Annual Report PDF file 2009 - State of Illinois

PORTFOLIO OF INVESTMENTSJUNE 30, 2009Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME % $ $ %Government & Agency ObligationsU.S. TreasuryAAA AAA 5,295,000 UNITED STATES TREASURY BONDS 02/15/29 5.25 6,775,991 5,961,011 4.30 12.76AAA AAA 7,300,000 UNITED STATES TREASURY NOTES 06/30/11 5.13 7,349,726 7,875,445 1.13 1.92AAA AAA 5,600,000 UNITED STATES TREASURY NOTES 05/31/12 4.75 5,980,844 6,107,281 1.56 2.75AAA AAA 6,200,000 UNITED STATES TREASURY NOTES 11/15/12 4.00 6,113,603 6,647,563 1.79 3.19AAA AAA 3,000,000 UNITED STATES TREASURY NOTES 04/30/13 3.13 3,098,438 3,117,773 2.06 3.63AAA AAA 8,900,000 UNITED STATES TREASURY NOTES 11/15/13 4.25 9,116,122 9,620,692 2.30 4.05AAA AAA 7,000,000 UNITED STATES TREASURY NOTES 08/15/14 4.25 6,932,734 7,552,343 2.60 4.55AAA AAA 8,000,000 UNITED STATES TREASURY NOTES 02/15/15 4.00 7,958,880 8,502,187 2.79 5.08AAA AAA 6,300,000 UNITED STATES TREASURY NOTES 05/15/15 4.13 6,446,205 6,722,297 2.88 5.19AAA AAA 4,100,000 UNITED STATES TREASURY NOTES 05/15/17 4.50 4,360,895 4,425,758 3.34 6.59AAA AAA 5,000,000 US TREASURY N/B 06/15/12 1.88 5,006,250 5,036,719 1.62 2.89AAA AAA 4,000,000 US TREASURY N/B 05/15/39 4.25 3,762,829 3,960,625 4.31 16.95Total US Treasury 72,902,517 75,529,694Federal Agency & Other GovernmentsAAA AAA 10,000,000 FEDERAL FARM CREDIT BANK 09/13/10 5.25 10,576,104 10,531,291 0.85 1.16AAA AAA 5,000,000 FEDERAL FARM CREDIT BANK 10/03/11 3.50 5,217,100 5,221,358 1.49 2.17AAA AAA 10,500,000 FEDERAL FARM CREDIT BANK 10/17/12 4.50 11,341,700 11,265,623 2.09 3.08AAA AAA 8,500,000 FEDERAL HOME LOAN BANK 09/18/09 5.00 8,659,860 8,586,481 0.37 0.22AAA AAA 13,500,000 FEDERAL HOME LOAN BANK 05/14/10 7.63 14,426,095 14,330,808 0.85AAA AAA 4,100,000 FEDERAL HOME LOAN BANK 12/10/10 4.75 4,062,977 4,295,316 0.89 1.40AAA AAA 7,000,000 FEDERAL HOME LOAN BANK 08/19/11 5.38 7,624,940 7,593,258 1.54 2.01AAA AAA 3,500,000 FEDERAL HOME LOAN BANK 10/13/11 5.00 3,791,935 3,775,061 1.49 2.16AAA AAA 35,660,000 FEDERAL HOME LOAN BANK 05/15/12 5.75 38,932,231 39,586,733 1.74 2.68AAA AAA 10,800,000 FEDERAL HOME LOAN BANK 02/27/13 3.38 11,335,584 11,217,552 2.37 3.44AAA AAA 5,600,000 FEDERAL HOME LOAN BANK 09/06/13 4.00 5,588,675 5,896,726 2.67 3.86AAA AAA 24,900,000 FEDERAL HOME LOAN BANK 09/16/13 4.50 26,953,602 26,721,975 2.69 3.85AAA AAA 7,000,000 FEDERAL HOME LOAN BANK 11/27/13 4.88 6,975,038 7,606,288 2.75 4.02AAA AAA 10,500,000 FEDERAL HOME LOAN BANK 06/18/14 5.25 11,810,580 11,577,154 2.99 4.46AAA AAA 880,000 FEDERAL HOME LOAN BANK 08/13/14 5.50 932,057 981,056 3.03 4.49AAA AAA 12,500,000 FEDERAL HOME LOAN BANK 12/16/16 4.75 13,285,250 13,386,168 3.66 6.46AAA AAA 5,000,000 FEDERAL HOME LOAN MTG CORP. 07/16/10 3.25 5,140,450 5,132,826 0.54 1.01AAA AAA 10,500,000 FEDERAL HOME LOAN MTG CORP. 09/15/10 6.88 11,321,070 11,265,146 1.00 1.16AAA AAA 18,300,000 FEDERAL HOME LOAN MTG CORP. 07/18/11 5.25 19,179,836 19,767,373 1.33 1.92AAA AAA 7,000,000 FEDERAL HOME LOAN MTG CORP. 01/15/12 5.75 7,774,630 7,723,203 1.59 2.35AAA AAA 5,000,000 FEDERAL HOME LOAN MTG CORP. 03/05/12 4.75 5,169,150 5,401,686 1.70 2.51AAA AAA 7,000,000 FEDERAL HOME LOAN