2009 Annual Report. Illinois State Board of Investment

              2009
ANNUAL
REPORT
ILLINOIS
STATE
BOARD
OF
INVESTMENT
1
ILLINOIS STATE BOARD OF INVESTMENT
TABLE OF CONTENTS
Printed on contract by authority of the State of Illinois, January 27, 2010.
(300 copies at $21.57 each)
INTRODUCTION
Board Members
2
Letter to Trustees
3
Financial Highlights
8
Ten Year Summary
9
FINANCIAL STATEMENTS
Independent Auditors’ Report
11
Management’s Discussion and Analysis
12
Statement of Net Assets
14
Statement of Changes in Net Assets
15
Notes to Financial Statements
16
SUPPLEMENTAL FINANCIAL INFORMATION
Portfolio of Investments
28
Portfolio Data
98
Investment Transactions with Brokers and Dealers
100
Restricted Investments
102
Staff and Investment Managers
104
2
ILLINOIS STATE BOARD OF INVESTMENT
BOARD MEMBERS
EXECUTIVE COMMITTEE
Ronald E. Powell
Chairman
John Casey
Vice Chairman
Thomas E. Hoffman
Recording Secretary
Fred Montgomery
Member at Large
AUDIT & COMPLIANCE
COMMITTEE
Michele Bush
Chairman
James Clayborne, Jr.
Thomas E. Hoffman
Daniel Hynes
Fred Montgomery
INVESTMENT POLICY
COMMITTEE
Ronald E. Powell
Chairman
Michele Bush
Alexi Giannoulias
Thomas E. Hoffman
Heather D. Parish
EMERGING MANAGER
COMMITTEE
James Clayborne, Jr.
Chairman
John Casey
Alexi Giannoulias
Daniel Hynes
Heather D. Parish
James Clayborne, Jr. Alexi Giannoulias
Fred Montgomery
Michele Bush John Casey
Heather D. Parish
Thomas E. Hoffman Daniel Hynes
CHAIRMAN
Ronald E. Powell
Appointed Member
VICE CHAIRMAN
John Casey
Appointed Member
RECORDING SECRETARY
Justice Thomas E. Hoffman
Chairman, Board of Trustees
Judges’ Retirement System of
Illinois
Michele Bush
Appointed Member
Senator James Clayborne, Jr.
Chairman, Board of Trustees
General Assembly Retirement
System
Alexi Giannoulias
Treasurer, State of Illinois
Daniel Hynes
Chairman, Board of Trustees
State Employees’ Retirement
System
Fred Montgomery
Appointed Member
Heather D. Parish
Appointed Member
Ronald E. Powell
3
ILLINOIS STATE BOARD OF INVESTMENT
LETTER TO TRUSTEES
The Illinois State Board of Investment (ISBI or Board) has
fiduciary responsibility for the pension assets of the General
Assembly Retirement System, the Judges’ Retirement System
of Illinois and the State Employees’ Retirement System of
Illinois. The fair value of those assets totaled $8.7 billion at
fiscal year ended June 30, 2009. For the same period ending
June 30, 2008, net assets totaled $11.3 billion. The year ending
June 30, 2009 saw a continuation, in fact an exacerbation of
the troubled environment for investors experienced through
the previous fiscal year. While ISBI’s portfolio construction
provided some protection in this very difficult period, its asset
allocation, driven by an 8.5% actuarial assumption, made it
very difficult to dampen the losses experienced across the
marketplace.
Investment Policy
As discussed in the previous Annual Report, ISBI made
adjustments to its asset allocation in FY 2008. Implementation
of those changes was finalized early in FY 2009.
ISBI did not make new changes in FY 2009; rather difficulty
was experienced early this fiscal year, Quarter One and
Quarter Two, in complying with the existing asset allocation
policy. Under that policy, ISBI seeks to rebalance the portfolio
on a regular basis to remain consistent with the asset
allocation model. However, through the above-referenced time
period, asset values declined precipitously and liquidity, both
systemically and within the ISBI portfolio, declined. Thus, it
was with great difficulty that the staff was able to rebalance
the portfolio in such away as to remain true to the asset
allocation model.
Further complicating these challenges was a dearth of
liquidity within the securities lending program utilized by ISBI
at State Street Bank and Trust. Within the cash collateral pool
at State Street Quality Fund D, liquidity was constrained as a
result of Quality Fund D’s exposure to asset backed securities
(ABS). While to date none of those securities have defaulted,
liquidity left the marketplace, so too the demand for such
securities. As a result, the fund manager was forced to hold
The General Assembly Retirement System
The Judges’ Retirement System of Illinois
The State Employees’ Retirement System of Illinois
Fair Actual Policy
Value Asset Mix Target
($ in Millions) % %
U.S. equity 2,610,505,162 30 30
U.S. equity hedge funds 880,939,190 10 10
International equity 1,482,642,287 17 20
Commingled Funds 335,484,184 4 0
Fixed income1 1,366,303,740 16 18
Bank loans 197,259,098 2 2
Real estate 875,929,700 10 10
Private equity2 450,491,810 5 5
Infrastructure2 305,969,947 3 5
Cash3 229,531,945 3 0
Total 8,735,057,063 100 100
1Maturities of one year or longer, including convertible bonds.
2Interests in limited partnerships and other entities which have limited liquidity.
3Includes money market instruments and other assets, less liabilities.
4Holdings include fixed income and equity investments.
Figure 1
Net Asset Allocation June 30, 2009
4
ILLINOIS STATE BOARD OF INVESTMENT
Cash 3%
Real Estate 10%
Infrastructure 3%
ABS to maturity, thus limiting the liquidity of the fund. However,
even as liquidity in the pool was constrained, revenue to the
ISBI portfolio through the securities lending program was at
an all time high. For FY 2009 ISBI’s securities lending revenue
was $17,578,263.
Despite the increased revenue generated by ISBI’s securities
lending program, the Board remains concerned about the risk
associated with the continued utilization of Quality Fund D. In
September of 2008 the Board directed State Street Bank and
Trust to transfer ISBI’s exposure away from Quality Fund D to
the Navigator Fund, a regulated money market fund.
Unfortunately, as of fiscal year end 2009, State Street has
declined to make that transfer citing continued liquidity
constraints within Quality Fund D. It is anticipated that such
changes will be made in FY 2010.
Beyond the challenges presented in the securities lending
program, the Board also addressed issues within its fixed
income portfolio. A sizable portion of that portfolio was
managed by Western Asset Management (Western) in a Core
Plus mandate. Consistent with that mandate, Western was
markedly exposed to investment grade mortgage backed
securities. Further, in August of 2008, ISBI was advised that
Western was buying for ISBI’s portfolio the bonds of financial
services companies. Both of these actions ultimately were
deleterious to the portfolio and caused the Board to lose its
confidence in Western. As a result, ISBI terminated its
relationship with the firm and transferred those assets to an
existing manager, Chicago Equity Partners. In so doing it
changed the mandate away from Core Plus to a more
conservative Core mandate. Further, the Board added a short
bond allocation to reduce risk and increase liquidity.
Investment Results
In fiscal year 2009, investors suffered from double digit
declines in U.S. equity, international equity, private equity and
real estate as measured by market indices. Fixed income, as
measured by Barclay’s Universal Index had a positive return.
The ISBI total fund was down 20.1% for fiscal year 2009, net of
expenses. This follows a negative return of 6.2% for fiscal year
2008, and positive returns of 17.1%, 11.0% and 10.1% for 2007,
2006 and 2005, respectively.
The Board continues to be concerned by some under-performance
by specific managers, but most of the current
managers have exceeded their individual benchmarks since
inception. Figure 2 shows results over the three, five and ten
year time periods.
U.S. Equities
For the twelve months ended June 30, 2009, the Russell 3000
Index, a broad representation of the U.S. market was down
26.6%. Growth stocks exceeded value stocks; with the Russell
3000 Growth Index down 24.5%, compared to the Russell 3000
Value Index down 28.7%. Small capitalization stocks
outperformed large capitalization stocks; with the S&P 500
declining 26.2% compared to a 25.0% decline for the Russell
2000. ISBI’s U.S. equity portfolio was down 22.0% for fiscal
year 2009, 4.6% above the Russell 3000.
Figure 2 shows ISBI’s U.S. stock portfolio performance for
three, five and ten year time periods. The Board, through
structure analysis, rebalancing and risk management,
continues tracking the market with predictable consistency to
achieve its objective.
U.S. Equity 30%
Fixed Income 16%
Commingled Funds 4%
Bank Loans 2%
U.S. Equity Hedge Funds 10%
Private Equity 5%
International Equity 17%
5
ILLINOIS STATE BOARD OF INVESTMENT
(Annualized)
2009 2008 2007 2006 2005 3 Yrs. 5 Yrs. 10 Yrs.
% % % % % % % %
Total Fund (20.1) (6.2) 17.1 11.0 10.1 (4.3) 1.4 1.9
Composite Benchmark* (17.0) (4.6) 16.4 11.5 10.9 (2.7) 2.7 2.7
Consumer Price Index (1.4) 5.0 2.7 4.2 2.5 2.1 2.6 2.6
U.S. Equities (22.0) (11.6) 19.9 10.7 9.3 (6.2) 0.0 0.2
Russell 3000 Index (26.6) (12.5) 20.1 9.6 8.1 (8.4) (1.8) (1.5)
International Equities (29.1) (10.3) 28.8 28.9 14.8 (6.4) 3.9 2.4
MSCI-EAFE Index (31.0) (10.2) 27.5 27.1 14.1 7.5 2.8 1.6
Fixed Income (2.4) 5.3 6.9 0.8 6.9 3.3 3.5 4.5
Barclay’s Capital U.S.
Universal Index 4.9 6.2 6.6 (0.3) 7.4 5.9 5.0 6.0
Real Estate (31.7) 2.6 15.3 19.5 14.8 (6.9) 2.1 4.4
NCRIEF Real Estate Index (19.6) 9.2 17.2 18.7 15.6 1.0 7.6 8.5
Private Equity (18.8) (4.9) 31.7 21.3 29.6 0.6 9.9 7.3
* Composite Benchmark:
Effective 11/08: 30% Russell 3000; 20% MSCI-EAFE; 25% Barclays U.S. Capital Universal; 10% NCRIEF;
5% Venture Economic all Private Equity Index; 10% HFR Equity Hedged Index.
Effective 04/08: 30% Russell 3000; 20% MSCI-EAFE; 25% Lehman Universal; 10% NCRIEF;
5% Venture Economic all Private Equity Index; 10% HFR Equity Hedged Index.
Effective 12/03: 45% Wilshire 5000; 10% MSCI-EAFE; 25% Lehman Universal; 10% NCRIEF;
5% Venture Economic all Private Equity Index; 5% HFR Equity Hedged Index.
Effective 4/02: 46% Russell 3000; 15% MS-AC Free ex US; 23% Lehman Universal;
8% NCRIEF; 8% Russell 2000 + 3.0%.
Prior to 4/02: 43% Russell 3000; 20% MS-AC Free ex US; 22% Lehman Aggregate;
7% NCRIEF; 8% absolute return of 12%.
Figure 2
Investment Returns June 30, 2009
International Equities
The Morgan Stanley EAFE Index returned negative 31.0% for
the fiscal year ended June 30, 2009, or 4.4% below the U.S.
return. ISBI’s International equity portfolio was down 29.1%,
1.9% above the EAFE Index. As with the U.S. equity portfolio,
the Board has the twin objectives of limiting tracking error
relative to the benchmark and adding value with active
management. The returns for longer time periods are shown in
Figure 2.
Fixed Income
The ISBI Fixed Income portfolio had a negative return of 2.4%
for the fiscal year ended June 30, 2009, compared to the
positive 4.9% for the Barclay’s Universal Bond Index. An
underweighting to Government bonds coupled with an
associated overweight to investment grade, mortgage-backed
securities, when compared to the index, was the reason for
the under-performance. Figure 2 shows the long-term results
for Fixed Income.
Real Estate
In FY 2009, ISBI’s real estate portfolio earned a return of
negative 31.7 %. The NCREIF Real Estate Index, a measure of
core, operating, non-leveraged real estate, earned a negative
19.6%. The portfolio’s underperformance relative to this
benchmark can be attributed to ISBI’s prompt writing down of
real estate assets, and a general lag on the part of the index
for similar write downs. Further, while ISBI, as well as most
institutional investors, utilizes a prudent amount of leveraged
in its real estate portfolio, the NCREIF Real Estate Index is
completely un-levered. Over the last five years, the Board
increased the real estate strategic allocation from 5% to 10%
of the total fund with the new allocation targeting 70% of its
real estate to core, income producing real estate, with the
balance in higher return strategies. The increased Real Estate
allocation resulted in the addition of two core, separate real
estate accounts. Originally, it was planned to have the new
separate accounts fully invested by the end of calendar year
2008. However, as a result of challenging market conditions,
6
ILLINOIS STATE BOARD OF INVESTMENT
10
-10
-20
15
20
2009 2008 2007 2006 2005
Total Fund
Composite Benchmark
CPI
5
-5
0
those accounts are yet to be fully funded.
ISBI’s Real Estate portfolio is invested primarily through
interests in separate accounts, limited partnerships, trusts,
and other forms of pooled investments. Long-term results for
real estate are shown in Figure 2.
Private Equity
In FY 2008, ISBI’s Private Equity portfolio returns were negative
18.8%. The Private Equity portfolio consists of interests in
limited partnerships and other commingled vehicles that invest
in management buyouts, venture capital, and other private
placement equity strategy activities. The Private Equity asset
class was challenged by disruptions in the credit markets and
an overall weakness in pricing for the fiscal year period. In
spite of these challenges, long-term results as detailed in
Figure 2 show that Private Equity remains the best performing
asset class for the ten-year period ended June 30, 2009.
Management Expenses
The resulting expense ratio (expenses divided by average fair
value of assets) was .44% for fiscal year 2009, as compared to
.36% for fiscal year 2008. Total expenses for fiscal year 2009,
based on $8.7 billion in total assets were $41.2 million,
compared to $41.9 million based on $11.3 billion in total assets
for fiscal year 2008. Decreased aggregate expenses in fiscal
2009 were mainly a result of decreased fees paid to investment
managers.
Minority/Female Participation
Just as ISBI seeks prudent diversification within its total
portfolio, the Board continues to seek an appropriate level of
diversity among the professionals charged with meeting the
Board’s mission. The Board membership itself is comprised of
33% minority and 22% women.
ISBI operates under its own Minority Brokers and Money
Managers Policy regarding utilization of minority and female
owned broker/dealers, minority and female owned money
managers, and emerging managers. Since April, 2006, the
Board has achieved its minimum goal of 5% of the total
portfolio being managed by emerging and minority managers.
At the end of FY 2009, 25.7% of ISBI’s portfolio was managed
by emerging, minority, and female owned firms. During fiscal
year 2009, the Board increased the allocations to three of its
existing emerging/minority managers: RhumbLine, Decatur
Capital, and Rock Creek Capital.
At its meeting held in July, 2008, the Board’s Minority Broker
and Money Managers Policy was amended to increase the
minority broker/dealer target to 20% from 15%. The policy
requires that such trades be executed directly and prohibits
the utilization of step-outs. Further, language was added
incorporating ISBI’s international equity portfolio into the
policy. The Board’s policy also encourages utilization of
Illinois-based broker/dealers and establishes 25% utilization as
a minimum.
During fiscal year 2009, utilization of minority-owned
% Investment Returns June 30
broker/dealers by ISBI investment managers far exceeded the
policy goals, with 57.4% for domestic equity trades. Of those
trades, 94.8% were executed through Illinois-based
broker/dealers. Similarly, 30.0% of fixed income transactions,
based on par value, were placed through minority or female
owned broker/dealers, of which 73.5% were with Illinois-based
firms. In the international portfolio 7.3% of trades were placed
with minority or female owned broker/dealers, of which 100%
were with Illinois based firms.
ISBI is currently working to update the Minority Broker and
Money Managers Policy in accordance with Public Act 96-
0006 which was enacted June 2, 2009. The updated Policy will
expand reporting to include a quantifiable goal for each asset
class and goals for utilization in each of the minority classes.
The updated policy will be effective prior to January 1, 2010.
Public Act 96-0006
On April 3, 2009 Governor Quinn signed into law Public Act 96-
0006, which had a material effect on the construction of the
Board, as well as operational elements at ISBI.
Numerous changes occurred as a result of this Act including
changes in how the Board is structured. The first of these
changes occurred when, under this statute, the State
Comptroller, Dan Hynes, became Chairman of the State
Employees’ Retirement System, and so a member of this
Board. Subsequently, as a result of the Act, the terms of ISBI’s
five gubernatorial appointees expired. On June 3, 2009, the
Governor made five appointments: Michelle Bush, John Casey,
Fred Montgomery, Heather D. Parish and Ronald Powell. As a
result of these changes the Board elected a new Chair, Ronald
Powell.
Besides these changes in Board membership, PA 96-0006
made operational changes to ISBI, including changes to how
the Board utilizes and selects emerging and minority
managers; changes to how ISBI identifies and retains
investment professionals; and establishes requirements for
fiduciary training of Board members. ISBI is in compliance, or
is in the process of complying, with the various provisions of
PA 96-0006.
Conclusion
The last two fiscal years have been among the most
challenging since ISBI’s inception in 1970. Prudent investors,
among them ISBI, have historically sought to construct
portfolios out of assets with low or negative correlation, so
that through various points in the business cycle downward
pressure would be mitigated by a negatively correlated asset
the would generate
some value. Unfortunately, through the current episode, such
efforts have been essentially futile: Virtually all assets have
declined in value, and have correlated favorably with each
other.
Last year this section of the FY 2008 Annual Report contained
the following paragraph:
Unfortunately, as of this writing there is little evidence to
suggest that the challenges investors experienced in FY
2008 might abate in FY 2009. Rather, such issues seem to
be coming more acute. While in FY 2008 the driving forces
that harmed global investors were related to the de-levering
of financial institutions, businesses, and
individuals, going into FY 2009 the portfolio has been, and
will continue to be, effected by a global economic
slowdown in the midst of this continued de-levering.
We stand by that description of the situation confronting ISBI,
and all investors, one year ago. Fortunately, since preparation
of the FY 2008 Annual Report, the global economy seems to
have stepped back from the abyss, and while investors are still
confronted with great challenges, it is our opinion that the
worst is behind us. Given the disruptions and losses
experienced by investors over the last few years, the
temptation exists to make precipitous changes to one’s
investment approach. However, it is our conviction that, issues
described here not withstanding, the portfolio has performed
in a manner consistent with prudent expectations. Given that
reality, and despite reflexive responses to the contrary, no
structural change to ISBI’s investment policy is currently
anticipated.
The Board, the staff, and the investment professionals
retained by ISBI continue to monitor the portfolio and manage
these and other challenges as aggressively as possible.
Our sincerest appreciation is extended to the Board Members
and all the Staff, for their cooperation and diligence during the
fiscal year. Further, the Board extends appreciation to the
former Board Members Michael Goetz, Chairman; John
Gordon Mazzotti, Vice Chairman; Guy Alongi and Allison Davis;
for their dedicated service.
The following sections of the report present detailed financial
statements and supplemental information on a basis
consistent with past reports.
