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 ...
STATE INVESTMENT FUND AS OF JUNE 30, 2011 BANK DEMAND DEPOSITS RATE or MATURITY BOOK VALUE FAIR SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE USBANK............................................................................ DEMAND 0.26 DEMAND NR 700,000,000 700,000,000 TOTAL BANK DEMAND DEPOSITS.......................................................................................................... 700,000,000 700,000,000 REPURCHASE AGREEMENTS RATE or MATURITY BOOK VALUE FAIR SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE JEFFERIES TRI GOVT...................................................... TRIPARTY 0.01 07/01/11 NR 250,000,000 250,000,000 SOC GEN TRI GOVT........................................................ TRIPARTY 0.01 07/01/11 NR 129,000,000 129,000,000 SOC GEN TRI AGCY........................................................ TRIPARTY 0.02 07/01/11 NR 43,000,000 43,000,000 RBS TRI GOVT.................................................................. TRIPARTY 0.01 07/01/11 NR 225,000,000 225,000,000 RBS TRI AGCY................................................................. TRIPARTY 0.02 07/01/11 NR 75,000,000 75,000,000 MIZUHO TRI GOVT.......................................................... TRIPARTY 0.01 07/01/11 NR 237,000,000 237,000,000 MIZUHO TRI AGCY......................................................... TRIPARTY 0.02 07/01/11 NR 79,000,000 79,000,000 MITSUBISHI TRI GOVT................................................... TRIPARTY 0.01 07/01/11 NR 228,000,000 228,000,000 MITSUBISHI TRI AGCY................................................... TRIPARTY 0.01 07/01/11 NR 76,000,000 76,000,000 TOTAL REPURCHASE AGREEMENTS..................................................................................................... 1,342,000,000 1,342,000,000 GOVERNMENTS AND AGENCIES RATE or MATURITY BOOK VALUE FAIR SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE US T-NOTE 0.875% 01/31/12........................................... NOTE 0.15 01/31/12 UST 25,106,075 25,106,075 FHLB DN 0.200................................................................. DN 0.20 07/20/11 A-1+ 109,988,389 109,988,389 FHLB DN 0.200................................................................. DN 0.20 07/27/11 A-1+ 99,985,556 99,985,556 FHLB DN 0.140................................................................. DN 0.14 10/19/11 A-1+ 119,948,667 119,948,667 FHLB DN 0.100................................................................. DN 0.10 11/04/11 A-1+ 246,152,536 246,152,536 FHLB DN 0.100................................................................. DN 0.10 11/16/11 A-1+ 306,961,711 306,961,711 FHLB DN 0.105................................................................. DN 0.11 11/18/11 A-1+ 214,911,450 214,911,450 FHLB DN 0.114................................................................. DN 0.11 11/23/11 A-1+ 99,954,083 99,954,083 FHLB 0.13% 11/09/11........................................................ NOTE 0.14 11/09/11 AAA 49,997,651 49,997,651 FHLB 0.13% 11/09/11........................................................ NOTE 0.14 11/09/11 AAA 49,997,651 49,997,651 FHLB 0.10% 12/01/11........................................................ NOTE 0.12 12/01/11 AAA 199,981,618 199,981,618 FHLMC DN 0.200.............................................................. DN 0.20 07/05/11 A-1+ 159,696,451 159,696,451 FHLMC DN 0.200.............................................................. DN 0.20 07/06/11 A-1+ 10,091,720 10,091,720 FHLMC DN 0.200.............................................................. DN 0.20 07/11/11 A-1+ 171,990,444 171,990,444 FHLMC DN 0.205.............................................................. DN 0.21 07/27/11 A-1+ 88,986,823 88,986,823 FHLMC DN 0.235.............................................................. DN 0.24 08/02/11 A-1+ 15,496,762 15,496,762 FHLMC DN 0.120.............................................................. DN 0.12 09/19/11 A-1+ 216,942,133 216,942,133 FHLMC DN 0.180.............................................................. DN 0.18 09/26/11 A-1+ 116,433,329 116,433,329 FHLMC DN 0.140.............................................................. DN 0.14 10/03/11 A-1+ 8,097,039 8,097,039 FHLMC DN 