIVE TRUST FUND:
   20,812 UNITS
  $ 78,978  
 
 
 
       
Balanced Fund
 
 
       
DREYFUS GOVERNMENT CASH
   MANAGEMENT FUND
REGISTERED INVESTMENT COMPANY:
   3,324,445 UNITS
    3,324  
US TREASURY BILL
03/08/2012 DD  03/10/2011
    750  
US TREASURY BILL
03/22/2012 DD  09/22/2011
    200  
FUTURES CONTRACT
S&P 500 E-MINI INDEX FUTURE
   EXP MAR 12
    29  
FUTURES CONTRACT
US 10YR NOTE FUTURE
   EXP MAR 12
    (31 )
NORTHERN TRUST S&P 500 INDEX
   STOCK FUND
COMMON/COLLECTIVE TRUST FUND:
   5,491 UNITS
    20,839  
NORTHERN TRUST QM AGGREGATE
   BOND INDEX FUND
COMMON/COLLECTIVE TRUST FUND:
   28,851 UNITS
    13,378  
Total Balanced Fund
 
    38,489  
 
 
 
       
Registered Investment Company
 
 
       
FIDELITY GROWTH AND INCOME
   PORTFOLIO
REGISTERED INVESTMENT COMPANY:
   2,372,216 UNITS
    43,222  
VANGUARD GROWTH INDEX
   FUND
REGISTERED INVESTMENT COMPANY:
   2,206,677 UNITS
    70,150  
U.S. LARGE CAP VALUE
   PORTFOLIO II
REGISTERED INVESTMENT COMPANY:
   9,971,731 UNITS
    90,743  
DFA U.S. SMALL CAP VALUE
   PORTFOLIO
REGISTERED INVESTMENT COMPANY:
   4,998,386 UNITS
    115,763  
DFA INTERNATIONAL VALUE
   PORTFOLIO II
REGISTERED INVESTMENT COMPANY:
   16,636,237 UNITS
    81,185  
T ROWE PRICE MID-CAP GROWTH
   FUND
REGISTERED INVESTMENT COMPANY:
   6,462,106 UNITS
    173,766  
Total Registered Investment Companies
 
    574,829  
             
             
             
             
             
             
 
 

 


24
 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value
 
 
LifePath Funds
 
 
 
 
 
LIFEPATH RETIREMENT FUND
COMMON/COLLECTIVE TRUST FUND:
   936,226 UNITS
    12,892  
LIFEPATH 2020 FUND
COMMON/COLLECTIVE TRUST FUND:
   1,207,087 UNITS
    15,801  
LIFEPATH 2030 FUND
COMMON/COLLECTIVE TRUST FUND:
   1,002,296 UNITS
    12,649  
LIFEPATH 2040 FUND
COMMON/COLLECTIVE TRUST FUND:
   578,047 UNITS
    7,035  
LIFEPATH 2050 FUND
COMMON/COLLECTIVE TRUST FUND:
   130,828 UNITS
    1,157  
Total LifePath Age-Based Retirement Funds
 
    49,534  
 
 
 
       
AT&T Stock Fund
 
 
       
AT&T COMMON STOCK *
16,804,941 SHARES
    508,182  
DREYFUS GOVERNMENT CASH
   MANAGEMENT FUND
REGISTERED INVESTMENT COMPANY:
   728,110 UNITS
    728  
Total AT&T Stock Fund
 
    508,910  
 
 
 
       
Bond Fund
 
 
       
