Annual Report PDF file 2009 - State of Illinois

2009ANNUALREPORTILLINOISSTATEBOARDOFINVESTMENT

TABLE OF CONTENTSINTRODUCTIONBoard Members2Letter to Trustees3Financial Highlights8Ten Year Summary9FINANCIAL STATEMENTSIndependent Auditors’ Report11Management’s Discussion and Analysis12Statement of Net Assets14Statement of Changes in Net Assets15Notes to Financial Statements16SUPPLEMENTAL FINANCIAL INFORMATIONPortfolio of Investments28Portfolio Data98Investment Transactions with Brokers and Dealers100Restricted Investments102Staff and Investment Managers104Printed on contract by authority of the State of Illinois, January 27, 2010.(300 copies at $21.57 each)ILLINOIS STATE BOARD OF INVESTMENT1

BOARD MEMBERSCHAIRMANRonald E. PowellAppointed MemberVICE CHAIRMANJohn CaseyAppointed MemberRonald E. PowellMichele BushJohn CaseyRECORDING SECRETARYJustice Thomas E. HoffmanChairman, Board of TrusteesJudges’ Retirement System ofIllinoisMichele BushAppointed MemberSenator James Clayborne, Jr.Chairman, Board of TrusteesGeneral Assembly RetirementSystemAlexi GiannouliasTreasurer, State of IllinoisDaniel HynesChairman, Board of TrusteesState Employees’ RetirementSystemEXECUTIVE COMMITTEERonald E. PowellChairmanJohn CaseyVice ChairmanThomas E. HoffmanRecording SecretaryFred MontgomeryMember at LargeAUDIT & COMPLIANCECOMMITTEEMichele BushChairmanJames Clayborne, Jr.Thomas E. HoffmanDaniel HynesFred MontgomeryJames Clayborne, Jr.Alexi GiannouliasFred MontgomeryAppointed MemberHeather D. ParishAppointed MemberINVESTMENT POLICYCOMMITTEERonald E. PowellChairmanMichele BushAlexi GiannouliasThomas E. HoffmanHeather D. ParishThomas E. HoffmanDaniel HynesEMERGING MANAGERCOMMITTEEJames Clayborne, Jr.ChairmanJohn CaseyAlexi GiannouliasDaniel HynesHeather D. ParishFred MontgomeryHeather D. ParishILLINOIS STATE BOARD OF INVESTMENT2

LETTER TO TRUSTEESThe General Assembly Retirement SystemThe Judges’ Retirement System of IllinoisThe State Employees’ Retirement System of IllinoisThe Illinois State Board of Investment (ISBI or Board) hasfiduciary responsibility for the pension assets of the GeneralAssembly Retirement System, the Judges’ Retirement Systemof Illinois and the State Employees’ Retirement System ofIllinois. The fair value of those assets totaled $8.7 billion atfiscal year ended June 30, 2009. For the same period endingJune 30, 2008, net assets totaled $11.3 billion. The year endingJune 30, 2009 saw a continuation, in fact an exacerbation ofthe troubled environment for investors experienced throughthe previous fiscal year. While ISBI’s portfolio constructionprovided some protection in this very difficult period, its assetallocation, driven by an 8.5% actuarial assumption, made itvery difficult to dampen the losses experienced across themarketplace.Investment PolicyAs discussed in the previous Annual Report, ISBI madeadjustments to its asset allocation in FY 2008. Implementationof those changes was finalized early in FY 2009.ISBI did not make new changes in FY 2009; rather difficultywas experienced early this fiscal year, Quarter One andQuarter Two, in complying with the existing asset allocationpolicy. Under that policy, ISBI seeks to rebalance the portfolioon a regular basis to remain consistent with the assetallocation model. However, through the above-referenced timeperiod, asset values declined precipitously and liquidity, bothsystemically and within the ISBI portfolio, declined. Thus, itwas with great difficulty that the staff was able to rebalancethe portfolio in such away as to remain true to the assetallocation model.Further complicating these challenges was a dearth ofliquidity within the securities lending program utilized by ISBIat State Street Bank and Trust. Within the cash collateral poolat State Street Quality Fund D, liquidity was constrained as aresult of Quality Fund D’s exposure to asset backed securities(ABS). While to date none of those securities have defaulted,liquidity left the marketplace, so too the demand for suchsecurities. As a result, the fund manager was forced to holdFigure 1Net Asset Allocation June 30, 2009Fair Actual PolicyValue Asset Mix Target($ in Millions) % %U.S. equity 2,610,505,162 30 30U.S. equity hedge funds 880,939,190 10 10International equity 1,482,642,287 17 20Commingled Funds 335,484,184 4 0Fixed income 1 1,366,303,740 16 18Bank loans 197,259,098 2 2Real estate 875,929,700 10 10Private equity 2 450,491,810 5 5Infrastructure 2 305,969,947 3 5Cash 3 229,531,945 3 0Total 8,735,057,063 100 1001Maturities of one year or longer, including convertible bonds.2Interests in limited partnerships and other entities which have limited liquidity.3Includes money market instruments and other assets, less liabilities.4Holdings include fixed income and equity investments.ILLINOIS STATE BOARD OF INVESTMENT3

International Equity 17%U.S. Equity 30%Fixed Income 16%Private Equity 5%Bank Loans 2%Infrastructure 3%Cash 3%Commingled Funds 4%Real Estate 10%U.S. Equity Hedge Funds 10%ABS to maturity, thus limiting the liquidity of the fund. However,even as liquidity in the pool was constrained, revenue to theISBI portfolio through the securities lending program was atan all time high. For FY 2009 ISBI’s securities lending revenuewas $17,578,263.Despite the increased revenue generated by ISBI’s securitieslending program, the Board remains concerned about the riskassociated with the continued utilization of Quality Fund D. InSeptember of 2008 the Board directed State Street Bank andTrust to transfer ISBI’s exposure away from Quality Fund D tothe Navigator Fund, a regulated money market fund.Unfortunately, as of fiscal year end 2009, State Street hasdeclined to make that transfer citing continued liquidityconstraints within Quality Fund D. It is anticipated that suchchanges will be made in FY 2010.Beyond the challenges presented in the securities lendingprogram, the Board also addressed issues within its fixedincome portfolio. A sizable portion of that portfolio wasmanaged by Western Asset Management (Western) in a CorePlus mandate. Consistent with that mandate, Western wasmarkedly exposed to investment grade mortgage backedsecurities. Further, in August of 2008, ISBI was advised thatWestern was buying for ISBI’s portfolio the bonds of financialservices companies. Both of these actions ultimately weredeleterious to the portfolio and caused the Board to lose itsconfidence in Western. As a result, ISBI terminated itsrelationship with the firm and transferred those assets to anexisting manager, Chicago Equity Partners. In so doing itchanged the mandate away from Core Plus to a moreconservative Core mandate. Further, the Board added a shortbond allocation to reduce risk and increase liquidity.Investment ResultsIn fiscal year 2009, investors suffered from double digitdeclines in U.S. equity, international equity, private equity andreal estate as measured by market indices. Fixed income, asmeasured by Barclay’s Universal Index had a positive return.The ISBI total fund was down 20.1% for fiscal year 2009, net ofexpenses. This follows a negative return of 6.2% for fiscal year2008, and positive returns of 17.1%, 11.0% and 10.1% for 2007,2006 and 2005, respectively.The Board continues to be concerned by some underperformanceby specific managers, but most of the currentmanagers have exceeded their individual benchmarks sinceinception. Figure 2 shows results over the three, five and tenyear time periods.U.S. EquitiesFor the twelve months ended June 30, 2009, the Russell 3000Index, a broad representation of the U.S. market was down26.6%. Growth stocks exceeded value stocks; with the Russell3000 Growth Index down 24.5%, compared to the Russell 3000Value Index down 28.7%. Small capitalization stocksoutperformed large capitalization stocks; with the S&P 500declining 26.2% compared to a 25.0% decline for the Russell2000. ISBI’s U.S. equity portfolio was down 22.0% for fiscalyear 2009, 4.6% above the Russell 3000.Figure 2 shows ISBI’s U.S. stock portfolio performance forthree, five and ten year time periods. The Board, throughstructure analysis, rebalancing and risk management,continues tracking the market with predictable consistency toachieve its objective.ILLINOIS STATE BOARD OF INVESTMENT4

Figure 2Investment Returns June 30, 2009(Annualized)2009 2008 2007 2006 2005 3 Yrs. 5 Yrs. 10 Yrs.% % % % % % % %Total Fund (20.1) (6.2) 17.1 11.0 10.1 (4.3) 1.4 1.9Composite Benchmark* (17.0) (4.6) 16.4 11.5 10.9 (2.7) 2.7 2.7Consumer Price Index (1.4) 5.0 2.7 4.2 2.5 2.1 2.6 2.6U.S. Equities (22.0) (11.6) 19.9 10.7 9.3 (6.2) 0.0 0.2Russell 3000 Index (26.6) (12.5) 20.1 9.6 8.1 (8.4) (1.8) (1.5)International Equities (29.1) (10.3) 28.8 28.9 14.8 (6.4) 3.9 2.4MSCI-EAFE Index (31.0) (10.2) 27.5 27.1 14.1 7.5 2.8 1.6Fixed Income (2.4) 5.3 6.9 0.8 6.9 3.3 3.5 4.5Barclay’s Capital U.S.Universal Index 4.9 6.2 6.6 (0.3) 7.4 5.9 5.0 6.0Real Estate (31.7) 2.6 15.3 19.5 14.8 (6.9) 2.1 4.4NCRIEF Real Estate Index (19.6) 9.2 17.2 18.7 15.6 1.0 7.6 8.5Private Equity (18.8) (4.9) 31.7 21.3 29.6 0.6 9.9 7.3* Composite Benchmark:Effective 11/08:Effective 04/08:Effective 12/03:Effective 4/02:Prior to 4/02:30% Russell 3000; 20% MSCI-EAFE; 25% Barclays U.S. Capital Universal; 10% NCRIEF;5% Venture Economic all Private Equity Index; 10% HFR Equity Hedged Index.30% Russell 3000; 20% MSCI-EAFE; 25% Lehman Universal; 10% NCRIEF;5% Venture Economic all Private Equity Index; 10% HFR Equity Hedged Index.45% Wilshire 5000; 10% MSCI-EAFE; 25% Lehman Universal; 10% NCRIEF;5% Venture Economic all Private Equity Index; 5% HFR Equity Hedged Index.46% Russell 3000; 15% MS-AC Free ex US; 23% Lehman Universal;8% NCRIEF; 8% Russell 2000 + 3.0%.43% Russell 3000; 20% MS-AC Free ex US; 22% Lehman Aggregate;7% NCRIEF; 8% absolute return of 12%.International EquitiesThe Morgan Stanley EAFE Index returned negative 31.0% forthe fiscal year ended June 30, 2009, or 4.4% below the U.S.return. ISBI’s International equity portfolio was down 29.1%,1.9% above the EAFE Index. As with the U.S. equity portfolio,the Board has the twin objectives of limiting tracking errorrelative to the benchmark and adding value with activemanagement. The returns for longer time periods are shown inFigure 2.Fixed IncomeThe ISBI Fixed Income portfolio had a negative return of 2.4%for the fiscal year ended June 30, 2009, compared to thepositive 4.9% for the Barclay’s Universal Bond Index. Anunderweighting to Government bonds coupled with anassociated overweight to investment grade, mortgage-backedsecurities, when compared to the index, was the reason forthe under-performance. Figure 2 shows the long-term resultsfor Fixed Income.Real EstateIn FY 2009, ISBI’s real estate portfolio earned a return ofnegative 31.7 %. The NCREIF Real Estate Index, a measure ofcore, operating, non-leveraged real estate, earned a negative19.6%. The portfolio’s underperformance relative to thisbenchmark can be attributed to ISBI’s prompt writing down ofreal estate assets, and a general lag on the part of the indexfor similar write downs. Further, while ISBI, as well as mostinstitutional investors, utilizes a prudent amount of leveragedin its real estate portfolio, the NCREIF Real Estate Index iscompletely un-levered. Over the last five years, the Boardincreased the real estate strategic allocation from 5% to 10%of the total fund with the new allocation targeting 70% of itsreal estate to core, income producing real estate, with thebalance in higher return strategies. The increased Real Estateallocation resulted in the addition of two core, separate realestate accounts. Originally, it was planned to have the newseparate accounts fully invested by the end of calendar year2008. However, as a result of challenging market conditions,ILLINOIS STATE BOARD OF INVESTMENT5

% Investment Returns June 30201510Total FundComposite BenchmarkCPI50-5-10-202009 2008 2007 2006 2005those accounts are yet to be fully funded.ISBI’s Real Estate portfolio is invested primarily throughinterests in separate accounts, limited partnerships, trusts,and other forms of pooled investments. Long-term results forreal estate are shown in Figure 2.Private EquityIn FY 2008, ISBI’s Private Equity portfolio returns were negative18.8%. The Private Equity portfolio consists of interests inlimited partnerships and other commingled vehicles that investin management buyouts, venture capital, and other privateplacement equity strategy activities. The Private Equity assetclass was challenged by disruptions in the credit markets andan overall weakness in pricing for the fiscal year period. Inspite of these challenges, long-term results as detailed inFigure 2 show that Private Equity remains the best performingasset class for the ten-year period ended June 30, 2009.Management ExpensesThe resulting expense ratio (expenses divided by average fairvalue of assets) was .44% for fiscal year 2009, as compared to.36% for fiscal year 2008. Total expenses for fiscal year 2009,based on $8.7 billion in total assets were $41.2 million,compared to $41.9 million based on $11.3 billion in total assetsfor fiscal year 2008. Decreased aggregate expenses in fiscal2009 were mainly a result of decreased fees paid to investmentmanagers.Minority/Female ParticipationJust as ISBI seeks prudent diversification within its totalportfolio, the Board continues to seek an appropriate level ofdiversity among the professionals charged with meeting theBoard’s mission. The Board membership itself is comprised of33% minority and 22% women.ISBI operates under its own Minority Brokers and MoneyManagers Policy regarding utilization of minority and femaleowned broker/dealers, minority and female owned moneymanagers, and emerging managers. Since April, 2006, theBoard has achieved its minimum goal of 5% of the totalportfolio being managed by emerging and minority managers.At the end of FY 2009, 25.7% of ISBI’s portfolio was managedby emerging, minority, and female owned firms. During fiscalyear 2009, the Board increased the allocations to three of itsexisting emerging/minority managers: RhumbLine, DecaturCapital, and Rock Creek Capital.At its meeting held in July, 2008, the Board’s Minority Brokerand Money Managers Policy was amended to increase theminority broker/dealer target to 20% from 15%. The policyrequires that such trades be executed directly and prohibitsthe utilization of step-outs. Further, language was addedincorporating ISBI’s international equity portfolio into thepolicy. The Board’s policy also encourages utilization ofIllinois-based broker/dealers and establishes 25% utilization asa minimum.During fiscal year 2009, utilization of minority-ownedILLINOIS STATE BOARD OF INVESTMENT6

oker/dealers by ISBI investment managers far exceeded thepolicy goals, with 57.4% for domestic equity trades. Of thosetrades, 94.8% were executed through Illinois-basedbroker/dealers. Similarly, 30.0% of fixed income transactions,based on par value, were placed through minority or femaleowned broker/dealers, of which 73.5% were with Illinois-basedfirms. In the international portfolio 7.3% of trades were placedwith minority or female owned broker/dealers, of which 100%were with Illinois based firms.ISBI is currently working to update the Minority Broker andMoney Managers Policy in accordance with Public Act 96-0006 which was enacted June 2, 2009. The updated Policy willexpand reporting to include a quantifiable goal for each assetclass and goals for utilization in each of the minority classes.The updated policy will be effective prior to January 1, 2010.Public Act 96-0006On April 3, 2009 Governor Quinn signed into law Public Act 96-0006, which had a material effect on the construction of theBoard, as well as operational elements at ISBI.Numerous changes occurred as a result of this Act includingchanges in how the Board is structured. The first of thesechanges occurred when, under this statute, the StateComptroller, Dan Hynes, became Chairman of the StateEmployees’ Retirement System, and so a member of thisBoard. Subsequently, as a result of the Act, the terms of ISBI’sfive gubernatorial appointees expired. On June 3, 2009, theGovernor made five appointments: Michelle Bush, John Casey,Fred Montgomery, Heather D. Parish and Ronald Powell. As aresult of these changes the Board elected a new Chair, RonaldPowell.Besides these changes in Board membership, PA 96-0006made operational changes to ISBI, including changes to howthe Board utilizes and selects emerging and minoritymanagers; changes to how ISBI identifies and retainsinvestment professionals; and establishes requirements forfiduciary training of Board members. ISBI is in compliance, oris in the process of complying, with the various provisions ofPA 96-0006.ConclusionThe last two fiscal years have been among the mostchallenging since ISBI’s inception in 1970. Prudent investors,among them ISBI, have historically sought to constructportfolios out of assets with low or negative correlation, sothat through various points in the business cycle downwardpressure would be mitigated by a negatively correlated assetthe would generatesome value. Unfortunately, through the current episode, suchefforts have been essentially futile: Virtually all assets havedeclined in value, and have correlated favorably with eachother.Last year this section of the FY 2008 Annual Report containedthe following paragraph:Unfortunately, as of this writing there is little evidence tosuggest that the challenges investors experienced in FY2008 might abate in FY 2009. Rather, such issues seem tobe coming more acute. While in FY 2008 the driving forcesthat harmed global investors were related to the deleveringof financial institutions, businesses, andindividuals, going into FY 2009 the portfolio has been, andwill continue to be, effected by a global economicslowdown in the midst of this continued de-levering.We stand by that description of the situation confronting ISBI,and all investors, one year ago. Fortunately, since preparationof the FY 2008 Annual Report, the global economy seems tohave stepped back from the abyss, and while investors are stillconfronted with great challenges, it is our opinion that theworst is behind us. Given the disruptions and lossesexperienced by investors over the last few years, thetemptation exists to make precipitous changes to one’sinvestment approach. However, it is our conviction that, issuesdescribed here not withstanding, the portfolio has performedin a manner consistent with prudent expectations. Given thatreality, and despite reflexive responses to the contrary, nostructural change to ISBI’s investment policy is currentlyanticipated.The Board, the staff, and the investment professionalsretained by ISBI continue to monitor the portfolio and managethese and other challenges as aggressively as possible.Our sincerest appreciation is extended to the Board Membersand all the Staff, for their cooperation and diligence during thefiscal year. Further, the Board extends appreciation to theformer Board Members Michael Goetz, Chairman; JohnGordon Mazzotti, Vice Chairman; Guy Alongi and Allison Davis;for their dedicated service.The following sections of the report present detailed financialstatements and supplemental information on a basisconsistent with past reports.Respectfully submitted November 20, 2009,Ronald E. Powell,ChairmanWilliam R. Atwood,Executive DirectorILLINOIS STATE BOARD OF INVESTMENT7

FINANCIAL HIGHLIGHTSFISCAL YEARS ENDED JUNE 30($ in millions)2009 2008 Change$ $ $Net Assets (at fair value) 8,684.1 11,315.1 (2,631.0)Retirement Systems’ participationGeneral Assembly 47.7 71.9 (24.2)Judges’ 435.6 589.2 (153.6)State Employees’ 8,200.8 10,654.0 (2,453.2)Net Investment income (loss) (2,354.0) (737.6) (1,616.4)Interest and dividends 262.2 316.8 (54.6)Net securities lending income 17.6 16.6 1.0Net gain (loss) on investments (2,592.5) (1,029.2) (1,563.3)Management expenses (41.3) (41.9) 0.6Member Systems' contributions (withdrawals) (277.0) (499.5) 222.5% % %Annual total return* (20.1) (6.2) (13.9)Management expenses as a percentage of average net assets** 0.44 0.36 0.08*Annual total return reflects income earned and market appreciation (depreciation).**Quarterly market values are utilized in calculating average figures.ILLINOIS STATE BOARD OF INVESTMENT8

TEN YEAR SUMMARYFISCAL YEARS ENDED JUNE 30($ in millions)2009 2008 2007 2006 2005 2004 2003 2002 2001 2000$ $ $ $ $ $ $ $ $ $NET ASSETS(at fair value) 8,684.1 11,315.1 12,552.2 11,316.5 10,902.5 10,442.7 7,801.0 7,928.3 8,578.1 9,270.3Retirement Systems’ participationGeneral Assembly 47.7 71.9 83.9 79.0 80.8 81.3 47.4 52.2 60.5 68.9Judges’ 435.6 589.2 658.2 582.6 550.4 521.4 317.5 332.4 372.6 414.8State Employees’ 8,200.8 10,654.0 11,810.1 10,654.9 10,271.3 9,840.0 7,436.1 7,543.7 8,145.0 8,786.6CHANGES IN NET ASSETSNet investment income (loss) (2,354.0) (737.6) 1,877.7 1,173.0 1,007.4 1,506.8 12.7 (577.9) (652.3) 977.0Interest and dividends 262.2 316.8 319.5 306.2 262.1 184.4 186.8 213.4 244.4 227.6Net securities lendingincome 17.6 16.6 4.5 4.3 3.7 2.4 1.9 2.3 3.6 3.7Net gain (loss)on investments (2,592.5) (1,029.2) 1,594.3 892.6 766.1 1,337.9 (159.2) (775.0) (879.7) 766.4Management expenses (41.3) (41.9) (40.6) (30.1) (24.5) (17.9) (16.8) (18.6) (20.6) (20.7)Member Systems' netcontributions (withdrawals) (277.0) (499.5) (642.0) (759.0) (547.7) 1,134.9 (140.0) (71.9) (39.9) (15.7)RETURNS % % % % % % % % % %Annual total return* (20.1) (6.2) 17.1 11.0 10.1 16.4 0.3 (6.9) (7.1) 11.8Compound annual rateof return since 7-1-82(Adoption of PrudentPerson Legislation) 8.9 10.3 11.0 10.7 10.7 10.8 10.5 11.1 12.1 13.2* Annual total return reflects income earned and market appreciation (depreciation).ILLINOIS STATE BOARD OF INVESTMENT9

FINANCIALSTATEMENTS2009ILLINOIS STATE BOARD OF INVESTMENT10

INDEPENDENT AUDITORS’ REPORTHonorable William G. HollandAuditor GeneralState of IllinoisBoard of DirectorsIllinois State Board of Investment:As Special Assistant Auditors for the Auditor General, we have audited the accompanying statements of net assets of the IllinoisState Board of Investment (Board), an internal investment pool of the State of Illinois, as of June 30, 2009 and June 30, 2008,and the related statements of changes in net assets for the years then ended, as listed in the table of contents. These financialstatements are the responsibility of the Board’s management. Our responsibility is to express opinions on these financialstatements based on our audit.We conducted our audit in accordance with auditing standards generally accepted in the United States of America and thestandards applicable to financial audits contained in Government Auditing Standards, issued by the Comptroller General of theUnited States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An audit includes consideration of internal control over financial reportingas a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing anopinion on the effectiveness of the Board’s internal control over financial reporting. Accordingly, we express no such opinion. Anaudit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An auditalso includes assessing the accounting principles used and significant estimates made by management, as well as evaluatingthe overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinions.As discussed in Note 1, the financial statements present only the Board and do not purport to, and do not present fairly thefinancial position of the State of Illinois as of June 30, 2009 and June 30, 2008, and the changes in its financial position for theyears then ended in conformity with accounting principles generally accepted in the United States of America.In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the IllinoisState Board of Investment as of June 30, 2009 and June 30, 2008, and the changes in its net assets for the years then ended, inconformity with accounting principles generally accepted in the United States of America.In accordance with Government Auditing Standards, we have also issued, under separate cover, our report dated January 20,2010 on our consideration of the Board’s internal control over financial reporting and on our tests of its compliance with certainprovisions of laws, regulations, contracts, and grant agreements and other matters. The purpose of that report is to describe thescope of our testing of internal control over financial reporting and compliance and the results of that testing, and not to providean opinion on the internal control over financial reporting or on compliance. That report is an integral part of an audit performed inaccordance with Government Auditing Standards and should be considered in assessing the results of our audit.The accompanying management’s discussion and analysis on pages 12 and 13 is not a required part of the basic financialstatements but is supplementary information required by accounting principles generally accepted in the United States ofAmerica. We have applied certain limited procedures, which consisted principally of inquiries of management regarding themethods of measurement and presentation of the required supplementary information. However, we did not audit the informationand express no opinion on it.Chicago, IllinoisJanuary 20, 2010McGladrey & Pullen, LLP is a member firm of RSM International,an affiliation of separate and independent legal entities.1ILLINOIS STATE BOARD OF INVESTMENT11

MANAGEMENT’S DISCUSSION AND ANALYSISIn October 1969, the Illinois State Board of Investment wascreated by enactment of Article 22A of the Illinois PensionCode by the 76th General Assembly of Illinois. By statute, theBoard was given the responsibility for management of theassets of the General Assembly Retirement System, theJudges’ Retirement System of Illinois and the StateEmployees’ Retirement System of Illinois. Board membershipconsists of five members appointed by the Governor and fourex officio members consisting of the State Treasurer and theChairman of the Board of Trustees of each of the retirementsystems. The Board maintains their office in Chicago, IL.The following Management Discussion and Analysis (MD&A)provides an introduction and overview of the Illinois StateBoard of Investment (ISBI or Board) financial activities for thefiscal years ended June 30, 2009 and 2008.Financial HighlightsThe net assets of the Board totaled approximately $8.7 billionat fiscal year end June 30, 2009. The decrease from theprevious year is primarily the result of investment losses.General Market RiskISBI is exposed to general market risk. This general marketrisk is reflected in asset valuations fluctuating with marketvolatility. Any impact from market volatility on ISBI’sinvestment portfolio depends in large measure on how deepthe market downturn is, how long it lasts, and how it fits withinfiscal year reporting periods. The resulting market risk andassociated realized and unrealized gains and losses couldsignificantly impact ISBI’s financial condition. The readers ofthese financial statements are advised that financial marketscontinue to be volatile and may experience significantchanges on almost a daily basis.Overview of the Financial StatementsThe Board’s financial statements are prepared on an accrualbasis in accordance with U. S. generally accepted accountingprinciples promulgated by the Governmental AccountingStandards Board and are comprised of the Statement of NetAssets, the Statement of Changes in Net Assets, and Notes toFinancial Statements.The Statement of Net Assets presents information on theBoard’s assets and liabilities and the resulting net assets. Thisstatement also reflects the Board’s investments along with thecash and short-term investments, receivables, and otherassets and liabilities.The decrease in investments at June 30, 2009 is a result of aninvestment loss of 20.1% for the fiscal year, net of expenseswhich are shown in the Statement of Changes in Net Assets.The decrease in liabilities for fiscal 2009 compared with 2008consisted mainly of decreases in the securities lendingcollateral obligation and unsettled investment purchases.Condensed Summary of Net AssetsJune 30 2009/2008 2008/20072009 2008 2007 Change Change$ $ $ $ $Cash 12,662,039 43,667,005 42,916,419 (31,004,966) 750,586Receivables 186,099,275 187,106,001 548,269,714 (1,006,726) (361,163,713)Investments 8,735,057,063 11,429,528,114 12,805,770,746 (2,694,471,051) (1,376,242,632)Securities lending collateral 1,395,768,802 1,703,959,890 2,084,820,497 (308,191,088) (380,860,607)Prepaid expenses 16,184 16,242 14,740 (58) 1,502Capital assets 57,635 52,797 49,283 4,838 3,514Total assets 10,329,660,998 13,364,330,049 15,481,841,399 (3,034,669,051) (2,117,511,350)Liabilities 1,645,606,726 2,049,276,888 2,929,645,238 (403,670,162) (880,368,350)Net assets 8,684,054,272 11,315,053,161 12,552,196,161 (2,630,998,889) (1,237,143,000)ILLINOIS STATE BOARD OF INVESTMENT12

MANAGEMENT’S DISCUSSION AND ANALYSISThe Statement of Changes of Net Assets presents informationregarding changes during the fiscal year ended June 30, 2009.This statement reflects additions and deductions, whichinclude the investment income and losses derived fromrealized and unrealized gains/losses, member systemcontributions, and income received from securities lendingactivities. Also reflected in the statement are deductions,which include withdrawals by the member systems andoperating expenses of the Board.The net investment losses for the year ended June 30, 2009were the result of a downward movement in the securitiesmarkets. There was a decrease in withdrawals by the membersystems. Fiscal year 2009 withdrawals were $277.0 millioncompared with $499.5 million in fiscal year 2008. Withdrawalsare determined by the member retirement systems based onthe State’s funding and the systems’ benefit payment needs.The decrease in operating expenses for fiscal year 2009versus 2008 was mainly a result of decreased investmentmanagement fees as a result of a reduction of the assets inthe portfolio and a decrease in the amount of consulting andprofessional was due to a reduction in legal fees andmovement from implementation costs to ongoingmaintenance costs for new systems to upgrade an agingtechnology structure.The net investment losses for the year ended June 30, 2008were the result of a downward movement in the securitiesmarkets. The decrease in liabilities for fiscal 2008 comparedwith 2007 consisted mainly of a decrease in securities lendingcollateral obligations and a decrease in unsettled investmentpurchases.The Notes to the Financial Statements provide additionalinformation, which is necessary to fully understand the dataprovided in the financial statements.Condensed Summary of Changes in Net AssetsFiscal Years Ended June 30 2009/2008 2008/20072009 2008 2007 Change Change$ $ $ $ $Additions:Net investment income (loss) (2,312,726,206) (695,792,364) 1,918,274,641 (1,616,933,842) (2,614,067,005)Member systems’ contributions 0 0 0 0 0Total additions (2,312,726,206) (695,792,364) 1,918,274,641 (1,616,933,842) (2,614,067,005)Deductions:Member systems' withdrawals 277,000,000 499,500,000 642,000,000 (222,500,000) (142,500,000)Administrative expenses 41,272,683 41,850,636 40,563,334 (577,953) 1,287,302Total deductions 318,272,683 541,350,636 682,563,334 (223,077,953) (141,212,698)Increase/(decrease) in net assets (2,630,998,889) (1,237,143,000) 1,235,711,307 (1,393,855,889) (2,472,854,307)ILLINOIS STATE BOARD OF INVESTMENT13

STATEMENT OF NET ASSETSJUNE 30, 20092009 2008$ $ASSETSCash 12,662,039 43,667,005Receivables:Foreign taxes 3,368,678 2,336,921Accounts receivable 1,557,303 2,057,953Investments sold 154,225,236 146,645,830Interest & dividends 26,948,058 36,065,297Total receivables 186,099,275 187,106,001Prepaid expenses 16,184 16,242Capital assets 57,635 52,797Investments at fair value:Government and agency obligations 665,018,889 852,045,701Foreign obligations 33,237,090 113,005,430Corporate obligations 668,047,761 1,058,164,332Common stock and equity funds 2,610,218,733 3,823,791,711Commingled Funds 335,484,184 417,894,222Preferred stock 286,429 4,491,500Foreign equity securities 1,482,594,431 1,984,314,463Foreign preferred stock 47,856 603,032Hedge funds 880,939,190 598,985,402Real estate funds 875,929,700 1,332,081,349Private equity 450,491,810 524,628,589Money market instruments 235,126,490 307,481,504Infrastructure funds 305,969,947 209,975,518Bank loans 197,259,098 202,137,983Forward foreign currency contracts (5,594,545) (72,622)Total investments 8,735,057,063 11,429,528,114Securities lending collateral 1,395,768,802 1,703,959,890Total assets 10,329,660,998 13,364,330,049LIABILITIESPayables:Investments purchased 173,277,766 338,215,349Operating expenses 5,077,999 7,101,649Securities lending cash collateral obligation 1,467,250,961 1,703,959,890Total liabilities 1,645,606,726 2,049,276,888Net assets 8,684,054,272 11,315,053,161See notes to financial statements, pages 16-26.ILLINOIS STATE BOARD OF INVESTMENT14

STATEMENT OF CHANGES IN NET ASSETSJUNE 30, 20092009 2008$ $ADDITIONSInvestment income (loss):Net increase (decrease) in fair value of investments (2,592,469,141) (1,029,242,365)Interest 145,432,334 154,620,159Dividends 116,732,339 162,205,372Securities lending income 28,308,215 91,663,587Securities lending rebates (8,690,202) (72,105,009)Securities lending expenses (2,039,751) (2,934,108)Total investment income (loss) (2,312,726,206) (695,792,364)Total additions (2,312,726,206) (695,792,364)DEDUCTIONSExpenses:Salaries and benefits:Salaries 1,132,442 1,009,739Benefits 514,691 412,515Operating expenses:Rent and utilities 167,845 160,170Audit 144,600 140,399Other 244,346 267,119External support:Custody 264,532 212,604Consulting and professional 1,329,476 1,471,182Investment advisors/managers 37,272,541 38,008,970Investment services and research 202,210 167,938Total expenses 41,272,683 41,850,636Member systems’ withdrawals 277,000,000 499,500,000Total deductions 318,272,683 541,350,636Increase (decrease) in net assets (2,630,998,889) (1,237,143,000)Net assets at beginning of year 11,315,053,161 12,552,196,161Net assets at end of year 8,684,054,272 11,315,053,161See notes to financial statements, pages 16-26.ILLINOIS STATE BOARD OF INVESTMENT15

Note 2Deposits, Investments, and Investment RiskDepositsCustodial credit risk for deposits is the risk that, in the event of afinancial institution failure, ISBI’s deposits may not be returned.All non-investment related bank balances at year-end areinsured or collateralized with securities held by the Illinois StateTreasurer or agents in the name of the State Treasurer. As ofJune 30, 2009 and 2008, ISBI had non-investment relatedbalances of $184,259 and $185,605. Cash held in the investmentrelated bank account is neither insured nor collateralized foramounts in excess of $250,000. During fiscal year 2007, a CreditRisk Policy was implemented by ISBI staff and formally adoptedby the Board in July of 2007. The Policy outlines the controlprocedures used to monitor custodial credit risk. These assetsare under the custody of State Street Bank and Trust. StateStreet Bank and Trust has an AA Long-term Deposit/Debt ratingby Standards & Poor and an Aa2 rating by Moody. Certaininvestments of ISBI with maturities of 90 days or less would beconsidered cash equivalents; these consist of short-terminvestment funds and U. S. Treasury bills with maturities of 90days or less, which are not subject to the custodial credit risk.For financial statement presentation and investment purposes,ISBI reports these types of cash equivalents as Money MarketInstruments in the Statement of Net Assets. As of June 30, theamounts held in the investment related bank account withexposure to custodial credit risk are as follows:2009 2008$ $Carrying amounts and BankBalances at June 30Cash 12,440,740 43,558,219Amount exposed tocustodial credit risk 0 43,458,219Investment PolicyISBI’s investment authority and responsibilities are specifiedin the Illinois Compiled Statutes, 40ILCS 5/22A. These statutesprovide ISBI with the authority to manage and invest theassets of any Illinois pension or education fund.As described in Note 1, ISBI currently manages and invests theassets of the General Assembly Retirement System, Judges’Retirement System, and State Employees’ Retirement System.All investments undertaken by ISBI are governed by 40ILCS 5adopted by the General Assembly in 1982, and other standardscodified in the above reference to the statutes.40ILCS 5/1-109 requires all members of the Board and otherfiduciaries to “… discharge his or her duties with respect tothe retirement system or pension fund solely in the interest ofthe participants and beneficiaries and: With the care, skill,prudence and diligence…By diversifying the investments of theretirement system or pension fund so as to minimize the risk oflarge losses…“Investment CommitmentsReal estate and private equity investment portfolios consist ofpassive interests in limited partnerships. ISBI had outstandingcommitments to these limited partnerships of approximately$486 million and $515 million as of June 30, 2009 and 2008,respectively. At the end of fiscal year 2009 and 2008, the Boardhad outstanding commitments of $159 million and $165 millionto separate real estate funds respectively. Also at the end offiscal year 2009 and 2008, the Board had outstanding amountsof $155 million and $302 million to infrastructure funds.Investment SummaryThe following table presents a summary of the Fund’sinvestments at fair value by type at June 30, 2009 and 2008:2009 2008$ $Government and agency obligations 665,018,889 852,045,701Foreign obligations 33,237,090 113,005,430Corporate obligations 668,047,761 1,058,164,332Common stock & equity funds 2,610,218,733 3,823,791,711Preferred stock 286,429 4,491,500Foreign equity securities 1,482,594,431 1,984,314,463Foreign preferred stock 47,856 603,032Commingled Funds 335,484,184 417,894,222Hedge funds 880,939,190 598,985,402Real estate investments 875,929,700 1,332,081,349Private equity 450,491,810 524,628,589Money market instruments 235,126,490 307,481,504Infrastructure funds 305,969,947 209,975,518Bank loans 197,259,098 202,137,983Forward foreign currency contracts (5,594,545) (72,622)Total investments 8,735,057,063 11,429,528,114ISBI’s investments in Private Equity and Real Estate representinvestment vehicles used for making investments in variousequity and debt securities according to the investmentstrategies as determined by the fund managers at thecommencement of the fund.Investment strategies of Private Equity funds include, but arenot limited to, leveraged buyouts, venture capital, growthcapital and mezzanine capital.Investment strategies of Real Estate investments include, butare not limited to, the purchase, development, ownership,management, rental and/or sale of real estate for profit.ISBI’s investments in Infrastructure funds represent pooledILLINOIS STATE BOARD OF INVESTMENT17

NOTES TO FINANCIAL STATEMENTSJUNE 30, 2009 (CONTINUED)Note 2 (continued)Deposits, Investments, and Investment Riskinvestment vehicles used to seek capital appreciation andcurrent income by acquiring, holding, financing, refinancingand disposing of infrastructure investments and relatedassets. Infrastructure assets include various public works(e.g. bridges, tunnels, toll roads, airports, public transportationand other public works) that are made typically as a part of aprivatization initiative on the part of a government entity.A Commingled Fund is a kind of mutual fund or common trustfund which consists of multiple kinds of assets from severalaccounts combined together. ‘Commingling’ these separateassets mitigates risk for the trader through investmentdiversification and reduces the cost of managing eachaccount separately. Commingled funds are also called pooledfunds and Master Trusts.Concentration of Credit Risk and Credit Risk for InvestmentsThe portfolio is managed by professional investmentmanagement firms. These investment management firms arerequired to maintain diversified portfolios. Each investmentmanager must comply with risk management guidelinesindividually assigned to them as part of their investmentmanagement agreement. The Board did not have any singleissuer investment that exceeded 5% of the total net assets ofthe Board as of June 30, 2009 and 2008. The following tablepresents the quality ratings of debt securities held by ISBI asof June 30, 2009 and 2008:Moody’sQuality Rating 2009 2008$ $Government and agency obligationsU.S Government obligations andFederal agency obligations AAA 653,019,129 661,038,879AA 11,999,760 5,057,314A - 12,617,585BAA - 4,847,471B - 976,931Not rated - 167,507,521Total Government and agency obligations 665,018,889 852,045,701Foreign obligations AAA 7,009,777 8,105,833AA 3,433,768 3,578,088A - 12,247,911BAA 1,899,728 27,477,167BA 10,915,077 30,930,973B 7,765,165 10,807,260CAA 1,609,335 -C 604,240 -Not rated - 19,858,198Total foreign obligations 33,237,090 113,005,430Corporate obligations AAA 39,162,888 129,745,414AA 56,839,344 125,292,897A 209,758,077 132,759,541BAA 99,409,888 148,019,604BA 79,410,130 111,315,582B 132,204,912 280,234,046CAA 39,940,421 64,919,149CA 977,375 530,341C - 556,527Not rated 10,344,726 64,791,231Total corporate obligations 668,047,761 1,058,164,332ILLINOIS STATE BOARD OF INVESTMENT18

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

Note 2 (continued)Deposits, Investments, and Investment RiskSecurities LendingISBI participates in a securities lending program with StateStreet who acts as a securities lending agent. Securities areloaned to brokers and, in return, ISBI has rights to a portion ofa collateral pool. All of the securities are eligible for thesecurities lending program. Collateral consists solely of cash,letters of credit, commercial paper, and government securitieshaving a fair value equal to or exceeding 102% of the value ofthe loaned securities (105% for non-U.S. securities). In theevent of borrower default, State Street provides ISBI withcounterparty default indemnification. ISBI had no credit riskas a result of its securities lending program as the collateralreceived exceeded the fair value of the securities loaned. Asof June 30, 2009 and 2008, there were outstanding loanedinvestment securities having fair values of $1,476,903,266 and$1,851,952,625, respectively; against which collateral wasreceived with a fair value of $1,528,744,414 and $1,912,742,552,respectively. Collateral received at June 30, 2009 and 2008consisted of $1,467,250,961 and $1,703,959,890 respectively, incash and $61,493,453 and $208,782,662, respectively, insecurities for which the Board does not have the ability topledge or sell.The cash collateral received is invested in a short terminvestment pool having a fair value of $1,395,768,803 and$1,703,959,890 as of June 30, 2009 and 2008, respectively. Thisinvestment pool had an average duration of 42.64 days and41.84 days as of June 30, 2009 and 2008, respectively. Anydecrease in the fair value of invested cash collateral isrecorded as unrealized losses and reported as a component ofthe investment income (loss) on the Statement of Changes inNet Assets. Regarding the investment pool, at the time ofpurchase, all securities with maturities of 13 months or lessmust qualify as first-tier securities and all securities withmaturities in excess of 13 months will (a) be rate A or better byat least two nationally recognized statistical ratingorganization (NRSROs) or (b) if rated by only one NRSRO, berated A or better by such NRSRO, or (c) if unrated, bedetermined by State Street to be of comparable quality.Derivative SecuritiesSome of ISBI’s managers invest in derivative securities. Aderivative security is an investment whose payoff dependsupon the value of other assets such as bond and stock prices,a market index, or commodity prices. ISBI’s investments inderivatives are not leveraged. Obligations to purchase (long afinancial future or a call option) are held in cash or cashequivalents. In the case of obligations to sell (short a financialfuture or a put option), the reference security is held in theportfolio. Derivatives transactions involve, to varying degrees,credit risk and market risk. Credit risk is the possibility that aloss may occur because a party to a transaction fails toperform according to terms. Market risk is the possibility thata change in interest or currency rates will cause the value of afinancial instrument to decrease or become more costly tosettle. The market risk associated with derivatives, the pricesof which are constantly fluctuating, is regulated by imposingstrict limits as to the types, amounts, and degree of risk thatinvestment managers may undertake. The Board and seniormanagement approve these limits, and the risk positions of theinvestment managers are reviewed on a regular basis tomonitor compliance with the limits.During the year, derivative investments included forwardforeign currency contracts, collateralized mortgageobligations (CMO’s), futures, and options.Forward foreign currency contracts are used to hedge againstthe currency risk in ISBI’s foreign stock and fixed incomeportfolios. Forward foreign currency contracts areagreements to buy or sell specific amounts of a foreigncurrency at a specified delivery or maturity date for an agreedupon price. As the fair value of the forward contracts varies,ISBI records an unrealized gain or loss. Forward foreigncurrency contracts represent an off-balance sheet obligation,as there are no balance sheet assets or liabilities associatedwith those contracts. The fair value of forward foreigncurrency contracts outstanding at June 30, 2009 and 2008 wasas follows:Cost Fair Value Gain (Loss)$ $ $June 30, 2009Forward currencypurchases 173,126,960 181,554,864 8,427,904Forward currency sales 183,451,357 197,473,806 (14,022,449)Total gain (loss) (5,594,545)June 30, 2008Forward currencypurchases 6,018,928 6,025,470 6,542Forward currency sales 5,890,350 5,969,514 (79,164)Total gain (loss) (72,622)ILLINOIS STATE BOARD OF INVESTMENT21

NOTES TO FINANCIAL STATEMENTSJUNE 30, 2009 (CONTINUED)Note 2 (continued)Deposits, Investments, and Investment RiskISBI also invests in mortgage-backed securities to maximizeyields and to hedge against a rise in interest rates. Thesesecurities are based on cash flows from principal and interestpayments on underlying mortgages. The value, liquidity andrelated income of these securities are sensitive toprepayments by mortgagees, changes in economic conditions,including real estate values, delinquencies or defaults, or bothand may be adversely affected by shifts in the market’sperception of the issuer’s and insurers and changes in interestrates. As of June 30, 2009 and 2008, the fair value of ISBI CMOholdings totaled $23,611,438 and $165,456,226, respectively.ISBI investment managers utilize financial futures to replicatean underlying security they desire to hold (sell) in the portfolio.In certain instances, it may be beneficial to own a futurescontract rather than the underlying security. Financial futurecontracts are also used to improve the yield or adjust theduration of the portfolio. Financial futures contracts areagreements to buy or sell a specified amount at a specifieddelivery or maturity date for an agreed upon price. The fairvalues of the future contracts vary from the original contractprice, a gain or loss is recognized and paid to or received fromthe clearinghouse. Financial futures represent an off-balancesheet obligation, as there are no balance sheet assets orliabilities associated with those contracts. The cash orsecurities to meet these obligations are held in the investmentportfolio.ISBI investment managers utilize options in an effort to addvalue to the portfolio (collect premiums) or protect (hedge) aposition in the portfolio. Options are agreements that give oneparty the right, but not the obligation, to buy or sell a specificamount of an asset for a specific price (called the strike price)on or before a specified expiration date. As the writer offinancial options, ISBI receives a premium at the outset of theagreement and bears the risk of an unfavorable change in theprice of the instrument underlying the option. As thepurchaser, ISBI pays a premium at the outset of theagreement and the counterparty bears the risk of anunfavorable change in the price of the financial instrumentunderlying the option.The following table shows the foreign and domestic futuresand options positions held by ISBI as of June 30, 2009 and2008.2009 2008Number of Contract Number of ContractContracts Principal* Contracts Principal*$ $Equity futures purchased 1,626 74,430,150 1,892 122,985,600Fixed income futures purchased – – 3 599,694Fixed income futures sold – – 790 167,444,230Fixed income written put options – – 347 34,700,000Fixed income written call options – – 283 28,300,000* Contract principal amounts shown represent the market value of the underlying assets the contracts control.Contract principal is shown to present the volume of the transactions but does not reflect the extent to whichpositions may offset one another. These amounts do not represent the much smaller amounts potentiallysubject to risk. Contract principal values also do not represent actual balance sheet values.Investment LiquidityISBI holds investments in hedge funds, real estate funds,private equity funds and infrastructure funds that areconsidered illiquid by the very nature of the investment.Market risk exists with respect to these investments as ISBImay not be able to exit from the investments during periods ofsignificant market value declines.ILLINOIS STATE BOARD OF INVESTMENT22

Note 3 General StateMember Systems’ Participation Assembly Judges’ Employees’ Combined*Member Systems’ Income and Expenses $ $ $ $Fiscal Year Ended June 30, 2009Interest and dividends 1,549,538 13,449,740 247,165,395 262,164,673Net securities lending income 104,640 904,710 16,568,912 17,578,262Net decrease in fair value of investments (16,141,323) (135,286,901) (2,441,040,917) (2,592,469,141)Total Investment income/(loss) (14,487,145) (120,932,451) (2,177,306,610) (2,312,726,206)Management expenses (243,045) (2,118,645) (38,910,993) (41,272,683)Net investment income/(loss) (14,730,190) (123,051,096) (2,216,217,603) (2,353,998,889)Member Systems’ Changes in Net AssetsFiscal Year Ended June 30, 2009Net assets at beginning of year 71,923,943 589,155,697 10,653,973,521 11,315,053,161Member systems' net (withdrawals) (9,500,000) (30,500,000) (237,000,000) (277,000,000)Net investment income/(loss) (14,730,190) (123,051,096) (2,216,217,603) (2,353,998,889)Net assets at end of year 47,693,753 435,604,601 8,200,755,918 8,684,054,272The source of net assets of the member systems since inception at June 30, 2009, is as follows:Member systems' net (withdrawals) (54,759,496) (100,832,730) (1,545,086,756) (1,700,678,982)Accumulated net investment income 102,453,249 536,437,331 9,745,842,674 10,384,733,254Net assets at fair value 47,693,753 435,604,601 8,200,755,918 8,684,054,272* Combined column for the member systems is presented for information purposes only and does not indicatethat the assets of one system may be used for another system.ILLINOIS STATE BOARD OF INVESTMENT23

NOTES TO FINANCIAL STATEMENTSJUNE 30, 2009 (CONTINUED)Note 3 (continued) General StateMember Systems’ Participation Assembly Judges’ Employees’ Combined*Member Systems’ Income and Expenses $ $ $ $Fiscal Year Ended June 30, 2008Interest and dividends 2,056,927 16,497,137 298,271,467 316,825,531Net securities lending income 107,307 864,473 15,652,690 16,624,470Net decrease in fair value of investments (6,734,639) (53,819,542) (968,688,184) (1,029,242,365)Total Investment income/(loss) (4,570,405) (36,457,932) (654,764,027) (695,792,364)Management expenses (270,594) (2,180,095) (39,399,947) (41,850,636)Net investment income/(loss) (4,840,999) (38,638,027) (694,163,974) (737,643,000)Member Systems’ Changes in Net AssetsFiscal Year Ended June 30, 2008Net assets at beginning of year 83,864,942 658,193,724 11,810,137,495 12,552,196,161Member systems' net (withdrawals) (7,100,000) (30,400,000) (462,000,000) (499,500,000)Net investment income/(loss) (4,840,999) (38,638,027) (694,163,974) (737,643,000)Net assets at end of year 71,923,943 589,155,697 10,653,973,521 11,315,053,161The source of net assets of the member systems since inception at June 30, 2008, is as follows:Member systems' net (withdrawals) (45,259,495) (70,332,730) (1,308,086,756) (1,423,678,981)Accumulated net investment income 117,183,438 659,488,427 11,962,060,277 12,738,732,142Net assets at fair value 71,923,943 589,155,697 10,653,973,521 11,315,053,161* Combined column for the member systems is presented for information purposes only and does not indicatethat the assets of one system may be used for another system.ILLINOIS STATE BOARD OF INVESTMENT24

Note 4PensionsPlan DescriptionAll of the ISBI employees participate in the State Employees’Retirement System (SERS), which is a pension trust fund in theState of Illinois reporting entity. The SERS is a single-employer,defined benefit, public employee retirement system (PERS) inwhich State employees participate, except those covered bythe State Universities, Teachers’, General Assembly, andJudges’ Retirement Systems. The financial position andresults of operations of the SERS for fiscal years 2009 and 2008are included in the State of Illinois’ Comprehensive AnnualFinancial Report (CAFR). The SERS also issues a separateCAFR that may be obtained by writing to the SERS, 2101Veterans Parkway, Springfield, IL 62794-9255 or by calling217/785-7202. The State of Illinois CAFR may be obtained bywriting to the State Comptroller’s Office, Financial ReportingDepartment, 325 West Adams Street, Springfield, IL 62704-1858or by calling 217/782-2053.A summary of SERS’ benefit provisions, changes in benefitprovisions, employee eligibility requirements includingeligibility for vesting, and the authority under which benefitprovisions are established, are included as an integral part ofthe SERS’ CAFR. Also included is a discussion of employer andemployee obligations to contribute, and the authority underwhich those obligations are established.Funding PolicyISBI pays employer retirement contributions based upon anactuarially determined percentage of payroll. For fiscal year2009 and 2008 the employer contribution rates were 21.049%and 16.561%, respectively. ISBI contributions to SERS forfiscal years 2009 and 2008 were $241,690 and $172,154,respectively, and were equal to the required contributions foreach fiscal year.Effective for pay periods beginning after December 31, 1991,the Board opted to pay the employee portion of retirement forISBI employees covered by the State Employees’ RetirementSystems. Generally, this pickup of employee retirement waspart of the budget process and was, in part, a substitute forsalary increases. ISBI contributions to SERS for the employeeportion for fiscal years 2009 and 2008 were $44,104 and$37,225, respectively.with the Department of Central Management Services.Substantially all State employees become eligible for postemploymentbenefits if they eventually become annuitants ofone of the State sponsored pension plans. Health, dental andvision benefits include basic benefits for annuitants under theState’s self-insurance plan and insurance contracts currentlyin force. Annuitants may be required to contribute towardshealth, dental and vision benefits with the amount based onfactors such as date of retirement, years of credited servicewith the State, whether the annuitant is covered by Medicare,and whether the annuitant has chosen a managed health careplan. Annuitants who retired prior to January 1, 1998, and whoare vested in the State Employees’ Retirement System, do notcontribute toward health, dental and vision benefits. Forannuitants who retired on or after January 1, 1998, theannuitant’s contribution amount is reduced five percent foreach year of credited service with the State allowing thoseannuitants with twenty or more years of credited service tonot have to contribute towards health, dental and visionbenefits. Annuitants also receive life insurance coverageequal to the annual salary of the last day of employment untilage 60, at which time the benefits become $5,000.The total cost of the State’s portion of health, dental, visionand life insurance benefits of all members including postemploymenthealth, dental, vision and life insurance benefits,is recognized as an expenditure by the State in the IllinoisComprehensive Annual Financial Report. The State financesthe cost on a pay-as-you-go basis. The total costs incurred forhealth, dental, vision and life insurance benefits are notseparated by department of component unit for annuitants andtheir dependents nor active employees and their dependents.A summary of post-employment benefit provisions, changes inbenefit provisions, employee eligibility requirements includingeligibility for vesting, and the authority under which benefitprovisions are established are included as an integral part ofthe financial statements of the Department of Healthcare andFamily Services. A copy of the financial statements of theDepartment of Healthcare and Family Services may beobtained by writing to the Department of Healthcare andFamily Services, 201 South Grand Ave., Springfield, Illinois62763-3838.Post-retirement BenefitsThe State provides health, dental, and life insurance benefitsfor retirees and their dependents in a program administeredby the Department of Healthcare and Family Services alongILLINOIS STATE BOARD OF INVESTMENT25

NOTES TO FINANCIAL STATEMENTSJUNE 30, 2009 (CONTINUED)Note 5New Governmental Accounting StandardsStatement No. 51, Accounting and Financial Reporting forIntangible Assets, establishes accounting and financialreporting requirements for intangible assets (including certaininternally developed software). All intangible assets notspecifically excluded by the scope of this Statement should beclassified as capital assets. All existing authoritative guidancefor capital assets should be applied to those intangible assets,as applicable. ISBI is required to implement this Statement forthe year ending June 30, 2010.Statement No. 53, Accounting and Financial Reporting forDerivative Instruments, issued June 2008, is effective for ISBIbeginning with its year ending June 30, 2010. This Statementaddresses the recognition, measurement, and disclosure ofinformation regarding derivative instruments entered into bythe State and local governments. Derivative instruments areoften complex financial arrangements used by governments tomanage specific risks or to make investments.ISBI has not currently determined what impact, if any, theseStandards may have on its financial statements.ILLINOIS STATE BOARD OF INVESTMENT26

SUPPLEMENTALFINANCIALINFORMATION2009ILLINOIS STATE BOARD OF INVESTMENT27

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

Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Federal Agency & Other Governments (continued)AAA AAA 295,329 FNMA POOL 254591 01/01/18 5.50 300,901 312,495 3.21 2.08AAA AAA 33,256 FNMA POOL 254761 06/01/18 5.50 33,863 35,179 3.21 2.06AAA AAA 191,988 FNMA POOL 323842 07/01/14 5.50 196,683 201,288 2.14 1.64AAA AAA 400,307 FNMA POOL 357327 01/01/18 5.00 402,465 419,931 3.08 2.03AAA AAA 9,276 FNMA POOL 452341 12/01/13 5.50 9,501 9,725 2.28 0.00AAA AAA 1,079,107 FNMA POOL 545378 12/01/11 5.41 1,121,148 1,150,390 4.48 4.99AAA AAA 275,643 FNMA POOL 545968 10/01/17 5.50 281,212 291,837 3.10 2.02AAA AAA 142,661 FNMA POOL 555471 04/01/18 5.50 145,544 151,043 3.10 2.04AAA AAA 221,788 FNMA POOL 555531 06/01/33 5.50 222,741 230,113 4.25 3.19AAA AAA 70,730 FNMA POOL 555880 11/01/33 5.50 71,011 73,385 4.25 3.10AAA AAA 1,090 FNMA POOL 570778 03/01/16 5.50 1,114 1,152 2.87 2.04AAA AAA 16,234 FNMA POOL 617271 01/01/17 5.50 16,571 17,163 3.10 2.04AAA AAA 34,983 FNMA POOL 660629 10/01/17 5.50 35,690 37,038 3.07 0.00AAA AAA 80,004 FNMA POOL 668339 11/01/17 5.50 81,596 84,679 3.21 2.05AAA AAA 28,298 FNMA POOL 678542 02/01/18 5.50 28,864 29,952 3.24 0.00AAA AAA 140,733 FNMA POOL 696569 04/01/18 5.50 143,389 148,913 3.21 2.01AAA AAA 377,896 FNMA POOL 725162 02/01/34 6.00 384,952 398,223 4.22 2.95AAA AAA 572,698 FNMA POOL 725519 05/01/19 5.50 583,146 605,808 3.21 2.11AAA AAA 187,952 FNMA POOL 727361 08/01/18 5.00 188,965 196,931 3.40 0.00AAA AAA 267,773 FNMA POOL 728803 08/01/18 5.00 269,216 280,732 3.22 0.00AAA AAA 281,402 FNMA POOL 735611 03/01/20 5.50 287,000 297,840 3.21 1.99AAA AAA 103,932 FNMA POOL 738259 10/01/18 5.50 105,763 109,908 3.24 1.91AAA AAA 39,862 FNMA POOL 740987 10/01/18 5.50 40,527 42,154 3.24 1.72AAA AAA 2,289,708 FNMA POOL 745193 06/01/20 5.50 2,331,470 2,422,081 3.21 2.08AAA AAA 4,452,733 FNMA POOL 745275 02/01/36 5.00 4,547,946 4,548,049 4.43 3.52AAA AAA 644,267 FNMA POOL 745813 03/01/20 5.00 646,935 674,643 3.41 0.00AAA AAA 47,811 FNMA POOL 773074 04/01/34 5.50 47,986 49,590 4.27 0.00AAA AAA 1,859,838 FNMA POOL 835760 09/01/35 4.50 1,884,248 1,863,034 4.39 4.04AAA AAA 16,571 FNMA POOL 836464 10/01/35 1.00 16,569 16,813 2.27 0.08AAA AAA 3,587 FNMA POOL 836852 10/01/35 1.00 3,585 3,637 2.25 0.07AAA AAA 1 FNMA POOL 844052 11/01/35 1.00 1 1 2.24 0.08AAA AAA 7,011,817 FNMA POOL 888129 02/01/37 5.50 7,213,522 7,256,410 3.57 1.84AAA AAA 3,773,767 FNMA POOL 888268 03/01/37 6.00 3,903,090 3,956,706 3.13 0.68AAA AAA 307,249 FNMA POOL 888285 03/01/37 6.50 324,531 327,808 2.63 0.71AAA AAA 5,030,129 FNMA POOL 889554 04/01/38 6.00 5,223,475 5,268,471 4.38 0.00AAA AAA 5,457,325 FNMA POOL 889579 05/01/38 6.00 5,638,466 5,714,204 3.27 1.12AAA AAA 5,511,811 FNMA POOL 889658 06/01/38 6.50 5,712,120 5,878,907 2.63 0.97AAA AAA 8,194,022 FNMA POOL 889802 07/01/37 5.00 8,078,094 8,369,425 4.21 3.16AAA AAA 873,754 FNMA POOL 889852 05/01/35 5.50 877,235 906,418 0.00AAA AAA 830,953 FNMA POOL 897936 08/01/21 5.50 833,290 875,357 3.05 1.21AAA AAA 1 FNMA POOL 913990 02/01/37 1.00 1 1 2.69 0.00AAA AAA 1 FNMA POOL 933953 07/01/38 5.00 1 1 4.35 3.69AAA AAA 1 FNMA POOL 934313 06/01/38 5.00 1 1 4.35 3.76AAA AAA 1 FNMA POOL 934329 07/01/38 5.00 1 1 4.53 0.00AAA AAA 1 FNMA POOL 953611 03/01/38 5.00 1 1 4.39 0.00AAA AAA 3,913,505 FNMA POOL 961921 03/01/38 5.00 3,876,205 3,989,941 4.10 3.36AAA AAA 1 FNMA POOL 962767 04/01/38 5.00 1 1 4.51 0.00AAA AAA 1 FNMA POOL 968294 02/01/38 5.00 1 1 4.10 3.39AAA AAA 1 FNMA POOL 969007 02/01/38 5.00 1 1 4.10 3.42AAA AAA 1 FNMA POOL 970022 06/01/38 5.00 1 1 4.35 3.81AAA AAA 1 FNMA POOL 974385 04/01/38 5.00 1 1 4.10 3.42AAA AAA 1 FNMA POOL 975639 07/01/38 5.00 1 1 4.35 3.75AAA AAA 1 FNMA POOL 981525 07/01/38 5.00 1 1 4.35 3.80AAA AAA 1 FNMA POOL 981635 06/01/38 5.00 1 1 4.47 0.00AAA AAA 1 FNMA POOL 984819 07/01/38 5.00 1 1 4.35 3.77AAA AAA 4,000,000 FREDDIE MAC 04/26/11 1.63 3,998,120 4,025,600 1.20 1.79AAA AAA 7,900,000 FREDDIE MAC 01/15/14 4.50 7,931,503 8,488,665 2.73 4.10AAA AAA 38,868 GNMA II POOL 003830 03/20/36 5.50 38,607 40,251 4.13 2.46AAA AAA 2,031,562 GNMA II POOL 003864 06/20/36 5.50 2,016,325 2,103,857 3.86 2.13AAA AAA 252,625 GNMA II POOL 004217 08/20/38 6.50 256,148 266,125 3.43 1.83AAA AAA 22,610 GNMA II POOL 080916 05/20/34 3.75 21,825 22,939 1.81 1.58AAA AAA 509,859 GNMA II POOL 616649 10/20/24 5.50 524,517 529,357 4.14 1.87AAA AAA 502 GNMA POOL 136272 10/15/15 10.00 511 568 5.20 1.32AAA AAA 139 GNMA POOL 140143 02/15/16 10.50 143 158 5.32 1.20AAA AAA 3,709 GNMA POOL 153366 02/15/16 10.00 3,771 4,213 5.45 1.29AAA AAA 932 GNMA POOL 159455 04/15/16 10.00 947 1,059 5.45 1.26AAA AAA 7,371 GNMA POOL 169345 07/15/19 10.00 7,496 8,519 5.09 0.91AAA AAA 296 GNMA POOL 186289 11/15/18 10.00 301 340 5.08 1.07AAA AAA 369 GNMA POOL 224963 11/15/17 10.00 375 423 5.08 1.05AAA AAA 5,018 GNMA POOL 227416 06/15/19 10.50 5,163 5,870 4.01 0.59AAA AAA 4,318 GNMA POOL 248669 09/15/20 10.00 4,391 5,001 5.09 1.21AAA AAA 345 GNMA POOL 257398 09/15/18 10.00 351 393 5.45 1.24AAA AAA 3,099 GNMA POOL 257979 06/15/19 10.50 3,189 3,381 5.14 1.16AAA AAA 6,305 GNMA POOL 260471 08/15/18 10.00 6,411 7,253 5.15 0.98ILLINOIS STATE BOARD OF INVESTMENT29

