Annual Report PDF file 2009 - State of Illinois

More documents

Recommendations

Info

Note 2 (continued)Deposits, Investments, and Investment RiskCustodial Credit Risk for InvestmentsThe custodial credit risk for investments is the risk that, in theevent of the failure of the counterparty to a transaction, ISBIwill not be able to recover the value of investments or collateralsecurities that are in the possession of a counterparty. As ofJune 30, 2009 and 2008, the following investments wereuninsured and unregistered, with securities held by thecounterparty or by its trust department or agent but not in theBoard’s name:2009 2008$ $Common stock 2,529,488 2,024,444Government and agency obligations 7,847,410 9,695,067Corporate obligations 0 0Total 10,376,898 11,719,511Interest Rate RiskISBI manages its exposure to fair value losses arising frominterest rate risk by diversifying the debt securities portfolioand maintaining the debt securities portfolio to an effectiveweighted average rate between 80% and 120% of thebenchmark index.Duration is a measure of a debt investment’s exposure to fairvalue changes arising from changing interest rates. It usesthe present value of cash flows, weighted for those cash flowsas a percentage of the investment’s fair value. The effectiveduration measures the sensitivity of market price to parallelshifts in the yield curve. As of June 30, 2009, ISBI benchmarksits debt security portfolio to Barclay’s Capital IntermediateU.S. Government/Credit Bond Index. As of June 30, 2008, ISBIbenchmarked its debt security portfolio to Lehman BrothersAggregate. At June 30, 2009, the effective duration of theBarclay’s Capital Intermediate U.S. Government/Credit BondIndex was 3.9 years. At June 30, 2008, the effective duration ofthe Lehman Brothers Aggregate was 3.8 years. At the samepoint in time, the effective duration of the ISBI debt securityportfolio at June 30, 2009 and 2008 was 3.8 and 4.2 years,respectively.2009 2008EffectiveEffectiveWeightedWeightedDurationDurationFair Value Years Fair Value YearsInvestment Type $ $Government & agency obligationsU.S. Government 75,529,694 5.3 235,753,279 5.3Federal Agency 589,489,195 2.9 616,292,422 3.4Foreign Obligations 33,237,090 4.7 113,005,430 5.1Corporate ObligationsBank and Finance 159,283,917 4.0 159,397,789 3.8Collateralized Mortgage Obligations 19,360,918 2.8 136,048,371 1.4Industrials 425,239,911 4.4 593,294,641 4.9Other 64,163,015 4.7 169,423,531 5.11,366,303,740 2,023,215,463ILLINOIS STATE BOARD OF INVESTMENT19
NOTES TO FINANCIAL STATEMENTSJUNE 30, 2009 (CONTINUED)Note 2 (continued)Deposits, Investments, and Investment RiskForeign Currency RiskThe international portfolio is constructed on the principles ofdiversification, quality growth, and value. Risk of loss arisesfrom changes in currency exchange rates. Internationalmanagers may also engage in transactions to hedge currencyat their discretion. Certain investments held in Infrastructurefunds trade in a reported currency of Euro based dollarsvalued at $38,643,067 and $0 as of June 30, 2009 and 2008,respectively. The following table presents the foreigncurrency risk by type of investment as of June 30, 2009and 2008:2009 2008Foreign EquityForeign Equityand Foreignand ForeignPreferred Foreign Preferred ForeignSecurities Obligations Securities Obligations$ $ $ $Australian Dollar 64,845,908 – 122,273,518 –Brazilian Real 33,224,878 – 9,912,719 822,627Canadian Dollar 47,104,026 – 67,312,081 640,243Danish Krone 22,597,007 – 20,127,457 –Egyptian Pound 631,787 – 315,568 –English Pound Sterling 291,255,325 – 360,797,972 355,913Euro Currency 407,541,247 – 579,718,291 3,464,132Hong Kong Dollar 39,652,995 – 54,097,173 –Iceland Krona – – – 4,149,151Japanese Yen 221,156,513 – 278,817,201 –Malaysian Ringgit – – – 6,031,886Mexican Peso 2,121,876 – 2,383,899 9,829,450New Zealand Dollar 1,076,827 – 1,093,179 –Norwegian Krone 9,277,231 – 33,771,404 –Singapore Dollar 30,234,461 – 33,616,147 6,136,820South 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 Investmentsdenominated in U.S. dollars 147,034,828 33,237,090 227,721,606 81,575,2081,482,642,287 33,237,090 1,984,917,495 113,005,430ILLINOIS STATE BOARD OF INVESTMENT20
Page 1 and 2: 2009ANNUALREPORTILLINOISSTATEBOARDO
Page 3 and 4: BOARD MEMBERSCHAIRMANRonald E. Powe
Page 5 and 6: International Equity 17%U.S. Equity
Page 7 and 8: % Investment Returns June 30201510T
Page 9 and 10: FINANCIAL HIGHLIGHTSFISCAL YEARS EN
Page 11 and 12: FINANCIALSTATEMENTS2009ILLINOIS STA
Page 13 and 14: MANAGEMENT’S DISCUSSION AND ANALY
Page 15 and 16: STATEMENT OF NET ASSETSJUNE 30, 200
Page 18 and 19: Note 2Deposits, Investments, and In
Page 22 and 23: Note 2 (continued)Deposits, Investm
Page 24 and 25: Note 3 General StateMember Systems
Page 26 and 27: Note 4PensionsPlan DescriptionAll o
Page 28 and 29: SUPPLEMENTALFINANCIALINFORMATION200
Page 30 and 31: Moody’s S&P Shares/Quality Qualit
Page 51 and 52: PORTFOLIO OF INVESTMENTSJUNE 30, 20
Page 71 and 72:
PORTFOLIO OF INVESTMENTSJUNE 30, 20
Page 73 and 74:
Page 75 and 76:
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
Page 83 and 84:
Page 85 and 86:
Page 87 and 88:
Page 89 and 90:
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
Page 99 and 100:
PORTFOLIO DATAFISCAL YEARS ENDED JU
Page 101 and 102:
INVESTMENT TRANSACTIONS WITH BROKER
Page 103 and 104:
RESTRICTED INVESTMENTSPublic Act 95
Page 105:
STAFF AND INVESTMENT MANAGERSEXECUT
show all

Annual Report PDF file 2009 - State of Illinois

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?