0.140.............................................................. DN 0.14 10/04/11 A-1+ 33,987,439 33,987,439 FHLMC DN 0.140.............................................................. DN 0.14 10/12/11 A-1+ 28,920,411 28,920,411 FHLMC DN 0.140.............................................................. DN 0.14 10/17/11 A-1+ 124,947,500 124,947,500 FHLMC DN 0.145.............................................................. DN 0.15 10/17/11 A-1+ 39,925,625 39,925,625 FHLMC DN 0.150.............................................................. DN 0.15 10/28/11 A-1+ 14,992,562 14,992,562 FHLMC DN 0.100.............................................................. DN 0.10 11/01/11 A-1+ 14,994,875 14,994,875 FHLMC DN 0.100.............................................................. DN 0.10 11/14/11 A-1+ 26,989,800 26,989,800 FHLMC DN 0.105.............................................................. DN 0.11 11/14/11 A-1+ 44,982,150 44,982,150 FHLMC DN 0.115.............................................................. DN 0.12 11/21/11 A-1+ 49,977,155 49,977,155 FHLMC DN 0.108.............................................................. DN 0.11 12/01/11 A-1+ 9,995,410 9,995,410 FHLMC DN 0.140.............................................................. DN 0.14 12/01/11 A-1+ 24,985,125 24,985,125 FHLMC DN 0.105.............................................................. DN 0.11 12/02/11 A-1+ 13,493,936 13,493,936 FHLMC DN 0.130.............................................................. DN 0.13 12/05/11 A-1+ 131,277,531 131,277,531 FHLMC DN 0.113.............................................................. DN 0.11 12/27/11 A-1+ 49,971,907 49,971,907 FHLMC DN 0.118.............................................................. DN 0.12 12/27/11 A-1+ 24,985,332 24,985,332 FHLMC DN 0.120.............................................................. DN 0.12 12/27/11 A-1+ 49,970,167 49,970,167 FHLMC DN 0.124.............................................................. DN 0.12 12/31/11 A-1+ 31,331,871 31,331,871 - 159 - STATE OF WISCONSIN INVESTMENT BOARD
STATE INVESTMENT FUND AS OF JUNE 30, 2011 GOVERNMENTS AND AGENCIES RATE or MATURITY BOOK VALUE FAIR SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE FNMA DN 0.215................................................................ DN 0.22 07/01/11 A-1+ 12,629,000 12,629,000 FNMA DN 0.200................................................................ DN 0.20 07/08/11 A-1+ 5,999,767 5,999,767 FNMA DN 0.200................................................................ DN 0.20 07/13/11 A-1+ 289,014,731 289,014,731 FNMA DN 0.200................................................................ DN 0.20 08/01/11 A-1+ 168,470,981 168,470,981 FNMA DN 0.210................................................................ DN 0.21 08/01/11 A-1+ 30,044,566 30,044,566 FNMA DN 0.220................................................................ DN 0.22 08/01/11 A-1+ 12,397,651 12,397,651 FNMA DN 0.290................................................................ FM 0.29 08/01/11 A-1+ 16,118,974 16,118,974 FNMA DN 0.140................................................................ DN 0.14 10/05/11 A-1+ 149,944,000 149,944,000 FNMA DN 0.150................................................................ DN 0.15 10/12/11 A-1+ 310,595,645 310,595,645 FNMA DN 0.150................................................................ DN 0.15 11/01/11 A-1+ 99,948,750 99,948,750 FNMA DN 0.150................................................................ DN 0.15 11/01/11 A-1+ 99,948,750 99,948,750 FNMA DN 0.123................................................................ DN 0.12 11/30/11 A-1+ 65,201,121 65,201,121 FNMA DN 0.190................................................................ DN 0.19 12/01/11 A-1+ 48,510,796 48,510,796 FNMA DN 0.110................................................................ DN 0.11 12/05/11 A-1+ 10,395,011 10,395,011 FNMA DN 0.120................................................................ DN 0.12 12/05/11 A-1+ 5,497,098 5,497,098 FNMA DN 0.125................................................................ DN 0.13 12/28/11 A-1+ 24,984,375 24,984,375 FNMA DN 0.125................................................................ DN 0.13 12/28/11 A-1+ 77,351,625 77,351,625 FNMA DN 0.120................................................................ DN 0.12 01/03/12 A-1+ 49,969,000 49,969,000 FNMA FLOAT 11/23/12.................................................... NOTE 0.27 11/23/12 AAA 49,985,691 49,985,691 TOTAL GOVERNMENTS AND AGENCIES.............................................................................................. 4,553,456,416 4,553,456,416 CERTIFICATES OF DEPOSIT (CDs) RATE or MATURITY BOOK VALUE FAIR SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE BANKERS BANK.............................................................. CD 0.20 08/15/11 NR 1,000,000 1,000,000 BANKERS BANK.............................................................. CD 0.20 09/15/11 NR 13,500,000 13,500,000 BANKERS BANK.............................................................. CD 0.40 09/15/11 NR 1,000,000 1,000,000 BANKERS BANK.............................................................. CD 0.40 10/17/11 NR 2,000,000 2,000,000 BANKERS BANK.............................................................. CD 0.30 12/15/11 NR 8,080,000 8,080,000 BANKERS BANK.............................................................. CD 1.00 12/15/11 NR 9,300,000 9,300,000 BANKERS BANK.............................................................. CD 1.00 01/17/12 NR 500,000 500,000 BANKERS BANK.............................................................. CD 1.00 03/15/12 NR 400,000 400,000 BANKERS BANK.............................................................. CD 1.00 06/15/12 NR 4,000,000 4,000,000 BANKERS BANK.............................................................. CD 2.00 12/17/12 NR 250,000 250,000 TOTAL CERTIFICATES OF DEPOSIT...................................................................................................... 40,030,000 40,030,000 - 160 - STATE OF WISCONSIN INVESTMENT BOARD
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STATE INVESTMENT FUND AS OF JUNE 30, <strong>2011</strong><br />
BANK DEMAND DEPOSITS<br />
RATE or MATURITY BOOK VALUE FAIR<br />
SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE<br />
USBANK............................................................................ DEMAND 0.26 DEMAND NR 700,000,000 700,000,000<br />
TOTAL BANK DEMAND DEPOSITS..........................................................................................................<br />
700,000,000 700,000,000<br />
REPURCHASE AGREEMENTS<br />
RATE or MATURITY BOOK VALUE FAIR<br />
SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE<br />
JEFFERIES TRI GOVT...................................................... TRIPARTY 0.01 07/01/11 NR 250,000,000 250,000,000<br />
SOC GEN TRI GOVT........................................................ TRIPARTY 0.01 07/01/11 NR 129,000,000 129,000,000<br />
SOC GEN TRI AGCY........................................................ TRIPARTY 0.02 07/01/11 NR 43,000,000 43,000,000<br />
RBS TRI GOVT.................................................................. TRIPARTY 0.01 07/01/11 NR 225,000,000 225,000,000<br />
RBS TRI AGCY................................................................. TRIPARTY 0.02 07/01/11 NR 75,000,000 75,000,000<br />
MIZUHO TRI GOVT.......................................................... TRIPARTY 0.01 07/01/11 NR 237,000,000 237,000,000<br />
MIZUHO TRI AGCY......................................................... TRIPARTY 0.02 07/01/11 NR 79,000,000 79,000,000<br />
MITSUBISHI TRI GOVT................................................... TRIPARTY 0.01 07/01/11 NR 228,000,000 228,000,000<br />
MITSUBISHI TRI AGCY................................................... TRIPARTY 0.01 07/01/11 NR 76,000,000 76,000,000<br />
TOTAL REPURCHASE AGREEMENTS.....................................................................................................<br />
1,342,000,000 1,342,000,000<br />
GOVERNMENTS AND AGENCIES<br />
RATE or MATURITY BOOK VALUE FAIR<br />
SECURITY NAME TYPE YIELD DATE RATING (AMORT COST) VALUE<br />
US T-NOTE 0.875% 01/31/12........................................... NOTE 0.15 01/31/12 UST 25,106,075 25,106,075<br />
FHLB DN 0.200................................................................. DN 0.20 07/20/11 A-1+ 109,988,389 109,988,389<br />
FHLB DN 0.200................................................................. DN 0.20 07/27/11 A-1+ 99,985,556 99,985,556<br />