DREYFUS GOVERNMENT CASH
   MANAGEMENT FUND
VAR RT 12/31/2075 DD 06/03/97
    993  
MORGAN ST REV REPO
0.070% 01/03/2012 DD 12/29/11
    3,500  
SLH PROXY LONG EXPOSURE
FNMA TBA 10/14/2008
    8  
AT&T INC GLOBAL NT *
4.950% 01/15/2013 DD 12/06/07
    313  
COMMIT TO PUR FNMA SF MTG
3.500% 01/01/2042 DD 01/01/12
    32,909  
COMMIT TO PUR FNMA SF MTG
4.000% 12/01/2041 DD 12/01/11
    2,627  
COMMIT TO PUR FNMA SF MTG
4.000% 01/01/2042 DD 01/01/12
    1,050  
COMMIT TO PUR FNMA SF MTG
4.5000% 01/01/2027 DD 01/01/12
    1,066  
ALLSTATE LIFE GLOBAL FDG SECD
5.375% 04/30/2013 DD 04/30/08
    106  
AMERICAN EXPRESS CR CORP MTN
5.875% 05/02/2013 DD 06/02/08
    105  
AMERICAN EXPRESS BANK FSB
VAR RT 06/12/2017 DD 06/12/07
    909  
AMERICAN  INTL GRP I
5.850% 01/16/2018 DD 12/12/07
    587  
AMERICAN  INTL GRP I
6.250% 05/01/2036 DD 04/20/06
    448  
AMERICAN  INTL GRP I
VAR RT 05/15/2068 DD 05/15/09
    356  
AMERICAN MUN PWR-OHIO INC
6.449% 02/15/2044 DD 12/09/09
    1,163  
AMGEN INC SR NT
6.150% 06/01/2018 DD 05/23/08
    698  
ANHEUSER-BUSCH INBEV
   WORLDWIDE
VAR RT 01/27/2014 DD 01/27/11
    1,002  
BANK OF AMERICA CORP
VAR RT 10/14/2016 DD 10/26/06
    786  
BANK AMER FDG CORP 05-D CL A-1
VAR RT 05/25/2035 DD 06/01/05
    174  
BANK OF AMERICA CORP
5.650% 05/01/2018 DD 05/02/08
    191  
BANK OF AMERICA CORP
6.500% 08/01/2016 DD 07/28/09
    604  
BAY AREA TOLL AUTH CALIF TOLL
6.263% 04/01/2049 DD 11/05/09
    1,306  



