Public School Teachers' Pension and Retirement Fund ... - CTPF

Public School Teachers'

Pension

and

Retirement Fund

of Chicago

102nd COMPREHENSIVE

ANNUAL FINANCIAL REPORT

FOR THE YEAR ENDED AUGUST 31, 1997

CHICAGO, ILLINOIS

102nd COMPREHENSIVE ANNUAL FINANCIAL REPORTFOR THE YEAR ENDED AUGUST 31, 1997

PUBLIC SCHOOL TEACHERS'PENSION AND RETIREMENT

FUND OF CHICAGO

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Report prepared by the Public School Teachers' Pension and Retirement Fund of Chicago Staff

Public School Teachers' Pension and Retirement Fund of Chicago

TABLE OF CONTENTS

INTRODUCTORY SECTION

Board of Trustees ................................................................................................................................................................ 6 Consultants .......................................................................................................................................................................... 7 Organization Chart ............................................................................................................................................................... 8 Certificate of Achievement for Excellence in Financial Reporting ........................................................................................ 9 Plan Provisions .................................................................................................................................................................. 10 Transmittal Letter ............................................................................................................................................................... 13

FINANCIAL SECTION

Basic Financial Statements: Independent Auditors' Report ...................................................................................................................................... 21 Statements of Plan Net Assets .................................................................................................................................... 22 Statements of Changes in Plan Net Assets ................................................................................................................. 23 Notes to Financial Statements ..................................................................................................................................... 24

Schedule of Funding Progress ................... : ....................................................................................................................... 33 Schedule of Contributions .................................................................................................................................................. 34 Notes to Trend Data ........................................................................................................................................................... 35 Administrative and Miscellaneous Expenses ..................................................................................................................... 36 Schedule of Cash Receipts and Disbursements ................................................................................................................ 37

ACTUARIAL SECTION

Actuarial Certification ......................................................................................................................................................... 40 Actuary's Report ................................................................................................................................................................ 41 Summary of Actuarial Liability and Unfunded Actuarial Liability ........................................................................................ 48 Solvency Test .................................................................................................................................................................... 48 Schedule of Actual Employer Contributions And

Actuarially Determined Contribution Requirements ..................................................................................................... 49 Schedule of Active Member Valuation Data ...................................................................................................................... 50 Schedule of Beneficiaries Added to and Removed from Rolls .......................................................................................... 50 Actuarial Assumptions ....................................................................................................................................................... 51 Glossary of Terms Used in Report ..................................................................................................................................... 53

ST A TISTICAL SECTION

Revenue - Sources and Applications .............................................................................................................................. 56 Participating Members

Salary Distribution ........................................................................................................................................................ 57 Length of Service ......................................................................................................................................................... 57 Number of Members .................................................................................................................................................... 57

Annuitants Changes in the Number of Recurring Benefit Payments ............................................................................................. 58 Average Benefit Payment Amounts ............................................................................................................................. 58 Distribution of Current Annuitants by Pension Amount ................................................................................................ 58

Benefits Paid ...................................................................................................................................................................... 59

INVESTMENT SECTION

Total Fund Rate of Return ................................................................................................................................................. 62 Investment Portfolio Asset Allocation ................................................................................................................................. 63 Investment Portfolio Summary ........................................................................................................................................... 64 Comparative Analysis ........................................................................................................................................................ 65 lnve.stment in Bonds .......................................................................................................................................................... 67 Investment in Stocks .......................................................................................................................................................... 83 Investment in Real Estate .................................................................................................................................................. 96 Investment Authority .......................................................................................................................................................... 97

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5

INTRODUCTORY SECTION Public School Teachers' Pension and Retirement.Fund of Chicago

OFFICERS

MARY SHARON REILLY President

SHIRLEY J. ANDERSON Vice President

PATRICIA A. KNAZZE Recording Secretary

JACK SILVER Financial Secretary

JAMES F. WARD Executive Director

MICHAEL J. NEHF

ANNUAL REPORT AS OF AUGUST 31, 1997

BOARD OF TRUSTEES

MEMBERS Elected by the contributors ...

SHIRLEY J. ANDERSON NATHANIEL DICKSON PATRICIA A. KNAZZE JOHN F. O'BRILL MARY SHARON REILLY JACK SILVER

Representing the principals ...

WALTER E. PILDITCH

Representing the annuitants ...

JUDYCHERIS ROBERT KONEN ARTHUR LEHNE

Appointed by the Board of Education ...

Assistant Executive Director NORMAN R. BOBINS GENE R. SAFFOLD

DEAN J. NIEDOSPIAL Chief Financial Officer

6

INTRODUCTORY SECTION


CONSULTANTS

LEGAL COUNSEL

Mr. Joseph Burns Jacobs, Burns, Sugarman, Orlove & Stanton

300 W. Washington Street Suite 1200

Chicago, Illinois 60606

INVESTMENT CONSULTANT

Ms. Anita Andren Mercer Investment Consulting, Inc.

10 South Wacker Drive Chicago, Illinois 60606

BANK CUSTODIAN

Ms. Kathryn M. Stevenson The Northern Trust Company

50 South LaSalle Street Chicago, Illinois 60675

AUDITORS

Mr. Cameron T. Clark KPMG P eat Marwick LLP 303 East Wacker Drive Chicago, Illinois 60601

CUSTODIAN

Ms. Miriam Santos City Treasurer

121 North LaSalle Street Chicago, Illinois 60602

CONSULTING ACTUARY

Mr. Sandor Goldstein Goldstein & Associates 150 North Wacker Drive

Suite 2230 Chicago, Illinois 60606

7

INVESTMENT ADVISORS

AMB Institutional Realty Advisors, Inc. ANB Investment Management Ariel Capital Management, Inc.

Bank Of America Chancellor Capital Management, Inc. CIGNA Investment Management, RE

Dimensional Fund Advisors Inc. Fidelity Management Trust Co. Holland Capital Management

J. P. Morgan Investment Management, Inc. Lincoln Capital Management Co.

Miller Anderson & Sherrerd Morgan Stanley Asset Management

New Amsterdam Partners The Northern Trust Co. Oppenheimer Capital

RREEF America Reit, Inc. Schroder Capital Management International

Schroder Real Estate Associates Scudder Stevens & Clark

J & W Seligman & Co., Inc. Smith Graham & Co.

Waddell & Reed Investment Management Walton Street Real Estate Fund I, LP.

Wellington Management Co., LLP Zell/Merrill Lynch Real Estate Trust

Zevenbergen Capital Inc.

INTRODUCTORY SECTION *r=.Public School Teachers' Pension and Retirement Fund of Chicago ':6664

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As of August 31, 1997

BOARD OF TRUSTEES

CONSULTANTS COMMITTEES

LEGAL COUNSELCOMMITTEE COMMITTEE ONJacobs, Bums AUDITORS

- ON - CLAIMS ANDSugarman, Orove & KPMG Peat Marwick LLPFINANCE SERVICE CREDITSStanton

CONSULTING COMMnTEE ON COMMITTEEINVESTMENT- ACTUARY PENSION LAW -- ONADVISORS

Goldstein & Assoc. AND RULES INVESTMENTS

STAFFINVESTMENT ,CONSULTANT

EXECUTIVE ADMINISTRATIVEMercer InvestmentDIRECTOR ASSISTANTConsulting, Inc.

James F. Ward Christine Wesolowski

ASSISTANT EXECUTIVEDIRECTOR

Michael J. Nehf

CHIEF FINANCIALOFFICER

Dean J. Niedospial

1 IllBENEFITS PENSIONERS'TEACHERS'ACCOUNTS ACCOUNTING

Lawrence Martens ACCOUNTS Christine WesolowskiRobin Towns lone Eagan

MANAGEMENTAUDIT INVESTMENTSINFORMATION SYSTEMS

Carlton Lenoir Willy H. RomeroRonald DiPrizio

8

INTRODUCTORY SECTION Public School Teachers' Pension and Retirement Fund of Chicago

Certificate of Achievement for Excellence

in Financial Reporting

Presented to

Public School Teachers' Pension and Retirement Fund of Chicago, Illinois

For its Comprehensive Annual Financial Report

for the Fiscal Year Ended August 31, 1996

A Certificate of Achievement for Excellence in Financial Reporting is presented by the Government Finance Officers

Association of the United States and Canada to government units and public employee retirement

systems whose comprehensive annual financial reports (CAFRs) achieve the highest standards in government accounting

and financial reporting.