FHLB DN 0.140................................................................. DN 0.14 10/19/11 A-1+ 119,948,667 119,948,667<br />
FHLB DN 0.100................................................................. DN 0.10 11/04/11 A-1+ 246,152,536 246,152,536<br />
FHLB DN 0.100................................................................. DN 0.10 11/16/11 A-1+ 306,961,711 306,961,711<br />
FHLB DN 0.105................................................................. DN 0.11 11/18/11 A-1+ 214,911,450 214,911,450<br />
FHLB DN 0.114................................................................. DN 0.11 11/23/11 A-1+ 99,954,083 99,954,083<br />
FHLB 0.13% 11/09/11........................................................ NOTE 0.14 11/09/11 AAA 49,997,651 49,997,651<br />
FHLB 0.13% 11/09/11........................................................ NOTE 0.14 11/09/11 AAA 49,997,651 49,997,651<br />
FHLB 0.10% 12/01/11........................................................ NOTE 0.12 12/01/11 AAA 199,981,618 199,981,618<br />
FHLMC DN 0.200.............................................................. DN 0.20 07/05/11 A-1+ 159,696,451 159,696,451<br />
FHLMC DN 0.200.............................................................. DN 0.20 07/06/11 A-1+ 10,091,720 10,091,720<br />
FHLMC DN 0.200.............................................................. DN 0.20 07/11/11 A-1+ 171,990,444 171,990,444<br />
FHLMC DN 0.205.............................................................. DN 0.21 07/27/11 A-1+ 88,986,823 88,986,823<br />
FHLMC DN 0.235.............................................................. DN 0.24 08/02/11 A-1+ 15,496,762 15,496,762<br />
FHLMC DN 0.120.............................................................. DN 0.12 09/19/11 A-1+ 216,942,133 216,942,133<br />
FHLMC DN 0.180.............................................................. DN 0.18 09/26/11 A-1+ 116,433,329 116,433,329<br />
FHLMC DN 0.140.............................................................. DN 0.14 10/03/11 A-1+ 8,097,039 8,097,039<br />
FHLMC DN 0.140.............................................................. DN 0.14 10/04/11 A-1+ 33,987,439 33,987,439<br />
FHLMC DN 0.140.............................................................. DN 0.14 10/12/11 A-1+ 28,920,411 28,920,411<br />
FHLMC DN 0.140.............................................................. DN 0.14 10/17/11 A-1+ 124,947,500 124,947,500<br />
FHLMC DN 0.145.............................................................. DN 0.15 10/17/11 A-1+ 39,925,625 39,925,625<br />
FHLMC DN 0.150.............................................................. DN 0.15 10/28/11 A-1+ 14,992,562 14,992,562<br />
FHLMC DN 0.100.............................................................. DN 0.10 11/01/11 A-1+ 14,994,875 14,994,875<br />
FHLMC DN 0.100.............................................................. DN 0.10 11/14/11 A-1+ 26,989,800 26,989,800<br />
FHLMC DN 0.105.............................................................. DN 0.11 11/14/11 A-1+ 44,982,150 44,982,150<br />
FHLMC DN 0.115.............................................................. DN 0.12 11/21/11 A-1+ 49,977,155 49,977,155<br />
FHLMC DN 0.108.............................................................. DN 0.11 12/01/11 A-1+ 9,995,410 9,995,410<br />
FHLMC DN 0.140.............................................................. DN 0.14 12/01/11 A-1+ 24,985,125 24,985,125<br />
FHLMC DN 0.105.............................................................. DN 0.11 12/02/11 A-1+ 13,493,936 13,493,936<br />
FHLMC DN 0.130.............................................................. DN 0.13 12/05/11 A-1+ 131,277,531 131,277,531<br />
FHLMC DN 0.113.............................................................. DN 0.11 12/27/11 A-1+ 49,971,907 49,971,907<br />
FHLMC DN 0.118.............................................................. DN 0.12 12/27/11 A-1+ 24,985,332 24,985,332<br />
FHLMC DN 0.120.............................................................. DN 0.12 12/27/11 A-1+ 49,970,167 49,970,167<br />
FHLMC DN 0.124.............................................................. DN 0.12 12/31/11 A-1+ 31,331,871 31,331,871<br />
- 159 - STATE OF WISCONSIN INVESTMENT BOARD
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