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Federal Agency & Other Governments (continued)AAA AAA 1,065 GNMA POOL 260751 10/15/18 10.00 1,083 1,225 5.15 0.99AAA AAA 1,356 GNMA POOL 261915 11/15/18 10.00 1,379 1,545 5.45 1.23AAA AAA 3,545 GNMA POOL 263171 11/15/18 10.00 3,604 4,083 5.15 0.99AAA AAA 1,206 GNMA POOL 273972 08/15/20 10.00 1,226 1,398 6.03 1.47AAA AAA 305 GNMA POOL 274337 05/15/19 10.00 310 351 5.15 1.02AAA AAA 128 GNMA POOL 278737 09/15/19 10.00 130 133 5.50 0.50AAA AAA 2,761 GNMA POOL 278790 06/15/19 10.00 2,807 3,191 5.09 0.85AAA AAA 1,464 GNMA POOL 283915 06/15/20 10.00 1,488 1,680 5.08 1.32AAA AAA 424 GNMA POOL 291443 08/15/20 10.00 431 491 6.03 1.42AAA AAA 823 GNMA POOL 298521 10/15/20 10.00 837 942 5.08 1.45AAA AAA 1,262,338 GNMA POOL 605107 03/15/34 5.50 1,287,585 1,311,796 4.22 2.68AAA AAA 1 GNMA POOL 637313 12/15/34 5.00 1 1 4.15 2.86AAA AAA 1 GNMA POOL 650080 11/15/35 5.00 1 1 4.52 0.00AAA AAA 1,560,989 GNMA POOL 651861 06/15/36 6.00 1,572,892 1,633,063 3.57 1.75AAA AAA 1,640,240 GNMA POOL 676390 01/15/38 6.00 1,657,411 1,713,923 3.54 1.84AAA AAA 1 GNMA POOL 781885 03/15/35 5.00 1 1 4.15 2.68A2 A- 12,000,000 ISRAEL ST 02/01/13 5.00 12,000,000 11,999,760Total Federal Agency & Other Governments 583,596,522 589,489,195Total Government & Agency Obligations 656,499,039 665,018,889Foreign ObligationsYankee BondsB2 B 614,000 ASHTEAD HLDGS PLC 08/01/15 8.63 343,840 523,435 12.12 4.38AA1 AA 1,800,000 BP CAPITAL MARKETS PLC 11/07/13 5.25 1,798,830 1,892,990 3.42 3.92A3 A- 1,140,000 CANADIAN NATL RY CO 01/15/14 4.95 1,146,167 1,193,431 3.89 4.03AA1 A+ 1,500,000 DEUTSCHE BK AG 05/20/13 4.88 1,502,610 1,540,778 4.13 3.54BAA1 BBB+ 1,900,000 DEUTSCHE TELEKOM INT FIN 07/08/19 6.00 1,888,049 1,899,728 5.88 7.72A3 A- 3,630,000 DIAGEO CAP PLC 01/15/14 7.38 3,671,503 4,116,459 4.17 3.79BA3 BB- 2,500,000 INTERGEN NV 06/30/17 9.00 2,479,725 2,368,750 9.97 5.60B3 B 3,110,000 NOVELIS INC 02/15/15 7.25 2,989,550 2,363,600 13.47 4.21B2 B 328,000 NTL CABLE PLC 04/15/14 8.75 346,040 319,800 9.40 3.72C CC 1,328,000 NXP B V/NXP FDG LLC 10/15/14 7.88 1,032,520 604,240 28.34 3.38B2 B 2,092,000 QUEBECOR MEDIA INC 03/15/16 7.75 2,099,213 1,895,876 9.68 5.13CAA3 CCC- 3,276,000 SENSATA TECHNOLOGIES B V 05/01/14 8.00 3,305,250 1,609,335 27.70 3.24BA2 BB+ 5,000,000 STENA AB 11/01/13 7.50 5,043,750 4,212,500 12.29 3.51BA2 BB+ 758,000 TECK RESOURCES LIMITED 05/15/16 10.25 717,477 794,005 9.29 4.81BA2 BB+ 2,124,000 TECK RESOURCES LIMITED 144A 05/15/19 10.75 2,015,527 2,283,300 9.55 5.79A3 A- 1,500,000 TRANSCANADA PIPELINES LTD 01/15/19 7.13 1,590,270 1,699,885 5.42 7.01BA2 BB- 385,000 VIDEOTRON LTEE 01/15/14 6.88 397,051 356,125 8.92 3.71BA2 BB- 886,000 VIDEOTRON LTEE 04/15/18 9.13 872,108 900,398 8.86 5.79B2 B 2,703,000 VIRGIN MEDIA FINANCE PLC 08/15/16 9.50 2,714,469 2,662,455 9.78 5.15Total Yankee Bonds 35,953,949 33,237,090Total Foreign Obligations 35,953,949 33,237,090Corporate ObligationsFinanceA3 A- 2,875,000 ALLSTATE CORP 12/01/09 7.20 3,143,946 2,925,640 3.38 0.42A2 BBB+ 2,900,000 AMERICAN EXPRESS CEN BANK NEW 06/12/17 5.95 2,938,048 2,690,068 7.43 6.28A2 BBB+ 1,725,000 AMERICAN EXPRESS CREDIT CORP. 08/20/13 7.30 1,768,227 1,805,264 6.19 3.50B3 B 1,962,000 ARAMARK CORP. 02/01/15 8.50 2,017,181 1,903,140 9.20 4.19BA2 BB+ 2,500,000 AXCAN INTERMEDIATE HOLD 03/01/15 9.25 2,468,425 2,512,500 9.13 4.20A2 A 7,300,000 BANK AMER. CORP. 01/15/13 4.88 7,359,160 7,129,295 5.25 3.17A2 A 2,210,000 BANK AMER. CORP. 10/14/16 5.63 2,252,687 2,020,227 7.36 5.86A2 A 1,210,000 BANK AMER. CORP. 12/01/17 5.75 1,136,146 1,089,314 7.53 6.59AA2 AA- 500,000 BANK NEW YORK INC MED TERM SR 04/01/13 4.50 499,485 516,976 3.99 3.43A2 A 400,000 BANK OF AMERICA CORP. 06/01/19 7.63 396,976 399,124 7.55 7.05AAA AAA 6,000,000 BANK OF AMERICA CORP. 06/15/12 3.13 5,996,940 6,187,055 2.03 2.84AA3 A+ 2,700,000 BEAR STEARNS & CO INC. 11/15/14 5.70 2,810,462 2,776,348 5.29 4.64CAA2 CCC- 5,200,000 BEAZER HOMES USA INC. 07/15/15 6.88 5,119,300 2,444,000 23.89 3.84AA2 AAA 3,900,000 BERKSHIRE HATHAWAY FIN. CORP. 01/15/15 4.85 4,036,953 4,083,880 4.02 4.84A2 A+ 975,000 CHUBB CORP. 05/15/38 6.50 994,810 1,053,222 5.89 13.56BA2 BB- 4,000,000 CIT GROUP INC. NEW 11/03/09 4.13 3,893,430 3,791,680 20.29 0.31A3 A 8,190,000 CITIGROUP INC. 01/18/11 6.50 8,417,250 8,366,910 5.44 1.42AAA AAA 2,900,000 CITIGROUP INC. 04/30/12 2.13 2,925,520 2,909,093 1.96 2.75A3 A 3,865,000 CITIGROUP INC. 04/11/13 5.50 3,746,963 3,651,053 7.43 3.32A3 A 600,000 CITIGROUP INC. 05/22/19 8.50 619,740 609,016 8.24 6.76AAA AAA 3,300,000 CITIGROUP INC. 12/09/10 1.18 3,300,000 3,325,713 0.52 0.20CAA1 CCC+ 2,698,000 FORD MOTOR CREDIT CO. 12/15/16 8.00 2,596,825 2,062,702 13.03 5.22B3 B 3,026,000 GCI INC 02/15/14 7.25 2,964,541 2,761,225 9.64 3.74AA2 AA+ 2,535,000 GENERAL ELECTRIC CAPITAL CORP. 01/19/10 7.38 2,795,288 2,600,045 1.86 0.53A2 AA+ 2,665,000 GENERAL ELECTRIC CAPITAL CORP. 10/19/12 5.25 2,788,896 2,730,766 4.33 3.01AA2 AA+ 1,195,000 GENERAL ELECTRIC CAPITAL CORP. 03/15/32 6.75 1,246,286 1,061,295 7.71 10.77ILLINOIS STATE BOARD OF INVESTMENT30

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

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Industrials (continued)B3 B- 1,700,000 CRICKET COMMUNICATIONS INC. 07/15/15 10.00 1,700,000 1,687,250 11.41 4.25B2 B+ 615,000 CROWN CASTLE INT'L CORP. 01/15/15 9.00 567,678 625,763 8.59 4.11BA3 BB 776,000 CSC HLDGS INC. 02/15/19 8.63 744,855 754,660 9.06 6.35BAA1 BBB+ 775,000 DEVON ENERGY CORP. NEW 01/15/14 5.63 777,372 813,490 4.31 3.96BAA1 BBB+ 1,750,000 DEVON ENERGY CORP. NEW 01/15/19 6.30 1,766,970 1,858,487 5.37 7.24BAA1 BBB+ 1,300,000 DEVON FING CORP ULC 09/30/11 6.88 1,410,032 1,400,305 2.89 2.07WR D 2,115,000 DEX MEDIA WEST LLC 08/15/13 9.88 1,814,170 322,538 85.65 1.30BA2 BB 3,410,000 DIRECT HOLDINGS 05/15/16 7.63 3,328,300 3,316,225 8.15 5.20BA2 BB 1,375,000 DIRECTV HLDGS LLC 03/15/13 8.38 1,383,565 1,378,438 8.29 2.72A2 A 2,090,000 DISNEY (WALT) CO. NEW MTN BK ENTR 03/01/12 6.38 2,197,050 2,288,810 2.54 2.44B1 BB- 2,104,000 DRESSER RAND GROUP INC. 11/01/14 7.38 2,151,340 2,035,620 8.13 4.26A2 A 2,100,000 DU PONT (E I) DE NEMOURS & CO. 01/15/13 5.00 2,176,230 2,214,694 3.45 3.20A2 A 3,100,000 DU PONT (E I) DE NEMOURS & CO. 01/15/14 5.88 3,085,461 3,369,825 3.87 3.94A2 A 1,500,000 DU PONT (E I) DE NEMOURS & CO. 07/15/18 6.00 1,574,685 1,614,770 4.94 7.08B3 B 2,571,000 DYNEGY HOLDINGS INC. 06/01/19 7.75 2,487,300 2,002,166 11.55 6.42A2 A 2,110,000 EMERSON ELEC CO. 08/15/10 7.13 2,356,841 2,231,900 1.75 1.07BA1 BB 4,000,000 ENTERPRISE PRODS OPER LP 08/01/66 8.38 4,000,000 3,220,000 12.62 4.85BA2 BB 1,822,000 EXPEDIA INC DEL 07/01/16 8.50 1,783,029 1,749,120 9.29 5.18CAA1 B- 3,464,000 FIRST DATA CORP. 09/24/15 9.88 3,218,078 2,459,440 17.74 4.08B2 B- 2,319,000 FISHER COMMUNICATIONS INC. 09/15/14 8.63 2,394,368 2,034,923 11.84 3.95CAA1 CCC+ 3,400,000 FORD MOTOR CREDIT CO. 06/15/10 7.88 3,145,000 3,229,524 13.64 0.88B1 BB- 1,264,000 FOREST OIL CORP. 06/15/19 7.25 1,267,790 1,131,280 8.86 6.89BA3 B 1,400,000 FOUNDATION PA COAL CO. 08/01/14 7.25 1,466,500 1,372,000 7.73 3.98BA2 BBB- 1,133,000 FREEPORT MCMORAN COPPER & GOLD 04/01/15 8.25 1,133,000 1,144,330 8.03 4.26B1 B+ 85,000 GENERAL CABLE CORP. 04/01/17 7.13 85,000 77,138 8.79 5.76A2 A 1,750,000 GENERAL DYNAMICS CORP. 02/01/14 5.25 1,741,740 1,870,044 3.61 4.03AA2 AA+ 7,900,000 GENERAL ELECTRIC CO. 02/01/13 5.00 7,836,186 8,251,775 3.78 3.24BAA1 BBB+ 9,525,000 GENERAL MILLS INC. 03/17/15 5.20 9,405,555 10,006,229 4.12 4.96B2 B+ 3,000,000 GEORGIA PACIFIC CORP. 06/15/15 7.70 3,382,500 2,805,000 9.14 4.70B3 B- 4,190,000 GIBRALTAR INDS INC. 12/01/15 8.00 4,135,043 3,142,500 14.03 4.66A1 A+ 900,000 GLAXOSMITHKLINE CAP INC. 05/15/38 6.38 1,044,261 976,840 5.75 13.75A1 A+ 2,000,000 GLAXOSMITHKLINE CAP INC. 05/15/18 5.65 1,783,840 2,125,267 4.77 7.19B1 B+ 607,000 GOODYEAR TIRE & RUBBER 05/15/16 10.50 581,785 613,070 10.29 4.79CAA1 B- 2,872,000 HCA INC. 03/15/14 5.75 2,569,883 2,297,600 11.35 3.87B2 BB- 1,702,000 HCA INC. 11/15/16 9.63 1,797,116 1,684,980 9.81 5.08CAA1 B- 2,571,000 HCA INC. 02/15/16 6.50 2,352,168 2,076,083 10.62 5.03B3 B+ 1,988,000 HELIX ENERGY SOLUTIONS GROUP 01/15/16 9.50 1,632,238 1,814,050 11.43 4.55BAA2 BBB- 2,460,000 HESS CORP. 02/15/19 8.13 2,520,833 2,807,203 6.19 6.84A2 A 300,000 HEWLETT PACKARD CO. 05/27/11 2.25 299,901 298,586 2.08 1.86A2 A 6,700,000 HEWLETT PACKARD CO. 03/01/12 5.25 6,620,337 7,108,928 2.58 2.47A2 A 2,125,000 HEWLETT PACKARD CO. 03/01/13 4.50 2,136,000 2,212,047 3.34 3.36A2 A 1,500,000 HEWLETT PACKARD CO. 03/01/14 6.13 1,493,415 1,653,426 3.72 4.07B3 BB- 1,847,000 HILCORP ENERGY I L P 11/01/15 7.75 1,726,165 1,560,715 11.23 4.77A2 A 8,200,000 HONEYWELL INT'L INC. 03/01/13 4.25 8,221,770 8,523,195 3.13 3.38A2 A 2,250,000 HONEYWELL INT'L INC. 02/15/19 5.00 2,220,413 2,304,260 4.72 7.74CAA2 D 3,000,000 HOVNANIAN K ENTERPRISES INC. 01/15/14 6.50 2,955,000 1,560,000 24.64 3.19B3 CCC+ 4,805,000 IASIS HEALTHCARE LLC 06/15/14 8.75 4,998,550 4,708,900 9.26 3.87B1 BB- 1,538,000 INGLES MARKET INC. 05/15/17 8.88 1,484,908 1,514,930 9.14 5.50A1 A+ 8,318,000 INTERNATIONAL BUSINESS MACHINES 11/29/12 4.75 8,206,833 8,801,049 2.53 3.18A1 A+ 900,000 INTERNATIONAL BUSINESS MACHINES 10/15/38 8.00 1,231,758 1,176,664 5.88 13.08BAA3 BBB 1,986,000 INTERNATIONAL PAPER CO. 06/15/18 7.95 1,985,762 1,849,780 8.52 6.40BAA3 BBB 1,500,000 INTERNATIONAL STL GROUP INC. 04/15/14 6.50 1,443,750 1,434,308 7.56 4.03BA3 B+ 1,626,000 INTERPUBLIC GROUP COS 07/15/17 10.00 1,620,352 1,638,195 9.86 5.33B2 B+ 1,489,000 INVACARE CORP. 02/15/15 9.75 1,495,261 1,503,890 9.51 3.96B2 B+ 750,000 JARDEN CORP. 05/01/16 8.00 730,508 716,250 8.89 5.15B3 B- 2,669,000 JARDEN CORP. 05/01/17 7.50 2,525,818 2,335,375 9.82 5.72A3 BBB+ 2,465,000 KELLOGG CO. 03/06/13 4.25 2,451,936 2,531,824 3.39 3.38A2 A 3,765,000 KIMBERLY CLARK CORP. 08/01/17 6.13 4,113,120 4,196,248 4.67 6.47BAA2 BBB+ 7,100,000 KRAFT FOODS INC. 06/01/12 6.25 7,342,110 7,581,178 3.43 2.68BAA2 BBB+ 1,675,000 KRAFT FOODS INC. 08/23/18 6.13 1,668,635 1,732,364 5.62 7.06BAA2 BBB+ 1,250,000 KRAFT FOODS INC. 11/01/31 6.50 1,240,693 1,171,943 6.56 11.69BAA2 BBB- 2,415,000 KROGER CO. 04/15/12 6.75 2,596,157 2,610,648 3.66 2.54BAA2 BBB- 1,000,000 KROGER CO. 04/15/13 5.00 1,011,790 1,031,136 4.33 3.43B2 B 2,899,000 LAMAR MEDIA CORP. 01/01/13 7.25 2,690,603 2,757,674 8.90 3.04B2 B 1,263,000 LAMAR MEDIA CORP. 08/15/15 6.63 1,161,721 1,076,715 10.08 4.76BAA1 A- 2,250,000 LOCKHEED MARTIN CORP. 05/01/16 7.65 2,579,515 2,664,780 4.67 5.51CAA1 B- 3,750,000 M I HOMES INC. 04/01/12 6.79 3,724,275 3,000,000 16.15 2.31B2 B+ 300,000 MARKWEST ENERGY PARTNERS LP 04/15/18 8.75 297,549 259,500 11.20 5.82NR BB- 1,022,000 MASSEY ENERGY CO. 08/01/15 3.25 565,738 674,520 0.00B2 BB- 3,456,000 MASSEY ENERGY CO. 12/15/13 6.88 3,435,645 3,162,240 9.24 3.76A3 A 1,600,000 MCDONALDS CORP. 03/01/13 4.30 1,618,400 1,671,243 3.13 3.37A3 A 900,000 MCDONALDS CORP. 10/15/37 6.30 1,013,850 988,073 5.73 13.63BAA3 BBB+ 1,480,000 MCKESSON CORP. 02/01/12 7.75 1,604,690 1,617,279 3.84 2.31BAA3 BBB+ 1,250,000 MCKESSON CORP. NEW 02/15/19 7.50 1,274,950 1,391,707 5.77 7.03ILLINOIS STATE BOARD OF INVESTMENT32

Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Industrials (continued)AA3 AA- 2,500,000 MERCK & CO INC. 03/01/15 4.75 2,402,275 2,603,513 3.86 4.98B1 B+ 1,475,000 MERITAGE HOMES CORP. 03/15/15 6.25 1,467,625 1,157,875 11.49 4.49B3 B 2,509,000 METROPCS WIRELESS INC. 11/01/14 9.25 2,384,998 2,483,910 9.49 3.98AAA AAA 2,000,000 MICROSOFT CORP. 06/01/14 2.95 1,995,720 1,986,289 3.10 4.61B1 B- 2,501,000 MIRANT NORTH AMER LLC 12/31/13 7.38 2,501,000 2,400,960 8.46 3.76BAA3 BBB- 597,000 MOSAIC CO. 12/01/16 7.63 606,310 591,696 7.38 5.23CAA1 CCC+ 3,319,000 MUELLER WTR PRODS INC. 06/01/17 7.38 3,303,085 2,447,763 12.73 5.55BA2 BB 1,628,000 NEXTEL COMMUNICATIONS INC. 10/31/13 6.88 1,396,010 1,347,170 12.10 3.55BAA1 BBB+ 1,500,000 NORFOLK SOUTHERN CORP. 01/15/16 5.75 1,507,005 1,568,389 5.32 5.40BAA1 BBB+ 1,000,000 NORFOLK SOUTHERN CORP. 05/17/29 5.64 951,380 924,788 6.41 11.61BAA1 BBB+ 850,000 NORTHROP GRUMMAN CORP. 02/15/31 7.75 1,092,182 1,046,449 5.71 11.51B1 BB- 3,310,000 NRG ENERGY INC. 02/01/14 7.25 3,347,200 3,210,700 8.04 3.69A2 A 1,340,000 OCCIDENTAL PETE CORP. 11/01/13 7.00 1,408,509 1,521,329 3.38 3.80A1 AA- 3,500,000 PACCAR INC. 02/15/14 6.88 3,570,950 3,780,139 4.57 3.95BA1 BB+ 391,000 PEABODY ENERGY CORP. 11/01/16 7.38 391,000 369,495 8.39 5.57AA2 A+ 2,290,000 PEPSICO INC. 03/01/14 3.75 2,287,704 2,292,808 3.28 4.27AA2 A+ 1,000,000 PEPSICO INC. 06/01/18 5.00 960,960 1,001,946 4.62 7.38B3 B 2,767,000 PETROHAWK ENERGY CORP. 08/01/14 10.50 2,642,368 2,829,258 9.92 3.73AA2 AAA 1,500,000 PFIZER INC. 03/15/12 4.45 1,497,945 1,562,599 2.55 2.54A1 A 2,721,000 PHILLIPS PETROLEUM CO. 05/25/10 8.75 3,163,049 2,895,473 1.56 0.87B1 B- 3,000,000 POLYONE CORP. 05/01/12 8.88 3,043,750 2,520,000 16.11 2.33BAA2 BBB 1,685,000 PREMCOR REFNG GROUP INC. 05/01/11 6.13 1,707,040 1,709,617 4.64 1.72BA3 B+ 2,500,000 QWEST COMMUNICATIONS INTL INC. 02/15/11 7.25 2,493,750 2,425,000 9.27 1.46BA1 BBB- 500,000 QWEST CORP. 09/01/11 7.88 435,000 500,000 7.87 1.92BAA1 A- 1,625,000 RAYTHEON CO. 12/15/18 6.40 1,765,514 1,791,666 4.97 7.40B1 B 1,271,000 REGENCY ENERGY PARTNERS 06/01/16 9.38 1,201,044 1,229,693 10.03 4.99B1 B 3,050,000 REGENCY ENERGY PARTNERS 12/15/13 8.38 3,074,666 2,943,250 9.35 3.65B1 B 1,646,000 RES CARE INC. 10/15/13 7.75 1,633,836 1,539,010 9.63 3.53BAA3 BBB 1,335,000 REYNOLDS AMERICAN INC. 06/01/12 7.25 1,257,038 1,387,579 7.13 2.59B1 BB- 1,553,000 RSC EQUIPMENT RENTAL INC. 07/15/17 10.00 1,542,153 1,512,234 10.00 5.45CAA1 B 271,000 RYERSON INC. 11/01/15 12.00 278,560 220,865 16.85 4.05B2 B+ 3,279,000 SABINE PASS LNG 11/30/13 7.25 3,274,410 2,778,953 11.77 3.61A2 A 10,485,000 SBC COMMUNICATIONS INC. 09/15/14 5.10 10,433,339 10,717,597 4.26 4.57BAA3 BB+ 2,565,000 SEALED AIR CORP. 06/15/17 7.88 2,509,519 2,292,692 8.02 5.91BA3 BB- 247,000 SEALY CORPORATION 04/15/16 10.88 237,061 258,733 9.90 4.71CAA1 CCC+ 1,415,000 SEALY MATTRESS CO. 06/15/14 8.25 1,426,488 1,163,838 13.25 3.87B1 BB- 2,211,000 SERVICE CORP. INT'L 06/15/17 7.00 2,191,441 2,000,955 8.68 6.01CAA2 CCC+ 2,000,000 SOLO CUP CO. 02/15/14 8.50 1,920,000 1,640,000 13.90 3.51BAA3 BBB- 1,660,000 SOUTHERN COPPER CORP. DEL 07/27/15 6.38 1,647,188 1,644,801 6.46 4.94BA2 BB 1,628,000 SPRINT CAP CORP. 03/15/32 8.75 1,554,740 1,310,540 11.12 8.23BAA3 BBB 1,000,000 STARBUCKS CORP. 08/15/17 6.25 845,000 998,535 6.17 6.34BA2 BB+ 682,000 STEEL DYNAMICS INC. 11/01/12 7.38 682,675 646,195 9.23 2.87BA2 BB+ 1,000,000 STEEL DYNAMICS INC. 04/01/15 6.75 1,000,000 890,000 9.26 4.59BA3 BB- 2,325,000 STEWART ENTERPRISES INC. 02/15/13 6.25 2,327,875 2,162,250 8.53 3.11B3 BB 985,000 SUNGUARD DATA SYSTEMS INC. 01/15/14 4.88 829,863 871,725 7.94 3.90CAA1 B 2,140,000 SUNGUARD DATA SYSTEMS INC. 08/15/13 9.13 2,246,575 2,022,300 10.81 3.25B2 B 5,311,000 TARGA RES PARTNERS LP 07/01/16 8.25 4,470,360 4,501,073 11.47 4.89B2 BB- 3,790,000 TEXAS INDS INC. 07/15/13 7.25 3,580,000 3,424,025 10.42 3.29BAA2 BBB 4,600,000 TIME WARNER CABLE INC. 07/02/12 5.40 4,503,483 4,753,185 4.20 2.71BAA2 BBB 1,300,000 TIME WARNER CABLE INC. 05/01/17 5.85 1,240,421 1,293,427 5.87 6.33BAA2 BBB 1,710,000 TIME WARNER CABLE INC. 07/01/18 6.75 1,580,817 1,773,786 6.14 6.93BAA2 BBB 770,000 TIME WARNER INC. 05/01/12 6.88 801,539 805,866 4.23 2.57A3 A- 1,825,000 TRANSCANADA PIPELINES LTD 01/15/15 4.88 1,791,694 1,854,149 4.77 4.80BAA2 BBB- 3,640,000 TRANSCONTINENTAL GAS PIPE LINE 04/15/16 6.40 3,649,555 3,757,818 5.92 5.54BAA2 BBB 580,000 UNION PAC CORP. 01/15/11 6.65 591,484 610,405 3.33 1.43BAA2 BBB 430,000 UNION PAC CORP. 04/15/12 6.50 430,611 461,421 4.43 2.53BAA2 BBB 1,400,000 UNION PAC CORP. 02/15/14 5.13 1,402,146 1,435,965 4.31 4.09BAA2 BBB 850,000 UNION PAC CORP. 05/01/34 6.25 827,178 848,253 6.65 12.19CAA1 B- 4,625,000 UNITED AUTO GROUP INC. 12/15/16 7.75 4,665,199 3,734,688 11.69 5.39AA3 AA- 1,100,000 UNITED PARCEL SERVICE 04/01/14 3.88 1,097,558 1,127,593 3.16 4.35AA3 AA- 900,000 UNITED PARCEL SERVICE 01/15/38 6.20 1,034,676 967,850 5.54 13.73B2 B 850,000 UNITED RENTALS NORTH AMER INC. 06/15/16 10.88 824,840 816,000 11.73 4.66B3 B+ 1,394,000 UNIVERSAL HOSP SVCS INC. NEW 06/01/15 6.30 1,404,998 1,122,170 8.85 (0.13)B3 CCC+ 4,000,000 US CONCRETE INC. 04/01/14 8.38 4,138,125 2,620,000 19.92 3.42BA3 B 3,750,000 US ONCOLOGY INC. 08/15/12 9.00 4,007,813 3,834,375 0.18 0.13B3 CCC+ 2,418,000 VALASSIS COMMUNICATION INC. 03/01/15 8.25 2,141,930 1,743,983 15.88 4.03A3 A 1,150,000 VERIZON COMMUNICATIONS INC. 04/15/13 5.25 1,082,632 1,209,559 3.83 3.43A3 A 3,010,000 VERIZON COMMUNICATIONS INC. 04/15/18 6.10 3,031,714 3,151,414 5.72 6.89A3 A 422,000 VERIZON COMMUNICATIONS INC. 04/15/38 6.90 468,829 443,094 6.56 12.64B3 B 3,756,000 VISANT HLDG CORP. 12/01/13 8.75 3,981,769 3,690,270 9.24 3.49AA2 AA 2,840,000 WAL MART STORES INC. 08/10/09 6.88 3,072,060 2,857,580 1.34 0.11AA2 AA 1,250,000 WAL MART STORES INC. 08/15/37 6.50 1,475,455 1,425,503 5.66 13.46A2 A+ 1,620,000 WALGREEN CO. 01/15/19 5.25 1,633,802 1,659,992 4.72 7.58B1 B 1,635,000 WARNER MUSIC GROUP 04/15/14 7.38 1,622,738 1,383,619 11.65 3.82ILLINOIS STATE BOARD OF INVESTMENT33

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield Duration$ FIXED INCOME (continued) % $ $ %Industrials (continued)BA3 BB 1,846,000 WINDSTREAM CORP. 08/01/13 8.13 1,878,923 1,786,005 9.09 3.32A3 A+ 1,530,000 WYETH 03/15/13 5.50 1,609,713 1,656,315 3.49 3.34A3 A+ 600,000 WYETH 04/01/37 5.95 488,528 632,272 5.70 13.68BA2 BBB- 6,000,000 WYNDHAM WORLDWIDE 05/01/14 9.88 5,748,060 5,980,020 9.96 3.78Total Industrials 440,583,550 425,239,911Mortgage Backed SecuritiesCollateralized Mortgage ObligationsAAA AAA 2,680,000 BANC AMER COML MTG INC. 09/10/47 1.00 2,261,669 2,305,954 8.05 4.99NA AAA 196,714 BEAR STEARNS COML MTG SECS INC. 03/13/40 4.00 189,675 194,229 3.64 0.98AAA AAA 1,661,658 GE CAP COML MTG CORP. 08/11/36 4.97 1,653,258 1,670,517 4.41 1.72AAA AAA 1,500,000 GE COML MTG CORP. 01/10/38 4.37 1,452,363 1,501,541 5.65 1.02AAA AAA 4,300,000 GREENWICH CAP COML FDG CORP. 06/10/36 1.00 3,860,762 3,998,590 7.65 3.85NA AAA 2,734,432 J P MORGAN CHASE COML MTG SECS 03/15/33 6.26 2,728,078 2,789,076 4.42 1.23AAA NA 150,000 JP MORGAN CHASE COML MTG 09/12/37 4.90 117,220 128,105 8.31 4.75AAA NA 700,000 JP MORGAN CHASE COML MTG SECS 10/15/42 1.00 545,543 596,033 8.43 4.67AAA NA 700,000 JP MORGAN CHASE COML MTG SECS 01/12/43 1.00 555,394 606,461 8.98 4.84NR NR 1,370 MANUFACTURERS HANOVER MTG CORP 04/25/15 11.50 1,364 1,468 0.00 0.00AAA AAA 3,410,000 WACHOVIA BK COML MTG TR 10/15/41 1.00 2,949,650 2,888,487 8.18 3.87AAA AAA 1,445,354 WACHOVIA BK COML MTG TR 03/15/42 4.78 1,423,222 1,437,975 11.51 0.56NA AAA 1,310,000 WACHOVIA BK COML MTG TR 05/15/44 4.52 1,218,300 1,242,482 10.78 0.86Total Collateralized Mortgage Obligations 18,956,498 19,360,918Total Mortgage Backed Securities 18,956,498 19,360,918OtherAsset BackedAAA AAA 1,000,000 CAPITAL ONE MULTI ASSET 11/15/13 4.85 991,641 1,035,402 2.21 1.47NR NR 2,024,000 GMAC LLC 05/15/12 6.63 1,557,204 1,690,040 13.76 2.46AAA AAA 1,500,000 JOHN DEERE OWNER TR 04/15/14 5.08 1,499,898 1,525,078 3.25 1.14Total Asset Backed 4,048,743 4,250,520MiscellaneousBA2 BB+ 3,815,000 APRIA HEALTHCARE GROUP 11/01/14 11.25 3,702,458 3,681,475 12.16 3.90B3 B+ 3,400,000 BASIC ENERGY SVCS INC NEW 04/15/16 7.13 3,402,215 2,703,000 11.56 5.06B3 B 3,524,000 BERRY PETE CO. 11/01/16 8.25 3,381,248 3,021,830 11.14 5.26BA3 BB 1,742,000 CHESAPEAKE ENERGY CORP. 08/15/17 6.50 1,676,375 1,463,280 9.35 5.96BA1 BB+ 483,000 CMS ENERGY CORP. 02/01/12 6.30 482,145 468,438 7.60 2.29A3 A- 2,300,000 CONSOLIDATED EDISON CO NY INC. 02/01/13 4.88 2,258,462 2,406,475 3.71 3.25A3 A- 3,300,000 CONSOLIDATED EDISON CO NY INC. 12/01/18 7.13 3,313,023 3,781,688 5.27 7.18A3 A- 2,800,000 CONSOLIDATED EDISON CO NY INC. 04/01/19 6.65 2,795,912 3,104,260 5.17 7.41BAA2 BBB+ 1,600,000 DUKE ENERGY CO. 02/01/14 6.30 1,636,160 1,741,290 4.36 3.95B2 BB- 1,130,000 EDISON MISSION ENERGY 06/15/13 7.50 1,130,000 1,011,350 10.83 3.31B2 BB- 976,000 EDISON MISSION ENERGY 05/15/17 7.00 976,000 749,080 11.58 5.65A3 BBB 3,575,000 EXELON GENERATION CO. LLC 10/01/17 6.20 3,479,613 3,597,070 6.27 6.46AA3 A 1,230,000 FLORIDA POWER & LIGHT CO. 02/01/13 4.85 1,266,629 1,301,726 3.66 3.25AA3 A 200,000 FLORIDA POWER & LIGHT CO. 02/01/35 5.65 200,494 202,913 5.54 0.00B1 BB- 4,213,000 GIBSON ENERGY ULC 05/27/14 11.75 4,098,010 4,170,870 12.02 3.58B3 BB- 270,000 HILCORP ENGY ILP 06/01/16 9.00 282,150 234,900 11.80 4.95B1 B+ 700,000 HOLLY ENERGY PARTNERS LP 03/01/15 6.25 700,000 603,750 9.43 4.55BAA3 BBB- 1,935,000 ITC HLDGS CORP. 09/30/16 5.88 1,418,490 1,738,973 6.82 5.83BAA2 BBB 1,000,000 METROPOLITAN EDISON CO. 01/15/19 7.70 1,000,000 1,075,235 6.62 6.81BA3 BB 2,997,000 ORION PWR HLDGS INC. 05/01/10 12.00 2,898,505 3,101,895 7.57 0.78A3 BBB+ 2,100,000 PACIFIC GAS & ELECTRIC CO. 10/15/18 8.25 2,603,769 2,536,687 5.22 6.87BA2 BB- 1,978,000 PNM RES INC. 05/15/15 9.25 2,017,360 1,832,123 10.98 4.39B2 B+ 392,000 RRI ENERGY INC. 06/15/14 7.63 392,000 358,680 9.83 4.03A2 A 1,000,000 SOUTHERN CA EDISON CO. 03/15/14 5.75 994,920 1,086,184 3.76 4.13BAA1 BBB 2,100,000 SPECTRA ENERGY CAP LLC 04/15/18 6.20 1,946,406 2,021,229 6.47 6.78B3 B 4,635,000 UNITED REFINING CO. 08/15/12 10.50 4,512,775 3,615,300 20.34 2.34NA B- 2,380,000 VIRGIN MEDIA INC. 11/15/16 6.50 1,201,512 1,844,500 0.00 0.00BAA1 A- 1,875,000 VIRGINIA ELEC & PWR CO. 04/30/18 5.40 1,856,714 1,964,196 4.87 7.17BAA1 A- 915,000 VIRGINIA ELEC & PWR CO. 11/15/38 8.88 1,166,515 1,242,551 6.31 12.51BA3 BB 1,443,000 WINDSTREAM CORP. 08/01/16 8.63 1,518,294 1,381,673 9.46 5.02Total Miscellaneous 58,308,154 58,042,621Private PlacementCAA2 B- 400,000 FIRST DATA CORP. 09/24/15 9.88 276,000 284,000 0.00 0.00NR NR 1,108,000 MOOG INC. 06/15/18 7.25 1,108,000 1,035,980 8.29 6.30NR NR 579,000 TARGA RESOURCES PARTNERS 07/15/17 11.25 549,894 549,894 4.80 5.74Total Private Placement 1,933,894 1,869,874Total Other 64,290,791 64,163,015Total Corporate Obligations 688,047,686 668,047,761TOTAL FIXED INCOME 1,380,500,674 1,366,303,740ILLINOIS STATE BOARD OF INVESTMENT34

Moody’s S&P Shares/Quality Quality Par Maturity Interest FairRating Rating Value Date Rate Cost ValueBANK LOANS % $ $NA NA 997,494 1 800 CONTACTS INC. 03/04/15 1.00 865,070 867,820NA NA 17,256 ADVANCE FOOD COMPANY 03/08/14 1.00 16,662 15,833NA NA 199,794 ADVANCE FOOD COMPANY 03/16/14 1.00 192,961 183,311NA NA 990,229 AFFINION GROUP TL B 10/17/12 1.00 976,534 938,866NA NA 1,196,475 ALASKA COMMUNICATIONS SYS HLDG 02/01/12 1.00 1,125,401 1,113,470NA NA 390,698 ALLIANCE LAUNDRY TERM B 01/27/12 7.57 388,440 375,070NA NA 1,876,667 ALPHA MEDIA GROUP INC. 08/14/14 1.00 1,824,385 1,126,000NA NA 997,428 AMERICAN MEDIA 01/30/13 8.37 989,475 683,238NA NA 2,401,349 ARAMARK 01/26/14 1.00 2,240,983 2,214,703NA NA 58,908 ARAMARK CORPORATION 01/26/14 0.01 57,317 54,057NA NA 27,094 ASHLAND CHEMICALS 05/13/13 1.00 26,539 27,026NA NA 902,217 ASHLAND CHEMICALS 11/13/13 1.00 884,206 903,345NA NA 197,598 ASHLAND INC. 05/13/14 7.65 194,569 198,684NA NA 363,140 ASPECT SOFTWARE 07/11/11 1.00 354,176 297,775NA NA 16,993 ATLANTIC BROADBAND 09/01/11 1.00 16,993 16,738NA NA 456,947 ATLANTIC BROADBAND FINANCE LLC 06/01/13 0.00 456,947 453,805NA NA 1,242,449 ATLAS PIPELINE PARTNERS 07/23/14 0.01 1,171,339 1,183,433NA NA 1,000,000 ATTACHMATE CORP. 04/20/13 1.00 713,937 832,500NA NA 736,842 BAKER TANKS INC. 05/08/14 1.00 728,524 603,105NA NA 1,292,029 BALDOR ELECTRIC COMPANY 03/31/14 1.00 1,254,986 1,245,424NA NA 952,854 BARRINGTON BROADCASTING 08/11/13 1.00 945,921 557,419NA NA 994,975 BE AEROSPACE 07/21/14 1.00 948,957 990,831NA NA 469,491 BE AEROSPACE 07/28/14 1.00 467,540 464,014NA NA 1,470,076 BERYL OIL AND GAS LP 07/14/11 1.00 1,466,888 1,080,506NA NA 1,000,000 BERYL OIL AND GAS LP 01/13/12 1.00 993,852 425,000NA NA 304,689 BICENT POWER 06/30/14 1.00 301,464 274,220NA NA 757,571 BICENT POWER LLC 12/31/14 1.00 341,556 462,118NA NA 411,606 BIRDS EYE FOODS 03/22/13 7.09 394,110 391,026NA NA 1,000,000 BNY CONVERGEX GROUP 08/17/13 1.00 939,139 950,000NA NA 532,507 BOLTHOUSE FARMS INC. 12/16/12 1.00 526,284 503,552NA NA 534,026 BOOZ HAMILTON 07/31/15 1.00 530,579 532,759NA NA 943,613 BROCADE COMMUNICATIONS SYSTEMS 09/29/13 1.00 893,181 946,364NA NA 891,670 BRSP LLC 06/04/14 1.00 838,170 862,691NA NA 1,500,000 BRSP LLC 06/24/14 1.00 1,380,000 1,449,375NA NA 1,000,000 BURGER KING CORPORATION 06/30/12 0.00 994,320 965,000NA NA 1,949,017 C G JCF CORP. 08/01/14 1.00 1,809,179 1,559,214NA NA 3,175,031 CALPINE CORPORATION 03/29/09 1.00 3,002,730 2,814,883NA NA 500,000 CALPINE CORPORATION 06/30/09 1.00 451,250 444,325NA NA 492,481 CANWEST MEDIAWORKS LIMITED 07/10/14 0.01 488,223 246,241NA NA 632,263 CAPITAL AUTOMOTIVE 12/16/10 1.00 628,410 480,520NA NA 1,000,000 CARESTREAM HEALTH HOLDINGS INC. 04/30/13 1.00 919,736 896,000NA NA 248,711 CCC INFORNMATION SYS GRP INC. 02/10/13 1.00 246,744 235,343NA NA 987,469 CCS INC (1331826 ALBERTA ULC) 11/14/14 0.01 859,098 723,321NA NA 247,449 CEDAR FAIR 02/17/12 1.00 233,006 230,684NA NA 854,522 CEDAR FAIR LP 08/30/12 1.00 818,902 796,628NA NA 1,486,165 CELANESE HLDG 04/02/13 1.00 1,422,870 1,373,052NA NA 983,731 CENGAGE LEARNING ACQUISITIONS 07/04/14 1.00 925,967 823,601NA NA 491,250 CENGAGE LEARNING INC 07/15/14 1.00 480,133 413,404NA NA 4,755,402 CENTENNIAL CELLULAR OPERATING 02/09/11 1.00 4,733,200 4,733,264NA NA 1,246,811 CEQUEL COMMUNICATIONS 11/05/13 1.00 1,127,042 1,144,473NA NA 1,233,119 CHARTER COMMUNICATION 03/06/14 1.00 1,183,238 1,149,818NA NA 35,324 CHS COMMUNITY HEALTH 07/25/14 1.00 33,875 31,876NA NA 983,011 CINCINNATI BELL INC. TL 08/31/12 1.00 913,532 922,392NA NA 1,495,001 CINEMARK 10/05/13 1.00 1,365,068 1,408,505NA NA 1,000,000 CITADEL BROADCASTING CORP. 06/12/14 6.95 954,019 528,335NA NA 1,005,728 CLARKE AMERICAN 03/12/13 1.00 944,324 784,045NA NA 1,500,000 COLETO CREEK POWER 09/28/13 1.00 1,105,285 1,305,000NA NA 375,754 COMMSCOPE INC. 12/26/14 1.00 324,088 356,027NA NA 2,810,058 COMMUNITY HEALTH SYSTEM INC 07/25/14 1.00 2,746,914 2,527,337NA NA 1,500,000 CONSOLIDATED COMMUNICATIONS 12/31/14 1.00 1,252,500 1,306,875NA NA 1,000,000 CONSTELLATION BRANDS INC. 06/01/13 1.00 951,554 955,000NA NA 1,280,831 CONSTELLATION BRANDS INC. 06/05/13 1.00 1,253,847 1,214,388NA NA 1,140,089 COREL 05/01/12 1.00 1,004,184 954,824NA NA 500,000 CRESCENT RESOURCE 06/10/10 0.00 482,500 3,750NA NA 1,246,835 CRISTAL INORGANIC CHEMICALS US 05/15/14 1.00 875,458 922,658NA NA 1,178,427 CROWN CASTLE OPERATING CO. 03/06/14 1.00 1,129,920 1,090,598NA NA 868,945 CSC HOLDINGS 03/28/13 1.00 861,328 830,463NA NA 1,000,000 DAVITA 10/05/12 1.00 956,759 944,375NA NA 761,326 DEALER COMPUTER SERVICES 10/26/12 1.00 741,868 631,900NA NA 997,449 DEAN FOODS 04/02/14 1.00 904,841 944,584NA NA 752,864 DEAN FOODS TERM LOAN A 04/02/12 1.00 714,659 703,928NA NA 550,897 DEL MONTE CORP. 02/08/12 1.00 545,115 541,715NA NA 1,317,942 DELPHI CORPORATION 12/31/08 1.00 1,315,697 565,831NA NA 490,000 DELTA AIR LINES INC. 04/30/12 1.00 464,561 380,975NA NA 1,246,819 DELTA AIR LINES INC. 04/30/14 1.00 1,107,667 859,059NA NA 832,983 DELUXE ENTERTAINMENT 05/11/13 1.00 783,832 680,963ILLINOIS STATE BOARD OF INVESTMENT35

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Maturity Interest FairRating Rating Value Date Rate Cost ValueBANK LOANS (continued) % $ $NA NA 920,420 DEX MEDIA EAST LLC 10/24/14 1.00 918,085 705,107NA NA 1,482,701 DIRECTV HOLDINGS LLC 04/13/13 5.25 1,470,923 1,474,592NA NA 2,992,500 DISCOVERY COMM HOLDINGS LLC 05/14/14 1.00 2,932,935 2,981,857NA NA 1,218,444 DJO FINANCE 05/13/14 1.00 1,203,518 1,093,553NA NA 1,334,929 DOLLARAMA GROUP 11/18/11 1.00 1,276,437 1,284,869NA NA 676,007 DUNE ENTERTAINMENT LLC 11/02/12 1.00 571,099 552,636NA NA 574,818 DURATEK INC. 06/07/13 1.00 556,651 534,581NA NA 10,635 ENERGY SOLUTIONS INC. 06/07/11 1.00 10,189 9,890NA NA 2,696,818 ENERGY SOLUTIONS INC. 06/07/13 1.00 2,606,435 2,507,451NA NA 1,750,000 ENTERPRISE GP HOLDING 10/26/14 1.00 1,736,338 1,697,500NA NA 1,336,500 ENTERPRISE GP HOLDING 10/30/14 1.00 1,326,064 1,286,381NA NA 356,759 FAIRCHILD SEMICONDUCTOR CORP. 06/26/13 1.00 355,375 319,299NA NA 997,871 FAIRPOINT COMMUNICATIONS INC. 02/08/12 1.00 697,534 749,650NA NA 1,372,706 FORD MOTOR COMPANY 12/16/13 1.00 1,341,276 989,721NA NA 895,657 FOXCO ACQUISITION 07/15/15 1.00 872,153 652,334NA NA 1,033,804 FRESENIUS SE 07/06/14 1.00 1,024,061 1,037,164NA NA 1,000,000 FRONTIER DRILLING USA INC. 06/21/13 1.00 739,455 828,750NA NA 472,064 FTD INC. 07/28/13 1.00 463,838 457,312NA NA 1,000,000 GATEHOUSE MEDIA OPERATING INC. 08/28/14 1.00 929,828 253,750NA NA 1,962,437 GEORGIA PACIFIC CORP. 12/20/12 1.00 1,841,194 1,855,318NA NA 1,318,389 GEORGIA PACIFIC TL B 12/23/12 6.75 1,294,169 1,240,035NA NA 2,297,238 GETTY IMAGES T/L B 07/02/15 1.00 2,274,542 2,281,442NA NA 1,497,209 GOLDEN GATE NATIONAL SENIOR CR 03/14/11 1.00 1,317,165 1,349,932NA NA 167,118 GRAHAM PACKAGING 10/07/11 1.00 164,351 158,434NA NA 1,104,316 GRAHAM PACKAGING COMPANY LP 04/05/14 1.00 1,104,316 1,089,132NA NA 1,000,000 GRANT US HOLDING LP 11/01/10 1.00 512,500 475,000NA NA 1,000,000 GRANT US HOLDINGS LLP 11/01/12 1.00 999,086 487,500NA NA 1,161,444 GRAPHIC PACKAGING INTERNATIONAL INC. 05/16/14 1.00 1,099,343 1,088,900NA NA 514,363 HANESBRANDS INC. 09/05/12 1.00 510,904 508,737NA NA 499,352 HARBOR FREIGHT TOLLS USA INC 02/12/13 1.00 492,655 449,417NA NA 1,500,000 HARGRAY COMMUNICATIONS GROUP 06/27/14 1.00 1,380,538 1,338,750NA NA 355,409 HARRAH'S OPERATING COMPANY 01/28/15 1.00 331,164 260,337NA NA 991,230 HARRAH'S TL B2 01/31/15 1.00 911,471 723,598NA NA 659,795 HAWAIIAN TELECOM 05/30/14 7.57 649,771 398,351NA NA 245,725 HCA INC. 11/19/12 1.00 225,953 222,766NA NA 843,202 HCA INC. 11/18/13 1.00 797,701 759,819NA NA 921,949 HEALTH MANAGEMENT ASSOCIATES 02/28/14 1.00 884,091 810,307NA NA 1,000,000 HEALTHSOUTH CORPORATION 03/10/12 1.00 817,500 937,500NA NA 875,817 HEALTHSOUTH CORPORATION 03/15/13 1.00 826,066 817,325NA NA 1,184,636 HELIX ENERGY SOLUTIONS GROUP 07/01/13 1.00 1,166,683 1,087,890NA NA 113,055 HELM HOLDING CORP. 07/08/11 1.00 92,221 100,336NA NA 1,274,358 HUNTSMAN INT'L 04/19/14 1.00 1,267,641 1,137,364NA NA 1,215,914 IDEARC INC. 11/17/14 1.00 1,005,772 519,615NA NA 970,775 IDEARC INC. 11/17/13 1.00 947,597 409,745NA NA 1,268,875 IFM HOLDCO 02/27/12 1.00 1,258,721 1,243,498NA NA 706,073 INEOS TERM B 12/16/13 1.00 700,752 517,786NA NA 706,073 INEOS US FINANCE 12/14/14 1.00 700,505 517,787NA NA 506,250 INSIGHT MIDWEST 04/04/14 1.00 499,570 468,914NA NA 1,500,000 INSIGHT MIDWEST 04/06/14 1.00 1,438,765 1,398,128NA NA 1,281,431 INTELSAT CORPORATION 01/03/14 1.00 1,272,313 1,163,812NA NA 462,857 INTELSAT CORPORATION 07/03/12 1.00 446,921 432,000NA NA 895,460 INVERNESS MEDICAL INNOVATION I 06/26/14 1.00 761,544 838,001NA NA 80,542 INVITROGEN 12/20/13 1.00 79,078 78,193NA NA 762,484 INVITROGEN 12/18/15 1.00 751,165 761,665NA NA 249,372 INVITROGEN 09/15/15 1.00 245,945 250,928NA NA 498,728 ISLE OF CAPRI CASINOS INC. 11/25/13 0.01 374,070 457,493NA NA 947,909 ISP CHEMCO 06/04/14 1.00 895,585 861,650NA NA 1,369,696 ITRON 04/18/14 1.00 1,353,028 1,350,520NA NA 747,194 JARDEN CORPORATION 01/24/12 1.00 734,553 719,757NA NA 724,754 JETRO HOLDINGS INC. 07/02/14 1.00 694,587 693,952NA NA 572,002 KAR HOLDINGS 10/20/13 1.00 550,462 502,790NA NA 507,967 KENAN ADVANTAGE GROUP INC. 12/16/11 1.00 474,611 459,711NA NA 1,056,345 LAMAR MEDIA CORP. 03/31/14 1.00 1,034,578 1,035,218NA NA 198,000 LAS VEGAS SANDS DD TL I 05/04/14 1.00 193,847 140,333NA NA 2,063,154 LAS VEGAS SANDS LLC 05/23/14 1.00 2,014,082 1,453,867NA NA 60,831 LENDER PROCESSING SERVICES 06/30/13 1.00 60,831 59,615NA NA 1,020,671 LENDER PROCESSING SERVICES 06/28/14 1.00 1,010,881 1,001,534NA NA 357,143 LEVEL 3 COMMUNICATIONS 03/13/14 1.00 355,055 366,964NA NA 1,413,161 LIBERTY ELECTRIC POWER LLC 11/02/14 1.00 1,296,791 1,232,983NA NA 359,718 LIFEPOINT HOSPITALS, INC. 04/16/12 1.00 339,074 340,766NA NA 681,446 LN ACQUISITION CORP. 07/11/14 8.05 678,151 608,190NA NA 500,000 LNR PROPERTY CORPORATION 07/12/11 1.00 451,731 250,500NA NA 433,333 LONGVIEW POWER 02/27/14 1.00 429,242 325,000NA NA 66,667 LONGVIEW POWER LLC 02/28/14 1.00 66,037 50,000NA NA 230,427 LYONDELL CHEMICAL COMPANY 12/15/09 1.00 150,826 160,353NA NA 854,173 LYONDELL CHEMICAL COMPANY 12/20/14 1.00 854,173 456,992ILLINOIS STATE BOARD OF INVESTMENT36

Moody’s S&P Shares/Quality Quality Par Maturity Interest Fair CurrentRating Rating Value Date Rate Cost Value Yield DurationBANK LOANS (continued) % $ $ %NA NA 1,662,757 MANITOWOC CO INC. 08/25/14 1.00 1,516,153 1,507,119NA NA 1,387,783 MARSICO CAPITAL MANAGEMENT 12/14/14 1.00 1,309,872 1,235,126NA NA 2,027,387 MCC IOWA LLC 01/03/16 1.00 1,955,972 2,021,557NA NA 1,496,164 MEDIACOM LLC 01/31/15 1.00 1,407,491 1,378,341NA NA 467,898 METAVANTE CORPORATION 10/31/14 1.00 427,596 450,352NA NA 1,486,238 METAVANTE CORPORATION 11/01/14 1.00 1,444,094 1,447,841NA NA 994,885 METROPCS 11/03/13 1.00 876,530 947,966NA NA 1,496,134 MGM HOLDINGS 11 04/08/12 1.00 1,458,455 852,796NA NA 1,176,471 MICHAEL FOODS 04/30/14 1.00 1,129,878 1,181,618NA NA 747,596 MIRANT NORTH AMERICA LLC 01/03/13 1.00 683,582 706,213NA NA 517,333 MSCI INC 10/21/14 0.01 517,143 494,053NA NA 2,845,450 MYLAN LABORATORIES, INC. 10/02/14 1.00 2,733,423 2,749,265NA NA 141,169 NALCO COMPANY 11/04/10 1.00 140,447 139,669NA NA 1,057,500 NALCO COMPANY 05/08/13 1.00 1,031,187 1,061,466NA NA 492,821 NATIONAL MENTOR INC. 06/29/13 1.00 466,870 411,506NA NA 500,000 NAVISTAR INTERNATIONAL CORP. 01/19/12 1.00 466,478 430,313NA NA 490,933 NEBRASKA BOOK CO INC. 03/04/11 1.00 484,974 473,750NA NA 1,743,347 NIELSEN FINANCE LLC 08/09/13 7.18 1,579,405 1,572,127NA NA 1,247,256 NIGHTHAWK RADIOLOGY 07/10/14 1.00 1,206,720 1,166,173NA NA 239,899 NORTHWEST AIRLINES, INC. 12/22/18 1.00 194,461 190,720NA NA 3,646,082 NRG ENERGY INC. 02/01/13 6.58 3,584,955 3,434,312NA NA 1,367,790 NSG HOLDINGS 06/15/14 1.00 1,271,260 1,265,206NA NA 982,090 NTELOS INC TERM LOAN B1 08/24/11 1.00 981,379 960,303NA NA 997,475 NUVEEN 11/15/14 1.00 987,500 794,239NA NA 643,525 OSHKOSH 12/08/13 1.00 629,360 587,216NA NA 270,000 OSHKOSH TRUCK CORP. 12/06/11 1.00 248,400 247,050NA NA 2,898,432 OXFORD ACQUISITION III LIMITED 05/11/14 1.00 1,532,725 1,536,169NA NA 812,479 PANAVISION INC. 03/30/11 1.00 798,111 660,813NA NA 485,111 PENN NATIONAL GAMING INC. 10/03/11 1.00 457,458 469,345NA NA 498,705 PENN NATIONAL GAMING INC. 10/03/12 1.00 454,039 478,914NA NA 1,475,536 PINNACLE FOODS GROUP INC. 04/02/14 1.00 1,406,428 1,310,153NA NA 567,329 PRESTIGE BRANDS INC. 04/06/11 1.00 564,319 549,363NA NA 737,544 PROQUEST 02/10/14 1.00 639,292 649,038NA NA 984,733 QUEBECOR MEDIA INC. 01/17/13 1.00 972,275 905,954NA NA 1,000,000 QUEBECOR WORLD INC. 07/10/12 1.00 900,000 950,000NA NA 685,846 QUINTILES TRANSNATIONAL CORP. 03/31/13 1.00 675,804 640,123NA NA 1,000,000 REDDY ICE GROUP INC. 08/09/12 1.00 898,614 792,500NA NA 2,827,807 REGAL CINEMAS INC. 10/28/13 1.00 2,509,034 2,752,404NA NA 500,000 REVOLUTION STUDIOS DISTR CO. 06/21/15 1.00 83,846 225,000NA NA 993,365 REVOLUTION STUDIOS DISTR CO. 12/21/14 2.75 811,181 869,194NA NA 1,250,000 REXNORD CORPORATION 06/30/13 1.00 1,231,659 1,062,500NA NA 474,186 RJO HOLDINGS CORP. 07/12/14 1.00 445,454 362,752NA NA 219,462 ROCK TENN CO. 03/08/13 1.00 218,914 217,268NA NA 329,686 ROCK TENN CO. 03/07/14 1.00 326,512 319,795NA NA 2,626,960 ROYALTY PHARMA FINANCE 04/16/13 1.00 2,568,018 2,515,447NA NA 494,678 SALLY HOLDINGS LLC 11/16/13 1.00 428,742 465,245NA NA 2,000,000 SCORPION HOLDING LTD 05/08/14 1.00 1,667,073 1,640,000NA NA 438,523 SEMINOLE TRIBE OF FLORIDA 03/05/14 1.00 436,856 411,116NA NA 591,674 SEQUA TL B 11/21/14 1.00 573,952 460,519NA NA 460,870 SERENA SOFTWARE INC. 03/11/13 1.00 454,868 405,373NA NA 337,403 SMURFIT STONE CONTAINER CORP. 11/01/11 1.00 334,144 306,112NA NA 972,113 SMURFIT STONE CONTAINER CORP. 01/28/10 1.00 831,635 774,760NA NA 1,246,411 SORENSON COMMUNICATIONS 08/16/13 1.00 1,195,058 1,142,024NA NA 776,757 SPIRIT AEROSYSTEMS INC. 09/30/13 10.00 771,476 734,035NA NA 2,225,318 SUNGARD 02/28/14 1.00 2,153,448 2,084,869NA NA 184,552 SUPERVALU, INC. 06/02/12 1.00 161,062 174,556NA NA 945,033 SUPERVALU, INC. 06/02/11 1.00 865,729 900,144NA NA 2,487,245 TALECRIS BIOTHERAPEUTICS 1ST 12/06/13 1.00 2,334,156 2,271,688NA NA 964,932 TARGA RESOURCES INC. 10/28/12 1.00 918,098 921,510NA NA 994,951 TELESAT CANADA 10/31/14 1.00 843,719 929,454NA NA 1,202,846 TEMBEC 02/28/12 1.00 1,062,158 799,893NA NA 994,937 TEXAS COMP ELEC HOLD CO. 10/10/14 1.00 950,350 713,807NA NA 1,598,307 TEXAS COMPETITIVE ENERGY (TXU) 10/10/14 1.00 1,577,490 1,139,257NA NA 520,838 TEXTRON FASTENING SYSTEMS 08/11/13 1.00 481,821 221,356NA NA 445,590 THE NASDAQ OMX GROUP INC. 02/26/13 1.00 445,457 414,399NA NA 500,000 TICKETMASTER 07/31/14 1.00 493,553 475,000NA NA 372,906 TPF GENERATION 12/15/13 1.00 366,079 353,329NA NA 500,000 TPF GENERATION HOLDINGS 12/08/13 1.00 460,144 412,500NA NA 41,060 TPF GENERATION HOLDINGS LLC 12/15/11 1.00 40,439 38,904NA NA 130,980 TPF GENERATION HOLDINGS LLC 12/15/13 1.00 128,582 124,104NA NA 500,000 TRIBUNE COMPANY 05/17/14 1.00 461,094 171,408NA NA 583,183 TZ MERGER SUB INC. 08/04/15 1.00 574,179 561,313NA NA 1,000,000 UNITED COMPONENTS INC. 06/30/12 1.00 953,568 855,000NA NA 500,000 UNIVERSAL CITY DEVELOPMENT 06/09/11 1.00 498,587 487,500ILLINOIS STATE BOARD OF INVESTMENT37

