ILLINOIS STATE BOARD OF INVESTMENT
30
Portfolio of Investments
JUNE 30, 2011
Moody’s S&P Shares/
Quality Quality Par Maturity Interest Fair Yield to Effective Rating Rating Value Date Rate Cost Value Maturity Duration
$
FIXED INCOME % $ $ %
Government & Agency Obligations
U.S. Treasury
AAA AA+ 8,600,000 US TREASURY N/B 11/15/12 4.00 8,654,790 9,031,978 0.32 1.35
AAA AA+ 13,800,000 US TREASURY N/B 04/30/13 3.13 14,449,922 14,477,580 0.43 1.79
AAA AA+ 12,300,000 US TREASURY N/B 11/15/13 4.25 12,825,309 13,352,265 0.61 2.28
AAA AA+ 555,000 US TREASURY N/B 05/31/14 2.25 574,313 578,543 0.77 2.83
AAA AA+ 18,200,000 US TREASURY N/B 07/31/14 2.63 18,557,172 19,185,348 0.84 2.95
AAA AA+ 9,700,000 US TREASURY N/B 08/15/14 4.25 9,911,594 10,720,731 0.83 2.92
AAA AA+ 11,000,000 US TREASURY N/B 02/15/15 4.00 11,255,598 12,124,090 1.11 3.36
AAA AA+ 8,700,000 US TREASURY N/B 05/15/15 4.13 9,096,611 9,653,607 1.22 3.60
AAA AA+ 1,610,000 US TREASURY N/B 02/29/16 2.13 1,625,616 1,648,238 1.59 4.41
AAA AA+ 5,000,000 US TREASURY N/B 02/29/16 2.63 5,154,938 5,232,800 1.58 4.36
AAA AA+ 12,400,000 US TREASURY N/B 07/31/16 3.25 12,665,180 13,296,148 1.76 4.64
AAA AA+ 8,900,000 US TREASURY N/B 12/31/16 3.25 9,220,387 9,494,520 1.96 5.05
AAA AA+ 5,700,000 US TREASURY N/B 05/15/17 4.50 6,159,145 6,467,733 2.05 5.19
AAA AA+ 800,000 US TREASURY N/B 08/15/17 4.75 897,667 920,128 2.12 5.30
AAA AA+ 855,000 US TREASURY N/B 11/15/17 4.25 941,061 958,404 2.20 5.60
AAA AA+ 32,750,000 US TREASURY N/B 02/15/18 3.50 34,721,363 35,137,148 2.31 5.85
AAA AA+ 38,660,000 US TREASURY N/B 02/28/18 2.75 38,752,167 39,587,067 2.36 6.01
AAA AA+ 6,000,000 US TREASURY N/B 11/15/18 3.75 6,514,172 6,499,680 2.50 6.43
AAA AA+ 5,500,000 US TREASURY N/B 05/15/19 3.13 5,513,209 5,678,750 2.66 6.92
AAA AA+ 5,000,000 US TREASURY N/B 05/15/20 3.50 5,218,359 5,219,900 2.93 7.56
AAA AA+ 122,078,700 US TREASURY N/B 08/15/20 2.63 116,995,145 118,168,519 3.03 7.92
AAA AA+ 62,625,000 US TREASURY N/B 02/15/21 3.63 64,102,184 65,300,966 3.11 7.97
AAA AA+ 32,275,000 US TREASURY N/B 02/15/39 3.50 27,095,297 27,716,156 4.39 15.76
AAA AAA 61,840,000 UNITED STATES TREAS BD STRIP PRN 08/15/19 0.01 47,925,834 48,972,332 2.89 8.38
T
otal US Treasury 468,827,033 479,422,631
Federal Agency & Other Governments
Aaa AAA 1,415,000 FANNIE MAE 04/04/12 1.00 1,427,381 1,422,471 0.30 0.76
Aaa AAA 18,280,000 FANNIE MAE 09/15/12 4.38 19,575,988 19,162,010 0.37 1.18
Aaa AAA 31,905,000 FANNIE MAE 02/12/13 3.63 33,808,398 33,506,950 0.50 1.57
Aaa AAA 26,615,000 FANNIE MAE 03/15/13 4.38 28,520,373 28,384,898 0.46 1.64
Aaa AAA 9,200,000 FANNIE MAE 04/09/13 3.25 9,657,261 9,664,048 0.40 1.73
Aaa AAA 7,100,000 FANNIE MAE 12/11/13 2.88 7,391,716 7,475,874 0.69 2.37
Aaa AAA 8,700,000 FANNIE MAE 07/28/15 2.38 8,878,883 8,956,911 1.62 3.84
Aaa AAA 1,700,000 FANNIE MAE 04/11/16 2.38 1,717,289 1,735,377 1.92 4.49
Aaa AAA 30,255,000 FANNIE MAE 07/15/16 5.38 35,698,229 35,162,664 1.98 4.39
Aaa AAA 33,960,000 FANNIE MAE 05/11/17 5.00 38,315,195 38,845,486 2.36 5.11