�K..� Presid;nt Q

j)(h/.� Executive Director

9

INTRODUCl'ORY SECTION Public School Teachers' Pension and Retirement Fund of Chicago

SUMMARY OF PRINCIPAL BENEFIT AND CONTRIBUTION

PROVISIONS OF THE PENSION LAW

Eligibility for Pension. The right to a retirement pension vests (1) after 20 years of validated service, with the pension payable at age 55 or over; or (2) after 5 years validated service, with the pension payable at age 62 or over.

Amount of Retirement Pension. The rate of retirement pension is 1.67% of "final average salary" for each of the first 1 O years of validated service, 1.90% for each of the next 1 O years, 2.10% for each of the next 1 O years, and 2.30% for each year above 30. The maximum pension is 75% of final average salary or $1,500 per month, whichever is greater.

Final Average Salary Defined. "Final average salary" for pension computation is the average of the highest rates of salary for any 4 consecutive years of validated service within the last 1 O years of service.

Reduction in Pension for Early Retirement. Except for retirement after 35 years of service, the retirement pension in the case of retirement prior to age 60 is reduced 1/2 of 1 % for each month that the teacher is under age 60.

Non-Duty Disability Retirement. A disability retirement pension is payable in the event of total or permanent disability for teaching service after 10 or more years of service, irrespective of age. The rate of pension is 1 2/3% of average salary for each year of service. Upon disability retirement after 20 years or more of contributing service, but under age 55, the accrued retirement pension is payable, discounted 1 /2 of 1 % for each month the disabled teacher is under age 55, down to a minimum of 50 years.

If total service is 20 years or more and the member has attained age 55, the accrued retirement pension is payable without reduction. After 25 years of service, regardless of age, the accrued retirement pension is payable without reduction.

Duty Disability Benefit. A duty-connected disability benefit is provided equal to 75% of final average salary upon total incapacity for teaching service as a result of an injury sustained while in the performance of teaching service. The benefit is reduced by "Workers' Compensation" payments.

Post-Retirement Increases. Automatic annual increases in pension equal to 3% of the current amount of pension are provided. The increases accrue from the anniversary date of retirement or the 61 st birthday, whichever is later.

Survivor's Pensions. Pensions are payable to survivors of teachers and pensioners under the following conditions:

Upon the death of a teacher or pensioner occurring on or after July 1, 1981, the maximum benefit is $400 per month to a spouse alone and $600 per month if there are other dependents. Payment of a survivor's pension is conditioned upon marriage having been in effect at least 1 1/2 years prior to death or retirement. On death after retirement, the total survivor's pension may not exceed retirement or

10


disability pension paid to the deceased pensioner.

Upon the death of a teacher or pensioner occurring after December 31, 1986, the minimum total survivors pension payable shall be 50% of the earned retirement pension of such teacher or pensioner.

If the surviving spouse is under age 50, and no unmarried minor children under age 18 survive, payment of the survivors pension is deferred until age 50. Remarriage of a surviving spouse under the age of 55 results in a termination of pension.

Survivors pensions are subject to automatic annual increases of 3% of the current amount of pension.

Reversionary Pension. By accepting a reduced retirement pension, a member can provide a reversionary pension for a surviving beneficiary. If the reversionary pension was elected on or after January 1, 1984, and the beneficiary survives the date of the teachers retirement, but does not survive the retired teacher, the teachers pension shall be restored to the full amount of pension.

Refund of Contributions. Upon separation of service, a teacher is entitled to receive a refund of his total contributions and those contributions made on his behalf, without interest.

Death Benefits. Upon death while in service, a refund equal to the total contributions less contributions for survivor's pensions is payable without interest to a designated beneficiary or the estate of the teacher. Upon death after retirement, the death benefit consists of the excess, if any, of the total contributions over the total pension payments paid to the member or his beneficiary, provided no survivors pension is payable. In addition, the following death benefit is payable:

Death in service. The amount of the benefit is equal to the last month's salary for each year of validated service up to 6 month's salary but not exceeding $10,000.

Death while on pension. The death benefit is equal to the last month's salary for each year of validated service up to 6 month's salary, but not exceeding $10,000 less 1 /5 of the death benefit for each year or part of a year that the member has been on pension, down to a minimum of $5,000.

Health Insurance Reimbursement. The Board may pay each recipient of a retirement, disability, or survivors pension an amount to be determined by the Board, which shall represent partial reimbursement for the cost of the recipient's health insurance coverage, with the annual amount of payment not to exceed $25,000,000 plus any previous amount authorized but not yet expended.

Financing. Teachers are required to contribute a total of 8% of salary consisting of 6 1/2% towards the retirement pension, 1 % towards the survivor pension, and 1/2% towards the post-retirement increment. As of September 1981, the Board of Education has been paying 7% of the 8% required teacher contributions.

The remainder of the cost of benefits is financed by (1) contributions by the Chicago Board of Education; (2) allocations by the State of Illinois from the State Distributive Fund; and (3) investment income.

11


Retirement Systems Reciprocal Act. The Fund complies with the Retirement Systems Reciprocal Act (Chapter 40, Act 5, Article 20 of the Illinois Compiled Statutes) to provide reciprocal benefits if a member has service credit for other public employment in Illinois.

12

'5**5INTRODUCTORY SECTION

9646 1400£57£ae~£,z j' EPEnsion and,=/6,iumod gund ofdhieago55 W. Wacker Drive 0 Chicago. Illinois 60601

January 29, 1998The Pension Board of Trustees and Fund MembersPublic School Teachers' Pension & Retirement

Fund of Chicago55 West Wacker DriveChicago, Illinois 60601

Letter of TransmittalDear Pension Board of Trustees, Contributors, and Pensioners:This is the 102nd Comprehensive Annual Report of the Public School Teachers' Pension andRetirement Fund of Chicago (Fund) which covers the fiscal year ending August 31, 1997. Illinoisstatutes provide for a Board of Trustees to be responsible for the administration of the Fund. Animportant aspect of the administration is the presentation of a detailed annual report of systemfinances and operations. This publication is intended for all parties-at-interest as well as forthe publicat large.This report provides a review of the financial, actuarial, and operational conditions of the Fund. Itcontains comparative financial statements which were subject to an independent audit conducted byIllinois licensed certified public accountants, an actuarial valuation prepared bythe Fund's consultingactuary, a description of benefits as specified in Illinois law, and other relevant information.The Fund is a publicemployee retirementsystem established bythe State of Illinoisto provideannuity,disability, survivor, and death benefits for certain certified teachers and other employees of theChicago Public Schools. It is administered in accordance with Chapter 40, Act 5, Articles 1,17, and20 of the Illinois Compiled Statutes. The report consists of five sections.1. The Introductory Section contains this letter of transmittal and administrative and organizational

information.2. The Financial Section contains an opinion of the independent public accountants, the financial

statements of the Fund, and selected supplemental financial information.3. The Actuarial Section containsareport of the Consulting Actuary, asummaryof the majoractuarial

assumptions, and other data.4. The Statistical Section contains relevant statistical summaries on contributors, pensioners, and

revenue sources and applications.5. The Investment Section contains a synopsis of the Fund's investment authority, summary tables

of investment data, and a digest of the current year's investment activity and performance.