25

 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value
 
 
BEAR STEARNS ARM TR 02-11 IA2
VAR RT 01/25/2033 DD 12/01/02
    11  
 
BEAR STEARNS 2005-12 I-3-A-1
VAR RT 02/25/2036 DD 12/01/05
    76  
 
BEAR STEARNS COS LLC
VAR RT 11/21/2016 DD 11/21/06
    896  
 
BUCKEYE OHIO TOB SETTLEMENT
5.875% 06/01/2030 DD 10/29/07
    149  
 
CALIFORNIA ST
7.550% 04/01/2039 DD 04/28/09
    1,224  
 
CARRINGTON MTG 06-NC5 CL A1
VAR RT 01/25/2037 DD 12/19/06
    89  
 
CHICAGO ILL TRANSIT AUTH TRANS
6.899% 12/01/2040 DD 08/06/08
    117  
 
CHICAGO ILL TRANSIT AUTH TRANS
6.899% 12/01/2040 DD 08/06/08
    117  
 
CITIGROUP INC GLOBAL NT
5.850% 12/11/2034 DD 12/09/04
    986  
 
CITIGROUP INC GLOBAL SR NT
5.500% 04/11/2013 DD 04/11/08
    306  
 
CITIGROUP INC
8.500% 05/22/2019 DD 05/22/09
    235  
 
CONNECTICUT ST
5.850% 03/15/2032 DD 04/30/08
    368  
 
FIRST NATIONWIDE TRUST 3 1A1
6.750% 08/21/2031 DD 07/01/01
    3  
 
CSMC 2006-C4 A3
5.467% 09/15/2039 DD 09/01/06
    106  
 
EL PASO CORP
8.050% 10/15/2030 DD 10/11/00
    583  
 
ENTERGY CORP
3.625% 09/15/2015 DD 09/16/10
    203  
 
FHLMC  POOL #E8-2712
6.000% 03/01/2016 DD 03/01/01
    7  
 
FHLMC   POOL #E8-2732
6.000% 03/01/2016 DD 03/01/01
    7  
 
FHLMC   POOL #E8-2776
6.000% 03/01/2016 DD 03/01/01
    7  
 
FHLMC   POOL #E8-4467
6.000% 07/01/2016 DD 07/01/01
    7  
 
FHLMC   POOL #E8-4717
6.000% 07/01/2016 DD 07/01/01
    6  
 
FHLMC  POOL #E0-0975
6.000% 05/01/2016 DD 05/01/01
    9  
 
FNMA GTD REMIC P/T 11-127 FA
VAR RT 12/25/2041 DD 11/25/11
    98  
 
FEDERAL HOME LOAN MTG CORP
4.875% 06/13/2018 DD 06/13/08
    482  
 
FNMA POOL #0259990
5.500% 04/01/2034 DD 04/01/04
    10  
 
FNMA POOL #0AI1605
4.000% 10/01/2041 DD 10/01/11
    4,073  
 
FNMA POOL #0AI7920
4.000% 08/01/2041 DD 07/01/11
    391  
 
FNMA POOL #0AJ0784
4.000% 09/01/2041 DD 09/01/11
    5,258  
 
FNMA POOL #0AH1602
4.000% 10/01/2041 DD 10/01/10
    108  
 
FNMA POOL #0AH7585
4.000% 03/01/2041 DD 03/01/11
    582  
 
FNMA GTD REMIC MTG 03-W1 1A1
6.500% 12/25/2042 DD 01/01/03
    76  
 
FNMA GTD REMIC P/T
5.000% 04/25/2033 DD 03/01/03
    424  
 
FNMA POOL #0725425
5.500% 04/01/2034 DD 04/01/04
    1,358  
 
FNMA POOL #0735227
5.500% 02/01/2035 DD 01/01/05
    4  
 
FNMA POOL #0735288
5.000% 03/10/2035 DD 02/01/05
    511  
 
FNMA POOL #0735896
6.000% 09/01/2035 DD 09/01/05
    7  
 
FNMA POOL #0888222
6.000% 02/01/2037 DD 02/01/07
    197  
 
FNMA POOL #0890220
5.500% 12/01/2039 DD 04/01/10
    676  
 
FNMA POOL #0902355
6.000% 11/01/2036 DD 10/01/06
    346  
 
FNMA POOL #0908728
6.000% 01/01/2037 DD 01/01/07
    23  
 
FNMA POOL #0915042
5.500% 04/01/2022 DD 04/01/07
    8  
 
FNMA POOL #0916965
6.000% 06/01/2037 DD 06/01/07
    15  
 
FNMA POOL #0920654
6.000% 04/01/2037 DD 04/01/07
    151  
 
FNMA POOL #0931196
4.500% 05/01/2024 DD 05/01/09
    14  



26

 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value
 
 
FNMA POOL #0931412
4.500% 06/01/2024 DD 06/01/09
    707  
 
FNMA POOL #0941387
6.000% 06/01/2037 DD 06/01/07
    241  
 
FNMA POOL #0941440
6.000% 07/01/2037 DD 07/01/07
    35  
 
FNMA POOL #0941499
6.000% 06/01/2037 DD 06/01/07
    47  
 
FNMA POOL #0943621
6.000% 08/01/2037 DD 08/01/07
    164  
 
FNMA POOL #0949038
6.000% 09/01/2037 DD 09/01/07
    81  
 
FNMA POOL #0952421
6.000% 09/01/2037 DD 09/01/07
    255  
 
FNMA POOL #0952455
6.000% 09/01/2037 DD 09/01/07
    69  
 
FNMA POOL #0966545
6.000% 10/01/2037 DD 12/01/07
    100  
 