Respectfully submitted November 20, 2009,
Ronald E. Powell, William R. Atwood,
Chairman Executive Director
7
ILLINOIS STATE BOARD OF INVESTMENT
8
ILLINOIS STATE BOARD OF INVESTMENT
FINANCIAL HIGHLIGHTS
FISCAL YEARS ENDED JUNE 30
($ in millions)
2009 2008 Change
$ $ $
Net Assets (at fair value) 8,684.1 11,315.1 (2,631.0)
Retirement Systems’ participation
General Assembly 47.7 71.9 (24.2)
Judges’ 435.6 589.2 (153.6)
State Employees’ 8,200.8 10,654.0 (2,453.2)
Net Investment income (loss) (2,354.0) (737.6) (1,616.4)
Interest and dividends 262.2 316.8 (54.6)
Net securities lending income 17.6 16.6 1.0
Net gain (loss) on investments (2,592.5) (1,029.2) (1,563.3)
Management expenses (41.3) (41.9) 0.6
Member Systems' contributions (withdrawals) (277.0) (499.5) 222.5
% % %
Annual total return* (20.1) (6.2) (13.9)
Management expenses as a percentage of average net assets** 0.44 0.36 0.08
*Annual total return reflects income earned and market appreciation (depreciation).
**Quarterly market values are utilized in calculating average figures.
9
ILLINOIS STATE BOARD OF INVESTMENT
TEN YEAR SUMMARY
FISCAL YEARS ENDED JUNE 30
($ in millions)
2009 2008 2007 2006 2005 2004 2003 2002 2001 2000
$ $ $ $ $ $ $ $ $ $
NET ASSETS
(at fair value) 8,684.1 11,315.1 12,552.2 11,316.5 10,902.5 10,442.7 7,801.0 7,928.3 8,578.1 9,270.3
Retirement Systems’ participation
General Assembly 47.7 71.9 83.9 79.0 80.8 81.3 47.4 52.2 60.5 68.9
Judges’ 435.6 589.2 658.2 582.6 550.4 521.4 317.5 332.4 372.6 414.8
State Employees’ 8,200.8 10,654.0 11,810.1 10,654.9 10,271.3 9,840.0 7,436.1 7,543.7 8,145.0 8,786.6
CHANGES IN NET ASSETS
Net investment income (loss) (2,354.0) (737.6) 1,877.7 1,173.0 1,007.4 1,506.8 12.7 (577.9) (652.3) 977.0
Interest and dividends 262.2 316.8 319.5 306.2 262.1 184.4 186.8 213.4 244.4 227.6
Net securities lending
income 17.6 16.6 4.5 4.3 3.7 2.4 1.9 2.3 3.6 3.7
Net gain (loss)
on investments (2,592.5) (1,029.2) 1,594.3 892.6 766.1 1,337.9 (159.2) (775.0) (879.7) 766.4
Management expenses (41.3) (41.9) (40.6) (30.1) (24.5) (17.9) (16.8) (18.6) (20.6) (20.7)
Member Systems' net
contributions (withdrawals) (277.0) (499.5) (642.0) (759.0) (547.7) 1,134.9 (140.0) (71.9) (39.9) (15.7)
RETURNS % % % % % % % % % %
Annual total return* (20.1) (6.2) 17.1 11.0 10.1 16.4 0.3 (6.9) (7.1) 11.8
Compound annual rate
of return since 7-1-82
(Adoption of Prudent
Person Legislation) 8.9 10.3 11.0 10.7 10.7 10.8 10.5 11.1 12.1 13.2
* Annual total return reflects income earned and market appreciation (depreciation).
10
ILLINOIS STATE BOARD OF INVESTMENT
FINANCIAL
STATEMENTS
2009
11
ILLINOIS STATE BOARD OF INVESTMENT
INDEPENDENT AUDITORS’ REPORT
McGladrey & Pullen, LLP is a member firm of RSM International,
an affiliation of separate and independent legal entities.
1
Honorable William G. Holland
Auditor General
State of Illinois
Board of Directors
Illinois State Board of Investment:
As Special Assistant Auditors for the Auditor General, we have audited the accompanying statements of net assets of the Illinois
State Board of Investment (Board), an internal investment pool of the State of Illinois, as of June 30, 2009 and June 30, 2008,
and the related statements of changes in net assets for the years then ended, as listed in the table of contents. These financial
statements are the responsibility of the Board’s management. Our responsibility is to express opinions on these financial
statements based on our audit.
We conducted our audit in accordance with auditing standards generally accepted in the United States of America and the
standards applicable to financial audits contained in Government Auditing Standards, issued by the Comptroller General of the
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 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 Board’s internal control over financial reporting. Accordingly, we express no such opinion. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinions.
As discussed in Note 1, the financial statements present only the Board and do not purport to, and do not present fairly the
financial position of the State of Illinois as of June 30, 2009 and June 30, 2008, and the changes in its financial position for the
years then ended in conformity with accounting principles generally accepted in the United States of America.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Illinois
State Board of Investment as of June 30, 2009 and June 30, 2008, and the changes in its net assets for the years then ended, in
conformity with accounting principles generally accepted in the United States of America.
In accordance with Government Auditing Standards, we have also issued, under separate cover, our report dated January 20,
2010 on our consideration of the Board’s internal control over financial reporting and on our tests of its compliance with certain
provisions of laws, regulations, contracts, and grant agreements and other matters. The purpose of that report is to describe the
scope of our testing of internal control over financial reporting and compliance and the results of that testing, and not to provide
an opinion on the internal control over financial reporting or on compliance. That report is an integral part of an audit performed in
accordance with Government Auditing Standards and should be considered in assessing the results of our audit.
The accompanying management’s discussion and analysis on pages 12 and 13 is not a required part of the basic financial
statements but is supplementary information required by accounting principles generally accepted in the United States of
America. We have applied certain limited procedures, which consisted principally of inquiries of management regarding the
methods of measurement and presentation of the required supplementary information. However, we did not audit the information
and express no opinion on it.
Chicago, Illinois
January 20, 2010
12
ILLINOIS STATE BOARD OF INVESTMENT
MANAGEMENT’S DISCUSSION AND ANALYSIS
In October 1969, the Illinois State Board of Investment was
created by enactment of Article 22A of the Illinois Pension
Code by the 76th General Assembly of Illinois. By statute, the
Board was given the responsibility for management of the
assets of the General Assembly Retirement System, the
Judges’ Retirement System of Illinois and the State
Employees’ Retirement System of Illinois. Board membership
consists of five members appointed by the Governor and four
ex officio members consisting of the State Treasurer and the
Chairman of the Board of Trustees of each of the retirement
systems. The Board maintains their office in Chicago, IL.
The following Management Discussion and Analysis (MD&A)
provides an introduction and overview of the Illinois State
Board of Investment (ISBI or Board) financial activities for the
fiscal years ended June 30, 2009 and 2008.
Financial Highlights
The net assets of the Board totaled approximately $8.7 billion
at fiscal year end June 30, 2009. The decrease from the
previous year is primarily the result of investment losses.
General Market Risk
ISBI is exposed to general market risk. This general market
risk is reflected in asset valuations fluctuating with market
volatility. Any impact from market volatility on ISBI’s
investment portfolio depends in large measure on how deep
the market downturn is, how long it lasts, and how it fits within
fiscal year reporting periods. The resulting market risk and
associated realized and unrealized gains and losses could
significantly impact ISBI’s financial condition. The readers of
these financial statements are advised that financial markets
continue to be volatile and may experience significant
changes on almost a daily basis.
Overview of the Financial Statements
The Board’s financial statements are prepared on an accrual
basis in accordance with U. S. generally accepted accounting
principles promulgated by the Governmental Accounting
Standards Board and are comprised of the Statement of Net
Assets, the Statement of Changes in Net Assets, and Notes to
Financial Statements.
The Statement of Net Assets presents information on the
Board’s assets and liabilities and the resulting net assets. This
statement also reflects the Board’s investments along with the
cash and short-term investments, receivables, and other
assets and liabilities.
The decrease in investments at June 30, 2009 is a result of an
investment loss of 20.1% for the fiscal year, net of expenses
which are shown in the Statement of Changes in Net Assets.
The decrease in liabilities for fiscal 2009 compared with 2008
consisted mainly of decreases in the securities lending
collateral obligation and unsettled investment purchases.
Condensed Summary of Net Assets
June 30 2009/2008 2008/2007
2009 2008 2007 Change Change
$ $ $ $ $
Cash 12,662,039 43,667,005 42,916,419 (31,004,966) 750,586
Receivables 186,099,275 187,106,001 548,269,714 (1,006,726) (361,163,713)
Investments 8,735,057,063 11,429,528,114 12,805,770,746 (2,694,471,051) (1,376,242,632)
Securities lending collateral 1,395,768,802 1,703,959,890 2,084,820,497 (308,191,088) (380,860,607)
Prepaid expenses 16,184 16,242 14,740 (58) 1,502
Capital assets 57,635 52,797 49,283 4,838 3,514
Total assets 10,329,660,998 13,364,330,049 15,481,841,399 (3,034,669,051) (2,117,511,350)
Liabilities 1,645,606,726 2,049,276,888 2,929,645,238 (403,670,162) (880,368,350)
Net assets 8,684,054,272 11,315,053,161 12,552,196,161 (2,630,998,889) (1,237,143,000)
13
ILLINOIS STATE BOARD OF INVESTMENT
MANAGEMENT’S DISCUSSION AND ANALYSIS
The Statement of Changes of Net Assets presents information
regarding changes during the fiscal year ended June 30, 2009.
This statement reflects additions and deductions, which
include the investment income and losses derived from
realized and unrealized gains/losses, member system
contributions, and income received from securities lending
activities. Also reflected in the statement are deductions,
which include withdrawals by the member systems and
operating expenses of the Board.
The net investment losses for the year ended June 30, 2009
were the result of a downward movement in the securities
markets. There was a decrease in withdrawals by the member
systems. Fiscal year 2009 withdrawals were $277.0 million
compared with $499.5 million in fiscal year 2008. Withdrawals
are determined by the member retirement systems based on
the State’s funding and the systems’ benefit payment needs.
The decrease in operating expenses for fiscal year 2009
versus 2008 was mainly a result of decreased investment
management fees as a result of a reduction of the assets in
the portfolio and a decrease in the amount of consulting and
professional was due to a reduction in legal fees and
movement from implementation costs to ongoing
maintenance costs for new systems to upgrade an aging
technology structure.
The net investment losses for the year ended June 30, 2008
were the result of a downward movement in the securities
markets. The decrease in liabilities for fiscal 2008 compared
with 2007 consisted mainly of a decrease in securities lending
collateral obligations and a decrease in unsettled investment
purchases.
The Notes to the Financial Statements provide additional
information, which is necessary to fully understand the data
provided in the financial statements.
Condensed Summary of Changes in Net Assets
Fiscal Years Ended June 30 2009/2008 2008/2007
2009 2008 2007 Change Change
$ $ $ $ $
Additions:
Net investment income (loss) (2,312,726,206) (695,792,364) 1,918,274,641 (1,616,933,842) (2,614,067,005)
Member systems’ contributions 0 0 0 0 0
Total additions (2,312,726,206) (695,792,364) 1,918,274,641 (1,616,933,842) (2,614,067,005)
Deductions:
Member systems' withdrawals 277,000,000 499,500,000 642,000,000 (222,500,000) (142,500,000)
Administrative expenses 41,272,683 41,850,636 40,563,334 (577,953) 1,287,302
Total deductions 318,272,683 541,350,636 682,563,334 (223,077,953) (141,212,698)
Increase/(decrease) in net assets (2,630,998,889) (1,237,143,000) 1,235,711,307 (1,393,855,889) (2,472,854,307)
14
ILLINOIS STATE BOARD OF INVESTMENT
STATEMENT OF NET ASSETS
JUNE 30, 2009
2009 2008
$ $
ASSETS
Cash 12,662,039 43,667,005
Receivables:
Foreign taxes 3,368,678 2,336,921
Accounts receivable 1,557,303 2,057,953
Investments sold 154,225,236 146,645,830
Interest & dividends 26,948,058 36,065,297
Total receivables 186,099,275 187,106,001
Prepaid expenses 16,184 16,242
Capital assets 57,635 52,797
Investments at fair value:
Government and agency obligations 665,018,889 852,045,701
Foreign obligations 33,237,090 113,005,430
Corporate obligations 668,047,761 1,058,164,332
Common stock and equity funds 2,610,218,733 3,823,791,711
Commingled Funds 335,484,184 417,894,222
Preferred stock 286,429 4,491,500
Foreign equity securities 1,482,594,431 1,984,314,463
Foreign preferred stock 47,856 603,032
Hedge funds 880,939,190 598,985,402
Real estate funds 875,929,700 1,332,081,349
Private equity 450,491,810 524,628,589
Money market instruments 235,126,490 307,481,504
Infrastructure funds 305,969,947 209,975,518
Bank loans 197,259,098 202,137,983
Forward foreign currency contracts (5,594,545) (72,622)
Total investments 8,735,057,063 11,429,528,114
Securities lending collateral 1,395,768,802 1,703,959,890
Total assets 10,329,660,998 13,364,330,049
LIABILITIES
Payables:
Investments purchased 173,277,766 338,215,349
Operating expenses 5,077,999 7,101,649
Securities lending cash collateral obligation 1,467,250,961 1,703,959,890
Total liabilities 1,645,606,726 2,049,276,888
Net assets 8,684,054,272 11,315,053,161
See notes to financial statements, pages 16-26.
15
ILLINOIS STATE BOARD OF INVESTMENT
STATEMENT OF CHANGES IN NET ASSETS
JUNE 30, 2009
2009 2008
$ $
ADDITIONS
Investment income (loss):
Net increase (decrease) in fair value of investments (2,592,469,141) (1,029,242,365)
Interest 145,432,334 154,620,159
Dividends 116,732,339 162,205,372
Securities lending income 28,308,215 91,663,587
Securities lending rebates (8,690,202) (72,105,009)
Securities lending expenses (2,039,751) (2,934,108)
Total investment income (loss) (2,312,726,206) (695,792,364)
Total additions (2,312,726,206) (695,792,364)
DEDUCTIONS
Expenses:
Salaries and benefits:
Salaries 1,132,442 1,009,739
Benefits 514,691 412,515
Operating expenses:
Rent and utilities 167,845 160,170
Audit 144,600 140,399
Other 244,346 267,119
External support:
Custody 264,532 212,604
Consulting and professional 1,329,476 1,471,182
Investment advisors/managers 37,272,541 38,008,970
Investment services and research 202,210 167,938
Total expenses 41,272,683 41,850,636
Member systems’ withdrawals 277,000,000 499,500,000
Total deductions 318,272,683 541,350,636
Increase (decrease) in net assets (2,630,998,889) (1,237,143,000)
Net assets at beginning of year 11,315,053,161 12,552,196,161
Net assets at end of year 8,684,054,272 11,315,053,161
See notes to financial statements, pages 16-26.
16
ILLINOIS STATE BOARD OF INVESTMENT
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009
Reporting Entity
The Illinois State Board of Investment (ISBI or Board) is
considered to be an internal investment pool of the State of
Illinois, operating solely from investment income. The ISBI
manages and invests the pension assets of three separate
public employee retirement systems: General Assembly
Retirement System, the Judges’ Retirement System of Illinois,
and State Employees’ Retirement System of Illinois.
The assets of the member systems are accounted for in a
single Commingled Fund. Separate information on each
system’s participation is presented in Note 3.
Basis of Accounting
Accounting records are maintained on an accrual basis. Units
are allocated monthly to member systems based upon
percentage of ownership. Management expenses are
deducted monthly from income before distribution.
Valuation of Investments
Investments owned are reported at fair value as follows: (1)
U.S. Government and Agency, Foreign and Corporate
Obligations, Convertible Bonds – prices quoted by a major
dealer in such securities; (2) Common Stock and Equity Funds,
Preferred Stock, Foreign Equity Securities, Forward Foreign
Currency Contracts and Options: (a) Listed – closing prices as
reported on the composite summary of national securities
exchanges; (b) Over-the-counter – bid prices; (3) Money
Market Instruments – average cost which approximates fair
values; (4) Real Estate Investments – fair values as determined
by ISBI and its investment managers; (5) Alternative
Investments (Private Equity, Hedge Funds and Infrastructure
Funds) – fair values as determined by ISBI and its investment
managers; (6) Commingled Funds – fair values as determined
by ISBI and its investment managers.
Investment Transactions and Investment Income
Investment transactions are accounted for on a trade date
(date order to buy or sell is initiated) and dividend income is
recognized on the ex-dividend date. Interest income is
recognized on an accrual basis.
Custody and Investment Management Fees
There are no base charges for custody fees. Investment
management fees for all accounts, except real estate and
alternative investments, are computed quarterly as a
percentage of each manager’s portfolio market value.
Management fees for real estate and alternative investments
are not directly charged but are included in the investment
income for these investments. The investment management
Note 1
Summary of Significant Accounting Policies
fees for certain holdings within the Alternative Investments
asset class (infrastructure funds) are calculated based on
capital commitment.
Risk Management
The ISBI, as part of the State, provides for risks of loss
associated with workers’ compensation and general liability
through the State’s self-insurance program. The ISBI obtains
commercial insurance for fidelity and surety and property.
There have been no commercial insurance claims in the past
five years.
Risks and Uncertainties
ISBI invests in various 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, it is at least reasonably
possible that changes in the values of investment securities
will occur in the near term and those such changes could
materially affect the amounts reported in the Statement of Net
Assets.
Use of Estimates
In preparing financial statements in conformity with U. S.
generally accepted accounting principles, the Board makes
estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosures of contingent assets
and liabilities at the date of the financial statements, as well
as the reported amounts of additions and deductions during
the reporting period. Actual results could differ from those
estimates and assumptions and the differences may be
material.
Reclassification
Certain items in the 2008 financial statements have been
reclassified to conform to the 2009 presentation.
Subsequent Events
ISBI has evaluated subsequent events for potential
recognition and/or disclosure through January 20, 2010, the
date the financial statements were available to be issued.
2009 2008
$ $
Carrying amounts and Bank
Balances at June 30
Cash 12,440,740 43,558,219
Amount exposed to
custodial credit risk 0 43,458,219
17
ILLINOIS STATE BOARD OF INVESTMENT
Note 2
Deposits, Investments, and Investment Risk
Deposits
Custodial credit risk for deposits is the risk that, in the event of a
financial institution failure, ISBI’s deposits may not be returned.
All non-investment related bank balances at year-end are
insured or collateralized with securities held by the Illinois State
Treasurer or agents in the name of the State Treasurer. As of
June 30, 2009 and 2008, ISBI had non-investment related
balances of $184,259 and $185,605. Cash held in the investment
related bank account is neither insured nor collateralized for
amounts in excess of $250,000. During fiscal year 2007, a Credit
Risk Policy was implemented by ISBI staff and formally adopted
by the Board in July of 2007. The Policy outlines the control
procedures used to monitor custodial credit risk. These assets
are under the custody of State Street Bank and Trust. State
Street Bank and Trust has an AA Long-term Deposit/Debt rating
by Standards & Poor and an Aa2 rating by Moody. Certain
investments of ISBI with maturities of 90 days or less would be
considered cash equivalents; these consist of short-term
investment funds and U. S. Treasury bills with maturities of 90
days or less, which are not subject to the custodial credit risk.
For financial statement presentation and investment purposes,
ISBI reports these types of cash equivalents as Money Market
Instruments in the Statement of Net Assets. As of June 30, the
amounts held in the investment related bank account with
exposure to custodial credit risk are as follows:
Investment Policy
ISBI’s investment authority and responsibilities are specified
in the Illinois Compiled Statutes, 40ILCS 5/22A. These statutes
provide ISBI with the authority to manage and invest the
assets of any Illinois pension or education fund.