OVERVIEWThe 102nd year of continuous operation was another period of success for the Fund. The August 31,1997 value of net assets held in trust for pension benefits amounted to $8.1 billion, a 20.5% increaseover the $6.7 billion of the previous year. The actuarial value of assets, however, used in the

13

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INTRODUCTORY SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago. .St,~

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determination of the funding ratio amounted to $7.228 billion. When comparing the actuarial value ofassets to the actuarial accrued liabilities of $7.248 billion, it provides for an actuarial funding ratio ofassets to liabilities of 99.7%, nearly 100% coverage. Significant to this success was the netappreciation in fair value of investments by $1.307 billion, compared to $476 million appreciation in1996.The Financial Statements in this repoll were prepared in accordance with generally acceptedaccounting principlesas promulgated bythe Governmental Accounting Standards Board. The specificaccounting treatment of transactions is described in the Summary of Accounting Policies in the Notesto the Financial Statements.

ACTUARIAL VALUATION AND FUNDINGThe Fund's consulting actuary certified the total actuarial liability of the Fund to be $7.248 billion asof August 31,1997. This represents an increase in the total actuarial liability of $298 million comparedto the valuation of $6.950 billion as of August 31, 1996. The unfunded pension benefit obligationdeclined from $416.8 million to $19.86 million during the year. Refer to the Actuarial Section of thereport for more valuation and funding information.

ADDITIONS TO PLAN ASSETSAdditions to plan assets that are needed to finance statutory benefit obligations come from publicsources such as State of Illinois appropriations and Chicago Public School employer contributions,employee payroll deductions, net earnings on investments, and miscellaneous sources, such aslegacies. For the year ended August 31,1997, these additions totaled $1.761 billion, representing a102% increase over 1996 additions. Employer contributions during FY 1997 were higher than thoseof the previous year, primarily due to a special deficiency contribution paid by the Chicago PublicSchools in accordance with Illinois statute. Net investment income was appreciably higher in FY 1997than the previous year, primarily due to net appreciation in the fair market value of equity investments.

FY 1997 FY 1996Additions to Plan Assets (Millions) (Millions)Employer contributions $ 91.8 $72.6Employee contributions 103.9 97.7Net investment income 1,564.5 701.6Miscellaneous .7 .4Total Additions $1,760.9 $872.3

DEDUCTIONS FROM PLAN ASSETSDeductions from plan assets represent manycharacteristics of an actuariallymature employee group,with modest increases in most benefit categories. Pension benefits increased slightly as newpensioners were added to the pension payroll, with their benefits based on higher salaries andformulae of recent years. The health insurance premium rebate was disbursed at 85% of coveredpremiums for the 1997 fiscal year. Total deductions from plan assets amounted to $380.7 million,compared to $372.5 million for the previous year, as reflected below:

14

111=r INTRODUCTORY SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago

FY 1997 FY 1996Deductions from Plan Assets (Millions) (Millions)Pensions $340.9 $329.4Refunds 10.7 8.7Death benefits 3.2 3.2Insurance premiums 22.8 28.5Administration 3.1 2.7Total Deductions $380.7 $372.5

INVESTMENT AUTHORITY AND PERFORMANCEThe Trustees' investmentauthority is found in the Illinois Compiled Statutes, Chapter40, Act5, Articles1 and 17. A discussion of the specific investment authority, policy provisions, diversification posture,performance objective and asset allocation is provided in the Investment Section of this report.As of August 31, 1997 investments at fair market value totaled $7.549 billion. This compares with$6.436 billion at fair market value as of the previous fiscal year end. The Fund's investmentperformance rate of return for the year was 24.49%, compared to 11.69% for the prior year. Suchdouble digit performance continuedthe Fund's long term investment record. Theten year rate of returnending August 31,1997 of 10.30% increased slightly from the ten year return of 9.27% posted by theFund fortheten yearsendingthe previous year. Refertothe Investment Section of this report formoredetailed performance information.

ECONOMIC REVIEW AND OUTLOOK1997 was an excellent year for investment returns, with low inflation and low unemployment helpingto fuel the economy. The underlying rate of inflation fell to its lowest level in more than thirty years, aremarkable performance in ayear when the unemployment ratetumbled and labormarkets were tight.The Consumer Price Index rose a slight 1.7%, the lowest since 1.1% in 1986 and a decrease from3.3% in 1996. The unemployment rate fell to a 24-year low of 4.7%, a level many would have expectedto increase inflation.The Board of Trustees, with their professional staff, consultants, and multiple investment managers,maintain an asset allocation program designed to obtain the highest expected return on investmentsconsistent with a level of risk appropriate fora large public employee retirement system. The Trusteescontinue to monitor and adjust their strategic asset allocation among investment types and managerstyles. Opportunities to improve the financial strength of the Fund will continue to be explored inaccordance with high standards long in effect.

ACCOUNTING SYSTEM AND INTERNAL CONTROLSThis report was prepared to conform with the principles of governmental accounting and reporting aspronounced bythe Governmental Accounting Standards Board (GASB) and the American Institute ofCertified PublicAccountants. The accrual basisof accounting was usedto recordthe assets, liabilities,revenues and expenses of the Fund. Revenues are recognized in the accounting period in which theyare earned, without regard to the date of collection, and expenses are recorded when the correspond-ing liabilities are incurred, regardless of when payment is made. New financial statement presentation

15

. .541*.'

INTRODUCTORY SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago

I. I .716

and recording investments at market value in accordance with GASB Statements No. 25 and No. 27have been implemented effective September 1,1996. In addition, investment information includingderivatives and securities lending activity has been presented in accordance with GASB No. 28,implmented effective September 1,1996.In developing the Fund's accounting system, consideration is given to the adequacy of internalaccounting controls. These controls are designed to provide reasonable assurance regarding thesafekeeping of assets and the reliability of financial records. Constant effort is directed by the Fundadministration at improving the level of internal accounting control to ensure the members of the Fundof a financially sound retirement system.

LEGISLATIVE DEVELOPMENTSAt their meeting of October 23,1996, the Trustees formally adopted a list of 1997 legislative proposalstobe recommendedtothe Illinois Legislature. Pension legislation thatpassedduringtheyearand wassigned into law by Governor Jim Edgar included the following.The Early Retirement Option , the right to buyawaythe pension formula discount for teachers with 20through 35 years of service at ages 55 through 59, was restored in the law, but only at the option ofthe Chicago Public School Board of Trustees.Changes were made providing for certain federal pension benefit limitations and for investmentaccounting provisions allowing the Fund to record investments at market value, consistent withgenerally accepted accounting principles.Various administrative modifications were also made, including: 1) changes in the manner in whichreversionary reductions in pensions are restored to the original pension amount in cases whereby areversionary beneficiary predeceases the primary beneficiary; 2) the calculation of interest onoptionally creditable military service was modified so that interest may be calculated from the time ofappointment in Chicago Public Schools, rather than from the date of the military service itself; and3) codifying to 100 days the number that a pensioner substitute may work in each fiscal year withoutjeopardizing their pension.On December 2, 1997, just prior to issuing this report, the Illinois Legislature passed HB 452,subsequently signed into law by Governor Jim Edgar, that 1) modifies the fiscal year of the Fundeffective with the fiscal year which begins September 1,1998 and ends June 30,1999 and 2) modifiesthe manner in which the Chicago Public Schools makes employercontributions tothe Fund suchthatno employer contribution will be required unless the actuarially determined assets of the Fund wereto fall below 90% of the actuarially accrued liabilities of the Fund.The Trustees and Fund administrators will continue to work diligently to represent the interests of themembers towards accomplishing the Trustees' legislative agenda.