MTG CORP. 03/23/12 2.13 7,080,600 7,069,805 1.78 2.64AAA AAA 19,000,000 FEDERAL HOME LOAN MTG CORP. 07/15/12 5.13 20,903,715 20,783,785 1.87 2.80AAA AAA 7,400,000 FEDERAL HOME LOAN MTG CORP. 01/15/15 4.50 7,365,213 7,924,232 3.05 4.92AAA AAA 9,855 FEDERAL HOME LOAN MTG CORP. 07/15/15 5.50 9,968 10,509 3.19 2.40AAA AAA 10,700,000 FEDERAL HOME LOAN MTG CORP. 07/17/15 4.38 10,589,638 11,332,519 3.15 5.34AAA AAA 12,200,000 FEDERAL HOME LOAN MTG CORP. 11/17/15 4.75 13,612,881 13,145,145 3.36 5.63AAA 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 5.93AAA AAA 23,226 FEDERAL HOME LOAN MTG CORP. 10/15/16 4.00 22,544 23,743 1.91 0.51AAA AAA 17,891 FEDERAL HOME LOAN MTG CORP. 12/15/22 5.00 17,787 18,344 2.40 0.08AAA AAA 16,218 FEDERAL HOME LOAN MTG CORP. 01/15/31 5.50 16,129 16,926 3.20 0.70AAA AAA 12,176,729 FEDERAL HOME LOAN PC POOL G03696 01/01/38 5.50 12,187,194 12,591,023 3.83 2.28AAA AAA 347 FEDERAL HOME LOAN PC POOL 140864 07/01/09 9.00 335 346 3.37 0.12AAA AAA 1 FEDERAL HOME LOAN PC POOL 1G0794 04/01/36 1.00 1 1 2.77 0.10AAA AAA 520,114 FEDERAL HOME LOAN PC POOL B17621 01/01/20 5.00 512,149 543,011 3.20 2.02AAA AAA 1,049,940 FEDERAL HOME LOAN PC POOL B19580 07/01/20 5.00 1,050,843 1,095,178 3.67 0.00AAA AAA 2,326,322 FEDERAL HOME LOAN PC POOL G11769 10/01/20 5.00 2,329,775 2,426,554 3.20 2.01AAA AAA 3,453,048 FEDERAL HOME LOAN PC POOL G11777 10/01/20 5.00 3,458,173 3,601,825 3.25 1.99AAA AAA 554,978 FEDERAL HOME LOAN PC POOL G11879 10/01/20 5.00 555,802 579,410 3.20 1.98AAA AAA 1,716,429 FEDERAL HOME LOAN PC POOL G11880 12/01/20 5.00 1,717,904 1,789,310 3.25 1.99AAA AAA 2,113,456 FEDERAL HOME LOAN PC POOL G12221 06/01/21 5.50 2,111,804 2,227,054 3.32 1.52AAA AAA 310,635 FEDERAL HOME LOAN PC POOL G18053 05/01/20 5.00 311,097 324,019 3.20 1.95AAA AAA 30,802 FEDERAL HOME LOAN PC POOL J02514 09/01/20 5.00 30,828 32,130 3.75 0.00AAA AAA 323,844 FEDERAL HOME LOAN PC POOL M80807 03/01/10 4.50 324,564 326,481 1.94 0.63AAA AAA 13,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/15/10 6.63 14,078,450 14,039,398 0.80 1.33AAA AAA 6,500,000 FEDERAL NATIONAL MORTGAGE ASSN. 03/15/11 5.50 7,014,295 6,975,264 1.06 1.62AAA AAA 7,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 10/15/11 5.00 7,610,730 7,566,530 1.40 2.17AAA AAA 13,400,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/15/11 5.38 14,831,820 14,615,840 1.48 2.25AAA AAA 6,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 01/09/12 2.00 6,063,060 6,064,668 1.59 2.45AAA AAA 43,341,000 FEDERAL NATIONAL MORTGAGE ASSN. 09/15/12 4.38 45,376,794 46,505,565 2.06 3.00AAA AAA 11,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 11/19/12 4.75 12,052,310 11,911,404 2.06 3.16AAA AAA 14,131,000 FEDERAL NATIONAL MORTGAGE ASSN. 02/12/13 3.63 15,037,155 14,813,482 2.14 3.39AAA AAA 26,166,000 FEDERAL NATIONAL MORTGAGE ASSN. 10/15/13 4.63 27,433,370 28,260,455 2.65 3.92AAA AAA 12,200,000 FEDERAL NATIONAL MORTGAGE ASSN. 04/15/15 5.00 13,763,064 13,352,891 3.19 5.11AAA AAA 12,000,000 FEDERAL NATIONAL MORTGAGE ASSN. 07/15/16 5.38 13,548,740 13,338,419 3.46 5.95AAA AAA 53,438 FNMA POOL 254546 12/01/17 5.50 54,446 56,544 3.21 2.11ILLINOIS STATE BOARD OF INVESTMENT28