schedule of investments fiscal year 2011 - State of Wisconsin ...
schedule of investments fiscal year 2011 - State of Wisconsin ... schedule of investments fiscal year 2011 - State of Wisconsin ...
COMMERCIAL MORTGAGES CORE RETIREMENT INVESTMENT FUND AS OF JUNE 30, 2011 NAME COUPON RATE MATURITY COST FAIR VALUE DALLAS SWIB PROMISSORY NOTE........................................ 7.130 7/1/2011 8,721,279 8,677,890 ENGLEWOOD SWIB PROMISSORY NOTE.............................. 7.130 7/1/2011 13,932,741 13,863,424 TOTAL COMMERCIAL MORTGAGES................................................................................................. FOREIGN CURRENCY CONTRACTS 22,654,020 22,541,314 CURRENCY NAME NET RECEIVABLE NET PAYABLE NET RECEIVABLE/ (PAYABLE) AUSTRALIAN DOLLAR.............................................................. 2,770,823 (827,419) 1,943,404 BRAZILIAN REAL....................................................................... 81,649 (843,885) (762,236) BRITISH POUND STERLING...................................................... (1,948,911) 2,149,181 200,270 CANADIAN DOLLAR.................................................................. 4,047,632 (100,203) 3,947,429 COLOMBIAN PESO..................................................................... 0 (9,416) (9,416) DANISH KRONE.......................................................................... 160,275 (102,967) 57,309 EURO CURRENCY UNIT............................................................ 1,866,529 (1,395,241) 471,288 HONG KONG DOLLAR............................................................... 34,483 (12,497) 21,986 HUNGARIAN FORINT................................................................. 0 (854) (854) INDIAN RUPEE............................................................................ (1,008) 16,044 15,037 INDONESIAN RUPIAH................................................................ (2,200) 0 (2,200) ISRAELI NEW SHEKEL............................................................... 52,076 (146,608) (94,531) JAPANESE YEN........................................................................... 810,178 1,507,010 2,317,187 MALAYSIAN RINGGIT............................................................... 8,012 0 8,012 MEXICAN NEW PESO................................................................ 173,627 (14,525) 159,102 NEW TURKISH LIRA................................................................... 0 0 0 NEW ZEALAND DOLLAR.......................................................... 55,038 (84,017) (28,979) NORWEGIAN KRONE................................................................. 165,236 (1,130) 164,106 PERUVIAN NUEVO SOL............................................................ 0 (66,867) (66,867) PHILLIPPINE PESO...................................................................... (5,075) 0 (5,075) POLISH ZLOTY............................................................................ (21,997) 0 (21,997) SINGAPORE DOLLAR................................................................. 219,034 (13,142) 205,891 SOUTH AFRICAN RAND............................................................ 5,548 (460,147) (454,599) SOUTH KOREAN WON............................................................... (525) 0 (525) SWEDISH KRONA....................................................................... 1,369,452 (55,337) 1,314,114 SWISS FRANC.............................................................................. (167,127) 668,839 501,713 THAI BAHT.................................................................................. 0 (424) (424) TOTAL FOREIGN CURRENCY CONTRACTS ............... 9,672,750 206,393 9,879,143 OPTION CONTRACTS NAME CONTRACT TYPE MATURITY COST/ (PROCEEDS) FAIR VALUE ALERE INC................................................................................... PUT JUL 11 (13,684) (7,775) CEPHALON INC........................................................................... PUT AUG 11 (8,619) (1,390) CLIFFS NATURAL RESOURCES INC........................................ CALL JUL 11 (4,407) (924) FREEPORT-MCMORAN COPPER & GOLD.............................. PUT JUL 11 (7,662) (968) INTUITIVE SURGICAL INC........................................................ CALL OCT 11 (37,927) (62,479) ITT CORP...................................................................................... PUT OCT 11 (29,791) (15,300) ITT CORP...................................................................................... PUT JUL 11 (111,670) (8,840) MONSANTO CO........................................................................... CALL AUG 11 (10,252) (13,024) NEWMONT MINING CORP........................................................ PUT JUL 11 (4,362) (846) RALCORP HOLDING INC........................................................... PUT JUL 11 (19,500) (10,080) RIO TINTO PLC............................................................................ PUT JUL 11 (6,633) (670) S&P 500 EOM INDEX FUTURE SEP 11..................................... PUT JUL 11 (138,646) (17,888) THORATEC CORP....................................................................... PUT JUL 11 (18,249) (2,888) TOTAL OPTION CONTRACTS.......................................... (411,402) (143,072) - 99 - STATE OF WISCONSIN INVESTMENT BOARD
FINANCIAL FUTURES CONTRACTS CORE RETIREMENT INVESTMENT FUND AS OF JUNE 30, 2011 NAME MATURITY COST FAIR VALUE 3 MONTH EUROYEN TIFFE........................................................................................... DEC 11 - SEP 12 (170) 90 DAY BANK ACCEPTED BILL................................................................................... DEC 11 - JUN 12 (233) 90 DAY STERLING LIBOR............................................................................................. DEC 11 - SEP 12 (40) AUSTRALIAN 10 YEAR BOND ..................................................................................... SEP 11 (49,567) AUSTRALIAN 3 YEAR BOND ....................................................................................... SEP 11 2,051 CANADIAN 10 YEAR BOND ......................................................................................... SEP 11 (15,584) EURO BUXL 30 YEAR BOND ....................................................................................... SEP 11 (77,045) EURO BOBL..................................................................................................................... SEP 11 145,289 EURO BUND ................................................................................................................... SEP 11 8,757 EURO SCHATZ ............................................................................................................... SEP 11 337,699 JAPANESE 10 YEAR MINI BOND................................................................................. SEP 11 