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Maturity Interest FairRating Rating Value Date Rate Cost ValueBANK LOANS (continued) % $ $NA NA 2,000,000 UNIVISION COMMUNICATIONS 09/29/14 1.00 1,918,663 1,495,399NA NA 500,000 UPC BROADBAND HOLDING 09/02/13 0.00 457,432 473,750NA NA 750,000 UPC BROADBAND TERM N1 12/31/14 1.00 727,620 704,120NA NA 1,115,901 URS CORP TLB 05/01/13 1.00 1,106,378 1,103,713NA NA 148,458 URS CORPORATION 11/15/12 1.00 142,609 143,752NA NA 232,074 WARNER CHILCOTT 01/18/11 1.00 223,850 223,139NA NA 661,728 WARNER CHILCOTT 01/18/12 4.73 638,279 636,251NA NA 2,000,000 WIMAR OPCO LLC 01/03/12 1.00 2,000,000 583,000NA NA 1,169,317 WRIGLEY JR. COMPANY 10/06/14 0.00 1,158,510 1,172,357NA NA 1,481,013 WRIGLEY JR. COMPANY 09/30/14 1.00 1,469,344 1,489,343NA NA 126,795 X RITE 10/24/12 1.00 126,361 99,971TOTAL BANK LOANS 214,278,421 197,259,098Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS $ $ %Consumer DiscretionaryNA NR 1,500 99 CENTS ONLY STORES 12,797 20,370 0.00NA A 1,900 AARON S INC. 55,217 56,658 0.20NA B+ 11,630 ABERCROMBIE & FITCH CO. 516,714 295,286 0.00NA NR 14,100 ACCO BRANDS CORP. 25,611 39,762 0.00NA NR 3,800 ADVANCE AUTO PARTS 154,946 157,662 0.60NA NR 13,200 AEROPOSTALE 348,422 452,364 0.00NA NR 5,900 AFC ENTERPRISES INC. 35,704 39,825 0.00NA B- 71,572 AMAZON COM INC. 4,797,812 5,987,714 0.00NA C 11,200 AMERICAN AXLE & MFG HLDGS INC. 17,278 38,528 0.00NA B+ 6,800 AMERICAN EAGLE OUTFITTERS INC. 135,035 96,356 2.80NA B- 10,223 AMERICAN GREETINGS CORP. 54,573 119,405 4.10NA NR 2,400 AMERICAN RAILCAR INDS INC. 19,913 19,824 1.50NA B 1,100 AMERICAS CAR MART INC. 10,991 22,550 0.00NA B- 31,500 AMERISTAR CASINOS INC. 603,920 599,445 2.20NA A- 4,763 ANDERSONS INC. 80,255 142,604 1.20NA B- 15,200 ANNTAYLOR STORES CORP. 123,751 121,296 0.00NA C 17,300 ARVINMERITOR INC. 34,928 75,947 0.00NA NR 8,300 ASBURY AUTOMOTIVE GROUP INC. 33,662 84,992 0.00NA NR 3,700 ASCENT MEDIA CORP. 101,164 98,346 0.00NA B- 75,100 ATC TECHNOLOGY CORP. 1,489,422 1,088,950 0.00NA B+ 98,000 AUTOLIV 2,453,158 2,819,460 0.00NA B- 13,311 AUTONATION INC. DEL 144,307 230,946 0.00NA B+ 5,095 AUTOZONE INC. 501,354 769,905 0.00NA C 11,000 AVIS BUDGET GROUP INC. 60,957 62,150 0.00NA B 103,000 BARNES & NOBLE INC. 1,478,744 2,124,890 4.90NA NR 41,225 BEACON ROOFING SUPPLY INC. 523,511 596,114 0.00NA B 10,200 BEAZER HOMES USA INC. 11,596 18,666 0.00NA B 125,000 BEBE STORES INC. 817,033 860,000 2.90NA B+ 300,118 BED BATH & BEYOND INC. 7,498,861 9,228,629 0.00NA C 23,200 BELO CORP. 42,146 41,528 16.80NA B- 1,700 BENIHANA INC. 10,407 10,744 0.00NA B+ 38,470 BEST BUY CO INC. 1,245,860 1,288,360 1.70NA B- 72,962 BIG LOTS INC. 1,229,995 1,534,391 0.00NA B 24,500 BJS RESTAURANTS INC. 362,789 413,315 0.00NA B 4,100 BJS WHSL CLUB INC. 129,163 132,143 0.00NA B+ 57,730 BLACK & DECKER CORPORATION 4,696,259 1,654,542 1.70NA NR 3,000 BLUELINX HLDGS INC. 9,455 9,000 0.00NA NR 700 BMP SUNSTONE CORP. 3,347 3,318 0.00NA B+ 7,997 BOB EVANS FARMS INC. 137,149 229,834 2.20NA B 1,600 BOOKS A MILLION INC. 11,266 11,376 2.80NA C 12,700 BORDERS GROUP INC. 30,594 46,736 0.00NA B+ 5,100 BORG WARNER INC. 182,398 174,165 0.00NA B 4,397 BOYD GAMING CORP. 21,721 37,375 0.00NA B+ 75,200 BRINKER INTL INC. 1,859,794 1,280,656 2.60NA B- 25,789 BROCADE COMMUNICATIONS SYS INC. 119,222 201,670 0.00NA B 10,800 BROWN SHOE INC. NEW 59,675 78,192 3.90NA B- 22,900 BRUNSWICK CORP. 72,145 98,928 1.20NA B+ 8,270 BUCKLE INC. 293,862 262,738 2.50NA NR 4,300 BUILD A BEAR WORKSHOP INC. 18,570 19,221 0.00NA NR 4,200 BURGER KING HLDGS INC. 81,326 72,534 1.50NA NR 10,400 CABELAS INC. 65,245 127,920 0.00NA B- 19,100 CABLEVISION SYS CORP. 299,427 370,731 2.10NA B- 139,010 CACHE INC. 2,198,032 539,359 0.00NA B 151,549 CALLAWAY GOLF CO. 1,958,933 768,353 0.80NA B 198,170 CARMAX INC. 2,181,949 2,913,099 0.00NA C 500 CARMIKE CINEMAS INC. 4,266 4,190 0.00ILLINOIS STATE BOARD OF INVESTMENT38

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Consumer Discretionary (continued)NA NR 3,200 CARTER INC. 52,960 78,752 0.00NA NR 1,700 CAVCO INDS INC. DE 43,712 43,061 0.00NA B- 356,667 CBS CORP. NE 7,810,605 2,468,136 2.90NA NR 19,019 CENTEX CORP 219,509 160,901 0.00NA B- 2,800 CENTRAL EUROPEAN MEDIA ENTERPR 53,876 55,132 0.00NA B 58,340 CHARLOTTE RUSSE HLDG INC. 1,431,417 751,419 0.00NA B- 27,900 CHARMING SHOPPES INC. 34,016 103,788 0.00NA B 7,400 CHICOS FAS INC. 67,351 72,002 0.00NA NR 9,700 CHINA BAK BATTERY INC. 31,055 28,615 0.00NA NR 187,860 CHIPOTLE MEXICAN GRILL INC 12,800,682 13,124,022 0.00NA B+ 2,000 CHOICE HOTELS INC 55,942 53,220 2.80NA B 8,200 CHRISTOPHER & BANKS CORP 47,713 55,022 3.60NA A- 2,500 CHURCHILL DOWNS INC. 93,164 84,150 1.50NA NR 59,000 CINEMARK HLDGS INC. 566,515 667,880 6.40NA NR 3,300 CLEAR CHANNEL OUTDOOR HLDGS 13,915 17,490 0.00NA NR 37,152 COACH INC. 895,950 998,646 1.10NA B- 2,800 COLDWATER CREEK INC. 14,956 16,968 0.00NA B- 1,900 COLE KENNETH PRODTNS INC. 12,828 13,357 0.00NA B- 9,352 COLLECTIVE BRANDS INC. 111,345 136,259 0.00NA B+ 3,000 COLUMBIA SPORTSWEAR CO. 93,936 92,760 2.10NA B 439,040 COMCAST CORP NEW 6,917,201 6,361,690 1.90NA NR 2,625 CONNS INC. 31,699 32,813 0.00NA B+ 2,700 COPART INC. 81,777 93,609 0.00NA NR 1,900 CORE MARK HLDG CO INC. 36,601 49,514 0.00NA A- 49,484 COSTCO WHSL CORP NEW 2,550,969 2,261,419 1.60NA A- 2,600 COURIER CORP. 41,814 39,676 5.50NA B+ 1,600 CRACKER BARREL OLD CTRY STORE 28,930 44,640 2.90NA NR 13,900 CROCS INC. 43,852 47,260 0.00NA C 1,839 CROWN MEDIA HLDGS INC. 3,281 3,071 0.00NA B 2,000 CSS INDS INC. 30,160 40,760 2.90NA C 38 CUMULUS MEDIA INC. 0 35 0.00NA A- 42,557 D R HORTON INC. 597,439 398,334 1.60NA NR 26,000 DANA HLDG CORP. 21,677 33,280 0.00NA A 15,620 DARDEN RESTAURANTS INC. 413,301 515,148 3.00NA NR 698,870 DICKS SPORTING GOODS INC. 8,827,770 12,020,564 0.00NA B- 13,300 DILLARDS INC. 58,606 122,360 1.70NA B- 64,749 DIRECTV GROUP INC. 1,362,358 1,599,948 0.00NA NR 12,072 DISCOVERY COMMUNICATIONS INC. 246,835 247,838 0.00NA B- 16,400 DISH NETWORK CORP. 259,309 265,844 0.00NA A 379,638 DISNEY (WALT) CO. 8,919,061 8,856,955 1.50NA NR 208,120 DOLBY LABORATORIES INC. 7,790,144 7,758,714 0.00NA B+ 3,600 DOLLAR TREE INC. 152,589 151,560 0.00NA NR 8,600 DOMINOS PIZZA INC. 62,304 64,414 0.00NA B 2,500 DORMAN PRODUCTS INC. 26,299 34,575 0.00NA NR 5,900 DREAMWORKS ANIMATION SKG 160,725 162,781 0.00NA B 34,200 DRESS BARN INC. 452,676 489,060 0.00NA NR 2,900 DSW INC. 29,370 28,565 0.00NA B 2,000 DXP ENTERPRISES INC. 26,623 22,940 0.00NA B- 210,739 EASTMAN KODAK CO. 5,103,330 623,787 0.00NA B- 100 EINSTEIN NOAH REST GROUP INC. 555 865 0.00NA B 2,336 ELLIS (PERRY) INTL INC. 11,228 17,006 0.00NA B+ 6,400 ETHAN ALLEN INTERIORS INC. 80,617 66,304 1.90NA NR 13,000 EXIDE TECHNOLOGIES FORMERLY 41,100 48,490 0.00NA NR 23,119 EXPEDIA INC. DEL 427,516 349,328 0.00NA A+ 15,724 FAMILY DLR STORES INC. 442,180 444,989 1.90NA B- 12,638 FEDERAL SIGNAL CORP. 89,405 96,681 3.10NA B- 4,900 FINISH LINE INC. 24,010 36,358 1.60NA NR 1,500 FISHER COMMUNICATIONS INC. 25,546 19,185 0.00NA B- 5,600 FLOWERS COM INC. 11,264 10,752 0.00NA B 9,700 FOOT LOCKER INC. 99,099 101,559 5.70NA C 490,448 FORD MTR CO. DEL 1,879,523 2,977,019 0.00NA B 23,115 FORTUNE BRANDS INC. 886,938 803,015 2.20NA B+ 68,970 FOSSIL INC. 1,300,583 1,660,798 0.00NA B+ 93,272 FREDS INC. 1,151,897 1,175,227 1.00NA B+ 500 FRISCHS RESTAURANTS INC. 14,861 14,770 1.60NA C 10,700 FURNITURE BRANDS INTL INC. 21,784 32,421 0.00NA B- 2,200 G III APPAREL GROUP LTD 25,765 25,278 0.00NA C 4,100 GAIAM INC. 24,196 22,427 0.00NA NR 19,613 GAMESTOP CORP. NEW 702,546 431,682 0.00NA B+ 109,187 GANNETT INC. 4,914,284 389,798 4.50NA A- 187,699 GAP INC. 2,613,016 3,078,264 2.10NA NR 5,400 GARMIN LTD 289,616 128,628 3.20NA C 9,000 GAYLORD ENTERTAINMENT CO. NEW 102,130 114,390 0.00NA B 5,047 GENESCO INC. 69,251 94,732 0.00NA B+ 786,839 GENTEX CORP. 7,568,531 9,127,332 3.80ILLINOIS STATE BOARD OF INVESTMENT39

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Consumer Discretionary (continued)NA A 29,111 GENUINE PARTS CO. 951,144 976,965 4.80NA NR 229 GEOEYE INC. 4,205 5,395 0.00NA NR 3,600 GLOBAL SOURCES LTD 27,437 25,956 0.00NA B- 27,086 GOODYEAR TIRE AND RUBBER 349,549 304,988 0.00NA NR 6,400 GREAT WOLF RESORTS INC. 15,888 13,056 0.00NA B 21,593 GROUP 1 AUTOMOTIVE INC. 560,150 561,850 0.00NA B 2,300 GUESS INC. 105,669 59,294 1.60NA B 44,500 GYMBOREE CORP. 1,512,837 1,578,860 0.00NA NR 54,976 HANESBRANDS INC. 740,723 825,190 0.00NA A 241,662 HARLEY DAVIDSON INC. 9,490,211 3,917,341 2.50NA B+ 7,663 HARMAN INT'L INDS INC. NEW 392,020 144,064 0.00NA B+ 9,800 HARTE HANKS INC. 76,720 90,650 3.20NA A- 83,119 HASBRO INC. 2,228,405 2,014,805 3.30NA B- 4,600 HAVERTY FURNITURE COS INC. 40,574 42,090 0.00NA B+ 7,762 HELEN OF TROY LTD 84,451 130,324 0.00NA NR 15,170 HERTZ GLOBAL HLDGS INC. 72,654 121,208 0.00NA A- 3,200 HNI CORP. 45,264 57,792 4.80NA A 332,846 HOME DEPOT INC. 7,929,690 7,865,151 3.80NA NR 2,800 HOOKER FURNITURE CORP. 27,726 32,144 3.50NA B 4,499 HOT TOPIC INC. 39,001 32,888 0.00NA B- 6,000 HOVNANIAN ENTERPRISES INC. 10,717 14,160 0.00NA C 6,900 IAC INTERACTIVE CORP. 106,930 110,745 0.00NA B 10,400 INSIGHT ENTERPRISES INC. 61,568 100,464 0.00NA B 2,300 INTERACTIVE DATA CORP. 50,948 53,222 3.50NA NR 162,779 INTERLINE BRANDS INC. 3,528,483 2,226,817 0.00NA B+ 37,288 INTERNATIONAL GAME TECHNOLOGY 798,979 592,871 1.50NA A- 2,500 INTERNATIONAL SPEEDWAY CORP. 63,585 64,025 0.60NA B- 73,119 INTERPUBLIC GROUP COS INC. 445,339 369,251 0.00NA NR 600 INTERVAL LEISURE GROUP INC. 5,695 5,592 0.00NA B- 5,800 INVENTIV HEALTH INC. 78,889 78,474 0.00NA B 89,018 J C PENNEY INC. 3,772,301 2,555,707 2.80NA B+ 48,850 JACK IN THE BOX INC. 918,616 1,096,683 0.00NA B 7,300 JAKKS PAC INC. 135,112 93,659 0.00NA B- 4,300 JO ANN STORES INC. 55,427 88,881 0.00NA A+ 79,038 JOHNSON CONTROLS INC. 1,337,875 1,716,705 2.40NA B- 139,400 JONES APPAREL GROUP INC. 4,228,615 1,495,762 1.90NA NR 10,600 JOURNAL COMMUNICATIONS INC. 20,871 11,130 0.00NA B+ 2,900 K SWISS INC. 31,194 24,650 0.00NA B+ 11,401 KB HOME 175,951 155,966 1.80NA B- 8,300 KIMBALL INTL INC. 65,499 51,792 3.20NA NR 5,000 KNOLOGY INC. 25,103 43,150 0.00NA B+ 90,695 KOHLS CORP. 4,173,726 3,877,211 0.00NA C 13,300 LA Z BOY INC. 15,827 62,776 0.00NA C 3,100 LAKES ENTERTAINMENT INC. 11,103 9,021 0.00NA B- 4,600 LAMAR ADVERTISING CO. 70,387 70,242 0.00NA B 1,900 LANDRYS RESTAURANTS INC. 12,868 16,340 0.00NA NR 15,000 LAS VEGAS SANDS CORP. 177,510 117,900 0.00NA B- 1,000 LAWSON PRODS INC. 23,682 14,210 0.80NA NR 6,900 LEAPFROG ENTERPRISES INC. 16,087 15,801 0.00NA B 20,353 LEGGETT & PLATT INC. 333,591 309,976 6.60NA B 21,220 LENNAR CORP. 377,405 205,622 1.70NA NR 97,300 LIBERTY MEDIA CORP NEW 1,328,174 1,462,650 0.00NA NR 9,600 LIFE TIME FITNESS INC. 192,014 192,096 0.00NA B+ 34,746 LIMITED BRANDS INC. 522,538 415,910 5.00NA NR 6,900 LIN TV CORP. 8,514 11,592 0.00NA B- 4,300 LITHIA MTRS INC. 39,738 39,732 0.00NA NR 21,674 LIVE NATION INC. 128,334 105,336 0.00NA B+ 7,500 LIZ CLAIBORNE INC. 22,136 21,600 0.00NA NR 5,600 LKQ CORP. 99,399 92,120 0.00NA C 1,600 LODGENET INTERACTIVE CORP. 5,778 5,440 0.00NA A 209,696 LOWES COS INC. 4,240,480 4,070,199 1.90NA B- 5,200 LUBYS CAFETERIAS INC. 25,723 21,112 0.00NA B 2,820 M & F WORLDWIDE CORP. 27,749 56,400 0.00NA B+ 2,500 M.D.C. HOLDINGS INC. 78,205 75,275 3.30NA B 4,200 M/I HOMES INC. 41,188 41,118 0.00NA B- 64,531 MACYS INC. 781,620 758,885 1.70NA B 4,700 MARCUS CORP. 54,291 49,444 3.20NA B 2,500 MARINE PRODS CORP. 10,332 9,375 0.00NA A 40,804 MARRIOTT INT'L INC. NEW 881,673 900,554 1.60NA C 700 MARTHA STEWART LIVING INC. 2,241 2,142 0.00NA B- 2,000 MARVEL ENTMT INC. 69,343 71,180 0.00NA B 43,608 MATTEL INC. 690,285 699,908 4.70NA A+ 17,468 MATTHEWS INTL CORP. 664,454 543,604 0.80NA NR 3,400 MCCORMICK & SCHMICKS SEAFOOD 26,083 25,874 0.00NA A- 151,515 MCDONALDS CORP. 7,198,418 8,710,597 3.50ILLINOIS STATE BOARD OF INVESTMENT40

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) % $ $ %Consumer Discretionary (continued)NA NR 36,411 MCGRAW HILL COS INC. 1,174,304 1,096,335 3.00NA NR 6,543 MEDIACOM COMMUNICATIONS CORP. 37,556 33,435 0.00NA B+ 12,850 MENS WEARHOUSE INC. 163,567 246,463 1.50NA A- 5,402 MEREDITH CORP. 122,736 138,021 3.50NA B- 7,700 MERITAGE HOME CORP. 90,535 145,222 0.00NA B 12,100 MGM MIRAGE INC. 211,385 77,319 0.00NA B+ 8,479 MODINE MFG CO. 28,240 40,699 0.00NA B 4,500 MOHAWK INDS INC. 156,996 160,560 0.00NA B 500 MONARCH CASINO & RESORT INC. 5,184 3,650 0.00NA B+ 4,200 MOVADO GROUP INC. 32,904 44,268 0.00NA B- 5,000 MULTIMEDIA GAMES INC. 24,708 24,800 0.00NA NR 10,300 NATIONAL CINEMEDIA INC. 149,159 141,728 4.70NA NR 16,040 NETFLIX COM INC. 495,262 663,094 0.00NA NR 6,500 NEW YORK & CO INC. 13,754 20,085 0.00NA B- 16,456 NEW YORK TIMES CO. D965 302,435 90,673 0.00NA B- 40,703 NEWELL RUBBERMAID INC. 582,191 423,718 1.90NA A- 356,887 NEWS CORP. 3,589,220 3,251,241 1.30NA A+ 114,543 NIKE INC. 5,676,307 5,931,037 1.90NA A- 18,805 NORDSTROM INC. 430,032 374,031 3.20NA B 431 NVR INC. 202,384 216,530 0.00NA C 4,500 O CHARLEYS INC. 17,024 41,625 0.00NA B+ 330,740 O REILLY AUTOMOTIVE INC. 9,624,556 12,594,579 0.00NA B- 40,218 OFFICE DEPOT INC. 198,550 183,394 0.00NA C 5,400 OFFICEMAX INC. DEL 35,432 33,912 0.00NA A+ 35,809 OMNICOM GROUP 1,219,945 1,130,848 1.90NA NR 19,900 ORIENT EXPRESS HOTELS LTD 173,359 168,951 0.00NA NR 3,300 OUTDOOR CHANNEL HLDGS INC. 22,081 19,470 0.00NA B 1,000 OXFORD INDS INC. 6,686 11,650 3.10NA B+ 8,979 P F CHANGS CHINA BISTRO INC. 256,511 287,867 0.00NA B- 17,000 PACIFIC SUNWEAR OF CALIF 18,218 57,290 0.00NA B+ 8,800 PANERA BREAD CO. 405,745 438,768 0.00NA B 1,100 PAPA JOHNS INTL INC. 18,876 27,269 0.00NA B- 2,400 PC CONNECTION INC. 12,480 12,600 0.00NA B- 1,900 PC MALL INC. 12,866 12,844 0.00NA B 5,500 PENN NATL GAMING INC. 160,938 160,105 0.00NA B+ 2,500 PENSKE AUTOMOTIVE GROUP INC. 23,927 41,600 0.00NA C 12,600 PEP BOYS MANNY MOE & JACK 50,423 127,764 1.20NA B 5,000 PETSMART INC. 131,957 107,300 1.90NA B+ 2,800 PHILLIPS VAN HEUSEN CORP. 106,693 80,332 0.50NA C 23,500 PIER 1 IMPORTS INC. 18,214 46,765 0.00NA NR 7,233 PINNACLE ENTMT INC. 55,776 67,195 0.00NA NR 6,532 POLO RALPH LAUREN CORP. 399,219 349,723 0.40NA B+ 5,825 POOL CORP. 94,149 96,462 3.10NA B- 1,676 PRICELINE COM INC. 202,095 186,958 0.00NA A- 31,402 PULTE HOMES INC. 361,959 277,280 0.00NA B- 33,300 QUIKSILVER INC. 66,094 61,605 0.00NA B 18,941 RADIOSHACK CORP. 260,773 264,416 1.80NA B- 4,500 RC2 CORP. 27,935 59,535 0.00NA C 3,600 READING INTL INC. 17,285 16,380 0.00NA C 3,400 RED LION HOTELS CORP. 16,359 16,320 0.00NA NR 3,100 RED ROBIN GOURMET BURGERS INC. 52,309 58,125 0.00NA NR 4,700 REGAL ENTERTAINMENT GROUP 56,379 62,463 5.40NA A 11,400 REGIS CORP. MINNESOTA 116,549 198,474 0.90NA B 16,700 RENT A CENTER INC. NEW 251,604 297,761 0.00NA C 6,400 RETAIL VENTURES INC. 16,296 13,952 0.00NA B 1,900 REX STORES CORP. 13,559 19,114 0.00NA A+ 5,100 ROSS STORES INC. 155,479 196,860 1.10NA A- 8,900 ROYAL CARIBBEAN CRUISES LTD 94,547 120,506 2.20NA B+ 13,645 RUBY TUESDAY INC. 21,872 90,876 0.00NA B 6,400 RUSH ENTERPRISES INC. 58,066 74,560 0.00NA NR 800 RUTHS HOSPITALITY GROUP INC. 3,001 2,936 0.00NA B 11,200 RYLAND GROUP INC. 186,672 187,712 0.70NA C 30,800 SAKS INC. 132,794 136,444 0.00NA B 2,500 SAUER DANFOSS INC. 16,528 15,325 0.00NA B 5,897 SCHOLASTIC CORP. 68,705 116,702 1.50NA B 3,220 SCHOOL SPECIALTY INC. 52,776 65,076 0.00NA B- 2,500 SCIENTIFIC GAMES CORP. 95,546 39,425 0.00NA B 7,400 SCRIPPS E W CO. OH 18,511 15,466 0.00NA NR 11,461 SCRIPPS NETWORKS INTERACTIVE I 356,471 318,960 1.10NA NR 9,800 SEALY CORP. 10,842 19,208 0.00NA NR 8,232 SEARS HLDGS CORP. 588,405 547,593 0.00NA A 14,302 SHERWIN WILLIAMS CO. 708,294 768,733 2.60NA B 2,300 SHOE CARNIVAL INC. 20,070 27,439 0.00NA NR 7,975 SIGNET JEWELERS LTD 108,685 166,040 0.90NA C 11,100 SINCLAIR BROADCAST GROUP INC. 24,591 21,534 0.00ILLINOIS STATE BOARD OF INVESTMENT41

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Consumer Discretionary (continued)NA B 76,000 SKECHERS U S A INC. 1,389,611 742,520 0.00NA B- 1,800 SKYLINE CORP. 36,691 39,150 3.30NA B+ 24,940 SNAP ON INC. 1,071,408 716,776 4.20NA B 4,600 SONIC AUTOMOTIVE INC. 10,442 46,736 0.00NA B+ 1,300 SONIC CORP. 13,207 13,039 0.00NA B 8,400 SPARTAN MOTORS INC. 42,521 95,172 0.90NA B+ 3,400 SPEEDWAY MOTORSPORTS INC. 51,918 46,784 2.60NA B 1,700 SPORT SUPPLY GROUP INC. DEL 13,654 14,603 1.20NA NR 9,900 STAGE STORES INC. 62,766 109,890 1.80NA C 1,800 STANDARD MOTOR PRODUCTS INC. 14,619 14,886 0.00NA NR 26,200 STANDARD PACIFIC CORP. NEW 41,366 53,186 0.00NA B 2,700 STANLEY FURNITURE CO INC. 29,731 29,133 0.00NA B+ 12,228 STANLEY WORKS 396,173 413,796 3.80NA B+ 199,367 STAPLES INC. 4,403,701 4,021,232 1.60NA B+ 84,878 STARBUCKS CORP. 1,612,486 1,178,955 0.00NA NR 27,450 STARWOOD HOTELS & RESORTS INC. 640,997 609,390 4.10NA B- 1,700 STEINWAY MUSICAL INSTRUMENTS INC. 21,369 18,190 0.00NA C 3,868 STONERIDGE INC. 11,179 18,566 0.00NA B- 53,042 SUPERIOR INDS INT'L INC. 989,690 747,892 4.50NA NR 1,700 SUSSER HLDGS CORP. 22,014 19,023 0.00NA B- 1,700 SYMS CORP. 11,589 12,767 0.00NA B- 1,800 SYSTEMAX INC. 19,129 21,438 0.00NA C 2,300 TALBOTS INC. 4,477 12,420 0.00NA A+ 86,195 TARGET CORP. 3,559,943 3,402,117 1.70NA C 12,300 TENNECO INC. 29,533 130,380 0.00NA B- 6,300 THE STEAK AND SHAKE COMPANY 37,931 55,062 0.00NA B+ 2,100 THOR INDS INC. 47,827 38,577 1.50NA A- 14,410 TIFFANY & CO. NEW 437,737 365,438 2.70NA B 4,077 TIMBERLAND CO. 47,699 54,102 0.00NA NR 71,537 TIME WARNER CABLE INC. 2,782,139 2,265,577 0.00NA B- 252,699 TIME WARNER INC. 7,257,098 6,365,488 3.00NA A+ 138,990 TJX COS INC. NEW 3,620,972 4,372,625 1.50NA B 11,100 TOLL BROS. INC. 207,943 188,367 0.00NA A 1,400 TORO CO. 72,615 41,860 2.00NA B+ 104,183 TRACTOR SUPPLY CO. 3,863,851 4,304,842 0.00NA NR 3,400 TRW AUTOMOTIVE HLDGS CORP. 17,251 38,420 0.00NA B 7,700 TUESDAY MORNING CORP. 9,385 25,949 0.00NA B+ 45,436 TUPPERWARE BRANDS CORP. 1,358,930 1,182,245 3.40NA B 5,700 TWEEN BRANDS INC. 23,165 38,076 0.00NA C 11,600 UNIFI INC. 21,143 16,472 0.00NA A- 3,000 UNIFIRST CORP. 81,439 111,510 0.40NA C 15,600 UNITED RENTALS INC. 103,139 101,244 0.00NA B 98,484 UNIVERSAL ELECTRS INC. 2,478,925 1,986,422 0.00NA NR 300 UNIVERSAL TRAVEL GROUP 3,450 3,357 0.00NA B+ 5,100 URBAN OUTFITTERS INC. 112,669 106,437 0.00NA NR 2,200 US AUTO PARTS NETWORK INC. 8,759 8,294 0.00NA A 12,937 V F CORP. 677,902 716,063 4.30NA B 21,200 VAIL RESORTS INC. 554,266 568,584 0.00NA NR 89,753 VIACOM INC. NEW 2,492,102 2,037,393 0.00NA NR 100,648 VOLCOM INC. 2,233,397 1,258,100 0.00NA NR 25,622 WABCO HLDGS INC. 493,862 453,509 0.00NA B+ 1,900 WABTEC 62,513 61,123 0.10NA A+ 329,261 WAL MART STORES INC. 16,794,855 15,949,403 2.30NA B- 41,788 WARNACO GROUP INC. 1,093,354 1,353,931 0.00NA NR 3,400 WARNER MUSIC GROUP CORP. 9,395 19,890 0.00NA B+ 931 WASHINGTON POST CO. 446,268 327,880 2.40NA B- 23,700 WENDYS/ARBYS GROUP INC. 86,067 94,800 1.50NA B+ 23,363 WESCO INTL INC. 874,187 585,010 0.00NA C 3,700 WEST MARINE INC. 23,131 20,387 0.00NA B+ 68,197 WHIRLPOOL CORP. 4,427,615 2,902,464 4.00NA A 1,700 WILEY JOHN & SONS INC. 62,704 56,525 1.70NA B+ 6,000 WILLIAMS SONOMA INC. 78,299 71,220 4.00NA B 6,500 WINNEBAGO IND INC. 48,240 48,295 0.00NA B- 365,987 WMS INDUSTRIES INC. 7,454,534 11,532,250 0.00NA A 58,035 WOLVERINE WORLD WIDE INC. 1,338,759 1,280,252 2.00NA B 1,300 WORLD WRESTLING ENTERTAINMENT INC. 16,746 16,328 11.50NA NR 55,919 WYNDHAM WORLDWIDE CORP. 1,733,413 677,738 1.30NA NR 10,300 WYNN RESORTS LTD 354,608 363,590 0.00NA A- 184,227 YUM BRANDS INC. 5,424,253 6,142,128 2.30NA B- 6,100 ZALE CORP. NEW 8,577 20,984 0.00Total Consumer Discretionary 308,591,993 288,525,305ILLINOIS STATE BOARD OF INVESTMENT42

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Consumer StaplesNA A- 3,900 ALBERTO CULVER CO. NEW 94,707 99,177 0.00NA B- 7,400 ALLIANCE ONE INTL INC. 22,508 28,121 0.00NA NR 182,790 ALLION HEALTHCARE INC. 727,339 1,087,601 0.00NA A 304,655 ALTRIA GROUP INC. 4,882,109 4,993,295 7.80NA NR 1,600 AMERICAN ITALIAN PASTA CO. 47,314 46,624 0.00NA A+ 203,250 ARCHER DANIELS MIDLAND CO. 4,727,554 5,441,003 2.10NA A 49,006 AVON PRODUCTS INC. 1,381,531 1,263,375 3.30NA NR 3,300 B & G FOODS INC. 15,652 27,753 8.10NA B- 1,169 BLYTH INC. 18,891 38,332 0.60NA A 11,391 BROWN FORMAN CORP. 509,735 489,585 2.70NA NR 10,000 BUNGE LIMITED 503,150 602,500 1.40NA B+ 57,670 CAMPBELL SOUP CO. 1,857,821 1,696,651 3.40NA A- 5,200 CASEY'S GEN STORES INC. 114,088 133,588 1.30NA B- 16,100 CENTRAL GARDEN & PET CO. 103,137 158,585 0.00NA B 300 CHATTEM INC. 19,833 20,430 0.00NA C 11,600 CHIQUITA BRANDS INT'L INC. 162,404 119,016 0.00NA A+ 2,800 CHURCH AND DWIGHT INC. 118,488 152,068 0.70NA A 29,585 CLOROX CO. 1,664,701 1,651,731 3.60NA A 331,123 COCA COLA CO. 16,897,362 15,890,593 3.40NA B- 38,467 COCA COLA ENTERPRISES INC. 599,202 640,476 1.70NA A+ 57,556 COLGATE PALMOLIVE CO. 3,489,658 4,071,511 2.50NA A- 153,965 CONAGRA INC. 3,163,259 2,934,573 0.00NA B- 30,008 CONSTELLATION BRANDS INC. 501,398 380,501 0.00NA A- 99,340 CORN PRODUCTS INT'L INC. 2,957,253 2,661,319 0.00NA A+ 257,193 CVS CAREMARK CORP. 6,958,069 8,196,741 1.00NA B 20,357 DEAN FOODS CO. NEW 475,557 390,651 0.00NA B 352,532 DEL MONTE FOODS CO. 4,016,654 3,306,750 2.10NA NR 1,000 DIAMOND FOODS INC. 27,762 27,900 0.70NA NR 39,577 DR PEPPER SNAPPLE GROUP INC. 728,224 838,637 0.00NA B- 6,200 ELIZABETH ARDEN INC. 37,980 54,126 0.00NA B- 1,000 FARMER BROS CO. 20,150 22,880 2.00NA B 33,586 FLOWERS FOODS INC. 746,364 733,518 3.20NA A- 77,000 GENERAL MILLS INC. 4,285,048 4,313,540 3.10NA C 8,700 GREAT ATLANTIC & PACIFIC TEA 56,734 36,975 0.00NA B+ 50,970 GREEN MTN COFFEE ROASTERS 819,273 3,013,346 0.00NA B- 900 GRIFFIN LD AND NURSERIES INC. 29,413 28,152 1.30NA B 7,800 HAIN CELESTIAL GROUP INC. 122,332 121,758 0.00NA B 265,540 HANSEN NAT CORP. 9,522,760 8,183,943 0.00NA B+ 38,406 HEINZ H J CO. 1,441,545 1,371,094 4.70NA NR 19,250 HERBALIFE LTD 617,556 607,145 2.50NA B+ 20,913 HERSHEY CO / THE 786,553 752,868 3.30NA A+ 10,600 HORMEL FOODS CORP. 330,093 366,124 2.20NA NR 3,200 IMPERIAL SUGAR CO. NEW 34,365 38,752 0.70NA B+ 3,300 INGLES MKTS INC. 49,056 50,292 4.30NA A- 2,929 INTER PARFUMS INC. 18,074 21,499 1.80NA B+ 15,000 J & J SNACK FOODS CORP. 406,743 538,500 1.10NA A 52,921 KELLOGG CO. 2,426,409 2,464,531 2.90NA A 49,447 KIMBERLY CLARK CORP. 2,740,612 2,592,506 4.60NA NR 228,920 KRAFT FOODS INC. 5,759,212 5,800,833 4.60NA B 203,913 KROGER CO. 5,038,837 4,496,282 1.60NA B 28,663 LANCE INC. 567,831 662,975 2.80NA A- 12,775 LAUDER ESTEE COS INC. 466,727 417,359 1.70NA NR 20,316 LORILLARD INC. 1,325,814 1,376,815 5.40NA B 4,000 MANNATECH INC. 12,264 13,200 2.40NA A+ 14,863 MCCORMICK & CO INC. 467,247 483,493 3.00NA A- 25,074 MOLSON COORS BREWING CO. 990,470 1,061,382 2.30NA B 3,325 NASH FINCH CO. 138,411 89,975 2.70NA B+ 1,400 NATIONAL BEVERAGE CORP. 12,852 14,910 0.00NA B 52,300 NBTY INC. 1,809,203 1,470,676 0.00NA B+ 1,300 OIL DRI CORP. AMER 20,126 19,305 4.00NA B- 4,838 OMEGA PROTEIN CORP. 22,874 19,642 0.00NA B 5,160 PANTRY INC. 99,226 85,656 0.00NA A 188,388 PEPSI BOTTLING GROUP INC. 5,813,002 6,375,050 2.10NA B+ 4,600 PEPSIAMERICAS INC. 79,656 123,326 2.10NA A+ 220,727 PEPSICO INC. 11,791,229 12,131,156 3.30NA NR 25,200 PETMED EXPRESS COM INC. 398,796 378,756 0.00NA NR 727,868 PHILIP MORRIS INT'L ORD SHR 33,701,015 31,749,602 5.00NA NR 8,746 PRESTIGE BRANDS HLDGS INC. 52,050 53,788 0.00NA A+ 467,049 PROCTER AND GAMBLE CO. 26,000,157 23,866,204 3.40NA B 4,600 RALCORP HLDGS INC. NEW 276,007 280,232 0.00NA C 2,600 REVLON INC. 13,134 14,144 0.00NA B+ 26,395 REYNOLDS AMERICAN INC. 1,001,397 1,019,375 8.80NA C 47,600 RITE AID CORP. 15,303 71,876 0.00NA A- 41,450 RUDDICK CORP. 901,510 971,174 2.10NA B 217,649 SAFEWAY INC. 5,287,694 4,433,510 2.00ILLINOIS STATE BOARD OF INVESTMENT43

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Consumer Staples (continued)NA NR 18,300 SALLY BEAUTY HLDGS INC. 113,811 116,388 0.00NA B 102,655 SARA LEE CORP. 1,226,852 1,001,913 4.50NA B- 2,500 SCHIFF NUTRITION INT'L INC. 11,397 12,725 0.00NA B- 3,634 SCHWEITZER MAUDUIT INT'L INC. 79,456 98,881 2.20NA B+ 87 SEABORD CORP. DEL 96,343 97,614 0.30NA B- 1,700 SENECA FOODS CORP. NEW 54,352 56,814 0.00NA B+ 12,300 SENSIENT TECHNOLOGIES CORP. 279,008 277,611 3.40NA NR 3,600 SMART BALANCE INC. 28,153 24,516 0.00NA B- 9,400 SMITHFIELD FOODS INC. 110,992 131,318 0.00NA A+ 18,337 SMUCKER J M CO. 761,936 892,278 2.90NA NR 82,140 SPARTAN STORES INC. 1,656,550 1,019,357 1.60NA B 16,842 STEINER LEISURE LTD 510,060 514,186 0.00NA B+ 277,191 SUPERVALU INC. 6,016,955 3,589,623 5.30NA A+ 74,267 SYSCO CORP. 2,062,870 1,669,522 4.30NA B- 5,300 TERRA INDS INC. 192,644 128,366 1.70NA NR 79,763 TREEHOUSE FOODS INC. 1,935,456 2,294,782 0.00NA B- 46,181 TYSON FOODS INC. (DEL) 513,214 582,342 1.30NA NR 41,600 ULTA SALON COSMETICS & FRAGRANCE 365,249 462,592 0.00NA A- 52,084 UNIVERSAL CORP. VA 3,024,391 1,724,501 5.60NA A+ 112,973 WALGREEN CO. 3,630,450 3,321,406 1.50NA B+ 1,300 WD 40 CO. 34,391 37,700 3.50NA B 2,100 WEIS MARKETS INC. 68,499 70,392 3.50NA B 15,200 WHOLE FOODS MARKET INC. 666,982 288,496 0.00NA NR 14,200 WINN DIXIE STORES INC. 192,776 178,068 0.00NA C 2,300 ZAPATA CORP. 17,391 15,663 0.00Total Consumer Staples 206,988,642 198,788,386EnergyNA NR 15,300 ALLIS CHALMERS ENERGY INC. 52,741 35,343 0.00NA NR 1,900 ALON USA ENERGY INC. 21,302 19,664 1.60NA B+ 79,665 ANADARKO PETE CORP. 2,961,625 3,615,994 0.80NA A 120,654 APACHE CORP. 9,287,077 8,705,186 0.80NA NR 2,000 APPROACH RES INC. 13,903 13,800 0.00NA NR 4,600 ATLAS AMER INC. 81,429 82,202 0.00NA B- 5,800 ATP OIL & GAS CORPORATION 40,029 40,368 0.00NA B 30,764 ATWOOD OCEANICS INC. 1,100,580 766,331 0.00NA B+ 54,388 BAKER HUGHES INC. 2,002,721 1,981,899 1.70NA NR 10,000 BARRETT BILL CORP. 253,619 274,600 0.00NA NR 5,800 BASIC ENERGY SVCS INC. NEW 40,087 39,614 0.00NA A- 11,100 BERRY PETE CO. 157,419 206,349 1.60NA B+ 61,879 BJ SVCS CO. 847,438 843,411 1.50NA B 1,500 BOLT TECHNOLOGY CORP. 18,077 16,860 0.00NA B- 20,300 BOOTS & COOTS INC. 30,886 28,217 0.00NA NR 4,000 BPZ ENERGY INC. 21,086 19,560 0.00NA C 9,700 BRIGHAM EXPL CO. 27,715 33,853 0.00NA NR 6,100 BRONCO DRILLING CO INC. 35,561 26,108 0.00NA B+ 54,986 CABOT OIL & GAS CORP. 1,517,053 1,684,771 0.40NA NR 77,212 CAL DIVE INTERNATIONAL INC. 656,232 666,340 0.00NA B+ 37,514 CAMERON INT'L CORP. 1,123,108 1,061,646 0.00NA A 400 CARBO CERAMICS INC. 13,201 13,680 2.00NA C 9,900 CHENIERE ENERGY INC. 31,386 29,106 0.00NA B 95,427 CHESAPEAKE ENERGY CORP. 2,068,268 1,892,317 1.50NA A- 558,907 CHEVRON CORP. 33,353,298 37,027,589 3.90NA NR 60,320 CIMAREX ENERGY CO. 1,834,638 1,709,469 0.90NA NR 1,000 CNX GAS CORP. 31,125 26,270 0.00NA NR 15,100 COMPLETE PRODTN SVCS INC. 103,986 96,036 0.00NA B 3,700 COMSTOCK RES INC. 119,997 122,285 0.00NA NR 6,200 CONCHO RES INC. 173,299 177,878 0.00NA B 483,197 CONOCOPHILLIPS. 22,792,103 20,323,266 4.50NA NR 22,999 CONSOL ENERGY INC. 921,185 781,046 1.20NA NR 158,020 CONTINENTAL RES INC. OK 3,690,604 4,385,055 0.00NA B+ 300 CREDO PETE CORP. 3,414 3,204 0.00NA NR 10,500 CROSSTEX ENERGY INC. 44,116 43,680 0.00NA NR 5,500 CVR ENERGY INC. 39,168 40,315 0.00NA B 2,100 DAWSON GEOPHYSICAL CO. 52,062 62,685 0.00NA NR 3,296 DELEK US HLDGS INC. 20,930 27,950 1.80NA C 21,600 DELTA PETE CORP. 47,120 41,688 0.00NA B 240,700 DENBURY RES INC. 3,858,603 3,545,511 0.00NA B+ 109,365 DEVON ENERGY CORPORATION NEW 7,248,785 5,960,393 1.20NA B 10,551 DIAMOND OFFSHORE DRILLING INC. 846,263 876,261 0.60NA NR 6,900 DRESSER RAND GROUP INC. 260,898 180,090 0.00NA B 12,800 DRIL QUIP INC. 447,710 487,680 0.00NA B- 393,927 EL PASO CORP. 5,060,606 3,635,946 2.20NA NR 4,300 ENCORE AQUISITION CO. 120,315 132,655 0.00NA NR 1,600 ENDEAVOUR INTL CORP. 2,946 2,176 0.00ILLINOIS STATE BOARD OF INVESTMENT44

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value Yield$ COMMON STOCK AND EQUITY FUNDS (continued) $ $ %Energy (continued)NA B+ 29,152 ENSCO INT'L INC. 1,191,444 1,016,530 0.30NA A- 73,261 EOG RESOURCES INC. 5,753,163 4,975,887 0.90NA NR 6,200 EXCO RES INC. 63,559 80,104 0.00NA C 19,802 EXTERRAN HLDGS INC. 342,451 317,624 0.00NA A+ 963,062 EXXON MOBIL CORP. 62,603,977 67,327,664 2.40NA NR 19,000 FMC TECHNOLOGIES INC. 672,976 714,020 0.00NA C 7,300 FOREST OIL CORP. 108,300 108,916 0.00NA B 60,771 FRONTIER OIL CORP. 863,097 796,708 1.80NA B 4,200 FRONTLINE LTD 105,090 102,312 4.10NA NR 1,900 GEORESOURCES INC. 19,345 19,380 0.00NA B- 25,900 GLOBAL INDUSTRIES INC. 147,669 146,594 0.00NA C 3,100 GMX RES INC. 65,661 32,984 0.00NA B- 6,400 GOODRICH PETE CORP. 153,546 157,376 0.00NA NR 52,900 GRAN TIERRA ENERGY INC. 185,229 182,505 0.00NA NR 2,400 GREEN PLAINS RENEWABLE ENERGY 16,948 15,720 0.00NA B 3,000 GULF IS FABRICATION INC. 45,635 47,490 0.30NA B 2,800 GULFMARK OFFSHORE INC. 75,297 77,280 0.00NA NR 300 GULFPORT ENERGY CORP. 1,223 2,055 0.00NA B 151,805 HALLIBURTON CO. 2,887,231 3,142,364 1.70NA C 8,500 HARVEST NAT RES INC. 34,735 37,485 0.00NA B- 23,300 HELIX ENERGY SOLUTIONS GROUP 223,292 253,271 0.00NA B 15,200 HELMERICH AND PAYNE INC. 419,957 469,224 0.70NA NR 20,400 HERCULES OFFSHORE INC. 79,387 80,988 0.00NA B+ 46,124 HESS CORP. 2,261,688 2,479,165 0.70NA B+ 223,703 HOLLY CORP. 9,013,044 4,022,180 3.30NA B- 7,100 ICO INC. NEW 21,023 19,312 0.00NA C 21,500 ION GEOPHYSICAL CORP. 57,867 55,255 0.00NA B- 32,100 KEY ENERGY SVCS INC. 185,586 184,896 0.00NA NR 4,400 KNIGHTSBRIDGE TANKERS LTD 61,827 60,016 0.00NA A- 19,603 LUFKIN INDS INC. 1,004,890 824,306 2.40NA B+ 240,830 MARATHON OIL CORP. 7,342,793 7,256,208 3.20NA NR 3,900 MARINER ENERGY INC. 96,137 45,825 0.00NA B- 178,998 MASSEY ENERGY CORP. 3,177,299 3,497,621 1.20NA B 65,882 MATRIX SVC CO. 1,178,884 756,325 0.00NA A- 50,919 MURPHY OIL CORP. 2,545,578 2,765,920 1.80NA B 57,765 NABORS INDUSTRIES LTD 850,954 899,979 0.00NA NR 4,200 NATCO GROUP INC. 143,058 138,264 0.00NA B+ 71,778 NATIONAL OILWELL VARCO INC. 2,277,196 2,344,269 0.00NA NR 2,800 NATURAL GAS SVCS GROUP INC. 37,916 37,240 0.00NA B 131,993 NEWFIELD EXPL CO. 4,417,448 4,312,211 0.00NA B- 23,000 NEWPARK RES INC. 94,831 65,550 0.00NA B+ 28,428 NOBLE ENERGY INC. 1,588,948 1,676,399 1.20NA NR 11,000 NORDIC AMERICAN TANKER SHIPPING 330,335 350,020 15.60NA A- 175,958 OCCIDENTAL PETE CORP. 8,093,103 11,579,796 2.00NA B+ 28,732 OCEANEERING INTL INC. 854,102 1,298,686 0.00NA B+ 108,313 OIL STATES INT'L INC. 3,285,395 2,622,258 0.00NA C 10,800 PARALLEL PETE CORP. DEL 22,480 20,952 0.00NA B- 30,100 PARKER DRILLING CO. 84,372 130,634 0.00NA B 102,410 PATTERSON UTI ENERGY INC. 1,403,904 1,316,993 1.60NA NR 39,305 PEABODY ENERGY CORP. 1,646,987 1,185,439 0.80NA B+ 11,800 PENN VA CORP. 197,314 193,166 1.40NA B 3,900 PETROLEUM DEV CORP. 62,679 61,191 0.00NA B- 8,700 PIONEER DRILLING CO. 41,064 41,673 0.00NA B 19,648 PIONEER NAT RES CO. 447,712 501,024 0.30NA NR 7,100 PLAINS EXPL & PRODUCTION CO. 278,792 194,256 0.00NA B- 3,100 POWERSECURE INTL INC. 12,560 13,206 0.00NA B- 20,600 PRIDE INTERNATIONAL INC. 540,688 516,236 0.00NA B 4,700 QUICKSILVER RES INC. 97,947 43,663 0.00NA B+ 102,448 RANGE RES CORP. 4,330,057 4,242,372 0.40NA B- 3,200 RESOURCE AMER INC. 14,104 17,216 2.20NA NR 1,700 REX ENERGY CORP. 9,336 9,690 0.00NA NR 129,686 ROSETTA RES INC. 2,175,017 1,134,753 0.00NA B 31,493 ROWAN COMPANIES INC. 649,702 608,445 0.00NA NR 10,100 SANDRIDGE ENERGY INC. 85,360 86,052 0.00NA B 3,800 SEACOR HLDGS INC. 266,943 285,912 0.00NA B+ 40,683 SMITH INT'L INC. 1,468,535 1,047,587 1.90NA B 227,365 SOUTHWESTERN ENERGY CO. 6,254,827 8,833,130 0.00NA B+ 4,400 ST MARY LD & EXPL CO. 115,697 91,828 0.50NA B- 9,000 STONE ENERGY CORP. 77,638 66,780 0.00NA A- 99,226 SUNOCO INC. 2,703,915 2,302,043 5.20NA B 137,953 SUPERIOR ENERGY SVCS INC. 3,411,677 2,382,448 0.00NA NR 3,595 SUPERIOR WELL SVCS INC. 27,569 21,390 0.00NA C 40,150 SWIFT ENERGY CO. 597,914 668,498 0.00ILLINOIS STATE BOARD OF INVESTMENT45

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Energy (continued)NA B- 3,300 T 3 ENERGY SVCS INC. 43,268 39,303 0.00NA B 21,268 TESORO CORP. 489,479 270,742 3.10NA B- 9,000 TETRA TECHNOLOGIES INC. DEL 70,574 71,640 0.00NA B+ 112,344 TIDEWATER INC. 5,546,868 4,816,187 2.30NA NR 300 TOREADOR RES CORP. 906 2,010 0.00NA NR 2,500 UNION DRILLING INC. 12,580 16,550 0.00NA B 42,380 UNIT CORP. 1,808,134 1,168,417 0.00NA NR 600 URANIUM ENERGY COORP. 2,023 1,740 0.00NA B- 14,177 VAALCO ENERGY INC. 95,121 59,969 0.00NA B+ 314,798 VALERO ENERGY CORP. 7,381,507 5,316,938 3.60NA NA 7,700 VANTAGE DRILLING COMPANY 14,719 13,475 0.00NA NR 3,100 VENOCO INC. 26,076 23,777 0.00NA NR 400 W&T OFFSHORE INC. 3,869 3,896 1.20NA NR 6,900 WARREN RES INC. 18,088 16,905 0.00NA NR 8,100 WESTERN REFINING INC. 90,971 57,186 0.00NA NR 4,200 WHITING PETE CORP. NEW 144,990 147,672 0.00NA B- 1,500 WILLIAMS CLAYTON ENERGY INC. 27,947 28,305 0.00NA B 95,477 WILLIAMS COS INC. 1,411,524 1,490,396 2.80NA B+ 218,584 XTO ENERGY INC. 8,860,845 8,336,794 1.30Total Energy 281,529,107 277,081,008FinancialsNA A- 3,884 1ST SOURCE CORP. 65,532 67,077 3.20NA NR 5,600 ABINGTON BANCORP INC. PENN 42,194 44,576 2.50NA NR 7,900 ACADIA REALTY TR 99,967 103,095 5.50NA B 318,536 AFFILIATED MANAGERS GROUP INC. 19,538,896 18,535,610 0.00NA A 129,159 AFLAC INC. 5,854,457 4,015,553 3.60NA NR 1,848 AGREE REALTY CORP. 24,486 33,874 1.90NA NR 205 ALEXANDERS INC. 42,439 55,268 0.00NA NR 19,060 ALEXANDRIA REAL ESTATE EQUITY 1,081,378 682,157 3.90NA B 7,840 ALLEGHANY CORP. DEL 2,797,193 2,124,640 0.00NA B+ 1,100 ALLIANCE FIN'L CORP. 31,902 31,196 3.70NA B 46,400 ALLIED CAP CORP. NEW 154,118 161,472 0.00NA B 221,963 ALLSTATE CORP. 8,401,998 5,415,897 3.30NA NR 11,900 AMB PPTY CORP. 215,944 223,835 6.00NA B+ 74,700 AMBAC FIN'L GROUP INC. 79,059 68,724 0.00NA NR 13,184 AMERICAN CAMPUS COMMUNITYS INC. 288,756 292,421 6.10NA B- 56,000 AMERICAN CAP LTD 177,604 179,760 0.00NA NR 2,600 AMERICAN CAPITAL AGENCY CORP. 52,973 59,722 26.10NA NR 13,800 AMERICAN EQUITY INVT LIFE 89,181 77,004 1.30NA A- 162,724 AMERICAN EXPRESS CO. 4,239,018 3,781,706 3.10NA B 234,857 AMERICAN FIN'L GROUP INC. OHIO 5,137,435 5,068,214 2.40NA B 609,662 AMERICAN INT'L GROUP INC. 20,691,028 707,208 0.00NA A- 1,600 AMERICAN NAT'L BANKSHARES INC. 34,274 30,848 4.80NA B 1,300 AMERICAN NATL INS CO. 73,597 98,254 4.10NA B- 1,900 AMERICAN PHYSICIANS CAP INC. 80,085 74,404 1.10NA B 1,700 AMERICAN PHYSICIANS SVC GROUP 38,338 38,573 0.00NA NR 600 AMERICAN REALTY INVS INC. 6,901 6,120 0.00NA B- 2,000 AMERICAN SAFETY INSURANCE HLD 27,151 27,220 0.00NA B- 6,100 AMERICREDIT CORP. 44,590 82,655 0.00NA NR 99,527 AMERIPRISE FIN'L INC. 1,967,206 2,415,520 2.80NA B+ 3,500 AMERIS BANCORP 33,194 22,120 3.20NA NR 4,900 AMERISAFE INC. 93,871 76,244 0.00NA NR 909 AMES NAT'L CORP. 17,927 22,189 1.60NA NR 5,400 AMPAL AMERN ISRAEL CORP. 12,436 13,176 0.00NA NR 5,032 AMTRUST FINANCIAL SERVICES 51,442 57,365 2.10NA NR 44,300 ANNALY CAPITAL MANAGEMENT INC. 653,829 670,702 15.90NA NR 20,400 ANTHRACITE CAP INC. 28,378 12,648 0.00NA NR 26,381 ANWORTH MTG ASSET CORP. 1 161,722 190,207 16.60NA B+ 42,842 AON CORP. 1,530,220 1,622,427 1.60NA NR 19,073 APARTMENT INVT & MGMT CO. 271,258 168,796 4.50NA NR 36,900 APOLLO INVT CORP. 288,535 221,400 17.30NA B- 4,300 ARCH CAP GROUP LTD 258,544 251,894 0.00NA NR 25,200 ARES CAP CORP. 149,074 203,112 17.40NA C 70,109 ARGO GROUP INTERNATIONAL HOLD 3,250,928 1,978,476 0.00NA A- 900 ARROW FINL CORP. 21,828 24,300 3.70NA NR 16,000 ASHFORD HOSPITALITY TR INC. 24,696 44,960 0.00NA NR 70,500 ASPEN INSURANCE HOLDINGS LTD 1,869,334 1,574,970 2.70NA NR 2,369 ASSET ACCEP CAP CORP. 10,146 18,218 0.00NA A- 40,300 ASSOCIATED BANC CORP. 668,755 503,750 1.60NA NR 3,333 ASSOCIATED ESTATES RLTY CORP. 20,984 19,865 11.40NA NR 61,846 ASSURANT INC. 1,464,108 1,489,870 2.50NA NA 13,800 ASSURED GUARANTY LTD 104,069 170,844 1.50NA B 22,200 ASTORIA FINL CORP. 191,841 190,476 6.10ILLINOIS STATE BOARD OF INVESTMENT46

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA A- 600 AUBURN NAT'L BANCORP 17,971 17,100 2.70NA NR 12,379 AVALONBAY COMMUNITYS INC. 920,693 692,481 6.40NA B- 1,600 AVATAR HLDGS INC. 45,043 29,072 0.00NA NR 29,106 AXIS CAPITAL HOLDINGS LTD 878,072 761,995 3.10NA B+ 2,100 BALDWIN & LYONS INC. 36,705 41,370 5.10NA A 1,700 BANCFIRST CORP. 60,712 58,786 2.50NA NR 2,900 BANCORP INC. DEL 19,202 17,400 0.00NA B+ 1,000 BANCORP RHODE ISLAND INC. 21,022 19,710 3.50NA A- 6,800 BANCORP SOUTH INC. 137,924 139,604 4.30NA A 3,900 BANK HAWAII CORP. 133,852 139,737 5.00NA NR 800 BANK KY FIN'L CORP. 22,593 22,400 2.00NA B+ 12,198 BANK MUTUAL CORP. 114,051 106,367 4.10NA B+ 257,451 BANK NEW YORK MELLON CORP. 7,230,115 7,545,889 1.20NA B+ 1,783,928 BANK OF AMERICA CORP. 34,566,806 23,547,850 0.30NA A 21,036 BANK OF THE OZARKS INC. 451,797 455,009 2.40NA NR 5,575 BANKFINANCIAL CORP. 52,195 49,395 3.20NA B 4,000 BANNER CORP. 19,910 15,280 1.10NA A- 800 BAR HBR BANKSHARES 25,041 24,680 3.40NA B+ 211,789 BB&T CORP. 4,882,775 4,655,122 2.70NA NR 8,464 BENEFICIAL MUT BANCORP INC. 84,022 81,254 0.00NA B 9,051 BERKLEY W R CORP. 230,587 194,325 1.10NA B 15 BERKSHIRE HATHAWAY INC. DEL 1,760,972 1,350,000 0.00NA B+ 3,600 BERKSHIRE HILL BANCORP INC. 89,337 74,808 3.10NA NR 6,300 BGC PARTNERS INC. 21,014 23,877 9.50NA NR 74,550 BIOMED REALTY TR INC. 1,099,435 762,647 4.30NA B+ 1,360 BLACKROCK INC. CLA 213,637 238,571 1.80NA NR 3,200 BLACKROCK KELSO CAPITAL CORP. 29,765 19,936 1.30NA B 3,700 BLUEGREEN CORP. 9,058 9,324 0.00NA B+ 1,400 BOK FINL CORP. 50,670 52,738 2.60NA A- 20,148 BOSTON PPTYS INC. 1,150,545 961,060 4.20NA B 17,572 BOSTON PRIVATE FINL HLDGS INC. 85,382 78,723 0.90NA NR 10,400 BRANDYWINE REALTY TR 71,805 77,480 5.40NA NR 4,200 BRE PPTYS INC. 100,506 99,792 9.50NA NR 26,554 BRINKS HOME SEC HLDGS INC. 541,261 751,744 0.00NA NR 3,100 BROOKDALE SENIOR LIVING INC. 28,742 30,194 0.00NA NR 2,400 BROOKFIELD HOMES CORP. 7,632 9,600 0.00NA B 11,626 BROOKLINE BANCORP INC. DEL 112,984 108,354 3.70NA NR 400 BROOKLYN FED BANCORP INC. 5,148 4,500 3.60NA A 5,900 BROWN & BROWN INC. 125,665 117,587 1.50NA A- 1,500 BRYN MAWR BK CORP. 26,385 28,305 3.00NA NR 4,700 CALAMOS ASSET MANAGEMENT INC. 28,090 66,317 1.60NA A- 2,000 CAMDEN NATL CORP. 50,316 68,060 2.90NA NR 5,400 CAMDEN PPTY TR 149,962 149,040 6.50NA NR 3,000 CAPE BANCORP INC. 26,705 25,890 0.00NA A- 3,100 CAPITAL CITY BK GROUP INC. 50,747 52,235 4.50NA A- 165,994 CAPITAL ONE FIN'L CORP. 7,438,365 3,631,949 0.90NA NR 800 CAPITAL SOUTHWEST CORP. 81,045 57,880 1.10NA NR 16,900 CAPITALSOURCE INC. 37,805 82,472 0.80NA B 800 CAPITOL FED FIN'L 30,165 30,664 5.20NA NR 12,400 CAPLEASE INC. 23,166 34,224 7.30NA NR 171,517 CAPSTEAD MORTAGE CORP. 1,864,336 2,179,981 18.30NA B- 3,868 CARDINAL FINL CORP. 24,672 30,286 0.50NA NR 800 CARDTRONICS INC. 3,185 3,048 0.00NA NR 3,100 CARE INVT TR INC. 23,932 16,120 13.10NA B 7,700 CASH AMER INT'L INC. 184,518 180,103 0.60NA A 7,400 CATHAY GENERAL BANCORP 98,815 70,374 3.40NA NR 27,928 CB RICHARD ELLIS GROUP INC. 382,226 261,406 0.00NA NR 18,500 CBL & ASSOC PPTYS INC. 103,258 99,715 8.20NA B- 10,065 CEDAR SHOPPING CENTERS INC. 56,829 45,494 0.00NA B 2,800 CENTER BANCORP INC. 25,624 22,820 1.50NA NR 1,800 CENTERSTATE BKS FL INC. 23,849 13,356 0.50NA B+ 7,400 CENTRAL PACIFIC FIN'L CORP. 48,045 27,750 0.00NA B+ 900 CENTURY BANCORP INC. MASS 16,804 16,596 2.60NA B+ 5,500 CHEMICAL FIN'L CORP. 121,440 109,505 5.90NA NR 500 CHEVIOT FIN'L CORP. 4,451 4,000 5.00NA NR 1,700 CHICOPEE BANCORP INC. 23,004 22,049 0.00NA NR 335,756 CHIMERA INVT CORP. 1,055,716 1,171,788 9.20NA A- 116,481 CHUBB CORP. 5,041,383 4,645,262 3.50NA A 105,732 CINCINNATI FINL CORP. 3,788,652 2,363,110 7.00NA NR 223,920 CIT GROUP INC. NEW 7,156,571 481,428 0.00NA B+ 1,304,877 CITIGROUP INC. 26,158,097 3,875,485 0.00NA NR 2,318 CITIZENS + NORTHERN CORP. 42,047 47,681 4.70NA B- 2,100 CITIZENS INC. AMER 17,637 12,768 0.00NA B 32,800 CITIZENS REPUBLIC BANKCORP INC. 46,061 23,288 0.00NA B 3,782 CITY HLDG CO. 93,529 114,822 4.50NA A- 3,500 CITY NAT'L CORP. 119,783 128,905 1.10ILLINOIS STATE BOARD OF INVESTMENT47