As described in Note 1, ISBI currently manages and invests the
assets of the General Assembly Retirement System, Judges’
Retirement System, and State Employees’ Retirement System.
All investments undertaken by ISBI are governed by 40ILCS 5
adopted by the General Assembly in 1982, and other standards
codified in the above reference to the statutes.
40ILCS 5/1-109 requires all members of the Board and other
fiduciaries to “… discharge his or her duties with respect to
the retirement system or pension fund solely in the interest of
the participants and beneficiaries and: With the care, skill,
ISBI’s investments in Private Equity and Real Estate represent
investment vehicles used for making investments in various
equity and debt securities according to the investment
strategies as determined by the fund managers at the
commencement of the fund.
Investment strategies of Private Equity funds include, but are
not limited to, leveraged buyouts, venture capital, growth
capital and mezzanine capital.
Investment strategies of Real Estate investments include, but
are not limited to, the purchase, development, ownership,
management, rental and/or sale of real estate for profit.
ISBI’s investments in Infrastructure funds represent pooled
prudence and diligence…By diversifying the investments of the
retirement system or pension fund so as to minimize the risk of
large losses…“
Investment Commitments
Real estate and private equity investment portfolios consist of
passive interests in limited partnerships. ISBI had outstanding
commitments to these limited partnerships of approximately
$486 million and $515 million as of June 30, 2009 and 2008,
respectively. At the end of fiscal year 2009 and 2008, the Board
had outstanding commitments of $159 million and $165 million
to separate real estate funds respectively. Also at the end of
fiscal year 2009 and 2008, the Board had outstanding amounts
of $155 million and $302 million to infrastructure funds.
Investment Summary
The following table presents a summary of the Fund’s
investments at fair value by type at June 30, 2009 and 2008:
2009 2008
$ $
Government and agency obligations 665,018,889 852,045,701
Foreign obligations 33,237,090 113,005,430
Corporate obligations 668,047,761 1,058,164,332
Common stock & equity funds 2,610,218,733 3,823,791,711
Preferred stock 286,429 4,491,500
Foreign equity securities 1,482,594,431 1,984,314,463
Foreign preferred stock 47,856 603,032
Commingled Funds 335,484,184 417,894,222
Hedge funds 880,939,190 598,985,402
Real estate investments 875,929,700 1,332,081,349
Private equity 450,491,810 524,628,589
Money market instruments 235,126,490 307,481,504
Infrastructure funds 305,969,947 209,975,518
Bank loans 197,259,098 202,137,983
Forward foreign currency contracts (5,594,545) (72,622)
Total investments 8,735,057,063 11,429,528,114
18
ILLINOIS STATE BOARD OF INVESTMENT
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (CONTINUED)
Note 2 (continued)
Deposits, Investments, and Investment Risk
investment vehicles used to seek capital appreciation and
current income by acquiring, holding, financing, refinancing
and disposing of infrastructure investments and related
assets. Infrastructure assets include various public works
(e.g. bridges, tunnels, toll roads, airports, public transportation
and other public works) that are made typically as a part of a
privatization initiative on the part of a government entity.
A Commingled Fund is a kind of mutual fund or common trust
fund which consists of multiple kinds of assets from several
accounts combined together. ‘Commingling’ these separate
assets mitigates risk for the trader through investment
Moody’s
Quality Rating 2009 2008
$ $
Government and agency obligations
U.S Government obligations and
Federal agency obligations AAA 653,019,129 661,038,879
AA 11,999,760 5,057,314
A - 12,617,585
BAA - 4,847,471
B - 976,931
Not rated - 167,507,521
Total Government and agency obligations 665,018,889 852,045,701
Foreign obligations AAA 7,009,777 8,105,833
AA 3,433,768 3,578,088
A - 12,247,911
BAA 1,899,728 27,477,167
BA 10,915,077 30,930,973
B 7,765,165 10,807,260
CAA 1,609,335 -
C 604,240 -
Not rated - 19,858,198
Total foreign obligations 33,237,090 113,005,430
Corporate obligations AAA 39,162,888 129,745,414
AA 56,839,344 125,292,897
A 209,758,077 132,759,541
BAA 99,409,888 148,019,604
BA 79,410,130 111,315,582
B 132,204,912 280,234,046
CAA 39,940,421 64,919,149
CA 977,375 530,341
C - 556,527
Not rated 10,344,726 64,791,231
Total corporate obligations 668,047,761 1,058,164,332
diversification and reduces the cost of managing each
account separately. Commingled funds are also called pooled
funds and Master Trusts.
Concentration of Credit Risk and Credit Risk for Investments
The portfolio is managed by professional investment
management firms. These investment management firms are
required to maintain diversified portfolios. Each investment
manager must comply with risk management guidelines
individually assigned to them as part of their investment
management agreement. The Board did not have any single
issuer investment that exceeded 5% of the total net assets of
the Board as of June 30, 2009 and 2008. The following table
presents the quality ratings of debt securities held by ISBI as
of June 30, 2009 and 2008:
19
ILLINOIS STATE BOARD OF INVESTMENT
Note 2 (continued)
Deposits, Investments, and Investment Risk
Interest Rate Risk
ISBI manages its exposure to fair value losses arising from
interest rate risk by diversifying the debt securities portfolio
and maintaining the debt securities portfolio to an effective
weighted average rate between 80% and 120% of the
benchmark index.
Duration is a measure of a debt investment’s exposure to fair
value changes arising from changing interest rates. It uses
the present value of cash flows, weighted for those cash flows
as a percentage of the investment’s fair value. The effective
duration measures the sensitivity of market price to parallel
shifts in the yield curve. As of June 30, 2009, ISBI benchmarks
its debt security portfolio to Barclay’s Capital Intermediate
U.S. Government/Credit Bond Index. As of June 30, 2008, ISBI
benchmarked its debt security portfolio to Lehman Brothers
Aggregate. At June 30, 2009, the effective duration of the
Barclay’s Capital Intermediate U.S. Government/Credit Bond
Index was 3.9 years. At June 30, 2008, the effective duration of
the Lehman Brothers Aggregate was 3.8 years. At the same
point in time, the effective duration of the ISBI debt security
portfolio at June 30, 2009 and 2008 was 3.8 and 4.2 years,
respectively.
2009 2008
Effective Effective
Weighted Weighted
Duration Duration
Fair Value Years Fair Value Years
Investment Type $ $
Government & agency obligations
U.S. Government 75,529,694 5.3 235,753,279 5.3
Federal Agency 589,489,195 2.9 616,292,422 3.4
Foreign Obligations 33,237,090 4.7 113,005,430 5.1
Corporate Obligations
Bank and Finance 159,283,917 4.0 159,397,789 3.8
Collateralized Mortgage Obligations 19,360,918 2.8 136,048,371 1.4
Industrials 425,239,911 4.4 593,294,641 4.9
Other 64,163,015 4.7 169,423,531 5.1
1,366,303,740 2,023,215,463
2009 2008
$ $
Common stock 2,529,488 2,024,444
Government and agency obligations 7,847,410 9,695,067
Corporate obligations 0 0
Total 10,376,898 11,719,511
Custodial Credit Risk for Investments
The custodial credit risk for investments is the risk that, in the
event of the failure of the counterparty to a transaction, ISBI
will not be able to recover the value of investments or collateral
securities that are in the possession of a counterparty. As of
June 30, 2009 and 2008, the following investments were
uninsured and unregistered, with securities held by the
counterparty or by its trust department or agent but not in the
Board’s name:
20
ILLINOIS STATE BOARD OF INVESTMENT
Foreign Currency Risk
The international portfolio is constructed on the principles of
diversification, quality growth, and value. Risk of loss arises
from changes in currency exchange rates. International
managers may also engage in transactions to hedge currency
at their discretion. Certain investments held in Infrastructure
Note 2 (continued)
Deposits, Investments, and Investment Risk
2009 2008
Foreign Equity Foreign Equity
and Foreign and Foreign
Preferred Foreign Preferred Foreign
Securities Obligations Securities Obligations
$ $ $ $
Australian Dollar 64,845,908 – 122,273,518 –
Brazilian Real 33,224,878 – 9,912,719 822,627
Canadian Dollar 47,104,026 – 67,312,081 640,243
Danish Krone 22,597,007 – 20,127,457 –
Egyptian Pound 631,787 – 315,568 –
English Pound Sterling 291,255,325 – 360,797,972 355,913
Euro Currency 407,541,247 – 579,718,291 3,464,132
Hong Kong Dollar 39,652,995 – 54,097,173 –
Iceland Krona – – – 4,149,151
Japanese Yen 221,156,513 – 278,817,201 –
Malaysian Ringgit – – – 6,031,886
Mexican Peso 2,121,876 – 2,383,899 9,829,450
New Zealand Dollar 1,076,827 – 1,093,179 –
Norwegian Krone 9,277,231 – 33,771,404 –
Singapore Dollar 30,234,461 – 33,616,147 6,136,820
South African Rand 3,495,645 – 3,038,970 –
South Korean Won 21,353,474 – 22,322,531 –
Swedish Krona 15,868,385 – 38,232,833 –
Swiss Franc 124,169,874 – 129,364,946 –
Foreign Investments
denominated in U.S. dollars 147,034,828 33,237,090 227,721,606 81,575,208
1,482,642,287 33,237,090 1,984,917,495 113,005,430
funds trade in a reported currency of Euro based dollars
valued at $38,643,067 and $0 as of June 30, 2009 and 2008,
respectively. The following table presents the foreign
currency risk by type of investment as of June 30, 2009
and 2008:
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (CONTINUED)
21
ILLINOIS STATE BOARD OF INVESTMENT
Note 2 (continued)
Deposits, Investments, and Investment Risk
portfolio. Derivatives transactions involve, to varying degrees,
credit risk and market risk. Credit risk is the possibility that a
loss may occur because a party to a transaction fails to
perform according to terms. Market risk is the possibility that
a change in interest or currency rates will cause the value of a
financial instrument to decrease or become more costly to
settle. The market risk associated with derivatives, the prices
of which are constantly fluctuating, is regulated by imposing
strict limits as to the types, amounts, and degree of risk that
investment managers may undertake. The Board and senior
management approve these limits, and the risk positions of the
investment managers are reviewed on a regular basis to
monitor compliance with the limits.
During the year, derivative investments included forward
foreign currency contracts, collateralized mortgage
obligations (CMO’s), futures, and options.
Forward foreign currency contracts are used to hedge against
the currency risk in ISBI’s foreign stock and fixed income
portfolios. Forward foreign currency contracts are
agreements to buy or sell specific amounts of a foreign
currency at a specified delivery or maturity date for an agreed
upon price. As the fair value of the forward contracts varies,
ISBI records an unrealized gain or loss. Forward foreign
currency contracts represent an off-balance sheet obligation,
as there are no balance sheet assets or liabilities associated
with those contracts. The fair value of forward foreign
currency contracts outstanding at June 30, 2009 and 2008 was
as follows:
Cost Fair Value Gain (Loss)
$ $ $
June 30, 2009
Forward currency
purchases 173,126,960 181,554,864 8,427,904
Forward currency sales 183,451,357 197,473,806 (14,022,449)
Total gain (loss) (5,594,545)
June 30, 2008
Forward currency
purchases 6,018,928 6,025,470 6,542
Forward currency sales 5,890,350 5,969,514 (79,164)
Total gain (loss) (72,622)
Securities Lending
ISBI participates in a securities lending program with State
Street who acts as a securities lending agent. Securities are
loaned to brokers and, in return, ISBI has rights to a portion of
a collateral pool. All of the securities are eligible for the
securities lending program. Collateral consists solely of cash,
letters of credit, commercial paper, and government securities
having a fair value equal to or exceeding 102% of the value of
the loaned securities (105% for non-U.S. securities). In the
event of borrower default, State Street provides ISBI with
counterparty default indemnification. ISBI had no credit risk
as a result of its securities lending program as the collateral
received exceeded the fair value of the securities loaned. As
of June 30, 2009 and 2008, there were outstanding loaned
investment securities having fair values of $1,476,903,266 and
$1,851,952,625, respectively; against which collateral was
received with a fair value of $1,528,744,414 and $1,912,742,552,
respectively. Collateral received at June 30, 2009 and 2008
consisted of $1,467,250,961 and $1,703,959,890 respectively, in
cash and $61,493,453 and $208,782,662, respectively, in
securities for which the Board does not have the ability to
pledge or sell.
The cash collateral received is invested in a short term
investment pool having a fair value of $1,395,768,803 and
$1,703,959,890 as of June 30, 2009 and 2008, respectively. This
investment pool had an average duration of 42.64 days and
41.84 days as of June 30, 2009 and 2008, respectively. Any
decrease in the fair value of invested cash collateral is
recorded as unrealized losses and reported as a component of
the investment income (loss) on the Statement of Changes in
Net Assets. Regarding the investment pool, at the time of
purchase, all securities with maturities of 13 months or less
must qualify as first-tier securities and all securities with
maturities in excess of 13 months will (a) be rate A or better by
at least two nationally recognized statistical rating
organization (NRSROs) or (b) if rated by only one NRSRO, be
rated A or better by such NRSRO, or (c) if unrated, be
determined by State Street to be of comparable quality.
Derivative Securities
Some of ISBI’s managers invest in derivative securities. A
derivative security is an investment whose payoff depends
upon the value of other assets such as bond and stock prices,
a market index, or commodity prices. ISBI’s investments in
derivatives are not leveraged. Obligations to purchase (long a
financial future or a call option) are held in cash or cash
equivalents. In the case of obligations to sell (short a financial
future or a put option), the reference security is held in the
22
ILLINOIS STATE BOARD OF INVESTMENT
2009 2008
Number of Contract Number of Contract
Contracts Principal* Contracts Principal*
$ $
Equity futures purchased 1,626 74,430,150 1,892 122,985,600
Fixed income futures purchased – – 3 599,694
Fixed income futures sold – – 790 167,444,230
Fixed income written put options – – 347 34,700,000
Fixed income written call options – – 283 28,300,000
* Contract principal amounts shown represent the market value of the underlying assets the contracts control.
Contract principal is shown to present the volume of the transactions but does not reflect the extent to which
positions may offset one another. These amounts do not represent the much smaller amounts potentially
subject to risk. Contract principal values also do not represent actual balance sheet values.
Note 2 (continued)
Deposits, Investments, and Investment Risk
ISBI also invests in mortgage-backed securities to maximize
yields and to hedge against a rise in interest rates. These
securities are based on cash flows from principal and interest
payments on underlying mortgages. The value, liquidity and
related income of these securities are sensitive to
prepayments by mortgagees, changes in economic conditions,
including real estate values, delinquencies or defaults, or both
and may be adversely affected by shifts in the market’s
perception of the issuer’s and insurers and changes in interest
rates. As of June 30, 2009 and 2008, the fair value of ISBI CMO
holdings totaled $23,611,438 and $165,456,226, respectively.
ISBI investment managers utilize financial futures to replicate
an underlying security they desire to hold (sell) in the portfolio.
In certain instances, it may be beneficial to own a futures
contract rather than the underlying security. Financial future
contracts are also used to improve the yield or adjust the
duration of the portfolio. Financial futures contracts are
agreements to buy or sell a specified amount at a specified
delivery or maturity date for an agreed upon price. The fair
values of the future contracts vary from the original contract
price, a gain or loss is recognized and paid to or received from
the clearinghouse. Financial futures represent an off-balance
sheet obligation, as there are no balance sheet assets or
liabilities associated with those contracts. The cash or
securities to meet these obligations are held in the investment
portfolio.
ISBI investment managers utilize options in an effort to add
value to the portfolio (collect premiums) or protect (hedge) a
position in the portfolio. Options are agreements that give one
party the right, but not the obligation, to buy or sell a specific
amount of an asset for a specific price (called the strike price)
on or before a specified expiration date. As the writer of
financial options, ISBI receives a premium at the outset of the
agreement and bears the risk of an unfavorable change in the
price of the instrument underlying the option. As the
purchaser, ISBI pays a premium at the outset of the
agreement and the counterparty bears the risk of an
unfavorable change in the price of the financial instrument
underlying the option.
The following table shows the foreign and domestic futures
and options positions held by ISBI as of June 30, 2009 and
2008.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (CONTINUED)
Investment Liquidity
ISBI holds investments in hedge funds, real estate funds,
private equity funds and infrastructure funds that are
considered illiquid by the very nature of the investment.
Market risk exists with respect to these investments as ISBI
may not be able to exit from the investments during periods of
significant market value declines.
23
ILLINOIS STATE BOARD OF INVESTMENT
Member Systems’ Income and Expenses $ $ $ $
Fiscal Year Ended June 30, 2009
Interest and dividends 1,549,538 13,449,740 247,165,395 262,164,673
Net securities lending income 104,640 904,710 16,568,912 17,578,262
Net decrease in fair value of investments (16,141,323) (135,286,901) (2,441,040,917) (2,592,469,141)
Total Investment income/(loss) (14,487,145) (120,932,451) (2,177,306,610) (2,312,726,206)
Management expenses (243,045) (2,118,645) (38,910,993) (41,272,683)
Net investment income/(loss) (14,730,190) (123,051,096) (2,216,217,603) (2,353,998,889)
Member Systems’ Changes in Net Assets
Fiscal Year Ended June 30, 2009
Net assets at beginning of year 71,923,943 589,155,697 10,653,973,521 11,315,053,161
Member systems' net (withdrawals) (9,500,000) (30,500,000) (237,000,000) (277,000,000)
Net investment income/(loss) (14,730,190) (123,051,096) (2,216,217,603) (2,353,998,889)
Net assets at end of year 47,693,753 435,604,601 8,200,755,918 8,684,054,272
The source of net assets of the member systems since inception at June 30, 2009, is as follows:
Member systems' net (withdrawals) (54,759,496) (100,832,730) (1,545,086,756) (1,700,678,982)
Accumulated net investment income 102,453,249 536,437,331 9,745,842,674 10,384,733,254
Net assets at fair value 47,693,753 435,604,601 8,200,755,918 8,684,054,272
* Combined column for the member systems is presented for information purposes only and does not indicate
that the assets of one system may be used for another system.
Note 3 General State
Member Systems’ Participation Assembly Judges’ Employees’ Combined*
24
ILLINOIS STATE BOARD OF INVESTMENT
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (CONTINUED)
Member Systems’ Income and Expenses $ $ $ $
Fiscal Year Ended June 30, 2008
Interest and dividends 2,056,927 16,497,137 298,271,467 316,825,531
Net securities lending income 107,307 864,473 15,652,690 16,624,470
Net decrease in fair value of investments (6,734,639) (53,819,542) (968,688,184) (1,029,242,365)
Total Investment income/(loss) (4,570,405) (36,457,932) (654,764,027) (695,792,364)
Management expenses (270,594) (2,180,095) (39,399,947) (41,850,636)
Net investment income/(loss) (4,840,999) (38,638,027) (694,163,974) (737,643,000)
Member Systems’ Changes in Net Assets
Fiscal Year Ended June 30, 2008
Net assets at beginning of year 83,864,942 658,193,724 11,810,137,495 12,552,196,161
Member systems' net (withdrawals) (7,100,000) (30,400,000) (462,000,000) (499,500,000)
Net investment income/(loss) (4,840,999) (38,638,027) (694,163,974) (737,643,000)
Net assets at end of year 71,923,943 589,155,697 10,653,973,521 11,315,053,161
The source of net assets of the member systems since inception at June 30, 2008, is as follows:
Member systems' net (withdrawals) (45,259,495) (70,332,730) (1,308,086,756) (1,423,678,981)
Accumulated net investment income 117,183,438 659,488,427 11,962,060,277 12,738,732,142
Net assets at fair value 71,923,943 589,155,697 10,653,973,521 11,315,053,161
* Combined column for the member systems is presented for information purposes only and does not indicate
that the assets of one system may be used for another system.