MAJOR INITIATIVESIn accordance with the Fund's continuing plans to improve efficiency and automation of its operationsand position itself for the next millennium, the Trustees approved an expansion of its ManagementInformation Systems department, including the hiring of four additional personnel, including aprogrammedanalyst, a network systems administrator, a systems development analyst and asystems engineer. Related efforts over the past several years included the purchase and program-ming of the IBM AS/400 midrange computer and personal computers and software for Fund

16

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INTRODUCTORY SECTIOIY~liA Public School Teachers' Pension and Retirement Fund of Chicago

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personnel. Plans for the future include Year 2000 system modifications, internet access to a homepage, conversion of off-site processingto IBM AS/400 processing, acomputerized document imaging/retrieval system, a computerized telephone/audio response system and more.The Trustees are also pleased to announce the hiring of Dean J. Niedospial as Chief Financial Officerduringthe year. Underthe direction of the Executive Directorandthe Board of Trustees, Mr. Niedospialwill direct the finance activities of the Pension Fund, including the areas of reporting, budget, tax andfinancial planning. His experience includes over nineteen years of administrative, accounting andfinancial management, most recently at the Park Employees' Annuity and Benefit Fund of Chicago.During the year the Trustees implemented a commission recapture pilot program with the Fund'sdomestic core money managers and a goal of placing 15% of theirtrades with the firm of Merrill LynchCitation, a qualified investment broker. The purpose of the program isto allow the Fund to collect cashrebates from the broker, thus reducing the overall trading costs of the Fund. The Trustees plan tomodify or expand the program in the upcoming year.In 1996 the investment authority of the Fund was modified to allow investing in accordance with thepmdentexpertru/e, allowing fund investments deemed prudent by liketrustees acting in like situationsin the industry. Such authority allows the Trustees to increase holdings in real estate, international andhigh yield bonds, venture capital, private equity, and other alternatives. During 1997, the Trusteesincreased the asset allocation in real estate by more than $113 million and authorized two bondmanagers to invest a portion of their portfolios in high yield and international bonds. Real estateperformance forthe year ranged from 11.7%to 31.8%, thus confirming the Trustees' confidence in thereal estate asset class. Investments in high yield and international bonds were implemented later inthe year.On August 31,1997, Executive Director, James F. Ward, retired from his longtime position atthe Fund.A resolution honoring Mr. Ward was read into the proceedings of the Board of Trustee meeting ofSeptember 16, 1997. Serving as a dedicated teacher in the Chicago Public Schools and as anemployee and Executive Director of the Fund for a combined total of 34 years, during his tenure atthe Fund, assets grew from a level of $165 million to more than $7 billion. During his administration,numerous constructive changes were made within the Fund's operations. Trustees, staff, consultantsand members of the Fund acknowledge Mr. Ward's valued service to the teachers and pensioners ofthe Chicago Public Schools and extend to him their best wishes for good health and contentment inhis retirement.

AWARDSThe Government Finance Officers Association (GFOA) awarded a Certificate of Achievement forExcellence in Financial Reportingtothe Fund fortheeightconsecutiveyearsending August 31,1996.In order to be awarded the Certificate, the Fund must publish an easily readable and efficientlyorganized comprehensive annual financial report, whose contents conform to the GFOA programstandards. Such reports must satisfy both generally accepted accounting principles and applicablelegal requirements.The Certificate of Achievement is valid fora period of one year only. We believethatourcurrent reportcontinues to conform to the Certificate of Achievement requirements, and we are submitting it to theGFOA for continued eligibility.

17

- -IP.. .,=.....- ..

INTRODUCTORY SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago

CONCLUDING COMMENTSAs of the date of this letter, the 1997 Pension Board of Trustee elections provided for two teacher-trustees and three pensioner-trustees . Congratulations went to Mary Sharon Reilly, counselor atPalmer School , and Jack Silver, teacher at Marconi Community Academy, declared re-elected onOctober 2 , 1997 to the Board for three-year terms . Ms. Reilly, President of the Pension Board ofTrustees , and Mr. Silver, Financial Secretary, both return as experienced members of the Board ,having first been elected to their posts in 1991 . As for the pensioner election, Arthur Lehne, CaroleNo/an, and James F. Wardwere victorious in their candidacies for two-year terms. Dr. Lehne, havingserved the Chicago Public Schools for 42 years, twenty as a liaison with the Illinois Legislature andten as a Pension Board of Trustee, returns to the Board for his sixth term. Cam/e No/an, new to thePension Board, has earned many achievements during her astonishing career, most notably asPresident and CEO of WBEZ, Chicago's national public radio outlet. James F. Ward, the Fund's recentExecutive Director, begins his new role as a pensioner-trustee, bringing with him the knowledge andexperience of managing the Fund for many years . Chicago Public School Board of Trustees , NormanBobins and Gene R. Saffo/d, were also re-appointed to their positions on the Pension Board, offeringvaluable input and leadership to the Pension Board since their appointments to the Board in 1995.The Trustees wish to acknowledge the distinguished service to the Pension Board of Trustees of JudyCheris and Robert Konen, both who served the Board through this past November. Ms. Cherisprovided outstanding service and dedication to the Board as ateacher-trustee during the years 1978-1993 and as a pensioner-trustee during 1995-1997. She served in many leadership roles on theBoard, including Chairperson for Committee on Investments, Committee on Claims and ServiceCredits , Committee on Finance , Committee on Investments , Vice President and President . Mr. Konencontributed outstanding service and dedication to the Board as a pensioner-trustee during the years1990-1997 that included such posts as Chairperson, Committee on Finance, Committee on Claimsand Service Credits, Vice President and President. Both of these valued trustees will be greatlymissed.At the November meeting of the Board, Mary Sharon Re#/y was re-elected President. Furtherorganization of the Board included Nathaniel Dickson, Vice President , Patricia Knazze, RecordingSecretary, and Jack Silver, Financial Secretary. Chairs of standing committees included Dr. Walter E.Pilditch, Claims and Service Credits , Jack Silver, Finance , John O'Brill, Pension Laws and Rules , andShirley J. Anderson, Investments .This annual report of the Public School Teachers' Pension and Retirement Fund of Chicago wasprepared through the combined efforts of the Pension Board of Trustees, the Fund's actuary, certifiedpublic accountants, and administrative staff. I want to express my gratitude and appreciation for thediligence of all contributors in the preparation of this publication.

*i{Yj < /7

Michael J. NehfExecutive Director

18

Public School Teachers' Pension and Ret.irement Fund of Chicago

19

FINANCIAL SECTION Public School Teachers' Pension and Retirement Fund of Chicago

KPMG Peat Marwick LLP

Peat Marwick Plaza

303 East Wacker Drive

Chicago, IL 60601

INDEPENDENT AUDITORS' REPORT

The Board ofTrustees

Public School Teachers' Pension and

Retirement Fund of Chicago

Chicago, Illinois

We have audited the accompanying Statements of Plan Net Assets of the Public School Teachers' Pension and

Retirement Fund of Chicago (Fund) as of August 31, 1997 and 1996, and the related Statements of Changes in Plan

Net Assets for the years then ended. These financial statements are the responsibility of the Fund's management.

Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we

plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material

misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the

financial statements. An audit also includes assessing the accounting principles used and significant estimates made

by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide

a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position

of the Public School Teachers' Pension and Retirement Fund of Chicago as of August 31, 1997 and 1996, and the

results of its operations for the years then ended, in conformity with generally accepted accounting principles.

As discussed in note 2, the Fund adopted the provisions of Governmental Accounting Standards Board Statement No.

25, Financial Reporting for Defined Benefit Pension Plans and Note Disclosures for Defined Contribution Plans and

Governmental Accounting Standards Board Statement No. 28, Accounting and Financial Reporting for Securities

Lending Transactions.

Our audits were made for the purpose of forming an opinion on the financial statements taken as a whole. The

supplemental information included on pages 33 through 37 is presented for the purpose of additional analysis and is

not a required part of the basic financial statements of the Fund. Such information has been subjected to the auditing

procedures applied in the audit of the basic financial statements and, in our opinion, is fairly presented in all material

respects in relation to the basic financial statements taken as a whole.