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Rating Par Fair DividendMoody’s S&P Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA NR 2,100 CLIFTON SVGS BANCORP INC. 22,004 22,596 1.90NA NR 10,204 CME GROUP INC. 3,329,405 3,174,566 1.50NA B- 1,500 CNA FIN'L CORP. 19,691 23,205 0.00NA B 4,400 CNA SURETY CORP. 66,925 59,356 0.00NA A- 1,200 CNB FINL CORP. PA 18,974 17,004 4.70NA A- 4,900 COBIZ FINANCIAL INC. 24,801 31,409 0.60NA NR 7,200 COGDELL SPENCER INC. 45,762 30,888 9.30NA NR 2,400 COHEN & STEERS INC. 29,555 35,880 1.30NA A- 52,700 COLONIAL BANCGROUP INC. 61,831 32,674 0.00NA NR 12,600 COLONIAL PPTYS TR 103,641 93,240 8.10NA B+ 4,700 COLUMBIA BKY SYS INC. 43,095 48,081 0.40NA B+ 124,236 COMERICA INC. 5,851,326 2,627,591 1.00NA A 4,000 COMMERCE BANCSHARES INC. 142,252 127,320 3.00NA A- 8,500 COMMUNITY BK SYS INC. 157,277 123,760 6.00NA A- 4,000 COMMUNITY TR BANCORP INC. 120,143 107,000 4.50NA C 2,200 COMPUCREDIT CORP. 8,579 5,060 0.00NA NR 48,000 CONSECO INC. 115,272 113,760 0.00NA B 1,400 CONSOLIDATED TOMOKA LD CO. 49,530 49,112 1.10NA NR 100,174 CORPORATE OFFICE PPTYS TR 2,927,355 2,938,103 5.10NA B- 8,800 CORRECTIONS CORP. AMER NEW 146,700 149,512 0.00NA NR 10,032 COUSINS PPTYS INC. 94,022 85,272 11.80NA A 39,018 CULLEN FROST BANKERS INC. 1,908,399 1,799,510 3.70NA A 17,300 CVB FIN'L CORP. 138,224 103,281 5.70NA NR 4,500 DANVERS BANCORP 58,508 60,525 0.60NA NR 45,700 DCT INDUSTRIAL TRUST INC. 187,141 186,456 7.80NA B 50,361 DELPHI FINL GROUP INC. 1,619,377 978,514 2.10NA NR 35,700 DEVELOPERS DIVERSIFIED REALTY 172,843 174,218 16.40NA NR 129,300 DIAMONDROCK HOSPITALITY CO. 1,843,664 809,418 0.00NA NR 3,100 DIGITAL REALTY TR INC. 116,711 111,135 3.70NA B+ 6,697 DIME COMMUNITY BANCORP INC. 73,376 61,010 6.20NA NR 163,004 DISCOVER FIN'L SVCS 2,366,591 1,674,051 0.80NA B 3,000 DONEGAL GROUP INC. 44,018 45,630 3.00NA C 1,300 DORAL FINL CORP. 7,305 3,250 0.00NA NR 9,800 DOUGLAS EMMETT INC. 91,863 88,102 4.50NA NR 18,200 DUKE REALTY CORP. 159,699 159,614 7.80NA NR 3,200 DUPONT FABROS TECHNOLOGY INC. 24,301 30,144 0.00NA C 2,900 DYNEX CAP INC. 23,929 23,780 11.20NA C 200,246 E TRADE FIN'L CORP. 462,556 256,315 0.00NA A- 16,616 EAST WEST BANCORP INC. 156,594 107,838 0.60NA NR 2,000 EASTERN INS HLDGS INC. 18,963 18,820 3.00NA NR 19,702 EASTGROUP PPTYS INC. 764,814 650,560 6.30NA A- 62,894 EATON VANCE CORP. 1,804,407 1,682,415 2.30NA NR 155,420 EDUCATION REALTY TR INC. 1,827,526 666,752 9.60NA B- 1,300 EMC INS GROUP INC. 26,878 27,053 3.50NA NR 12,162 EMPLOYERS HLDGS INC. 170,300 164,795 1.80NA B 3,500 ENCORE CAP GROUP INC. 21,700 46,375 0.00NA NR 3,400 ENDURANCE SPECIALTY HOLDINGS 91,815 99,620 3.40NA NR 1,740 ENSTAR GROUP LTD D 101,319 102,399 0.00NA NR 1,300 ENTERPRISE BANCORP INC. MASS 16,811 15,340 3.20NA NR 1,500 ENTERPRISE FIN'L SVCS CORP. 16,530 13,635 2.30NA NR 52,800 ENTERTAINMENT PPTYS TR 1,972,092 1,087,680 12.60NA B+ 2,100 EQUITY LIFESTYLE PPTYS INC. 80,075 78,078 2.70NA NR 8,500 EQUITY ONE INC. 122,650 112,710 9.10NA NR 42,399 EQUITY RESIDENTIAL 1,103,290 942,530 8.70NA A- 1,500 ERIE INDTY CO. 55,025 53,640 5.00NA A- 2,400 ESB FINL CORP. 36,580 31,488 3.10NA NR 3,900 ESSA BANCORP INC. 51,867 53,313 1.20NA NR 2,300 ESSEX PROPERTY TRUST 148,801 143,129 6.60NA C 1,600 EURONET WORLDWIDE INC. 15,960 31,024 0.00NA NR 1,900 EVERCORE PARTNERS INC. 22,769 37,316 2.40NA A- 37,700 EVEREST REINSURANCE GROUP LTD 3,951,206 2,698,189 2.70NA NR 22,443 EXTRA SPACE STORAGE INC. 197,401 187,399 0.00NA B 111,450 EZCORP INC. 1,285,271 1,201,431 0.00NA B 23,300 F N B CORP PA 177,993 144,227 7.80NA A- 1,698 FARMERS CAP BK CORP. 33,217 42,739 4.00NA B+ 1,900 FBL FIN'L GROUP INC. 21,221 15,694 3.00NA NR 3,986 FBR CAP MKTS CORP. 14,692 18,734 0.00NA NR 7,200 FCSTONE GROUP INC. 33,635 28,440 0.00NA NR 4,500 FEDERAL REALTY INVT TR 233,806 231,840 5.10NA A 64,576 FEDERATED INVS INC. PA 1,737,820 1,555,636 4.00NA NR 16,800 FELCOR LODGING TR INC. 28,664 41,328 0.00NA NR 17,602 FIDELITY NATL FIN'L INC. 320,148 238,155 4.40NA NR 5,100 FIFTH STREET FINANCE CORP. 48,105 51,204 1.00NA B+ 101,488 FIFTH THIRD BANCORP 1,543,279 720,565 0.60NA B+ 28,596 FINANCIAL FED CORP. 605,084 587,648 2.90NA B- 2,800 FINANCIAL INSTNS INC. 27,510 38,248 2.90ILLINOIS STATE BOARD OF INVESTMENT48

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA NR 2,300 HOME BANCORP INC. 28,270 27,462 0.00NA NR 3,597 HOME BANCSHARES INC. 77,411 68,487 1.30NA NR 4,300 HOME FED BANCORP INC. MD 45,796 43,817 2.20NA NR 8,300 HOME PROPERTIES INC. 291,575 283,030 7.90NA B 10,133 HORACE MANN EDUCATORS CORP. NEW 94,215 101,026 2.10NA NR 7,600 HOSPITALITY PPTYS TR 102,335 90,364 0.00NA B- 93,586 HOST HOTELS & RESORTS INC. 942,718 785,187 0.00NA NR 18,200 HRPT PPTYS TR 63,296 73,892 11.80NA A 65,216 HUDSON CITY BANCORP INC. 960,124 866,721 4.50NA B 390,977 HUNTINGTON BANCSHARES INC. 5,488,491 1,634,284 1.00NA A 17,583 IBERIABANK CORP. 749,462 692,946 3.50NA B+ 1,600 INDEPENDENCE HLDG CO. NEW 10,734 10,176 0.80NA A- 42,915 INDEPENDENT BK CORP. MASS 809,272 845,426 3.70NA NR 3,600 INFINITY PPTY & CAS CORP. 142,199 131,256 1.30NA NR 6,100 INFORMATION SVCS GROUP INC. 21,603 18,361 0.00NA NR 18,216 INLAND REAL ESTATE CORP. 160,208 127,512 8.10NA NR 3,300 INTERACTIVE BROKERS GROUP INC. 50,297 51,249 0.00NA NR 10,115 INTERCONTINENTALEXCHANGE INC. 1,073,097 1,155,538 0.00NA A 13,500 INTERNATIONAL BANCSHARES CORP. 216,792 139,185 3.30NA NA 200,343 INVESCO LTD 4,507,207 3,570,112 2.30NA B 72,700 INVESTMENT TECHNOLOGY GROUP 2,625,991 1,482,353 0.00NA NR 11,200 INVESTORS BANCORP INC. 125,952 102,592 0.00NA NR 14,400 INVESTORS REAL ESTATE TR 148,861 128,016 7.70NA B- 14,200 IPC HOLDINGS LTD BERMUDA 385,623 388,228 3.20NA B- 25,800 ISTAR FIN'L INC. 75,633 73,272 0.00NA NR 7,400 JACKSON HEWITT TAX SVC INC. 103,528 46,324 0.00NA B- 95,509 JANUS CAPITAL GROUP INC. 693,522 1,088,803 0.40NA B+ 65,140 JEFFRIES GROUP INC. NEW 1,552,377 1,389,436 0.00NA NR 3,400 JMP GROUP INC. 26,423 26,146 0.50NA B 19,800 JONES LANG LASALLE INC. 656,732 648,054 0.60NA B 1,027,610 JP MORGAN CHASE & CO. 33,161,698 35,051,777 0.60NA NR 1,000 K FED BANCORP 9,692 9,180 4.80NA B- 1,100 KANSAS CITY LIFE INS CO. 40,390 29,601 4.00NA NR 2,600 KAYNE ANDERSON ENERGY DEV CO. 31,834 34,476 1.60NA NR 4,823 KBW INC. 97,975 138,709 0.00NA NR 3,801 KEARNY FIN'L CORP. 43,242 43,483 1.80NA B- 262,483 KEYCORP NEW 6,251,555 1,375,411 0.80NA NR 9,400 KILROY REALTY CORP. 190,646 193,076 6.80NA NR 53,819 KIMCO REALTY CORP. 929,570 540,881 2.40NA NR 12,000 KITE REALTY GROUP TR 47,610 35,040 8.20NA B- 100,022 KNIGHT CAP GROUP INC. 1,534,795 1,705,375 0.00NA NR 4,200 KOHLBERG CAP CORP. 15,198 26,544 15.20NA C 14,379 LABRANCHE & CO INC. 68,829 61,830 0.00NA B+ 5,300 LAKELAND BANCORP INC. 42,823 47,647 4.50NA A+ 3,199 LAKELAND FINANCIAL CORP. 62,860 60,781 3.30NA NR 13,833 LASALLE HOTEL PPTYS 145,653 170,699 0.30NA NR 3,100 LAZARD LTD 128,299 83,452 1.50NA NR 1,900 LEGACY BANCORP INC. 22,499 21,090 1.80NA A 21,674 LEGG MASON INC. 740,669 528,412 0.50NA C 25,162 LEUCADIA NATL CORP. 671,197 530,667 0.00NA NR 21,901 LEXINGTON REALTY TRUST 85,723 74,463 21.20NA NR 8,600 LIBERTY PROPERTY 176,253 198,144 8.30NA B+ 129,551 LINCOLN NATL CORP. IN 4,931,558 2,229,573 0.20NA B 123,630 LOEWS CORP. 2,496,599 3,387,462 0.90NA NR 5,356 LTC PROPERTIES 114,840 109,530 7.60NA A- 11,504 M & T BK CORP. 716,034 585,899 5.50NA NR 6,401 MACERICH CO. 112,783 112,722 13.60NA NR 6,400 MACK CA REALTY CORP. 134,484 145,920 7.90NA NA 12,907 MAIDEN HOLDINGS LTD 61,211 84,670 3.70NA NR 700 MAIN STREET CAP CORP. 9,969 9,583 0.00NA A- 5,184 MAINSOURCE FINL GROUP INC. 54,639 38,465 2.70NA B- 2,716 MARKEL CORP. 876,711 765,097 0.00NA B 78,949 MARSH & MCLENNAN COS INC. 2,109,082 1,589,243 4.00NA A- 47,730 MARSHALL & ILSLEY CORP. NEW 556,727 229,104 0.80NA NR 12,012 MAX CAPITAL GROUP LTD 215,948 221,742 2.00NA B 9,200 MB FINL INC. 164,233 93,748 0.40NA B 99,450 MBIA INC. 4,690,395 430,619 0.00NA NR 16,900 MCG CAP CORP. 15,050 41,067 0.00NA B- 14,875 MEADOWBROOK INS GROUP INC. 95,412 97,134 1.20NA B- 3,794 MEDALLION FINL CORP. 26,092 29,024 9.90NA NR 20,800 MEDICAL PPTYS TR INC. 104,977 126,256 13.20NA NR 1,500 MERCER INS GROUP INC. 26,447 23,850 1.90NA B+ 1,300 MERCHANTS BANCSHARES INC. 29,304 28,847 5.10NA B 2,200 MERCURY GEN CORP. 80,330 73,546 6.90ILLINOIS STATE BOARD OF INVESTMENT50

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA NR 2,536 MERIDIAN INTST BANCORP INC. 22,110 18,893 0.00NA B+ 164,101 METLIFE INC. 4,300,254 4,924,671 2.50NA B+ 1,000 METRO BANCORP INC. PA 20,897 19,260 0.00NA NA 17,600 MF GLOBAL LTD 106,858 104,368 0.00NA NR 56,470 MFA FINANCIAL INC. 333,235 390,772 12.70NA C 81,600 MGIC INVT CORP. WIS 3,133,785 359,040 0.00NA NR 59,667 MID AMER APT CMNTYS INC. 2,557,547 2,190,376 6.70NA A 1,200 MIDSOUTH BANCORP INC. 21,854 20,160 1.70NA NR 4,500 MISSION WEST PPTYS INC. MD 33,454 30,735 8.80NA NR 5,100 MONMOUTH REAL ESTATE INVT CORP. 31,362 29,886 10.20NA NR 22,400 MONTPELIER RE HOLDINGS LTD 328,866 297,696 2.30NA B+ 21,744 MOODYS CORP. 537,704 572,954 1.50NA B 302,254 MORGAN STANLEY 9,575,207 8,617,262 1.00NA NR 800 MORNINGSTAR INC. 52,335 32,984 0.00NA NR 4,000 MSCI INC. 117,533 97,760 0.00NA NR 5,620 MVC CAP INC. 60,735 47,545 5.70NA B+ 3,836 NARA BANCORP INC. 27,882 19,870 0.00NA B+ 900 NASB FINL INC. 20,047 25,740 3.20NA NR 18,447 NASDAQ OMX GROUP INC. 387,130 393,106 0.00NA A+ 1,800 NATIONAL BANKSHARES INC. VA 46,443 43,200 3.40NA NR 111,160 NATIONAL FINL PARTNERS CORP. 2,525,438 813,691 0.00NA NR 6,400 NATIONAL HEALTH INVS INC. 176,259 170,944 8.20NA NR 1,600 NATIONAL INTST CORP. 26,095 24,288 1.80NA A 21,796 NATIONAL PENN BANCSHARES INC. 218,870 100,480 4.30NA NR 60,800 NATIONAL RETAIL PPTYS INC. 1,127,263 1,054,880 8.70NA B 587 NATIONAL WESTN LIFE INS CO. 77,781 68,532 0.30NA NR 5,200 NATIONWIDE HEALTH PPTYS INC. 126,700 133,848 6.80NA B- 27,953 NAVIGATORS GROUP INC. 1,229,095 1,241,952 0.00NA B+ 8,896 NBT BANCORP INC. 202,148 193,132 3.70NA NR 3,514 NELNET INC. 42,836 47,755 0.00NA B 28,100 NEW YORK CMNTY BANCORP INC. 327,633 300,389 9.40NA NR 27,700 NEWALLIANCE BANCSHARES INC. 309,973 318,550 2.40NA NR 5,200 NEWSTAR FINANCIAL INC. 15,797 9,932 0.00NA NR 1,500 NORTHEAST CMNTY BANKCORP INC. 13,937 12,165 1.50NA A- 27,379 NORTHERN TRUST CORP. 1,412,744 1,469,705 2.10NA NR 5,000 NORTHFIELD BANCORP INC. NEW 50,231 58,100 1.40NA A- 1,600 NORTHRIM BANCORP INC. 22,802 22,272 2.90NA NR 15,341 NORTHSTAR RLTY FIN CORP. 53,638 43,415 14.10NA A 4,476 NORTHWEST BANCORP INC. PA 87,055 84,417 4.70NA A 500 NORWOOD FIN CORP. 15,971 15,680 3.40NA B- 1,200 NYMAGIC INC. 19,693 16,656 1.20NA NR 38,321 NYSE EURONEXT 1,550,251 1,044,247 4.40NA A- 2,300 OCEANFIRST FINL CORP. 30,291 27,531 6.70NA B- 10,000 OCWEN FINL CORP. 92,462 129,700 0.00NA NR 1,300 ODYSSEY RE HLDGS CORP. 50,390 51,974 0.80NA A- 1,100 OHIO VY BANC CORP. 35,510 32,274 2.70NA B+ 17,200 OLD NATL BANCORP IND 226,686 168,904 2.90NA A- 500 OLD POINT FINL CORP. 9,616 9,250 2.20NA B 19,586 OLD REP INT'L CORP. 211,172 192,922 6.90NA A- 2,700 OLD SECOND BANCORP INC. DEL 21,486 15,930 2.70NA NR 16,886 OMEGA HEALTHCARE INVESTORS 256,416 262,071 7.70NA NR 1,800 ONEBEACON INSURANCE GROUP LTD 15,504 21,042 7.20NA NR 33,900 OPTIONSXPRESS HLDGS INC. 505,865 526,467 2.10NA B 6,315 ORIENTAL FINL GROUP INC. 35,938 61,256 1.70NA NR 700 ORRSTOWN FINL SVCS INC. 26,895 26,068 2.40NA B+ 12,136 PACIFIC CAP BANCORP NEW 155,291 25,971 0.00NA A 3,300 PACIFIC CONTL CORP. 44,347 40,029 3.30NA B- 6,385 PACWEST BANCORP DEL 107,429 84,027 0.30NA A- 2,700 PARK NAT'L CORP. 136,481 152,496 6.70NA B- 5,600 PARKWAY PPTYS INC. 78,527 72,800 1.00NA B 4,600 PARTNERRE LTD 297,681 298,770 2.90NA B- 1,800 PEAPACK GLADSTONE FINL CORP. 36,759 34,722 1.00NA NR 5,400 PENNANTPARK INVESTMENT CORP. 17,831 38,340 13.50NA NR 500 PENNS WOODS BANCORP INC. 15,906 14,570 6.30NA NR 9,300 PENNSYLVANIA REAL ESTATE INVT 50,301 46,500 12.00NA NR 1,876 PENSON WORLDWIDE INC. 11,050 16,790 0.00NA B+ 2,751 PEOPLES BANCORP INC. 32,160 46,905 5.40NA B+ 1,000 PEOPLES FINL CORP. MISS 21,002 19,000 2.10NA B 53,400 PEOPLES UNITED FINL INC. 924,525 803,136 4.10NA NR 26,800 PHOENIX COS INC. NEW 47,455 44,756 0.00NA B- 18,406 PICO HLDGS INC. 437,079 528,252 0.00NA NR 6,230 PINNACLE FINL PARTNERS INC. 137,519 82,984 0.00NA NR 4,958 PIPER JAFFRAY COS. 150,239 216,516 0.00NA NR 13,000 PLATINUM UNDERWRITERS HOLDINGS 400,058 371,670 1.10ILLINOIS STATE BOARD OF INVESTMENT51

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA NR 23,223 PLUM CREEK TIMBER CO INC. 743,919 691,581 5.60NA C 8,332 PMA CAP CORP. 46,896 37,911 0.00NA B+ 18,900 PMI GROUP INC. 28,921 37,422 0.00NA B+ 144,679 PNC FINL SVCS GROUP INC. 17,371,893 5,614,992 1.00NA B 22,970 POPULAR INC. 59,903 50,534 0.00NA NR 700 PORTER BANCORP INC. 9,983 10,605 5.50NA NR 11,500 POST PPTYS INC. 164,912 154,560 6.00NA NR 5,550 PREMIERWEST BANCORP 23,581 18,815 1.20NA B 5,400 PRESIDENTIAL LIFE CORP. 51,502 40,878 3.30NA NR 4,800 PRIMUS GUARANTY LTD 10,807 11,328 0.00NA NR 36,129 PRINCIPAL FINANCIAL GROUP 781,552 680,670 2.40NA B+ 29,150 PRIVATEBANKCORP INC. 904,476 648,296 0.20NA B 8,400 PROASSURANCE CORP. 409,289 388,164 0.00NA B+ 102,725 PROGRESSIVE CORP. OHIO 1,382,811 1,552,175 0.00NA NR 67,278 PROLOGIS 893,453 542,261 7.40NA NR 11,158 PROSPECT CAPITAL CORP. 121,239 102,654 17.70NA A 31,500 PROSPERITY BANCSHARES INC. 804,499 939,645 1.80NA A- 6,900 PROTECTIVE LIFE CORP. 48,559 78,936 4.20NA NR 83,858 PROVIDENT FINANCIAL SERVICES 924,387 763,108 4.80NA B+ 8,968 PROVIDENT NEW YORK BANCORP 89,873 72,820 3.00NA NR 200 PRUDENTIAL BANCORP INC. PA 2,420 2,362 1.70NA NR 98,968 PRUDENTIAL FINL INC. 3,804,564 3,683,589 1.60NA B+ 2,500 PS BUSINESS PKS INC. CA 95,475 121,100 3.60NA B+ 14,611 PUBLIC STORAGE 1,034,167 956,728 3.40NA C 85,700 RADIAN GROUP INC. 3,792,860 233,104 0.40NA NR 16,800 RAIT FINANCIAL TRUST 36,242 23,016 0.00NA NR 4,028 RAMCO GERSHENSON PPTYS TR 18,730 40,320 9.30NA A- 8,000 RAYMOND JAMES FINANCIAL INC. 145,795 137,680 2.60NA NR 8,500 REALTY INCOME CORP. 185,228 186,320 7.80NA NR 17,500 REDWOOD TR INC. 244,093 258,300 6.80NA NR 6,500 REGENCY CTRS CORP. 222,559 226,915 5.30NA B 179,833 REGIONS FINL CORP. NEW 1,393,194 726,525 1.00NA A- 5,700 REINSURANCE GROUP AMER INC. 197,775 198,987 1.00NA B+ 5,100 RENAISSANCERE HOLDINGS LTD 243,397 237,354 2.00NA A 51,833 RENASANT CORP. 1,118,570 778,532 4.50NA A- 2,268 REPUBLIC BANCORP INC. KY 44,680 51,234 2.40NA B 1,800 REPUBLIC FIRST BANCORP INC. 14,277 14,040 0.00NA NR 5,400 RES0URCE CAPITAL CORP. 17,579 17,280 27.90NA C 3,300 REWARDS NETWORK INC. 13,007 12,474 0.00NA A 2,700 RLI CORP. 151,417 120,960 2.40NA NR 2,100 ROCKVILLE FINL INC. 25,656 22,995 1.80NA NR 1,300 ROMA FINL CORP. 16,115 16,562 2.50NA A 6,068 S & T BANCORP INC. 158,678 73,787 4.90NA A+ 1,800 S Y BANCORP INC. 43,022 43,506 2.80NA NR 3,000 SAFETY INS GROUP INC 108,606 91,680 5.20NA B- 4,994 SANDERS MORRIS HARIS GROUP INC. 21,225 27,467 3.30NA B+ 4,272 SANDY SPRING BANCORP INC. 63,567 62,798 3.30NA NR 700 SAUL CTRS INC. 23,908 20,699 5.30NA A- 3,300 SCBT FINL CORP. 87,909 78,177 2.90NA B+ 107,123 SCHWAB (CHARLES) CORP. 1,782,341 1,878,937 1.40NA NR 5,600 SEABRIGHT INS HLDGS INC. 57,982 56,728 0.00NA A 86,937 SEI INVESTMENTS CO. 1,572,972 1,568,343 0.90NA A- 13,700 SELECTIVE INS GROUP INC. 248,901 174,949 4.10NA NR 9,800 SENIOR HSG PPTSY TR 154,953 159,936 8.60NA NR 2,200 SHORE BANCSHARES INC. 36,556 39,468 3.60NA NR 1,900 SIERRA BANCORP 28,937 23,997 3.20NA NR 50,428 SIGNATURE BK NEW YORK NY 1,244,116 1,367,607 0.00NA A 3,700 SIMMONS 1ST NATL CORP. 93,937 98,864 2.80NA NR 35,666 SIMON PPTY GROUP INC. NEW 2,010,842 1,834,302 4.70NA A- 6,300 SL GREEN RLTY CORP. 104,124 144,522 1.70NA B- 68,834 SLM CORP. 1,066,170 706,925 0.00NA NR 3,800 SMITHTOWN BANCORP INC. 50,951 48,602 1.30NA B- 6,510 SOTHEBYS 20,316 91,856 1.40NA B 22,100 SOUTH FINL GROUP INC. 53,534 26,299 3.40NA A- 2,670 SOUTHSIDE BANCSHARES INC. 44,958 61,063 2.50NA A- 3,738 SOUTHWEST BANCORP INC. OKLA 38,892 36,483 1.00NA NR 5,918 SOVRAN SELF STORAGE INC. 158,445 145,583 1.40NA B- 36,928 ST. JOE CO. 1,175,873 978,223 0.00NA A 35,200 STANCORP FINL GROUP INC. 1,398,106 1,009,536 2.60NA B+ 3,700 STATE AUTO FINL CORP. 83,090 64,750 3.40NA B 3,780 STATE BANCORP INC. N Y 29,768 28,577 2.70NA A 66,026 STATE STREET CORPORATION 2,589,817 3,116,427 0.10NA NR 5,900 STELLARONE CORP. 83,925 76,405 1.20NA A- 4,653 STERLING BANCORP 52,737 38,853 9.10NA A- 21,389 STERLING BANCSHARES INC. 113,549 135,392 3.50ILLINOIS STATE BOARD OF INVESTMENT52

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA B 13,600 STERLING FINL CORP. WASH 32,946 39,576 0.00NA B- 30,014 STEWART INFORMATION SVCS CORP. 968,165 427,700 0.70NA B 16,133 STIFEL FINL CORP. 576,043 775,836 0.00NA NR 19,400 STRATEGIC HOTELS & RESORTS INC. 32,337 21,534 0.00NA A- 400 STUDENT LOAN CORP. 13,985 14,880 3.80NA A+ 800 SUFFOLK BANCORP 25,522 20,512 3.40NA B 3,297 SUN BANCORP INC. N J 17,050 17,078 0.00NA NR 4,258 SUN CMNTYS INC. 55,849 58,675 18.30NA NR 19,500 SUNSTONE HOTEL INVS INC. NEW 94,891 104,325 0.00NA A- 94,592 SUNTRUST BKS INC. 3,210,125 1,556,038 2.40NA B+ 22,400 SUSQUEHANNA BANCSHARES INC. PA 258,232 109,536 4.10NA B- 7,500 SVB FINL GROUP 174,210 204,150 0.00NA B 104,420 SWS GROUP INC. 1,316,715 1,458,747 2.60NA A- 21,164 SYNOVUS FINL CORP. 77,352 63,280 1.30NA A- 29,447 T. ROWE PRICE GROUP INC. 969,795 1,227,056 2.40NA NR 4,300 TANGER FACTORY OUTLET CTRS INC. 137,864 139,449 4.70NA NR 4,300 TAUBMAN CENTERS INC. 116,536 115,498 6.20NA A 93,700 TCF FINANCIAL CORP. 1,282,371 1,252,769 1.50NA B- 10,500 TD AMERITRADE HLDG CORP. 177,582 184,170 0.00NA NR 8,400 TEXAS CAP BANCSHARES INC. 99,744 129,948 0.00NA NR 6,200 TFS FINL CORP. 75,807 65,844 2.60NA NR 4,750 THOMAS WEISEL PARTNERS GROUP 16,585 28,595 0.00NA NR 6,900 TICC CAP CORP. 31,612 30,429 0.00NA A 1,232 TOMPKINS FINANCIAL CORP. 60,097 59,074 2.80NA A 13,143 TORCHMARK INC. 429,577 486,817 1.50NA NA 900 TOWER BANCORP INC. 33,436 31,635 3.20NA NR 24,442 TOWER GROUP INC. 551,256 605,673 1.10NA NR 5,440 TOWNEBANK PORTSMOUTH VA 116,767 76,160 2.30NA B 2,200 TRANSATLANTIC HLDGS INC. 81,369 95,326 1.90NA NR 249,745 TRAVELERS COS INC. 9,817,907 10,249,535 2.90NA NR 1,600 TREE COM INC. 15,442 15,360 0.00NA NR 1,900 TRIANGLE CAP CORP. 22,347 20,748 14.70NA A 3,640 TRICO BANCSHARES 68,942 56,420 3.40NA B+ 12,300 TRUSTCO BK CORP. NY 93,480 72,693 4.20NA B+ 14,900 TRUSTMARK CORP. 253,594 287,868 4.80NA NR 12,907 U STORE IT TR 47,966 63,244 2.00NA B+ 31,300 UCBH HLDGS INC. 72,455 39,438 3.20NA NR 12,200 UDR INC. 125,573 126,026 7.00NA B+ 34,230 UMB FINL CORP. 1,525,209 1,301,082 1.80NA B+ 1,700 UMH PPTYS INC. 14,708 13,549 9.00NA B+ 15,630 UMPQUA HLDGS CORP. 140,378 121,289 2.60NA A- 3,550 UNION BANKSHARES CORP. 54,235 53,144 1.60NA NR 9,500 UNITED AMER INDTY LTD 77,315 45,505 0.00NA B+ 47,181 UNITED BANKSHARES INC. W VA 1,229,878 921,917 5.90NA NR 11,060 UNITED CMNTY BKS INC. BLAIRSVIL 65,206 66,247 0.00NA NR 3,600 UNITED FINL BANCORP INC. MD 51,372 49,752 2.00NA B+ 5,800 UNITED FIRE CASUALTY CO. 129,328 99,470 3.50NA B 3,400 UNITRIN INC. 44,939 40,868 6.70NA B 7,000 UNIVERSAL AMERN FINL CORP. 70,946 61,040 0.00NA NR 1,400 UNIVERSAL HEALTH REALTY INCOME 45,007 44,128 7.60NA NR 3,400 UNIVEST CORP. PA 80,989 68,884 4.00NA B 186,350 UNUM GROUP 3,935,174 2,955,511 1.90NA NR 5,300 URSTADT BIDDLE PPTYS INC. 78,422 74,624 6.80NA B+ 369,334 US BANCORP DEL 7,221,869 6,618,465 1.10NA NR 2,600 VALIDUS HOLDINGS LTD 56,684 57,148 3.60NA A- 11,470 VALLEY NATL BANCORP 143,937 134,199 6.50NA NR 24,400 VENTAS INC. 644,744 728,584 6.90NA NR 46,841 VISA INC. 3,065,923 2,916,321 0.70NA NR 24,182 VORNADO REALTY TR 1,384,191 1,088,900 8.40NA B- 64,816 WADDELL & REED FINL INC 1,407,300 1,709,198 2.90NA A 2,500 WASHINGTON BKG CO. OAK HBR WASH 25,129 23,550 2.80NA B+ 49,431 WASHINGTON FED INC. 951,586 642,603 1.50NA NR 13,431 WASHINGTON REAL ESTATE INVT TR 314,976 300,451 7.70NA A 3,700 WASHINGTON TR BANCORP INC. 64,728 65,971 4.70NA NR 1,800 WATERSTONE FINL INC. 5,259 5,346 0.00NA B 13,700 WEBSTER FINL CORP. WATERBURY 109,895 110,285 0.50NA NR 8,500 WEINGARTEN REALTY INVS 126,446 123,335 6.90NA A- 1,071,992 WELLS FARGO & CO. 24,266,363 26,006,526 0.80NA A- 6,004 WESBANCO INC. 123,923 87,298 7.70NA B- 110 WESCO FINL CORP. 32,225 32,010 0.50NA NR 4,000 WEST BANCORPORATION INC. 37,113 20,000 0.80NA A- 34,219 WESTAMERICA BANCORPORATION 1,596,820 1,697,605 2.80NA NR 11,829 WESTERN ALLIANCE BANCORPORATION 87,401 80,910 0.00NA NR 8,100 WESTFIELD FINL INC. NEW 80,626 73,386 2.20NA B 637 WHITE MOUNTAINS INS GROUP LTD 149,584 145,816 0.40ILLINOIS STATE BOARD OF INVESTMENT53

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Financials (continued)NA A- 5,400 WHITNEY HLDG CORP. 65,661 49,464 0.40NA NR 1,500 WILBER CORP. 19,577 16,650 2.20NA A- 5,600 WILMINGTON TR CORP. 82,655 76,496 5.10NA B+ 4,600 WILSHIRE BANCORP INC. 30,728 26,450 3.50NA NR 3,000 WINTHROP REALTY TR 30,921 26,790 11.20NA B+ 6,225 WINTRUST FINL CORP. 77,412 100,098 2.20NA B+ 42,900 WORLD ACCEPTANCE CORP. 1,458,933 854,139 0.00NA B 1,600 WSFS FINL CORP. 60,896 43,696 1.80NA B- 54,791 XL CAPITAL LTD 759,121 627,905 5.10NA B 4,100 YADKIN VY FINL CORP. 39,264 28,331 3.50NA B 9,700 ZENITH NATL INS CORP. 305,022 210,878 9.20NA A- 122,432 ZIONS BANCORP 3,925,802 1,415,314 1.40Total Financials 533,596,491 405,461,851Health CareNA A- 192,533 ABBOTT LABS 9,378,351 9,056,752 3.40NA C 48,725 ABIOMED INC. 570,040 429,755 0.00NA NR 250 ABRAXIS BIOSCIENCE INC. NEW 10,804 9,215 0.00NA C 5,500 ADOLOR CORP 9,248 9,680 0.00NA B+ 104,458 AETNA INC. 2,594,504 2,616,673 0.20NA C 2,400 AFFYMETRIX INC. 9,189 14,232 0.00NA B- 31,442 ALBANY MOLECULAR RESH INC. 293,954 263,798 0.00NA C 3,300 ALEXION PHARMACEUTICALS INC. 128,606 135,696 0.00NA B 92,058 ALLERGAN INC. 4,185,252 4,380,120 0.40NA B- 9,700 ALLIED HEALTHCARE INT'L INC. 22,131 21,049 0.00NA B 400 AMEDISYS INC. 13,261 13,208 0.00NA B+ 2,100 AMERICAN DENTAL PARTNERS INC. 20,709 19,047 0.00NA B- 137,380 AMERICAN MED SYS HLDGS 1,982,014 2,170,604 0.00NA NR 93,970 AMERIGROUP CORP. 2,383,969 2,523,095 0.00NA A- 172,200 AMERISOURCEBERGEN CORP. 2,617,028 3,054,828 1.10NA B+ 344,799 AMGEN INC. 18,466,056 18,253,659 0.00NA C 2,200 AMICAS INC. 6,295 6,116 0.00NA B+ 7,948 AMSURG CORP. 163,549 170,405 0.00NA C 5,600 AMYLIN PHARMACEUTICALS INC. 237,322 75,600 0.00NA NR 110,654 ANGIODYNAMICS INC. 1,591,169 1,468,379 0.00NA C 4,900 ARQULE INC. 31,073 30,086 0.00NA B- 43,080 ARTHROCARE CORP. 883,067 465,264 0.00NA B- 4,000 ASPECT MED SYS INC. 24,566 23,640 0.00NA NR 2,580 ASSISTED LIVING CONCEPTS INC. 44,733 37,539 0.00NA NR 10,496 AUXILIUM PHARMACEUTICALS INC. 251,568 329,364 0.00NA A 13,519 BARD C R INC. 899,428 1,006,490 0.90NA A- 71,125 BAXTER INT'L INC. 3,188,489 3,766,780 2.00NA A- 3,400 BECKMAN COULTER INC. 194,100 194,276 1.20NA A 30,621 BECTON DICKINSON & CO. 1,842,688 2,183,584 1.90NA B+ 800 BIO RAD LABORATORIES INC. 60,081 60,384 0.00NA B 33,695 BIOGEN IDEC INC. 1,558,008 1,521,329 0.00NA C 4,000 BIOMARIN PHARMACEUTICAL INC. 114,468 62,440 0.00NA C 216,040 BOSTON SCIENTIFIC CORP. 2,341,155 2,190,646 0.00NA B+ 269,508 BRISTOL MYERS SQUIBB CO. 6,010,455 5,473,707 6.10NA B+ 900 CANTEL MED CORP. 13,443 14,607 0.00NA C 5,800 CAPITAL SENIORR LIVING CORP. 16,434 26,390 0.00NA NR 1,600 CARACO PHARMACEUTICAL LABS 5,426 4,912 0.00NA NR 4,600 CARDIAC SCIENCE CORP. NEW 26,726 18,492 0.00NA A 56,628 CARDINAL HEALTH INC. 2,314,237 1,729,985 2.30NA C 16,900 CELERA CORP. 147,387 128,947 0.00NA C 97,709 CELGENE CORP. 5,197,578 4,674,399 0.00NA NR 5,156 CENTENE CORP. DEL 93,014 103,017 0.00NA B- 8,500 CEPHALON INC 585,919 481,525 0.00NA C 85,526 CEPHEID 828,810 805,655 0.00NA C 3,600 CHARLES RIV LABORATORIES INT'L 130,407 121,500 0.00NA B 136,777 CIGNA CORP 4,311,610 3,294,958 0.20NA B 5,700 COMMUNITY HEALTH SYS INC. NEW 107,588 143,925 0.00NA B 7,543 CONMED CORP. 122,542 117,067 0.00NA B- 1,000 CONTINUCARE CORP. 2,492 2,330 0.00NA B 3,700 COOPER COS INC. 83,989 91,501 0.20NA B+ 51,360 CORVEL CORP. 1,421,851 1,169,467 0.00NA B+ 2,600 COVANCE INC. 154,811 127,920 0.00NA B+ 140,204 COVENTRY HEALTH CARE INC. 2,785,951 2,623,217 0.00NA NR 7,233 CROSS COUNTRY HEALTHCARE INC. 56,367 49,691 0.00NA B- 600 CRYOLIFE INC. 3,403 3,324 0.00NA NR 2,400 CUTERA INC. 21,676 20,688 0.00NA NR 2,500 CYNOSURE INC. 19,004 19,125 0.00NA B 20,949 DAVITA INC. 1,099,530 1,036,138 0.00NA C 4,600 DENDREON CORP. 110,361 114,310 0.00NA A- 18,400 DENTSPLY INT'L INC. NEW 504,275 561,568 0.70ILLINOIS STATE BOARD OF INVESTMENT54

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Health Care (continued)NA B 2,700 EDWARDS LIFESCIENCES CORP. 121,832 183,681 0.00NA B 304,308 ELI LILLY & CO. 14,508,763 10,541,229 5.70NA NR 16,900 EMERGENCY MED SVCS CORP. 525,234 622,258 0.00NA B 165,831 ENDO PHARMACEUTICALS HLDGS 3,398,090 2,971,692 0.00NA C 2,100 ENZO BIOCHEM INC. 9,402 9,303 0.00NA NR 18,400 EV3 INC. 116,246 197,248 0.00NA C 80,308 EXELIXIS INC. 710,234 391,100 0.00NA B+ 84,374 EXPRESS SCRIPTS INC. 4,529,239 5,800,713 0.00NA NR 5,200 FACET BIOTECH CORP. 49,408 48,308 0.00NA B+ 154,978 FOREST LABS INC. 5,545,212 3,891,490 0.00NA NR 22,023 GEN PROBE INC. NEW 1,010,755 946,549 0.00NA B- 73,750 GENTIVA HEALTH SVCS INC. 1,343,819 1,213,925 0.00NA B- 30,843 GENZYME CORP. 1,698,456 1,717,030 0.00NA C 11,500 GERON CORP. 84,600 88,205 0.00NA B- 175,272 GILEAD SCIENCES INC. 6,186,167 8,209,740 0.00NA B- 105,430 HANGER ORTHOPEDIC GROUP 1,381,526 1,432,794 0.00NA NR 48,328 HANSEN MED INC. 1,049,757 238,740 0.00NA C 300 HARVARD BIOSCIENCE INC. 1,113 1,185 0.00NA B+ 9,900 HEALTH MANAGEMENT ASSOC. 58,350 48,906 0.00NA B 8,400 HEALTH NET INC. 124,882 130,620 0.00NA NR 204,730 HEALTHSPRING INC. 3,579,672 2,223,368 0.00NA B+ 112,230 HEALTHWAYS INC. 2,476,028 1,509,494 0.00NA B 1,600 HI TECH PHARMACAL CO INC. 14,242 14,240 0.00NA B 5,600 HILL ROM HLDGS 92,344 90,832 2.50NA NR 4,000 HILLENBRAND INC. 71,391 66,560 4.50NA B- 4,100 HEALTH CORP. 50,979 53,710 0.00NA C 132,714 HOLOGIC INC. 2,611,999 1,888,520 0.00NA NR 2,100 HOME DIAGNOSTICS INC. DEL 12,792 12,894 0.00NA NR 19,901 HOSPIRA INC. 657,740 766,586 0.00NA B+ 24,233 HUMANA INC. 765,961 781,757 0.00NA C 3,200 I FLOW CORP. 21,957 22,208 0.00NA B+ 14,400 ICU MEDICAL INC. 490,585 592,560 0.00NA B+ 264,220 IDEXX LABS INC. 10,921,408 12,206,964 0.00NA C 269,584 ILLUMINA INC. 9,454,109 10,497,601 0.00NA B+ 26,749 IMS HEALTH INC. 405,077 339,712 0.90NA NR 2,500 INFINITY PHARMACEUTICALS INC. 15,129 14,600 0.00NA B- 64,204 INTUITIVE SURGICAL INC. 10,310,950 10,507,627 0.00NA B 4,300 INVACARE CORP. 66,908 75,895 0.30NA NR 5,700 INVERNESS MED INNOVATIONS INC. 167,084 202,806 0.00NA C 47,855 ISIS PHARMACEUTICALS 788,754 789,608 0.00NA A+ 406,239 JOHNSON & JOHNSON 24,190,374 23,074,375 3.50NA B- 4,600 K V PHARMACEUTICAL COMPANY 16,521 14,766 0.00NA B 3,000 KENDLE INT'L INC. 37,085 36,720 0.00NA NR 81,000 KINDRED HEALTHCARE INC. 1,806,613 1,001,970 0.00NA NR 47,545 KINETIC CONCEPTS INC. 1,071,436 1,295,601 0.00NA B- 261,892 KING PHARMACEUTICALS INC. 4,278,903 2,522,020 0.00NA B+ 12,733 LABORATORY CORP AMER HLDGS 719,323 863,170 0.00NA C 9,522 LEXICON PHARMACEUTICALS INC. 12,582 11,807 0.00NA B- 20,463 LIFE TECHNOLOGIES CORP. 544,083 853,716 0.00NA B 83,669 LIFEPOINT HOSPS INC. 3,022,349 2,196,311 0.00NA B+ 27,680 LINCARE HLDGS INC. 627,959 651,034 0.00NA B- 37,700 LUMINEX CORP. DEL 614,313 698,958 0.00NA NR 9,158 MAGELLAN HEALTH SERVICES INC. 341,042 300,566 0.00NA B- 7,100 MARTEK BIOSCIENCES CORP. 154,223 150,165 0.00NA B- 36,473 MAXIMUS INC. 1,340,194 1,504,511 1.20NA C 1,000 MAXYGEN INC. 8,716 6,720 0.00NA B+ 37,628 MCKESSON CORP. 1,538,070 1,655,632 1.10NA NR 2,100 MEAD JOHNSON NUTRITION CO. 63,176 66,717 3.80NA NR 3,825 MEDCATH CORP. 29,259 44,982 0.00NA NR 55,786 MEDCO HEALTH SOLUTIONS INC. 1,714,101 2,544,399 0.00NA B- 700 MEDICAL ACTION IND INC. 6,622 8,015 0.00NA C 4,000 MEDICINES CO. 32,806 33,560 0.00NA B- 71,150 MEDICIS PHARMACEUTICAL CORP. 1,038,323 1,161,168 1.00NA B+ 3,100 MEDNAX INC. 114,698 130,603 0.00NA A- 181,039 MEDTRONIC INC. 8,163,503 6,316,451 2.40NA B+ 433,007 MERCK & CO. INC. 14,227,407 12,106,876 5.40NA NR 13,270 METABOLIX INC. 123,385 109,079 0.00NA B 6,300 MILLIPORE CORP. 354,926 442,323 0.00NA B+ 500 MINE SAFETY APPLIANCES CO. 10,284 12,050 4.00NA NR 3,500 MOLINA HEALTHCARE INC. 65,895 83,720 0.00NA A- 170,113 MYLAN INC. 1,799,846 2,219,975 0.00NA C 190,030 MYRIAD GENETICS INC. 5,173,213 6,774,570 0.00NA NR 46,558 MYRIAD PHARMACEUTICALS 227,888 216,492 0.00NA C 3,600 NABI BIOPHARMACEUTICALS 14,763 8,712 0.00NA NR 1,200 NATIONAL HEALTHCARE CORP. 48,520 45,528 2.70ILLINOIS STATE BOARD OF INVESTMENT55

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Health Care (continued)NA NR 1,900 NATUS MED INC. DEL 21,720 21,926 0.00NA B+ 11,656 NEOGEN CORP. 227,404 337,791 0.00NA NR 5,400 NIGHTHAWK RADIOLOGY HLDGS INC. 26,033 19,980 0.00NA C 5,800 NOVEN PHARMACEUTICALS INC. 83,471 82,940 0.00NA B 2,600 NUTRACEUTICAL INT'L CORP. 29,592 27,014 0.00NA NR 4,300 ODYSSEY HEALTHCARE INC. 44,874 44,204 0.00NA B+ 7,600 OMNICARE INC. 211,146 195,776 0.40NA NR 1,200 OMNICELL INC. 13,322 12,900 0.00NA C 16,249 ONYX PHARMACEUTICALS INC. 572,772 459,197 0.00NA C 700 ORASURE TECHNOLOGIES INC. 1,800 1,729 0.00NA B- 2,300 OSI PHARMACEUTICALS INC. 63,391 64,929 0.00NA A 89,651 OWENS & MINOR INC. NEW 3,254,836 3,928,507 2.10NA B- 1,297 PALOMAR MED TECHNOLOGIES INC. 11,733 19,014 0.00NA B- 9,000 PAR PHARMACEUTICAL COS INC. 116,256 136,350 0.00NA B 82,550 PAREXEL INT'L CORP. 829,714 1,187,069 0.00NA B+ 11,982 PATTERSON COS INC. 377,804 260,009 0.00NA B+ 35,800 PERRIGO CO. 740,528 994,524 0.80NA B+ 1,867,746 PFIZER INC. 41,250,343 28,016,190 4.30NA B+ 4,200 PHARMACEUTICAL PRODUCT DEV INC. 145,920 97,524 2.60NA NR 4,000 POLYPORE INTERNATIONAL INC. 43,126 44,480 0.00NA C 1,600 PROGENICS PHAARMACEUTICALS INC. 8,242 8,240 0.00NA NR 4,700 PSYCHIATRIC SOLUTIONS INC. 108,859 106,878 0.00NA B+ 127,486 QUEST DIAGNOSTICS INC. 6,458,796 7,194,035 0.70NA B- 41,500 QUIDEL CORP. 437,999 604,240 0.00NA NR 600 RADNET INC. 1,393 1,350 0.00NA B- 71,620 REHABCARE GROUP INC. 997,246 1,713,867 0.00NA B 73,209 RES CARE INC. 1,280,928 1,046,889 0.00NA B+ 3,700 RESMED INC. 169,523 150,701 0.00NA C 9,000 RTI BIOLOGICS INC. 45,194 38,610 0.00NA B+ 3,600 SCHEIN HENRY INC. 171,397 172,620 0.00NA B+ 306,705 SCHERING PLOUGH CORP. 5,648,877 7,704,430 1.00NA B- 4,300 SEPRACOR INC. 184,497 74,476 0.00NA B- 20,444 SERVICE CORP INT'L 75,947 112,033 2.90NA NR 5,000 SKILLED HEALTHCARE GROUP INC. 41,346 37,500 0.00NA B- 29,646 SONOSITE INC. 913,422 594,699 0.00NA B+ 177,817 ST. JUDE MED INC. 7,264,306 7,308,279 0.00NA B- 20,800 STEWART ENTERPRISES INC. 70,461 100,256 2.10NA NR 11,300 SUN HEALTHCARE GROUP INC. 94,033 95,372 0.00NA B- 11,700 SUNRISE SENIOR LIVING INC. 26,343 19,305 0.00NA C 5,500 SUPERGEN INC. 12,163 11,055 0.00NA B 88,381 SURMODICS INC. 3,558,862 2,000,062 0.00NA NR 7,218 SYMMETRY MED INC. 51,064 67,272 0.00NA B+ 15,131 TECHNE CORP. 784,109 965,509 1.60NA C 67,880 TENET HEALTHCARE CORP. 551,404 191,422 0.00NA B- 63,763 THERMO FISHER SCIENTIFIC INC. 2,333,384 2,599,618 0.00NA NR 6,200 TOMOTHERAPY INC. 18,609 17,050 0.00NA NR 5,100 TRIPLE S MGMT CORP 75,501 79,509 0.00NA B- 1,000 UNITED THERAPEUTICS CORP. DEL 82,282 83,330 0.00NA A+ 236,272 UNITEDHEALTH GROUP INC. 5,737,090 5,902,075 0.10NA B+ 45,400 UNIVERSAL HEALTH SERVICES INC. 2,261,580 2,217,790 0.70NA B 1,600 US PHYSICAL THERAPY INC. 24,290 23,600 0.00NA C 2,700 VALEANT PHARMACEUTICALS INT'L 66,586 69,444 0.00NA B+ 15,711 VARIAN MED SYS INC. 730,606 552,085 0.00NA NR 3,400 VCA ANTECH INC. 106,657 90,780 0.00NA C 7,000 VERTEX PHARMACEUTICALS INC. 248,588 249,480 0.00NA B- 16,000 VIROPHARMA INC. 204,000 94,880 0.00NA B- 1,100 VITAL IMAGES INC. 12,830 12,485 0.00NA NR 3,000 VOLCANO CORP. 43,145 41,940 0.00NA NR 3,800 WARNER CHILCOTT LIMITED 64,350 49,970 0.00NA B+ 36,283 WATERS CORP. 1,462,999 1,867,486 0.00NA B- 16,172 WATSON PHARMACEUTICALS INC. 450,925 544,835 0.00NA NR 300 WEBMD HEALTH CORP. 9,040 8,976 0.00NA NR 11,000 WELLCARE HEALTH PLANS INC. 211,657 203,390 0.00NA NR 112,811 WELLPOINT INC. 4,510,607 5,740,952 0.00NA NR 143,500 WRIGHT MED GROUP INC. 2,967,742 2,333,310 0.00NA B 406,133 WYETH 16,832,799 18,434,377 2.60NA B+ 400 YOUNG INNOVATIONS INV 8,933 8,716 0.70NA NR 34,843 ZIMMER HOLDINGS INC. 1,611,599 1,484,312 0.00NA B 32,751 ZOLL MED CORP. 794,083 633,404 0.00Total Health Care 359,144,834 339,642,565ILLINOIS STATE BOARD OF INVESTMENT56

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %IndustrialsNA A+ 97,482 3M CO. 6,848,425 5,858,668 3.40NA B- 9,248 AAR CORP. 170,931 148,430 0.00NA A- 9,300 ABM INDS INC. 148,876 168,051 2.90NA B+ 6,400 ACETO CORP. 59,060 42,688 3.00NA B 37,800 ACTUANT CORP. 536,126 461,160 0.30NA NR 29,332 ACUITY BRANDS INC. 811,105 822,763 1.90NA B 30,206 ADMINISTAFF INC. 602,957 702,894 2.20NA NR 1,200 ADVANCE AMER CASH ADVANCE 2,141 5,316 5.60NA NR 3,800 AECOM TECHNOLOGY CORP. 123,249 121,600 0.00NA B- 7,500 AGCO CORP. 192,508 218,025 0.00NA NR 5,500 AIR TRANS SVCS GROUP INC. 13,593 12,760 0.00NA NR 12,100 AIRCASTLE LTD 53,903 88,935 5.40NA NR 2,700 AIRVANA INC. 14,725 17,199 0.00NA B+ 1,624 ALAMO GROUP INC. 21,668 16,402 2.40NA C 8,900 ALASKA AIR GROUP INC. 221,721 162,514 0.00NA B- 7,000 ALBANY INTL CORP. 70,734 79,660 4.20NA A- 60,054 ALEXANDER & BALDWIN INC. 2,432,255 1,407,666 5.40NA B+ 1,327 ALLIANT TECHSYSTEMS INC. 113,565 109,292 0.00NA NR 158,994 ALTRA HLDGS INC. 2,470,329 1,190,865 0.00NA NR 2,400 AMERCO 78,554 89,160 0.00NA NR 85,573 AMERICAN COML LINES INC. 4,578,598 1,324,670 0.00NA C 34,363 AMERICAN SUPERCONDUCTOR CORP. 537,976 902,029 0.00NA B 2,700 AMERICAN WOODMARK CORP. 60,772 64,665 1.50NA A 4,300 AMETEK INC. NEW 147,685 148,694 0.70NA B 1,100 AMPCO PITTSBURGH CORP. 25,180 25,795 3.10NA C 11,400 AMR CORP. DEL 160,427 45,828 0.00NA B 300 AMREP CORP. 8,973 3,309 0.00NA A- 140,825 APOGEE ENTERPRISES INC. 2,666,014 1,732,148 2.70NA B+ 23,418 APOLLO GROUP INC. 1,572,020 1,665,488 0.00NA A- 37,150 APPLIED INDL TECHNOLOGIES INC. 903,078 731,855 3.10NA B 55,420 APPLIED SIGNAL TECHNOLOGY INC. 1,236,451 1,413,764 2.00NA NR 500 ARGON ST INC. 9,839 10,285 0.00NA B 6,570 ARKANSAS BEST CORP. 157,541 173,120 2.30NA NR 1,200 ARMSTRONG WORLD INDS INC. NEW 21,529 19,788 0.00NA B- 59,847 ASTEC INDS INC. 1,875,918 1,776,857 0.00NA NR 4,463 ATLAS AIR WORLDWIDE HLDGS INC. 82,771 103,497 0.00NA B+ 16,737 AVERY DENNISON CORP. 572,742 429,806 6.40NA B- 12,997 AXSYS TECHNOLOGIES INC. 540,190 697,159 0.00NA A 33,400 BALDOR ELEC CO. 679,295 794,586 2.90NA B+ 62,250 BARNES GROUP INC. 1,294,375 740,153 5.40NA B 2,000 BARRET BUSINESS SERVICES INC. 22,143 21,000 3.10NA B- 72,210 BE AEROSPACE INC. 1,905,085 1,036,936 0.00NA B- 12,100 BELDEN INC. 177,978 202,070 1.20NA B+ 38,657 BLOCK (H & R) INC. 798,109 666,060 3.50NA B- 6,720 BLOUNT INT'L INC. NEW 57,456 57,859 0.00NA B+ 161,939 BOEING CO. 8,683,011 6,882,408 4.00NA B- 7,090 BOWNE & CO. INC. 19,402 46,156 0.00NA A- 39,725 BRADY CORP. 1,227,563 997,892 2.70NA B 12,945 BRIGGS & STRATTON CORP. 202,457 172,686 3.30NA B 33,695 BRINKS CO. 806,886 978,166 1.40NA B 7,343 BRISTOW GROUP INC. 194,046 217,573 0.00NA NR 54,750 BUCYRUS INTL INC. NEW 1,926,685 1,563,660 0.40NA NR 1,200 BUILDERS FIRSTSOURCE INC. 2,523 4,992 0.00NA A 80,278 BURLINGTON NORTHN SANTA FE 5,889,306 5,903,644 2.20NA B- 2,800 C D I CORP. 31,677 31,220 4.70NA A+ 91,807 C H ROBINSON WORLDWIDE INC. 4,522,854 4,787,735 1.80NA NR 2,500 CAI INT'L INC. 12,479 12,750 0.00NA B 3,200 CAREER ED CORP. 75,900 79,648 0.00NA A 26,200 CARLISLE COS INC. 1,044,953 629,848 2.60NA B+ 2,400 CASCADE CORP. 56,339 37,752 1.30NA A+ 160,272 CATERPILLAR INC. 7,984,906 5,295,387 5.10NA B- 1,000 CELADON GROUP INC. 7,451 8,390 0.00NA B 6,700 CERADYNE INC. CALIF 149,946 118,322 0.00NA NR 900 CHART INDS INC. 17,569 16,362 0.00NA B+ 1,400 CHASE CORP. 17,432 16,660 2.90NA A+ 19,224 CINTAS CORP. 545,435 439,076 2.10NA B- 4,477 CIRCOR INT'L INC. 108,658 105,702 0.60NA A 8,336 CLARCOR INC. 252,103 243,328 1.20NA NR 4,300 COLFAX CORP. 33,761 33,196 0.00NA NR 4,900 COLUMBUS MCKINNON CORP. NY 65,686 61,985 0.00NA B 10,000 COMFORT SYS USA INC. 101,000 102,500 1.80NA NR 6,200 COMPASS DIVERSIFIED HLDGS 68,330 50,158 16.80NA B- 3,100 CON WAY INC. 75,500 109,461 1.10NA B- 2,600 CONSOLIDATED GRAPHICS INC. 47,123 45,292 0.00NA B- 4,900 CONTINENTAL AIRLINES INC. 43,029 43,414 0.00ILLINOIS STATE BOARD OF INVESTMENT57

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Industrials (continued)NA B- 16,203 CONVERGYS CORP. 167,279 150,364 0.00NA B+ 24,787 COOPER INDUSTRIES LTD 692,496 769,636 3.20NA B- 2,900 CORNELL COMPANIES INC. 43,801 47,009 0.00NA B- 10,500 COVANTA HLDG CORP. 176,311 178,080 0.00NA B 400 CRA INT'L INC. 9,000 11,104 0.00NA B- 40,400 CRANE CO. 1,394,854 901,324 3.60NA B 3,679 CSG SYS INT'L INC. 51,690 48,710 0.00NA B+ 176,648 CSX CORP. 6,454,975 6,117,320 2.50NA B+ 28,905 CUMMINS INC. 1,099,806 1,017,745 2.00NA A 11,500 CURTISS WRIGHT CORP. 354,625 341,895 1.10NA A+ 87,890 DANAHER CORP. 5,863,583 5,426,329 0.20NA A- 62,349 DEERE & CO. 2,476,718 2,490,843 2.80NA NR 31,000 DELTA AIR LINES INC. DE 252,593 179,490 0.00NA B 6,100 DELUXE CORP. 72,205 78,141 7.80NA B 197,210 DEVRY INC. DEL 9,434,921 9,868,388 0.30NA NA 12,800 DHT MARITIME INC. 75,492 66,688 19.20NA B- 300 DIAMOND MGMT TECHNOLOGY 1,386 1,260 6.70NA B+ 10,580 DIONEX CORP. 506,159 645,697 0.00NA NR 900 DOLLAR FINL CORP. 12,727 12,411 0.00NA C 5,600 DOLLAR THRIFTY AUTOMOTIVE GRP 7,175 78,120 0.00NA A+ 3,100 DONALDSON CO INC. 104,041 107,384 1.30NA B- 29,699 DONNELLEY (R. R.) & SONS 436,799 345,102 9.00NA A- 23,314 DOVER CORP. 784,311 771,460 3.00NA B 1,880 DREW INDS INC. 16,526 22,880 0.00NA B 2,700 DUCOMMUN INC. DEL 51,258 50,733 1.60NA B+ 91,120 DUN & BRADSTREET CORP. DEL NEW 8,031,008 7,399,855 1.70NA B 10,169 DYCOM INDS INC. 67,827 112,571 0.00NA B 750 DYNAMEX INC. 8,366 11,543 0.00NA NR 5,500 DYNCORP INT'L INC. 86,010 92,345 0.00NA NR 12,200 EAGLE BULK SHIPPING INC. 62,848 57,218 0.00NA A- 25,749 EATON CORP. 1,129,303 1,148,663 4.50NA B- 4,600 ELECTRO RENT 51,649 43,654 6.30NA B+ 71,736 EMCOR GROUP INC. 1,806,017 1,443,328 0.00NA A 92,622 EMERSON ELECTRIC CO. 3,283,310 3,000,953 4.10NA B 4,700 ENCORE WIRE CORP. 80,476 100,345 0.40NA B+ 3,300 ENERGIZER HLDGS INC. 185,778 172,392 0.00NA C 1,800 ENERGY CONVERSION DEVICES INC. 26,625 25,470 0.00NA NR 17,800 ENERGY SOLUTIONS INC. 159,871 163,760 1.10NA NR 76,019 ENERSYS 1,158,841 1,382,786 0.00NA B 118,620 ENGLOBAL CORP. 1,093,947 583,610 0.00NA B+ 6,734 ENNIS INC. 79,035 83,906 5.00NA NR 5,165 ENPRO INDS INC. 95,621 93,022 0.00NA B+ 15,457 EQUIFAX INC. 426,239 403,428 0.60NA B 99,032 ESTERLINE TECHNOLOGIES CORP. 3,783,785 2,680,796 0.00NA C 22,800 EVERGREEN SOLAR INC. 53,614 49,476 0.00NA A+ 238,761 EXPEDITORS INTL WA INC. 8,964,970 7,960,292 1.10NA A 1,700 FACTSET RESH SYS INC. 83,646 84,779 1.60NA A 340,244 FASTENAL CO. 12,293,534 11,285,893 2.10NA B+ 48,422 FEDEX CORP. 2,757,103 2,693,232 0.80NA NR 2,800 FIRST ADVANTAGE CORP. 39,151 42,588 0.00NA NR 2,066 FIRST SOLAR INC. 283,603 334,940 0.00NA C 260,515 FLANDERS CORP. 2,061,957 1,591,747 0.00NA B- 1,300 FLOW IN'TL CORP. 3,239 3,055 0.00NA B 6,626 FLOWSERVE CORP. 429,082 462,561 1.60NA B+ 20,988 FLUOR CORP. NEW 906,556 1,076,475 1.00NA B+ 3,900 FORWARD AIR CORP. 83,037 83,148 1.30NA B- 2,646 FOSTER( LB) CO. 68,725 79,565 0.00NA B- 500 FRANKLIN COVEY CO. 3,506 3,115 0.00NA A- 6,000 FRANKLIN ELECTRIC INC. 159,284 155,520 1.90NA NR 3,100 FREIGHTCAR AMER INC. 57,388 52,111 1.40NA B+ 2,050 FTI CONSULTING INC. 141,546 103,976 0.00NA C 3,000 FUELCELL ENERGY INC. 12,455 12,540 0.00NA B- 3,100 FURMANITE CORP. 13,396 13,826 0.00NA A- 4,800 G & K SERVICES 88,814 101,520 1.30NA B+ 4,200 GARDNER DENVER INC. 96,769 105,714 0.00NA B+ 15,762 GATX CORPORATION 539,874 405,399 4.40NA NR 58,750 GENCO SHIPPING & TRADING LTD 1,789,404 1,276,050 0.00NA A+ 102,496 GENERAL DYNAMICS CORP. 6,362,431 5,677,253 2.70NA A 1,822,912 GENERAL ELECTRIC CO. 31,841,544 21,364,529 3.40NA NA 12,700 GENERAL MARITIME CORP. NEW 123,844 125,603 2.20NA B- 4,200 GENERALE CABLE CORP. 155,994 157,836 0.00NA NA 2,500 GENPACT LTD 37,758 29,375 0.00NA B 2,600 GEO GROUP INC. 48,260 48,308 0.00NA NR 54,798 GLOBAL CASH ACCESS HLDGS INC. 380,102 436,192 0.00NA NR 3,200 GLOBAL PMTS INC. 142,770 119,872 0.20ILLINOIS STATE BOARD OF INVESTMENT58