Note 3 (continued) General State
Member Systems’ Participation Assembly Judges’ Employees’ Combined*
25
ILLINOIS STATE BOARD OF INVESTMENT
Plan Description
All of the ISBI employees participate in the State Employees’
Retirement System (SERS), which is a pension trust fund in the
State of Illinois reporting entity. The SERS is a single-employer,
defined benefit, public employee retirement system (PERS) in
which State employees participate, except those covered by
the State Universities, Teachers’, General Assembly, and
Judges’ Retirement Systems. The financial position and
results of operations of the SERS for fiscal years 2009 and 2008
are included in the State of Illinois’ Comprehensive Annual
Financial Report (CAFR). The SERS also issues a separate
CAFR that may be obtained by writing to the SERS, 2101
Veterans Parkway, Springfield, IL 62794-9255 or by calling
217/785-7202. The State of Illinois CAFR may be obtained by
writing to the State Comptroller’s Office, Financial Reporting
Department, 325 West Adams Street, Springfield, IL 62704-1858
or by calling 217/782-2053.
A summary of SERS’ benefit provisions, changes in benefit
provisions, employee eligibility requirements including
eligibility for vesting, and the authority under which benefit
provisions are established, are included as an integral part of
the SERS’ CAFR. Also included is a discussion of employer and
employee obligations to contribute, and the authority under
which those obligations are established.
Funding Policy
ISBI pays employer retirement contributions based upon an
actuarially determined percentage of payroll. For fiscal year
2009 and 2008 the employer contribution rates were 21.049%
and 16.561%, respectively. ISBI contributions to SERS for
fiscal years 2009 and 2008 were $241,690 and $172,154,
respectively, and were equal to the required contributions for
each fiscal year.
Effective for pay periods beginning after December 31, 1991,
the Board opted to pay the employee portion of retirement for
ISBI employees covered by the State Employees’ Retirement
Systems. Generally, this pickup of employee retirement was
part of the budget process and was, in part, a substitute for
salary increases. ISBI contributions to SERS for the employee
portion for fiscal years 2009 and 2008 were $44,104 and
$37,225, respectively.
Post-retirement Benefits
The State provides health, dental, and life insurance benefits
for retirees and their dependents in a program administered
by the Department of Healthcare and Family Services along
Note 4
Pensions
with the Department of Central Management Services.
Substantially all State employees become eligible for post-employment
benefits if they eventually become annuitants of
one of the State sponsored pension plans. Health, dental and
vision benefits include basic benefits for annuitants under the
State’s self-insurance plan and insurance contracts currently
in force. Annuitants may be required to contribute towards
health, dental and vision benefits with the amount based on
factors such as date of retirement, years of credited service
with the State, whether the annuitant is covered by Medicare,
and whether the annuitant has chosen a managed health care
plan. Annuitants who retired prior to January 1, 1998, and who
are vested in the State Employees’ Retirement System, do not
contribute toward health, dental and vision benefits. For
annuitants who retired on or after January 1, 1998, the
annuitant’s contribution amount is reduced five percent for
each year of credited service with the State allowing those
annuitants with twenty or more years of credited service to
not have to contribute towards health, dental and vision
benefits. Annuitants also receive life insurance coverage
equal to the annual salary of the last day of employment until
age 60, at which time the benefits become $5,000.
The total cost of the State’s portion of health, dental, vision
and life insurance benefits of all members including post-employment
health, dental, vision and life insurance benefits,
is recognized as an expenditure by the State in the Illinois
Comprehensive Annual Financial Report. The State finances
the cost on a pay-as-you-go basis. The total costs incurred for
health, dental, vision and life insurance benefits are not
separated by department of component unit for annuitants and
their dependents nor active employees and their dependents.
A summary of post-employment benefit provisions, changes in
benefit provisions, employee eligibility requirements including
eligibility for vesting, and the authority under which benefit
provisions are established are included as an integral part of
the financial statements of the Department of Healthcare and
Family Services. A copy of the financial statements of the
Department of Healthcare and Family Services may be
obtained by writing to the Department of Healthcare and
Family Services, 201 South Grand Ave., Springfield, Illinois
62763-3838.
26
ILLINOIS STATE BOARD OF INVESTMENT
Note 5
New Governmental Accounting Standards
Statement No. 51, Accounting and Financial Reporting for
Intangible Assets, establishes accounting and financial
reporting requirements for intangible assets (including certain
internally developed software). All intangible assets not
specifically excluded by the scope of this Statement should be
classified as capital assets. All existing authoritative guidance
for capital assets should be applied to those intangible assets,
as applicable. ISBI is required to implement this Statement for
the year ending June 30, 2010.
Statement No. 53, Accounting and Financial Reporting for
Derivative Instruments, issued June 2008, is effective for ISBI
beginning with its year ending June 30, 2010. This Statement
addresses the recognition, measurement, and disclosure of
information regarding derivative instruments entered into by
the State and local governments. Derivative instruments are
often complex financial arrangements used by governments to
manage specific risks or to make investments.
ISBI has not currently determined what impact, if any, these
Standards may have on its financial statements.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (CONTINUED)
27
ILLINOIS STATE BOARD OF INVESTMENT
SUPPLEMENTAL
FINANCIAL
INFORMATION
2009
28
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME % $ $ %
Government & Agency Obligations
U.S. Treasury
AAA AAA 5,295,000 UNITED STATES TREASURY BONDS 02/15/29 5.25 6,775,991 5,961,011 4.30 12.76
AAA AAA 7,300,000 UNITED STATES TREASURY NOTES 06/30/11 5.13 7,349,726 7,875,445 1.13 1.92
AAA AAA 5,600,000 UNITED STATES TREASURY NOTES 05/31/12 4.75 5,980,844 6,107,281 1.56 2.75
AAA AAA 6,200,000 UNITED STATES TREASURY NOTES 11/15/12 4.00 6,113,603 6,647,563 1.79 3.19
AAA AAA 3,000,000 UNITED STATES TREASURY NOTES 04/30/13 3.13 3,098,438 3,117,773 2.06 3.63
AAA AAA 8,900,000 UNITED STATES TREASURY NOTES 11/15/13 4.25 9,116,122 9,620,692 2.30 4.05
AAA AAA 7,000,000 UNITED STATES TREASURY NOTES 08/15/14 4.25 6,932,734 7,552,343 2.60 4.55
AAA AAA 8,000,000 UNITED STATES TREASURY NOTES 02/15/15 4.00 7,958,880 8,502,187 2.79 5.08
AAA AAA 6,300,000 UNITED STATES TREASURY NOTES 05/15/15 4.13 6,446,205 6,722,297 2.88 5.19
AAA AAA 4,100,000 UNITED STATES TREASURY NOTES 05/15/17 4.50 4,360,895 4,425,758 3.34 6.59
AAA AAA 5,000,000 US TREASURY N/B 06/15/12 1.88 5,006,250 5,036,719 1.62 2.89
AAA AAA 4,000,000 US TREASURY N/B 05/15/39 4.25 3,762,829 3,960,625 4.31 16.95
Total US Treasury 72,902,517 75,529,694
Federal Agency & Other Governments
AAA AAA 10,000,000 FEDERAL FARM CREDIT BANK 09/13/10 5.25 10,576,104 10,531,291 0.85 1.16
AAA AAA 5,000,000 FEDERAL FARM CREDIT BANK 10/03/11 3.50 5,217,100 5,221,358 1.49 2.17
AAA AAA 10,500,000 FEDERAL FARM CREDIT BANK 10/17/12 4.50 11,341,700 11,265,623 2.09 3.08
AAA AAA 8,500,000 FEDERAL HOME LOAN BANK 09/18/09 5.00 8,659,860 8,586,481 0.37 0.22
AAA AAA 13,500,000 FEDERAL HOME LOAN BANK 05/14/10 7.63 14,426,095 14,330,808 0.85
AAA AAA 4,100,000 FEDERAL HOME LOAN BANK 12/10/10 4.75 4,062,977 4,295,316 0.89 1.40
AAA AAA 7,000,000 FEDERAL HOME LOAN BANK 08/19/11 5.38 7,624,940 7,593,258 1.54 2.01
AAA AAA 3,500,000 FEDERAL HOME LOAN BANK 10/13/11 5.00 3,791,935 3,775,061 1.49 2.16
AAA AAA 35,660,000 FEDERAL HOME LOAN BANK 05/15/12 5.75 38,932,231 39,586,733 1.74 2.68
AAA AAA 10,800,000 FEDERAL HOME LOAN BANK 02/27/13 3.38 11,335,584 11,217,552 2.37 3.44
AAA AAA 5,600,000 FEDERAL HOME LOAN BANK 09/06/13 4.00 5,588,675 5,896,726 2.67 3.86
AAA AAA 24,900,000 FEDERAL HOME LOAN BANK 09/16/13 4.50 26,953,602 26,721,975 2.69 3.85
AAA AAA 7,000,000 FEDERAL HOME LOAN BANK 11/27/13 4.88 6,975,038 7,606,288 2.75 4.02
AAA AAA 10,500,000 FEDERAL HOME LOAN BANK 06/18/14 5.25 11,810,580 11,577,154 2.99 4.46
AAA AAA 880,000 FEDERAL HOME LOAN BANK 08/13/14 5.50 932,057 981,056 3.03 4.49
AAA AAA 12,500,000 FEDERAL HOME LOAN BANK 12/16/16 4.75 13,285,250 13,386,168 3.66 6.46
AAA AAA 5,000,000 FEDERAL HOME LOAN MTG CORP. 07/16/10 3.25 5,140,450 5,132,826 0.54 1.01
AAA AAA 10,500,000 FEDERAL HOME LOAN MTG CORP. 09/15/10 6.88 11,321,070 11,265,146 1.00 1.16
AAA AAA 18,300,000 FEDERAL HOME LOAN MTG CORP. 07/18/11 5.25 19,179,836 19,767,373 1.33 1.92
AAA AAA 7,000,000 FEDERAL HOME LOAN MTG CORP. 01/15/12 5.75 7,774,630 7,723,203 1.59 2.35
AAA AAA 5,000,000 FEDERAL HOME LOAN MTG CORP. 03/05/12 4.75 5,169,150 5,401,686 1.70 2.51
AAA AAA 7,000,000 FEDERAL HOME LOAN MTG CORP. 03/23/12 2.13 7,080,600 7,069,805 1.78 2.64
AAA AAA 19,000,000 FEDERAL HOME LOAN MTG CORP. 07/15/12 5.13 20,903,715 20,783,785 1.87 2.80
AAA AAA 7,400,000 FEDERAL HOME LOAN MTG CORP. 01/15/15 4.50 7,365,213 7,924,232 3.05 4.92
AAA AAA 9,855 FEDERAL HOME LOAN MTG CORP. 07/15/15 5.50 9,968 10,509 3.19 2.40
AAA AAA 10,700,000 FEDERAL HOME LOAN MTG CORP. 07/17/15 4.38 10,589,638 11,332,519 3.15 5.34
AAA AAA 12,200,000 FEDERAL HOME LOAN MTG CORP. 11/17/15 4.75 13,612,881 13,145,145 3.36 5.63
AAA AAA 23,870 FEDERAL HOME LOAN MTG CORP. 05/15/16 5.88 23,903 24,554 1.59 (1.37)
AAA AAA 4,300,000 FEDERAL HOME LOAN MTG CORP. 07/18/16 5.50 4,938,653 4,804,805 3.56 5.93
AAA AAA 23,226 FEDERAL HOME LOAN MTG CORP. 10/15/16 4.00 22,544 23,743 1.91 0.51
AAA AAA 17,891 FEDERAL HOME LOAN MTG CORP. 12/15/22 5.00 17,787 18,344 2.40 0.08
AAA AAA 16,218 FEDERAL HOME LOAN MTG CORP. 01/15/31 5.50 16,129 16,926 3.20 0.70
AAA AAA 12,176,729 FEDERAL HOME LOAN PC POOL G03696 01/01/38 5.50 12,187,194 12,591,023 3.83 2.28
AAA AAA 347 FEDERAL HOME LOAN PC POOL 140864 07/01/09 9.00 335 346 3.37 0.12
AAA AAA 1 FEDERAL HOME LOAN PC POOL 1G0794 04/01/36 1.00 1 1 2.77 0.10
AAA AAA 520,114 FEDERAL HOME LOAN PC POOL B17621 01/01/20 5.00 512,149 543,011 3.20 2.02
AAA AAA 1,049,940 FEDERAL HOME LOAN PC POOL B19580 07/01/20 5.00 1,050,843 1,095,178 3.67 0.00
AAA AAA 2,326,322 FEDERAL HOME LOAN PC POOL G11769 10/01/20 5.00 2,329,775 2,426,554 3.20 2.01
AAA AAA 3,453,048 FEDERAL HOME LOAN PC POOL G11777 10/01/20 5.00 3,458,173 3,601,825 3.25 1.99
AAA AAA 554,978 FEDERAL HOME LOAN PC POOL G11879 10/01/20 5.00 555,802 579,410 3.20 1.98
AAA AAA 1,716,429 FEDERAL HOME LOAN PC POOL G11880 12/01/20 5.00 1,717,904 1,789,310 3.25 1.99
AAA AAA 2,113,456 FEDERAL HOME LOAN PC POOL G12221 06/01/21 5.50 2,111,804 2,227,054 3.32 1.52
AAA AAA 310,635 FEDERAL HOME LOAN PC POOL G18053 05/01/20 5.00 311,097 324,019 3.20 1.95
AAA AAA 30,802 FEDERAL HOME LOAN PC POOL J02514 09/01/20 5.00 30,828 32,130 3.75 0.00
AAA AAA 323,844 FEDERAL HOME LOAN PC POOL M80807 03/01/10 4.50 324,564 326,481 1.94 0.63
AAA AAA 13,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/15/10 6.63 14,078,450 14,039,398 0.80 1.33
AAA AAA 6,500,000 FEDERAL NATIONAL MORTGAGE ASSN. 03/15/11 5.50 7,014,295 6,975,264 1.06 1.62
AAA AAA 7,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 10/15/11 5.00 7,610,730 7,566,530 1.40 2.17
AAA AAA 13,400,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/15/11 5.38 14,831,820 14,615,840 1.48 2.25
AAA AAA 6,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 01/09/12 2.00 6,063,060 6,064,668 1.59 2.45
AAA AAA 43,341,000 FEDERAL NATIONAL MORTGAGE ASSN. 09/15/12 4.38 45,376,794 46,505,565 2.06 3.00
AAA AAA 11,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/19/12 4.75 12,052,310 11,911,404 2.06 3.16
AAA AAA 14,131,000 FEDERAL NATIONAL MORTGAGE ASSN. 02/12/13 3.63 15,037,155 14,813,482 2.14 3.39
AAA AAA 26,166,000 FEDERAL NATIONAL MORTGAGE ASSN. 10/15/13 4.63 27,433,370 28,260,455 2.65 3.92
