Annual Report PDF file 2009 - State of Illinois

Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Finance (continued)BAA2 BBB- 3,000,000 GLENCORE FDG LLC 04/15/14 6.00 2,904,032 2,499,754 10.74 3.95CA CCC 1,117,000 GMAC LLC 09/15/11 6.88 918,107 977,375 13.61 1.91AAA AAA 3,900,000 GMAC LLC 12/19/12 2.20 3,893,799 3,885,859 2.32 3.36A1 A 3,220,000 GOLDMAN SACHS GROUP 01/18/18 5.95 3,178,536 3,170,979 6.41 6.60A1 A 8,500,000 GOLDMAN SACHS GROUP 01/15/16 5.35 8,090,609 8,376,412 5.77 5.43A1 A 985,000 GOLDMAN SACHS GROUP 11/01/12 5.45 1,015,249 1,022,700 4.34 3.04A1 A 8,400,000 J P MORGAN CHASE & CO. 01/02/13 5.75 8,365,560 8,700,059 4.77 3.10AAA AAA 3,100,000 JOHN DEERE CAPITAL CORP. FDIC GT 06/19/12 2.88 3,193,734 3,174,735 2.01 2.86AA3 A+ 3,715,000 JPMORGAN CHASE & CO. FORMERLY 01/15/18 6.00 3,929,764 3,685,238 6.10 6.61BAA2 BBB- 2,190,000 MARSH & MCLENNAN COS INC. 07/15/14 5.38 2,026,463 2,098,413 6.35 4.30A2 A 2,580,000 MERRILL LYNCH & CO INC. 02/05/13 5.45 2,535,528 2,528,622 6.29 3.17A2 A 4,700,000 MORGAN STANLEY 04/28/15 6.00 4,659,439 4,738,615 6.05 4.90A2 A 2,565,000 MORGAN STANLEY 12/28/17 5.95 2,229,989 2,506,890 6.29 6.77A2 A 4,000,000 MORGAN STANLEY GROUP INC. 03/01/13 5.30 4,002,240 4,045,335 4.91 3.28A1 A+ 3,150,000 NATIONAL RURAL UTILITIESS COOP FIN. 11/01/18 10.38 3,741,337 4,312,751 6.67 6.42A1 AA- 1,500,000 NORTHERN TRUST CORP. 08/15/13 5.50 1,521,355 1,600,257 3.90 3.66CAA3 CCC 1,896,000 NUVEEN INVESTMENTS INC. 11/15/15 10.50 1,911,998 1,308,240 19.10 4.06BAA1 A- 2,726,000 PPF FDG INC. 04/15/17 5.70 1,690,120 1,662,328 14.06 5.57BA1 BB 2,495,000 TEPPCO PARTNERS LP 06/01/67 7.00 2,399,705 1,872,772 11.96 5.66A2 A- 3,865,000 TRAVELERS COS INC 06/15/12 5.38 3,871,869 4,057,498 4.75 2.72AA2 A+ 4,250,000 US BANK NAT'L ASSN. CINCINNATI OH 10/30/14 4.95 4,254,506 4,347,469 4.27 4.71BA1 BBB- 1,002,000 VENTAS REALTY LTD PARTNERSHIP 06/01/15 7.13 1,002,000 966,930 7.87 4.78AA3 AA- 1,275,000 WACHOVIA BANK NAT'L ASSN. 11/15/17 6.00 1,122,000 1,174,601 5.88 6.66AA3 AA- 1,200,000 WACHOVIA BANK NAT'L ASSN. 02/01/37 5.85 1,204,380 1,024,804 6.80 12.47A1 AA- 2,000,000 WACHOVIA CORP. 05/01/13 5.50 2,027,360 2,043,039 4.55 3.44A1 AA- 3,100,000 WELLS FARGO & CO. NEW 01/15/10 4.20 3,030,157 3,128,910 2.04 0.53AA3 AA- 7,200,000 WELLS FARGO BANK NAT'L ASSN. 05/16/16 5.75 7,263,526 6,967,781 6.10 5.69Total Finance 164,216,847 159,283,917IndustrialsA1 AA 4,443,000 ABBOTT LABS 05/15/16 5.88 4,788,528 4,909,889 4.34 5.79BA2 BB- 3,974,000 ACE HARDWARE CORP. 06/01/16 9.13 3,918,364 3,904,455 9.47 4.98BA3 BB+ 509,000 AES CORP. 05/15/13 8.75 567,535 516,635 8.28 2.58B1 BB- 723,000 AES CORP. 10/15/17 8.00 723,000 672,390 9.22 5.90BAA1 BBB 965,000 ALTRIA GROUP INC. 11/10/13 8.50 1,014,507 1,087,961 4.97 3.70BAA1 BBB 950,000 ALTRIA GROUP INC. 11/10/18 9.70 1,056,837 1,100,395 7.52 6.38A2 BBB+ 1,440,000 AMERICAN EXPRESS BANK 10/17/12 5.55 1,457,107 1,450,726 5.47 2.98A2 A 3,500,000 ARCHER DANIELS MIDLAND CO. 03/15/18 5.45 3,586,312 3,633,860 4.72 7.05CAA1 B- 3,022,000 ASBURY AUTOMOTIVE GROUP