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Industrials (continued)NA NR 3,000 GOLAR LNG LIMITED 21,925 25,650 8.80NA B+ 81,644 GOODRICH CORP. 2,612,611 4,079,751 2.00NA A- 1,400 GORMAN RUPP CO. 32,412 28,238 2.00NA B- 1,500 GP STRATEGIES CORP. 10,067 8,835 0.00NA A 37,673 GRACO INC. 1,399,470 829,559 3.50NA B 900 GRAHAM CORP. 13,321 11,970 0.60NA A+ 7,192 GRAINGER (W W) INC. 494,042 588,881 2.30NA A- 7,699 GRANITE CONSTR INC. 292,295 256,223 1.60NA B- 4,300 GREENBRIER COS INC. 25,790 30,917 0.00NA B 11,300 GRIFFON CORP. 104,703 94,016 0.00NA NR 7,020 H & E EQUIP SVCS INC. 53,711 65,637 0.00NA A 4,200 HARSCO CORP. 157,337 118,860 2.80NA B- 1,200 HAWK CORP. 17,990 16,620 0.00NA B- 11,000 HEADWATERS INC. 51,280 36,960 0.00NA B+ 4,900 HEARTLAND EXPRESS INC. 66,762 72,120 0.50NA NR 40,390 HEARTLAND PMT SYS INC. 983,465 386,532 0.40NA B- 4,400 HEIDRICK & STRUGGLES INT'L INC. 68,936 80,300 2.90NA B- 3,500 HERLEY INDUSTRIES INC. 41,326 38,395 0.00NA B+ 34,400 HERMAN MILLER INC. 479,736 527,696 0.60NA NR 3,400 HEWITT ASSOCIATES INC. 118,082 101,252 0.00NA B- 55,609 HEXCEL CORP. NEW 699,868 529,954 0.00NA NR 700 HILL INT'L INC. 2,899 3,010 0.00NA B- 11,900 HMS HLDGS CORP. 332,868 484,568 0.00NA B+ 207,914 HONEYWELL INT'L INC. 6,681,189 6,528,500 3.90NA NR 7,800 HORIZON LINES INC. 31,524 30,108 11.40NA NR 6,000 HORNBECK OFFSHORE SVCS INC. NEW 105,970 128,340 0.00NA NR 2,600 HOUSTON WIRE CABLE CO. 31,854 30,966 2.90NA B 5,050 HUB GROUP INC. 103,014 104,232 0.00NA A- 4,400 HUBBELL INC. 142,133 141,064 4.40NA B+ 208,310 HUNT (J B) TRANS SVCS INC. 6,264,174 6,359,704 1.40NA B- 1,500 HURCO CO INC. 20,912 23,445 0.00NA NR 25,780 HURON CONSULTING GROUP INC. 1,211,085 1,191,809 0.00NA B- 139,830 ICONIX BRAND GROUP INC. 2,280,216 2,150,585 0.00NA C 400 ICT GROUP INC. 3,642 3,492 0.00NA A- 87,838 IDEX CORP. 2,494,254 2,158,180 2.00NA B 2,100 II VI INC. 47,694 46,557 0.00NA A 115,441 ILLINOIS TOOL WORKS INC. 4,950,373 4,310,567 3.30NA B- 62,715 INSITUFORM TECHNOLOGIES INC. 934,906 1,064,274 0.00NA B- 4,500 INSTEEL INDS INC. 36,691 37,080 1.50NA B- 1,400 INTERNATIONAL SHIPHOLDING CORP. 25,761 37,744 7.40NA B 318,450 IRON MOUNTAIN INC. PA 8,085,991 9,155,438 0.00NA A- 27,545 ITT CORP. NEW 1,145,903 1,225,753 1.90NA B+ 1,550 ITT EDL SVCS INC. 106,640 156,023 0.00NA B 26,521 JABIL CIRCUIT INC. 365,279 196,786 3.80NA B+ 14,390 JACOBS ENGR GROUP INC. 729,799 605,675 0.00NA NR 59,800 JETBLUE AIRWAYS CORP. 345,851 255,346 0.00NA NR 7,100 JOHN BEAN TECHNOLOGIES CORP. 96,003 88,892 2.20NA NR 4,600 JOY GLOBAL INC. 278,321 164,312 2.00NA B- 3,219 KADANT INC. 33,514 36,343 0.00NA B 900 KAMAN CORP. 17,705 15,030 3.40NA B- 5,600 KANSAS CITY SOUTHERN 123,515 90,216 0.00NA B+ 50,626 KAYDON CORP. 1,845,402 1,648,383 2.10NA NR 13,100 KBR INC. 237,783 241,564 1.10NA B 6,100 KELLY SVCS INC. 62,111 66,795 0.00NA B+ 5,900 KENNAMETAL INC. 108,010 113,162 2.50NA C 7,400 KFORCE INC. 50,142 61,198 0.00NA B+ 30,550 KIRBY CORP. 959,573 971,185 0.00NA B+ 3,100 KNIGHT TRANSN INC. 52,984 51,305 1.20NA NR 2,000 KOPPERS HLDGS INC. 35,377 52,740 3.30NA B- 10,923 KORN / FERRY INT'L 106,969 116,221 0.00NA A- 48,769 L 3 COMMUNICATIONS HLDG CORP. 3,179,404 3,383,593 2.00NA B- 4,100 LADISH COMPANY INC. 51,499 53,177 0.00NA B+ 1,000 LANDAUER INC. 68,728 61,340 3.40NA B+ 12,500 LANDSTAR SYS INC. 440,860 448,875 0.50NA B 5,100 LAYNE CHRISTENSEN CO. 99,097 104,295 0.00NA B 1,900 LENNOX INT'L INC. 56,963 61,009 1.70NA A- 30,011 LINCOLN ELEC HLDGS INC. 1,524,655 1,081,596 3.00NA B 1,100 LMI AEROSPACE INC. 11,170 11,132 0.00NA B+ 92,871 LOCKHEED MARTIN CORP. 6,632,968 7,490,046 2.80NA B- 2,400 MAC GRAY CORP. 33,388 31,776 0.00NA B 20,004 MANITOWOC INC. 286,055 105,221 1.50NA A- 98,810 MANPOWER INC. WIS 4,338,595 4,183,615 1.80NA B 49,839 MASCO CORP. 596,393 477,458 3.10NA B 68,280 MASTEC INC. 882,136 800,242 0.00NA B- 9,200 MCDERMOTT INT'L INC. 375,245 186,852 0.00ILLINOIS STATE BOARD OF INVESTMENT59

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Industrials (continued)NA A- 5,300 MCGRATH RENT CORP. 107,520 101,018 4.60NA NR 2,300 MEDQUIST INC. 15,068 13,984 0.00NA NR 7,000 METALICO INC. 36,831 32,620 0.00NA B 17,767 MIDDLEBY CORP. 409,704 780,327 0.00NA B- 2,600 MILLER INDS INC. TENN 22,884 22,880 0.00NA B 6,800 MOBILE MINI INC. 96,640 99,756 0.00NA B+ 20,550 MOLEX INC. 358,762 319,553 3.90NA C 3,100 MONEYGRAM INT'L INC. 5,523 5,518 0.00NA NR 5,600 MONOTYPE IMAGING HOLDINGS 39,597 38,136 0.00NA B- 16,044 MONSTER WORLDWIDE INC. 337,338 189,480 0.00NA B+ 53,690 MOOG INC. 1,901,681 1,385,739 0.00NA B+ 113,630 MSC INDL DIRECT INC. 4,017,122 4,031,592 2.30NA B 9,700 MUELLER INDS INC. 211,063 201,760 1.90NA NR 30,000 MUELLER WTR PRODS INC. 211,907 112,200 1.90NA B 200 MULTI COLOR CORP. 2,161 2,452 1.60NA B- 1,458 NACCO INDS INC. 43,653 41,874 7.20NA B- 2,500 NAVISTAR INTL CORP INC. 113,004 109,000 0.00NA B 4,200 NCI BLDG SYS INC. 53,550 11,088 0.00NA A- 5,800 NORDSON CORP. 227,427 224,228 1.90NA A- 127,142 NORFOLK SOUTHN CORP. 4,634,742 4,789,439 3.60NA B+ 122,634 NORTHROP GRUMMAN CORP. 6,358,374 5,601,921 3.80NA B+ 24,200 OLD DOMINION FREIGHT LINE INC. 590,183 812,394 0.00NA B- 8,300 ON ASSIGNMENT INC. 40,347 32,453 0.00NA B- 42,536 ORBITAL SCIENCES CORP. 645,094 645,271 0.00NA A 6,000 OSHKOSH CORP. 53,911 87,240 0.00NA B+ 1,900 OVERSEAS SHIPHOLDING GROUP INC. 69,458 64,676 5.10NA NR 5,400 OWENS CORNING NEW 68,034 69,012 0.00NA B+ 42,825 PACCAR INC. 1,277,866 1,392,241 2.20NA NR 9,000 PACER INT'L INC. TN 55,105 20,070 0.00NA B+ 13,789 PALL CORP. 396,961 366,236 2.20NA A- 83,007 PARKER HANNIFIN CORP. 4,177,597 3,565,981 2.30NA A 6,900 PENTAIR INC. 169,355 176,778 2.80NA NR 14,100 PHH CORP. 153,635 256,338 0.00NA B- 1,595 PHI INC. 23,330 27,338 0.00NA NR 280,542 PHYSICIANS FORMULA HLDGS INC. 2,835,997 527,419 0.00NA B+ 31,848 PITNEY BOWES INC. 782,046 698,427 6.60NA C 18,000 POWER ONE INC. 22,638 26,820 0.00NA B 79,032 PRECISION CASTPARTS CORP. 6,935,158 5,771,707 0.20NA NR 3,980 QUANEX BLDG PRODS CORP. 35,887 44,656 1.10NA B- 16,100 QUANTA SERVICES INC. 362,150 372,393 0.00NA B- 125,887 QUIXOTE CORP. 2,363,613 356,260 0.00NA NR 2,100 RASER TECHNOLOGIES INC. 7,075 5,880 0.00NA A- 19,478 RAVEN INDS INC. 551,967 498,637 2.20NA B 49,277 RAYTHEON CO. 2,079,165 2,189,377 2.80NA A- 59,499 REGAL BELOIT CORP. 2,315,103 2,363,300 1.60NA B+ 5,100 RELIANCE STEEL & ALUM CO. 124,902 195,789 1.00NA NR 7,088 REPUBLIC AWYS HLDGS INC. 65,564 46,285 0.00NA B+ 45,438 REPUBLIC SVCS INC. 1,069,675 1,109,142 3.10NA B- 6,400 ROBBINS & MYERS INC. 114,455 123,200 0.80NA B 183,711 ROBERT HALF INT'L INC. 4,308,346 4,339,254 2.00NA B+ 22,052 ROCKWELL AUTOMATION INC. 636,297 708,310 3.60NA NR 64,913 ROCKWELL COLLINS INC. 3,753,088 2,708,819 2.30NA A 169,855 ROPER INDS 9,803,988 7,696,130 0.70NA B+ 65,668 RYDER SYSTEMS INC. 1,963,183 1,833,451 3.30NA NR 3,500 SAIA INC. 34,969 63,035 0.00NA B- 24,200 SHAW GROUP INC. 704,556 663,322 0.00NA NR 7,300 SHENGDATECH INC. 28,700 27,521 0.00NA B+ 2,300 SIMPSON MFG INC. 49,844 49,726 1.90NA A- 14,400 SKYWEST INC. 242,208 146,880 1.60NA B+ 5,695 SMITH A O CORP. 176,882 185,486 2.30NA B 105,346 SOUTHWEST AIRLINES CO. 1,058,164 708,979 0.30NA C 13,400 SPHERION CORP. 42,707 55,208 0.00NA NR 7,100 SPIRIT AEROSYSTEMS HLDGS INC. 89,639 97,554 0.00NA B 4,000 SPX CORP. 189,366 195,880 2.00NA NR 35,743 STANDARD PKG CORP. 638,563 582,253 0.00NA B- 1,100 STANDARD REGISTER 8,243 3,586 6.10NA B- 3,200 STANDEX INTL CORP. 51,127 37,120 1.70NA C 2,500 STARTEK INC. 19,329 20,050 0.00NA B- 269,600 STEELCASE INC. 4,444,039 1,569,072 2.80NA B+ 176,630 STERICYCLE INC. 8,826,733 9,101,744 0.00NA B 3,119 STERLING CONSTR INC. 48,977 47,596 0.00NA A 26,364 STRAYER ED INC. 3,300,272 5,750,252 0.90NA B+ 1,900 SUN HYDRAULICS INC. 32,189 30,723 2.20NA NR 20,462 SUNPOWER CORP 1,146,260 500,556 0.00NA NR 3,700 TAL INT'L GROUP INC. 41,245 40,330 0.40ILLINOIS STATE BOARD OF INVESTMENT60

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Industrials (continued)NA NR 3,400 TBS INTRENATIONAL LTD 27,239 26,554 0.00NA B+ 300 TEAM INC. 4,950 4,701 0.00NA C 4,800 TECUMSEH PRODUCTS CO. 44,514 46,608 0.00NA NR 2,600 TEEKAY CORPORATION 44,645 54,678 6.00NA A- 3,200 TELEFLEX INC. 146,865 143,456 3.00NA B- 8,500 TEREX CORP NEW 109,515 102,595 0.00NA B 22,810 TETRA TECH INC. NEW 483,574 653,507 0.00NA NR 2,384 TEXTAINER GROUP HOLDING LTD 24,143 27,392 8.00NA B 171,681 TEXTRON INC. 4,356,480 1,658,438 0.80NA B- 55,522 THOMAS & BETTS CORP. 2,295,308 1,602,365 0.00NA B 89,600 TIMKEN CO. 1,301,365 1,530,368 2.10NA B- 9,100 TITAN INT'L INC. ILL 70,175 67,977 0.30NA B- 1,500 TODD SHIPYARDS CORP. 26,702 24,975 1.20NA A 22,610 TOTAL SYS SERVICES INC. 417,448 302,748 2.10NA NR 138,770 TRANSDIGM GROUP INC. 5,100,989 5,023,474 0.00NA B- 7,650 TREDEGAR INDS INC. 127,927 101,898 1.20NA NR 1,600 TRIMAS CORP. 4,513 5,392 0.00NA B- 6,400 TRINITY INDS INC. 78,075 87,168 2.40NA B- 37,816 TRIUMPH GROUP INC. NEW 1,935,371 1,512,640 0.40NA B 11,370 TRUEBLUE INC. 103,124 95,508 0.00NA A 122,374 UNION PAC CORP. 6,924,959 6,370,790 2.10NA B- 500 UNITED CAP CORP. 9,834 9,160 0.00NA B+ 139,683 UNITED PARCEL SVC INC. 8,508,500 6,982,753 3.60NA B 6,185 UNITED STATIONERS INC. 186,623 215,733 0.00NA A+ 160,559 UNITED TECHNOLOGIES CORP. 8,886,342 8,342,646 3.00NA A- 43,582 UNIVERSAL FST PRODS INC. 1,921,951 1,442,128 0.40NA NR 125,850 UNIVERSAL TECHNICAL INST INC. 1,454,877 1,878,941 0.00NA NR 1,500 UNIVERSAL TRUCKLOAD SVCS INC. 22,253 23,475 0.00NA B 6,400 URS CORP. NEW 250,278 316,928 0.00NA C 34,200 US AIRWAYS GROUP INC. 211,761 83,106 0.00NA B- 600 USA TRUCK INC. 7,555 8,118 0.00NA C 3,300 USG CORP. 28,974 33,231 0.00NA NR 4,300 UTI WORLDWIDE INC. 102,429 49,020 0.00NA B- 2,200 VALASSIS COMMUNICATIONS INC. 3,216 13,442 0.00NA A- 17,731 VALMONT INDS INC. 1,544,057 1,278,050 0.80NA NR 4,800 VIAD CORP. 108,974 82,656 0.90NA C 3,000 VICOR CORP. 21,605 21,660 0.00NA B- 3,100 VOLT INFORMATION SCIENCES INC. 17,395 19,437 0.00NA B 2,127 WALTER ENERGY INC. 198,149 77,082 1.10NA B+ 4,100 WASTE CONNECTIONS INC. 100,046 106,231 0.00NA B+ 128,122 WASTE MGMT INC. DEL 4,115,328 3,607,916 4.10NA C 4,031 WASTE SVCS INC. DEL 23,098 20,881 0.00NA A- 11,300 WATSCO INC. 476,495 552,909 3.90NA NR 2,000 WATSON WYATT WORLDWIDE INC. 88,346 75,060 0.80NA B+ 7,600 WATTS WATER TECHNOLOGIES INC. 177,926 163,704 2.00NA NR 2,600 WEIGHT WATCHERS INT'L INC. NEW 67,962 67,002 2.70NA B+ 11,050 WERNER ENTERPRISES INC. 164,496 200,226 1.10NA B 1,200 WILLIS LEASE FIN CORP. 15,602 15,744 0.00NA B+ 68,661 WOODWARD GOVERNOR CO. 1,493,051 1,359,488 1.20NA A+ 122,290 WORLD FUEL SERVICES CORP. 3,806,263 5,042,017 0.70NA C 15,400 YRC WORLDWIDE INC. 56,545 26,642 0.00NA B- 23,100 ZEBRA TECHNOLOGIES CORP. 502,301 546,546 0.00Total Industrials 404,713,388 355,994,151Information TechnologyNA C 18,200 3COM CORP. 44,322 85,722 0.00NA NR 24,700 ACCENTURE LTD 1,017,918 826,462 1.50NA C 4,714 ACTEL CORP. 47,302 50,581 0.00NA C 153,230 ACTIVIDENTITY CORP. 317,925 387,672 0.00NA NR 581,064 ACTIVISION BLIZZARD INC. 4,698,460 7,338,838 0.00NA B 3,157 ACXIOM CORP. 25,003 27,876 0.00NA C 31,600 ADAPTEC INC. 107,395 83,740 0.00NA B 20,100 ADC TELECOMMUNICATIONS INC. 163,242 159,996 0.00NA B+ 146,824 ADOBE SYSTEMS INC. 4,460,053 4,155,119 0.00NA B 3,200 ADTRAN INC. 52,291 68,704 1.70NA B- 1,800 ADVANCED ENERGY INDS INC. 16,667 16,182 0.00NA C 77,786 ADVANCED MICRO DEVICES INC. 465,693 301,032 0.00NA B+ 12,205 AFFILIATED COMPUTER SVCS INC. 573,378 542,146 0.00NA B- 40,419 AGILENT TECHNOLOGIES INC. 1,017,291 820,910 0.00NA B+ 3,927 AGILYSYS INC. 15,207 18,378 2.60NA B- 101,201 AKAMAI TECHNOLOGIES INC. 3,419,419 1,941,035 0.00NA NR 204,230 ALLIANCE DATA SYSTEMS CORP. 10,031,107 8,412,234 0.00NA NR 2,500 ALLSCRIPT MISYS HEALTCAR SOLUTIONS 36,854 39,650 0.00NA B 33,530 ALTERA CORP. 574,628 545,868 1.20NA B 102,800 AMDOCS LTD 2,208,403 2,205,060 0.00ILLINOIS STATE BOARD OF INVESTMENT61

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Information Technology (continued)NA NR 1,000 AMERICAN REPROGRAPHICS CO. 8,432 8,320 0.00NA B- 400 AMERICAN SOFTWARE INC. 1,700 2,304 6.30NA D 5,800 AMPEX CORP. DEL 0 17 0.00NA B+ 26,291 AMPHENOL CORP. NEW 718,455 831,847 0.20NA C 3,200 ANADIGICS INC. 12,677 13,408 0.00NA B 41,328 ANALOG DEVICES INC. 1,083,002 1,024,108 3.20NA B 1,200 ANALOGIC CORP. 43,970 44,340 1.10NA B 28,220 ANIXTER INT'L INC. 1,173,842 1,060,790 0.00NA B+ 31,940 ANSYS INC. 866,497 995,250 0.00NA B 147,904 APPLE INC. 12,597,476 21,065,967 0.00NA B- 206,840 APPLIED MATERIALS INC. 2,472,680 2,269,035 2.20NA B- 85,182 ARRIS GROUP INC. 694,371 1,035,813 0.00NA B 7,700 ARROW ELECTRONICS INC. 150,757 163,548 0.00NA NR 3,300 ASCENT SOLAR TECHNOLOGIES INC. 29,144 25,806 0.00NA NR 125,100 ATHENAHEALTH INC. 4,194,053 4,629,951 0.00NA NR 22,100 ATHEROS COMMUNICATIONS INC. 365,406 425,204 0.00NA B- 36,700 ATMEL CORP. 136,532 136,891 0.00NA B- 5,800 ATMI INC. 91,823 90,074 0.00NA B 4,400 AUDIOVOX CORP. 21,350 25,784 0.00NA B 28,662 AUTODESK INCORPORATED 631,897 544,005 0.00NA A+ 57,719 AUTOMATIC DATA PROCESSING INC. 2,136,975 2,045,561 3.70NA C 5,875 AVID TECHNOLOGY INC. 64,195 78,784 0.00NA B- 10,200 AVNET INC. 221,720 214,506 0.00NA B- 79,750 AVOCENT CORP. 1,633,107 1,113,310 0.00NA B- 3,500 AVX CORP. NEW 33,072 34,755 1.60NA B 2,720 BEL FUSE INC. 42,428 43,629 1.80NA B 56,464 BENCHMARK ELECTRS INC. 1,050,553 813,082 0.00NA B+ 4,580 BLACK BOX CORP. 112,387 153,293 0.70NA C 28,160 BMC SOFTWARE INC. 681,918 951,526 0.00NA B- 389,892 BROADCOM CORP. 8,001,289 9,665,423 0.00NA NR 7,725 BROADRIDGE FINL SOLUTIONS INC. 133,360 128,081 1.70NA C 16,700 BROOKS AUTOMATION INC. NEW 80,882 74,816 0.00NA B- 56,294 CA INC. 982,164 981,200 0.90NA B 5,200 CABOT MICROELECTRONICS CORP. 151,016 147,108 0.00NA B+ 39,737 CACI INT'L INC. 1,784,034 1,697,167 0.00NA C 10,500 CADENCE DESIGN SYS INC. 63,121 61,950 0.00NA B- 819 CALAMP CORP. 0 655 0.00NA NR 3,100 CALLIDUS SOFTWARE INC. 9,150 8,835 0.00NA B 36,649 CERNER CORP. 1,384,932 2,282,866 0.00NA B 7,733 CHECKPOINT SYS INC. 73,647 121,331 0.00NA NR 900 CHINA INFORMATION SEC TECH INC. 2,737 2,574 0.00NA B 17,765 CIBER INC. 71,707 55,072 0.00NA B 13,878 CIENA CORP. 180,221 143,637 0.00NA B+ 943,962 CISCO SYS INC. 17,719,764 17,595,452 0.00NA B+ 100,263 CITRIX SYS INC. 3,306,931 3,197,387 0.00NA B 8,400 COGNEX CORP. 119,713 118,692 1.40NA B+ 397,256 COGNIZANT TECHNOLOGY SOLUTIONS 10,283,193 10,606,735 0.00NA NR 6,500 COGO GROUP INC. 40,570 38,805 0.00NA B- 5,678 COHERENT INC. 104,519 117,421 0.00NA B- 6,000 COHU INC. 64,434 53,880 2.70NA B- 6,800 COMMSCOPE INC. 179,938 178,568 0.00NA B 1,600 COMMUNICATIONS SYS 16,098 15,680 5.70NA B+ 97,298 COMPUTER SCIENCES CORP. 3,286,917 4,310,301 0.00NA NR 38,144 COMPUWARE CORP. 244,801 261,668 0.00NA NR 3,800 COMSYS IT PARTNERS INC. 9,408 22,230 0.00NA B 115,050 COMTECH TELECOMMUNICATIONS 3,977,243 3,667,794 0.00NA B- 252,340 CONCUR TECHNOLOGIES INC. 6,251,275 7,842,727 0.00NA B 189,194 CORNING INC. 2,840,715 3,038,456 1.30NA NR 1,300 CPI INT'L INC. 9,256 11,297 0.00NA C 2,482 CRAY INC. 5,172 19,558 0.00NA B- 3,600 CREE INC. 104,641 105,804 0.00NA B+ 8,300 CTS CORP. 45,899 54,365 1.80NA B- 7,700 CYMER INC. 183,250 228,921 0.00NA C 131,637 CYPRESS SEMICONDUCTOR CORP. 495,385 1,211,060 0.00NA B+ 65,963 DAKTRONICS INC. 709,652 507,915 1.30NA NR 3,100 DDI CORP. 14,048 14,043 0.00NA B+ 434,101 DELL INC. 7,020,406 5,960,207 0.00NA NR 100 DELTEK INC. 334 434 0.00NA A- 3,000 DIEBOLD INC. 119,377 79,080 4.00NA B- 4,100 DIGI INTL INC. 32,421 39,975 0.00NA B- 2,000 DIGITAL RIV INC. 77,163 72,640 0.00NA NR 3,100 DIVX INC. 18,574 17,019 0.00NA NR 300 DOUBLE TAKE SOFTWARE 2,670 2,595 0.00NA C 5,900 DSP GROUP INC. 37,878 39,884 0.00NA B 1,800 DST SYS INC. DEL 101,501 66,510 0.00ILLINOIS STATE BOARD OF INVESTMENT62

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Information Technology (continued)NA B- 2,200 DYNAMICS RESH CORP. 23,235 22,022 0.00NA B- 24,000 EARTHLINK INC. 183,876 177,840 0.00NA B 160,300 EBAY INC. 2,842,797 2,745,939 0.00NA C 2,400 ECHELON CORP. 19,492 20,352 0.00NA B- 7,100 ELECTRO SCIENTIFIC INDS INC. 47,423 79,378 0.00NA B+ 37,489 ELECTRONIC ARTS INC. 1,315,400 814,261 0.00NA B- 12,800 ELETRONICS FOR IMAGING INC. 115,375 136,448 0.00NA B 521,188 EMC CORP. 6,833,476 6,827,563 0.00NA C 19,500 EMCORE CORP. 28,304 24,570 0.00NA B- 1,600 EMULEX CORP. 10,761 15,648 0.00NA C 29,500 ENTEGRIS INC. 49,730 80,240 0.00NA B- 12,202 EPICOR SOFTWARE CORP. 44,467 64,671 0.00NA NR 900 EPLUS INC. 13,618 13,113 0.00NA B- 1,600 EQUINIX INC. 137,114 116,384 0.00NA B- 8,300 EXAR CORP 1 58,334 59,677 0.00NA B- 23,000 EXTREME NETWORKS INC. 40,974 46,000 0.00NA B- 3,200 F5 NETWORKS INC. 94,353 110,688 0.00NA B+ 12,700 FAIR ISAAC CORPORATION 189,344 196,342 0.50NA NR 10,000 FAIRCHILD SEMICONDUCTOR IN'TL 41,800 69,900 0.00NA C 800 FEI CO. 15,450 18,320 0.00NA NR 26,338 FIDELITY NATL INFORMATION SVC 493,292 525,706 1.00NA B+ 18,126 FISERV INC. 678,019 828,358 0.00NA B 245,805 FLIR SYS INC. 4,707,590 5,545,361 0.00NA NR 719 FORMFACTOR INC. 10,920 12,396 0.00NA B 17,354 FORRESTER RESH INC. 375,355 426,041 0.00NA B 5,400 GLOBECOMM SYS INC. 35,662 38,826 0.00NA NR 40,147 GOOGLE INC. 16,197,469 16,925,574 0.00NA B 1,700 GREATBATCH INC. 39,858 38,437 0.00NA NR 4,700 GSI TECHNOLOGY INC. 18,243 18,142 0.00NA B- 5,000 HACKETT GROUP INC. 11,608 11,650 0.00NA B 5,800 HARMONIC INC. 29,995 34,162 0.00NA B+ 16,526 HARRIS CORP. DEL 614,779 468,677 2.80NA A+ 40,248 HENRY JACK & ASSOC INC. 1,036,244 835,146 1.60NA B+ 527,182 HEWLETT PACKARD CO. 18,500,641 20,375,584 0.80NA B- 800 I2 TECHNOLOGIES INC. 4,985 10,040 0.00NA NR 1,950 IHS INC. 122,350 97,247 0.00NA C 6,900 IMATION CORP. 72,224 52,509 0.00NA B 4,000 INFOGROUP INC. 18,180 22,840 0.00NA B- 69,045 INFORMATICA CORP. 1,010,393 1,186,884 0.00NA C 3,900 INFOSPACE INC. 27,292 25,857 0.00NA B- 13,181 INGRAM MICRO INC. 174,924 230,668 0.00NA B 3,300 INTEGRAL SYS INC. MD 26,240 27,456 0.00NA C 12,000 INTEGRATED DEVICE TECHNOLOGY 80,899 72,480 0.00NA B+ 1,022,281 INTEL CORP. 18,488,516 16,918,751 3.40NA C 13,100 INTERNAP NETWORK SVCS CORP. 46,059 45,719 0.00NA A 180,486 INTERNATIONAL BUSINESS MACHINES 16,953,294 18,846,348 2.10NA B- 4,400 INTERNATIONAL RECTIFIER CORP. 69,620 65,164 0.00NA NR 3,300 INTERNET BRANDS INC. 17,172 23,100 0.00NA C 3,900 INTERNET CAP GROUP INC. 19,228 26,247 0.00NA B- 7,400 INTERSIL CORP. 111,786 93,018 3.80NA B- 5,700 INTEVAC INC. 26,545 49,647 0.00NA B+ 43,439 INTUIT 1,092,377 1,223,242 0.00NA NR 13,000 IPASS INC. 23,420 20,800 0.00NA B- 11,423 ITRON INC. 946,004 629,065 0.00NA B- 140,520 IXYS CORP. DEL 1,333,597 1,422,062 0.00NA B- 1,000 J2 GLOBAL COMMUNICATIONS 22,862 22,560 0.00NA B- 93,000 JDA SOFTWARE GROUP INC. 1,751,724 1,391,280 0.00NA B 353,409 JUNIPER NETWORKS INC. 5,914,483 8,340,452 0.00NA B 200 K TRON INT'L INC. 16,514 15,936 0.00NA C 1,599 KEYNOTE SYS INC. 13,070 12,216 0.00NA B 26,314 KLA TENCOR CORP. 669,596 664,429 2.40NA C 4,171 L 1 IDENTITY SOLUTIONS INC. 31,277 32,284 0.00NA B- 5,100 LAM RESH CORP. 246,196 132,600 0.00NA C 27,400 LATTICE SEMICONDUCTOR CORP. 47,208 51,512 0.00NA NR 21,100 LAWSON SOFTWARE INC. NEW 118,614 117,738 0.00NA NR 3,800 LENDERPROCESSING SVCS INC. 114,278 105,526 1.40NA B 170,747 LEXMARK INT'L INC. 5,098,039 2,706,340 0.00NA A 25,369 LINEAR TECHNOLOGY CORP. 719,581 592,366 3.80NA B- 45,179 LITTELFUSE INC. 738,179 901,773 0.00NA C 105,539 LSI CORP. 498,644 481,258 0.00NA B 4,800 LSI INDS INC. 25,582 26,160 3.70NA B 16,200 MANHATTAN ASSOCS INC. 396,923 295,164 0.00NA NR 33,400 MANTECH INT'L CORP. 1,248,148 1,437,536 0.00NA NR 140,000 MARKETAXESS HLDGS INC. 1,025,983 1,334,200 0.00NA NR 22,700 MARVELL TECHNOLOGY GROUP LTD 377,705 264,228 0.00ILLINOIS STATE BOARD OF INVESTMENT63

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Information Technology (continued)NA NR 8,991 MASTERCARD INC. 1,372,070 1,504,284 0.40NA B+ 14,200 MAXIM INTEGRATED PRODS INC. 228,925 222,798 5.10NA B- 21,600 MCAFEE INC. 642,401 911,304 0.00NA B- 3,700 MEASUREMENT SPECIALTIES INC. 20,429 26,085 0.00NA B- 26,209 MEMC ELECTR MATLS INC. 1,067,473 466,782 0.00NA NR 3,700 MEMSIC INC. 16,656 15,688 0.00NA C 22,430 MENTOR GRAPHICS CORP. 105,604 122,692 0.00NA C 5,900 MERCURY COMPUTER SYS INC. 34,988 54,575 0.00NA NR 3,600 METAVANTE TECHNOLOGIES INC. 82,777 93,096 0.00NA B 8,700 METHODE ELECTRS INC. 43,674 61,074 4.00NA B+ 53,360 METTLER TOLEDO INT'L INC. 3,950,947 4,116,724 0.00NA B- 6,900 MICREL INC. 51,553 50,508 1.90NA B+ 21,275 MICROCHIP TECHNOLOGY INC. 654,900 479,751 6.00NA C 124,058 MICRON TECHNOLOGY INC. 775,717 627,733 0.00NA B 3,200 MICROS SYS INC. 77,637 81,024 0.00NA B+ 1,211,653 MICROSOFT CORP. 29,748,680 28,800,992 2.20NA B- 5,300 MICROTUNE INC. DEL 14,000 12,402 0.00NA B- 12,803 MKS INSTRS INC. 180,772 168,872 0.00NA B- 11,200 MODUSLINK GLOBAL SOLUTIONS INC. 27,091 76,832 0.00NA NR 23,800 MONOLITHIC PWR SYS INC. 332,369 533,358 0.00NA C 354,104 MOTOROLA INC. 2,058,782 2,347,710 0.00NA C 24,000 MPS GROUP INC. 155,397 183,360 0.00NA C 11,800 MSC SOFTWARE CORP. 72,816 78,588 0.00NA A+ 3,900 MTS SYS CORP. 96,897 80,535 2.90NA B+ 89,183 NATIONAL INSTRS CORP. 2,753,628 2,011,968 2.10NA B- 139,883 NATIONAL SEMICONDUCTOR CORP. 1,822,920 1,755,532 2.60NA B 6,300 NCR CORP. NEW 144,457 74,529 0.00NA NR 10,000 NESS TECHNOLOGIES INC. 41,623 39,100 0.00NA B 247,890 NETAPP INC. 4,664,962 4,888,391 0.00NA NR 6,600 NETGEAR INC. 75,980 95,106 0.00NA NR 14,700 NETLOGIC MICROSYSTEMS INC. 340,467 535,962 0.00NA C 3,700 NETWORK EQUIP TECHNOLOGIES 15,990 15,762 0.00NA C 9,400 NEWPORT CORP. 51,878 54,426 0.00NA C 46,615 NOVELL INC. 200,469 211,166 0.00NA B- 12,617 NOVELLUS SYS INC. 249,505 210,704 0.00NA C 792,980 NUANCE COMMUNICATIONS INC. 12,422,109 9,587,128 0.00NA B 267,855 NVIDIA CORP. 4,132,948 3,024,083 0.00NA NR 1,000 OMNITURE INC. 13,152 12,560 0.00NA B- 13,006 OMNIVISION TECHNOLOGIES INC. 91,325 135,132 0.00NA B- 16,900 ON SEMICONDUCTOR CORP. 152,898 115,934 0.00NA C 2,200 ONLINE RES CORP. 13,995 13,728 0.00NA NR 13,300 OPENTV CORP. 16,238 17,556 0.00NA C 15,200 OPENWAVE SYS INC. 37,415 34,048 0.00NA NR 106,862 OPLINK COMMUNICATIONS INC. 1,687,290 1,218,227 0.00NA NR 6,025 OPNEXT INC. 14,519 12,894 0.00NA B+ 534,147 ORACLE CORP. 8,515,139 11,441,429 0.90NA NR 5,300 ORBITZ WORLDWIDE INC. 19,847 10,070 0.00NA C 199,960 OSI SYS INC. 4,275,878 4,169,166 0.00NA B- 1,100 OYO GEOSPACE 26,842 28,226 0.00NA B- 4,200 PALM INC. NEW 30,738 69,594 0.00NA B- 600 PAR TECHNOLOGY 4,165 3,834 0.00NA B- 52,445 PARAMETRIC TECHNOLOGY CORP. 885,069 613,082 0.00NA B+ 2,000 PARK ELECTROCHEMICAL CORP. 38,981 43,060 1.50NA A+ 36,591 PAYCHEX INC. 1,156,365 922,093 4.90NA C 225,650 PC TEL INC. 2,143,578 1,207,228 0.00NA B- 5,800 PERFICIENT INC. 26,537 40,542 0.00NA B- 6,500 PERICOM SEMICONDUCTOR CORP. 57,860 54,730 0.00NA B 75,232 PERKINELMER INC. 1,046,551 1,309,037 1.60NA B 18,113 PEROT SYS CORP. 246,354 259,559 0.00NA B- 3,900 PERVASIVE SOFTWARE INC. 23,718 23,751 0.00NA C 10,900 PHOTRONICS INC. 24,859 44,145 0.00NA B 26,500 PLANTRONICS INC. NEW 480,752 501,115 1.10NA B- 50,067 PLEXUS CORP. 762,262 1,024,371 0.00NA C 18,100 PMC SIERRA INC. 142,655 144,076 0.00NA B 48,323 POLYCOM INC. 1,143,223 979,507 0.00NA C 34,300 POWERWAVE TECHNOLOGIES INC. 25,251 55,223 0.00NA B+ 57,377 QLOGIC CORP. 789,234 727,540 0.00NA B 335,617 QUALCOMM INC. 13,579,735 15,169,888 1.50NA B 12,600 QUALITY SYSTEMS 641,833 717,696 2.10NA B- 15,300 QUEST SOFTWARE INC. 195,097 213,282 0.00NA B- 201,403 RADIANT SYSTEMS INC. 2,278,621 1,671,645 0.00NA C 4,200 RAMBUS INC. DEL 89,412 65,058 0.00NA C 10,400 REALNETWORKS INC. 31,940 31,096 0.00NA B- 7,600 RED HAT INC. 227,022 152,988 0.00NA B- 5,100 RF MICRO DEVICES INC. 6,113 19,176 0.00ILLINOIS STATE BOARD OF INVESTMENT64

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Information Technology (continued)NA B 2,400 RIMAGE CORP. 33,453 39,864 0.00NA NR 67,624 RIVERBED TECHNOLOGY INC. 1,196,945 1,568,201 0.00NA B 30,723 ROFIN SINAR TECHNOLOGIES INC. 689,339 614,767 0.00NA B 3,200 ROGERS CORP. 68,128 64,736 0.00NA B 131,722 ROVI CORP. 2,720,508 2,872,857 0.00NA C 4,900 RUDOLPH TECHNOLOGIES INC. 15,706 27,048 0.00NA C 19,800 SAFEGUARD SCIENTIFICS INC. 13,782 26,136 0.00NA NR 10,476 SAIC INC. 199,254 194,330 0.00NA NR 12,329 SALESFORCE COM INC. 416,637 470,598 0.00NA B- 31,618 SANDISK CORP. 759,876 464,468 0.00NA B+ 36,058 SCANSOURCE INC. 1,084,542 884,142 0.00NA B+ 3,800 SCHAWK INC. 33,729 28,538 1.70NA C 373,168 SCIENTIFIC LEARNING CORP. 1,827,963 727,678 0.00NA B- 4,000 SEACHANGE INTL INC. 24,855 32,120 0.00NA NR 168,800 SEAGATE TECHNOLOGY 3,455,643 1,765,648 2.60NA B- 4,800 SEMITOOL INC. 20,259 22,176 0.00NA B 48,241 SEMTECH CORP. 810,857 767,514 0.00NA NR 4,600 SHUTTERFLY INC. 69,605 64,170 0.00NA B- 1,900 SIGMA DESIGNS 25,497 30,476 0.00NA NR 6,900 SILICON GRAPHICS INTERNATIONAL 28,168 31,326 0.00NA B- 19,400 SILICON IMAGE INC. 48,141 44,620 0.00NA B- 316,560 SILICON LABORATORIES INC. 9,758,794 12,010,286 0.00NA C 20,600 SILICON STORAGE TECHNOLOGY INC. 45,293 38,522 0.00NA B- 60,700 SKYWORKS SOLUTIONS INC. 460,566 593,646 0.00NA NA 9,475 SMART MODULAR TECHNOLOGIES WWH 11,054 21,508 0.00NA B- 12,900 SONICWALL INC. 50,540 70,692 0.00NA B 53,600 SONUS NETWORKS INC. 96,024 86,296 0.00NA B 3,200 SPECTRUM CTL INC. 30,757 28,160 0.00NA NR 128,430 SRA INTL INC. 1,861,627 2,255,231 0.00NA B- 18,281 STANDARD MICROSYSTEMS CORP. 511,923 373,846 0.00NA NR 21,000 STANLEY INC. 561,641 690,480 0.00NA C 118,916 SUN MICROSYSTEMS INC. 825,158 1,096,406 0.00NA NR 1,804 SUPER MICRO COMPUTER INC. 10,347 13,819 0.00NA C 9,200 SUPPORT.COM INC. 19,810 20,056 0.00NA B 20,711 SYBASE INC. 575,496 649,083 0.00NA B 50,000 SYCAMORE NETWORKS INC. 127,657 156,500 0.00NA B- 33,100 SYKES ENTERPRISES INC. 574,130 598,779 0.00NA B 95,083 SYMANTEC CORP. 1,375,716 1,479,491 0.00NA B- 276,910 SYMMETRICOM INC. 2,232,923 1,597,771 0.00NA NR 38,906 SYNAPTICS INC. 862,411 1,503,717 0.00NA NR 600 SYNCHRONOSS TECHNOLOGIES INC. 7,243 7,362 0.00NA NR 4,060 SYNNEX CORP. 62,483 101,459 0.00NA B- 7,953 SYNOPSYS INC. 155,043 155,163 0.00NA B+ 35,450 SYNTEL INC. 825,640 1,114,548 0.80NA B- 4,400 T HQ INC. 17,805 31,504 0.00NA C 18,100 TAKE TWO INTERACTIVE SOFTWARE 171,253 171,407 0.00NA NR 23,000 TALEO CORP. 338,151 420,210 0.00NA B- 4,100 TECH DATA CORP. 90,051 134,111 0.00NA B- 10,646 TECHNITROL INC. 34,126 68,880 1.60NA NR 3,000 TECHTARGET INC. 12,155 12,000 0.00NA B 104,713 TEKELEC INC. 1,563,920 1,762,320 0.00NA B- 7,500 TELECOMMUNICATION SYS INC. 52,560 53,325 0.00NA B+ 6,300 TELEDYNE TECHNOLOGIES INC. 212,193 206,325 0.00NA B- 60,981 TELLABS INC. 306,308 349,421 0.00NA NR 21,786 TERADATA CORP. 341,611 510,446 0.00NA B- 19,159 TERADYNE INC. 191,854 131,431 0.00NA B 413,410 TEXAS INSTRS INC. 10,161,311 8,805,633 2.10NA B- 29,100 TIBCO SOFTWARE INC. 163,357 208,647 0.00NA C 190,666 TIER TECHNOLOGIES INC. 1,843,495 1,464,315 0.00NA NR 31,200 TNS INC. 556,263 585,000 0.00NA B- 6,400 TRADESTATION GROUP INC. 54,794 54,144 0.00NA B- 14,600 TRIDENT MICROSYSTEMS INC. 28,674 25,404 0.00NA B 382,538 TRIMBLE NAVIGATION LTD 8,814,318 7,509,221 0.00NA B- 16,600 TRIQUINT SEMICONDUCTOR INC. 35,434 88,146 0.00NA B- 11,200 TTM TECHNOLOGIES 70,055 89,152 0.00NA B+ 2,200 TWIN DISC INC. 14,781 14,982 4.10NA B- 41,150 TYLER TECHNOLOGIES INC. 467,684 642,763 0.00NA C 90,800 UNISYS CORP. 133,612 137,108 0.00NA B- 21,716 UNITED ONLINE INC. 129,033 141,371 6.10NA B 29,400 UTSTARCOM INC. 46,348 47,922 0.00NA B 60,492 VARIAN INC. 2,720,064 2,385,200 0.00NA B 32,415 VARIAN SEMI EQUIP ASSOC INC. 661,074 777,636 0.00NA B- 118,850 VASCO DATA SEC INT'L INC. 1,441,659 868,794 0.00NA C 3,600 VEECO INSTRS INC. DEL 37,700 41,724 0.00NA NR 128,001 VERIFONE HLDGS INC. 968,968 961,288 0.00ILLINOIS STATE BOARD OF INVESTMENT65

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Information Technology (continued)NA B- 22,200 VERISIGN INC. 506,795 410,256 0.00NA B- 1,100 VIGNETTE CORP. 8,029 14,465 0.00NA C 3,800 VIRAGE LOGIC CORP. 16,574 17,100 0.00NA NR 800 VIRTUSA CORP. 5,828 6,424 0.00NA C 13,458 VISHAY INTERTECHNOLOGY INC. 52,752 91,380 0.00NA NR 2,100 VMWARE INC. 145,710 57,267 0.00NA NR 6,800 WEB COM GROUP INC. 26,964 38,284 0.00NA B 204,017 WESTERN DIGITAL CORP. 4,256,545 5,406,451 0.00NA NR 81,407 WESTERN UNION CO. 1,509,819 1,335,075 0.20NA B- 5,900 WHITE ELECTR DESIGNS CORP. 27,916 27,317 0.00NA C 6,700 X RITE INC. 9,792 10,050 0.00NA B 30,944 XILINX INC. 718,415 633,114 2.70NA B- 154,680 YAHOO INC. 2,714,284 2,422,289 0.00NA C 3,300 ZORAN CORP. 21,005 35,970 0.00NA B- 3,800 ZYGO CORP. 21,773 17,708 0.00Total Information Technology 431,479,021 441,994,173MaterialsNA A+ 29,861 AIR PRODUCTS & CHEMICALS INC. 1,814,826 1,928,722 2.80NA A- 150,898 AIRGAS INC. 5,339,096 6,115,896 1.80NA B- 17,064 AK STL HLDG CORP. 418,065 327,458 1.00NA A- 7,200 ALBEMARLE CORP. 185,027 184,104 2.00NA B 216,873 ALCOA INC. 4,863,818 2,240,298 1.20NA B 19,820 ALLEGHENY TECHNOLOGIES INC. 665,602 692,313 2.10NA NR 1,900 ALLIED NEVADA GOLD CORP. 7,624 15,314 0.00NA NR 2,900 ALPHA NAT RES INC. 275,329 76,183 0.00NA B 4,800 AMCOL INT'L CORP. 90,805 103,584 3.30NA A- 4,400 AMERICAN VANGUARD CORP. 51,650 49,720 0.90NA A- 2,400 AMERON INT'L CORP. 130,363 160,896 1.80NA A 52,975 APTARGROUP INC. 2,001,515 1,788,966 1.80NA B- 28,937 ARCH CHEMICALS INC. 955,133 711,561 3.30NA B 65,130 ARCH COAL INC. 2,931,169 1,001,048 2.30NA B- 5,800 ASHLAND INC. NEW 60,735 162,690 1.10NA A- 231,110 BALCHEM CORP. 2,835,147 5,666,817 0.50NA B+ 12,152 BALL CORP. 420,212 548,784 0.90NA A- 15,317 BEMIS CO INC. 358,367 385,988 3.60NA NR 3,900 BOISE INC. 6,552 6,708 0.00NA B- 5,297 BRUSH ENGINEERED MATLS INC. 71,164 88,725 0.00NA B- 9,960 BUCKEYE TECHNOLOGIES INC. 30,478 44,720 0.00NA NR 1,782 BWAY HLDG CO. 22,179 31,238 0.00NA B- 5,300 CABOT CORP. 72,336 66,674 5.70NA B 28,393 CARPENTER TECHNOLOGY CORP. 983,725 590,858 3.50NA B- 4,275 CASTLE (A.M.) CO. 39,081 51,642 0.00NA NR 5,800 CELANESE CORP. DE 185,336 137,750 0.70NA C 11,800 CENTURY ALUM CO. 78,606 73,514 0.00NA NR 6,010 CF INDS HLDGS INC. 615,967 445,581 0.50NA NR 2,762 CLEARWATER PAPER CORP. 44,609 69,851 0.00NA B 10,235 CLIFFS NAT RES INC. 269,474 250,450 0.70NA B- 17,820 COEUR D'ALENE MINES CORP. IDAHO 163,771 219,186 0.00NA B+ 9,100 COMMERCIAL METALS CO. 109,567 145,873 3.00NA NR 2,000 COMPASS MINERALS IN'TL INC. 105,843 109,820 2.60NA B- 6,400 CROWN HLDGS INC. 113,272 154,496 0.00NA B 3,800 CYTEC INDS INC. 75,460 70,756 0.30NA B 600 DELTIC TIMBER CORP. 21,505 21,282 0.90NA NR 10,800 DOMTAR CORP. 189,340 179,064 0.00NA B 376,025 DOW CHEMICAL CO. 11,188,505 6,069,044 3.70NA B 128,942 DU PONT E. I. DE NEMOURS & CO. 3,894,946 3,303,494 6.40NA B+ 1,700 EAGLE MATERIALS INC. 73,829 42,908 1.60NA B 1,600 EASTERN CO. 27,970 26,400 2.20NA B 73,791 EASTMAN CHEM CO. 3,269,076 2,796,679 4.60NA A+ 314,101 ECOLAB INC. 12,133,043 12,246,798 1.40NA C 11,600 FERRO CORP. 33,473 31,900 0.00NA B- 41,972 FMC CORP. 1,556,340 1,985,276 1.10NA NR 1,800 FOUNDATION COAL HLDGS INC. 90,529 50,598 0.70NA B- 102,311 FREEPORT MCMORAN COPPER & GOLD 3,796,602 5,126,804 0.00NA B 49,320 FULLER (HB) CO. 778,286 925,736 1.40NA NR 4,100 FUSHI COPPERWELD INC. 35,184 33,907 0.00NA NR 16,500 GENERAL MOLY INC. 42,925 36,630 0.00NA NR 2,000 GENTEK INC. 47,737 44,660 0.00NA B+ 6,918 GIBRALTAR INDS INC. 70,079 47,527 0.00NA B- 11,800 GLATFELTER 100,026 105,020 4.00NA D 13,200 GRACE (WR) & CO. DEL NEW 147,416 163,284 0.00NA B- 105,445 GRAFTECH INT'L LTD 1,319,492 1,192,583 0.00NA NR 29,000 GRAPHIC PACKAGING HLDG CO. 48,764 53,070 0.00ILLINOIS STATE BOARD OF INVESTMENT66

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Materials (continued)NA B+ 21,400 GREIF INC. 634,706 946,308 3.40NA NR 3,100 HAYNES INT'L INC. 64,937 73,470 0.00NA B- 56,600 HECLA MNG CO. 137,217 151,688 0.00NA NR 9,100 HORSEHEAD HLDG CORP. 39,379 67,795 0.00NA NR 13,200 HUNTSMAN CORP. 69,716 66,396 8.00NA NR 153,020 INNOPHOS HLDGS INC. 2,284,575 2,584,508 4.00NA C 6,099 INNOSPEC INC. 50,598 65,564 0.90NA NR 23,600 INTERNATIONAL COAL GROUP INC. 64,463 67,496 0.00NA B 311,632 INTERNATIONAL PAPER CO. 9,522,313 4,714,992 0.70NA NR 1,700 INTREPID POTASH INC. 71,002 47,736 0.00NA A- 9,158 INTERNATIONAL FLAVORS & FRAGRENCES INC. 320,624 299,650 3.10NA B- 36,300 JARDEN CORP. 569,764 680,625 0.00NA NR 3,992 KAISER ALUM CORP. 107,361 143,353 2.70NA NR 5,244 KAPSTONE PAPER & PKGING CORP. 12,544 24,594 0.00NA C 26,900 LOUISIANA PACIFIC CORP. 58,483 91,995 0.00NA B 79,341 LUBRIZOL CORP. 3,435,111 3,753,623 2.60NA B+ 3,010 MARTIN MARIETTA MATERIALS INC. 257,558 237,429 2.00NA B- 26,294 MEADWESTVACO CORP. 387,697 431,485 5.60NA B 20,938 MINERALS TECHNOLOGIES INC. 1,265,426 754,187 0.60NA B+ 64,637 MONSANTO CO. NEW 3,532,197 4,805,115 1.40NA NR 6,422 MOSAIC CO. 638,566 284,495 0.50NA B 8,100 MYERS IND INC. 63,207 67,392 2.90NA NR 3,725 NEENAH PAPER INC. 28,697 32,817 4.50NA B 15,700 NEWMARKET CORP. 842,939 1,057,081 1.50NA C 55,738 NEWMONT MNG CORP. 2,012,685 2,278,012 1.00NA B 900 NORTH AMERICANN GALVANIZING 5,752 5,454 0.00NA B 2,400 NORTHWEST PIPE CO. 98,858 83,424 0.00NA B 100,984 NUCOR CORP. 3,939,974 4,486,719 3.20NA B 18,300 OLIN CORP. 288,225 217,587 6.70NA B- 17,500 OLYMPIC STL INC. 431,023 428,225 0.30NA B 7,700 OM GROUP INC. 157,410 223,454 0.00NA B- 55,253 OWENS ILLINOIS INC. 1,479,299 1,547,637 0.00NA B 7,900 PACKAGING CORP. AMER 115,729 127,980 3.70NA B- 15,678 PACTIV CORP. 340,850 340,213 0.00NA NR 2,700 PARAMOUNT GOLD AND SILVER CORP. 4,702 4,104 0.00NA NR 16,600 PATRIOT COAL CORPORATION 108,257 105,908 0.00NA B- 196,280 PENFORD CORP. 4,807,346 1,136,461 0.00NA C 19,707 POLYONE CORP. 43,624 53,406 0.00NA B 4,900 POTLATCH CORP. NEW 130,648 119,021 8.40NA B+ 73,764 PPG INDS INC. 4,388,243 3,238,240 4.80NA A+ 61,540 PRAXAIR INC. 3,944,864 4,373,648 2.30NA B 2,830 QUAKER CHEMICAL 36,399 37,611 6.90NA B 4,900 RAYONIER INC. 159,224 178,115 5.50NA B+ 1,300 ROCK TENN CO. 33,813 49,608 1.10NA NR 12,800 ROCKWOOD HLDGS INC. 118,604 187,392 0.00NA B 2,500 ROYAL GOLD INC. 105,179 104,250 0.80NA B 7,600 RPM INTL INC. 103,845 106,704 5.70NA B- 5,975 RTI INTL METALS INC. 90,320 105,578 0.00NA B+ 8,303 SCHNITZER STL INDS INC. 385,908 438,897 0.10NA B 6,100 SCHULMAN A INC. 96,133 92,171 4.00NA B 1,800 SCOTTS MIRACLE GRO CO. 72,397 63,090 1.40NA B 24,382 SEALED AIR CORP. NEW 352,468 449,848 2.60NA A+ 14,268 SIGMA ALDRICH 558,116 707,122 1.20NA B+ 60,960 SILGAN HLDGS INC. 1,930,754 2,988,869 1.60NA NR 24,500 SOLUTIA INC. 140,196 141,120 0.00NA B+ 8,100 SONOCO PRODS CO. 184,077 193,995 4.50NA B 99,499 SOUTHERN COPPER CORP. DEL 1,878,991 2,033,760 0.90NA C 7,900 SPARTECH CORP. 32,209 72,601 0.00NA B 14,800 STEEL DYNAMICS INC. 183,909 218,004 2.00NA C 9,100 STILLWATER MNG CO. 42,372 51,961 0.00NA NR 1,900 SUTOR TECHNOLOGY GROUP LTD 5,045 6,213 0.00NA B- 1,800 SYMYX TECHNOLOGIES INC. 8,799 10,530 0.00NA B 8,600 TEMPLE INLAND INC. 51,935 112,832 3.10NA B- 6,200 TEXAS INDS INC. 202,005 194,432 1.00NA B- 13,808 TITANIUM METALS CORP. 158,127 126,896 0.00NA C 8,600 U S CONCRETE INC. 24,940 17,028 0.00NA B 22,651 UNITED STATES STEEL CORP. NEW 779,540 809,547 0.60NA B 1,800 UNIVERSAL STAINLESS & ALLOY PR 26,242 29,286 0.00NA C 20,700 US GOLD CORP. 54,265 54,648 0.00NA B- 29,200 USEC INC. 153,440 155,344 0.00NA B- 400 VALHI INC. NEW 3,669 2,972 5.40NA B+ 14,400 VALSPAR CORP. 309,692 324,432 2.70NA B+ 18,031 VULCAN MATERIALS CO. 893,799 777,136 4.60NA C 7,000 WAUSAU PAPER CORP. 70,559 47,040 0.00ILLINOIS STATE BOARD OF INVESTMENT67

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Materials (continued)NA NR 5,100 WESTLAKE CHEMICAL CORP. 73,691 103,989 1.00NA C 1,900 WESTMORELAND COAL CO. 15,718 15,390 0.00NA B- 32,951 WEYERHAEUSER CO. 1,169,542 1,002,699 3.30NA B 1,300 WORTHINGTON INDS INC. 13,695 16,627 3.10NA C 7,200 ZOLTEK COMPANIES INC. 72,227 69,984 0.00Total Materials 122,605,383 111,517,856Private PlacementNA NR 12,444 ARENA BRANDS HOLDING CORP. 124,440 128,796 0.00NA NR 400 GLI HOLDING CO. 0 4 0.00NA NR 101,610 INVESTCO LTD 1,302,454 1,810,690 0.00NA NR 182,519 MOSSIMO, INC. 0 0 0.00NA NR 11,486 PFD SIRF TECH HLDGS 16,768 16,768 0.00NA NR 1,500 VIRTUS INVT PARTNERS INC. 9,068 22,035 0.00NA NR 4,600 WALTER INV MGMT CORP. 62,107 61,088 0.00Total Private Placement 1,514,837 2,039,381Rights/WarrantsNA NR 51,500 CITIGRP CW12 NESTLE INDIA 1,495,217 2,150,034 0.00NA NR 1,213,183 CLSA FINANCIAL PRODUCTS LTD 9,554,851 10,030,741 0.00NA NR 54,610 J P MORGAN IN'TL DERIVATIVES 1,507,743 2,512,875 0.00NA NR 6,207 RAYTHEON CO. 0 58,160 0.00NA NR 9,600 SEALY CORPORATION 10,873 20,352 0.00Total Rights/Warrants 12,568,684 14,772,162TelecommunicationsNA B 45,274 AMERICAN TOWER CORP. 1,626,842 1,427,488 0.00NA B+ 1,540,634 AT&T INC. 42,648,220 38,269,349 6.60NA A 2,377 ATLANTIC TELE NETWORK INC. 52,722 93,392 1.80NA NR 11,214 CBEYOND INC. 217,081 160,921 0.00NA A- 97,305 CENTURYTEL INC. 3,309,089 2,987,264 9.10NA B 45,600 CINCINNATI BELL INC. NEW 69,768 129,504 0.00NA NR 5,200 CLEARWIRE CORP. NEW 26,008 28,756 0.00NA NR 2,900 CONSOLIDATED COMM HOLDINGS INC. 34,332 33,959 13.20NA C 19,331 CROWN CASTLE INTL CORP. 445,544 464,331 0.00NA B 3,700 D & E COMMUNICATIONS INC. 38,782 37,851 4.90NA NR 3,100 ECHOSTAR CORP. 45,700 49,414 0.00NA NR 22,286 EMBARQ CORP. 768,143 937,349 6.50NA B- 700 EMS TECHNOLOGIES INC. 16,711 14,630 0.00NA NR 1,339 FAIRPOINT COMMUNICATIONS INC. 12,805 803 0.00NA B- 42,591 FRONTIER COMMUNICATIONS CORP. 367,977 304,100 14.00NA B 4,625 GENERAL COMMUNICATION INC. 31,953 32,051 0.00NA NR 1,046 GLOBAL CROSSING LTD 7,191 9,602 0.00NA NR 15,300 HARRIS STRATEX NETWORKS 89,321 99,144 0.00NA NR 7,100 IBASIS INC. 7,657 9,301 0.00NA NR 7,200 IOWA TELECOMMUNICATION SVCS 94,802 90,072 13.00NA NR 54,720 IPCS INC. DEL 839,727 818,611 0.00NA C 28,234 JDS UNIPHASE CORP. 311,959 161,498 0.00NA NR 2,900 LEAP WIRELESS INT'L INC. 86,206 95,497 0.00NA C 132,600 LEVEL 3 COMMUNICATIONS INC. 185,839 200,226 0.00NA NR 21,700 LIBERTY GLOBAL INC. 338,379 344,813 0.00NA NR 10,100 METROPCS COMMUNICATIONS INC. 202,704 134,431 0.00NA NR 44,400 NEUSTAR INC. 730,382 983,904 0.00NA NR 72,582 NII HLDGS INC. 1,205,559 1,384,139 0.00NA B- 3,600 PREMIERE GLOBAL SVCS INC. 33,043 39,024 0.00NA B- 228,877 QWEST COMMUNICATIONS INT'L INC. 822,210 949,840 7.70NA C 4,700 SBA COMMUNCATIONS CORP. 127,099 115,338 0.00NA B 439,905 SPRINT NEXTEL CORP. 2,010,496 2,115,943 0.00NA B 3,700 SUREWEST COMMUNICATIONS. 40,891 38,739 0.00NA NR 3,000 SYNIVERSE HLDGS INC. 38,850 48,090 0.00NA B 7,400 TELEPHONE & DATA SYS INC. 223,014 209,420 1.50NA B 5,900 TW TELECOM INC. 58,242 60,593 0.00NA B- 1,300 UNITED STATES CELLULAR CORP. 52,862 49,985 0.00NA B 527 USA MOBILITY INC. 4,806 6,725 7.80NA B 773,635 VERIZON COMMUNICATIONS 27,288,245 23,773,804 6.00NA NR 6,200 VIRGIN MOBILE USA INC. 27,165 24,924 0.00NA NR 147,521 WINDSTREAM CORP. 1,448,049 1,233,276 12.00Total Telecommunications 85,986,375 77,968,101UtilitiesNA B 206,477 AES CORP. 1,686,268 2,397,198 0.00NA A 41,278 AGL RES INC. 1,485,525 1,312,640 5.40NA B 22,293 ALLEGHENY ENERGY INC. 557,681 571,815 2.30NA B 6,900 ALLETE INC. 214,766 198,375 6.10NA B 9,000 ALLIANT ENERGY CORP. 246,930 235,170 5.70ILLINOIS STATE BOARD OF INVESTMENT68