FNMA POOL #0969479
4.500% 01/01/2023 DD 01/01/08
    366  
 
FNMA POOL #0983284
5.500% 05/01/2038 DD 05/01/08
    679  
 
FNMA POOL #0990523
6.000% 09/01/2038 DD 09/01/08
    881  
 
FNMA POOL #0995708
4.500% 04/01/2024 DD 04/01/09
    22  
 
FNMA POOL #0AB3416
4.000% 08/01/2041 DD 07/01/11
    45  
 
FNMA POOL #0AC2776
4.000% 09/01/2039 DD 09/01/09
    7,293  
 
FNMA POOL #0MA0730
4.500% 04/01/2021 DD 03/01/11
    865  
 
FNMA POOL #0AE0216
4.000% 08/01/2040 DD 07/01/10
    1,051  
 
FNMA POOL #0AE0385
4.000% 09/01/2040 DD 09/01/10
    2,102  
 
FNMA POOL #0AE1610
4.000% 10/01/2040 DD 09/01/10
    125  
 
FNMA POOL #0AE6921
4.000% 11/01/2040 DD 11/01/10
    2,025  
 
FNMA POOL #0AE7314
4.000% 11/01/2040 DD 11/01/10
    888  
 
FNMA POOL #0AE9706
4.000% 12/01/2040 DD 11/01/10
    645  
 
GSR MORTGAGE LOAN TRUST AR6 1A1
VAR RT  09/25/2035 DD09/01/05
    421  
 
GENERAL ELECTRIC CAPITAL CORP
5.875% 01/14/2038 DD 01/14/08
    742  
 
GOLDMAN SACHS GROUP INC/THE
VAR RT 03/22/2016 DD 03/22/06
    863  
 
HSBC FINANCE CORP
VAR RT  06/01/2016 DD 05/30/06
    837  
 
HSBC FINANCE CORP
VAR RT 01/15/2014 DD 11/21/06
    921  
 
ILLINOIS ST
4.071% 01/01/2014 DD 01/15/10
    103  
 
ILLINOIS ST
4.790% 04/01/2016 DD 04/26/10
    939  
 
JP MORGAN CHASE & CO
VAR RT 09/30/2013 DD 09/30/10
    990  
 
JP MORGAN CHASE & CO
6.625% 03/15/2012 DD 03/13/02
    1,616  
 
JP MORGAN CHASE COMMER CB7 A4
VAR RT  01/12/2038 DD 12/01/03
    201  
 
JP MORGAN CHASE COMMER LDP9 A3
5.336% 05/15/2047 DD 12/01/06
    636  
 
JP MORGAN CHASE COMMER LDPX A3
5.420% 01/15/2049 DD 03/01/07
    541  
 
KINDER MORGAN ENERGY PARTNERS
5.950% 02/15/2018 DD 02/12/08
    1,599  
 
LEHMAN BROS MTN TR #00609
VAR RT  01/23/2009 DD 01/25/06
    485  
 
LOS ANGELES CALIF UNI SCH DIST
5.750% 07/01/2034 DD 10/15/09
    1,105  
 
ML CFC COML MTG 06-4 CL A3
VAR RT  12/12/2049 DD 12/01/06
    215  
 
METROPOLITAN TRANS AUTH N Y
6.668% 11/15/2039 DD 01/13/10
    1,227  
 
MORGAN STANLEY ABS CAP HE6 A2C
VAR RT 11/25/2035 DD 11/29/05
    326  
 
MORGAN STANLEY
5.950% 12/28/2017 DD 12/28/07
    381  
 
MORGAN STANLEY
VAR RT 10/15/2015 DD 10/21/05
    841  
 
MORGAN STANLEY
VAR RT 05/14/2013 DD 05/14/10
    960  
 
NEW JERSEY ST TRANSN TR FD
6.561% 12/15/2040 DD 01/14/10
    1,268  
 
NISOURCE FINANCE CORP
6.125% 03/01/2022 DD 12/04/09
    115  
 


27

 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value

 
PHILIP MORRIS INTL INC NT
6.375% 05/16/2038 DD 05/16/08
    130  
 
PRIME MTG TR 04-CL1 1A2
VAR RT  02/25/2034 DD 01/25/04
    42  
 
PRIME MTG TR 04-CL1 2A2
VAR RT  02/25/2019 DD 01/25/04
    3  
 
PRINCIPAL LIFE INCOME FUNDINGS
5.300% 04/24/2013 DD 04/24/08
    105  
 
PRUDENTIAL FINANCIAL INC
6.625% 12/01/2037 DD 12/03/07
    110  
 
PUBLIC PWR GENERATION AGY NEB
7.242% 01/01/2041 DD 07/16/09
    115  
 
SLM STUDENT LN TR 7 CL A2
VAR RT  07/25/2017 DD 02/22/07
    530  
 
SLM STUDENT LN TR 9 CL A
VAR RT  04/25/2023 DD 08/28/08
    617  
 
SAN DIEGO CNTY CALIF WTR AUTH
6.138% 05/01/2049 DD 02/04/10
    1,258  
 
SBA GTD PARTN CTFS 2003-20C 1
4.500% 03/01/2023 DD 03/12/03
    3,789  
 
SBA GTD PARTN CTFS 2005-20B 1
4.625% 02/01/2025 DD 02/16/05
    1,953  
 
SBA GTD PARTN CTFS 2008-20D 1
5.370% 04/01/2028 DD 04/16/08
    1,276  
 
SBA GTD PARTN CTFS 2008-20E 1
5.490% 05/01/2028 DD 05/14/08
    1,301  
 
SBA GTD PARTN CTFS 2008-20F 1
5.680% 06/01/2028 DD 06/11/08
    591  
 
SBA GTD PARTN CTFS 2009-20A 1
5.720% 01/01/2029 DD 01/14/09