December 5, 1997

21

STATEMENTS OF PLAN NET ASSETS

August 31, 1997 and 1996

ASSETS Cash and cash equivalents Receivables:

Board of Education, City of Chicago, net of allowance

Accrued investment income Due from brokers Participating teachers' accounts for contributions Other receivables

Investments, at fair value: Fixed income investments Equity investments Real estate investments

Securities lending collateral Prepaid expenses Fixed assets

TOTAL ASSETS

LIABILITIES Benefits Refunds Accounts and administrative expenses Securities lending collateral Due to brokers

TOTAL LIABILITIES

Net assets held in trust for pension benefits

See accompanying notes to financial statements.

22

1997

$ 445,710,933

61,371,817 40,511,309 8,370,437

715,669 337,409

111,306,641

2,595,049,259 4,695,096,170

258,968,825

7,549,114,254

1,246,184,101 1,214,296

182,742

9,353,712,967

2,771,243 2,316,741 2,972,023

1,246,184,101

1,254,244,108

$8,099,468,859

1996

246,703,396

72,206,812 41,399,775

106,972 242,815

113,956,374

2,604,193,297 3,685,821,469

145,769,700

6,435,784,466

961,729,702 1,145,975

182,400

7,759,502,313

2,565,847 2,146,209 2,987,909

961,729,702 70,831,993

1,040,261,660

6,719,240,653

Public School Taacha-s' Penair.n and � Fund of Oicago

STATEMENTS OF CHANGES IN PLAN NET ASSETS

Years ended August 31, 1997 and 1996

ADDITIONS Contributions:

1997

Intergovernmental - employer contribution, net (note 4) $ 91,776,705 Employee contributions 103,870,728

Investment income: Net appreciation in fair value Interest Dividends Securities lending Less investment expense:

Investment advisory and custodial fees Securities lending expense

Miscellaneous

TOTAL ADDmONS

DEDUCTIONS Pension benefits Refunds Death benefits

Refund of insurance premiums Administrative and miscellaneous expenses

TOTAL DEDUCTIONS

NET INCREASE

Net assets available for benefits at beginning of year, as restated

NET ASSETS AVAILABLE FOR BENEFITS AT END OF YEAR (a schedule of funding progress is presented on page 33)

See accompanying notes to financial statements.

23

195,647,433

1,306,525,246 202,183,427 66,944,798 5,609,378

14,467,600 2,220,514

1,564,574,735

688,324

1,760,910,492

340,909,479 10,673,205 3,169,832

354,752,516

22,796,866 3,132,904

380,682,286

1,380,228,206

6,719,240,653

$8,099,468,859

1996

72,580,416 97,743,118

170,323,534

476,331,331 163,815,238 70,836,168 4,348,208

12,046,207 1,666,690

701,618,048

367,440

872,309,022

329,367,398 8,646,599 3,195,892

341,209,889

28,540,558 2,730,559

372,481,006

499,828,016

6,219,412,637

6,719,240,653

FINANCIAL SECTIONPublic School Teachers' Pension and.Retirement Fund of Chicago ,

NOTES TO FINANCIAL STATEMENTS

August 31, 1997 and 1996

(1) DESCRIPTION OF PLAN

The Public School Teachers' Pension and Retirement Fund of Chicago (Fund) is the administrator ofa single-employer defined benefit public employee retirement system. The state legislature estab-lished the Fund in 1895 to provide retirement, survivor, and disability benefits for certain certifiedteachers and employees of the Chicago public schools. The Fund is administered in accordance withIllinois Compiled Statutes (ILCS) Article 40 Chapter 5/17. The Fund is governed by a 12-memberBoard of Trustees (sixelected bythe teachercontributors, three elected bythe annuitants, one electedby the principal contributors, and two appointed by the employer, Board of Education). The Boardof Trustees is authorized by state law to make investments, pay benefits, hire staff and consultants,and carry out all the necessary functions of the Illinois Pension Code.

As of August 31, 1997 and 1996, the Fund membership consisted of the following:1997 1996

Retirees and beneficiaries currentlyreceiving benefits 15,831 15,799

Terminated members entitled to benefitsbut not yet receiving them 1,102 1,119

Current members:Vested 22,080 21,374Nonvested 11,552 11,450

50,565 49,742

A member with at least20years of service and who has attained55 yearsof age is entitledtoa pension.A member with at least five years of service but less than 20 years of service is entitled to a pensionon attainment of age 62. In the case of retirement prior to age 60 with less than 35 years of service,the retirement pension is reduced one-half of 1 % for each month that the member is under age 60.

A retirement pension is determined by applying specified percentages, which vary with years ofservice, to the average salary earned. The maximum retirement pension is the greater of $1,500 permonth or a percentage of average salary. Annuitants who retired after 1959 receive an annual 3%increaseinthe retirement pension beginning Januaryl following attainmentof age 61 or following thefirst anniversary of retirement, whichever is later.

A survivor pension is payable upon the death of a contributor or pension member of the Fund. Thebenefit is the greater of 50% of earned pension oran amount based on the average of the four highestyears of salary in the last ten years of service or on the average salary forthe total service, if less thanfour years, with certain qualifications. A 3% automatic annual increase is paid on survivor pensionbenefits. Asinglesumdeath benefitisalsopayableonthe death of acontributororpensionermemberof the Fund, with certain qualifications.

A disability pension is payable in the event of total or permanent disability with certain qualifications

24

FINANCIAL SECTIONi~~El Public School Teachers' Pension and Retirement Fund of Chicago 'Ladi,Wad/li

and service requirements. A duty disability benefit is provided equal to 75% of final average salaryupon total incapacity for teaching service as a result of an injury sustained while in the performanceof teaching service. A non-duty disability is payable after ten or more years of service and is 1 2/3%of average annual rate of salary for every year of creditable service. A 3% automatic annual increaseis paid on disability pensions after the anniversary of the pension or the pensioner's 61 st birthday,whichever is later.

A recipientof a retirement pension, survivorpension, ordisability pension maybeeligibletoparticipatein a health insurance program and premium rebate sponsored by the Fund, provided the Fund is therecipient's final pension system prior to retirement. The purpose of the program is to help defray thecost of the health insurance premiums to pensioner members. The total health insurance benefitsprovided in any one year are established by the ILCS and may not exceed $25,000,000 plus anyprevious amount authorized but not yet expended. The Fund has total discretion over the program,and no contributions are made by the participants forthe subsidy. The Fund's Board of Trustees maydiscontinue the program at any time by eliminating funding.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Reporting EntityAs defined by generally accepted accounting principles established bythe Governmental AccountingStandards Board (GASB), the financial reporting entity consists of a primary government, as well asits component units, which are legally separate organizations for which the elected officials of theprimary government are financially accountable. Financial accountability is defined as:

(1) Appointment of avoting majorityofthecomponent unit's board and eithera) the abilityto imposewill by the primary government, or b) the possibility that the component unit will provide afinancial benefit to or impose a financial burden on the primary government; or

(2) Fiscal dependency on the primary government.

Based upon the required criteria, the Fund has no component units and is not a component unit of anyother entity.

Basis of AccountingThe Fund's financial statements are prepared using the accrual basis of accounting, followingstandards promulgated by GASB. Employee and employercontributions are recognized as additionsin the period in which the employee services are performed. Benefits and refunds are recognized asdeductions when due and payable in accordance with the terms of the plan.

Cash, Cash Equivalents, and InvestmentsCash and cash equivalents include amounts in demand deposits and uninvested funds held by theFund's investment managers. Short-term investments consist of investments which mature within sixmonths of the date acquired by the Fund.

Investments are governed by Section 5/15 , Chapter 40 of the ##nois Compiled Statutes. Thesestatutes authorize the Fund to invest in accordance with the prudent person rule, which states that

25

%'=4-:4·..

' FINANCIAL SECTION. Public School Teachers' Pension and Retirement Fund of Chicago %5%

fiduciaries will exercise the care, skill, prudence, and diligence under the circumstances thenprevailing that a prudent man acting in a like capacity with such matters would use in the conduct ofan enterprise of a like character with like aims.