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Utilities (continued)NA B+ 33,048 AMEREN CORP. 1,079,199 822,565 6.20NA B 148,606 AMERICAN ELEC POWER INC. 4,411,105 4,293,227 5.70NA B+ 4,800 AMERICAN STS WTR CO. 163,922 166,272 2.90NA NR 4,800 AMERICAN WATER WORKS 96,068 91,728 4.20NA A 11,000 AQUA AMER INC. 220,194 196,900 3.00NA A- 1,600 ARTESIAN RES CORP. 26,306 25,488 4.50NA A- 68,550 ATMOS ENERGY CORP. 1,809,147 1,716,492 5.30NA B+ 148,072 AVISTA CORP. 2,988,962 2,637,162 4.70NA B 73,247 BLACK HILLS CORP. 2,631,373 1,683,949 6.20NA B+ 4,700 CALIFORNIA WATER SERVICE GROUP 206,624 173,148 3.20NA NR 19,700 CALPINE CORP. 295,341 219,655 0.00NA B 40,896 CENTERPOINT ENERGY INC. 458,770 453,128 6.90NA B+ 3,014 CENTRAL VT PUBLIC SERVICE 65,455 54,553 5.10NA B+ 4,100 CH ENERGY GROUP INC. 207,620 191,470 4.60NA B+ 1,800 CHESAPEAKE UTILS CORP. 52,737 58,554 3.90NA B 15,700 CLECO CORP. NEW 358,782 351,994 4.00NA B 164,460 CMS ENERGY CORP. 1,958,390 1,986,677 4.10NA A- 2,100 CONNECTICUT WTR SVC INC. 49,582 45,549 4.10NA B+ 42,584 CONSOLIDATED EDISON INC. 1,730,158 1,593,493 6.30NA B+ 2,500 CONSOLIDATED WATER CO LTD 41,654 39,625 1.60NA B 24,737 CONSTELLATION ENERGY GROUP INC. 913,299 657,509 3.60NA B+ 91,816 DOMINION RES INC. VA NEW 3,008,747 3,068,491 5.20NA B+ 8,800 DPL INC. 194,233 203,896 4.90NA B 25,161 DTE ENERGY CO. 892,995 805,152 6.60NA B 200,226 DUKE ENERGY HLDG CORP. 2,899,359 2,921,297 6.60NA B- 91,668 DYNEGY INC. DEL 235,373 208,086 0.00NA B 107,304 EDISON INT'L 2,563,433 3,375,784 3.90NA B 11,700 EL PASO ELECTRIC CO. 204,769 163,332 0.00NA B+ 8,884 EMPIRE DIST ELEC CO. 158,781 146,764 7.80NA A 20,400 ENERGEN CORP. 693,268 813,960 1.30NA A 30,596 ENTERGY COR.P NEW 2,200,912 2,371,802 3.90NA B+ 15,600 EQT CORP. 573,670 544,596 2.50NA B+ 102,188 EXELON CORP. 4,958,717 5,233,047 4.10NA A- 47,482 FIRSTENERGY CORP. 2,172,627 1,839,928 5.70NA B+ 1,600 FLORIDA PUB UTILITIES CO. 23,570 22,448 3.40NA A 88,970 FPL GROUP INC. 4,353,768 5,058,834 3.30NA B 10,986 GREAT PLAINS ENERGY INC. 151,300 170,832 5.30NA B+ 7,400 HAWAIIAN ELEC INDS INC. 140,014 141,044 6.50NA B 11,900 IDACORP INC. 353,811 311,066 4.60NA B+ 11,084 INTEGRYS ENERGY GROUP INC. 455,571 332,409 9.10NA NR 21,731 ITC HLDGS CORP. 903,172 985,718 2.70NA B+ 5,800 LACLEDE GROUP INC. 243,700 192,154 4.70NA A 15,000 MDU RES GROUP INC. 282,180 284,550 3.30NA B+ 6,000 MGE ENERGY INC. 192,728 201,300 4.30NA A- 3,500 MIDDLESEX WATER CO. 58,241 50,575 4.90NA NR 82,000 MIRANT CORP. NEW 1,471,103 1,290,680 0.00NA NR 5,500 NALCO HLDG CO. 110,153 92,620 0.80NA B+ 5,800 NATIONAL FUEL GAS CO. NJ 180,132 209,264 3.70NA A 8,900 NEW JERSEY RES CORP. 352,530 329,656 3.40NA NR 5,586 NGP CAP RES CO. 48,374 32,790 8.20NA B 14,814 NICOR INC. 516,452 512,861 5.40NA B 42,122 NISOURCE INC. 511,833 491,143 7.90NA B 27,100 NORTHEAST UTILITIES 601,073 604,601 4.30NA A- 6,900 NORTHWEST NAT GAS CO. 300,377 305,808 3.60NA NR 9,375 NORTHWESTERN CORP. 216,836 213,375 5.90NA NR 21,600 NRG ENERGY INC. 477,454 560,736 0.00NA A- 8,700 NSTAR 287,808 279,357 4.70NA B 143,200 NV ENERGY INC. 1,371,653 1,545,128 3.70NA A- 98,100 OGE ENERGY CORP. 2,293,032 2,778,192 5.00NA A- 8,600 ONEOK INC. NEW 243,183 253,614 5.40NA NR 4,500 ORION ENERGY SYSTEMS 17,017 16,875 0.00NA NR 800 ORMAT TECHNOLOGIES INC. 31,537 32,248 0.60NA B+ 36,879 OTTER TAIL CORP. 782,670 805,437 5.50NA B 900 PENNICHUCK CORP. 19,126 20,520 3.10NA B 33,593 PEPCO HLDGS INC. 625,687 451,490 8.00NA C 135,840 PETROHAWK ENERGY CORP. 1,941,785 3,029,232 0.00NA B 57,181 PG&E CORP. 1,833,761 2,198,038 4.40NA A 17,900 PIEDMONT NAT GAS INC. 464,045 431,569 4.50NA NR 2,300 PIKE ELECTRIC CORP. 26,570 27,715 0.00NA B 72,359 PINNACLE WEST CAP CORP. 3,119,045 2,181,624 7.00NA B 22,500 PNM RES INC. 239,682 240,975 4.70NA NR 19,500 PORTLAND GEN ELEC CO. 363,720 379,860 5.20NA B+ 43,237 PPL CORP. 1,436,712 1,425,092 4.20NA B 43,338 PROGRESS ENERGY INC. 1,664,857 1,639,477 6.60NA B+ 78,975 PUBLIC SVC ENTERPRISE GROUP 2,212,482 2,576,954 4.10ILLINOIS STATE BOARD OF INVESTMENT69

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldCOMMON STOCK AND EQUITY FUNDS (continued) $ $ %Utilities (continued)NA A 27,081 QUESTAR CORP. 898,357 841,136 1.60NA NR 28,478 RRI ENERGY INC. 115,470 142,675 0.00NA B 18,600 SCANA CORP. NEW 627,015 603,942 5.80NA B+ 95,284 SEMPRA ENERGY 4,041,607 4,728,945 3.10NA A 3,329 SJW CORP. 89,914 75,568 2.90NA A- 25,748 SOUTH JERSEY INDS INC. 945,621 898,348 3.40NA A- 121,300 SOUTHERN CO. 3,999,987 3,779,708 5.60NA B 72,556 SOUTHERN UN CO. NEW 1,691,009 1,334,305 3.30NA B+ 11,688 SOUTHWEST GAS CORP. 284,317 259,590 4.30NA B+ 6,300 SOUTHWEST WTR CO. 25,812 34,776 1.80NA NR 107,298 SPECTRA ENERGY CORP. 1,775,343 1,815,482 5.90NA B 32,642 TECO ENERGY INC. 418,158 389,419 6.70NA NR 3,500 U S GEOTHERMAL INC. 6,375 4,970 0.00NA A 66,691 UGI CORP. NEW 1,531,382 1,699,954 3.10NA B 7,616 UIL HLDG CORP. 206,781 170,979 7.70NA B 8,900 UNISOURCE ENERGY CORP. 248,684 236,206 4.40NA B+ 2,700 UNITIL CORP. 56,272 55,674 6.70NA B+ 6,600 VECTREN CORP. 159,821 154,638 5.70NA B 8,800 WESTSTAR ENERGY INC. 162,197 165,176 6.40NA B+ 12,800 WGL HLDGS INC. 418,664 409,856 4.60NA B+ 18,037 WISCONSIN ENERGY CORP. 772,956 734,286 3.30NA B 70,192 XCEL ENERGY INC. 1,176,584 1,292,235 5.30NA A 1,800 YORK WTR CO. 28,659 27,594 3.30Total Utilities 95,312,471 96,433,794TOTAL COMMON STOCK & EQUITY FUNDS 2,844,031,226 2,610,218,733COMMINGLED AND OTHER ASSETS82,520 AMALGAMATED BANK NYC 152,488,084 153,534,114 0.00NA A- 800 CITIZENS HLDG CO. MISS 28,329 24,960 2.60NA NR 2,198 DREYFUS INSTL CASH ADVANT FDS 2,198 2,198 0.00NA NR 1,300 FEDERAL MOGUL CORP. 11,702 12,285 0.00NA NR 41,945 ISHARES TR 2,254,673 2,137,517 0.00NA NR 44,260 SPDR SER TR 1,556,111 811,286 0.00NA NR 1,151,842 TBA WESTERN/LEHMAN RECEIVABLE 39,775 0 0.00NA NR 631,402 TEMPORARY INVT FD INC. 13,655,732 14,484,359 0.00NA NR 13,968 ULLICO J FOR JOBS 140,015,518 164,477,465 0.00TOTAL COMMINGLED AND OTHER ASSETS 310,052,122 335,484,184PREFERRED STOCKNA NA 701 GTECH CORP. 0 7 0.00NA C 666 PREFERRED BLOCKER INC. 279,304 286,422 0.00TOTAL PREFERRED STOCK 279,304 286,429FOREIGN EQUITY SECURITIESConsumer DiscretionaryNA NA 37,608 ACCOR 2,147,600 1,490,476 5.80NA NA 15,848 ADIDAS AG 924,576 602,411 1.90NA NA 460,323 AEGIS GROUP 504,947 697,436 2.70NA NA 26,100 AEON CO LTD 371,821 258,335 1.80NA NA 239,700 AGA FOODSERVICE GP 348,490 363,170 0.00NA NA 65,916 AGFA GEVAERT NV 173,862 187,688 0.00NA NA 100,600 AISAN INDUSTRY CO. 541,008 816,393 1.50NA NA 11,358 AISIN SEIKI CO. 386,608 246,619 1.00NA NR 800 ALIMENTATION COUCHE TARD INC. 10,332 9,692 0.00NA NA 9,000 ALPEN CO LTD 147,755 163,051 1.70NA NA 26,500 ALPINE ELECTRONICS 440,470 274,379 0.00NA NA 62,791 ANTENA 3 TV 313,950 473,837 6.70NA NA 39,600 AOYAMA TRADING CO. 1,125,736 683,771 2.40NA NA 43,869 ARISTOCRAT LEISURE 197,937 134,416 12.20NA NA 29,455 ARN MONDADORI EDIT 100,230 113,720 0.00NA NA 2,000 ASICS CORP. 25,375 18,241 1.10NA NA 33,616 AUTOGRILL SPA 186,750 283,145 0.00NA NA 380,600 AUTOMOTIVE HLDG GP 391,161 440,005 0.00NA NA 263 B2W CIA GLOBAL 8,051 4,980 0.00NA NA 140,427 BARRATT DEVEL 324,621 341,112 8.30NA NA 13,852 BAYER MOTOREN WERK 325,334 333,022 1.90NA NA 216,177 BAYERISCHE MOTOREN WERKE AG 10,341,707 8,138,445 1.10NA NA 54,844 BELLE INTERNATIONA 34,491 48,262 0.00NA NA 78,690 BETSSON AB 797,249 886,143 0.00NA NA 12,723 BOSS (HUGO) AG 310,756 312,839 7.90NA NA 36,100 BRIDGESTONE CORP 700,354 566,833 1.10NA NA 702,824 BRITISH SKY BROADCAST 6,951,993 5,266,377 3.80ILLINOIS STATE BOARD OF INVESTMENT70

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Consumer Discretionary (continued)NA NA 18,029 BURBERRY GROUP 207,693 125,593 2.80NA NA 15,071 BWIN INTERACTIVE ENTERTAINMENT 390,509 657,222 0.00NA NA 374,000 CAFE DE CORAL HLDG 768,603 746,065 3.20NA A+ 400 CANADIAN TIRE LTD 16,102 18,943 1.50NA NR 59,831 CARNIVAL CORP 1,560,560 1,541,845 0.00NA NA 11,402 CARNIVAL PLC 465,165 301,752 0.00NA NA 51,600 CASIO COMPUTER CO. 360,490 461,531 2.70NA NA 21,000 CENTRAL SPORTS JPY50 211,669 189,356 1.70NA NA 3,128 CHEIL WORLDWIDE INC 369,832 574,553 3.40NA NA 18,000 CHINA RESOURCES EN 53,734 36,093 2.60NA NA 795,000 CHINA TING GROUP H 93,687 92,322 0.00NA NA 76,000 CHINA TRAVEL INTL 12,837 16,769 1.80NA NA 4,028 CHRISTIAN DIOR 262,208 300,404 3.00NA NA 31,400 CIRCLE K SUNKUS CO. 527,806 490,111 2.70NA NA 13,000 CITY DEVELOPMENTS 83,156 77,065 0.90NA NA 1,055,615 COMPASS GROUP 6,462,172 5,941,116 3.60NA NA 48,100 CORUS ENTERTAINMENT INC. 660,237 615,047 0.00NA NA 6,419 CROWN LTD 61,448 37,727 7.80NA NR 1,300 CTC MEDIA INC. 12,262 15,366 0.00NA NA 818 D IETEREN TRADING 141,948 168,089 2.10NA NA 24,000 DAIHATSU DIESEL 142,634 157,455 1.30NA NA 135,500 DAIICHI KOSHO CO. 1,368,232 1,474,582 3.30NA NA 75,969 DAILY MAIL & GEN TST 502,921 355,311 5.20NA NA 26,000 DAIWA HOUSE INDS 318,540 280,251 1.60NA NA 184,955 DAVID JONES LTD 438,371 680,347 5.90NA NA 55,300 DCM JAPAN HOLDING 421,788 378,850 0.00NA NA 1,653,943 DEBENHAMS ORD 1,520,063 2,206,274 0.60NA NA 7 DENA CO. LTD 24,189 23,434 0.60NA NA 31,297 DENSO CORP. 1,059,740 804,442 1.30NA NA 7,000 DENTSU INC. 189,845 147,277 1.20NA NA 410,000 DENWAY MOTORS LTD 159,486 163,999 2.60NA NA 199,985 DOMINOS PIZZA 647,814 677,628 0.00NA NA 34,400 DOSHISHA CO. 439,275 501,284 3.20NA NA 30,000 EAGLE INDUSTRY CO 211,979 126,859 1.50NA NA 16,491 ELECTROLUX AB 362,640 229,342 0.00NA NA 253,611 ENIRO AB 236,638 232,405 0.00NA NA 45,600 ESPRIT HOLDINGS 494,345 254,476 4.50NA NA 35,242 EUTELSAT COMMPROM 906,279 908,811 3.30NA NA 17,048 FAIRFAX MEDIA LTD 43,592 16,815 13.00NA NA 2,400 FAST RETAILING CO 159,115 313,417 1.20NA NA 25,500 FCC CO LTD 271,433 349,655 2.00NA NA 75,910 FIAT SPA 1,233,113 762,362 0.00NA NA 7,420 FIELMANN AG 491,895 490,097 4.10NA NA 7 FISHER & PAYKEL AP 4 3 7.50NA NA 12,095 FOLLI FOLLIE 236,048 249,895 0.70NA B 52,300 FORZANI GROUP LTD 375,904 647,136 2.10NA NA 198,800 FUJI FILM HLD CORP. 6,845,694 6,304,897 0.80NA NA 68,000 FUJI HEAVY INDS 267,852 275,566 0.00NA NA 24 FUJI MEDIA HOLDINGS INC. 48,532 36,192 1.10NA NA 31,000 FUJITSU GENERAL 90,425 97,995 1.60NA NA 9,500 FUKOKU CO. 74,605 45,686 1.10NA NA 9,000 FURUKAWA BATTERY 72,462 86,563 0.50NA NA 1,829,000 GALAXY ENTERTAINMENT 497,089 481,437 0.00NA NA 470,706 GALIFORM 173,631 273,252 0.00NA NA 980,000 GEELY AUTOMOBILE H 175,710 177,031 1.10400 GILDAN ACTIVEWEAR INC. 9,101 5,934 0.00NA NA 89,000 GOLDWIN INC. 181,487 229,683 0.00NA NA 1,536,000 GOME ELECTRICAL AP 644,010 382,511 1.6064,888 GRAFTON GROUP 245,502 238,460 0.00NA NA 123,000 GREENE KING 589,821 783,410 6.70NA NA 40,341 GRUPO TELEVISA SA 190,502 137,163 3.90NA NA 20,293 GS HOME SHOPPING I 1,136,336 1,035,398 4.60NA NA 199,000 GUNZE LIMITED 1,055,329 886,874 1.70NA NA 6,100 H.I.S. CO. 95,369 134,347 1.10NA NA 34,000 H20 RETAILING CORP. 276,614 193,460 2.30NA NA 128,804 HALFORDS GROUP 615,455 660,226 5.10NA NA 63,600 HANDSOME CORP. 419,628 531,685 1.90NA NA 111,500 HEADLAM GROUP 452,164 465,945 7.80NA NA 88,000 HEIWA CORP. 986,727 1,017,858 4.50NA NA 19,000 HEIWADO CO. 321,886 230,792 2.10NA NA 26,556 HENNES & MAURITZ 1,395,825 1,319,600 4.00NA NA 3,890 HERMES INT'L 446,870 540,175 1.00NA NA 170,726 HMV GROUP 328,529 317,008 6.60NA NA 44,474 HOME RETAIL GROUP 319,303 190,429 5.70NA NA 106,269 HONDA MOTOR CO. 3,210,776 2,929,736 1.20ILLINOIS STATE BOARD OF INVESTMENT71

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Consumer Discretionary (continued)NA NA 71,390 HONEYS CO LTD 552,068 530,514 2.80NA NA 19,200 HUNTER DOUGLAS NV 495,629 783,689 3.40NA NA 82,290 HUSQVARNA AB 552,008 446,082 0.00NA NA 435,830 INCHCAPE 87,727 136,372 0.00NA NA 38,948 INDESIT COMPANY 137,169 198,855 0.00NA NA 10,292 INDITEX 532,855 493,281 2.50NA NA 12,160 INTERCONTINENTAL HOTELS 236,687 124,760 0.00NA NA 9,500 ISETAN MITSUKOSHI 99,558 96,886 0.00NA NA 133,000 ISUZU MOTORS 235,562 213,660 0.00NA NA 3,400 J FRONT RETAILING 19,829 16,245 0.00NA NA 3,077 JARDINE CYCLE & CARRIAGE LTD 31,870 40,818 3.80NA NA 162,164 JB HI FI 1,577,764 2,018,963 2.00NA NA 511 JC DECAUX SA 8,933 8,110 0.00NA NA 27,700 K S HOLDINGS CORP. 486,790 717,728 1.20NA NA 27,600 KANTO AUTO WORKS 320,984 267,747 0.00NA NA 4,400 KAPPA CREATE CO. 79,996 90,567 2.00NA NA 1,322,592 KINGFISHER 4,730,141 3,872,680 3.00NA NA 36,100 KOHNAN SHOJI 501,813 356,566 1.90NA NA 28,000 KONICA MINOLTA HOLDINGS INC. 344,309 292,522 1.50339,806 KONINKLIJKE PHILIPS ELECTRS N 9,429,003 6,259,227 5.40NA NA 1,600 KUONI REISEN HLDG 509,927 496,529 3.00NA NA 33,793 LADBROKES 254,881 102,400 7.70NA NA 7,476 LAGARDERE SCA 546,479 248,209 5.50NA NA 185,729 LANDI RENZO SPA 797,154 832,339 2.40NA NA 19,500 LG ELECTRONICS INC. 603,910 1,790,887 0.30NA NA 72,000 LI & FUNG 238,054 193,237 2.70NA NA 9,000 LIFESTYLE INTERNATIONAL 7,914 12,495 2.20NA NA 3,478 LOJAS AMERICANAS S 22,823 16,291 0.90NA NA 106 LOJAS RENNER SA 1,818 1,169 1.70NA NA 9,751 LOTTOMATICA SPA 215,331 187,789 5.00NA NA 156,700 LUMINAR GROUP HLDG GBP0.25 474,838 297,416 0.00NA NA 6,963 LUXOTTICA GROUP 204,449 145,426 0.00NA NA 18,715 LVMH MOET HENNESSY LOUIS VUITTON 1,857,256 1,428,033 2.90NA B 2,187 MAGNA INT'L INC. 162,440 92,934 0.00NA NA 4,519 MAKITA CORP. 163,639 109,363 1.20NA NA 197,000 MANDARIN ORIENTAL 161,506 262,010 5.30NA NA 79,030 MARKS & SPENCER GROUP 862,420 398,261 5.80NA NA 8,800 MARS ENGINEERING 245,489 252,640 2.40NA NA 1,000 MARUI GROUP CO. LTD 11,439 7,048 2.10NA NA 87,000 MAZDA MOTOR CORP. 227,935 222,719 1.20NA NA 26,947 MEDIASET 237,108 150,905 8.00NA NA 15,878 METRO AG 1,284,579 757,669 3.50NA NA 51,065 METROPOLE TV (M6) 910,374 965,523 6.30NA NA 107,172 MICHELIN(CGDE) 7,253,437 6,103,941 2.50NA NA 12,000 NAFCO CO. LTD 166,010 210,188 2.00NA NA 6,400 NAMCO BANDAI HLDGS 80,316 70,311 2.30NA NA 8,064 NASPERS 179,099 211,977 1.00NA NA 2,906 NET SERVICOS DE CO NEW 35,600 28,173 0.00NA NA 27,097 NEXT GROUP 697,668 655,537 3.70NA NA 7,000 NGK SPARK PLUG CO. 109,450 66,819 1.20NA NA 79,000 NHK SPRING CO. 830,210 529,751 1.10NA NA 13,562 NIKON CORP. 335,666 235,299 0.50NA NA 38,000 NIPPON SEIKI CO. 295,396 394,631 1.00NA NA 212,600 NISSAN MOTOR CO. 1,768,391 1,291,222 0.00NA NA 1,100 NITORI CO 66,937 77,981 0.60NA NA 5,600 NOK CORP. 99,956 65,179 0.50NA NA 30,956 NOKIAN RENKAAT OYJ 420,206 581,834 3.00NA NA 8,700 OHARA INC. 154,079 123,081 1.10NA NA 31,000 OLAM INTERNATIONAL 21,801 52,047 1.00NA NA 8,808 OPAP (ORG OF FOOTB) 304,705 234,736 11.60NA NA 1,800 ORIENTAL LAND CO. LTD 125,287 120,516 1.205,512 ORIFLAME COSMETICS 343,493 238,682 0.00NA NA 129,000 PACE PLC 292,923 422,232 0.30NA NA 2,033 PAGESJAUNES GROUPE 26,095 19,759 13.90NA NA 104,400 PANASONIC CORP. 1,786,978 1,408,808 0.80NA NA 167,699 PARADISE CO 302,155 414,657 4.80NA NA 14,000 PARKSON RETAIL GROUP 14,206 20,015 1.50NA NA 122,000 PEACE MARK(HLDGS) 123,396 23,613 0.00NA NA 537,820 PEARSON 6,821,839 5,398,394 5.60NA NA 39,347 PERSIMMON 222,595 226,795 1.40NA NA 21,854 PEUGEOT SA 1,314,099 573,834 0.00NA NA 9,484 PHOENIX SONNENSTRO 338,772 433,669 0.90NA NA 299,702 PIAGGIO & C SPA 623,801 601,139 0.00NA NA 14,000 PIOLAX CO. 264,731 210,686 0.00NA NA 341,273 PIRELLI & CO. SPA 143,589 119,384 0.00ILLINOIS STATE BOARD OF INVESTMENT72

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Consumer Discretionary (continued)NA NA 7,950 POINT INC. 458,522 426,812 1.90NA NA 9,150 PORSCHE AUTOMOBILE HOLDING SE 1,622,189 613,477 5.70NA NA 5,634 PPR 812,235 459,572 5.70NA NA 171,700 PROMOTORA DE INFOR 687,001 905,540 4.00NA NA 27,054 PUBLICIS GROUPE SA 931,601 824,595 2.80NA NA 2,276 PUMA AG 542,762 497,924 1.80NA NA 322 RAKUTEN INC. 131,196 193,898 0.20NA NA 43,996 RALLYE 915,691 1,163,870 9.70NA NA 409,800 RAYMARINE 423,414 79,298 28.30NA NA 318,141 RECKITT BENCKISER GROUP PLC 16,239,269 14,491,914 2.90NA NA 100,016 REED ELSEVIER NV 1,386,953 839,707 5.20NA NA 23,858 RENAULT (REGIE NATIONALE) 2,154,615 875,764 0.00NA NA 27,422 RICHEMONT CIE FIN 833,581 569,343 0.00NA NA 51,700 ROLAND CORPORATION 635,849 635,500 1.70NA NR 61,100 RONA INC. 679,192 670,267 0.00NA NA 21,700 ROUND ONE CORP. 155,995 216,134 2.10NA NA 940,000 SA SA INTL HLDGS 296,089 352,953 7.90NA NA 55,200 SANEI INTL CO. 518,939 475,995 6.00NA NA 2,000 SANKYO CO. 84,516 106,752 2.90NA NA 26,478 SANOMA OYJ 396,572 410,390 8.10NA NA 118,000 SANYO ELECTRIC CO. 191,065 305,747 0.00NA NA 23,000 SEB SA 719,295 951,698 3.20NA NA 9,200 SEGA SAMMY HOLDINGS INC. 130,105 116,615 2.50NA NA 15,000 SEKISUI CHEMICAL 106,070 94,212 1.70NA NA 20,000 SEKISUI HOUSE 245,153 203,140 2.0014,841 SES 265,549 282,899 0.00NA NA 48,000 SHANGRI LA ASIA LTD 63,679 71,225 2.10NA NA 54,000 SHARP CORP 814,585 561,352 1.40NA NR 6,030 SHAW COMMUNICATIONS 128,849 101,664 4.30NA NA 200 SHIMAMURA CO. 14,492 15,920 1.50NA NA 112,700 SHIMANO INC. 3,635,552 4,310,131 1.70NA NA 99,400 SHOWA CORP. 512,449 435,780 1.70NA NA 10 SIGNET JEWELERS LT 74 202 0.00NA NA 80,000 SINGAPORE PRESS HD 192,835 174,664 5.10NA NA 261,201 SKY CITY ENTERTAINMENT LTD 436,552 453,472 7.30NA NA 136,970 SKY DEUTSCHLAND AG 241,971 553,309 0.00NA NA 280 SKY PERFECT JSAT HOLDINGS INC. 118,195 106,794 0.00NA NA 18,755 SODEXO 1,152,164 962,562 3.50NA NA 92,302 SOGEFI 192,164 133,351 0.00NA NA 95,900 SONY CORP. 2,237,887 2,509,691 1.00NA NA 206,836 SPORTS DIRECT INT'L 306,871 278,463 0.00NA NA 5,200 STANLEY ELECTRIC 108,863 105,525 1.40NA NA 21,998 STEINHOFF INT'L HLD 55,596 38,171 4.50NA NA 396,000 STELLA INT'L HLDG 337,147 638,706 0.00NA NA 101,546 STW COMMUNICATIONS 50,495 52,951 12.40NA NA 7,700 SUMITOMO RUBBER 83,249 61,929 2.10NA NA 67,000 SUNCALL CORP. 376,683 191,657 3.30NA NA 33,300 SUZUKI MOTOR CORP. 510,057 748,935 0.70NA NA 9,292 SWATCH GROUP 492,518 303,738 2.40NA NA 7,826 TABCORP HLDGS LTD 62,204 45,301 4.90NA NA 76,200 TACHI S CO. 477,574 613,644 1.40NA NA 5,000 TAKASHIMAYA CO. 54,039 39,436 1.3013,878 TATA MTRS LTD 193,210 118,241 1.50NA NA 64,484 TATTS GROUP LTD 118,274 132,937 3.90NA NA 1,319,009 TAYLOR WIMPEY PLC 800,314 727,690 0.00NA NA 11,882 TELEPERFORMANCE 463,893 361,159 2.00NA NA 7,000 TELEVISION BROADCT 25,678 28,135 5.50NA NA 712,000 TEXWINCA HLDGS 361,874 568,678 7.00NA NA 8,303 TF1 TV FRANCAISE 218,171 93,088 5.90NA NA 240,500 THE GAME GROUP 508,242 651,531 3.30NA NA 152,808 THOMAS COOK GROUP 468,406 517,144 0.003,243 THOMSON REUTERS CORPORATION 135,345 94,524 0.00NA NA 9,453 THOMSON REUTERS PL 297,023 269,632 0.00NA NA 316,100 THOMSON SA 473,269 276,668 0.00NA NR 7,266 TIM HORTONS INC. 195,574 178,308 1.40NA NA 48,000 TOEI CO. 218,775 238,794 1.30NA NA 1,200 TOHO CO. 19,777 19,589 1.30NA NA 1,700 TOKYO BROADCASTING SYSTEN HD 47,085 26,711 0.30NA NA 71,000 TOKYO DOME CORP. 252,561 239,892 1.50NA NA 132,000 TOPRE CORPORATION 1,394,361 1,080,790 1.80NA NA 2,300 TOYODA GOSEI 63,850 62,217 0.90NA NA 10,800 TOYOTA BOSHOKU CORP. 139,901 161,298 0.70NA NA 12,700 TOYOTA INDUSTRIES 508,863 316,562 1.30NA NA 80,000 TRELLEBORG AB 278,820 265,364 0.00NA NA 21,968 TUI AG 554,426 161,616 0.00ILLINOIS STATE BOARD OF INVESTMENT73

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Consumer Discretionary (continued)NA NA 39,943 TUI TRAVEL PLC 193,120 152,445 4.30NA NA 273 TV ASAHI CORP. 409,145 409,988 1.40NA NA 164,200 UNIPRES 1,386,631 1,817,543 0.50NA NA 51,100 UNY CO LTD 436,306 436,933 2.20NA NA 4,860 USS 308,711 250,342 2.90NA NA 10,617 VALEO 199,369 195,233 0.00NA NA 790 VALORA HLDG AG 207,224 142,666 4.60NA NR 23,450 VIRGIN MEDIA INC. 114,952 219,258 1.70NA NA 214,228 VIVENDI SA 6,403,462 5,118,796 8.20NA NA 12,453 VOLKSWAGEN AG 2,917,598 2,468,261 4.80NA NA 80,254 WAL MART DE MEXICO SAB DE CV 261,677 237,406 0.00NA NA 104,692 WETHERSPOON (JD) 623,178 668,527 2.00NA NA 129,200 WH SMITH PLC 757,686 889,923 0.00NA NA 10,263 WHITBREAD 285,465 138,002 4.50NA NA 10,848 WOLTERS KLUWER 303,170 189,439 5.20NA NA 69,080 WPP PLC 855,022 458,755 0.00NA NA 3,800 YAMADA DENKI CO. 345,415 221,734 0.60NA NA 2,000 YAMAHA CORP. 42,027 24,999 2.50NA NA 68,900 YAMAHA MOTOR CO. 753,313 766,230 0.00NA NA 116,000 YAMATO INT'L 895,868 486,915 4.40NA NA 1,088,200 YELL GROUP 206,644 470,427 21.704,698 YELLOW PAGES INCOME FUND 46,682 21,643 0.00NA NA 24,500 YOROZU CORP. 280,761 270,938 0.00NA NA 38,500 YUE YUEN INDL HLDG 86,574 90,710 4.90NA NA 1,536 ZON MULTIMEDIA 23,396 8,172 4.20Total Consumer Discretionary 200,604,993 178,123,383Consumer StaplesNA NA 6,800 AASTRA TECHNOLOGIES LTD 188,349 172,847 0.00NA NA 51,052 AHOLD (KON) NV 745,190 586,041 2.20NA NA 30,000 AJINOMOTO CO INC 297,252 237,550 2.10NA NA 4,144 AMBEV CIA DE BEBID 253,793 269,387 0.00NA NA 25,626 ANHEUSER BUSCH INB 903,633 925,207 1.10NA NA 15,767 ANHEUSER BUSCH INBEV NV 0 66 0.00NA NA 23,550 ARCS CO. LTD 333,972 336,585 2.50NA NA 34,527 ARYZTA AG 1,341,055 1,107,988 0.00NA NA 12,100 ASAHI BREWERIES 180,848 173,941 1.40NA NA 32,153 ASSOCIATED BRITISH FOODS PLC 373,528 403,753 2.70NA NA 20,653 AXFOOD AB 456,739 445,162 4.80NA NA 73,700 BELC CO. 654,901 659,202 3.20NA NA 840 BELL AG BASEL 1,315,037 1,197,186 2.60NA NA 40,480 BING GRAE 1,181,163 1,398,108 2.70NA NA 9,606 BOURBON 242,137 376,392 2.90NA NA 1,359 BRF BRASIL FOODS SA 24,097 26,004 2.60NA NA 865,551 BRIT AMER TOBACCO 31,835,934 23,847,482 5.00NA NA 236,578 BRITVIC 993,013 1,087,006 0.00NA NA 157,202 C & C GROUP 700,947 524,794 3.80NA NA 1,591,284 CADBURY PLC 16,068,451 13,574,736 0.00NA NA 42,116 CAMPARI 258,083 337,017 1.90NA NA 33,889 CAMPOFRIO FOOD GPO 315,123 301,844 0.00NA NA 2,838 CARLSBERG 309,930 182,012 1.00NA NA 36,800 CARREFOUR 2,157,341 1,570,205 3.60NA NA 2,503 CASINO GUICH PERR 220,465 168,696 5.30NA NA 32,900 CAWACHI 504,866 626,050 1.90NA B 3,600 CENTRAL EUROPEAN DISTR CORP 92,129 95,652 0.00NA NA 71,134 CHAODA MODERN AGRICULTURE 41,557 41,762 0.70NA NA 92,000 CHINA AGRI IND HLD 39,146 57,336 0.00NA NA 25,000 CHINA MENGNIU DAIRY 60,001 58,258 0.00NA NA 22,000 CHINA YURUN FOOD 26,948 33,213 0.00NA NA 27,000 CHUBU SHIRYO CO 248,118 195,606 2.30NA NA 550,573 COCA COLA AMATIL 3,826,358 3,832,403 4.50NA NA 7,348 COCA COLA HELL BOT 215,061 151,508 1.90NA NA 4,900 COCOKARA FINE HOLD 47,546 75,162 0.00NA NA 8,874 COLRUYT SA 1,994,929 2,023,902 2.50NA NA 61,400 COMPANHIA DE BEBIDAS DAS AMERS 2,579,126 3,980,562 1.50NA NA 1,981 COSAN SA INDUSTRIA 12,491 14,556 0.00NA NA 43,161 CSM NV CVA 808,288 636,879 4.20NA NA 122,200 DAIRY CREST GROUP 654,753 645,997 6.30NA NA 35,658 DANONE 2,244,123 1,759,553 3.40NA NA 2,268 DELHAIZE GROUP 206,542 159,490 3.00NA NA 644,274 DIAGEO 12,029,293 9,246,810 4.00NA NA 12,600 DUSKIN CO LTD 213,053 213,646 0.00NA NA 22,210 EBRO PULEVA 282,129 336,762 2.70NA B+ 9,500 EMPIRE LTD 319,686 346,020 0.00NA NA 900 FAMILYMART CO. 37,037 28,263 2.30ILLINOIS STATE BOARD OF INVESTMENT74

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Consumer Staples (continued)NA NA 486,000 FIRST PACIFIC CO. 235,931 279,056 2.00NA NA 46,167 FOMENTO ECON MEXICO 153,244 148,664 1.10NA NA 49,743 FOSTERS GROUP 243,686 207,106 5.10NA NR 10,100 FRESH DEL MONTE PRODUCE 247,209 164,226 0.00NA NA 129,000 GENTING SINGAPORE PLC 34,456 60,607 0.00NA NA 189,280 GOLDEN AGRI RESOUR 22,768 49,695 2.00NA NA 894,538 GOODMAN FIELDER 899,235 943,762 10.60NA NA 12,340 GPO BIMBO SA DE CV 68,384 65,559 0.70NA NA 425,600 GREENCORE GROUP 685,362 782,028 8.60NA NA 14,537 GRUPO MODELO SA DE CV 64,820 51,568 4.50NA NA 3,825 HEINEKEN HOLDING 116,055 121,467 2.70NA NA 12,151 HEINEKEN NV 689,085 450,633 2.30NA NA 12,000 HENGAN INTERNATIONAL 35,510 56,206 2.00NA NA 18,659 HENKEL AG & CO. KGAA 779,599 557,994 2.70NA NA 30,100 HOUSE FOOD CORP 469,973 437,064 1.60NA NA 694,034 IMPERIAL TOBACCO 23,669,884 18,036,060 4.00NA NA 91,000 ITOHAM FOODS INC. 469,603 342,364 0.80NA NA 113,000 J OIL MILLS INC. 404,167 419,278 2.20NA NA 30,000 KAO CORP. 818,966 654,506 2.70NA NA 8,070 KERRY GROUP 187,398 184,053 1.40NA NA 6,937 KESKO OYJ 161,862 183,511 5.30NA NA 2,000 KIKKOMAN CORP. 23,470 20,086 1.60NA NA 30,220 KIMBERLY CLARK DE MEX SAB D 120,426 115,830 5.70NA NA 31,000 KIRIN HOLDINGS CO. LTD 386,764 433,746 1.70NA NA 1,200 LAWSON 58,597 52,734 3.80NA NA 1,065 LINDT & SPRUENGLI 2,909,239 1,987,909 1.80NA NA 53,000 LION CORP. 257,336 245,541 2.20NA NA 17,864 LOREAL 1,916,471 1,334,909 2.70NA NA 12,500 MANDOM CORPORATION 305,317 283,075 2.80NA NA 17,581 MARR 182,843 135,630 7.80NA NA 188,800 MARSTONS PLC 327,690 369,224 0.00NA NA 195,647 MCBRIDE 357,951 467,192 3.90NA NA 700 METRO INC. 17,970 22,916 0.00NA NA 119,241 MORRISON (W) SUPRMKT 495,972 464,420 2.50NA NA 2,066 NATURA COSMETICOS 20,057 27,261 0.00NA NA 838,111 NESTLE SA 34,715,079 31,534,644 3.40NA NA 196,000 NIPPON FLOUR MILLS 827,149 942,571 1.50NA NA 8,000 NIPPON MEAT PACKER 99,828 101,073 1.30NA NA 79,000 NISSHIN OILLIO GR 471,444 410,209 2.00NA NA 3,300 NISSIN FOODS HOLDINGS CO. LTD 121,165 99,870 1.70NA NA 9,000 OKUWA CO. 127,243 105,685 2.30NA NA 205,894 PARMALAT S P A 431,435 496,443 0.00NA NA 9,503 PERNOD RICARD 787,389 598,090 1.10NA NA 58,200 QP CORP. 564,797 605,615 1.50NA NA 25,600 ROCK FIELD CO. 316,480 317,065 2.50NA NA 46,543 SABMILLER PLC 1,143,896 946,619 2.90NA NA 3,367 SADIA SA 14,271 8,178 3.10NA NA 75,168 SAINSBURY(J) 767,200 387,464 4.20NA NR 1,824 SAPUTO INC 39,187 38,118 2.30NA NA 44,000 SEVEN & I HOLDINGS 1,168,736 1,035,187 2.50NA NA 15,000 SHISEIDO CO 314,558 245,945 3.20NA NR 163,114 SHOPPERS DRUG MART CORP 6,010,558 7,013,824 1.70NA NA 3,339 SHOPRITE HLDGS LTD 15,755 23,781 3.20NA NA 13,588 SLIGRO FOOD GROUP 318,894 356,693 0.00NA NA 242,680 SOUZA CRUZ (CIA) 6,412,031 6,912,133 0.00NA NA 11,886 SUEDZUCKER AG 147,345 241,242 2.80NA NA 6,500 SUGI HOLDINGS 123,642 133,725 0.60NA NA 60,900 TATE & LYLE 361,373 319,434 7.20NA NA 2,663,678 TESCO 21,568,730 15,511,290 3.40NA NA 4,086 TIGER BRANDS 73,594 76,244 5.50NA NA 64,000 TINGYI(CAYMAN ISLA 77,036 105,537 1.40NA NA 1,170,700 TOTAL PRODUCE 480,149 511,085 0.00NA NA 2,000 TOYO SUISAN KAISHA 53,557 41,188 1.50NA NA 1,900 UNI CHARM CORP 138,420 145,131 0.90NA NA 3,117 UNILEVER NV 74,396 75,046 4.50NA NA 82,403 UNILEVER PLC 2,430,262 1,932,444 4.30NA NA 64,000 VALOR CO 466,456 499,477 2.70NA NA 7,978 VISCOFAN SA 154,504 170,093 3.00NA NA 1,518,000 VITASOY INTL 761,144 799,148 5.30NA NA 53,587 WESFARMERS 1,058,655 985,272 8.20NA NA 600 WESTON GEORGE LTD 27,439 30,141 0.00NA NA 42,000 WILMAR INTERL LTD 65,321 145,673 0.00NA NA 786 WIMM BILL DANN FOODS OJSC 58,541 43,191 0.00NA NA 540,978 WOOLWORTHS LTD 11,130,200 11,528,641 3.60NA NA 5,300 YAKULT HONSHA CO 145,952 101,183 1.10Total Consumer Staples 219,735,272 190,198,873ILLINOIS STATE BOARD OF INVESTMENT75

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %EnergyNA NA 800 ADDAX PETE CORP. 13,754 33,981 0.00NA NA 36,500 ADVANTAGE ENERGY INCOME FD 169,733 154,002 0.00NA NA 54,548 AMEC 688,488 586,605 2.40NA NA 727,953 AUST WORLDWIDE EXP 1,240,629 1,512,480 0.00NA NA 10,900 BAYTEX ENERGY TRUST 302,974 183,864 0.00NA NA 587,323 BG GROUP 12,194,018 9,846,428 1.10NA NA 1,094,632 BP PLC 11,316,064 8,613,273 7.40NA NA 8,538 CAIRN ENERGY PLC 218,161 329,304 0.00NA NA 48,449 CALTEX AUSTRALIA 380,311 542,485 2.60NA NA 185,987 CANADIAN NATURAL RES LTD 10,301,603 9,799,410 0.70NA NA 13,400 CELTIC EXPL LTD 187,063 175,959 0.00NA NA 10,830 CGG VERITAS 208,288 194,593 0.00NA NA 86,000 CHINA OILFIELD SER 55,554 93,323 1.90NA NR 164,884 CORE LABORATORIES NV 16,465,379 14,369,641 0.50NA NA 84,000 COSMO OIL COMPANY 174,203 285,557 2.40NA NA 862,900 EASTERN STAR GAS 567,555 558,089 0.00NA NA 15,799 ENCANA CORP. 898,745 784,542 2.80NA NA 12,307 ENIA 97,060 87,434 0.00NA NA 353 ENSIGN ENERGY SVCS INC. 6,173 5,167 0.00NA NA 6,852 FUCHS PETRO AG OEL 268,891 371,464 4.10NA NA 12,032 FUGRO NV 651,546 498,200 5.10NA NA 1,370 GALP ENERGIA 15,341 19,216 0.00NA NA 18,126 HELLENIC PETROLEUM 245,892 175,174 6.50NA NA 75,300 HIGHPINE OIL & GAS LTD 375,475 284,640 0.00NA NA 7,272 HUSKY ENERGY INC 265,168 203,692 3.70NA NA 2,400 IDEMITSU KOSAN CO. 216,708 205,959 0.00NA NA 7,351 IMPERIAL OIL LTD 320,319 285,596 0.90NA NA 53,400 ITOHCHU ENEX CO. LTD 385,106 330,412 2.70NA NA 4,700 JAPAN PETROLEUM EX 267,871 260,610 0.80NA NA 28,752 MAUREL ET PROM 606,294 486,973 2.90NA NA 197,000 MONGOLIA ENERGY CORPORATION LI 108,499 72,699 0.00NA NA 31,244 NESTE OIL OYJ 636,996 433,862 8.10NA NA 9,041 NEXEN INC. 255,068 196,725 0.80NA NA 1,033 NIKO RES LTD 78,890 71,159 0.20NA NA 221,500 NIPPON MINING HLDG 901,651 1,152,438 2.80NA NA 148,000 NIPPON OIL CORP. 956,921 874,333 3.50NA NA 5,500 NOBLE CORPORATION BAAR 124,808 166,376 0.40NA NA 80,000 NORWEGIAN ENERGY 247,338 229,937 0.00NA NA 7,651 NOVATEK OAO 343,909 364,953 0.00NA NA 200 OGX PETROLEO E GAS 31,771 101,968 0.00NA NA 91,084 OIL SEARCH LTD 335,281 402,057 1.80NA NR 50,400 OILSANDS QUEST INC. 52,089 48,384 0.00NA NA 70,813 ORIGIN ENERGY 579,329 838,122 2.60NA NA 11,825 PENN WEST ENERGY TR 307,824 150,797 0.00NA NA 90,900 PETRO ANDINA RES INC. 506,921 704,439 0.00NA NR 11,326 PETRO CDA 519,996 438,080 1.80NA NA 20,100 PETROPLUS HOLDINGS 528,059 331,750 3.30NA C 11,100 PETROQUEST ENERGY INC. 57,291 40,959 0.00NA NA 1,105 PRECISION DRILLING TR 18,833 5,319 0.00NA NA 10,153 PREMIER OIL 196,205 182,587 0.0020,612 PROVIDENT ENERGY TR 182,351 103,295 12.40NA NA 5,810 RENEWABLE ENERGY 215,581 45,043 0.00NA NA 62,000 SAN AI OIL CO. 319,625 289,807 2.40NA NA 76,945 SANTOS LTD 752,028 910,698 2.90NA NA 368,472 SBM OFFSHORE NV 8,373,096 6,289,911 2.70NA NA 9,175 SEADRILL LTD 148,194 130,857 0.00NA NA 34,700 SHINKO PLANTECH 345,574 275,485 3.30NA NA 45,100 SHOWA SHELL SEKIYU 506,227 477,714 3.50NA NA 424,000 SINGAPORE PETROL 726,744 1,819,214 4.50NA B 18,950 SUNCOR ENERGY INC. 779,807 577,140 0.60NA NA 115,878 SURGUTNEFTEGAZ JSC 804,622 595,755 0.00NA B- 23,661 TALISMAN ENERGY INC 399,587 340,445 1.40NA NA 80,000 TONEN GEN SEKIYU 766,279 815,049 3.9018,831 TRANSCANADA CORP 625,215 507,846 4.90NA NA 664 TRICAN WELL SERVICE LTD 11,800 5,729 1.00NA NA 52,853 TULLOW OIL 462,720 816,009 0.60NA NA 33,121 WOODSIDE PETROLEUM 1,109,653 1,157,020 3.10NA NA 15,372 WORLEYPARSONS LIMITED 234,948 295,899 4.70Total Energy 82,656,096 73,537,933FinancialsNA NA 82,505 3I GROUP 800,377 328,813 2.60NA NA 680,478 ABACUS PROPERTY GROUP 202,275 203,549 0.00NA NA 19,800 ABC ARBITRAGE 168,709 165,524 0.00NA NR 148,360 ACE LIMITED 7,170,948 6,561,963 2.50ILLINOIS STATE BOARD OF INVESTMENT76

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Financials (continued)NA NA 7,479 ACKERMANS 610,206 494,519 3.00NA NA 4,250 ACOM CO. 159,522 106,377 2.50NA NA 54 ADVANCE RESIDENCE 189,103 186,371 0.00NA NA 82,482 AEGON NV 1,246,729 507,084 6.80NA NA 43,200 AEON CREDIT SERV 466,479 565,493 3.20NA NA 2,000 AEON MALL CO. 54,768 38,099 1.10NA NA 10,805 AFRICAN BANK INV 39,445 38,855 6.80NA NA 18,100 AGILE PROPERTY HLD 28,232 26,017 3.00NA NA 57,200 AIFUL CORP. 286,217 219,943 2.70NA NA 8,000 AIOI INSURANCE CO. 39,143 36,565 2.30NA NR 4,100 ALLIED WORLD ASSURANCE COMPANY 154,127 167,403 1.80NA NA 7,400 ALLREAL HOLDING AG 759,844 876,392 3.90NA NA 17,322 ALPHA BANK 503,895 189,515 0.00NA NA 350,663 AMLIN 1,678,747 1,745,461 5.60NA NA 83,711 AMP LIMITED 608,378 330,260 10.60NA NA 25,000 AOZORA BANK LTD 28,611 38,607 0.00NA NA 5,986 ARC ENERGY TR 116,347 91,799 0.00NA NA 181,037 ASHMORE GROUP 626,719 564,231 0.00NA NA 86,932 ASSIC GENERALI 2,609,256 1,805,860 1.00NA NA 3,502 ASX LIMITED 73,229 104,726 5.00NA NA 111,691 AUST & NEW ZELAND BANK GROUP 2,337,792 1,488,991 7.30NA NA 902,767 AVIVA PLC 10,704,924 5,077,154 9.70NA NA 426,262 AXA 11,964,300 8,005,835 3.00NA NA 14,207 AXA ASIA PAC HLDGS 85,090 44,679 5.60NA NA 46,226 AZIMUT HLDG S P A 315,044 437,987 1.50NA NA 4,314 BABCOCK & BROWN LTD 81,561 0 0.00NA NA 22,436 BALOISE HLDGS 1,216,369 1,663,798 5.60NA NA 397,500 BANCO BPI SA 924,009 1,014,747 3.70NA NR 7,158 BANCO LATINOAMERICANO DE EXP 68,856 88,974 6.50NA NA 26 BANCO NOSSA CAIXA 375 973 2.80NA NA 42,031 BANCO POPOLARE 693,088 313,640 0.00NA NA 10,088 BANCO SANTANDER CHILE NEW 445,747 471,009 3.40NA NA 738,437 BANCO SANTANDER SA 12,158,325 8,866,183 6.20NA NA 18,474 BANCOLOMBIA S A 536,022 563,457 3.80NA NA 12,133 BANK MONTREAL QUEBEC 649,334 512,128 5.70NA NA 25,070 BANK N S HALIFAX 1,153,854 937,305 0.00NA NA 185,000 BANK OF COMMUNICAT 191,305 207,437 2.60NA NA 74,808 BANK OF EAST ASIA 304,468 228,284 1.00NA NA 8,000 BANK OF KYOTO 86,499 74,208 1.10NA NA 169,000 BANK OF NAGOYA 1,017,190 763,683 1.50NA NA 30,400 BANK OF RYUKYUS 375,528 360,446 0.70NA NA 64,000 BANK OF YOKOHAMA 407,624 342,934 1.90NA NA 47,190 BANKINTER SA 489,801 557,329 2.90NA NA 200,593 BBVA (BILB VIZ ARG) 3,932,044 2,515,375 4.60NA NA 14,103 BCA CARIGE SPA 33,003 38,673 4.10NA NA 165,783 BCA POP DI MILANO 1,031,401 987,114 2.40NA NA 28,225 BCO BRADESCO SA 413,922 417,369 1.20NA NA 201,685 BCO COM PORTUGUES 576,634 204,815 2.40NA NA 152,150 BCO DE SABADELL 1,086,895 949,689 0.00NA NA 56,522 BCO ESPIR SANTO 476,237 304,438 4.20NA NA 98,718 BCO PASTOR 661,986 682,642 0.00NA NA 767,743 BCO POPULAR ESP 11,255,467 6,687,394 6.10NA NA 243,457 BCO SANT CENT HISP 2,112,706 2,930,850 0.00NA NA 1,758 BEFIMMO 161,572 133,428 0.00NA NA 13,919 BENDIGO AND ADELAIDE BANK LTD 110,357 78,207 9.40NA NA 6,574 BERKELEY GP HLDGS 162,159 87,044 0.00NA NA 12,280 BK OF PIRAEUS 352,851 122,294 0.00NA NA 359,000 BOC HONG KONG HOLDINGS LTD 740,679 629,057 3.20NA NA 17,797 BOLSAS Y MERCADOS 493,794 526,219 0.00NA NA 2,900 BQE CANT VAUDOISE 748,762 913,958 8.80NA NA 9,066 BRADESPAR SA 72,739 118,425 0.00NA NA 86,948 BRADFORD & BINGLEY 294,219 0 0.00NA NA 52,769 BRITISH LAND CO 807,477 331,968 6.80NA NA 5,837 BROOKFIELD ASSET MGMT INC. 198,329 100,018 0.00NA NA 306 BROOKFIELD PPTYS CORP. 6,986 2,424 6.10NA NA 111,400 BUSAN BANK 639,351 765,140 2.30NA NA 1,000 CANACCORD CAP INC. 4,666 5,984 0.00NA NA 6,399 CANADIAN OIL SANDS TR NEW 186,580 153,122 0.00NA NA 44,800 CANADIAN WESTN BK EDMONTON 539,579 653,474 0.00NA NA 96,000 CAPITALAND 277,134 246,077 1.90NA NA 52,640 CASTELLUM AB 553,115 333,592 6.40NA NA 36 CATTLES PLC 226 0 0.00NA NA 8,224 CDN IMPERIAL BK OF COMMERCE 614,972 412,917 6.00NA NA 13,356 CENTRO PROPS GP 84,860 1,004 0.00NA NA 122,800 CENTURY LEASING SY 1,011,491 1,397,465 2.60ILLINOIS STATE BOARD OF INVESTMENT77

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Financials (continued)NA NA 3,536 CFS RETAIL PROP 5,624 4,717 0.00NA NA 389,700 CHALLENGER FIN SER 551,032 705,719 6.40NA NA 61,700 CHEMTRADE LOGISTICS INCOME FD 468,651 394,208 0.00NA NA 387,000 CHEUNG KONG(HLDGS) 4,093,544 4,449,223 2.80NA NA 38,315 CHIBA BANK 284,160 250,575 1.70NA NA 14,300 CHIBA KOGYO BANK 142,753 141,540 0.00NA NA 199,000 CHINA CITIC BK 110,277 129,157 0.00NA NA 1,088,000 CHINA CONST BK 854,783 843,721 3.70NA NA 14,000 CHINA EVERBRIGHT 23,220 34,467 1.10NA NR 6,600 CHINA HSG & LD DEV INC 36,640 38,016 0.00NA NA 178,000 CHINA LIFE INSURANCE 792,674 654,576 0.90NA NA 65,000 CHINA MERCHANTS BK 96,704 148,786 0.50NA NA 91,520 CHINA O/SEAS LAND 159,439 212,561 0.70NA NA 22,000 CHINA RESOURCES LAND LIMITED 38,362 48,769 0.70NA NA 16,000 CHINA TAIPING INSURANCE HOLDING 26,819 33,858 0.00NA NA 20,000 CHINESE ESTATES HL 17,871 36,645 1.00NA NA 4,000 CHUGOKU BANK 55,014 55,511 0.90NA NA 46,000 CHUO MITSUI TRUST HOLDINGS INC 309,883 175,924 1.40NA NA 455,200 CIA BRASILEIRA DE MEIOS DE 3,554,996 3,913,726 0.00NA NA 17,572 CLOSE BROTHERS GP 195,859 190,126 5.90NA NA 73,735 COMMONNWEALLTH BK OF AUST 3,016,687 2,324,831 6.80NA NA 4,072 CNP ASSURANCES 457,919 388,702 4.20NA NA 1,941 COFINIMMO SA 230,158 225,971 10.70NA NA 3,475 COMMERCIAL INTLL BANK 27,184 30,507 2.00NA NA 974 CORIO NV 58,819 47,352 0.00NA NA 9,648 CORP FINANC ALBA 670,744 464,445 1.80NA NA 125,133 COUNTRY GARDEN HOLDINGS ORDSHS 29,003 58,287 0.00NA NR 2,034 CREDICORP LTD 124,786 118,379 2.60NA NA 5,200 CREDIT SAISON CO 127,867 66,182 2.40NA NA 65,000 CREDITO ARTIGIANO 166,720 171,860 8.10NA NA 14,284 CREDITO VALTELLINE 135,214 129,229 3.90NA NA 26,936 CRITERIA CAIXACORP 99,915 124,302 0.00NA NA 29,509 CYRELA BRAZIL REAL 109,978 223,599 1.30NA NA 3,445 D CARNEGIE & CO. AB 56,671 0 0.00NA NA 110,860 DAEGU BANK 1,122,277 1,018,142 2.10NA NA 26,000 DAIBIRU CORP. 188,603 223,931 1.30NA NA 112,000 DAISHI BANK 471,657 458,517 1.80NA NA 55,310 DAISHIN SECURITIES 593,927 677,292 6.40NA NA 3,236 DAITO TRUST CONST 139,258 152,937 4.00NA NA 70,000 DAIWA SECURITIES GROUP INC. 674,140 417,163 1.70NA NA 29,767 DANSKE BANK A/S 1,218,497 513,011 0.00NA NA 1,345,624 DBS GROUP HLDGS 10,419,063 10,970,645 5.80NA NA 29,526 DEUTSCHE BANK AG 1,547,229 1,788,906 1.20NA NA 57,315 DEUTSCHE BOERSE A 4,716,769 4,444,120 3.80NA NA 24,627 DEXIA 625,028 186,671 0.00NA NA 14,602 DIC ASSET AG 129,584 103,432 5.90NA NA 30,571 DNB NOR ASA 412,645 232,730 0.00NA NA 19,762 DT POSTBANK AG 1,222,614 501,994 0.00NA B+ 2,500 EAGLE BANCORP INC. MD 27,704 21,925 2.50NA NA 16,813 EFG EUROBANK ERGAS 511,020 176,871 0.00NA NA 34,837 EFG HERMES HLDGS 111,632 140,120 0.00NA NA 1,786 EFG INTERNATIONAL AG 31,487 19,296 2.10NA NA 10,200 EJENDOMSSEL. EEC 814,818 840,522 2.50NA NA 33,200 EQUITABLE GROUP INC. 510,170 527,438 0.00NA NA 14,170 ERSTE GROUP BANK AG 822,547 382,207 3.40NA NA 18,100 EULER HERMES 960,165 1,103,869 3.50NA NA 9,097 EURAZEO 347,784 377,693 4.10NA NA 33,669 EXOR SPA 448,601 283,355 6.20NA NA 447 FAIRFAX FINL HLDGS LTD 108,922 112,390 2.70NA NA 35,600 FBD HLDGS 365,178 296,717 5.60NA B+ 20,800 FIRST BANCORP P R 148,724 82,160 7.10NA NA 91,548 FIRSTRAND LTD 236,261 166,677 5.10NA NA 20,059 FONDIARIA SAI SPA 804,485 322,717 6.10NA NA 79,581 FORTIS 2,410,767 271,247 0.00NA NA 29,000 FUKUOKA FINANCIAL 140,154 129,844 0.00NA NA 83,207 GAGFAH SA 544,563 689,758 0.00NA NA 1,278 GECINA 151,306 79,053 0.00NA NA 44,415 GOODMAN GROUP 170,803 13,286 48.80NA NA 4,296 GPE BRUXELLES LAM 456,732 313,943 4.40NA NA 28,109 GPO FIN BANORTE 96,523 68,404 1.50NA NA 140,808 GPT GROUP 273,916 55,780 0.00NA NA 5,553 GREAT WEST LIFECO INC 164,510 109,018 0.00NA NA 16,800 GUANGZHOU R&F PROP 58,819 37,718 0.00NA NA 8,000 GUNMA BANK 47,067 44,525 1.10NA NA 9,000 HACHIJUNI BANK 58,522 50,930 0.90ILLINOIS STATE BOARD OF INVESTMENT78