INC. 03/15/14 8.00 2,963,945 2,508,260 12.93 3.65CAA1 B- 91,000 ASBURY AUTOMOTIVE GROUP INC. 03/15/17 7.63 91,000 64,610 13.86 5.20B2 B 1,334,000 ASHTEAD CAP INC. 08/15/16 9.00 1,346,003 1,130,565 12.27 4.87A2 A 3,000,000 AT&T INC. 02/15/14 4.85 2,999,820 3,108,911 3.96 4.11CAA2 CCC 1,928,000 ATLAS PIPELINE PARTNERS LP 06/15/18 8.75 1,928,000 1,320,680 15.33 5.50BA3 BB+ 750,000 BE AEROSPACE INC. 07/01/18 8.50 750,000 706,875 9.46 6.19BA2 B+ 828,000 BELDEN INC NEW 03/15/17 7.00 828,000 732,780 9.11 5.73A2 A 2,325,000 BELLSOUTH CAP FDG CORP. 02/15/10 7.75 2,491,503 2,396,827 2.72 0.60BAA3 BBB 2,900,000 BROWNING FERRIS INDS INC. 05/01/21 9.25 3,200,875 3,006,558 8.61 7.32B2 BB- 4,000,000 BUCKEYE TECHNOLOGIES INC. 10/01/13 8.50 4,251,250 3,720,000 10.58 3.42BAA1 BBB 1,450,000 BURLINGTON NORTHN SANTA FE CORP. 07/01/12 5.90 1,526,575 1,539,693 3.80 2.77BAA2 BBB+ 2,355,000 CARDINAL HEALTH INC. 06/15/13 5.50 2,314,997 2,374,314 5.69 3.54BA3 BB+ 3,420,000 CASE CORP. 01/15/16 7.25 3,352,870 3,082,275 9.30 4.94B2 B 2,427,000 CELLU TISSUE HOLDINGS 06/01/14 11.50 2,400,583 2,384,528 11.98 3.61B2 B 4,002,000 CENTENNIAL COMMUNICATIONS CORP. 06/15/13 10.13 4,179,330 4,127,063 9.16 1.61CAA1 B- 3,668,000 CENVEO CORPORATION 12/01/13 7.88 3,582,680 2,567,600 18.00 3.39BA3 BB 1,641,000 CHESAPEAKE ENERGY CORP. 02/15/15 9.50 1,576,591 1,653,308 9.32 4.20BA3 BB 3,000,000 CHESAPEAKE ENERGY CORP. 01/15/16 6.88 3,048,750 2,647,500 9.31 4.99B3 B 1,188,000 CHS CMNTY HEALTH SYS INC 07/15/15 8.88 1,179,613 1,164,240 9.31 4.36BA3 B+ 405,000 CINCINNATI BELL INC. NEW 07/15/13 7.25 388,800 370,575 9.85 3.30B2 B- 3,913,000 CINCINNATI BELL INC. NEW 01/15/14 8.38 3,909,384 3,619,525 10.49 3.55A1 A+ 1,700,000 CISCO SYSTEMS INC. 02/15/39 5.90 1,696,209 1,682,875 6.01 13.61A1 A+ 500,000 CISCO SYSTEMS INC. 02/15/19 4.95 498,870 502,148 4.89 7.75BA2 BB 4,225,000 CITIZENS COMMUNICATIONS CO. 01/15/13 6.25 4,023,663 3,887,000 8.93 3.02AA3 AA 2,200,000 CME GROUP INC. 02/15/14 5.75 2,207,042 2,274,336 4.15 4.04A3 A 2,315,000 COCA COLA ENTERPRISES INC. 03/03/14 7.38 2,479,194 2,760,318 3.97 3.98BAA1 BBB+ 2,835,000 COMCAST CORP. NEW 02/15/18 5.88 2,747,957 2,902,641 5.67 6.78B3 B- 3,500,000 COMMUNICATIONS & PWR INDS INC. 02/01/12 8.00 3,567,500 3,368,750 9.67 2.21BAA2 BBB 700,000 CONAGRA INC. 04/15/19 7.00 719,026 770,874 5.70 7.30BAA2 BBB 248,000 CONAGRA INC. 10/01/26 7.13 265,916 256,087 7.28 9.82BAA2 BBB 654,000 CONAGRA INC. 10/01/28 7.00 660,618 660,210 7.06 10.47CAA2 BB- 2,526,000 CONNACHER OIL & GAS LTD 12/15/15 10.25 2,494,661 1,528,230 21.98 3.98A1 A 1,000,000 CONOCOPHILLIPS 02/01/14 4.75 997,190 1,041,181 3.76 4.09A1 A 2,000,000 CONOCOPHILLIPS 02/01/19 5.75 2,028,540 2,108,751 5.07 7.40BA1 BBB 4,000,000 CONSOL ENERGY INC. 03/01/12 7.88 4,380,000 4,040,000 7.45 2.33B1 B+ 64,000 COPANO ENERGY LLC 03/01/16 8.13 65,417 60,160 9.35 4.93B3 B- 4,868,000 CRICKET COMMUNICATION 11/01/14 9.38 4,316,545 4,794,980 9.74 3.99BA2 B+ 741,000 CRICKET COMMUNICATIONS I 05/15/16 7.75 712,353 713,213 8.48 5.14ILLINOIS STATE BOARD OF INVESTMENT31