Plan investments are reported at fair value. Fair value for equities is determined by using the closingprice listed on the national securities exchanges as of August31. Fair value for fixed income securitiesis determined principally byusing quoted marketprices provided byindependentpricing services. Fairvalue for real estate investments is determined by appraisals.

Property and EquipmentProperty and equipment are carried at cost. Depreciation is computed by the straight-line methodbased upon estimated useful lives of 50 years for building and improvements and three to 10 yearsfor furniture and equipment.

Administrative ExpensesAdministrative expenses are budgeted and approved by the Fund's Board of Trustees. Funding forthese expenses is included in the employer contributions as determined by the annual actuarialvaluation.

Effect and Change in Accounting PrincipleDuring 1997, the Fund elected to adopt the provisions of GASB Statement No. 25, "FinancialReporting for Defined Benefit Pension Plans and Note Disclosures for Defined Contribution Plans".The provisions of this statement require restatement of August 31, 1995 balances for the effect ofchanging from reporting investments at cost or amortized cost to reporting investments at fair value.The effect of the change in accounting principle on the net assets held in trust for pension benefits asof August 31, 1995, is shown below:

August 31, 1995, net assets held for pension benefits,as previously reported $ 5,276,538,889

Adjustment to reflect fair value of investments 942,873,748August 31, 1995, net assets held in trust for pension benefits,

as restated $ 6,219,412,637

The Fund also adopted the provisions of GASB Statement No. 28, "Accounting and Financia/Reporting for Securities Lending Transactions". The provisions of this Statement require cashreceived as collateral on securities lending transactions and investments made with the cash to bereported as assets. Liabilities resulting from these transactions are also reported on the statementof plan net assets. Costs of securities lending transactions are reported separately as deductions inthe statement of changes in net plan assets. The Fund adopted this Statement beginning with thefiscal year ended August 31, 1997, and has restated the 1996 financial statements. Adoption of thisStatement had no effect on the net assets available for benefits at August 31, 1997 and August 31,1996.

26

FINANCIAL SECTION Public School Teachers' Pension and Retirement Fund of Chicago

(3) DEPOSITS AND INVESTMENTS

At August 31, 1997 and 1996, the bank balance and carrying amounts of the Fund's deposits, excluding $200 of petty cash, amounted to $447,951,147 and $445,710,733 and $249,312,804 and $246,703,196, respectively.

The deposits of the Fund are insured, registered, or collateralized by securities recorded in the Fund's name and held by the Fund's agent. The following table presents a summarization of the book and market values of the Fund's investments at August 31, 1997 and 1996. All categorized investments are insured or registered and are held by the Fund's master custodian (Northern Trust Bank) in the Fund's name. Investments in commingled funds are not categorized because the relationship between the Fund and the investment agent is a direct contractual relationship, and the investments are not supported by a transferable instrument that evidences ownership or creditorship.

CATEGORIZED:

Long-term investments:

Bonds:

Government bonds

Corporate bonds

Other miscellaneous bonds

TOTAL BONDS

Common stocks

TOTAL LONG TERM INVESTMENTS

NON-CATEGORIZED:

Real estate

Securities lending:

Investments held by master trustee under securities loans

Securities received from securities lending

TOTAL INVESTMENTS

MARKET VALUE

1997

$ 906,712,447

654,075,095

37,986,433

1,598,773,975

4,299,506,342

5,898,280,317

258,968,825

1,391,865,112

1,246,184,101

$ 8,795,298,355

Ownership of Greater than 5% of Net Assets Available for Benefits

1996

1,307,200,250

475,301,367

47,600,152

1,830,101,769

3,378,453,877

5,208,555,646

145,769,700

1,081,459,120

961,729,702

7,397,514,168

There are no significant investments in any organization that represent 5% or more of net assets available for benefits.

Derivatives The Fund periodically invests in forward and futures contracts representing agreements to buy or sell a specified amount of an underlying security at a given delivery or maturity date for an agreed-upon price. The Fund's use of these securities is limited to small positions in the Fund's international equity and commingled minicap domestic equity portfolios established for hedging or risk reducing, not speculative, purposes.

As of August 31, 1997 and 1996, the Fund held forward currency contracts representing agreements to buy or sell U.S. dollars, Japanese yen, U.K. sterling, French francs, Spanish pesetas, Swedish kroners, Australian dollars, Deutsche marks and Dutch florins upon established future dates for agreed-upon prices. These forward currency contracts held by the Fund allow itto lock in future foreign

27

FINANCIAL SECTION ..·«ST' 4%(9:/Public School Teachers' Pension and Retirement Fund of Chicago ' -

exchange rates, thus reducing risk stemming from currency fluctuations. As of August 31, 1997 and1996, the market values of the obligations under the purchase side of these forward contractsamounted to $37,290,838 and $116,709,991, respectively, and the market values of the obligationsunder the sale side of these forward contracts amounted to $35,044,079 and $114,889,178,respectively.

Additionally, as of August 31, 1997, the Fund held 11,676,176 units (21.52%) of a commingled equitytrust fund managed by a national bank. The total obligation to purchase stocks under the futurescontracts held by this commingled fund represented 4.15% of the commingled fund's total assets. Asof August 31, 1996, the Fund held 11,681,566 units (19.02%) of a commingled equity trust fundmanaged by a national bank. The total obligation to purchase stocks underthe futures contracts heldby this commingled fund represented 3.31% of the commingled fund's total assets. These futurescontracts held allow the commingled fund to maintain exposure to the market without incurring thetransactions costs involved in immediate reinvestment of dividend payments. Since these futurespositions are covered by the cash received through dividend payments on stocks held in thecommingled fund, this does not represent a leveraged or speculative position. Rather, in order toreducethe riskof being outof the market, the investment managerhas chosento use futures contractsas a low-cost substitute for direct ownership of the underlying securities.

Securities LendingFund policies permit the Fund to lend its securities to broker-dealers and other entities with asimultaneous agreement to return the collateral for the same securities in the future. The NorthernTrust Company, the Fund's master custodian, lends securities of the type on loan at year-end forcollateral in the form of cash, irrevocable letters of credit or other securities of at least 102 percent,and international securities for collateral of at least 105 percent. Securities lent at year end for cashcollateral are presented as notcategorized in the preceding schedule of custodial credit risk; securitieslent for securities collateral are classified according to the risk categorization for the collateralreceived. Atyearend, the Fund has nocredit riskexposuretoborrowers becausetheamountthe Fundowes to the borrowers exceed the amounts the borrowers owe to the Fund. The contract with theFund's master custodian requires it to indemnity the Fund if the borrowers fail to return the securities(and if the collateral is inadequate to replace the securities lent) or fail to pay the Fund for incomedistributions by the securities issuers while the securities are out on loan. All securities loans can beterminated on demand by either the Fund or the borrower, although the average term of the loans isone week. Cash collateral is invested in the lending agent's short-term investment pool, which atyearend has a weighted average maturity of 29 days.

The relationship between the maturities of the investment pool and the Fund's loans is affected by thematurities of the securities loans made by other entities that use the agent's pool, which the Fundcannot determine. The Fund cannot pledge or sell collateral securities received unless the borrowerdefaults.

Loans outstanding as of August 31 1997 1996

Market value of securities loaned $1,391,865,112 1,081,459,120Market value of cash collateral from borrowers 1,246,184,101 961,729,702Market value of non cash collateral from borrowers 184,044,792 142,034,667

28

FINANCIAL SECTION~ublic School Teachers' Pension and Retirement Fund of Chicago -~.~.~..~.

(4) CONTRIBUTIONS AND RESERVES

The Fund's funding policy provides for employer contributions which, when added to contributionsreceived from employee members and earnings on investments, will be sufficient forthe requirementsof the Fund.

On an annual basis, an actuarial valuation is performed in order to determine the amount of requiredcontributions on behalf of the Fund. The Illinois Compiled Statutes (Public Act 89-15) provide for anactuariallydetermined funding plan intendedto increasethe assets of the Fund to a level equal to 90%of the liabilities of the Fund by the fiscal year ended 2045.