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Financials (continued)NA NA 45,646 HAMMERSON PLC 531,693 230,778 9.10NA NA 45,000 HANG LUNG PROP 158,539 148,935 2.60NA NA 92,500 HANG SENG BANK 1,384,325 1,300,959 5.80NA NA 22,761 HANNOVER RUECKVERS 838,295 841,562 0.00NA NA 182,030 HARDY UNDERWR . BER 1,083,551 846,867 0.00NA NA 190,626 HARGREAVES LANSDOWN PLC 586,334 642,776 0.00NA NA 124,748 HDFC BANK LTD 12,568,299 12,865,261 0.60NA NR 3,400 HEARTLAND FINL USA INC. 49,810 48,552 2.80NA NA 31,309 HELLENIC EXCHANGES SA HOLDING 1,005,779 351,764 5.60NA NA 9,090 HELVETIA HLDG AG 1,477,000 2,402,993 4.70NA NA 18,000 HENDERSON LAND DEV 88,285 103,238 3.00NA NA 12,000 HIROSHIMA BANK 56,101 49,997 1.20NA NA 315,839 HISCOX LTD 1,302,109 1,505,803 4.40NA NA 128,000 HITACHI CAP CORP. 1,369,032 1,733,907 2.30NA NA 513,900 HOGG ROBINSON GROUP PLC 244,355 224,274 0.00NA NA 60,000 HOKUHOKU FINANCIAL GROUP INC. 167,031 150,490 1.20NA NA 12,100 HOME CAP GRP INC 449,128 314,755 0.00NA NA 45,300 HONG KONG EXCHANGE 691,101 705,506 3.60NA NA 13,000 HOPEWELL HLDGS 59,111 40,761 16.90NA NA 578,000 HOPSON DEVELOPMENT 238,944 894,962 1.70NA NA 46,830 HYUNDAI FIRE MARIN 551,864 584,479 3.10NA NA 1,245 ICADE 142,028 102,220 0.00NA NA 33,362 ICAP 310,944 247,789 3.80NA NA 227,931 ICICI BK LTD 6,144,781 6,723,965 1.60NA NA 93,700 IFG GROUP 311,973 101,857 0.00NA NA 145 IMMOFINANZ AG 1,795 297 0.00NA NA 239,103 IMMSI SPA 232,692 285,407 0.00NA NA 1,023,000 IND & COM BK CHINA 583,453 712,795 3.50NA NA 358,666 INDUS & COMMER BK 830,561 650,685 3.30NA NA 516,564 ING GROEP NV 13,551,677 5,196,535 10.30NA NA 566,646 ING OFFICE FUND 482,551 210,728 21.00NA NA 69,554 INSURANCE AUST GRP 292,520 197,371 3.70NA NA 1,764,103 INTESA SANPAOLO 9,756,565 5,585,533 1.50NA NA 47,841 INVESTEC LIMITED 417,184 258,226 4.60NA NA 18,320 INVESTOR AB 274,757 281,379 3.40NA NA 62,040 IOOF HOLDINGS LTD NPV 204,214 209,151 3.60NA NA 36,069 ITAU UNIBANCO HOLDING SA 561,093 572,378 0.50NA NA 7,000 IYO BANK 74,772 71,462 0.80NA NA 700 JAFCO 29,196 23,579 1.50NA NA 4 JAPAN REAL ESTATE 28,826 33,207 0.00NA NA 54,093 JARDINE LLOYD THOM 441,461 359,227 5.10NA NA 29,000 JOYO BANK 143,021 147,878 1.60NA NA 8,404 JULIUS BAER HLDGS 347,719 325,944 1.20NA NA 165,000 JUROKU BANK 976,786 584,858 2.10NA NA 859 JYSKE BANK A/S 63,537 24,593 0.00NA NA 43,000 KAGOSHIMA BANK 317,525 316,422 1.30NA NA 92,100 KANTO TSUKUBA BANK 402,196 298,775 0.00NA NA 109,902 KB FINANCIAL GROUP INC. 4,207,176 3,686,609 0.00NA NA 13,904 KBC GROUP NV 1,261,659 253,532 0.00NA NA 43,000 KEIHANSHIN RL EST 134,408 192,527 2.80NA NA 8,211 KERRY PROPERTIES 57,297 36,022 2.10NA NA 93,000 KIYO HOLDINGS INC. 141,016 118,557 0.00NA NA 25,505 KLEPIERRE 618,337 657,716 0.00NA NA 34,729 KUNGSLEDEN 137,871 159,574 4.20NA NA 43,600 KYOKUTO SECURITIES 187,314 212,385 4.30NA NA 30,475 LAND SECS GP 1,024,004 236,510 5.90NA B+ 45,900 LAURENTIAN BANK OF CANADA 1,553,340 1,386,466 3.90NA NA 562,046 LEGAL & GENERAL GP 1,518,132 525,651 7.20NA NA 2,083 LEND LEASE CORP. 32,519 11,805 10.30NA NA 5,500 LEOPALACE21 155,604 49,137 2.00NA NA 3,466 LIBERTY HLDGS 35,885 26,934 9.20NA NA 30,059 LIBERTY INTERNATIONAL 559,773 196,649 4.20NA NA 108,949 LINK REAL ESTATE I 203,190 232,517 5.10NA NA 802,884 LLOYDS BANKING GROUP PLC 4,223,077 924,635 0.00NA NA 48,186 LONDON STOCK EXCHANGE GROUP 664,750 557,470 3.50NA NA 10,662 MACQUARIE GP LTD 571,043 337,030 6.30NA NA 868,000 MACQUARIE INT'L INFRASTRUCTURE 215,426 218,897 0.00NA NA 95,427 MAN GROUP 816,009 436,102 9.90NA NA 39,738 MANULIFE FINL CORP. 1,315,910 690,843 5.20NA NA 107,878 MAPFRE SA 544,100 351,051 5.30NA NA 715,000 MAPLETREE LOGISTICS TRUST 177,890 274,173 0.00NA NA 12,515 MARFIN INVESTMENT GROUP SA 70,891 53,716 6.50NA NA 4,300 MATSUI SECURITIES 32,879 39,040 1.10NA NA 21,195 MEDIOBANCA SPA 359,244 252,252 7.70NA NA 99,580 MERITZ FIRE MARINE 590,593 492,448 0.00ILLINOIS STATE BOARD OF INVESTMENT79

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Financials (continued)NA NA 716,000 MIDLAND HOLDINGS LTD 544,357 436,064 1.60NA NA 357,343 MILANO ASSICURAZIO 1,245,247 1,185,403 6.30NA NA 36,839 MIRVAC GROUP 36,778 32,165 0.00NA NA 57,592 MITSUBISHI ESTATE 1,388,871 961,608 0.70NA NA 499,000 MITSUBISHI UFJ FIN GROUP 4,404,387 3,092,729 2.00NA NA 1,757 MITSUBISHI UFJ LEASE & FIN 60,647 57,362 1.50NA NA 38,000 MITSUI FUDOSAN CO 911,520 662,839 1.30NA NA 19,800 MITSUI SUMITOMO GR 704,896 520,216 0.00NA NA 486,100 MIZUHO FINL GB 2,550,390 1,138,608 3.50NA NA 19,000 MIZUHO SECURITIES CO. LTD 87,233 59,667 1.70NA NA 54,000 MIZUHO TRUST & BANKING CO. LTD 63,576 69,959 0.00NA NA 177,588 MONTE PASCHI SIENA 485,517 286,707 1.10NA NA 36,820 MRV ENGENHARIA 120,236 510,084 0.00NA NA 58,969 MUENCHENER RUCKVERS AG 10,217,376 7,956,153 5.70NA NA 12,400 MUSASHINO BANK 590,037 416,396 1.90NA NA 2,182 NATIONAL BK CDA MONTREAL QUEBEC 106,766 100,988 0.00NA NA 12,600 NATIONAL VERISCH 305,440 281,532 0.00NA NA 93,143 NATL AUSTRALIA BK 2,638,315 1,689,765 7.60NA NA 29,387 NATL BK OF GREECE 1,336,424 816,150 0.00NA NA 760 NATL PORTEFEUILLE 43,691 36,671 0.00NA NA 8,192 NEDBANK GROUP LTD 130,694 104,011 6.30NA NA 40,214 NEW WORLD DEVEL CO. 91,444 72,748 2.40NA NA 14,458 NEXITY EUR5 257,138 431,143 7.10NA NA 32 NIHON M&A CENTER I 80,828 112,100 0.00NA NA 13 NIPPON BUILDING FD 119,094 111,292 0.00NA NA 15,000 NIPPONKOA INSURAN 97,022 87,371 1.40NA NA 35,000 NISHI NIPPON CITY 95,638 88,511 1.60NA NA 25,000 NISSAY DOWA GENERA 125,719 120,744 1.70NA NA 94,500 NOMURA HOLDINGS 1,567,041 797,253 3.70NA NA 1,000 NOMURA REAL ESTATE INC 20,200 17,308 0.00NA NA 961,623 NORDEA BANK AB 7,163,064 7,506,556 3.60NA NA 25 NTT URBAN DEVELOPMENT 38,973 24,227 1.30NA NA 73,000 OGAKI KYORITSU BK 381,888 331,388 1.60NA NA 344,309 OLD MUTUAL 979,789 458,893 3.00NA B 2,500 OPPENHEIMER HLDGS INC. 38,977 52,925 2.10NA NA 4,587 ORIX CORP 901,733 276,214 1.70NA NA 289,142 OVERSEAS CHINESE BK 1,423,617 1,334,486 4.20NA NA 876 PARGESA HLDGS SA 64,450 54,612 3.90NA NA 295,100 PARKWAY LIFE REAL 147,152 188,598 0.00NA NA 8,592 PARTNERS GROUP HOLDING AG 558,615 832,694 4.00NA NA 42,000 PICC PROPERTY & CA 47,717 28,993 0.00NA NA 35,000 PING AN INSURANCE 311,973 236,869 0.40NA NA 57,584 PLATINUM ASSET MAN 196,228 191,802 0.00NA A 7,530 POWER CORP CDA 237,789 174,027 4.30NA NA 4,207 POWER FINL CORP 149,499 100,162 0.00NA NA 3,100 PROMISE CO. 86,557 39,615 1.60NA NA 31,494 PROVIDENT FINL 509,738 411,556 0.00NA NA 159,514 PRUDENTIAL PLC 1,930,756 1,086,246 4.60NA NA 12,514 PSP SWISS PROPERTY 765,474 597,192 4.80NA NA 696,000 PUBLIC FINANCIAL HOLDINGS 557,679 314,321 6.60NA NA 406,678 QBE INS GROUP 6,690,988 6,542,698 6.90NA NA 3,987 RAIFFEISEN INTL BK 329,960 138,411 3.80NA NA 811,487 REGUS PLC 898,307 868,658 0.00NA NA 29,900 RESONA HOLDINGS INC. 576,881 420,215 0.70NA NA 64,900 RICOH LEASING 1,168,094 1,276,005 1.90NA NA 146,815 RIGHTMOVE PLC 605,684 849,865 0.00NA NA 29,582 ROYAL BK CDA MONTREAL QUEBEC 1,432,721 1,211,707 4.20NA NA 1,101,175 ROYAL BK SCOTTLAND GROUP 6,762,881 700,725 0.00NA NA 218,772 RSA INSURANCE GROUP PLC 579,398 433,062 6.40NA NA 22,841 SAMPO OYJ 607,659 430,910 6.00NA NA 116,000 SAN IN GODO BANK 986,857 1,001,482 1.00NA NA 69,732 SANLAM 181,614 156,034 5.70NA NA 8,300 SAPPORO HOKUYO HLD 81,936 23,829 1.10NA NA 3,518 SBERBANK ROSSII 973,113 789,087 1.20NA NA 18,999 SCHRODERS 451,292 256,722 3.80NA NA 97,979 SCOR S.E. 1,961,841 2,007,857 5.50NA NA 434,151 SEGRO PLC 405,745 173,383 28.30NA NA 9 SEVEN BANK 33,067 23,590 0.00NA NA 8,000 SHENZHEN INVESTMENT 5,350 3,334 3.40NA NA 96,000 SHIGA BANK 633,309 578,079 1.00NA NA 14,500 SHIMAO PROPERTY HOLDINGS 38,311 28,177 0.90NA NA 75,000 SHINSEI BANK 166,300 120,485 0.00NA NA 34,000 SHIZUOKA BANK 328,233 337,234 1.40NA NA 84,000 SINGAPORE EXCHANGE 374,200 412,063 5.60NA NA 6,437 SINO LAND CO 14,663 10,665 3.10ILLINOIS STATE BOARD OF INVESTMENT80

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Financials (continued)NA NA 43,984 SINO OCEAN LAND HL 13,854 50,340 0.00NA NA 3,627 SISTEMA JSFC 66,460 43,778 0.00NA NA 101,826 SKAND ENSKILDA BKN 1,014,716 445,530 0.00NA NA 60,600 SNS REAAL GROEP NV 448,180 338,302 10.30NA NA 31,020 SOC GENERALE 3,589,254 1,691,895 3.10NA NA 2,200 SOFINA 171,183 178,978 2.80NA NA 13,000 SOHO CHINA LIMITED 4,023 8,052 0.00NA NA 40,000 SOMPO JAPAN INS 423,476 267,814 3.10NA NA 41 SONY FINANCIAL HOL 134,111 113,331 0.00NA NA 102,604 SPONDA OYJ 296,222 292,153 0.00NA NA 3,002 ST BK INDIA 248,166 213,142 1.70NA NA 34,954 STANDARD BK GR LTD 424,468 401,479 4.40NA NA 400,061 STANDARD CHARTERED 10,295,760 7,510,779 3.60NA NA 142,742 STANDARD LIFE 767,222 437,474 6.30NA NA 53,193 STOCKLAND 284,673 138,042 10.60NA NA 33,700 SUMITOMO MITSUI GR 2,372,930 1,372,659 2.30NA NA 17,000 SUMITOMO REALTY & DEV 491,669 312,038 1.10NA NA 75,854 SUMITOMO TRUST & BKG 581,582 408,810 1.90NA NA 72,000 SUN HUNG KAI PROPS 835,409 899,297 2.60NA NA 13,657 SUN LIFE FINL INC. 564,230 369,251 4.60NA NA 46,656 SUNCORP METWAY 611,658 252,718 11.20NA NA 8,000 SURUGA BANK 98,381 76,530 1.40NA NA 37,239 SVENSKA HANDELSBANKEN SERIES A 1,027,005 700,528 4.80NA NA 10,260 SWEDBANK AB 100,414 59,458 0.00NA NA 62,500 SWIRE PACIFIC 660,234 630,641 3.00NA NA 10,687 SWISS LIFE HOLDING AG 867,725 921,742 5.30NA NA 146,833 SWISS REINSURANCE LTD 7,195,824 4,852,354 0.30NA NA 53,568 SYDBANK 786,575 1,233,460 0.00NA NA 10,150 T & D HOLDINGS INC. 566,840 291,398 1.60NA NA 56,400 TAKEFUJI CORP. 500,702 308,641 5.70NA NA 927,266 TISHMAN SPEYER OFF 1,360,355 206,153 30.90NA NA 115,000 TOCHIGI BANK 802,326 591,180 1.40NA NA 37,407 TOKIO MARINE HOLDING INC. 1,364,537 1,035,153 1.80NA NA 6,930 TOKYO TATEMONO CO. 86,994 38,713 1.90NA NA 13,000 TOKYU LAND CORP. 116,241 59,284 1.60NA NA 15,400 TOKYU LIVABLE 92,136 146,363 1.10NA NA 1,556 TOPDANMARK ARIN 169,831 181,707 0.00NA NA 16,700 TORONTO DOMINION BK ONTARIO 819,034 864,083 4.10NA NA 976 TRYGVESTA A/S 77,322 57,539 2.10NA NA 314,017 TULLETT PREBON PLC 710,990 1,530,731 0.00NA NA 45,574 UBI BANCA 831,252 592,579 4.90NA NA 141,213 UBS AG 5,525,562 1,725,641 0.00NA NA 6,906 UNIBAIL RODAMCO SE 1,515,693 1,028,341 0.00NA NA 2,227,964 UNICREDIT SPA 10,205,202 5,609,473 0.00NA NA 1 UNIPOL GRUPPO FINANZIARIO SPA 1 1 0.00NA NA 102,000 UNITED O SEAS BANK 1,258,686 1,034,553 4.10NA B+ 1,600 UNITED SEC BANCSHARES INC. 40,034 35,040 2.00NA NA 19,312 VASTNED OFFICES/IN 199,751 283,882 15.20NA NA 6,267 VASTNED RETAIL 433,783 311,181 0.00NA NA 3,084 VIENNA INSURANCE GROUP 142,530 134,012 3.60NA NA 40,015 VTB BANK(JSC) 206,202 88,033 0.00NA NA 3,603 WERELDHAVE NV 278,376 267,849 0.00NA NA 88,627 WESTFIELD GROUP 1,390,350 815,383 0.00NA NA 153,530 WESTPAC BKG CORP. 2,885,659 2,513,457 6.30NA NA 31,192 WHARF(HLDGS) 97,920 132,213 2.40NA NA 19,164 WIHLBORGS FAST AB 211,765 256,622 6.30NA NA 6,500 WING HANG BANK LTD 40,564 56,948 1.60NA NA 9,000 YAMAGUCHI FINANCIAL 92,414 118,744 0.00NA NA 47 ZUGER KANTONAL BAN 159,852 169,581 4.50NA NA 7,827 ZURICH FINANCIAL SERVICES AG 2,125,314 1,377,489 5.80Total Financials 371,029,111 278,880,078Health CareNA NA 20,967 ACTELION 1,074,969 1,096,018 0.00NA NA 700 ALFRESA HOLDINGS C 40,676 32,285 2.00NA NR 10,200 AMERICAN ORIENTAL BIOENGINEE 52,035 53,958 0.00NA NA 19,679 ANSELL LTD 165,811 139,526 3.10NA NA 26,767 ASTELLAS PHARMA INC. 1,151,159 948,781 3.70NA NA 18,975 ASTRAZENECA 758,560 834,504 4.70NA NA 63,700 BIOINVENT AB 145,056 194,033 0.00NA NA 69,771 BIOVAIL CORP. 586,469 938,410 2.30NA NA 17,600 BML INC. 298,113 390,361 1.40NA NA 23,700 BOIRON 723,474 772,895 2.60NA NA 195,075 CELESIO AG 6,482,382 4,473,720 2.90NA NA 1,692,000 CHINA PHARMA GROUP 416,883 871,101 5.00ILLINOIS STATE BOARD OF INVESTMENT81

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Health Care (continued)NA NA 12,545 CHUGAI PHARM CO. 218,022 239,237 1.90NA NA 1,139 COCHLEAR LTD 50,911 53,132 2.80NA NA 112,100 COVIDIEN PLC 4,093,979 4,197,024 1.70NA NA 17,134 CRUCELL NV 298,677 412,046 0.00NA NA 26,360 CSL 680,023 685,140 2.00NA NA 38,000 DAIICHI SANKYO 969,023 680,562 3.50NA NA 3,100 DAINIPPON SUMITOMO 22,779 27,117 2.10NA NA 15,726 DIASORIN SPA 304,657 390,649 0.70NA NA 122 DONG A PHARM 6,914 8,312 0.90NA NA 86,900 EIKEN CHEMICAL CO. 618,787 743,043 3.00NA NA 13,498 EISAI CO. 541,117 481,247 4.40NA NA 19,184 ELAN CORP. 310,720 131,044 0.00NA NA 69,158 ELEKTA AB 921,847 1,008,648 1.80NA NA 167,829 ESSILOR INT'L 8,146,081 7,999,076 1.90NA NA 101,641 FRESENIUS MEDICAL CARE AG & CO. 3,917,378 4,546,455 1.80NA NA 5,290 FRESENIUS SE 319,286 272,189 2.10A NA 10,959 GETINGE AB 229,907 142,860 2.40NA NR 256 GIVEN IMAGING 5,845 2,522 0.00NA NA 670,212 GLAXOSMITHKLINE 15,699,085 11,793,444 5.40NA NA 33,400 GOLDSHIELD GROUP 152,657 197,330 2.40NA NA 3,442 GRIFOLA SA 73,923 60,784 1.50NA NA 32,000 H LUNDBECK A S 601,254 608,755 2.30NA NA 2,200 HISAMITSU PHARM CO. 96,267 68,404 2.30NA NA 8,800 HOGY MEDICAL CO. 429,658 446,909 1.90NA NA 5,853 IPSEN 259,503 255,568 2.30NA NA 155,000 KAKEN PHARM 1,309,040 1,381,562 3.50NA NA 9,000 KISSEI PHARM CO. 193,880 218,739 1.40NA NA 6,000 KYOWA HAKKO KIRIN CO. LTD 47,669 67,845 1.40NA NA 159,966 LABORATORIOS ALMIR 1,348,169 1,772,573 3.30NA NA 36,513 MEDA AB 263,879 249,771 0.00NA NA 4,800 MEDICEO PALTAC HOLDINGS 69,548 54,972 1.60NA NA 67,534 MERCK KGAA 8,501,190 6,867,678 2.10NA NA 60,400 MIRACA HOLDINGS INC. 1,328,551 1,477,370 2.30NA NA 11,000 MITSUBISHI TANABE PHARMA CORP. 140,997 126,548 2.50NA NA 11,359 MORPHOSYS 191,708 260,500 0.00NA NA 544,000 MOULIN GLOBAL EYEC 428,353 0 0.00NA NA 56,000 NIPPON SHINYAKU CO. 517,251 641,343 1.70NA NA 5,747 NOBEL BIOCARE AG 296,655 125,345 2.30NA NA 467,493 NOVARTIS AG 23,476,642 18,930,984 4.50NA NA 240,942 NOVO NORDISK AS 13,828,614 13,024,628 2.10NA NA 10,360 OLYMPUS CORP. 357,870 245,350 1.30NA NA 12,000 OMEGA PHARMA 447,150 397,483 2.50NA NA 68 ONCOTHERPAPY SCIEN 87,353 121,009 0.00NA NA 2,600 ONO PHARMACEUTICAL 123,985 115,065 4.20NA NA 33,083 ORION CORPORATION 798,035 518,331 8.50NA NR 130,730 ORTHOFIX INTERNATIONAL NV 2,249,828 3,269,557 0.00NA NA 22,700 RAMSAY HEALTHCARE 154,555 211,780 3.00NA NA 149,819 RECORDATI 878,267 925,683 5.70NA NA 186,714 RHOEN KLINIKUM AG 4,160,111 4,122,219 2.20NA NA 143,315 ROCHE HOLDINGS AG 22,120,439 19,463,588 3.40NA NA 35,000 ROHTO PHARM 402,975 395,036 1.30NA NA 337,200 SAFILO GROUP 374,293 209,291 0.00NA NA 202,762 SANOFI AVENTIS 12,564,241 11,908,004 5.30NA NA 14,000 SHIONOGI & CO. 228,727 270,902 1.90NA NA 26,029 SHIRE PLC 347,308 358,144 0.00NA NA 821,900 SIGMA PHARMACEUTIC 767,482 810,647 5.70NA NA 52,460 SMITH & NEPHEW 576,006 388,340 1.80NA NA 690 SONIC HEALTHCARE LTD 6,669 6,872 6.00NA NA 12,887 SONOVA HOLDING AG 894,056 1,046,317 1.10NA NA 368,300 SOUTHERN CROSS HEA 404,600 859,763 0.00NA NA 125,813 SSL INTERNATIONAL 1,271,413 1,073,271 1.70NA NA 5,013 STADA ARZNEIMITTEL 121,219 125,231 2.90NA NA 8,069 STALLERGENES 707,586 531,945 0.00NA NA 4,104 STRAUMANN HLDG 811,354 746,799 1.90NA NA 1,600 SUZUKEN CO. LTD 47,215 46,349 2.20NA NR 1,365 SYNERON MEDICAL LTD 26,832 9,855 0.00NA NA 62,526 SYNTHES INC. 7,443,670 6,030,966 1.10NA NA 4,000 TAISHO PHARM CO. 77,854 75,742 1.50NA NA 163,494 TAKEDA PHARMACEUTICAL CO. LTD 9,054,732 6,371,327 4.80NA NA 16,700 TECAN GROUP AG 758,077 650,310 2.10NA NA 9,200 TERUMO CORP. 397,020 406,198 0.80NA NA 28,596 TEVA PHARMACEUTICAL INDS LTD 1,217,661 1,410,927 1.10NA NA 4,023 UCB 214,383 128,714 4.00NA NA 1,175 WILLIAM DEMANT HOL 104,775 60,751 0.00Total Health Care 173,003,774 154,708,713ILLINOIS STATE BOARD OF INVESTMENT82

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %IndustrialsNA NA 73 A. P. MOLLER MAERSK 793,913 435,131 2.10NA NA 54,331 ABC LEARNING CENTR 70,056 0 0.00NA NA 8,214 ABERTIS INFRAESTRUCTURAS SA 217,416 154,444 3.50NA NA 577 ACCIONA S A 141,046 70,897 2.70NA NA 131,347 ADECCO SA 5,842,166 5,466,199 3.30NA NA 1,897 ADP PROMESSES 193,247 138,935 0.00NA NR 22,100 AECON GROUP INC. 363,961 219,601 0.00NA NA 92,182 AGGREKO 682,875 787,134 1.90NA NA 36,000 AIR CHINA LTD 12,765 17,652 0.00NA NA 84,000 AIRPORT FACILTIES 486,063 441,395 3.20NA NA 18,068 ALFA LAVAL AB 273,330 171,635 3.10NA NA 8,097 ALFA SAB DE CV 48,690 22,704 1.80NA NA 99,486 ALITALIA LINEE 85,132 0 0.00NA NA 17,000 ALL NIPPON AIRWAYS 65,742 59,377 0.30NA NA 19,000 AMADA CO. 198,104 117,956 1.70NA NA 24,200 ANDRITZ AG 712,446 1,014,930 0.00NA NA 49,300 ANSALDO SIS 656,174 907,257 2.10NA NA 45,000 ASAHI GLASS CO. 527,997 361,455 2.10NA NA 41,062 ASCIANO GROUP 41,610 40,417 17.20NA NA 1,318,731 ASHTEAD GROUP 1,030,527 1,232,469 4.50NA NA 19,076 ASSA ABLOY 392,001 264,676 3.40NA NA 14,529 ATLANTIA 404,907 293,459 4.90NA NA 230,684 AUCKLAND INTL AIRPORT LTD 217,979 240,594 3.90NA NA 24,322 AURUBIS AG 1,032,021 704,139 7.80NA NA 1,015 AUTOROUTES PARIS 97,709 68,992 1.80NA NA 22,062 AVENG 148,592 99,990 4.10NA NA 152,611 BAE SYSTEMS 861,182 850,743 4.30NA NA 294,008 BALFOUR BEATTY 2,275,510 1,496,138 4.10NA NA 761,166 BBA AVIATION PLC 1,024,218 1,429,020 6.70NA NA 8,000 BEIJING CAPITAL INC. 5,715 5,605 0.00NA NA 8,000 BEIJING ENTERPRISE 28,624 39,948 1.70NA NA 4,200 BEKAERT SA 404,402 431,290 3.80NA NA 2,500 BENESSE CORP. 94,425 100,016 2.30NA NA 7,879 BIDVEST GROUP 124,450 98,700 1.00NA NA 24,000 BILFINGER BERGER AG 910,409 1,114,266 6.00NA NA 19,165 BOMBARDIER INC. 112,798 56,933 0.00NA NA 790 BOSKALIS WESTMINSTER 24,211 17,907 7.40NA NA 14,569 BOUYGUES 898,181 547,664 6.00NA NA 105,824 BRADKEN LTD 351,424 368,735 7.40NA NA 55,380 BRAMBLES LTD 564,260 266,841 0.00NA NA 11,352 BRISA 138,848 81,605 6.10NA NA 44,000 BUNKA SHUTTER CO. 139,217 165,539 2.80NA NA 38,629 BUNZL 500,786 319,671 4.10NA NA 7,915 BUREAU VERITAS 371,073 388,514 0.00NA NA 22,000 BYD CO. 42,606 87,148 0.00NA NA 1,997 CAE INC 25,741 11,865 0.00NA NA 7,750 CANADIAN NATL RY CO. 406,586 333,463 2.00NA NA 2,019 CANADIAN PAC RY 141,086 80,631 2.10NA NA 295,045 CAPITA PLC 3,193,593 3,471,718 2.00NA NA 46,000 CATHAY PACIFIC AIR 64,421 63,391 0.30NA NA 86 CENTRAL JPAN RLWY 905,525 528,559 1.50NA NA 5,609 CFE 460,483 224,223 4.20NA NA 77,000 CHINA COMM CONSTR 131,282 90,015 0.00NA NA 37,000 CHINA COSCO HLDGS 21,611 44,066 3.60NA NA 23,000 CHINA HIGH SPEED 28,470 45,822 0.00NA NA 22,208 CHINA MERCHANTS HLDGS INT'L 73,338 64,045 3.00NA NA 16,500 CHINA RAILWAY CONS 22,211 25,463 0.00NA NR 1,600 CHINA SEC SURVEILLANCE TECH 12,322 12,064 0.00NA NA 39,100 CHINA SHIPPING CONTAINER LINES 26,832 10,494 0.00NA NA 22,000 CHINA SHIPPING DEV 57,404 28,387 3.40NA NA 2,456 CIA DE CONCESSOES 37,870 39,388 4.30NA NA 30,168 CIE DE ST GOBAIN 1,983,055 1,008,159 4.20NA NA 707 CINTRA CONCES INFR 10,098 4,383 1.70NA NA 20,000 CITIC PACIFIC LTD 109,405 41,342 1.90NA NA 260,300 CLAUDE RES INC. 161,999 197,239 0.00NA NA 771,633 CLOUGH 460,565 442,917 1.40NA NA 323,022 COBHAM ORD 1,119,159 918,710 2.90NA NA 52,000 COMFORTDELGRO CORP. 68,121 45,988 3.90NA NA 271,638 COMPAL ELECTRONICS INC 1,192,295 1,103,122 5.60NA NA 3,923 CONST Y AUX FERR 1,737,129 1,755,879 2.40NA NA 11,840 COOKSON GROUP ORD GBP1 60,752 50,940 0.00NA NR 40,712 COPA HOLDINGS S A 1,402,792 1,661,864 0.90NA NA 68,277 CORP EXPRESS AUST 202,022 205,339 6.60NA NA 39,000 COSCO CORPORATION 69,881 33,682 5.60NA NA 24,000 COSCO PACIFIC LTD 20,424 27,035 0.00ILLINOIS STATE BOARD OF INVESTMENT83

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Industrials (continued)NA NA 25,000 DAI NIPPON PRINTNG 340,566 343,059 2.40NA NA 20,500 DAIFUKU CO 106,868 145,966 2.90NA NA 78,000 DAIHEN CORP 395,775 272,436 2.10NA NA 11,982 DAIKIN INDUSTRIES 458,192 386,216 1.20NA NA 37,000 DAIWA INDUSTRIES 128,452 170,648 2.30NA NA 9,643 DANIELI & CO. 99,729 162,309 2.10NA NA 170,500 DAVIS SERVICE GP 653,130 936,427 6.00NA NA 377,700 DE LA RUE 5,378,526 5,666,557 0.00NA NA 104,806 DERICHEBOURG 235,298 276,372 4.30NA NA 64,353 DIGNITY 790,957 637,998 1.80NA NA 132,100 DOWNER GROUP 463,842 596,991 4.60NA NA 27,600 DRAKA HLDGS 364,783 368,549 0.00NA NA 6,885 DSV 155,619 85,265 0.00NA NA 438 DURATEX SA 9,424 4,852 4.90NA NA 21,503 EADS(EURO AERO 576,945 347,155 1.70NA NA 89,100 EAST JAPAN RAILWAY 5,837,050 5,365,300 1.90NA NA 2,068 EIFFAGE 83,920 120,378 0.00NA NA 5,900 EIZO NANAO CORP 160,510 115,572 2.70NA NA 16,900 EL.EN. SPA 413,932 232,307 0.00NA NA 12,577 ELSWEDY CABLES HOL 144,512 152,885 0.00NA NA 8,855 EMBRAER EMP AER BR 79,705 36,824 5.90NA NA 200,040 EMBRAER EMPRESA BRASILEIRA DE 7,476,661 3,312,662 6.00NA NA 969,100 EMECO HOLDINGS LTD 498,290 317,305 0.00NA NA 4,662 EURONAV NV 101,377 86,775 19.60NA NA 7,148 EVS BROADCAST EQUITY 320,488 360,239 0.00NA NA 60,060 EXPERIAN PLC 525,626 449,298 2.70NA NA 14,761 FAIVELEY 1,037,524 1,124,256 0.00NA NA 10,734 FANUC 966,037 863,304 0.40NA NA 1,267 FIN DE L ODET 332,811 299,256 0.20NA NA 25,049 FIRSTGROUP 283,787 147,579 5.20NA NA 2,265 FLSMIDTH & CO. A/S 212,478 80,417 0.00NA NA 5,551 FLUGHAFEN WIEN AG 209,147 225,019 9.00NA NA 11,028 FOM CONST Y CONTRA 370,926 451,833 4.40NA NA 1,314 FRAPORT AG 42,683 56,196 3.80NA NA 26,000 FRASER & NEAVE LTD 83,794 72,843 3.00NA NA 237 FRONTLINE LTD 9,759 5,845 4.10NA NA 32,000 FUJI ELECTRIC HLDG 123,632 53,065 0.00NA NA 10,900 FUJI MACHINE MFG 254,001 131,611 1.70NA NA 22,000 FURUKAWA ELECTRIC CO. LTD 100,491 99,414 1.20NA NA 62,273 G4S PLC 225,395 213,826 3.10NA NA 11,482 GAMESA CORP TECNO 316,008 217,582 1.20NA NA 9,722 GEBERIT 1,267,449 1,194,298 4.00NA NA 3,300 GEORGE FISCHER AG 699,255 563,478 2.70NA NA 15,400 GESCO AG 712,950 788,430 6.90NA NA 207,236 GET SA 1,013,438 1,174,346 0.00NA NA 100,942 GILDEMEISTER AG 1,456,962 974,114 5.80NA NA 34,439 GO AHEAD GROUP 565,524 676,053 6.80NA NA 550 GOL LINHAS AEREAS 9,205 3,056 0.00NA NA 1,828 GRASIM INDUSTRIES LTD 111,703 88,201 1.30NA NA 7,300 GRONTMIJ NV 322,688 167,925 0.00NA NA 4,897 GRUPO AEROPORTUARI 20,823 12,501 6.40NA NA 43,432 GRUPO CARSO 154,014 116,344 1.70NA NA 1,145 GRUPO FERROVIAL SA 97,499 36,730 7.20NA NA 4,139 GS ENGINEERING & CO. 286,348 240,422 0.70NA NA 33,400 HALDEX AB 193,108 229,554 0.00NA NA 9,000 HAMAKYOREX CO. LTD 153,202 202,881 1.50NA NA 608 HAMBURGER HAFEN 22,509 23,410 0.00NA NA 88,400 HAMPSON INDUSTRIES 307,661 98,995 3.50NA NA 59,000 HANKYU HANSHIN HLD 290,470 276,395 1.10NA NA 176,000 HANWA CO. 487,050 660,331 3.30NA NA 103,000 HASTIE GROUP LIMITED 398,074 105,753 12.60NA NA 570,300 HAYS 586,916 805,363 6.80NA NA 3,000 HINO MOTORS 18,730 9,359 0.00NA NA 43,000 HITACHI CABLE 121,968 137,711 1.60NA NA 5,200 HITACHI CONST MACH 169,678 84,884 0.60NA NA 5,200 HITACHI KOKI CO. 88,142 45,702 2.80NA NA 4,639 HOCHTIEF AG 458,001 233,598 3.90NA NA 1,600 HONG KONG AIRCRAFT 13,368 18,642 3.50NA NA 1,300 HOPEWELL HIGHWAY 1,185 728 26.30NA NA 151,000 HOSOKAWA MICRON CO. 500,662 663,564 1.40NA NA 146,897 HUTCHISON WHAMPOA 1,446,047 960,037 3.40NA NA 199,000 HYFLUX LIMITED 198,488 302,484 1.60NA NA 63,331 IBERIALINEAS AERE 203,680 134,224 9.20NA NA 29,800 IBJ LEASING CO. LTD 608,445 412,323 3.00ILLINOIS STATE BOARD OF INVESTMENT84

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Industrials (continued)NA NA 66,000 IHI CORP. 203,350 114,235 0.00NA NA 182,000 IMI 924,622 934,398 6.60NA NA 5,028 IMPERIAL HLDGS 59,131 37,958 5.60NA NA 72,564 IMPREGILO SPA 254,024 252,165 3.20NA NA 16,138 IMTECH NV 375,340 313,282 4.30NA NA 144,100 INABATA & CO. 487,981 586,944 2.50NA NA 25,100 INDUS HOLDING AG 441,889 379,174 7.40NA NA 35,000 INES CORPORATION 180,349 238,327 1.80NA NA 93,028 INTERTEK GROUP PLC 1,036,615 1,597,909 2.00NA NA 41,179 INVENSYS 245,746 151,568 0.70NA NA 27,000 JAPAN AIRLINES CORP. 59,098 52,050 0.00NA NA 16,000 JAPAN STEEL WORKS 215,235 197,668 1.00NA NA 228 JAPAN TOBACCO INC. 1,084,157 713,645 1.90NA NA 54,815 JERONIMO MARTINS SGPS 313,784 373,514 0.00NA NA 11,200 JS GROUP CORP. 204,653 172,960 2.70NA NA 26,176 JSC MMC NORILSK NICKEL 429,270 240,819 0.00NA NA 10,600 JTEKT CORPORATION 160,895 107,774 1.40NA NA 44,800 JUNGHEINRICH 603,098 591,941 5.80NA NA 35,000 KAJIMA CORP. 141,396 109,188 2.00NA NA 18,000 KAMIGUMI CO. 144,233 151,858 1.00NA NA 14,900 KARDEX 470,378 438,417 0.00NA NA 60,000 KATO WORKS CO. 110,073 149,868 2.90NA NA 84,000 KAWASAKI HEAVY IND 304,053 231,580 1.10NA NA 40,000 KAWASAKI KISEN 318,794 165,000 0.60NA NA 37,000 KEIHAN ELEC RAIL 145,259 157,227 1.20NA NA 6,000 KEIHIN ELEC EXP RL 47,065 46,515 0.80NA NA 53,000 KEISEI ELEC RAILWY 278,149 316,402 1.00NA NA 41,000 KELLER GROUP 281,698 373,728 3.70NA NA 61,000 KEPPEL CORP. 429,650 290,807 0.00NA NA 9,000 KINDEN CORPORATION 88,137 79,007 1.70NA NA 58,000 KINTETSU CORP. 187,381 255,480 1.20NA NA 65,000 KITZ CORPORATION 202,919 221,641 0.90NA NA 65,000 KOIKE SANSO KOGYO 144,656 196,715 2.10NA NA 39,000 KOKUYO CO. 346,628 341,151 1.80NA NA 32,700 KOMORI CORPORATION 533,691 391,444 1.70NA NA 6,111 KONE CORPORATION NPV 179,388 187,118 3.00NA NA 19,554 KONECRANES OYJ 886,098 459,409 5.40NA NA 141,000 KROSAKI CORP. 218,074 301,042 0.00NA NA 60,000 KUBOTA CORP. 453,541 495,621 0.00NA NA 3,455 KUEHNE & NAGEL AG 268,716 270,351 2.70NA NA 10,492 KUKA AKTIENGESELLSCHAFT 199,880 162,619 0.00NA NA 3,300 KURITA WATER INDS 88,597 106,711 1.10NA NA 62,100 KURODA ELECTRIC 605,405 834,780 2.20NA NA 139,000 KYODO PRINTING CO. 580,812 442,276 2.60NA NA 193,600 LAIRD PLC 515,496 494,187 0.00NA NA 12,074 LARSEN &TOUBRO 345,479 392,646 0.50NA NA 51,200 LAVENDON GROUP 271,751 105,398 4.00NA NA 19,556 LEGRAND SA 397,203 426,129 0.00NA NA 7,155 LEIGHTON HOLDINGS 168,279 135,935 6.20NA NA 4,700 LEMMINKAINEN CORP. 185,700 125,389 4.70NA NA 36,100 LEONI AG 511,139 594,463 1.70NA NA 19,759 MACQUARIE AIRPORTS 66,254 36,900 11.70NA NA 105,790 MACQUARIE INFRASTRUCTURE GROUP 277,612 122,302 14.00NA NA 64,534 MAIRE TECNIMONT SP 220,809 210,456 4.70NA NA 7,815 MAN SE 1,075,361 479,027 4.60NA NA 93,000 MARUBENI CORP. 702,550 412,541 1.60NA NA 19,500 MATSUDA SANGYO 346,885 311,442 1.60NA NA 40,453 METSO OYJ 732,714 754,661 5.30NA NA 2,695 MEYER BURGER TECHN 327,887 415,568 0.00NA NA 10,000 MINEBEA CO. 57,213 42,597 1.70NA NA 71,059 MITSUBISHI CORP. 1,819,193 1,316,821 1.90NA NA 101,000 MITSUBISHI ELEC CP 1,072,575 639,592 0.00NA NA 169,000 MITSUBISHI HVY IND 931,281 700,627 1.00NA NA 56,000 MITSUI MATSUSHIMA 64,990 80,095 2.20NA NA 62,171 MITSUI OSK LINES 699,294 404,013 1.10NA NA 28,000 MITSUI SOKO CO. 112,081 110,566 2.40NA NA 148,000 MONADELPHOUS GROUP 1,576,021 1,423,842 6.10NA NA 329,800 MORGAN CRUCIBLE CO. 564,335 515,974 7.40NA NA 60,100 MORGAN SINDALL PLC 444,984 683,922 6.10NA NA 22,000 MORITA HOLDINGS 79,410 87,786 2.60NA NA 109,559 MTR CORP. 267,049 328,675 2.10NA NA 54,936 MTU AERO ENGINES I 1,258,277 2,003,456 3.60NA NA 6,406 MURRAY & ROBERTS 60,366 41,476 4.10NA NA 111,000 NACHI FUJIKOSHI CO. 453,378 227,787 1.00ILLINOIS STATE BOARD OF INVESTMENT85

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Industrials (continued)NA NR 88,150 NAM TAI ELECTRONICS 833,567 375,519 0.00NA NA 19,900 NCC 143,591 172,086 6.00NA NA 29,000 NEPTUNE ORIENT LNS 57,963 29,654 5.40NA NA 14,800 NEXANS 857,696 786,048 5.30NA NA 12,000 NGK INSULATORS 313,352 245,012 0.80NA NA 39,000 NIPPON EXPRESS CO. 197,127 177,447 2.30NA NA 20,000 NIPPON SHEET GLASS 104,575 58,455 2.10NA NA 115,300 NIPPON SIGNAL CO. 496,516 959,589 1.50NA NA 10,900 NITTA CORP. 226,928 159,176 1.10NA NA 10,945 NKT HOLDING 294,123 368,496 0.00NA NA 1,149,800 NOBLE GROUP 1,191,267 1,445,840 3.50NA NA 22,055 NORDEX AG 276,260 345,858 0.00NA NA 393,763 NRW HOLDINGS LTD 299,176 302,421 0.00NA NA 24,000 NSK 195,543 121,884 1.60NA NA 10,000 NTN CORP. 79,160 40,110 2.10NA NA 25,259 NWS HOLDINGS LTD 29,238 45,694 4.30NA NA 39,700 OBARA CORP. 225,137 376,489 3.30NA NA 22,000 OBAYASHI CORP. 110,349 107,851 1.70NA NA 12,985 OBRASCON HUARTE LAIN SA 179,619 256,627 2.60NA NA 291 OC OERLIKON CORPORATION AG 82,062 16,215 0.00NA NA 12,000 ODAKYU ELEC RLWY 88,014 102,731 0.80NA NA 27,800 OILES CORPORATION 465,035 418,650 1.50NA NA 28,000 OKAMURA CORP. 155,224 166,575 2.20NA NA 54,700 ONOKEN CO. 520,873 572,597 3.00NA NA 2,254 ORASCOM CONSTR IND 143,350 77,367 36.20NA NA 12,000 ORGANO CORP. 85,697 98,751 1.00NA NA 10,500 ORIENT O/SEAS INT'L 84,453 44,845 2.60NA NA 33,090 ORKLA ASA 526,576 240,083 4.80NA NA 14,060 OUTOTEC OYJ 239,833 333,289 0.00NA NA 9,800 PACIFIC BASIN SHIP 5,863 6,259 15.40NA NA 684,600 PAN UNITED CORP. 328,858 238,866 5.50NA NA 9,880 PANALPINA WELT AG 759,766 717,232 2.40NA NA 22,000 PANASONIC ELECTRIC 238,421 208,405 1.40NA NA 42,448 PEAB AB 129,161 173,674 7.10NA NA 3,516 PERMASTEELISA 61,460 59,822 0.00NA NA 40,372 PFLEIDERER AG 295,286 294,465 0.00NA NA 50,385 PHILIPS ELEC(KON) 1,887,055 927,577 5.30NA NA 303,800 PROFFICE AB 683,818 686,190 0.00NA NA 36,237 PROSEGUR SEGURIDAD 993,718 1,162,433 2.60NA NA 84,000 PV CRYSTALOX SOLAR 194,424 114,818 6.20NA NA 2,042 Q CELLS SE 170,928 41,531 0.00NA NA 5,983 QANTAS AIRWAYS 25,918 9,722 11.40NA NA 539,949 RAFFLES EDUCATION 261,680 205,183 0.00NA NA 69,956 RAMIRENT OYJ 407,667 428,801 0.00NA NA 114,464 RANDSTAD HLDGS NV 3,339,873 3,165,302 6.30NA NA 674,839 RENTOKIL INITIAL 988,653 994,666 0.70NA NA 27,860 RHEINMETALL AG 935,079 1,205,551 4.20NA NA 3,200 RIETER HLDGS AG 675,309 535,516 0.00NA NA 95,020 ROLLS ROYCE GROUP 874,688 565,688 0.00NA NA 1,925 RYANAIR HOLDGS PLC 76,845 54,651 0.00NA NA 70,000 RYOBI 135,153 184,277 0.00NA NA 3,679 SACYR VALLEHERMOSO SA 125,169 50,984 4.70NA NA 14,861 SAFRAN SA 326,383 195,941 2.70NA NA 56,837 SANDVIK AB 1,077,689 419,977 5.50NA NA 12,000 SANKI ENGINEERING 82,929 92,159 2.00NA NA 143,000 SANKYU INC. 505,123 563,196 2.40NA NA 55,000 SANWA HOLDINGS CORP 173,815 196,663 2.90NA NA 9,670 SCANIA AB 82,042 95,479 0.00NA NA 5,577 SCHINDLER HLDG AG 344,419 345,886 3.00NA NA 14,947 SCHNEIDER ELECTRIC 945,627 1,138,422 6.40NA NA 113,122 SECOM CO. 5,218,383 4,595,929 2.20NA NA 19,996 SECURITAS 214,536 169,045 4.40NA NA 70,000 SEINO HOLDINGS 612,043 582,578 1.40NA NA 38,000 SEMBCORP INDUSTRIES 135,652 79,290 3.60NA NA 51,600 SEMBCORP MARINE 100,753 95,902 4.10NA NA 17,000 SENSHU ELECTRIC CO. 319,429 162,274 2.20NA NA 25,737 SERCO GROUP 202,521 178,865 1.20NA NA 7,809 SFA ENGINEERING CO. 212,885 223,736 3.80NA NA 553 SGS SA 671,426 684,417 3.70NA NA 5,000 SHANGHAI INDUSTRIAL HLDG LTD 20,207 20,129 2.60NA NA 9,000 SHIBAURA MECHATRONICS 27,416 38,058 1.00NA NA 27,000 SHIMIZU CORP. 150,310 117,531 1.70NA NA 4,400 SHIP FINANCE INT'L 49,507 48,532 10.90NA NA 3,765 SIDI KRIER PETROCH 10,995 8,009 0.00NA NA 126,029 SIEMENS AG 12,668,014 8,690,241 3.30ILLINOIS STATE BOARD OF INVESTMENT86

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Industrials (continued)NA NA 42,410 SINGAPORE AIRLINES 433,585 389,714 3.00NA NA 952,700 SINGAPORE AIRPORT 743,564 1,434,958 4.60NA NA 36,000 SINGAPORE TECH ENG 85,919 60,939 6.50NA NA 21,500 SINTOKOGIO 122,414 152,195 1.50NA NA 33,476 SKANSKA AB 667,001 372,659 6.10NA NA 2,900 SMC CORP. 370,803 312,287 0.40NA NA 4,837 SMIT INTERNATIONAL 259,702 286,379 0.00NA NA 254,873 SMITHS GROUP 3,741,505 2,944,459 4.90NA NA 412,000 SMRT CORPORATION 469,381 481,072 4.60NA NA 698,322 SONAE SGPS SA 453,580 660,184 4.50NA NA 1 STAGECOACH GROUP 2 2 4.70NA NA 30,400 STANTEC INC. 689,832 732,678 0.00NA NA 182,800 STHREE ORD 479,274 544,890 0.00NA NA 61,000 STOLT NIELSEN SA 579,864 661,030 4.60NA NA 22,960 STX ENGINE CO. LTD 255,763 491,118 1.10NA NA 39,700 SUMITOMO CORP. 308,438 404,057 1.80NA NA 32,809 SUMITOMO ELEC INDS 486,502 369,286 1.30NA NA 23,000 SUMITOMO HEAVY IND 258,482 102,741 0.00NA NA 26,066 SUNG KWANG BEND 739,029 392,847 0.00NA NA 50,900 SUPERIOR PLUS CORP. 397,211 458,882 0.00NA NA 35,000 TAIKISHA 479,373 412,085 2.60NA NA 27,000 TAISEI CORP. 83,063 65,202 2.20NA NA 939 TAM SA 18,150 9,678 2.40NA NA 5,094 TECNICAS REUNIDAS 159,908 240,290 0.00NA NA 31,000 TGS NOPEC GEOPH CO. 230,776 305,832 0.00NA NA 8,237 THALES 450,569 368,272 3.30NA NA 6,600 THK CO. 133,233 98,708 1.00NA NA 1,832 TMK OAO 22,852 18,980 0.00NA NA 19,344 TNT NV 790,883 375,655 2.40NA NA 13,000 TOBU RAILWAY CO. 61,070 76,395 0.90NA NA 53,000 TOKYU CORP. 335,824 267,513 1.20NA NA 25,590 TOLL HLDGS LIMITED 204,725 129,301 3.70NA NA 524,572 TOMKINS 1,195,865 1,278,559 5.30NA NA 49,500 TOPPAN FORMS 525,074 634,622 2.00NA NA 15,000 TOPPAN PRINTING CO. 141,946 151,578 2.30NA NA 49,000 TOSHIBA MACHINE CO. 388,754 181,303 1.70NA NA 12,000 TOSHIBA PLANT SYSTEMS & SERVICES 113,600 136,063 1.40NA NA 40,000 TOSHIBA TEC 142,697 162,927 0.00NA NA 2,000 TOTO 13,846 14,013 1.50NA NA 8,300 TOUAX (TOUAGE INV) 473,726 224,574 5.20NA NA 60,000 TOYO ENGINEERING 350,363 203,348 1.50NA NA 13,600 TOYOTA TSUSHO CORP. 269,167 202,129 1.10NA NA 23,200 TRANSAT A T INC. 250,680 210,355 0.00NA NA 52,800 TRANSCONTINENTAL INC. 543,890 405,542 0.00NA NA 81,800 TRANSFORCE INC. 317,536 415,568 0.00NA NA 115,100 TRANSPACIFIC INDUS NPV 780,605 167,495 0.00NA NA 9,600 TRANSPORT INT'L HLD 24,089 25,641 6.50NA NA 45,107 TRANSURBAN GROUP 220,931 152,431 5.30NA NA 29,189 TREVI FINANZIARIA 372,038 339,204 1.50NA NA 122,000 TSUGAMI CORP. 250,351 269,327 1.40NA NA 38,000 TSUKISHIMA KIKAI 178,769 221,340 2.70NA NA 103,800 TYCO INTERNATIONAL LTD 2,191,578 2,696,724 3.10NA NA 76,000 UCHIDA YOKO CO. 275,805 257,574 3.10NA NR 5,600 ULTRAPETROL BAHAMAS LIMITED 15,384 24,808 0.00NA NA 263 UNIQUE ZURICH AIRPORT 62,054 58,764 2.10NA NA 32,712 USG PEOPLE NV 392,404 374,868 0.00NA NA 3,800 USHIO INC. 57,773 60,731 1.30NA NA 39,260 VALE SA 756,276 597,975 0.00NA NA 3,743 VALLOUREC USIN A T 770,622 454,293 6.90NA NA 145,000 VEIDEKKE 441,110 711,872 0.00NA NA 96,000 VENTURE CORP. LTD 319,488 462,970 7.20NA NA 60,751 VESTAS WIND SYSTEMS 2,036,660 4,353,906 0.00NA NA 27,817 VINCI 1,695,114 1,247,976 0.00NA NA 53,000 VIOHALCO 238,057 344,940 1.30NA NA 1,683 VOPAK (KON) 63,727 83,992 3.10NA NA 11,034 VOSSLOH AG 1,210,359 1,324,044 2.30NA NA 24,339 VT GROUP PLC 185,610 181,174 3.20NA NA 13,900 VTG AG 160,639 169,817 0.00NA NA 8,000 WEICHAI POWER CO. 37,487 26,529 0.60NA NA 409 WENDEL 19,838 13,195 4.40NA NA 86 WEST JAPAN RAILWAY 394,770 284,334 2.20NA NA 588 WIENERBERGER AG 24,997 7,283 0.00NA NA 17,857 WOLSELEY 1,106,568 340,542 0.00NA NA 16,000 YAMATO HOLDINGS CO. LTD 232,859 213,256 1.70NA NA 44,300 YAMAZEN CORP. 272,089 191,920 2.40ILLINOIS STATE BOARD OF INVESTMENT87

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Industrials (continued)NA NA 9,000 YOKOGAWA BRIDGE CP 76,992 75,089 1.10NA NA 24,300 YUSEN AIR & SEA SERVICES 320,516 308,016 1.30NA NA 26,811 ZARDOYA OTIS 500,047 559,584 3.40NA NA 8,000 ZHEJIANG EXPRESSWA 9,165 6,348 0.00NA NA 48,729 ZODIAC AEROSPACE 1,676,320 1,582,980 4.30NA NA 53,800 ZUMTOBEL AG 599,265 550,122 0.00Total Industrials 195,167,623 173,859,864Information TechnologyNA NA 84 ACCESS CO. 171,506 208,944 0.00NA NA 9,079 ADVANTEST 274,852 164,671 0.30NA NA 102,500 AERO INVENTORY 388,877 374,741 0.00NA NA 26,400 AF AB 629,089 486,406 4.60NA NA 16,494 AIXTRON 172,934 202,665 1.00NA NA 34,000 ALIBABA.COM LTD 21,043 60,278 0.00NA NR 1,713 ALVARION LTD 17,100 7,657 0.00NA NA 823,022 ANITE 472,657 477,776 0.00NA NA 159,200 ARISAWA MFG CO. 820,210 952,049 0.00NA NA 16,500 ASM PACIFIC TECH 76,589 84,841 4.80NA NA 22,887 ASML HOLDING NV 577,199 494,699 1.30NA NA 3,590 ATOS ORIGIN 188,968 121,633 0.00NA NR 4,090 AUDIO CODES LTD 17,542 6,340 0.00NA NA 19,200 AUSTRIAMICROSYSTEM 472,992 229,507 0.00NA NA 14,514 AUTONOMY CORP. 263,769 343,477 0.00NA NA 15,100 BARCO 331,323 516,581 0.00NA NA 18,000 BECHTLE AG 272,983 338,319 4.50NA NA 7,800 BROTHER INDUSTRIES 62,000 69,200 1.90NA NA 121,000 CAC CORPORATION 708,462 875,349 4.60NA NA 58,000 CANON FINETECH INC. 532,363 776,660 1.90NA NA 59,794 CANON INC. 2,827,571 1,958,326 2.90NA NA 51,200 CANON MARKETING JA 677,098 716,381 1.50NA NA 8,242 CAP GEMINI 480,536 303,351 3.80NA NR 77,899 CHECK POINT SOFTWARE 1,684,764 1,828,290 0.00NA NA 10,400 CITIZEN HOLDINGS CO LTD 77,206 53,355 1.40NA NA 59,118 COMPAL ELECTRONIC 266,259 240,078 5.60NA NA 80,179 COMPUTERSHARE REG 649,828 584,683 2.80NA NA 6,600 CONSTELLATION SOFTWARE INC. 148,427 187,540 0.00NA NA 99,990 CSR 642,015 575,928 0.00NA NA 5,657 DASSAULT SYSTEMES 318,925 249,629 1.50NA NA 19,500 ELPIDA MEMORY INC. 221,374 211,199 0.00NA NA 253,000 ELTEK ASA 260,167 114,772 0.00NA NA 23,800 ESPEC CORP. 254,741 180,563 1.40NA NA 6,694 ESPRINET 63,110 60,280 2.40NA NA 62,300 FOSTER ELECTRIC CO. 667,725 710,266 2.20NA NA 79,000 FOXCONN INTERNATIONAL HLDGS 192,408 51,783 0.00NA NA 78,700 FUJI ELECTRONICS 681,621 693,320 4.70NA NA 141,000 FUJITSU 808,826 768,679 1.10NA NA 18,000 FUJITSU KIDEN 176,476 180,961 1.70NA NA 113,200 FURUNO ELECTRIC CO. 604,834 750,873 1.60NA NA 14,872 GEMALTO 417,758 514,413 0.00NA NA 121,200 GFI INFORMATIQUE 461,477 484,504 7.70NA NA 16,033 GROUPE STERIA 310,803 293,927 0.90NA NA 1,437 HIROSE ELECTRIC 134,357 153,403 1.20NA NA 199,000 HITACHI 1,183,482 620,812 0.00NA NA 3,300 HITACHI HIGH TECH 68,739 56,331 0.60NA NA 24,100 HITACHI INFO SYS 465,560 508,302 2.10NA NA 33,800 HITACHI MAXELL 439,658 420,026 1.70NA NA 37,300 HITACHI SOFTWARE 755,424 638,258 2.30NA NA 52,200 HITACHI SYSTEM & SERVICES 638,484 714,142 3.80NA NA 18,800 HOSIDEN CORP 289,175 239,469 2.40NA NA 23,997 HOYA CORP. 689,464 481,507 3.40NA NA 8,900 IBIDEN CO 456,893 250,438 1.70NA NA 66,400 IDS SCHEER AG 449,081 999,349 2.10NA NA 22,209 INDRA SISTEMAS SA 552,645 480,511 3.20NA NA 823,672 INFINEON TECHNOLOGIES AG 8,003,231 2,974,959 0.00NA NA 40,200 INFORMATION SERVICES 248,291 247,904 3.40NA NA 20,837 INFOSYS TECHNOLOGIES LTD 851,019 766,385 1.30NA NA 44,000 INNOTECH CORP. 380,179 202,933 1.10NA NA 56,900 JAPAN DIGITAL LAB 751,247 721,828 1.60NA NA 55,700 KAGA ELECTRONICS 543,346 744,706 3.10NA NA 48 KAKAKU.COM. INC. 164,319 182,080 0.40NA NA 2,425 KEYENCE CORP. 418,749 495,129 0.30NA NA 215,000 KINGBOARD CHEMICAL 407,441 529,868 3.70NA NA 2,400 KONAMI CORP. 55,968 46,042 2.90NA NA 26,603 KUDELSKI SA 245,323 439,571 0.80ILLINOIS STATE BOARD OF INVESTMENT88

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Information Technology (continued)NA NA 10,500 KYOCERA CORP. 839,319 791,159 1.70NA NA 116,000 LENOVO GROUP LTD 64,156 43,556 1.00NA NA 732,800 LOGICA PLC 873,857 953,381 7.50NA NA 21,968 LOGITECH IN'TL 401,537 304,003 0.00NA NA 3,700 MABUCHI MOTOR CO. 136,664 178,701 2.20NA NA 11,000 MEIKO ELECTRONICS 315,513 216,272 1.10NA NA 18,000 MELCO HLDGS INC. 368,521 223,869 2.80NA NA 424,186 MICRO FOCUS 2,194,045 2,616,147 2.50NA NA 6,900 MIMASU SEMICONDUCTOR 77,720 82,884 2.10NA NA 3,692 MITSUI KNOWLEDGE 739,183 738,515 2.60NA NA 8,700 MITSUMI ELECTRIC 134,285 186,200 1.70NA NA 12,041 MURATA MFG CO. 719,683 511,666 1.70NA NA 76,000 NEC CORP. 267,485 298,533 1.10NA NA 43,900 NEC FIELDING LTD 566,212 604,686 3.00NA NA 18,000 NEC MOBILING LTD 299,406 347,557 3.80NA NA 6,835 NEOPOST 595,705 613,623 5.90NA NA 6,500 NIDEC CORPORATION 386,478 394,103 0.90NA NA 20,700 NIHON UNISYS 149,326 179,571 1.80NA NA 42,900 NINTENDO CO. 14,163,590 11,840,462 4.80NA NA 19,000 NIPPON ELEC GLASS 209,123 213,069 0.90NA NA 13,000 NOHMI BOSAI 116,225 115,738 1.80NA NA 2,500 NOMURA RESEARCH INC. 81,259 55,579 2.40NA D 2,950 NORTEL NETWORKS CORP. 0 129 0.00NA NA 91,600 NSD CO. LTD 845,789 928,484 2.90NA NA 64 NTT DATA CORP. 283,408 206,954 1.90NA NA 32,187 OCE NV 190,598 172,417 16.80NA NA 11,000 OMRON CORP. 236,511 159,040 1.00NA NA 1,200 ORACLE CORP. JAPAN 52,070 44,028 4.80NA NR 3,205 ORBOTECH LTD 56,537 27,723 0.00NA NA 200 OTSUKA CORPORATION 20,121 10,675 2.50NA NA 62,688 PARROT PROMESSES 521,879 616,385 0.00NA NA 800 PHOENIX MECCANO 265,029 229,139 3.20NA NA 394,176 REDECARD SA 4,242,257 6,064,091 0.00NA B 46,230 RESEARCH IN MOTION LTD 2,970,222 3,285,916 0.00NA NA 1,418 REUNERT 11,408 8,008 7.00NA NA 93,400 REXEL PROMESSES 831,805 791,286 0.00NA NA 42,000 RICOH CO. 722,715 541,950 2.70NA NA 5,894 ROHM CO. 440,577 429,443 1.90NA NA 45,294 ROTORK 508,827 617,252 3.10NA NA 5,372 SAFT GROUPE SA 206,461 212,413 2.40NA NA 77,109 SAGE GROUP 349,387 226,164 4.10NA NA 26,311 SAMSUNG ELECTRONICS LTD 8,406,189 8,478,330 1.40NA NA 244,965 SAP AG 12,465,003 9,851,020 1.70NA NA 9,032 SATYAM COMPUTER SERVICES 203,132 28,090 4.70NA NA 726 SBI HOLDINGS INC. 182,427 148,157 0.20NA NA 8,700 SEIKO EPSON CORP. 188,448 142,017 1.50NA NA 6,000 SHIMADZU CORP. 38,750 48,007 0.90NA NA 27,000 SHINDENGEN ELEC 44,611 63,523 0.00NA NA 11,200 SHINKO ELEC INDS 92,475 138,832 0.70NA NA 57,200 SIERRA WIRELESS INC. 446,374 327,040 0.00NA NA 2,798 SIMCORP 303,249 433,729 3.70NA NA 2,400 SOFTWARE AG 148,847 169,698 2.20NA NR 1,250 SOHU COM INC. 88,706 78,538 0.00NA NA 44,026 SOITEC SECURITIES 302,370 342,915 0.00NA NA 11,800 SOPRA 556,209 437,616 6.20NA NA 36,000 SORUN CORPORATION 152,843 220,138 3.70NA NA 84,400 SPECTRIS 682,120 766,552 4.20NA NA 625,164 SPIRENT COMMUNICATIONS PLC 664,683 651,191 1.70NA NA 500 SQUARE ENIX HOLDINGS CO. LTD 13,611 11,738 1.30NA NA 22,000 SRA HOLDINGS 345,232 191,988 0.00NA NA 55,353 STMICROELECTRONICS 781,924 414,059 1.60NA NA 10,433 SUMCO CORPOATION 291,166 148,680 0.00NA NA 62,100 SUMIDA CORP. 566,933 411,275 3.10NA NA 22,400 SUMISHO COMP SYS 405,649 350,562 2.10NA NA 648,654 TAIWAN SEMICNDCTR MFG CO. LTD 6,563,198 6,103,834 4.80NA NA 55,771 TANDBERG ASA 715,801 937,958 1.20NA NA 7,333 TDK CORP. 484,542 345,047 2.60NA NA 16,194 TEMENOS GROUP AG 164,017 275,471 0.00NA NA 20,000 TENCENT HOLDINGS LTD 122,959 233,418 0.00NA NA 65,111 TIETOENATOR OYJ 698,500 864,876 5.30NA NA 52,000 TOA CORP. 479,148 357,859 3.00NA NA 10,196 TOKYO ELECTRONICS 589,639 493,500 0.20NA NA 169,000 TOSHIBA CORP. 1,230,000 613,049 0.00NA NA 4,500 TREND MICRO INC 159,329 144,116 2.80NA NA 190,868 TYCO ELECTRONICS LTD SWITZERLA 2,911,600 3,548,236 3.30ILLINOIS STATE BOARD OF INVESTMENT89