AAA AAA 12,200,000 FEDERAL NATIONAL MORTGAGE ASSN. 04/15/15 5.00 13,763,064 13,352,891 3.19 5.11
AAA AAA 12,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 07/15/16 5.38 13,548,740 13,338,419 3.46 5.95
AAA AAA 53,438 FNMA POOL 254546 12/01/17 5.50 54,446 56,544 3.21 2.11
29
ILLINOIS STATE BOARD OF INVESTMENT
Federal Agency & Other Governments (continued)
AAA AAA 295,329 FNMA POOL 254591 01/01/18 5.50 300,901 312,495 3.21 2.08
AAA AAA 33,256 FNMA POOL 254761 06/01/18 5.50 33,863 35,179 3.21 2.06
AAA AAA 191,988 FNMA POOL 323842 07/01/14 5.50 196,683 201,288 2.14 1.64
AAA AAA 400,307 FNMA POOL 357327 01/01/18 5.00 402,465 419,931 3.08 2.03
AAA AAA 9,276 FNMA POOL 452341 12/01/13 5.50 9,501 9,725 2.28 0.00
AAA AAA 1,079,107 FNMA POOL 545378 12/01/11 5.41 1,121,148 1,150,390 4.48 4.99
AAA AAA 275,643 FNMA POOL 545968 10/01/17 5.50 281,212 291,837 3.10 2.02
AAA AAA 142,661 FNMA POOL 555471 04/01/18 5.50 145,544 151,043 3.10 2.04
AAA AAA 221,788 FNMA POOL 555531 06/01/33 5.50 222,741 230,113 4.25 3.19
AAA AAA 70,730 FNMA POOL 555880 11/01/33 5.50 71,011 73,385 4.25 3.10
AAA AAA 1,090 FNMA POOL 570778 03/01/16 5.50 1,114 1,152 2.87 2.04
AAA AAA 16,234 FNMA POOL 617271 01/01/17 5.50 16,571 17,163 3.10 2.04
AAA AAA 34,983 FNMA POOL 660629 10/01/17 5.50 35,690 37,038 3.07 0.00
AAA AAA 80,004 FNMA POOL 668339 11/01/17 5.50 81,596 84,679 3.21 2.05
AAA AAA 28,298 FNMA POOL 678542 02/01/18 5.50 28,864 29,952 3.24 0.00
AAA AAA 140,733 FNMA POOL 696569 04/01/18 5.50 143,389 148,913 3.21 2.01
AAA AAA 377,896 FNMA POOL 725162 02/01/34 6.00 384,952 398,223 4.22 2.95
AAA AAA 572,698 FNMA POOL 725519 05/01/19 5.50 583,146 605,808 3.21 2.11
AAA AAA 187,952 FNMA POOL 727361 08/01/18 5.00 188,965 196,931 3.40 0.00
AAA AAA 267,773 FNMA POOL 728803 08/01/18 5.00 269,216 280,732 3.22 0.00
AAA AAA 281,402 FNMA POOL 735611 03/01/20 5.50 287,000 297,840 3.21 1.99
AAA AAA 103,932 FNMA POOL 738259 10/01/18 5.50 105,763 109,908 3.24 1.91
AAA AAA 39,862 FNMA POOL 740987 10/01/18 5.50 40,527 42,154 3.24 1.72
AAA AAA 2,289,708 FNMA POOL 745193 06/01/20 5.50 2,331,470 2,422,081 3.21 2.08
AAA AAA 4,452,733 FNMA POOL 745275 02/01/36 5.00 4,547,946 4,548,049 4.43 3.52
AAA AAA 644,267 FNMA POOL 745813 03/01/20 5.00 646,935 674,643 3.41 0.00
AAA AAA 47,811 FNMA POOL 773074 04/01/34 5.50 47,986 49,590 4.27 0.00
AAA AAA 1,859,838 FNMA POOL 835760 09/01/35 4.50 1,884,248 1,863,034 4.39 4.04
AAA AAA 16,571 FNMA POOL 836464 10/01/35 1.00 16,569 16,813 2.27 0.08
AAA AAA 3,587 FNMA POOL 836852 10/01/35 1.00 3,585 3,637 2.25 0.07
AAA AAA 1 FNMA POOL 844052 11/01/35 1.00 1 1 2.24 0.08
AAA AAA 7,011,817 FNMA POOL 888129 02/01/37 5.50 7,213,522 7,256,410 3.57 1.84
AAA AAA 3,773,767 FNMA POOL 888268 03/01/37 6.00 3,903,090 3,956,706 3.13 0.68
AAA AAA 307,249 FNMA POOL 888285 03/01/37 6.50 324,531 327,808 2.63 0.71
AAA AAA 5,030,129 FNMA POOL 889554 04/01/38 6.00 5,223,475 5,268,471 4.38 0.00
AAA AAA 5,457,325 FNMA POOL 889579 05/01/38 6.00 5,638,466 5,714,204 3.27 1.12
AAA AAA 5,511,811 FNMA POOL 889658 06/01/38 6.50 5,712,120 5,878,907 2.63 0.97
AAA AAA 8,194,022 FNMA POOL 889802 07/01/37 5.00 8,078,094 8,369,425 4.21 3.16
AAA AAA 873,754 FNMA POOL 889852 05/01/35 5.50 877,235 906,418 0.00
AAA AAA 830,953 FNMA POOL 897936 08/01/21 5.50 833,290 875,357 3.05 1.21
AAA AAA 1 FNMA POOL 913990 02/01/37 1.00 1 1 2.69 0.00
AAA AAA 1 FNMA POOL 933953 07/01/38 5.00 1 1 4.35 3.69
AAA AAA 1 FNMA POOL 934313 06/01/38 5.00 1 1 4.35 3.76
AAA AAA 1 FNMA POOL 934329 07/01/38 5.00 1 1 4.53 0.00
AAA AAA 1 FNMA POOL 953611 03/01/38 5.00 1 1 4.39 0.00
AAA AAA 3,913,505 FNMA POOL 961921 03/01/38 5.00 3,876,205 3,989,941 4.10 3.36
AAA AAA 1 FNMA POOL 962767 04/01/38 5.00 1 1 4.51 0.00
AAA AAA 1 FNMA POOL 968294 02/01/38 5.00 1 1 4.10 3.39
AAA AAA 1 FNMA POOL 969007 02/01/38 5.00 1 1 4.10 3.42
AAA AAA 1 FNMA POOL 970022 06/01/38 5.00 1 1 4.35 3.81
AAA AAA 1 FNMA POOL 974385 04/01/38 5.00 1 1 4.10 3.42
AAA AAA 1 FNMA POOL 975639 07/01/38 5.00 1 1 4.35 3.75
AAA AAA 1 FNMA POOL 981525 07/01/38 5.00 1 1 4.35 3.80
AAA AAA 1 FNMA POOL 981635 06/01/38 5.00 1 1 4.47 0.00
AAA AAA 1 FNMA POOL 984819 07/01/38 5.00 1 1 4.35 3.77
AAA AAA 4,000,000 FREDDIE MAC 04/26/11 1.63 3,998,120 4,025,600 1.20 1.79
AAA AAA 7,900,000 FREDDIE MAC 01/15/14 4.50 7,931,503 8,488,665 2.73 4.10
AAA AAA 38,868 GNMA II POOL 003830 03/20/36 5.50 38,607 40,251 4.13 2.46
AAA AAA 2,031,562 GNMA II POOL 003864 06/20/36 5.50 2,016,325 2,103,857 3.86 2.13
AAA AAA 252,625 GNMA II POOL 004217 08/20/38 6.50 256,148 266,125 3.43 1.83
AAA AAA 22,610 GNMA II POOL 080916 05/20/34 3.75 21,825 22,939 1.81 1.58
AAA AAA 509,859 GNMA II POOL 616649 10/20/24 5.50 524,517 529,357 4.14 1.87
AAA AAA 502 GNMA POOL 136272 10/15/15 10.00 511 568 5.20 1.32
AAA AAA 139 GNMA POOL 140143 02/15/16 10.50 143 158 5.32 1.20
AAA AAA 3,709 GNMA POOL 153366 02/15/16 10.00 3,771 4,213 5.45 1.29
AAA AAA 932 GNMA POOL 159455 04/15/16 10.00 947 1,059 5.45 1.26
AAA AAA 7,371 GNMA POOL 169345 07/15/19 10.00 7,496 8,519 5.09 0.91
AAA AAA 296 GNMA POOL 186289 11/15/18 10.00 301 340 5.08 1.07
AAA AAA 369 GNMA POOL 224963 11/15/17 10.00 375 423 5.08 1.05
AAA AAA 5,018 GNMA POOL 227416 06/15/19 10.50 5,163 5,870 4.01 0.59
AAA AAA 4,318 GNMA POOL 248669 09/15/20 10.00 4,391 5,001 5.09 1.21
AAA AAA 345 GNMA POOL 257398 09/15/18 10.00 351 393 5.45 1.24
AAA AAA 3,099 GNMA POOL 257979 06/15/19 10.50 3,189 3,381 5.14 1.16
AAA AAA 6,305 GNMA POOL 260471 08/15/18 10.00 6,411 7,253 5.15 0.98
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
30
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (CONTINUED)
Federal Agency & Other Governments (continued)
AAA AAA 1,065 GNMA POOL 260751 10/15/18 10.00 1,083 1,225 5.15 0.99
AAA AAA 1,356 GNMA POOL 261915 11/15/18 10.00 1,379 1,545 5.45 1.23
AAA AAA 3,545 GNMA POOL 263171 11/15/18 10.00 3,604 4,083 5.15 0.99
AAA AAA 1,206 GNMA POOL 273972 08/15/20 10.00 1,226 1,398 6.03 1.47
AAA AAA 305 GNMA POOL 274337 05/15/19 10.00 310 351 5.15 1.02
AAA AAA 128 GNMA POOL 278737 09/15/19 10.00 130 133 5.50 0.50
AAA AAA 2,761 GNMA POOL 278790 06/15/19 10.00 2,807 3,191 5.09 0.85
AAA AAA 1,464 GNMA POOL 283915 06/15/20 10.00 1,488 1,680 5.08 1.32
AAA AAA 424 GNMA POOL 291443 08/15/20 10.00 431 491 6.03 1.42
AAA AAA 823 GNMA POOL 298521 10/15/20 10.00 837 942 5.08 1.45
AAA AAA 1,262,338 GNMA POOL 605107 03/15/34 5.50 1,287,585 1,311,796 4.22 2.68
AAA AAA 1 GNMA POOL 637313 12/15/34 5.00 1 1 4.15 2.86
AAA AAA 1 GNMA POOL 650080 11/15/35 5.00 1 1 4.52 0.00
AAA AAA 1,560,989 GNMA POOL 651861 06/15/36 6.00 1,572,892 1,633,063 3.57 1.75
AAA AAA 1,640,240 GNMA POOL 676390 01/15/38 6.00 1,657,411 1,713,923 3.54 1.84
AAA AAA 1 GNMA POOL 781885 03/15/35 5.00 1 1 4.15 2.68
A2 A- 12,000,000 ISRAEL ST 02/01/13 5.00 12,000,000 11,999,760
Total Federal Agency & Other Governments 583,596,522 589,489,195
Total Government & Agency Obligations 656,499,039 665,018,889
Foreign Obligations
Yankee Bonds
B2 B 614,000 ASHTEAD HLDGS PLC 08/01/15 8.63 343,840 523,435 12.12 4.38
AA1 AA 1,800,000 BP CAPITAL MARKETS PLC 11/07/13 5.25 1,798,830 1,892,990 3.42 3.92
A3 A- 1,140,000 CANADIAN NATL RY CO 01/15/14 4.95 1,146,167 1,193,431 3.89 4.03
AA1 A+ 1,500,000 DEUTSCHE BK AG 05/20/13 4.88 1,502,610 1,540,778 4.13 3.54
BAA1 BBB+ 1,900,000 DEUTSCHE TELEKOM INT FIN 07/08/19 6.00 1,888,049 1,899,728 5.88 7.72
A3 A- 3,630,000 DIAGEO CAP PLC 01/15/14 7.38 3,671,503 4,116,459 4.17 3.79
BA3 BB- 2,500,000 INTERGEN NV 06/30/17 9.00 2,479,725 2,368,750 9.97 5.60
B3 B 3,110,000 NOVELIS INC 02/15/15 7.25 2,989,550 2,363,600 13.47 4.21
B2 B 328,000 NTL CABLE PLC 04/15/14 8.75 346,040 319,800 9.40 3.72
C CC 1,328,000 NXP B V/NXP FDG LLC 10/15/14 7.88 1,032,520 604,240 28.34 3.38
B2 B 2,092,000 QUEBECOR MEDIA INC 03/15/16 7.75 2,099,213 1,895,876 9.68 5.13
CAA3 CCC- 3,276,000 SENSATA TECHNOLOGIES B V 05/01/14 8.00 3,305,250 1,609,335 27.70 3.24
BA2 BB+ 5,000,000 STENA AB 11/01/13 7.50 5,043,750 4,212,500 12.29 3.51
BA2 BB+ 758,000 TECK RESOURCES LIMITED 05/15/16 10.25 717,477 794,005 9.29 4.81
BA2 BB+ 2,124,000 TECK RESOURCES LIMITED 144A 05/15/19 10.75 2,015,527 2,283,300 9.55 5.79
A3 A- 1,500,000 TRANSCANADA PIPELINES LTD 01/15/19 7.13 1,590,270 1,699,885 5.42 7.01
BA2 BB- 385,000 VIDEOTRON LTEE 01/15/14 6.88 397,051 356,125 8.92 3.71
BA2 BB- 886,000 VIDEOTRON LTEE 04/15/18 9.13 872,108 900,398 8.86 5.79
B2 B 2,703,000 VIRGIN MEDIA FINANCE PLC 08/15/16 9.50 2,714,469 2,662,455 9.78 5.15
Total Yankee Bonds 35,953,949 33,237,090
Total Foreign Obligations 35,953,949 33,237,090
Corporate Obligations
Finance
A3 A- 2,875,000 ALLSTATE CORP 12/01/09 7.20 3,143,946 2,925,640 3.38 0.42
A2 BBB+ 2,900,000 AMERICAN EXPRESS CEN BANK NEW 06/12/17 5.95 2,938,048 2,690,068 7.43 6.28
A2 BBB+ 1,725,000 AMERICAN EXPRESS CREDIT CORP. 08/20/13 7.30 1,768,227 1,805,264 6.19 3.50
B3 B 1,962,000 ARAMARK CORP. 02/01/15 8.50 2,017,181 1,903,140 9.20 4.19
BA2 BB+ 2,500,000 AXCAN INTERMEDIATE HOLD 03/01/15 9.25 2,468,425 2,512,500 9.13 4.20
A2 A 7,300,000 BANK AMER. CORP. 01/15/13 4.88 7,359,160 7,129,295 5.25 3.17
A2 A 2,210,000 BANK AMER. CORP. 10/14/16 5.63 2,252,687 2,020,227 7.36 5.86
A2 A 1,210,000 BANK AMER. CORP. 12/01/17 5.75 1,136,146 1,089,314 7.53 6.59
AA2 AA- 500,000 BANK NEW YORK INC MED TERM SR 04/01/13 4.50 499,485 516,976 3.99 3.43
A2 A 400,000 BANK OF AMERICA CORP. 06/01/19 7.63 396,976 399,124 7.55 7.05
AAA AAA 6,000,000 BANK OF AMERICA CORP. 06/15/12 3.13 5,996,940 6,187,055 2.03 2.84
AA3 A+ 2,700,000 BEAR STEARNS & CO INC. 11/15/14 5.70 2,810,462 2,776,348 5.29 4.64
CAA2 CCC- 5,200,000 BEAZER HOMES USA INC. 07/15/15 6.88 5,119,300 2,444,000 23.89 3.84
AA2 AAA 3,900,000 BERKSHIRE HATHAWAY FIN. CORP. 01/15/15 4.85 4,036,953 4,083,880 4.02 4.84
A2 A+ 975,000 CHUBB CORP. 05/15/38 6.50 994,810 1,053,222 5.89 13.56
BA2 BB- 4,000,000 CIT GROUP INC. NEW 11/03/09 4.13 3,893,430 3,791,680 20.29 0.31
A3 A 8,190,000 CITIGROUP INC. 01/18/11 6.50 8,417,250 8,366,910 5.44 1.42
AAA AAA 2,900,000 CITIGROUP INC. 04/30/12 2.13 2,925,520 2,909,093 1.96 2.75
A3 A 3,865,000 CITIGROUP INC. 04/11/13 5.50 3,746,963 3,651,053 7.43 3.32
A3 A 600,000 CITIGROUP INC. 05/22/19 8.50 619,740 609,016 8.24 6.76
AAA AAA 3,300,000 CITIGROUP INC. 12/09/10 1.18 3,300,000 3,325,713 0.52 0.20
CAA1 CCC+ 2,698,000 FORD MOTOR CREDIT CO. 12/15/16 8.00 2,596,825 2,062,702 13.03 5.22
B3 B 3,026,000 GCI INC 02/15/14 7.25 2,964,541 2,761,225 9.64 3.74
AA2 AA+ 2,535,000 GENERAL ELECTRIC CAPITAL CORP. 01/19/10 7.38 2,795,288 2,600,045 1.86 0.53
A2 AA+ 2,665,000 GENERAL ELECTRIC CAPITAL CORP. 10/19/12 5.25 2,788,896 2,730,766 4.33 3.01
AA2 AA+ 1,195,000 GENERAL ELECTRIC CAPITAL CORP. 03/15/32 6.75 1,246,286 1,061,295 7.71 10.77
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
31
ILLINOIS STATE BOARD OF INVESTMENT
Finance (continued)
BAA2 BBB- 3,000,000 GLENCORE FDG LLC 04/15/14 6.00 2,904,032 2,499,754 10.74 3.95
CA CCC 1,117,000 GMAC LLC 09/15/11 6.88 918,107 977,375 13.61 1.91
AAA AAA 3,900,000 GMAC LLC 12/19/12 2.20 3,893,799 3,885,859 2.32 3.36
A1 A 3,220,000 GOLDMAN SACHS GROUP 01/18/18 5.95 3,178,536 3,170,979 6.41 6.60
A1 A 8,500,000 GOLDMAN SACHS GROUP 01/15/16 5.35 8,090,609 8,376,412 5.77 5.43
A1 A 985,000 GOLDMAN SACHS GROUP 11/01/12 5.45 1,015,249 1,022,700 4.34 3.04
A1 A 8,400,000 J P MORGAN CHASE & CO. 01/02/13 5.75 8,365,560 8,700,059 4.77 3.10
AAA AAA 3,100,000 JOHN DEERE CAPITAL CORP. FDIC GT 06/19/12 2.88 3,193,734 3,174,735 2.01 2.86
AA3 A+ 3,715,000 JPMORGAN CHASE & CO. FORMERLY 01/15/18 6.00 3,929,764 3,685,238 6.10 6.61
BAA2 BBB- 2,190,000 MARSH & MCLENNAN COS INC. 07/15/14 5.38 2,026,463 2,098,413 6.35 4.30
A2 A 2,580,000 MERRILL LYNCH & CO INC. 02/05/13 5.45 2,535,528 2,528,622 6.29 3.17
A2 A 4,700,000 MORGAN STANLEY 04/28/15 6.00 4,659,439 4,738,615 6.05 4.90
A2 A 2,565,000 MORGAN STANLEY 12/28/17 5.95 2,229,989 2,506,890 6.29 6.77
A2 A 4,000,000 MORGAN STANLEY GROUP INC. 03/01/13 5.30 4,002,240 4,045,335 4.91 3.28
A1 A+ 3,150,000 NATIONAL RURAL UTILITIESS COOP FIN. 11/01/18 10.38 3,741,337 4,312,751 6.67 6.42
A1 AA- 1,500,000 NORTHERN TRUST CORP. 08/15/13 5.50 1,521,355 1,600,257 3.90 3.66
CAA3 CCC 1,896,000 NUVEEN INVESTMENTS INC. 11/15/15 10.50 1,911,998 1,308,240 19.10 4.06
BAA1 A- 2,726,000 PPF FDG INC. 04/15/17 5.70 1,690,120 1,662,328 14.06 5.57
BA1 BB 2,495,000 TEPPCO PARTNERS LP 06/01/67 7.00 2,399,705 1,872,772 11.96 5.66
A2 A- 3,865,000 TRAVELERS COS INC 06/15/12 5.38 3,871,869 4,057,498 4.75 2.72
AA2 A+ 4,250,000 US BANK NAT'L ASSN. CINCINNATI OH 10/30/14 4.95 4,254,506 4,347,469 4.27 4.71