28,727 UK LONG GILT ............................................................................................................... SEP 11 6,984 US 10 YEAR NOTE ......................................................................................................... SEP 11 (111,258) US 2 YEAR TREASURY NOTE...................................................................................... SEP 11 (172,735) US 5 YEAR TREASURY NOTE ..................................................................................... SEP 11 11,273 US TREASURY BOND ................................................................................................... SEP 11 (14,313) US ULTRA BOND ........................................................................................................... SEP 11 (423,656) DOW JONES EURO STOXX 50 INDEX......................................................................... SEP 11 5,670,378 DOW JONES E-MINI GLOBEX....................................................................................... SEP 11 106,728 FTSE 100 INDEX.............................................................................................................. SEP 11 3,095,332 MSCI EAFE INDEX.......................................................................................................... SEP 11 59,610 RUSSELL 2000 E-MINI INDEX ...................................................................................... SEP 11 5,484,980 S&P 500 E-MINI INDEX ................................................................................................. SEP 11 13,823,124 S&P MID 400 E-MINI INDEX.......................................................................................... SEP 11 1,568,525 S&P/TSE 60 INDEX ........................................................................................................ SEP 11 640,582 SPI 200 INDEX ................................................................................................................ SEP 11 653,655 TOPIX INDEX ................................................................................................................. SEP 11 5,079,941 TOTAL FINANCIAL FUTURES CONTRACTS....................................................................................... GRAND TOTAL CORE RETIREMENT INVESTMENT TRUST FUND................. Note: Values may not add due to rounding N/A = Not Applicable 35,859,034 65,359,627,262 74,416,384,371 - 100 - STATE OF WISCONSIN INVESTMENT BOARD
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FINANCIAL FUTURES CONTRACTS<br />
CORE RETIREMENT INVESTMENT FUND AS OF JUNE 30, <strong>2011</strong><br />
NAME MATURITY COST FAIR VALUE<br />
3 MONTH EUROYEN TIFFE........................................................................................... DEC 11 - SEP 12 (170)<br />
90 DAY BANK ACCEPTED BILL................................................................................... DEC 11 - JUN 12 (233)<br />
90 DAY STERLING LIBOR............................................................................................. DEC 11 - SEP 12 (40)<br />
AUSTRALIAN 10 YEAR BOND ..................................................................................... SEP 11 (49,567)<br />
AUSTRALIAN 3 YEAR BOND ....................................................................................... SEP 11 2,051<br />
CANADIAN 10 YEAR BOND ......................................................................................... SEP 11 (15,584)<br />
EURO BUXL 30 YEAR BOND ....................................................................................... SEP 11 (77,045)<br />
EURO BOBL..................................................................................................................... SEP 11 145,289<br />
EURO BUND ................................................................................................................... SEP 11 8,757<br />
EURO SCHATZ ............................................................................................................... SEP 11 337,699<br />
JAPANESE 10 YEAR MINI BOND................................................................................. SEP 11 28,727<br />
UK LONG GILT ............................................................................................................... SEP 11 6,984<br />
US 10 YEAR NOTE ......................................................................................................... SEP 11 (111,258)<br />
US 2 YEAR TREASURY NOTE...................................................................................... SEP 11 (172,735)<br />
US 5 YEAR TREASURY NOTE ..................................................................................... SEP 11 11,273<br />
US TREASURY BOND ................................................................................................... SEP 11 (14,313)<br />
US ULTRA BOND ........................................................................................................... SEP 11 (423,656)<br />
DOW JONES EURO STOXX 50 INDEX......................................................................... SEP 11 5,670,378<br />
DOW JONES E-MINI GLOBEX....................................................................................... SEP 11 106,728<br />
FTSE 100 INDEX.............................................................................................................. SEP 11 3,095,332<br />
MSCI EAFE INDEX.......................................................................................................... SEP 11 59,610<br />
RUSSELL 2000 E-MINI INDEX ...................................................................................... SEP 11 5,484,980<br />
S&P 500 E-MINI INDEX ................................................................................................. SEP 11 13,823,124<br />
S&P MID 400 E-MINI INDEX.......................................................................................... SEP 11 1,568,525<br />
S&P/TSE 60 INDEX ........................................................................................................ SEP 11 640,582<br />
SPI 200 INDEX ................................................................................................................ SEP 11 653,655<br />
TOPIX INDEX ................................................................................................................. SEP 11 5,079,941<br />
TOTAL FINANCIAL FUTURES CONTRACTS.......................................................................................<br />
GRAND TOTAL CORE RETIREMENT INVESTMENT TRUST FUND.................<br />
Note: Values may not add due to rounding<br />
N/A = Not Applicable<br />
35,859,034<br />
65,359,627,262 74,416,384,371<br />
- 100 - STATE OF WISCONSIN INVESTMENT BOARD
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