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Information Technology (continued)NA NA 12,892 UBISOFT ENTERTAINMENT 326,882 313,649 0.00NA NA 4,457 UTD INTERNET AG 42,348 52,138 0.00NA NA 147,000 VTECH HLDGS 493,028 1,003,387 7.80NA NA 5,171 WINCOR NIXDORF AG 342,994 289,254 5.30NA NA 17,100 WIPRO LTD 214,896 201,780 0.70NA NA 37,481 WIRECARD AG 296,130 365,381 0.00NA NA 872 YAHOO JAPAN CORP. 295,886 277,908 0.40NA NA 68,000 YASKAWA ELEC CORP. 677,283 452,464 0.50NA NA 7,700 YOKOGAWA ELECTRIC 73,144 51,873 1.20NA NA 46 ZAPPALLAS INC. 94,514 94,255 0.00NA NA 14,560 ZTE CORPN 26,600 50,537 1.00Total Information Technology 118,386,764 108,423,303MaterialsNA NA 568 ACERINOX S.A. ORD SHS 14,139 10,509 2.90NA NA 127,600 ADEKA CORPORATION 686,206 1,220,654 2.00NA NA 19,381 AFRN RAINBOW MINLS 170,723 326,007 3.10NA NA 1,899 AGNICO EAGLE MINES LTD 81,945 100,187 0.30NA NA 1,731 AGRIUM INC. 76,378 69,234 0.20NA NA 48,061 AKZO NOBEL NV 2,431,128 2,114,065 5.70NA NA 17,050 ALUMINA LIMITED 94,233 19,918 8.30NA NA 88,000 ALUMINIUM CORP. CHN 156,463 83,344 0.80NA NA 22,223 AMCOR LIMITED 128,180 89,651 6.80NA NA 12,200 ANGANG STEEL COMPANY LTD. 32,804 20,244 1.90NA NA 64,730 ANGLO AMERICAN PLC 3,203,232 1,879,901 1.50NA NA 4,551 ANGLO PLATINUM LTD 320,097 321,478 6.40NA NA 2,648 ANGLOGOLD ASHANTI LTD 84,556 97,046 0.40NA NA 6,000 ANHUI CONCH CEMENT 34,406 37,548 0.70NA NA 10,960 ANTOFAGASTA 60,607 106,041 6.20NA NA 11,018 ARACRUZ CELULOS SA 54,143 16,360 0.00NA NA 49,867 ARCELORMITTAL 2,744,919 1,636,028 1.90NA NA 20,464 ARCELORMITTAL SOUTH AFRICA 176,976 253,067 7.40NA NA 45,471 ARKEMA 1,093,630 1,065,125 3.60NA NA 62,000 ASAHI KASEI CORP. 433,251 315,514 2.00NA NA 21,533 BANCA GENERALI EUR1 186,909 179,709 0.00NA NA 16,486 BARRICK GOLD CORP. 508,319 555,756 1.00NA NA 63,905 BASF SE 4,136,774 2,539,399 6.90NA NA 4,390 BAYER AG 241,398 235,345 3.70NA NA 996,800 BENDIGO MINING LTD 157,031 225,642 0.00NA NA 293,864 BHP BILLITON PLC 7,995,634 7,608,189 3.70NA NA 37,181 BILLERUD 183,004 179,958 0.00NA NA 95,713 BLUESCOPE STEEL LTD 276,512 195,769 12.70NA NA 83,416 BOLIDEN AB (POST SPLIT) 423,864 627,139 0.00NA NA 675 BORAL LIMITED 3,724 2,221 6.00NA NA 2,173 BRASKEM S A 15,734 7,961 9.00NA NA 1,831,300 BREAKWATER RES LTD 516,783 457,293 0.00NA NA 12,734 BUZZI UNICEM SPA 161,165 179,864 3.60NA NA 6,932 CAMECO CORP. 249,175 178,112 0.80NA NA 153,401 CEMEX SAB DE CV 376,026 143,847 8.60NA NA 238,900 CENTENNIAL COAL CO. 525,290 475,121 9.80NA NA 20,000 CHINA BLUECHEMICAL 8,304 10,503 2.70NA NA 91,000 CHINA COAL ENERGY 57,024 107,790 0.00NA NA 6,000 CHINA NATIONAL BUI 3,133 11,628 0.00NA NR 8,000 CHINA PRECISION STL INC. 21,692 19,840 0.00NA NA 131,000 CHINA SHENHUA ENERGY 462,493 482,584 1.80NA NA 54,500 CHUBU STEEL PLATE 376,080 444,541 3.60NA NA 261,000 CHUETSU PULP & PAPER 613,233 638,400 2.50NA NA 4,943 CIMPOR CIMENTOS DE 26,298 36,053 3.60NA NA 264,251 CLARIANT 1,354,160 1,666,831 0.00NA NA 31,994 CRH 989,885 731,485 4.20NA NA 24,043 CRODA INT'L 165,584 211,240 3.70NA NA 7,123 CSR LIMITED 19,076 9,790 4.40NA NA 1,000 DAICEL CHEM INDS 7,057 6,063 1.40NA NA 6,000 DAIDO STEEL CO. 46,879 24,626 0.80NA NA 51,000 DAIO PAPER CORP. 402,826 446,650 1.00NA NA 61,000 DENKI KAGAKU KOGYO 165,099 170,068 1.90NA NA 16,000 DIC CORPORATION 63,617 25,040 0.00NA NA 47,600 DOMINION MINING 177,921 177,403 3.00NA NA 10,600 DONGKUK STEEL MILL 153,646 215,087 2.90NA NA 3,000 DOWA HOLDINGS 33,490 12,499 2.50NA NA 251,639 DS SMITH PLC 303,819 275,584 6.60NA NA 58,758 EL EZZ STEEL REBAR 112,701 127,095 0.00NA NA 6,530 ENERPLUS RES FD 240,277 141,300 0.00NA NA 344 ERAMET 78,322 89,820 2.80NA NA 15,980 EURASIAN NATURAL 111,040 172,243 0.00ILLINOIS STATE BOARD OF INVESTMENT90

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Materials (continued)NA NA 12,253 EXXARO RESOURCES LTD 86,183 120,190 5.00NA NA 95,292 FERREXPO PLC 124,026 210,681 2.90NA B- 432 FIRST QUANTUM MINERALS LTD 32,670 20,924 0.00NA NA 26,959 FLETCHER BUILDING 176,065 114,913 7.40NA NA 73,149 FORTESCUE METAL GROUP 152,722 224,130 0.00NA NA 57,500 FOSUN INTERNATIONAL 12,678 35,761 0.00NA NA 4,000 FP CORPORATION 147,190 175,779 1.80NA NA 346,000 FURUKAWA SKY ALUMI 605,522 659,833 2.20NA NA 86,200 GAMMON GOLD INC. 652,594 571,525 0.00NA NA 7,303 GEA GROUP AG 116,622 110,528 3.70NA NA 17,620 GERDAU SA SIDERURG 142,096 159,486 0.00NA NA 201 GIVAUDAN AG 143,352 122,997 1.50NA NA 10,331 GOLD FIELDS 134,156 125,109 1.60NA NA 12,898 GOLDCORP INC. 306,788 449,017 0.50NA NA 81,246 GPO MEXICO SA 130,130 88,894 0.00NA NA 100,500 HANWHA CHEMICAL 641,172 824,385 3.40NA NA 5,145 HARMONY GOLD MNG 44,566 53,299 0.00NA B- 67,100 HARRY WINSTON DIAMOND CORP. 526,854 400,399 0.00NA NA 960 HEIDELBERGCEMENT 87,523 39,454 0.40NA NA 1,176,700 HI P INTERNATIONAL 489,958 487,802 3.70NA NA 14,256 HINDALCO INDS LTD 30,347 25,732 2.10NA NA 5,600 HITACHI CHEMICAL 107,316 90,368 2.10NA NA 3,000 HITACHI METALS 28,737 25,527 1.50NA NA 43,900 HOGANAS AG 499,171 471,702 3.60NA NA 251,000 HOKKAN HOLDINGS 894,737 632,150 3.10NA NA 4,877 HOLMEN AB 184,269 106,065 5.30NA NA 106,100 HUHTAMAKI OYJ 649,111 1,093,836 4.60NA NA 599 IMERYS 37,613 25,084 3.40NA NA 13,904 IMPALA PLATINUM 353,914 306,887 0.00NA NA 90,286 INCITEC PIVOT 212,533 173,720 9.10NA NA 1,955 INDUSTRIAS PENOLES 23,790 31,284 8.10NA NA 23,492 ITALCEMENTI 278,280 268,057 2.20NA NA 1,597 IVANHOE MINES LTD 17,810 8,870 0.00NA NA 78,763 JAMES HARDIE INDS 272,408 267,439 0.00NA NA 26,200 JFE HOLDING INC. 1,455,131 882,521 0.30NA NA 22,000 JIANGXI COPPER CO. 44,544 36,051 0.70NA NA 17,681 JOHNSON MATTHEY 524,767 335,148 3.20NA NA 4,283 JSC POLYUS GOLD 79,448 88,444 0.00NA NA 7,100 JSR CORP. 156,823 121,639 1.60NA NA 6,497 K & S AG 298,975 364,794 6.00NA NA 5,000 KANEKA CORP. 39,197 35,601 2.30NA NA 9,505 KAZAKHMYS 49,983 98,616 4.00NA NA 217,104 KINGSGATE CONSD LTD 941,635 1,175,969 0.00NA NA 11,079 KINROSS GOLD CORP. 136,217 202,243 0.00NA NA 3,615 KLABIN SA 9,500 5,515 5.70NA NA 39,883 KLOECKNER & CO. SE 588,550 846,960 0.00NA NA 118,000 KOBE STEEL 395,139 220,138 0.00NA NA 7,127 KONINKLIJKE DSM NV 346,204 223,226 5.40NA NA 4,225 KUMBA IRON ORE LTD 76,238 99,026 0.00NA NA 9,000 KURARAY CO. 116,803 99,995 1.50NA NA 98,000 KUREHA CORPORATION 387,312 519,024 2.00NA NA 45,300 KYOEI STEEL LTD 610,716 1,286,438 0.00NA NA 14,242 LAFARGE 1,415,180 954,507 4.20NA NA 53,368 LANXESS AG 913,830 1,321,968 2.80NA NA 7,110 LONMIN 147,895 137,348 0.00NA NA 57,799 LONZA GROUP AG 5,329,605 5,734,460 1.60NA NA 203,800 LUNDIN MNG CORP. 567,084 587,876 0.00NA NA 4,000 MAANSHAN IRON & STEEL 3,566 2,519 0.00NA NA 4,014 MECHEL OAO 50,948 33,517 2.20NA NA 1,646 METALURGICA GERDAU 12,751 21,669 0.00NA NA 49,200 METHANEX CORP. 600,134 597,763 4.40NA NA 283,430 MINCOR RESOURCES 365,267 355,165 5.20NA NA 9,400 MIQUEL Y COSTAS 161,558 182,611 3.90NA NA 67,000 MITSUBISHI CHEM HL 540,862 284,013 2.00NA NA 18,000 MITSUBISHI GAS CHM 149,125 98,502 2.30NA NA 61,000 MITSUBISHI MATERL 319,493 190,299 0.00NA NA 17,000 MITSUBISHI RAYON 111,128 49,510 0.00NA NA 55,000 MITSUBISHI STEEL 153,067 129,398 0.00NA NA 27,000 MITSUI CHEMICALS I 217,525 86,469 0.00NA NA 17,000 MITSUI MINING & SM 67,868 44,048 0.00NA NA 260,000 MONDI 885,547 886,334 0.00NA NA 17,360 NEWCREST MINING 296,092 428,198 0.30NA NA 12,500 NIFCO INC. 276,759 193,813 1.30NA NA 12,000 NIHON NOHYAKU CO. 88,307 111,313 1.00NA NA 263,000 NIPPON CHEM INDL 454,617 646,018 0.00ILLINOIS STATE BOARD OF INVESTMENT91

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Materials (continued)NA NA 46,000 NIPPON DENKO CO. 176,499 306,555 0.50NA NA 2,300 NIPPON PAPER GROUP INC. 76,019 59,476 3.20NA NA 238,000 NIPPON SODA CO. 892,663 1,070,550 1.40NA NA 260,525 NIPPON STEEL CORP. 1,615,153 999,059 0.00NA NA 2,000 NISSAN CHEM INDS 25,018 22,532 2.00NA NA 25,000 NISSHIN STEEL CO. 97,071 55,967 0.00NA NA 7,615 NITTO DENKO CORP. 354,316 232,037 1.40NA NA 39,443 NORSK HYDRO ASA 462,419 202,223 0.00NA NA 35,499 NORTHAM PLATINUM 79,726 137,905 7.40NA NA 266 NOVA CHEMICALS CORP. 9,678 1,585 0.00NA NA 2,538 NOVOLIPETK IRON & STEEL CORP. 45,928 52,029 0.00NA NA 1,415 NOVOLIPETS IRON 45,705 29,008 0.00NA NA 1,393 NOVOZYMES AS B SHS 166,443 113,084 1.20NA NA 2,661 NUFARM 15,725 19,749 4.90NA NA 21,853 NYRSTAR NV 123,428 185,139 0.00NA NA 33,000 OJI PAPER CO. 161,051 141,939 2.40NA NA 29,818 ONESTEEL 57,376 62,194 7.60NA NA 7,623 ORICA LTD 160,999 133,856 5.00NA NA 82,900 OSAKA STEEL CO. 946,546 1,502,742 0.70NA NA 1,800 OSAKA TITANIUM CO. LTD 68,840 66,041 0.40NA NA 42,479 OUTOKUMPU OYJ 469,392 732,277 4.10NA NA 89,097 OZ MINERALS LTD 247,276 66,268 5.40NA NA 83,603 PORTUCEL EMP PROD 196,575 204,629 6.00NA NA 15,620 POSCO 2,103,866 1,291,305 1.90NA NA 5,528 POTASH CORP SASK INC. 501,452 516,410 0.40NA NA 7,265 PRETORIA PORT CMNT 38,987 27,301 0.00NA NA 18,864 RAUTARUUKKI OY 408,928 377,049 9.50NA NA 280,500 RESOLUTE MINING 160,627 143,999 0.00NA NA 230,554 REXAM 1,641,059 1,080,212 7.40NA NA 26,954 RHODIA 243,237 203,553 0.00NA NA 63,844 RIO TINTO 3,450,373 2,311,197 3.90NA NA 7,237 SALZGITTER AG 660,969 633,624 2.20NA NA 4,518 SAPPI 34,750 13,280 5.40NA NA 5,093 SCHULTHESS GROUP 290,675 280,980 2.50NA NA 62,000 SEKISUI PLASTICS 194,112 224,263 2.30NA NA 27,111 SEMAPA SOC INVEST 222,924 220,178 4.40NA NA 21,932 SHIN ETSU CHEM CO. 1,437,951 1,018,349 2.20NA NA 41,000 SHOWA DENKO KK 138,470 73,514 1.20NA NA 57,100 SIDENOR METAL PROC 210,779 429,290 0.00NA NA 6,716 SIDER NACIONAL CIA 123,851 149,481 5.80NA NA 8,172 SIMS METAL MANAGEMENT LTD 69,300 175,142 4.20NA NA 52,000 SINOFERT HOLDINGS 28,617 26,302 0.00NA NA 18,724 SMURFIT KAPPA GROUP PLC 45,421 101,113 0.00NA NA 6,029 SOCIEDAD QUIMICA MINERA DE CHI 102,617 218,190 4.00NA NA 2,719 SOLVAY 368,948 229,324 4.90NA NA 60,773 SONAE INDUSTRIA 185,149 185,830 12.80NA NA 11,516 SSAB AB 359,095 129,856 4.80NA NA 23,422 STORA ENSO OYJ 387,574 123,527 0.00NA NA 25,000 SUMITOMO BAKELITE 124,681 125,667 2.10NA NA 58,000 SUMITOMO CHEMICAL 209,578 261,491 1.40NA NA 186,298 SUMITOMO METAL IND 851,214 496,228 2.00NA NA 24,000 SUMITOMO METAL MNG 408,378 339,037 0.40NA NA 94,000 SUMITOMO SEIKA 365,606 370,213 2.60NA NA 47,964 SVENSKA CELLULOSA 819,527 501,440 0.00NA NA 3,085 SYNGENTA AG 743,764 715,545 2.40NA NA 32,000 TAIHEIYO CEMENT 118,704 55,055 0.00NA NA 1,000 TAIYO NIPPON SANSO 7,226 9,577 1.30NA B+ 6,414 TECK RESOURCES LTD 238,781 102,449 0.00NA NA 35,000 TEIJIN 168,103 112,815 0.00NA NA 14,600 TESSENDERLO CHEMIE 579,648 463,842 5.90NA NA 22,627 THYSSENKRUPP AG 1,302,737 561,441 7.40NA NA 853 TITAN CEMENT CO. 36,546 22,493 2.30NA NA 601,000 TOAGOSEI CO. LTD 1,886,591 1,656,900 2.30NA NA 51,000 TOKUYAMA CORP. 423,669 374,763 0.90NA NA 27,300 TOKYO STEEL MFG 280,538 332,178 0.90NA NA 298,000 TOPY INDUSTRIES 533,192 565,207 1.10NA NA 63,000 TORAY INDS INC. 466,224 321,252 1.00NA NA 13,000 TOSOH CORP. 74,623 36,918 2.20NA NA 105,000 TOYO INK MFG CO. 229,084 383,065 2.70NA NA 6,100 TOYO SEIKAN KAISHA 100,005 129,290 0.50NA NA 146,100 TRICORONA AB 173,636 171,597 0.00NA NA 328,019 TUBOS REUNIDOS 1,247,560 910,990 6.00NA NA 34,000 UBE INDUSTRIES 106,785 95,144 0.00NA NA 1,505 UMICORE 72,416 34,135 4.00ILLINOIS STATE BOARD OF INVESTMENT92

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Materials (continued)NA NA 21,317 UPM KYMMENE OY 456,430 185,681 6.40NA NA 11,159 USIMINAS ISI SD MG 101,296 236,014 5.30NA NA 14,112 USIMINAS USI SD MG 191,401 299,623 5.80NA NA 114,395 VALE SA 1,502,570 1,808,692 1.90NA NA 4,160 VEDANTA RESOURCES 49,073 88,240 2.00NA NA 190 VETROPACK HLDG SA 479,074 276,907 2.20NA NA 3,358 VICAT 171,685 193,114 3.70NA NA 3,932 VOESTALPINE AG 308,380 107,823 5.40NA NA 1,991 VOTORANTIM CELULOS 39,287 21,375 0.00NA NA 1,148 WACKER CHEMIE AG 117,098 131,782 0.00NA NA 98,154 XSTRATA 1,826,329 1,062,492 1.70NA B- 8,521 YAMANA GOLD INC. 63,796 75,866 0.00NA NA 48,400 YAMATO KOGYO CO. 1,038,953 1,432,160 1.40NA NA 52,000 YANZHOU COAL MINING 56,358 71,525 4.30NA NA 5,036 YARA INTERNATIONAL 127,435 140,833 2.50NA NA 69,000 YODOGAWA STEEL WKS 374,761 350,417 2.00NA NA 2,341,800 YONGNAM HOLDINGS 156,048 347,868 0.00NA NA 206,600 YULE CATTO & CO. 399,083 363,205 3.80NA NA 72,000 ZIJIN MINING GROUP CO. LTD 42,121 65,125 1.60Total Materials 100,730,878 91,055,489Private PlacementNA NA 112 B TECH 21 110 0.00NA NA 717,867 BEAZLEY PLC 956,645 1,149,706 0.00NA NA 78,317 D AMICO INT'L SHIP 156,236 143,466 0.00NA NA 181,550 FRIENDS PROVIDENT GROUP 616,211 196,224 0.00NA NA 23,233 HINDALCO INDS 91,770 0 0.00NA NA 1,000 HUTCHISON TELECOMMUNICATIONS 356 137 0.00NA NA 83,168 IBERDROLA SA 615,410 653,272 0.00NA NA 119 IMERYS SA NEW 3,211 4,532 0.00NA NA 140 NAMAA FOR DEVEL AND REAL ESTATE 259 321 0.00NA NA 163 ZARDOYA OTIS 0 0 0.00Total Private Placement 2,440,119 2,147,768Rights/WarrantsNA NA 24 ABERTIS INFRAESTRUCTURAS 32 0 3.50NA NA 20,531 ASCIANO GROUP 5,927 0 17.20NA NA 23,942 BANKINTER SA RTS 0 17,183 0.00NA NA 3,200 CHINA RES PWR HLDG 0 1,363 0.00NA NA 14 DANONE RTS 0 48 0.00NA NA 6,100 DEUTSCHE BANK AG LDN 137,660 190,852 0.00NA NA 79,051 FORTIS 0 0 0.00NA NA 14 GIVAUDAN AG RTS 0 362 0.00NA NA 32,177 GOLDEN AGRI RESOURCESRTS 0 4,446 0.00NA NA 1,923,088 HSBC BANK 8,131,803 9,780,455 0.00NA NA 226,658 ING OFFICE FUND 0 0 0.00NA NA 257,189 JP MORGAN INTERNATIONAL DERIV 8,901,347 12,525,104 0.00NA NA 718,800 JP MORGAN STRUCTURED PRODS B V 3,495,726 3,996,528 0.00NA NA 21,749 NEPTUNE ORIENT LINES 0 2,630 0.00NA NA 100,602 PNE WIND AG 0 0 0.00NA NA 2,003 RENEWABLE ENERGY RTS 0 7,157 0.00NA NA 32,466 RIO TINTO PLC NPR RTS 745,217 409,681 0.00NA NA 29,173 UBI AZXOBCV 0 1,993 0.00NA NA 29,173 UBI BANCA SCPA 34,941 2,251 0.00NA NA 18 ZARDOYA OTIS SA 0 18 0.00Total Rights/Warrants 21,452,653 26,940,071Telecommunications ServicesNA NA 324,349 AMERICA MOVIL SA 871,542 627,752 1.20NA NA 6,178 BCE INC. 214,681 127,672 0.00NA NA 6,263 BELGACOM SA 233,521 199,722 9.60NA NA 3,373 BRASIL TELECOM PAR 40,369 26,352 4.80NA NA 443,865 BT GROUP 2,439,622 741,944 6.40NA NA 116,505 CABLE & WIRELESS 372,825 255,374 6.40NA NA 4,000 CHINA COMM SERVICE 2,037 2,472 0.00NA NA 334,000 CHINA MOBILE LTD 2,559,052 3,344,288 3.50NA NA 12,862,000 CHINA TELECOM CORP. 6,793,315 6,406,064 2.20NA NA 126,000 CHINA UNICOM HONG KONG LTD 174,484 166,807 2.20NA NA 1,795 COMSTAR UNITED TEL 19,709 7,719 0.00NA NA 47,400 DACOM CORP. 685,015 656,706 2.80NA NA 160,639 DEUTSCHE TELEKOM 2,960,025 1,892,691 9.30NA NA 23,793 ELISA CORPORATION 415,309 391,468 5.10NA NA 498,820 FRANCE TELECOM 14,337,248 11,306,669 8.70NA NA 8,187 FREENET AG 79,792 82,107 0.00ILLINOIS STATE BOARD OF INVESTMENT93

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Telecommunications Services (continued)NA NA 600 HIKARI TSUSHIN INC. 19,686 13,525 2.80NA NA 6,182 ILIAD 630,933 599,526 0.50NA NA 71,449 INMARSAT 478,529 641,867 3.40NA NA 722,817 JAZZTEL 325,836 245,354 0.00NA NA 3,216 JOINT STK CO COMSTAR UTD 13,780 13,829 0.20NA NA 1,152,300 KCOM GROUP 319,998 488,649 5.80NA NA 147 KDDI CORP 998,552 780,059 2.20NA NA 85,619 KONINKLIJKE KPN NV 1,311,266 1,176,796 6.10NA NA 81,600 LG TELECOM CO 637,804 513,703 2.50NA B+ 25,200 MANITOBA TEL SYS 813,443 733,824 7.60NA NA 5,300 MANITOBA TELECOM SVCS INC. 150,406 155,484 0.00NA NA 3,197 MILLICOM INT'L CELL 161,533 179,288 0.00NA NA 7,608 MOBILE TELESYSTEMS 379,033 280,963 0.00NA NA 180,200 MOBILEONE 261,318 190,490 8.80NA NA 409 MOBINIL 12,655 14,191 6.50NA NA 1,565 MOBISTAR 115,793 96,411 11.60NA NA 29,800 NIPPON TEL&TEL CP 1,315,017 1,210,717 3.10NA NA 879 NTT DOCOMO 1,319,796 1,286,364 3.70NA NA 300 OKINAWA CELLULAR 544,474 516,142 4.50NA NA 18,937 OPEN JT STK CO VIMPEL COMMN 320,572 222,888 0.00NA NA 9,538 ORASCOM TEL HLDG 103,844 51,424 0.00NA NA 12,103 OTE (HELLENIC TLCM) 355,079 185,041 6.90NA NA 622,092 PORTUGAL TCOM SGPS 5,996,192 6,082,739 8.30NA NA 16,811 PRYSMIAN SPA 297,515 252,541 3.90NA NA 26,728 RELIANCE COMMUNICATION VENTURE 343,211 161,491 0.30NA B- 7,604 ROGERS COMMUNICATIONS INC 326,366 195,772 3.90NA NA 2,196 ROSTELECOM 97,365 69,635 1.20NA NA 3,103,000 SINGAPORE TELECOMM 6,984,667 6,431,755 4.20NA NA 20,990 SK TELECOM LTD 556,164 317,999 5.40NA NA 37,900 SOFTBANK CORPORATION 670,235 739,263 0.30NA NA 750 SWISSCOM AG 240,591 229,989 5.70NA NA 500 T GAIA CORP. 380,591 666,943 3.90NA NA 5,546 TELE NORTE LESTE P 117,255 92,400 9.00NA NA 14,589 TELE2 AB 261,543 146,684 6.40NA NA 120,999 TELECOM CORP OF NZ 326,227 213,986 9.50NA NA 10,549 TELECOM EGYPT 31,459 29,757 0.00NA NA 1,030,265 TELECOM ITALIA 2,017,690 1,242,023 8.70NA NA 378,222 TELEFONICA SA 13,414,349 16,202,170 5.10NA NA 221,818 TELEFONOS DE MEXICO SAB DE CV 545,766 899,965 4.30NA NA 318,577 TELEKOM AUSTRIA 7,829,481 4,977,933 6.70NA NA 18,110 TELENET GRP HLDG 301,312 384,078 0.00NA NA 691,302 TELENOR ASA 8,989,549 5,311,057 0.00NA NA 117,774 TELIASONERA AB 897,181 615,635 4.40NA NA 9,169 TELKOM SA 93,135 45,094 9.90NA NA 175,108 TELMEX INTERNACION 109,910 111,152 0.00NA NA 236,899 TELSTRA CORP. 820,403 649,256 8.30NA NA 2,251 TELUS CORP. 115,583 58,148 6.30NA NA 742 TELUS CORP. 39,174 19,710 0.00NA NA 10,440 TIM PARTICIPACOES 32,770 18,538 3.20NA NA 1,480 VIVO PARTICIPACOES 24,272 28,183 3.10NA NA 6,166,218 VODAFONE GROUP 17,434,959 11,901,465 6.60Total Telecommunications Services 112,082,808 93,927,703UtilitiesNA NA 344,554 AES TIETE SA 3,096,699 3,586,540 0.00NA NA 2,689 AGL ENERGY 26,266 29,239 3.90NA NA 53,500 AGUAS DE BARCELONA 921,160 1,212,675 3.10NA NA 256,727 APA GROUP 686,527 570,765 11.30NA NA 41,000 ATCO LTD 1,764,655 1,389,202 0.00NA NA 315,258 CEMIG CIA ENERG MG 3,889,332 4,238,722 0.00NA NA 300,204 CENTRICA ORD 1,695,849 1,102,492 5.70NA NA 6,726 CESP CIA ENERG SP 53,416 67,232 0.00NA NA 38,000 CHEUNG KONG INFRAS 142,052 133,367 4.20NA NA 32,000 CHINA RES POWER HLDG 80,956 71,184 0.80NA NA 32,500 CHUBU ELEC POWER 831,515 751,153 2.70NA NA 2,300 CHUGOKU ELEC POWER 52,130 48,033 2.50NA NA 130,800 CLP HOLDINGS 904,514 867,494 4.80NA NA 14,212 CONTACT ENERGY 66,491 53,858 4.80NA NA 47 COPEL PARANA ENERGY 747 655 3.70NA NA 226,509 CPFL ENERGIA SA 3,199,895 3,678,835 7.90NA NA 20,000 DATANG INT'L POWER 18,946 12,181 2.60NA NA 147,690 DRAX GROUP 1,269,033 1,067,750 12.10NA NA 275,576 E ON AG 12,732,394 9,748,458 6.00NA NA 12,092 EDF 707,673 588,117 3.70ILLINOIS STATE BOARD OF INVESTMENT94

Moody’s S&P Shares/Quality Quality Par Fair DividendRating Rating Value Cost Value YieldFOREIGN EQUITY SECURITIES (continued) $ $ %Utilities (continued)NA NA 121,013 EDP ENERGIAS PORTUGAL 616,686 474,081 5.00NA NA 4,400 ELEC POWER DEV 150,569 124,952 2.60NA NA 2,906 ELECTROBRAS (CENTR) 33,400 37,812 0.00NA NA 190 ELEKT LAUFENBURG 168,846 180,470 1.70NA NA 6,243 ELETROBRAS (CENTR) 75,742 91,265 0.00NA NA 811 ELETROPAULO ELEC 10,972 14,372 18.60NA NA 4,348 EMPRESA NACIONAL DE ELEC 186,688 216,487 2.40NA NA 710,827 ENAGAS SA 18,395,459 13,973,541 3.80NA B+ 9,842 ENBRIDGE IN 334,475 342,036 3.70NA NA 402,209 ENEL 2,682,480 1,957,630 12.70NA NA 13,553 ENERSIS S A 229,054 250,324 2.50NA NA 21,490 FORTUM OYJ 662,983 488,919 6.20NA NA 5,275 GAS NATURAL SDG 166,208 95,965 5.60NA NA 140,103 GDF SUEZ 5,733,365 5,215,522 5.30NA NA 36,000 GUANGDONG INVEST 19,414 17,744 2.60NA NA 1,400 HOKURIKU ELEC POWER 35,905 31,995 2.30NA NA 110,000 HONG KONG ELECTRIC 570,325 611,738 4.90NA NA 229,819 HONGKONG & CHINA GAS 442,925 483,358 2.20NA NA 46,000 HUANENG POWER INT'L 47,723 32,289 2.10NA NA 634,656 IBERDROLA SA 5,816,509 5,145,359 4.60NA NA 86,962 INTERNATIONAL POWER 678,479 340,848 5.10NA NA 294,700 IRIDE SPA 477,744 508,434 6.90NA NA 38,200 KANSAI ELEC POWER 889,759 843,302 2.80NA NA 30,940 KOREA ELEC POWER CORP. 589,049 355,810 0.00NA NA 12,200 KYUSHU ELEC POWER 306,161 262,372 2.90NA NA 2,689 MVV ENERGIE AG 107,964 116,886 2.90NA NA 887,044 NATIONAL GRID 10,965,351 7,998,034 6.50NA NA 67,893 NORTHUMBRIAN WATER 232,327 276,729 0.00NA NA 2,741 OEST ELEKTRIZITATS 140,936 139,484 2.90NA NA 10,400 OKINAWA ELEC POWER 580,312 560,502 1.20NA NA 50,000 OSAKA GAS CO. 181,406 159,610 2.30NA NA 50,301 PNE WIND AG 154,628 152,398 0.00NA NA 15,330 PUSAN CITY GAS 200,952 256,312 4.70NA NA 225,253 RED ELECTRICA CORPORACION 11,964,723 10,176,789 3.30NA NA 3,615 RUBIS 234,210 268,741 5.00NA NA 91,306 RWE AG (NEU) 8,977,246 7,143,792 9.50NA NA 1,268 SABESP CIA SANEAME 25,869 18,783 0.00NA NA 316,051 SCOT & SOUTHERN EN 5,705,256 5,928,364 5.80NA NA 10,880 SEVERN TRENT 280,851 196,020 6.20NA NA 5,734 SOLARWORLD AG 260,167 134,878 0.90NA NA 14,121 SUEZ ENVIRONNEMENT 274,303 246,496 0.00NA NA 1,524,493 T.E.R.N.A 4,797,348 5,078,536 6.70NA NA 14,700 TOHOKU ELEC POWER 338,755 306,996 3.00NA NA 61,000 TOKYO ELEC POWER 1,597,782 1,567,912 2.40NA NA 88,000 TOKYO GAS CO. 407,670 314,660 2.30NA NA 2,636 TRACTEBEL ENERGIA 28,169 25,488 0.00NA NA 44,523 UNITED UTILITIES G 575,473 364,414 0.00NA NA 24,590 VEOLIA ENVIRONNEMENT 1,357,299 723,970 5.80Total Utilities 120,850,167 103,470,371Other ForeignNA B- 77,238 TUTOR PERINI CORP 2,283,141 1,340,852 0.00Total Other Foreign 2,283,141 1,340,852CommingledNA NA 192,800 EIRCOM HOLDINGS LTD 79,605 178,470 0.00NA NA 531,938 ISHARES INC 7,151,511 5,367,255 0.00NA NA 152,600 JAZZ AIR INCOME FD 549,624 430,988 0.00Total Commingled 7,780,740 5,976,713Foreign Real EstateNA NA 269 BROOKFIELD INFRASTRUCTURE PART 5,425 3,317 0.00Total Foreign Real Estate 5,425 3,317Foreign Preferred StockNA NA 7,639 ALL AMERICA LATINA 76,468 47,047 0.00NA NA 13 CIA DE BEBIDAS DAS AMER RCT 615 809 0.00Total Foreign Preferred Stock 77,083 47,856TOTAL FOREIGN EQUITY SECURITIES 1,728,286,647 1,482,642,287TOTAL EQUITY 4,882,649,298 4,428,631,633ILLINOIS STATE BOARD OF INVESTMENT95

PORTFOLIO OF INVESTMENTSJUNE 30, 2009 (CONTINUED)Moody’s S&P Shares/Quality Quality Par FairRating Rating Value Cost ValueREAL ESTATE $ $APOLLO REAL ESTATE INVESTMENT FUND III, L.P. 10,869,865 7,602,237APOLLO REAL ESTATE INVESTMENT FUND IV, L.P. 7,617,820 6,671,815BLACKSTONE REAL ESTATE PARTNERS VI 13,491,036 5,968,029CANYON JOHNSON URBAN FUND 1,426,114 510,337CB RICHARD ELLIS INVESTORS 258,091,293 190,429,738CF PRUDENTIAL PRISA I 76,343,384 70,894,802COLONY INVESTORS VIII 22,684,742 5,157,300DLJ REAL ESTATE CAPITAL II LP 9,070,735 5,245,573ING CLARION PARTNERS 178,796,112 164,053,612ING CLARION TAKEOVER ASSETS I.M.A. 31,749,999 8,953,028JPMCB STRATEGIC PROPERTY FUND 139,657,344 125,677,432KOLL BREN FUND VI 19,904,900 18,365,641LF STRATEGIC REALTY INVESTORS 20,426,970 19,154,129MACFARLANE URBAN REAL ESTATE 17,754,117 6,687,363MGA DEVELOPMENT ASSOC. LP 1 1,113,914OLYMPUS REAL ESTATE FUND II 20,191,895 1,655,957PREMIER PARTNERS V LP 31,050,321 38,545,912REALTY ASSOCIATES FUND V 17,302,265 20,407,198REALTY ASSOCIATES FUND VIII 29,059,637 25,125,835RLJ LODGING FUND II 27,155,169 22,799,512RREEF AMERICA REIT II 96,358,667 73,610,226RREEF AMERICA REIT III 30,067,552 8,422,290RREEF GLOBAL OPPORTUNITY FUND II 30,228,991 17,935,987TISHMAN SPEYER REAL ESTATE VII 15,791,171 1,605,816WALTON STREET REAL ESTATE FUND VI 4,500,000 319,325WALTON STREET REAL ESTATE FUND III 3,472,081 7,408,000WALTON STREET REAL ESTATE FUND V 30,000,000 7,984,092WALTON STREET REAL ESTATE FUNDIV 14,509,352 13,624,600TOTAL REAL ESTATE 1,157,571,533 875,929,700INFRASTRUCTUREALINDA INFRASTRUCTURE 75,890,410 74,920,097ALINDA INFRASTRUCTURE FUND II 25,047,499 22,542,191MACQUARIE INFRASTRUCTURE FUND I 171,144,989 144,249,629MACQUARIE INFRASTRUCTURE FUND II 26,417,294 25,614,963MACQUARIE EUROPEAN FUND III 34,709,624 38,643,067TOTAL INFRASTRUCTURE 333,209,816 305,969,947PRIVATE EQUITYABS CAPITAL PARTNERS IV LP 2,903,871 7,702,232ADVENT INTERNATIONAL GPE VI A 5,550,000 4,481,456BCI GROWTH IV 7,316,025 1,404,883BEHRMAN CAPITAL III LP 13,118,159 15,119,899BLACKSTONE CAPITAL PARTNERS V 21,830,972 16,482,571BLACKSTONE MEZZANINE PARTNERS 6,052,438 3,587,850BOSTON MILLENNIA II 8,687,743 5,936,737CASTILE VENTURES III 7,354,549 5,237,780CORNERSTONE EQUITY INVESTORS IV 5,383,614 691,735COURT SQUARE CAPITAL PARTNERS 12,367,907 9,929,780DLJ INVESTMENT PARTNERS II 3,621,780 2,471,966DLJ MERCHANT BANKING PARTNERS III 4,767,647 13,460,943FRANKLIN PARK VENTURE FUND 2,153,283 1,840,064FRONTENAC VII LP 5,203,550 101,384GOLDER THOMA CRESSEY RAUNER IV 2,748,713 40,993GOLDER THOMA CRESSEY RAUNER V 0 225,143GOLDER THOMA CRESSEY RAUNER VI 25,252,417 1,814,617GOLDER THOMA CRESSEY RAUNER VII A 1 77,316GOLDER THOMA CRESSEY RAUNER VII LP 7,943,489 1,136,825GOLDER THOMA CRESSEY RAUNER IX 10,182,083 7,968,088HOPEWELL VENTURES LP 8,000,000 2,604,919INROADS CAPITAL PARTNERS LP 6,372,972 415,843INTERWEST PARTNERS VI 4,811,934 586,001INTERWEST PARTNERS VII 14,797,276 7,659,714INTERWEST PARTNERS VIII 16,791,626 9,835,665INVESCO VENTURE PARTNERSHIP 18,785,164 10,811,904IRVING CAPITAL II 9,677,201 7,122,479JK & B CAPITAL IV LP 8,013,305 3,002,688KOHLBERG, KRAVIS, ROBERTS & CO 59,245,551 4,190,883KPS SPECIAL SITUATIONS FUND III 7,973,470 9,387,275LIGHTSPEED VENTURE 17,016,131 9,003,434MADISON DEARBORN CAPITAL PARTNERS II 3,552,183 534,171MADISON DEARBORN CAPITAL PARTNERS III 12,424,210 1,780,012MADISON DEARBORN CAPITAL PARTNERS IV 24,856,050 27,318,477MADISON DEARBORN CAPITAL PARTNERS V 27,550,564 19,368,291MADISON DEARBORN CAPITAL PARTNRS VI 4,090,170 3,498,447ILLINOIS STATE BOARD OF INVESTMENT96

Moody’s S&P Shares/Quality Quality Par FairRating Rating Value Cost ValuePRIVATE EQUITY (continued) $ $MDCP III GLOBAL INVESTMENT LP 884,316 448,575MDCP IV GLOBAL INVESTMENTS 2,719,725 7,034,014MESIROW CAPITAL VII 8,791,810 252,011OCM OPPORTUNITIES FUND III LP 63,045 386,175OCM OPPORTUNITIES FUND IV LP 1 124,381RELIANT EQUITY PARTNERS 9,990,602 520,351RESOLUTE LTD 17,178,261 22,581,673RESOLUTE FUND II 7,516,460 7,188,816RIVERSIDE CAPITAL APPRECIATION 4,472,273 3,605,521SCP PRIVATE EQUITY PARTNERS II LP 12,118,579 8,581,800SPROUT CAPITAL IX LP 8,428,908 4,639,596STERLING CAPITAL PARTNERS III 11,517,000 8,119,535SUMMIT ACCELERATOR FUND 1,923,521 1,068,875SUMMIT PARTNERS PRIVATE EQUITY 15,154,112 12,493,586SUMMIT VENTURES IV L.P. 2,488,269 136,241SUMMIT VENTURES V 4,525,979 445,735SUMMIT VENTURES VI A 15,175,092 15,777,434TCW SHARED OPPORTUNITY FUND IV 7,610,099 6,894,409TCW SHARED OPPORTUNITY FUND V 11,886,779 7,695,161TL VENTURES V LP 12,281,848 3,627,253THOMAS H LEE EQUITY FUND V 17,236,733 16,482,760VALOR EQUITY PARTNERS II 7,381,175 8,278,607WARBURG PINCUS EQUITY PARTNERS 9,732,026 5,702,377WARBURG PINCUS PRIVATE EQUITY VIII 20,652,630 30,768,819WARBURG PINCUS PRIVATE EQUITY IX 27,630,385 27,665,622WARBURG PINCUS PRVT EQUITY X 13,009,170 9,015,768WARBURG PINCUS VENTURES 7,819,901 179,905WEISS PECK & GREER VENTURE ASSOCIATES IV 0 1,015,121WEISS PECK & GREER VENTURE ASSOCIATES V 25,020,849 7,780,433WELSH CARSON ANDERSON STOWE IX 12,346,650 13,335,959WELSH CARSON ANDERSON STOWE XI 0 (277,880)WIND POINT PARTNERS V 4,158,470 2,090,712TOTAL PRIVATE EQUITY 696,110,716 450,491,810HEDGE FUNDSENTRUST CAPITAL LLC 191,333,225 167,952,613GROSVENOR INSTITUTIONAL US HEDGED EQUITY 180,000,000 171,782,407MESIROW PLAN EQUITY FUND LP 180,000,000 177,866,096ROCK CREEK GROUP 198,288,061 204,782,653ROCK CREEK GROUP FUND II 154,846,445 158,555,421TOTAL HEDGE FUNDS 904,467,731 880,939,190MONEY MARKETNA NA 262,133 LIQUIDITY MGMT CONTROL SYS III 07/01/09 0.01 503,323 503,323NA NA 225,195,679 STATE STREET BANK & TRUST CO. 05/07/10 0.44 226,775,645 226,775,644AAA AAA 7,850,000 UNITED STATES TREASURY BILLS 09/10/09 0.01 7,847,029 7,847,523TOTAL MONEY MARKET 235,125,997 235,126,490FORWARDSFORWARD FOREIGN CURRENCY CONTRACTS 0 (5,594,545)TOTAL FORWARDS 0 (5,594,545)TOTAL INVESTMENTS 9,803,914,187 8,735,057,063OTHER ASSETS LESS LIABILITIESCash 12,699,784 12,662,039ReceivablesForeign Taxes 3,368,678 3,368,678Account Receivables 1,557,303 1,557,303Investments Sold 154,225,236 154,225,236Dividends & Interest 26,948,058 26,948,058Securities Lending Collateral 1,467,350,961 1,395,768,802Prepaid Expenses 16,184 16,184CAPITAL ITEMS 57,635 57,635PAYABLES:Investments Purchased (173,277,766) (173,277,766)Operating Expenses (5,077,999) (5,077,999)Securities Lending Collateral Obligation (1,467,250,961) (1,467,250,961)TOTAL OTHER ASSETS LESS LIABILITIES (20,617,113) (51,002,791)NET ASSETS 9,824,360,239 8,684,054,272ILLINOIS STATE BOARD OF INVESTMENT97

PORTFOLIO DATAFISCAL YEARS ENDED JUNE 30Fixed Income Portfolio* (Unaudited) 2009 2008Average Duration 3.8 years 4.2 yearsAverage Coupon* 4.9% 6.2%Average Quality* AA AAQuality Analysis% %Government & Agency 48.7 42.1AAA 2.9 6.8AA 4.4 6.4A 15.9 7.2BAA 7.4 8.7BA 6.6 7.0B 10.2 14.4CAA or lower 3.2 3.2Not Rated 0.7 4.2Industry Diversification% %Government & Agency 48.7 42.1Foreign 2.4 5.6Bank & Finance 11.7 7.9Collateralized Mortgage Obligations 1.4 6.7Industrials 31.1 29.3Miscellaneous 4.7 8.4*Data does not include commingled bond funds and short trades.ILLINOIS STATE BOARD OF INVESTMENT98

PORTFOLIO DATAJUNE 30, 2009Domestic Equity Portfolio* (Unaudited)Percent ofFive Largest Industry Positions Equities Held S&P 500% %Information Technology 16.9 18.1Financials 15.5 13.9Industrials 13.6 10.1Healthcare 13.0 14.0Consumer Discretionary 11.1 10.3Percent of ($ in thousands)Fifteen Largest Holdings Equities Held Fair Value% $EXXON MOBIL CORP 2.6 67,328AT&T INC 1.5 38,269CHEVRON CORP 1.4 37,028JPMORGAN CHASE & CO 1.3 35,052PHILIP MORRIS INTL ORD SHR 1.2 31,750MICROSOFT CORP 1.1 28,801PFIZER INC 1.1 28,016WELLS FARGO & CO 1.0 26,007PROCTER AND GAMBLE CO 0.9 23,866VERIZON COMMUNICATIONS 0.9 23,774BANK OF AMERICA CORP 0.9 23,548JOHNSON + JOHNSON 0.9 23,074GENERAL ELEC CO 0.8 21,365APPLE INC 0.8 21,066GOLDMAN SACHS GROUP INC 0.8 20,693($ in thousands)Major PurchasesAmount$EXXON MOBIL CORP 108,889WELLS FARGO & CO 54,041GENERAL ELEC CO 53,422PROCTER AND GAMBLE 52,166MICROSOFT CORP 50,117AT&T INC 47,797CHEVRON CORP 47,331JOHNSON & JOHNSON 47,060($ in thousands)Major SalesAmount$EXXON MOBIL CORP 109,870MICROSOFT CORP 61,694JOHNSON & JOHNSON 54,623AT&T INC 53,477GENERAL ELEC CO 53,143CHEVRON CORP 52,724PROCTER AND GAMBLE 52,215INTERNATIONAL BUSINESS MACHS 47,556* Data does not include commingled equity funds.ILLINOIS STATE BOARD OF INVESTMENT99

INVESTMENT TRANSACTIONS WITH BROKERS AND DEALERSFISCAL YEAR ENDED JUNE 30, 2009Transactions Executed on a Net Basis* (Unaudited)Transaction ValueFixed Income Securities $ABN Amro Securities Inc. 500,000Andes Capital Group 7,914,603Arbor Research & Trading 294,910,966Bank of America Securities Inc. 626,397,822Barclays Bank PLC 40,334,847Bear, Stearns Securities Corp. 10,286,521BNP Paribas Securities 45,497,240Broadpoint Capital 5,498,000Cabrera Capital Markets 25,447,267Cantor Fitzgerald 42,776,551Castle Oak Securities LP 38,869,265Chase 3,527,128Citigroup 132,842,502Corporate Actions 3,101,595Credit Research & Trading Corp. (CRT) 2,580,026Credit Suisse First Boston Corp. 136,910,910Deutsche Banc Securities Inc. 119,718,615First Tennessee 154,794,932Goldman Sachs & Co. 216,604,660Greenwich Capital Markets Inc. 7,545,853Guggenheim Capital 109,467,497HSBC 333,746ING Barings 289,625J. P. Morgan Securities Inc. 197,886,337Jefferies Securities 87,106,923KBC Financial Products 648,000Lehman Brothers 119,776,088Libertas Partners LLC 848,663Transaction Value$LLC Transactions 54,106,007Loop Capital Markets 715,090,078Merrill Lynch, Pierce, Fenner & Smith Inc. 48,342,729Mesirow & Co 2,100,000Miller Tabak Roberts 5,372,000Mishcler 38,566,998Montrose Securities 192,957,165Morgan Dean Witter 188,798,734Morgan Stanley & Co. Inc. 52,292,666Oppenheimer 3,418,317Pali Capital INC 810,000RBC Dain Rauscher 37,384,280RBC Dominion 449,758Royal Bank of Scotland 49,650Salomon Smith Barney 750,000SAMCO Capital 222,000State Street Bank and Trust 5,437,671Sterne Agge Leach 5,262,000Stifel Nicolaus & Co. 56,225,714Toronto Dominion Bank 3,095,668UBS Warburg LLC 25,867,168United States Bancorp Piper 7,120,686Wachovia Securities 18,394,589Wall Street Access 1,900,000Williams Capital 10,988,171* Commissions, if any, on these transactions are not separately reflectedin the net sales price quoted by brokers and dealers.ILLINOIS STATE BOARD OF INVESTMENT100

Commissions Paid (Unaudited)AmountEquity Securities $ABN Amro Holding NV 18,640Banco Santander C H S A 18,481Bank of New York 10,073Barclays Capital 22,758Bear Stearns Securities Corp. 10,576Bernstein Sanford & Co 5,203Bloomberg Tradebook 28,594BNY Brokerage 9,412BOE Securities 11,663Brockhouse & Cooper Inc. 8,025Cabrera Asset Management 742,505Cantor Fitzgerald & Co. 83,225Cazenove Investment Bank 13,145CF Global Trading LLC 14,782Chase Manhattan Bank 8,533Cheevers & Company 61,061Cheurex de Virieu Paris 30,355Citigroup Smith Barney Inc. 349,788Cowen & Company 6,930Credit Agricole Indosuez 5,010Credit Lyonnais Securities 25,557Credit Suisse First Boston Corp. 240,725Dain Rauscher 7,504Daiwa Securities 6,397Deutsche Banc Securities Inc. 78,067Direct Access Partners 10,382ESP 34,886First Analysis Securities 7,085Fox Pitt Kelton 6,941Friedman Billings and Ramsey & Co. Inc. 13,367Gardner Rich & Co. 256,183Goldman Sachs & Company 290,097Good body 6,368G Port 8,734HSBC Securities 13,673ICAP Securities 10,671Instinet 146,584International Strategy & Investment 8,939Investment Technology Group 102,351J.P. Morgan Securities, Inc. 90,125Jefferies & Company 46,295Jones Trading 8,179Keefe Bruynette and Woods Inc. 17,969Kepler Equities 14,628Knight Securities 6,195Leerink Swan 6,390Lehman Brothers Inc. 141,507Lifehouse 18,433Liquidnet Inc. 223,566Loop Capital Markets 197,416Amount$Lynch Jones & Ryan 12,181M. Ramsey King Securities 135,893Macquarie Equities Ltd 58,101Magna Securities 98,296Melvin Securities Corp 96,500Merrill Lynch Pierce Fenner & Smith 89,426Mischler Financial Group 7,522Morgan Stanley & Co. 152,197MR Beal 137,298NCB Stockbrokers 8,982Noble Financial 5,098Nomura Securities 65,152Numis 10,858Nutmeg Securities 51,222Oppenheimer 6,229Pacific American 10,127Pacific Crest Securities 5,555Pershing 15,477Portware 8,898Pulse Trading 91,355Ramirez 36,005Raymond James & Assoc. 14,118Robert W. Baird & Co. 42,929Roberts & Ryan Investments 5,478Salomon Smith Barney 23,846Sanford C. Bernstein 38,073SBK Brooks 34,270SG Cowen and Company 14,507Sidoti 7,182Societe Generale 12,051Sogen Securities 246,695Stephen Inc. 6,317Stiffel, Nicolaus & Company Inc. 9,346Svenska Handlesbank 6,587U.S. Bancorp Piper Jaffray Inc. 6,891UBS Securities 196,431Union Bank of Switzerland 19,167Weeden & Co. 21,759William Blair & Co. 5,304Williams Capital Group 91,045Various (Under $5,000) 179,214Viewpoint Securities 18,062$5,605,617ILLINOIS STATE BOARD OF INVESTMENT101

RESTRICTED INVESTMENTSPublic Act 95-0521 imposes investment restrictions on retirement systems governed by Article 1 of theIllinois Pension Code. Specifically, investment in certain forbidden entities with ties to the Government ofSudan are prohibited. Shown below is the List of Forbidden Entities as of August, 2009 which was adoptedby the Board at the meeting held September 25, 2009.Entity Name (Unaudited)ABB Ltd.Abu Dhabi Islamic BankAdvance Synergy BhdAgriterra LtdAir France KLMAlcatel LucentAllianz SE (Formerly Allianz AG)Al-Rajhi BankAlstomAMLAK FINANCEAnimal Resources BankArab Bank PLCArab Banking CorpAREF Investment Group CoArevaAtlas Copco ABAviChina Industry & TechnologyBank of BeirutBank of China Limited, BEIJINGBank of KhartoumBarclays plcBERU AGBharat Electronics LtdBharat Heavy Electricals Ltd.Blue Nile InsuranceBNP ParibasBoewe Systec AGBolloreBritish Airways PLCByblos Bank salChina Petroleum & Chemical Corp.CNPC Hong Kong Ltd.Commerzbank AGCredit agricole SACredit Suisse Group (Formerly Cs Holding)Daihatsu Motor Co. Ltd.Daimler AGDeutsche Lufthansa AGDeutsche Post AGDeutz AG (formerly Kloeckner-Humboldt-Deutz AG)DietswellDongfeng Motor Group Company LtdDubai Islamic Bank LTDEgypt Kuwait Holding CompanyEL Ezz Aldekhela Steel - AlexandriaElectricity Generating Public Co LtdElectrocomponents PLCEmirates Telecommunications Corp (ETISALAT)Ericsson (Telefonaktiebolaget L M Ericsson)Faisal Islamic Bank of EgyptFinmeccanica SPAHarbin Power Equipment Co.HiEnergy Technologies, Inc.Holcim Ltd. (formerly Holderbank Financiere Glarus)HSBC Holdings PLCHyundai Motor Co.I.C.S.A (India) LTDIndian Oil Corporation LtdIngersoll-Rand PLCIvory BankJinan Diesel Engine Co LtdKejuruteraan Samudra Timur BHDKencana Petroleum BhdKenya Airways Ltd. (Kenya)Kia MotorsKomatsu Ltd.Koninklijke Luchtvaart Maatschappij NVLa Mancha Resources Inc.Mangalore Refinery & Petrochemicals Ltd.Mashreq Bank PSCMISC Berhad (Formerly Malaysia International Shipping CorporMitsubishi Motors Corp.MMC Corporation Bhd (frmly Malaysia Mining Corp. Bhd)Mobile Telecommunications CoMTN Group LtdMuhibbah Engineering (M) BhdNam Fatt Corporation BhdNational Reinsurance CoNatixisNippon Yusen K.K.Nokia Corp.Oil & Natural Gas Corporation Ltd.Omdurman National BankPECD BHDPetrochina Company LimitedPetrofac LtdPetronas Dagangan BhdPetronas Gas BhdPrimus Telecommunications Group, Inc.PSL Ltd.PureSafe Water Systems, Inc.Qatar Islamic BankRanhill BhdReliance Industries Ltd.ILLINOIS STATE BOARD OF INVESTMENT102

Entity Name (continued)Riyad BankRoyal Dutch Shell PLCSarawak Energy Bhd (Formerly Sarawak Enterprise Corp. Bhd.)Saudi Hollandi BankSaudi Sudanese BankSchlumberger Ltd.Scomi Engineering Bhd. (Formerly Bell & Order Bhd *B&O)Scomi Group BhdSharjah Islamic Bank (formerly National Bank of Sharjah)Sinopec Kantons Holdings LtdSinopec Shanghai Petrochemical Co. (formerly ShanghaiPetrochemical Co Ltd)SK Kaken Co. Ltd.SKF ABSojitz Corporation (formerly Sojitz Holdings Corp)Stryker Corp.Sudan Telecom Co. Ltd. (SUDATEL)Sudanese Free Zones and Markets CoSudanese French BankSudanese Insurance & ReinsuranceSudanese Islamic BankTadamon Islamic BankTENARIS SAThe Carphone Warehouse Group plcThe Weir Group plcTotal SAToyota Motor Corp.Volvo ABWartsila OyjWatania Co-operative InsuranceWorkers National BankXerox CorporationPublic Act 95-626 imposes investment restrictions on retirement systems governed by Article 1 of the IllinoisPension Code. Specifically, investment in certain scrutinized companies with ties to the Government of Iranare prohibited. Shown below is the List of Scrutinized Companies as of August, 2009 which was adopted bythe Board at the meeting held September 25, 2009.Entity Name (Unaudited)Aker Solutions ASABow Valley Energy LtdChina Petroleum & Chemical Corp.CNOOC LTDCNPC Hong Kong Ltd.Costain Group PLCDaelim Industrial Co.ENI SpaGazprom OAOGS Holdings Corp.Indian Oil Corporation LtdInpex Holdings Inc.Itochu Corp.JGC Corp.L'air LiquideLiquefied Natural Gas LtdLukoil OaoLundin Petroleum ABMISC Berhad (Formerly Malaysia International Shipping Corpor)Mitsui & Co.Mitsui Engineering & Shipbuilding Co. Ltd.Oil & Natural Gas Corporation Ltd.OMV AGPetrochina Company LimitedPetroleo BrasileiroPetronas Dagangan BhdPetronas Gas BhdRepsol YPF S.ARoyal Dutch Shell PLCSaipemSamsung Engineering Co. Ltd.Sasol Ltd.Schlumberger Ltd.Snam Rete GasStatoilHydro ASA (formerly Statoil ASA)TechnipThe Weir Group plcTotal SAILLINOIS STATE BOARD OF INVESTMENT103

STAFF AND INVESTMENT MANAGERSEXECUTIVE DIRECTORWilliam R. AtwoodDEPUTY EXECUTIVE DIRECTORKatherine A. SpinatoGENERAL COUNSELCHIEF COMPLIANCE OFFICEREmily A. ReidINVESTMENT STAFFScott RichardsSenior Portfolio ManagerPublic MarketsTimothy KominiarekPortfolio ManagerReal Estate & Private EquityJohara El-HarazinPortfolio Officer for Valuationand AnalysisActing Portfolio Manager -Emerging & Minority ManagersLinsey SchoemehlInvestment ComplianceOfficerADMINISTRATIVE STAFFAlise M. WhiteChief Fiscal OfficerMary Jane MuscariAdministrative AssistantCecelia McNairPrivate SecretarySeated left to right: Linsey Schoemehl, William Atwood, Cecelia McNair and Katherine SpinatoStanding left to right: Tim Kominiarek, Emily Reid, Mary Jane Muscari, Alise White and Scott RichardsNot pictured: Johara El-HarazinEXTERNAL INVESTMENT MANAGERSDomestic EquitiesAtlanta Life Investment AdvisorsBuford, Dixon, Harper & SparrowChanning Capital ManagementDecatur Capital ManagementFiduciary Management AssociatesIronBridge Capital ManagementLSV Asset ManagementLynmar CapitalOpus Capital ManagementProfit Investment ManagementRhumbLine AdvisorsSegall Bryant & HamillState Street Global AdvisorsWilliam Blair & CompanyInternational EquitiesFranklin Templeton Investment CounselGlobeFlex CapitalLSV Asset ManagementState Street Global AdvisorsVontobelHedge Fund of Funds ManagersEnTrust PartnersGrosvenor Capital ManagementMesirow FinancialRock Creek GroupFixed IncomeAmalgamated Bank of New YorkChicago Equity PartnersFort Washington Investment AdvisorsLM Capital GroupLoomis Sayles & CompanyMcDonnell Investment ManagementState Street Global AdvisorsTrust Company of the WestUnion Labor Life Insurance CompanyILLINOIS STATE BOARD OF INVESTMENT104

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