BA1 BBB- 1,002,000 VENTAS REALTY LTD PARTNERSHIP 06/01/15 7.13 1,002,000 966,930 7.87 4.78
AA3 AA- 1,275,000 WACHOVIA BANK NAT'L ASSN. 11/15/17 6.00 1,122,000 1,174,601 5.88 6.66
AA3 AA- 1,200,000 WACHOVIA BANK NAT'L ASSN. 02/01/37 5.85 1,204,380 1,024,804 6.80 12.47
A1 AA- 2,000,000 WACHOVIA CORP. 05/01/13 5.50 2,027,360 2,043,039 4.55 3.44
A1 AA- 3,100,000 WELLS FARGO & CO. NEW 01/15/10 4.20 3,030,157 3,128,910 2.04 0.53
AA3 AA- 7,200,000 WELLS FARGO BANK NAT'L ASSN. 05/16/16 5.75 7,263,526 6,967,781 6.10 5.69
Total Finance 164,216,847 159,283,917
Industrials
A1 AA 4,443,000 ABBOTT LABS 05/15/16 5.88 4,788,528 4,909,889 4.34 5.79
BA2 BB- 3,974,000 ACE HARDWARE CORP. 06/01/16 9.13 3,918,364 3,904,455 9.47 4.98
BA3 BB+ 509,000 AES CORP. 05/15/13 8.75 567,535 516,635 8.28 2.58
B1 BB- 723,000 AES CORP. 10/15/17 8.00 723,000 672,390 9.22 5.90
BAA1 BBB 965,000 ALTRIA GROUP INC. 11/10/13 8.50 1,014,507 1,087,961 4.97 3.70
BAA1 BBB 950,000 ALTRIA GROUP INC. 11/10/18 9.70 1,056,837 1,100,395 7.52 6.38
A2 BBB+ 1,440,000 AMERICAN EXPRESS BANK 10/17/12 5.55 1,457,107 1,450,726 5.47 2.98
A2 A 3,500,000 ARCHER DANIELS MIDLAND CO. 03/15/18 5.45 3,586,312 3,633,860 4.72 7.05
CAA1 B- 3,022,000 ASBURY AUTOMOTIVE GROUP INC. 03/15/14 8.00 2,963,945 2,508,260 12.93 3.65
CAA1 B- 91,000 ASBURY AUTOMOTIVE GROUP INC. 03/15/17 7.63 91,000 64,610 13.86 5.20
B2 B 1,334,000 ASHTEAD CAP INC. 08/15/16 9.00 1,346,003 1,130,565 12.27 4.87
A2 A 3,000,000 AT&T INC. 02/15/14 4.85 2,999,820 3,108,911 3.96 4.11
CAA2 CCC 1,928,000 ATLAS PIPELINE PARTNERS LP 06/15/18 8.75 1,928,000 1,320,680 15.33 5.50
BA3 BB+ 750,000 BE AEROSPACE INC. 07/01/18 8.50 750,000 706,875 9.46 6.19
BA2 B+ 828,000 BELDEN INC NEW 03/15/17 7.00 828,000 732,780 9.11 5.73
A2 A 2,325,000 BELLSOUTH CAP FDG CORP. 02/15/10 7.75 2,491,503 2,396,827 2.72 0.60
BAA3 BBB 2,900,000 BROWNING FERRIS INDS INC. 05/01/21 9.25 3,200,875 3,006,558 8.61 7.32
B2 BB- 4,000,000 BUCKEYE TECHNOLOGIES INC. 10/01/13 8.50 4,251,250 3,720,000 10.58 3.42
BAA1 BBB 1,450,000 BURLINGTON NORTHN SANTA FE CORP. 07/01/12 5.90 1,526,575 1,539,693 3.80 2.77
BAA2 BBB+ 2,355,000 CARDINAL HEALTH INC. 06/15/13 5.50 2,314,997 2,374,314 5.69 3.54
BA3 BB+ 3,420,000 CASE CORP. 01/15/16 7.25 3,352,870 3,082,275 9.30 4.94
B2 B 2,427,000 CELLU TISSUE HOLDINGS 06/01/14 11.50 2,400,583 2,384,528 11.98 3.61
B2 B 4,002,000 CENTENNIAL COMMUNICATIONS CORP. 06/15/13 10.13 4,179,330 4,127,063 9.16 1.61
CAA1 B- 3,668,000 CENVEO CORPORATION 12/01/13 7.88 3,582,680 2,567,600 18.00 3.39
BA3 BB 1,641,000 CHESAPEAKE ENERGY CORP. 02/15/15 9.50 1,576,591 1,653,308 9.32 4.20
BA3 BB 3,000,000 CHESAPEAKE ENERGY CORP. 01/15/16 6.88 3,048,750 2,647,500 9.31 4.99
B3 B 1,188,000 CHS CMNTY HEALTH SYS INC 07/15/15 8.88 1,179,613 1,164,240 9.31 4.36
BA3 B+ 405,000 CINCINNATI BELL INC. NEW 07/15/13 7.25 388,800 370,575 9.85 3.30
B2 B- 3,913,000 CINCINNATI BELL INC. NEW 01/15/14 8.38 3,909,384 3,619,525 10.49 3.55
A1 A+ 1,700,000 CISCO SYSTEMS INC. 02/15/39 5.90 1,696,209 1,682,875 6.01 13.61
A1 A+ 500,000 CISCO SYSTEMS INC. 02/15/19 4.95 498,870 502,148 4.89 7.75
BA2 BB 4,225,000 CITIZENS COMMUNICATIONS CO. 01/15/13 6.25 4,023,663 3,887,000 8.93 3.02
AA3 AA 2,200,000 CME GROUP INC. 02/15/14 5.75 2,207,042 2,274,336 4.15 4.04
A3 A 2,315,000 COCA COLA ENTERPRISES INC. 03/03/14 7.38 2,479,194 2,760,318 3.97 3.98
BAA1 BBB+ 2,835,000 COMCAST CORP. NEW 02/15/18 5.88 2,747,957 2,902,641 5.67 6.78
B3 B- 3,500,000 COMMUNICATIONS & PWR INDS INC. 02/01/12 8.00 3,567,500 3,368,750 9.67 2.21
BAA2 BBB 700,000 CONAGRA INC. 04/15/19 7.00 719,026 770,874 5.70 7.30
BAA2 BBB 248,000 CONAGRA INC. 10/01/26 7.13 265,916 256,087 7.28 9.82
BAA2 BBB 654,000 CONAGRA INC. 10/01/28 7.00 660,618 660,210 7.06 10.47
CAA2 BB- 2,526,000 CONNACHER OIL & GAS LTD 12/15/15 10.25 2,494,661 1,528,230 21.98 3.98
A1 A 1,000,000 CONOCOPHILLIPS 02/01/14 4.75 997,190 1,041,181 3.76 4.09
A1 A 2,000,000 CONOCOPHILLIPS 02/01/19 5.75 2,028,540 2,108,751 5.07 7.40
BA1 BBB 4,000,000 CONSOL ENERGY INC. 03/01/12 7.88 4,380,000 4,040,000 7.45 2.33
B1 B+ 64,000 COPANO ENERGY LLC 03/01/16 8.13 65,417 60,160 9.35 4.93
B3 B- 4,868,000 CRICKET COMMUNICATION 11/01/14 9.38 4,316,545 4,794,980 9.74 3.99
BA2 B+ 741,000 CRICKET COMMUNICATIONS I 05/15/16 7.75 712,353 713,213 8.48 5.14
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
32
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (CONTINUED)
Industrials (continued)
B3 B- 1,700,000 CRICKET COMMUNICATIONS INC. 07/15/15 10.00 1,700,000 1,687,250 11.41 4.25
B2 B+ 615,000 CROWN CASTLE INT'L CORP. 01/15/15 9.00 567,678 625,763 8.59 4.11
BA3 BB 776,000 CSC HLDGS INC. 02/15/19 8.63 744,855 754,660 9.06 6.35
BAA1 BBB+ 775,000 DEVON ENERGY CORP. NEW 01/15/14 5.63 777,372 813,490 4.31 3.96
BAA1 BBB+ 1,750,000 DEVON ENERGY CORP. NEW 01/15/19 6.30 1,766,970 1,858,487 5.37 7.24
BAA1 BBB+ 1,300,000 DEVON FING CORP ULC 09/30/11 6.88 1,410,032 1,400,305 2.89 2.07
WR D 2,115,000 DEX MEDIA WEST LLC 08/15/13 9.88 1,814,170 322,538 85.65 1.30
BA2 BB 3,410,000 DIRECT HOLDINGS 05/15/16 7.63 3,328,300 3,316,225 8.15 5.20
BA2 BB 1,375,000 DIRECTV HLDGS LLC 03/15/13 8.38 1,383,565 1,378,438 8.29 2.72
A2 A 2,090,000 DISNEY (WALT) CO. NEW MTN BK ENTR 03/01/12 6.38 2,197,050 2,288,810 2.54 2.44
B1 BB- 2,104,000 DRESSER RAND GROUP INC. 11/01/14 7.38 2,151,340 2,035,620 8.13 4.26
A2 A 2,100,000 DU PONT (E I) DE NEMOURS & CO. 01/15/13 5.00 2,176,230 2,214,694 3.45 3.20
A2 A 3,100,000 DU PONT (E I) DE NEMOURS & CO. 01/15/14 5.88 3,085,461 3,369,825 3.87 3.94
A2 A 1,500,000 DU PONT (E I) DE NEMOURS & CO. 07/15/18 6.00 1,574,685 1,614,770 4.94 7.08
B3 B 2,571,000 DYNEGY HOLDINGS INC. 06/01/19 7.75 2,487,300 2,002,166 11.55 6.42
A2 A 2,110,000 EMERSON ELEC CO. 08/15/10 7.13 2,356,841 2,231,900 1.75 1.07
BA1 BB 4,000,000 ENTERPRISE PRODS OPER LP 08/01/66 8.38 4,000,000 3,220,000 12.62 4.85
BA2 BB 1,822,000 EXPEDIA INC DEL 07/01/16 8.50 1,783,029 1,749,120 9.29 5.18
CAA1 B- 3,464,000 FIRST DATA CORP. 09/24/15 9.88 3,218,078 2,459,440 17.74 4.08
B2 B- 2,319,000 FISHER COMMUNICATIONS INC. 09/15/14 8.63 2,394,368 2,034,923 11.84 3.95
CAA1 CCC+ 3,400,000 FORD MOTOR CREDIT CO. 06/15/10 7.88 3,145,000 3,229,524 13.64 0.88
B1 BB- 1,264,000 FOREST OIL CORP. 06/15/19 7.25 1,267,790 1,131,280 8.86 6.89
BA3 B 1,400,000 FOUNDATION PA COAL CO. 08/01/14 7.25 1,466,500 1,372,000 7.73 3.98
BA2 BBB- 1,133,000 FREEPORT MCMORAN COPPER & GOLD 04/01/15 8.25 1,133,000 1,144,330 8.03 4.26
B1 B+ 85,000 GENERAL CABLE CORP. 04/01/17 7.13 85,000 77,138 8.79 5.76
A2 A 1,750,000 GENERAL DYNAMICS CORP. 02/01/14 5.25 1,741,740 1,870,044 3.61 4.03
AA2 AA+ 7,900,000 GENERAL ELECTRIC CO. 02/01/13 5.00 7,836,186 8,251,775 3.78 3.24
BAA1 BBB+ 9,525,000 GENERAL MILLS INC. 03/17/15 5.20 9,405,555 10,006,229 4.12 4.96
B2 B+ 3,000,000 GEORGIA PACIFIC CORP. 06/15/15 7.70 3,382,500 2,805,000 9.14 4.70
B3 B- 4,190,000 GIBRALTAR INDS INC. 12/01/15 8.00 4,135,043 3,142,500 14.03 4.66
A1 A+ 900,000 GLAXOSMITHKLINE CAP INC. 05/15/38 6.38 1,044,261 976,840 5.75 13.75
A1 A+ 2,000,000 GLAXOSMITHKLINE CAP INC. 05/15/18 5.65 1,783,840 2,125,267 4.77 7.19
B1 B+ 607,000 GOODYEAR TIRE & RUBBER 05/15/16 10.50 581,785 613,070 10.29 4.79
CAA1 B- 2,872,000 HCA INC. 03/15/14 5.75 2,569,883 2,297,600 11.35 3.87
B2 BB- 1,702,000 HCA INC. 11/15/16 9.63 1,797,116 1,684,980 9.81 5.08
CAA1 B- 2,571,000 HCA INC. 02/15/16 6.50 2,352,168 2,076,083 10.62 5.03
B3 B+ 1,988,000 HELIX ENERGY SOLUTIONS GROUP 01/15/16 9.50 1,632,238 1,814,050 11.43 4.55
BAA2 BBB- 2,460,000 HESS CORP. 02/15/19 8.13 2,520,833 2,807,203 6.19 6.84
A2 A 300,000 HEWLETT PACKARD CO. 05/27/11 2.25 299,901 298,586 2.08 1.86
A2 A 6,700,000 HEWLETT PACKARD CO. 03/01/12 5.25 6,620,337 7,108,928 2.58 2.47
A2 A 2,125,000 HEWLETT PACKARD CO. 03/01/13 4.50 2,136,000 2,212,047 3.34 3.36
A2 A 1,500,000 HEWLETT PACKARD CO. 03/01/14 6.13 1,493,415 1,653,426 3.72 4.07
B3 BB- 1,847,000 HILCORP ENERGY I L P 11/01/15 7.75 1,726,165 1,560,715 11.23 4.77
A2 A 8,200,000 HONEYWELL INT'L INC. 03/01/13 4.25 8,221,770 8,523,195 3.13 3.38
A2 A 2,250,000 HONEYWELL INT'L INC. 02/15/19 5.00 2,220,413 2,304,260 4.72 7.74
CAA2 D 3,000,000 HOVNANIAN K ENTERPRISES INC. 01/15/14 6.50 2,955,000 1,560,000 24.64 3.19
B3 CCC+ 4,805,000 IASIS HEALTHCARE LLC 06/15/14 8.75 4,998,550 4,708,900 9.26 3.87
B1 BB- 1,538,000 INGLES MARKET INC. 05/15/17 8.88 1,484,908 1,514,930 9.14 5.50
A1 A+ 8,318,000 INTERNATIONAL BUSINESS MACHINES 11/29/12 4.75 8,206,833 8,801,049 2.53 3.18
A1 A+ 900,000 INTERNATIONAL BUSINESS MACHINES 10/15/38 8.00 1,231,758 1,176,664 5.88 13.08
BAA3 BBB 1,986,000 INTERNATIONAL PAPER CO. 06/15/18 7.95 1,985,762 1,849,780 8.52 6.40
BAA3 BBB 1,500,000 INTERNATIONAL STL GROUP INC. 04/15/14 6.50 1,443,750 1,434,308 7.56 4.03
BA3 B+ 1,626,000 INTERPUBLIC GROUP COS 07/15/17 10.00 1,620,352 1,638,195 9.86 5.33
B2 B+ 1,489,000 INVACARE CORP. 02/15/15 9.75 1,495,261 1,503,890 9.51 3.96
B2 B+ 750,000 JARDEN CORP. 05/01/16 8.00 730,508 716,250 8.89 5.15
B3 B- 2,669,000 JARDEN CORP. 05/01/17 7.50 2,525,818 2,335,375 9.82 5.72
A3 BBB+ 2,465,000 KELLOGG CO. 03/06/13 4.25 2,451,936 2,531,824 3.39 3.38
A2 A 3,765,000 KIMBERLY CLARK CORP. 08/01/17 6.13 4,113,120 4,196,248 4.67 6.47
BAA2 BBB+ 7,100,000 KRAFT FOODS INC. 06/01/12 6.25 7,342,110 7,581,178 3.43 2.68
BAA2 BBB+ 1,675,000 KRAFT FOODS INC. 08/23/18 6.13 1,668,635 1,732,364 5.62 7.06
BAA2 BBB+ 1,250,000 KRAFT FOODS INC. 11/01/31 6.50 1,240,693 1,171,943 6.56 11.69
BAA2 BBB- 2,415,000 KROGER CO. 04/15/12 6.75 2,596,157 2,610,648 3.66 2.54
BAA2 BBB- 1,000,000 KROGER CO. 04/15/13 5.00 1,011,790 1,031,136 4.33 3.43
B2 B 2,899,000 LAMAR MEDIA CORP. 01/01/13 7.25 2,690,603 2,757,674 8.90 3.04
B2 B 1,263,000 LAMAR MEDIA CORP. 08/15/15 6.63 1,161,721 1,076,715 10.08 4.76
BAA1 A- 2,250,000 LOCKHEED MARTIN CORP. 05/01/16 7.65 2,579,515 2,664,780 4.67 5.51
CAA1 B- 3,750,000 M I HOMES INC. 04/01/12 6.79 3,724,275 3,000,000 16.15 2.31
B2 B+ 300,000 MARKWEST ENERGY PARTNERS LP 04/15/18 8.75 297,549 259,500 11.20 5.82
NR BB- 1,022,000 MASSEY ENERGY CO. 08/01/15 3.25 565,738 674,520 0.00
B2 BB- 3,456,000 MASSEY ENERGY CO. 12/15/13 6.88 3,435,645 3,162,240 9.24 3.76
A3 A 1,600,000 MCDONALDS CORP. 03/01/13 4.30 1,618,400 1,671,243 3.13 3.37
A3 A 900,000 MCDONALDS CORP. 10/15/37 6.30 1,013,850 988,073 5.73 13.63
BAA3 BBB+ 1,480,000 MCKESSON CORP. 02/01/12 7.75 1,604,690 1,617,279 3.84 2.31
BAA3 BBB+ 1,250,000 MCKESSON CORP. NEW 02/15/19 7.50 1,274,950 1,391,707 5.77 7.03
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
33
ILLINOIS STATE BOARD OF INVESTMENT
Industrials (continued)
AA3 AA- 2,500,000 MERCK & CO INC. 03/01/15 4.75 2,402,275 2,603,513 3.86 4.98
B1 B+ 1,475,000 MERITAGE HOMES CORP. 03/15/15 6.25 1,467,625 1,157,875 11.49 4.49
B3 B 2,509,000 METROPCS WIRELESS INC. 11/01/14 9.25 2,384,998 2,483,910 9.49 3.98
AAA AAA 2,000,000 MICROSOFT CORP. 06/01/14 2.95 1,995,720 1,986,289 3.10 4.61
B1 B- 2,501,000 MIRANT NORTH AMER LLC 12/31/13 7.38 2,501,000 2,400,960 8.46 3.76
BAA3 BBB- 597,000 MOSAIC CO. 12/01/16 7.63 606,310 591,696 7.38 5.23
CAA1 CCC+ 3,319,000 MUELLER WTR PRODS INC. 06/01/17 7.38 3,303,085 2,447,763 12.73 5.55
BA2 BB 1,628,000 NEXTEL COMMUNICATIONS INC. 10/31/13 6.88 1,396,010 1,347,170 12.10 3.55
BAA1 BBB+ 1,500,000 NORFOLK SOUTHERN CORP. 01/15/16 5.75 1,507,005 1,568,389 5.32 5.40
BAA1 BBB+ 1,000,000 NORFOLK SOUTHERN CORP. 05/17/29 5.64 951,380 924,788 6.41 11.61
BAA1 BBB+ 850,000 NORTHROP GRUMMAN CORP. 02/15/31 7.75 1,092,182 1,046,449 5.71 11.51
B1 BB- 3,310,000 NRG ENERGY INC. 02/01/14 7.25 3,347,200 3,210,700 8.04 3.69
A2 A 1,340,000 OCCIDENTAL PETE CORP. 11/01/13 7.00 1,408,509 1,521,329 3.38 3.80
A1 AA- 3,500,000 PACCAR INC. 02/15/14 6.88 3,570,950 3,780,139 4.57 3.95
BA1 BB+ 391,000 PEABODY ENERGY CORP. 11/01/16 7.38 391,000 369,495 8.39 5.57
AA2 A+ 2,290,000 PEPSICO INC. 03/01/14 3.75 2,287,704 2,292,808 3.28 4.27
AA2 A+ 1,000,000 PEPSICO INC. 06/01/18 5.00 960,960 1,001,946 4.62 7.38
B3 B 2,767,000 PETROHAWK ENERGY CORP. 08/01/14 10.50 2,642,368 2,829,258 9.92 3.73
AA2 AAA 1,500,000 PFIZER INC. 03/15/12 4.45 1,497,945 1,562,599 2.55 2.54
A1 A 2,721,000 PHILLIPS PETROLEUM CO. 05/25/10 8.75 3,163,049 2,895,473 1.56 0.87
B1 B- 3,000,000 POLYONE CORP. 05/01/12 8.88 3,043,750 2,520,000 16.11 2.33
BAA2 BBB 1,685,000 PREMCOR REFNG GROUP INC. 05/01/11 6.13 1,707,040 1,709,617 4.64 1.72
BA3 B+ 2,500,000 QWEST COMMUNICATIONS INTL INC. 02/15/11 7.25 2,493,750 2,425,000 9.27 1.46
BA1 BBB- 500,000 QWEST CORP. 09/01/11 7.88 435,000 500,000 7.87 1.92