    171  
 
SBA GTD PARTN CTFS 2008-10A 1
5.471% 03/10/2018 DD 03/26/08
    421  
 
STATE STR CAP TR III
VAR RT  12/29/2049 DD 01/25/08
    98  
 
STRUCTURED ASSET SECURITY WF1 A2
VAR RT  02/25/2037 DD 03/25/07
    82  
 
STRUCTURED ASSET SECURITY 21A
   1A1
VAR RT  01/25/2032 DD 12/01/01
    4  
 
STRUCTURED ASSET SECURITY 1A 4A
VAR RT  02/25/2032 DD 01/01/02
    5  
 
TARGET CORP NT
7.000% 01/15/2038 DD 01/17/08
    559  
 
THORNBURG MTG SECUR 1 I1A
VAR RT  03/25/2044 DD 03/31/04
    822  
 
TIME WARNER INC NEW NT
5.875% 11/15/2016 DD 11/13/06
    807  
 
US TREAS-CPI INFLATION INDEX
2.000% 01/15/2026 DD 01/15/06
    561  
 
US TREAS-CPI INFLATION INDEX
2.375% 01/15/2027 DD 01/15/07
    870  
 
US TREAS-CPI INFLATION INDEX
2.125% 02/15/2040 DD 02/15/10
    1,687  
 
US TREASURY NOTE
3.125% 05/15/2021 DD 05/15/11
    670  
 
US TREASURY NOTE
2.125% 08/15/2021 DD 08/15/11
    3,896  
 
US TREASURY NOTE
2.000% 11/15/2021 DD 11/15/11
    2,630  
 
US TREASURY NOTE
0.875% 12/31/2016 DD 12/31/2011
    902  
 
US TREASURY NOTE
1.375% 12/31/2018 DD 12/31/11
    10,318  
 
UNITEDHEALTH GROUP INC SR NT
4.875% 02/15/2013 DD 02/07/08
    312  
 
UNIVERSITY CALIF REGTS MED CTR
6.583% 05/15/2049 DD 12/17/09
    1,202  
 
UNIVERSITY CALIF REVS
6.270% 05/15/2031 DD 08/27/09
    330  
 
UNIVERSITY CALIF REVS
5.770% 05/15/2043 DD 08/27/09
    1,133  
 
USB CAP IX NORMAL INCOME TR
VAR RT  04/15/2049 DD 03/17/06
    70  
 
VIRGINIA ELEC & PWR CO SR NT
5.400% 04/30/2018 DD 04/17/08
    358  
 
WAMU MORTGAGE PASS TH AR1 2A1A
VAR RT 01/25/2046 DD 01/01/06
    6,227  
 
WACHOVIA CORP
5.625% 10/15/2016 DD 10/23/06
    327  
 
WACHOVIA CORP
VAR RT 06/15/2017 DD 06/08/07
    902  
 
WAL MART STORES INC NT
5.250% 09/01/2035 DD 08/31/05
    598  
 
WELLS FARGO CAP X GTD CAP SECS
5.950% 12/15/2086 DD 12/05/06
    401  
 
TBA CASH COLL BCY
VAR RT 01/01/2049 DD 07/01/08
    (350 )



28

 
 

 
BELLSOUTH SAVINGS AND SECURITY PLAN
 
EIN 58-1533433, PLAN NO. 004
SCHEDULE H, LINE 4(i) - SCHEDULE OF ASSETS (HELD AT END OF YEAR)
December 31, 2011
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
Identity of Issue
 
Description of Investment
 
 
 
Current Value
 
               
 
COMMIT TO PUR FNMA SF MTG
 
4.000% 01/01/2042 DD 01/01/12
      (27,312 )
 
COMMIT TO PUR FNMA SF MTG
 
5.500% 01/01/2042 DD 01/01/12
      (2,178 )
 
COMMIT TO PUR FNMA SF MTG
 
4.000% 01/01/2042 DD 01/01/12
      (2,202 )
 
Total Bond Fund
 
 
      123,384  
 
 
 
 
         
Interest Bearing Cash
 
 
         
 
DREYFUS GOVERNMENT CASH
   MANAGEMENT FUND
 
VAR RT 12/31/2075 DD 06/03/97
      2,751  
 
 
 
 
         
Loans to Plan Participants *
  4.25% - 10.50%       56,007  
 
 
             
 
Total
        $ 1,432,882  
 
 
             
*
Party-in-Interest
             
 
 
 
 
 
 
 
 
 
 
 
 

29 
 

 

 
SIGNATURE


Pursuant to the requirements of the Securities Exchange Act of 1934, the trustee (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed by the undersigned thereunto duly authorized.


 
BellSouth Savings and Security Plan
   
 
By AT&T Services, Inc.,
Plan Administrator for the Foregoing Plan





By
 /s/ Paul W. Stephens
 
Paul W. Stephens
 
Senior Vice President and Controller




Date: June 22 , 2012
 
 
 


30

 
 

 

EXHIBIT INDEX

 
Exhibit identified below, Exhibit 23 is filed herein as an exhibit hereto.

Exhibit
Number                 

23  
Consent of Independent Registered Public Accounting Firm
 
 
 
 
 
31