The minimum amount of employer contributions paid to the Fund for any fiscal year, including Stateof Illinois contributions paid to the Fund, but excluding amounts paid by the Chicago Board ofEducation on behalf of the Chicago teachers for employee contributions and other contributions, isdetermined as follows and paid in the next succeeding year: an amount equal to the contributionsmade by and on behalf of the Chicago teachers, or an amount equal to the excess of the totalexpenditures of the Fund for any fiscal year overthe total income of the Fund in such year, whicheveramount is higher.

For fiscal years 1999 through 2010, the amount of the Chicago Board of Education contribution to theFund shall be computed at athen-determined percentage ofthe applicable employee payroll, in whichcase the contribution shall be increased in equal annual increments, so that by fiscal year 2011 theChicago Board of Education is contributing at the actuarially determined rate required to reach andthen maintain the Fund at a 90% funding level.

For fiscal years 2011 through 2045, the minimum contribution tothe Fund each year from the ChicagoBoard of Education shall be an amountdetermined bythe Fundtobe sufficientto bring the total assetsof the Fund up to 90% of the total liabilities of the Fund bythe end of fiscal year2045. In making thesedeterminations, the required Chicago Board of Education contribution shall be calculated each yearas a level percentage of payroll over the years remaining to and including fiscal year 2045, and shallbe determined under the projected unit credit actuarial cost method.

Beginning in fiscal year2046, the minimum contribution from the Chicago Board of Education foreachfiscal year shall be the amount needed to maintain the total assets of the Fund at 90% of the totalliabilities of the Fund.

Member ContributionsMembercontributions, established bythe Illinois Compiled Statutes, are 7% of the full salary rate, withan additional contribution of 1 % when survivors' and children's pensions are also provided.

Other ContributionsState distributive funds are required to be paid by the Chicago Board of Education of an amountreceived that is in excess of the sum received from the State Distributive Fund over the amountrequired to meet emeritus pay obligations.

Federal funds are actuarially based amounts payable to the Fund on the full accruing cost of teachers

29

FINANCIAL SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago

being paid from special trusts or federal funds.

Early Retirement ProgramIn accordance with the Illinois Compiled Statutes, early retirements were made available to eligibleChicago teachers during the 1993 and 1994 years. Under the program, teachers who had attainedage 50 and had at least 5 years of creditable service were able to establish up to 5 years of additionalcreditable service by making such election.

The Board of Education paid $14,923,885 of the required employer contributions in fiscal year 1997and 1996, respectively. The remaining employer contributions of $25,530,498 and $40,454,383 atAugust 31,1997 and 1996, respectively, are shown as receivables from the Board of Education in theaccompanying financial statements. The Board of Education is required to pay to the Fund theremaining required contribution to the 1993 early retirement incentive program by August 31,1998,and the remaining required contribution related to the 1994 early retirement incentive program byAugust 31, 1999.

Employees paid $264,637and $7,520,261 of the required employee contributions in fiscal years 1997and 1996, respectively. The remaining employee contributions of $263,979 and $528,616 at August31, 1997 and 1996, respectively, are shown as receivables from the Board of Education in theaccompanying financial statements. Teachers are required to pay to the Fund the remaining requiredcontribution to the 1994 early retirement incentive program by August 31, 1997.

Actuarial AssumptionsBased upon an analysis of the experience of the Fund over athree-year period (1994-1996), actuarialchanges in assumptions used to calculate the actuarial valuation were made as follows: (1)termination rates were decreased; (2) retirement rates were increased; (3) disability rates weredecreased and (4) the assumed rates of salary increase were reduced. The estimated impact of thesechanges on the August 31, 1997 valuation is an increase in the actuarial liability of $13,458,399.

(5) VALIDATION OF CREDITABLE SERVICE

40 ILCS, Article 17, Sections 133 through 135 provide that qualifying teachers shall be grantedcreditable service for periods of outside or other service, with the option to validate the service bypayment of contributions forthe period of creditable service plus interest at5% perannum. Of the totalamounts collected of $2,896,407 and $2,371,810 in fiscal 1997 and 1996, respectively, $1,543,623and $1,245,575 represent the interest portion of these collections from teachers validating theircreditable service. The contingent receivable of $891,898 and $825,163 at August 31, 1997 and1996, respectively, is not reflected in the accompanying financial statements, because the portionwhich will eventually be collected is not presently determinable. The contingent liability resulting fromthe future validation of creditable service should be in excess of the contingent receivable arising fromthat source.

30

444FINANCIAL SECTION·. -41*14

Public School Teachers' Pension and Retirement Fund of Chicago,

(6) RETIRED TEACHERS' SUPPLEMENTARY PAYMENTS

The State of Illinois annually appropriates funds for #ie purpose of making supplementary paymentsfor service and disability pensions to certain retired teachers who met conditions prescribed when theRetired Teachers' Supplementary Payment Fund was established. In July 1975,40 ILCS, Article 17,Sections 154 and 155 were revised to increase both the number of persons eligible for the paymentsand the amount of the payments. The amount of the appropriation is recorded as an addition monthlyduring the fiscal year of the Fund.

(7) INSURANCE COVERAGE

The Fund is exposed to various risks of loss related to torts, theft of, damage to, and destruction ofassets; errors and omissions; injuries to employees; and natural disasters. The Fund has minimizedthe risk of loss through private insurance carriers with deductibles for coverage ranging from $250 to$500 per occurrence. The Fund has not experienced a material fluctuation between insurance claimsfiled and paid in the last two years.

(8) PENDING LITIGATION

40 ILCS, Article 5/17, Section 129 provides that if, in any fiscal year, the total amounts paid to the Fundby the Board of Education of the City of Chicago and the State of Illinois do not equal the totalcontributions madebyoron behalf of theemployees represented bythe Fund, the Board of Education,in the next succeeding year, shall set apart and appropriate from monies from its tax levy foreducational purposes, a sum sufficient to remove any such deficiency.

The Fund has filed an amended complaint against the Board of Education of the City of Chicago thatalleges that, for fiscal years 1991 through 1993, the Board of Education incorrectly calculated thedeficiency. The complaintalleges thatthe Board of Education improperlycounted in fiscal years 1991through 1993 as its employercontributions approximately$26.4 million in employercontributions fromfederal funding paid to the Fund, improperly treated $22.2 million in employer contributions for the1993 early retirement incentive program (notes 4 and 5) as employer contributions in the 1993 fiscalyear deficiency calculation, and alleges that contributions of $1.6 million made by retired teachers tothe Fund for years of military service should have been, but were not, treated as employeecontributions by the Board of Education.

A receivable from the Board of Education for $22.2 million is reflected in the accompanying financialstatements at August 31,1997 and 1996 as it is the opinion of Fund management that recovery ofthe $22.2 million related to the early retirement incentive program is probable from the allegedcomplaint. The remaining amounts related to this amended complaint have been recorded as areceivable; however, as management cannot attest to the probability of a favorable outcomeconcerning these amounts, an allowance of 100% has been recorded.

31

FlfMIICI& •c11

C1N Public School Teachers' Penaion and Retirement Fund of Chicago

(9) SUBSEQUENT EVENT

On December 3, 1997, House Bill 452 was passed by the Illinois State Legislature which amended the Illinois Compiled Statutes (40 ILCS 5/17-127 and 129) to the following conditions:

(1) Beginning July 1, 1999, the Fund's fiscal year and school year will be July 1 through June 30;

(2) Deficiency monies under 40 ILCS, Article 5/17, Section 129 will not be required from theChicago Board of Education (BOE);

(3) BOE contributions to the Fund will not be required unless the actuarially determined assets ofthe Fund fall below 90% of the actuarially accrued liabilities;

(4) Any contributions by the State of Illinois to the Fund shall be a credit against any contributionrequired to be made by the BOE.