BAA1 A- 1,625,000 RAYTHEON CO. 12/15/18 6.40 1,765,514 1,791,666 4.97 7.40
B1 B 1,271,000 REGENCY ENERGY PARTNERS 06/01/16 9.38 1,201,044 1,229,693 10.03 4.99
B1 B 3,050,000 REGENCY ENERGY PARTNERS 12/15/13 8.38 3,074,666 2,943,250 9.35 3.65
B1 B 1,646,000 RES CARE INC. 10/15/13 7.75 1,633,836 1,539,010 9.63 3.53
BAA3 BBB 1,335,000 REYNOLDS AMERICAN INC. 06/01/12 7.25 1,257,038 1,387,579 7.13 2.59
B1 BB- 1,553,000 RSC EQUIPMENT RENTAL INC. 07/15/17 10.00 1,542,153 1,512,234 10.00 5.45
CAA1 B 271,000 RYERSON INC. 11/01/15 12.00 278,560 220,865 16.85 4.05
B2 B+ 3,279,000 SABINE PASS LNG 11/30/13 7.25 3,274,410 2,778,953 11.77 3.61
A2 A 10,485,000 SBC COMMUNICATIONS INC. 09/15/14 5.10 10,433,339 10,717,597 4.26 4.57
BAA3 BB+ 2,565,000 SEALED AIR CORP. 06/15/17 7.88 2,509,519 2,292,692 8.02 5.91
BA3 BB- 247,000 SEALY CORPORATION 04/15/16 10.88 237,061 258,733 9.90 4.71
CAA1 CCC+ 1,415,000 SEALY MATTRESS CO. 06/15/14 8.25 1,426,488 1,163,838 13.25 3.87
B1 BB- 2,211,000 SERVICE CORP. INT'L 06/15/17 7.00 2,191,441 2,000,955 8.68 6.01
CAA2 CCC+ 2,000,000 SOLO CUP CO. 02/15/14 8.50 1,920,000 1,640,000 13.90 3.51
BAA3 BBB- 1,660,000 SOUTHERN COPPER CORP. DEL 07/27/15 6.38 1,647,188 1,644,801 6.46 4.94
BA2 BB 1,628,000 SPRINT CAP CORP. 03/15/32 8.75 1,554,740 1,310,540 11.12 8.23
BAA3 BBB 1,000,000 STARBUCKS CORP. 08/15/17 6.25 845,000 998,535 6.17 6.34
BA2 BB+ 682,000 STEEL DYNAMICS INC. 11/01/12 7.38 682,675 646,195 9.23 2.87
BA2 BB+ 1,000,000 STEEL DYNAMICS INC. 04/01/15 6.75 1,000,000 890,000 9.26 4.59
BA3 BB- 2,325,000 STEWART ENTERPRISES INC. 02/15/13 6.25 2,327,875 2,162,250 8.53 3.11
B3 BB 985,000 SUNGUARD DATA SYSTEMS INC. 01/15/14 4.88 829,863 871,725 7.94 3.90
CAA1 B 2,140,000 SUNGUARD DATA SYSTEMS INC. 08/15/13 9.13 2,246,575 2,022,300 10.81 3.25
B2 B 5,311,000 TARGA RES PARTNERS LP 07/01/16 8.25 4,470,360 4,501,073 11.47 4.89
B2 BB- 3,790,000 TEXAS INDS INC. 07/15/13 7.25 3,580,000 3,424,025 10.42 3.29
BAA2 BBB 4,600,000 TIME WARNER CABLE INC. 07/02/12 5.40 4,503,483 4,753,185 4.20 2.71
BAA2 BBB 1,300,000 TIME WARNER CABLE INC. 05/01/17 5.85 1,240,421 1,293,427 5.87 6.33
BAA2 BBB 1,710,000 TIME WARNER CABLE INC. 07/01/18 6.75 1,580,817 1,773,786 6.14 6.93
BAA2 BBB 770,000 TIME WARNER INC. 05/01/12 6.88 801,539 805,866 4.23 2.57
A3 A- 1,825,000 TRANSCANADA PIPELINES LTD 01/15/15 4.88 1,791,694 1,854,149 4.77 4.80
BAA2 BBB- 3,640,000 TRANSCONTINENTAL GAS PIPE LINE 04/15/16 6.40 3,649,555 3,757,818 5.92 5.54
BAA2 BBB 580,000 UNION PAC CORP. 01/15/11 6.65 591,484 610,405 3.33 1.43
BAA2 BBB 430,000 UNION PAC CORP. 04/15/12 6.50 430,611 461,421 4.43 2.53
BAA2 BBB 1,400,000 UNION PAC CORP. 02/15/14 5.13 1,402,146 1,435,965 4.31 4.09
BAA2 BBB 850,000 UNION PAC CORP. 05/01/34 6.25 827,178 848,253 6.65 12.19
CAA1 B- 4,625,000 UNITED AUTO GROUP INC. 12/15/16 7.75 4,665,199 3,734,688 11.69 5.39
AA3 AA- 1,100,000 UNITED PARCEL SERVICE 04/01/14 3.88 1,097,558 1,127,593 3.16 4.35
AA3 AA- 900,000 UNITED PARCEL SERVICE 01/15/38 6.20 1,034,676 967,850 5.54 13.73
B2 B 850,000 UNITED RENTALS NORTH AMER INC. 06/15/16 10.88 824,840 816,000 11.73 4.66
B3 B+ 1,394,000 UNIVERSAL HOSP SVCS INC. NEW 06/01/15 6.30 1,404,998 1,122,170 8.85 (0.13)
B3 CCC+ 4,000,000 US CONCRETE INC. 04/01/14 8.38 4,138,125 2,620,000 19.92 3.42
BA3 B 3,750,000 US ONCOLOGY INC. 08/15/12 9.00 4,007,813 3,834,375 0.18 0.13
B3 CCC+ 2,418,000 VALASSIS COMMUNICATION INC. 03/01/15 8.25 2,141,930 1,743,983 15.88 4.03
A3 A 1,150,000 VERIZON COMMUNICATIONS INC. 04/15/13 5.25 1,082,632 1,209,559 3.83 3.43
A3 A 3,010,000 VERIZON COMMUNICATIONS INC. 04/15/18 6.10 3,031,714 3,151,414 5.72 6.89
A3 A 422,000 VERIZON COMMUNICATIONS INC. 04/15/38 6.90 468,829 443,094 6.56 12.64
B3 B 3,756,000 VISANT HLDG CORP. 12/01/13 8.75 3,981,769 3,690,270 9.24 3.49
AA2 AA 2,840,000 WAL MART STORES INC. 08/10/09 6.88 3,072,060 2,857,580 1.34 0.11
AA2 AA 1,250,000 WAL MART STORES INC. 08/15/37 6.50 1,475,455 1,425,503 5.66 13.46
A2 A+ 1,620,000 WALGREEN CO. 01/15/19 5.25 1,633,802 1,659,992 4.72 7.58
B1 B 1,635,000 WARNER MUSIC GROUP 04/15/14 7.38 1,622,738 1,383,619 11.65 3.82
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
34
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (CONTINUED)
Industrials (continued)
BA3 BB 1,846,000 WINDSTREAM CORP. 08/01/13 8.13 1,878,923 1,786,005 9.09 3.32
A3 A+ 1,530,000 WYETH 03/15/13 5.50 1,609,713 1,656,315 3.49 3.34
A3 A+ 600,000 WYETH 04/01/37 5.95 488,528 632,272 5.70 13.68
BA2 BBB- 6,000,000 WYNDHAM WORLDWIDE 05/01/14 9.88 5,748,060 5,980,020 9.96 3.78
Total Industrials 440,583,550 425,239,911
Mortgage Backed Securities
Collateralized Mortgage Obligations
AAA AAA 2,680,000 BANC AMER COML MTG INC. 09/10/47 1.00 2,261,669 2,305,954 8.05 4.99
NA AAA 196,714 BEAR STEARNS COML MTG SECS INC. 03/13/40 4.00 189,675 194,229 3.64 0.98
AAA AAA 1,661,658 GE CAP COML MTG CORP. 08/11/36 4.97 1,653,258 1,670,517 4.41 1.72
AAA AAA 1,500,000 GE COML MTG CORP. 01/10/38 4.37 1,452,363 1,501,541 5.65 1.02
AAA AAA 4,300,000 GREENWICH CAP COML FDG CORP. 06/10/36 1.00 3,860,762 3,998,590 7.65 3.85
NA AAA 2,734,432 J P MORGAN CHASE COML MTG SECS 03/15/33 6.26 2,728,078 2,789,076 4.42 1.23
AAA NA 150,000 JP MORGAN CHASE COML MTG 09/12/37 4.90 117,220 128,105 8.31 4.75
AAA NA 700,000 JP MORGAN CHASE COML MTG SECS 10/15/42 1.00 545,543 596,033 8.43 4.67
AAA NA 700,000 JP MORGAN CHASE COML MTG SECS 01/12/43 1.00 555,394 606,461 8.98 4.84
NR NR 1,370 MANUFACTURERS HANOVER MTG CORP 04/25/15 11.50 1,364 1,468 0.00 0.00
AAA AAA 3,410,000 WACHOVIA BK COML MTG TR 10/15/41 1.00 2,949,650 2,888,487 8.18 3.87
AAA AAA 1,445,354 WACHOVIA BK COML MTG TR 03/15/42 4.78 1,423,222 1,437,975 11.51 0.56
NA AAA 1,310,000 WACHOVIA BK COML MTG TR 05/15/44 4.52 1,218,300 1,242,482 10.78 0.86
Total Collateralized Mortgage Obligations 18,956,498 19,360,918
Total Mortgage Backed Securities 18,956,498 19,360,918
Other
Asset Backed
AAA AAA 1,000,000 CAPITAL ONE MULTI ASSET 11/15/13 4.85 991,641 1,035,402 2.21 1.47
NR NR 2,024,000 GMAC LLC 05/15/12 6.63 1,557,204 1,690,040 13.76 2.46
AAA AAA 1,500,000 JOHN DEERE OWNER TR 04/15/14 5.08 1,499,898 1,525,078 3.25 1.14
Total Asset Backed 4,048,743 4,250,520
Miscellaneous
BA2 BB+ 3,815,000 APRIA HEALTHCARE GROUP 11/01/14 11.25 3,702,458 3,681,475 12.16 3.90
B3 B+ 3,400,000 BASIC ENERGY SVCS INC NEW 04/15/16 7.13 3,402,215 2,703,000 11.56 5.06
B3 B 3,524,000 BERRY PETE CO. 11/01/16 8.25 3,381,248 3,021,830 11.14 5.26
BA3 BB 1,742,000 CHESAPEAKE ENERGY CORP. 08/15/17 6.50 1,676,375 1,463,280 9.35 5.96
BA1 BB+ 483,000 CMS ENERGY CORP. 02/01/12 6.30 482,145 468,438 7.60 2.29
A3 A- 2,300,000 CONSOLIDATED EDISON CO NY INC. 02/01/13 4.88 2,258,462 2,406,475 3.71 3.25
A3 A- 3,300,000 CONSOLIDATED EDISON CO NY INC. 12/01/18 7.13 3,313,023 3,781,688 5.27 7.18
A3 A- 2,800,000 CONSOLIDATED EDISON CO NY INC. 04/01/19 6.65 2,795,912 3,104,260 5.17 7.41
BAA2 BBB+ 1,600,000 DUKE ENERGY CO. 02/01/14 6.30 1,636,160 1,741,290 4.36 3.95
B2 BB- 1,130,000 EDISON MISSION ENERGY 06/15/13 7.50 1,130,000 1,011,350 10.83 3.31
B2 BB- 976,000 EDISON MISSION ENERGY 05/15/17 7.00 976,000 749,080 11.58 5.65
A3 BBB 3,575,000 EXELON GENERATION CO. LLC 10/01/17 6.20 3,479,613 3,597,070 6.27 6.46
AA3 A 1,230,000 FLORIDA POWER & LIGHT CO. 02/01/13 4.85 1,266,629 1,301,726 3.66 3.25
AA3 A 200,000 FLORIDA POWER & LIGHT CO. 02/01/35 5.65 200,494 202,913 5.54 0.00
B1 BB- 4,213,000 GIBSON ENERGY ULC 05/27/14 11.75 4,098,010 4,170,870 12.02 3.58
B3 BB- 270,000 HILCORP ENGY ILP 06/01/16 9.00 282,150 234,900 11.80 4.95
B1 B+ 700,000 HOLLY ENERGY PARTNERS LP 03/01/15 6.25 700,000 603,750 9.43 4.55
BAA3 BBB- 1,935,000 ITC HLDGS CORP. 09/30/16 5.88 1,418,490 1,738,973 6.82 5.83
BAA2 BBB 1,000,000 METROPOLITAN EDISON CO. 01/15/19 7.70 1,000,000 1,075,235 6.62 6.81
BA3 BB 2,997,000 ORION PWR HLDGS INC. 05/01/10 12.00 2,898,505 3,101,895 7.57 0.78
A3 BBB+ 2,100,000 PACIFIC GAS & ELECTRIC CO. 10/15/18 8.25 2,603,769 2,536,687 5.22 6.87
BA2 BB- 1,978,000 PNM RES INC. 05/15/15 9.25 2,017,360 1,832,123 10.98 4.39
B2 B+ 392,000 RRI ENERGY INC. 06/15/14 7.63 392,000 358,680 9.83 4.03
A2 A 1,000,000 SOUTHERN CA EDISON CO. 03/15/14 5.75 994,920 1,086,184 3.76 4.13
BAA1 BBB 2,100,000 SPECTRA ENERGY CAP LLC 04/15/18 6.20 1,946,406 2,021,229 6.47 6.78
B3 B 4,635,000 UNITED REFINING CO. 08/15/12 10.50 4,512,775 3,615,300 20.34 2.34
NA B- 2,380,000 VIRGIN MEDIA INC. 11/15/16 6.50 1,201,512 1,844,500 0.00 0.00
BAA1 A- 1,875,000 VIRGINIA ELEC & PWR CO. 04/30/18 5.40 1,856,714 1,964,196 4.87 7.17
BAA1 A- 915,000 VIRGINIA ELEC & PWR CO. 11/15/38 8.88 1,166,515 1,242,551 6.31 12.51
BA3 BB 1,443,000 WINDSTREAM CORP. 08/01/16 8.63 1,518,294 1,381,673 9.46 5.02
Total Miscellaneous 58,308,154 58,042,621
Private Placement
CAA2 B- 400,000 FIRST DATA CORP. 09/24/15 9.88 276,000 284,000 0.00 0.00
NR NR 1,108,000 MOOG INC. 06/15/18 7.25 1,108,000 1,035,980 8.29 6.30
NR NR 579,000 TARGA RESOURCES PARTNERS 07/15/17 11.25 549,894 549,894 4.80 5.74
Total Private Placement 1,933,894 1,869,874
Total Other 64,290,791 64,163,015
Total Corporate Obligations 688,047,686 668,047,761
TOTAL FIXED INCOME 1,380,500,674 1,366,303,740
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
$ FIXED INCOME (continued) % $ $ %
35
ILLINOIS STATE BOARD OF INVESTMENT
NA NA 997,494 1 800 CONTACTS INC. 03/04/15 1.00 865,070 867,820
NA NA 17,256 ADVANCE FOOD COMPANY 03/08/14 1.00 16,662 15,833
NA NA 199,794 ADVANCE FOOD COMPANY 03/16/14 1.00 192,961 183,311
NA NA 990,229 AFFINION GROUP TL B 10/17/12 1.00 976,534 938,866
NA NA 1,196,475 ALASKA COMMUNICATIONS SYS HLDG 02/01/12 1.00 1,125,401 1,113,470
NA NA 390,698 ALLIANCE LAUNDRY TERM B 01/27/12 7.57 388,440 375,070
NA NA 1,876,667 ALPHA MEDIA GROUP INC. 08/14/14 1.00 1,824,385 1,126,000
NA NA 997,428 AMERICAN MEDIA 01/30/13 8.37 989,475 683,238
NA NA 2,401,349 ARAMARK 01/26/14 1.00 2,240,983 2,214,703
NA NA 58,908 ARAMARK CORPORATION 01/26/14 0.01 57,317 54,057
NA NA 27,094 ASHLAND CHEMICALS 05/13/13 1.00 26,539 27,026
NA NA 902,217 ASHLAND CHEMICALS 11/13/13 1.00 884,206 903,345
NA NA 197,598 ASHLAND INC. 05/13/14 7.65 194,569 198,684
NA NA 363,140 ASPECT SOFTWARE 07/11/11 1.00 354,176 297,775
NA NA 16,993 ATLANTIC BROADBAND 09/01/11 1.00 16,993 16,738
NA NA 456,947 ATLANTIC BROADBAND FINANCE LLC 06/01/13 0.00 456,947 453,805
NA NA 1,242,449 ATLAS PIPELINE PARTNERS 07/23/14 0.01 1,171,339 1,183,433
NA NA 1,000,000 ATTACHMATE CORP. 04/20/13 1.00 713,937 832,500
NA NA 736,842 BAKER TANKS INC. 05/08/14 1.00 728,524 603,105
NA NA 1,292,029 BALDOR ELECTRIC COMPANY 03/31/14 1.00 1,254,986 1,245,424
NA NA 952,854 BARRINGTON BROADCASTING 08/11/13 1.00 945,921 557,419
NA NA 994,975 BE AEROSPACE 07/21/14 1.00 948,957 990,831
NA NA 469,491 BE AEROSPACE 07/28/14 1.00 467,540 464,014
NA NA 1,470,076 BERYL OIL AND GAS LP 07/14/11 1.00 1,466,888 1,080,506
NA NA 1,000,000 BERYL OIL AND GAS LP 01/13/12 1.00 993,852 425,000
NA NA 304,689 BICENT POWER 06/30/14 1.00 301,464 274,220
NA NA 757,571 BICENT POWER LLC 12/31/14 1.00 341,556 462,118
NA NA 411,606 BIRDS EYE FOODS 03/22/13 7.09 394,110 391,026
NA NA 1,000,000 BNY CONVERGEX GROUP 08/17/13 1.00 939,139 950,000
NA NA 532,507 BOLTHOUSE FARMS INC. 12/16/12 1.00 526,284 503,552
NA NA 534,026 BOOZ HAMILTON 07/31/15 1.00 530,579 532,759
NA NA 943,613 BROCADE COMMUNICATIONS SYSTEMS 09/29/13 1.00 893,181 946,364
NA NA 891,670 BRSP LLC 06/04/14 1.00 838,170 862,691
NA NA 1,500,000 BRSP LLC 06/24/14 1.00 1,380,000 1,449,375
NA NA 1,000,000 BURGER KING CORPORATION 06/30/12 0.00 994,320 965,000
NA NA 1,949,017 C G JCF CORP. 08/01/14 1.00 1,809,179 1,559,214
NA NA 3,175,031 CALPINE CORPORATION 03/29/09 1.00 3,002,730 2,814,883
NA NA 500,000 CALPINE CORPORATION 06/30/09 1.00 451,250 444,325
NA NA 492,481 CANWEST MEDIAWORKS LIMITED 07/10/14 0.01 488,223 246,241
NA NA 632,263 CAPITAL AUTOMOTIVE 12/16/10 1.00 628,410 480,520
NA NA 1,000,000 CARESTREAM HEALTH HOLDINGS INC. 04/30/13 1.00 919,736 896,000
NA NA 248,711 CCC INFORNMATION SYS GRP INC. 02/10/13 1.00 246,744 235,343
NA NA 987,469 CCS INC (1331826 ALBERTA ULC) 11/14/14 0.01 859,098 723,321
NA NA 247,449 CEDAR FAIR 02/17/12 1.00 233,006 230,684
NA NA 854,522 CEDAR FAIR LP 08/30/12 1.00 818,902 796,628
NA NA 1,486,165 CELANESE HLDG 04/02/13 1.00 1,422,870 1,373,052
NA NA 983,731 CENGAGE LEARNING ACQUISITIONS 07/04/14 1.00 925,967 823,601
NA NA 491,250 CENGAGE LEARNING INC 07/15/14 1.00 480,133 413,404
NA NA 4,755,402 CENTENNIAL CELLULAR OPERATING 02/09/11 1.00 4,733,200 4,733,264
NA NA 1,246,811 CEQUEL COMMUNICATIONS 11/05/13 1.00 1,127,042 1,144,473