Aaa AAA 28,990,000 FANNIE MAE 06/12/17 5.38 33,706,012 33,740,591 2.40 5.15
AAA AAA 2,135,520 FED HM LN PC POOL A88454 09/01/39 4.50 2,227,280 2,211,245 3.85 5.15
AAA AAA 2,447,523 FED HM LN PC POOL A90764 01/01/40 4.50 2,478,882 2,534,312 3.86 5.42
AAA AAA 4,086,153 FED HM LN PC POOL B10741 11/01/18 4.50 4,289,182 4,367,321 1.68 1.97
AAA AAA 469,049 FED HM LN PC POOL B19580 07/01/20 5.00 469,453 506,869 1.82 1.69
AAA AAA 1 FED HM LN PC POOL E98683 08/01/18 4.50 1 1 1.61 1.98
AAA AAA 9,626,533 FED HM LN PC POOL G03035 07/01/37 5.50 10,210,141 10,422,551 3.30 3.02
AAA AAA 6,181,403 FED HM LN PC POOL G03696 01/01/38 5.50 6,186,716 6,692,543 3.25 2.27
AAA AAA 5,951,268 FED HM LN PC POOL G03781 01/01/38 6.00 6,460,846 6,550,501 3.45 3.14
AAA AAA 1,632,136 FED HM LN PC POOL G04816 09/01/38 5.00 1,698,697 1,735,156 3.26 3.14
AAA AAA 1,166,583 FED HM LN PC POOL G11769 10/01/20 5.00 1,168,315 1,260,645 1.87 1.77
AAA AAA 1,704,843 FED HM LN PC POOL G11777 10/01/20 5.00 1,707,373 1,842,304 1.83 1.68
AAA AAA 296,569 FED HM LN PC POOL G11879 10/01/20 5.00 297,009 320,482 1.81 1.69
AAA AAA 869,434 FED HM LN PC POOL G11880 12/01/20 5.00 870,181 939,537 1.84 1.66
AAA AAA 4,217,865 FED HM LN PC POOL G12978 12/01/22 5.50 4,558,410 4,561,536 2.06 1.14
AAA AAA 3,423,438 FED HM LN PC POOL G13022 02/01/23 5.50 3,704,807 3,702,380 2.06 1.26
AAA AAA 4,520,156 FED HM LN PC POOL G13573 05/01/24 4.50 4,714,382 4,797,286 2.24 1.89
AAA AAA 163,946 FED HM LN PC POOL G18053 05/01/20 5.00 164,189 177,165 1.79 1.69
AAA AAA 2,308,086 FED HM LN PC POOL G18245 03/01/23 4.50 2,407,262 2,449,595 1.99 1.89
AAA AAA 5,309,154 FED HM LN PC POOL G18306 04/01/24 4.50 5,537,283 5,631,314 2.24 2.27
AAA AAA 1,415,050 FED HM LN PC POOL G18309 05/01/24 4.50 1,476,074 1,500,916 2.24 2.31
AAA AAA 15,242 FED HM LN PC POOL J02514 09/01/20 5.00 15,255 16,474 1.77 1.60
AAA AAA 85,106 FED HM LN PC POOL J11124 11/01/24 4.50 89,547 90,270 2.46 2.36
AAA AAA 4,922,991 FED HM LN PC POOL J14785 03/01/26 4.00 5,119,142 5,134,828 2.90 3.80
Aaa AAA 5,400,000 FEDERAL FARM CREDIT BANK 02/24/15 2.30 5,447,520 5,466,474 1.94 1.17
Aaa AAA 31,155,000 FEDERAL HOME LOAN BANK 09/26/12 1.63 31,595,498 31,637,279 0.37 1.23
Aaa AAA 21,900,000 FEDERAL HOME LOAN BANK 11/21/12 1.63 22,085,703 22,273,176 0.40 1.38
Aaa AAA 28,525,000 FEDERAL HOME LOAN BANK 09/06/13 4.00 30,221,783 30,591,351 0.65 2.09
Aaa AAA 9,700,000 FEDERAL HOME LOAN BANK 11/27/13 4.88 9,957,323 10,668,448 0.69 2.29
Aaa AAA 12,350,000 FEDERAL HOME LOAN BANK 06/18/14 5.25 14,179,483 13,919,315 0.90 2.78
Aaa AAA 21,705,000 FEDERAL HOME LOAN BANK 05/18/16 5.38 24,317,631 25,175,630 1.93 4.34
Aaa AAA 8,500,000 FEDERAL HOME LOAN BANK 05/17/17 4.88 9,399,564 9,716,435 2.26 5.14
Aaa AAA 4,400,000 FEDERAL HOME LOAN BANK 11/17/17 5.00 5,023,039 5,054,324 2.47 5.50
AAA AAA 28,770 FNMA POOL 254546 12/01/17 5.50 29,313 31,172 1.60 1.89
AAA AAA 172,607 FNMA POOL 254591 01/01/18 5.50 175,863 187,099 1.60 1.88
AAA AAA 20,955 FNMA POOL 254761 06/01/18 5.50 21,337 22,797 1.60 1.87
AAA AAA 73,277 FNMA POOL 323842 07/01/14 5.50 75,069 79,489 0.49 1.13