NA NA 1,233,119 CHARTER COMMUNICATION 03/06/14 1.00 1,183,238 1,149,818
NA NA 35,324 CHS COMMUNITY HEALTH 07/25/14 1.00 33,875 31,876
NA NA 983,011 CINCINNATI BELL INC. TL 08/31/12 1.00 913,532 922,392
NA NA 1,495,001 CINEMARK 10/05/13 1.00 1,365,068 1,408,505
NA NA 1,000,000 CITADEL BROADCASTING CORP. 06/12/14 6.95 954,019 528,335
NA NA 1,005,728 CLARKE AMERICAN 03/12/13 1.00 944,324 784,045
NA NA 1,500,000 COLETO CREEK POWER 09/28/13 1.00 1,105,285 1,305,000
NA NA 375,754 COMMSCOPE INC. 12/26/14 1.00 324,088 356,027
NA NA 2,810,058 COMMUNITY HEALTH SYSTEM INC 07/25/14 1.00 2,746,914 2,527,337
NA NA 1,500,000 CONSOLIDATED COMMUNICATIONS 12/31/14 1.00 1,252,500 1,306,875
NA NA 1,000,000 CONSTELLATION BRANDS INC. 06/01/13 1.00 951,554 955,000
NA NA 1,280,831 CONSTELLATION BRANDS INC. 06/05/13 1.00 1,253,847 1,214,388
NA NA 1,140,089 COREL 05/01/12 1.00 1,004,184 954,824
NA NA 500,000 CRESCENT RESOURCE 06/10/10 0.00 482,500 3,750
NA NA 1,246,835 CRISTAL INORGANIC CHEMICALS US 05/15/14 1.00 875,458 922,658
NA NA 1,178,427 CROWN CASTLE OPERATING CO. 03/06/14 1.00 1,129,920 1,090,598
NA NA 868,945 CSC HOLDINGS 03/28/13 1.00 861,328 830,463
NA NA 1,000,000 DAVITA 10/05/12 1.00 956,759 944,375
NA NA 761,326 DEALER COMPUTER SERVICES 10/26/12 1.00 741,868 631,900
NA NA 997,449 DEAN FOODS 04/02/14 1.00 904,841 944,584
NA NA 752,864 DEAN FOODS TERM LOAN A 04/02/12 1.00 714,659 703,928
NA NA 550,897 DEL MONTE CORP. 02/08/12 1.00 545,115 541,715
NA NA 1,317,942 DELPHI CORPORATION 12/31/08 1.00 1,315,697 565,831
NA NA 490,000 DELTA AIR LINES INC. 04/30/12 1.00 464,561 380,975
NA NA 1,246,819 DELTA AIR LINES INC. 04/30/14 1.00 1,107,667 859,059
NA NA 832,983 DELUXE ENTERTAINMENT 05/11/13 1.00 783,832 680,963
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair
Rating Rating Value Date Rate Cost Value
BANK LOANS % $ $
36
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (CONTINUED)
NA NA 920,420 DEX MEDIA EAST LLC 10/24/14 1.00 918,085 705,107
NA NA 1,482,701 DIRECTV HOLDINGS LLC 04/13/13 5.25 1,470,923 1,474,592
NA NA 2,992,500 DISCOVERY COMM HOLDINGS LLC 05/14/14 1.00 2,932,935 2,981,857
NA NA 1,218,444 DJO FINANCE 05/13/14 1.00 1,203,518 1,093,553
NA NA 1,334,929 DOLLARAMA GROUP 11/18/11 1.00 1,276,437 1,284,869
NA NA 676,007 DUNE ENTERTAINMENT LLC 11/02/12 1.00 571,099 552,636
NA NA 574,818 DURATEK INC. 06/07/13 1.00 556,651 534,581
NA NA 10,635 ENERGY SOLUTIONS INC. 06/07/11 1.00 10,189 9,890
NA NA 2,696,818 ENERGY SOLUTIONS INC. 06/07/13 1.00 2,606,435 2,507,451
NA NA 1,750,000 ENTERPRISE GP HOLDING 10/26/14 1.00 1,736,338 1,697,500
NA NA 1,336,500 ENTERPRISE GP HOLDING 10/30/14 1.00 1,326,064 1,286,381
NA NA 356,759 FAIRCHILD SEMICONDUCTOR CORP. 06/26/13 1.00 355,375 319,299
NA NA 997,871 FAIRPOINT COMMUNICATIONS INC. 02/08/12 1.00 697,534 749,650
NA NA 1,372,706 FORD MOTOR COMPANY 12/16/13 1.00 1,341,276 989,721
NA NA 895,657 FOXCO ACQUISITION 07/15/15 1.00 872,153 652,334
NA NA 1,033,804 FRESENIUS SE 07/06/14 1.00 1,024,061 1,037,164
NA NA 1,000,000 FRONTIER DRILLING USA INC. 06/21/13 1.00 739,455 828,750
NA NA 472,064 FTD INC. 07/28/13 1.00 463,838 457,312
NA NA 1,000,000 GATEHOUSE MEDIA OPERATING INC. 08/28/14 1.00 929,828 253,750
NA NA 1,962,437 GEORGIA PACIFIC CORP. 12/20/12 1.00 1,841,194 1,855,318
NA NA 1,318,389 GEORGIA PACIFIC TL B 12/23/12 6.75 1,294,169 1,240,035
NA NA 2,297,238 GETTY IMAGES T/L B 07/02/15 1.00 2,274,542 2,281,442
NA NA 1,497,209 GOLDEN GATE NATIONAL SENIOR CR 03/14/11 1.00 1,317,165 1,349,932
NA NA 167,118 GRAHAM PACKAGING 10/07/11 1.00 164,351 158,434
NA NA 1,104,316 GRAHAM PACKAGING COMPANY LP 04/05/14 1.00 1,104,316 1,089,132
NA NA 1,000,000 GRANT US HOLDING LP 11/01/10 1.00 512,500 475,000
NA NA 1,000,000 GRANT US HOLDINGS LLP 11/01/12 1.00 999,086 487,500
NA NA 1,161,444 GRAPHIC PACKAGING INTERNATIONAL INC. 05/16/14 1.00 1,099,343 1,088,900
NA NA 514,363 HANESBRANDS INC. 09/05/12 1.00 510,904 508,737
NA NA 499,352 HARBOR FREIGHT TOLLS USA INC 02/12/13 1.00 492,655 449,417
NA NA 1,500,000 HARGRAY COMMUNICATIONS GROUP 06/27/14 1.00 1,380,538 1,338,750
NA NA 355,409 HARRAH'S OPERATING COMPANY 01/28/15 1.00 331,164 260,337
NA NA 991,230 HARRAH'S TL B2 01/31/15 1.00 911,471 723,598
NA NA 659,795 HAWAIIAN TELECOM 05/30/14 7.57 649,771 398,351
NA NA 245,725 HCA INC. 11/19/12 1.00 225,953 222,766
NA NA 843,202 HCA INC. 11/18/13 1.00 797,701 759,819
NA NA 921,949 HEALTH MANAGEMENT ASSOCIATES 02/28/14 1.00 884,091 810,307
NA NA 1,000,000 HEALTHSOUTH CORPORATION 03/10/12 1.00 817,500 937,500
NA NA 875,817 HEALTHSOUTH CORPORATION 03/15/13 1.00 826,066 817,325
NA NA 1,184,636 HELIX ENERGY SOLUTIONS GROUP 07/01/13 1.00 1,166,683 1,087,890
NA NA 113,055 HELM HOLDING CORP. 07/08/11 1.00 92,221 100,336
NA NA 1,274,358 HUNTSMAN INT'L 04/19/14 1.00 1,267,641 1,137,364
NA NA 1,215,914 IDEARC INC. 11/17/14 1.00 1,005,772 519,615
NA NA 970,775 IDEARC INC. 11/17/13 1.00 947,597 409,745
NA NA 1,268,875 IFM HOLDCO 02/27/12 1.00 1,258,721 1,243,498
NA NA 706,073 INEOS TERM B 12/16/13 1.00 700,752 517,786
NA NA 706,073 INEOS US FINANCE 12/14/14 1.00 700,505 517,787
NA NA 506,250 INSIGHT MIDWEST 04/04/14 1.00 499,570 468,914
NA NA 1,500,000 INSIGHT MIDWEST 04/06/14 1.00 1,438,765 1,398,128
NA NA 1,281,431 INTELSAT CORPORATION 01/03/14 1.00 1,272,313 1,163,812
NA NA 462,857 INTELSAT CORPORATION 07/03/12 1.00 446,921 432,000
NA NA 895,460 INVERNESS MEDICAL INNOVATION I 06/26/14 1.00 761,544 838,001
NA NA 80,542 INVITROGEN 12/20/13 1.00 79,078 78,193
NA NA 762,484 INVITROGEN 12/18/15 1.00 751,165 761,665
NA NA 249,372 INVITROGEN 09/15/15 1.00 245,945 250,928
NA NA 498,728 ISLE OF CAPRI CASINOS INC. 11/25/13 0.01 374,070 457,493
NA NA 947,909 ISP CHEMCO 06/04/14 1.00 895,585 861,650
NA NA 1,369,696 ITRON 04/18/14 1.00 1,353,028 1,350,520
NA NA 747,194 JARDEN CORPORATION 01/24/12 1.00 734,553 719,757
NA NA 724,754 JETRO HOLDINGS INC. 07/02/14 1.00 694,587 693,952
NA NA 572,002 KAR HOLDINGS 10/20/13 1.00 550,462 502,790
NA NA 507,967 KENAN ADVANTAGE GROUP INC. 12/16/11 1.00 474,611 459,711
NA NA 1,056,345 LAMAR MEDIA CORP. 03/31/14 1.00 1,034,578 1,035,218
NA NA 198,000 LAS VEGAS SANDS DD TL I 05/04/14 1.00 193,847 140,333
NA NA 2,063,154 LAS VEGAS SANDS LLC 05/23/14 1.00 2,014,082 1,453,867
NA NA 60,831 LENDER PROCESSING SERVICES 06/30/13 1.00 60,831 59,615
NA NA 1,020,671 LENDER PROCESSING SERVICES 06/28/14 1.00 1,010,881 1,001,534
NA NA 357,143 LEVEL 3 COMMUNICATIONS 03/13/14 1.00 355,055 366,964
NA NA 1,413,161 LIBERTY ELECTRIC POWER LLC 11/02/14 1.00 1,296,791 1,232,983
NA NA 359,718 LIFEPOINT HOSPITALS, INC. 04/16/12 1.00 339,074 340,766
NA NA 681,446 LN ACQUISITION CORP. 07/11/14 8.05 678,151 608,190
NA NA 500,000 LNR PROPERTY CORPORATION 07/12/11 1.00 451,731 250,500
NA NA 433,333 LONGVIEW POWER 02/27/14 1.00 429,242 325,000
NA NA 66,667 LONGVIEW POWER LLC 02/28/14 1.00 66,037 50,000
NA NA 230,427 LYONDELL CHEMICAL COMPANY 12/15/09 1.00 150,826 160,353
NA NA 854,173 LYONDELL CHEMICAL COMPANY 12/20/14 1.00 854,173 456,992
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair
Rating Rating Value Date Rate Cost Value
BANK LOANS (continued) % $ $
37
ILLINOIS STATE BOARD OF INVESTMENT
NA NA 1,662,757 MANITOWOC CO INC. 08/25/14 1.00 1,516,153 1,507,119
NA NA 1,387,783 MARSICO CAPITAL MANAGEMENT 12/14/14 1.00 1,309,872 1,235,126
NA NA 2,027,387 MCC IOWA LLC 01/03/16 1.00 1,955,972 2,021,557
NA NA 1,496,164 MEDIACOM LLC 01/31/15 1.00 1,407,491 1,378,341
NA NA 467,898 METAVANTE CORPORATION 10/31/14 1.00 427,596 450,352
NA NA 1,486,238 METAVANTE CORPORATION 11/01/14 1.00 1,444,094 1,447,841
NA NA 994,885 METROPCS 11/03/13 1.00 876,530 947,966
NA NA 1,496,134 MGM HOLDINGS 11 04/08/12 1.00 1,458,455 852,796
NA NA 1,176,471 MICHAEL FOODS 04/30/14 1.00 1,129,878 1,181,618
NA NA 747,596 MIRANT NORTH AMERICA LLC 01/03/13 1.00 683,582 706,213
NA NA 517,333 MSCI INC 10/21/14 0.01 517,143 494,053
NA NA 2,845,450 MYLAN LABORATORIES, INC. 10/02/14 1.00 2,733,423 2,749,265
NA NA 141,169 NALCO COMPANY 11/04/10 1.00 140,447 139,669
NA NA 1,057,500 NALCO COMPANY 05/08/13 1.00 1,031,187 1,061,466
NA NA 492,821 NATIONAL MENTOR INC. 06/29/13 1.00 466,870 411,506
NA NA 500,000 NAVISTAR INTERNATIONAL CORP. 01/19/12 1.00 466,478 430,313
NA NA 490,933 NEBRASKA BOOK CO INC. 03/04/11 1.00 484,974 473,750
NA NA 1,743,347 NIELSEN FINANCE LLC 08/09/13 7.18 1,579,405 1,572,127
NA NA 1,247,256 NIGHTHAWK RADIOLOGY 07/10/14 1.00 1,206,720 1,166,173
NA NA 239,899 NORTHWEST AIRLINES, INC. 12/22/18 1.00 194,461 190,720
NA NA 3,646,082 NRG ENERGY INC. 02/01/13 6.58 3,584,955 3,434,312
NA NA 1,367,790 NSG HOLDINGS 06/15/14 1.00 1,271,260 1,265,206
NA NA 982,090 NTELOS INC TERM LOAN B1 08/24/11 1.00 981,379 960,303
NA NA 997,475 NUVEEN 11/15/14 1.00 987,500 794,239
NA NA 643,525 OSHKOSH 12/08/13 1.00 629,360 587,216
NA NA 270,000 OSHKOSH TRUCK CORP. 12/06/11 1.00 248,400 247,050
NA NA 2,898,432 OXFORD ACQUISITION III LIMITED 05/11/14 1.00 1,532,725 1,536,169
NA NA 812,479 PANAVISION INC. 03/30/11 1.00 798,111 660,813
NA NA 485,111 PENN NATIONAL GAMING INC. 10/03/11 1.00 457,458 469,345
NA NA 498,705 PENN NATIONAL GAMING INC. 10/03/12 1.00 454,039 478,914
NA NA 1,475,536 PINNACLE FOODS GROUP INC. 04/02/14 1.00 1,406,428 1,310,153
NA NA 567,329 PRESTIGE BRANDS INC. 04/06/11 1.00 564,319 549,363
NA NA 737,544 PROQUEST 02/10/14 1.00 639,292 649,038
NA NA 984,733 QUEBECOR MEDIA INC. 01/17/13 1.00 972,275 905,954
NA NA 1,000,000 QUEBECOR WORLD INC. 07/10/12 1.00 900,000 950,000
NA NA 685,846 QUINTILES TRANSNATIONAL CORP. 03/31/13 1.00 675,804 640,123
NA NA 1,000,000 REDDY ICE GROUP INC. 08/09/12 1.00 898,614 792,500
NA NA 2,827,807 REGAL CINEMAS INC. 10/28/13 1.00 2,509,034 2,752,404
NA NA 500,000 REVOLUTION STUDIOS DISTR CO. 06/21/15 1.00 83,846 225,000
NA NA 993,365 REVOLUTION STUDIOS DISTR CO. 12/21/14 2.75 811,181 869,194
NA NA 1,250,000 REXNORD CORPORATION 06/30/13 1.00 1,231,659 1,062,500
NA NA 474,186 RJO HOLDINGS CORP. 07/12/14 1.00 445,454 362,752
NA NA 219,462 ROCK TENN CO. 03/08/13 1.00 218,914 217,268
NA NA 329,686 ROCK TENN CO. 03/07/14 1.00 326,512 319,795
NA NA 2,626,960 ROYALTY PHARMA FINANCE 04/16/13 1.00 2,568,018 2,515,447
NA NA 494,678 SALLY HOLDINGS LLC 11/16/13 1.00 428,742 465,245
NA NA 2,000,000 SCORPION HOLDING LTD 05/08/14 1.00 1,667,073 1,640,000
NA NA 438,523 SEMINOLE TRIBE OF FLORIDA 03/05/14 1.00 436,856 411,116
NA NA 591,674 SEQUA TL B 11/21/14 1.00 573,952 460,519
NA NA 460,870 SERENA SOFTWARE INC. 03/11/13 1.00 454,868 405,373
NA NA 337,403 SMURFIT STONE CONTAINER CORP. 11/01/11 1.00 334,144 306,112
NA NA 972,113 SMURFIT STONE CONTAINER CORP. 01/28/10 1.00 831,635 774,760
NA NA 1,246,411 SORENSON COMMUNICATIONS 08/16/13 1.00 1,195,058 1,142,024
NA NA 776,757 SPIRIT AEROSYSTEMS INC. 09/30/13 10.00 771,476 734,035
NA NA 2,225,318 SUNGARD 02/28/14 1.00 2,153,448 2,084,869
NA NA 184,552 SUPERVALU, INC. 06/02/12 1.00 161,062 174,556
NA NA 945,033 SUPERVALU, INC. 06/02/11 1.00 865,729 900,144
NA NA 2,487,245 TALECRIS BIOTHERAPEUTICS 1ST 12/06/13 1.00 2,334,156 2,271,688
NA NA 964,932 TARGA RESOURCES INC. 10/28/12 1.00 918,098 921,510
NA NA 994,951 TELESAT CANADA 10/31/14 1.00 843,719 929,454
NA NA 1,202,846 TEMBEC 02/28/12 1.00 1,062,158 799,893
NA NA 994,937 TEXAS COMP ELEC HOLD CO. 10/10/14 1.00 950,350 713,807
NA NA 1,598,307 TEXAS COMPETITIVE ENERGY (TXU) 10/10/14 1.00 1,577,490 1,139,257
NA NA 520,838 TEXTRON FASTENING SYSTEMS 08/11/13 1.00 481,821 221,356
NA NA 445,590 THE NASDAQ OMX GROUP INC. 02/26/13 1.00 445,457 414,399
NA NA 500,000 TICKETMASTER 07/31/14 1.00 493,553 475,000
NA NA 372,906 TPF GENERATION 12/15/13 1.00 366,079 353,329
NA NA 500,000 TPF GENERATION HOLDINGS 12/08/13 1.00 460,144 412,500
NA NA 41,060 TPF GENERATION HOLDINGS LLC 12/15/11 1.00 40,439 38,904
NA NA 130,980 TPF GENERATION HOLDINGS LLC 12/15/13 1.00 128,582 124,104
NA NA 500,000 TRIBUNE COMPANY 05/17/14 1.00 461,094 171,408
NA NA 583,183 TZ MERGER SUB INC. 08/04/15 1.00 574,179 561,313
NA NA 1,000,000 UNITED COMPONENTS INC. 06/30/12 1.00 953,568 855,000
NA NA 500,000 UNIVERSAL CITY DEVELOPMENT 06/09/11 1.00 498,587 487,500
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Current
Rating Rating Value Date Rate Cost Value Yield Duration
BANK LOANS (continued) % $ $ %
38
ILLINOIS STATE BOARD OF INVESTMENT
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (CONTINUED)
NA NA 2,000,000 UNIVISION COMMUNICATIONS 09/29/14 1.00 1,918,663 1,495,399
NA NA 500,000 UPC BROADBAND HOLDING 09/02/13 0.00 457,432 473,750
NA NA 750,000 UPC BROADB