32

FINANCIAL SECTION --"a,1/

Public School Teachers' Pension and Retirement Fund of Chicago 4~~

Schedule 1SCHEDULE OF FUNDING PROGRESS

August 31, 1997 and 1996(In thousands, except for percentages)

Unfunded UAAL as aNet assets Acturarial acturarial percent ofavailable accrued accrued AAL Annual annual

for liability liability funding covered coveredAugust 31 benefits (B) (AAL) (UAAL) ratio payroll payroll

1996 (A) $ 6,533,032 6,949,832 416,800 94.00% $1,278,739 32.59%1997 7,228,249 7,248,110 19,861 99.73 1,362,611 1.46

(A) As of August 31,1996 assets are presented at market value according to GASB Statement No.25. For comparative purposes, results as of August 31,1996 have been restated accordingly.

(B) The actuarial value of assets available for benefits was determined by adjusting the value ofassets at cost by the average excess of the market value of assets over assets at cost as of thelast four fiscal periods.

33

FINANCIAL SECTION~~p& public School Teachers' Pension and Retirement Fund of Chicago ,~~

Schedule 2SCHEDULE OF CONTRIBUTIONS

August 31, 1997 and 1996

Year Contributions Total contributions asended Annual a percentage of annual

August 31 required Employee Employer required contribution1996 238,285,247 97,743,118 72,580,416 71.48%1997 244,818,090 103,870,728 91,776,705 79.92%

34

81CnaN Public School Teachers' Penaion and Reti'8ment Fund of Chicago

Schedule 3

NOTES TO TREND DATA


Valuation Date Actuarial cost method Amortization method

Remaining amortization period Asset valuation method Actuarial Assumptions:

Investment rate of return Projected salary increases •

• Includes inflation at cost-of-living adjustments

35

August 31, 1997 Projected unit credit 40 year level percent of payroll amortization of the unfunded liability

40 years 4 year smoothed market value

8.0% per year Rate of increase varying by age. In terms of the impact on liabilities and costs, the assumed rates of increase are equivalent to an average salary increase of 5.0% per year.

FINANCIAL SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago : 25.&~~

...rNS~

Schedule 4ADMINISTRATIVE AND MISCELLANEOUS EXPENSES


1997 1996

Salaries $1,734,115 1,406,244Actuary fees 34,000 40,000Auditing 31,000 25,900Consulting fees 62,782 35,108Data processing expense 65,426 83,917Election expense 2,968 32,291Employees' health insurance 280,166 251,993Insurance premium 7,856 9,936Legalfees 84,177 72,116Legislative expense 52,386 38,282Medical fees 6,228 4,780Membership dues, convention attendance, etc. 70,909 54,353Microfilm system expense 2,967 4,973Miscellaneous office equipment purchases,

rental, and maintenance 26,629 30,860Office forms and supplies 45,060 41,139Office rent and utilities 320,274 290,320Postage 149,845 121,902Printing and binding 124,029 101,289Trustees' expenses 3,780 3,675Legacy fund disbursements 110 5,632Miscellaneous 28,197 75,849

TOTAL $3,132,904 2,730,559

See accompanying independent auditors' report.

36

~Ssv'-

FINANCIAL SECTION .-~~ublic School Teachers' Pension and Retirement Fund of Chicago j:~~

Schedule 5SCHEDULE OF CASH RECEIPTS AND DISBURSEMENTS


1997 1996

Cash and cash equivalents at beginning of year $246,703,396 206,655,545

Add receipts:Member contributions 105,675,055 104,700,491Public revenues 100,198,676 87,486,279Interest and dividends 600,029,114 727,314,317Miscellaneous 593,730 392,568

Total cash receipts 806,496,575 919,893,655

Less disbursements:Benefit payments 366,641,067 361,318,697Administrative and investment expenses 3,217,453 1,254,378Refunds 10,532,387 8,820,894Net investment purchases and sales 227,098,131 508,451,835

Total cash disbursements 607,489,038 879,845,804

Net increase in cash and cash equivalents 199,007,537 40,047,851

Cash and cash equivalents at end of year $445,710,933 246,703,396

See accompanying independent auditors' report.

37

f.'*f«#rt

ACTUARIAL SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago

110*2:

GOLDSTEIN & ASSOCIATES 150 NORTH WACKER ORM SUIE 2230CHICAGO. UINOS 60606

Consu#ing Actuaries PHONE 1312) 726-5877 FAX (3121 7264323

February 3, 1998

Board of TrusteesPublic School Teachers' Pensionand Retirement Fund of Chicago

55 West Wacker Drive - 13th FloorChicago, Illinois 60601-1613

Actuarial CertificationI have completed the annual actuarial valuation of the Public School Teachers' Pension and Retirement Fund of Chicago asof August 31, 1997. The purpose of the valuation was to determine the financial condition and funding requirements of theFund

Underthe funding plan established by PublicAct89-15, the minimum contribution to the Fund bythe Board of Education shallbe an amount determined by the Fund to be sufficient to bring the total assets of the Fund up to 90% of the total actuarialliabilities by the end of fiscal year 2045. The required Board of Education Contribution is to be calculated as a level percentof payroll over the years through 2045. For fiscal years 1999 through 2010, the Board of Education's contribution, as apercentage of the applicable payroll, is to be increased in equal annual increments so that by Fiscal Year 2011, the Board ofEducation is contributing at the required rate.

Public Ad 90-548, signed into law on December 4,1997 revised the above funding plan to provide that the Board of Educationcontribution shall not be in excess of the amount needed to maintain the ratio of assets to total actuarial liability at the 90% level.

Based on the results of the August 31,1997 actuarial valuation, the ratio of the actuarial value of assets to the total actuarialliability as of August 31, 1999 is projected to be over 90% without any Board of Education contribution. Thus, on the basisof the funding plan established by PublicAct89-15 as revised by PublicAct90-548, there is no Board of Education contributionrequirement for Fiscal Year 1999.

Based on an experience analysisof the Fund overthe three-yearperiod 1994-1996, we made certain changes inthe actuarialassumptions used forthe August 31,1997 valuation. We have estimated thatthe changes made in the actuarial assumptionsused for the August 31,1997 valuation had the impact of increasing the total actuarial liability by $13,458,399.

The projected unitcreditactuarial cost method was used fortheAugust31, 1997actuarial valuation. This isthe sameactuarialcost method that was used for the August 31, 1996 valuation. This cost method was adopted as of August 31, 1991.

The asset values used for the valuation were based on the asset information contained in the audited financial statementsprepared by the Fund as well as certain additional asset information supplied by Fund staff. For purposes of the actuarialvaluation, the value of assets at cost was adjusted by the average excess of the market value of assets over assets at costas of the last four fiscal year ends.

The valuation has beenbasedonthe membershipdata which was suppliedbythe administrativestaff of the Fund. I have madeadditional tests to ensure its accuracy.

In my opinion, the following schedule of valuation results fairly presents the financial condition of the Public School Teachers'Pension and Retirement Fund of Chicago as of August 31,1997.

Respectfully submitted,

Sandor GoldsteinFellow of the Society of ActuariesEnrolled Actuary No. 96-3402

40

67==.r,


-. - )· gaA. PURPOSE AND SUMMARY

We have carried out an actuarial valuation of the Public School Teachers' Pension and RetirementFund of Chicago as of August 31, 1997. The purpose of the valuation was to determine the financialposition and funding requirements of the Pension Fund. This report is intended to present the resultsof the valuation. The results of the valuation are summarized below:

1. Total Actuarial Liability $ 7,248,109,5052. Actuarial Value Of Assets 7,228,249,2793. Unfunded Actuarial Liability 19,860,2264. Funded Ratio 99.7%5. Employer's Normal Cost For FY 98

as a percent of payroll 8.27%6. Annual Required Contribution For FY 98

Based on GASB Statement No. 25 113,719,9957. Board of Education Contribution Requirement For

FY 99 Based on Public Act 89-15 and Public Act 90-548 0

B. DATA USED FOR THE VALUATION

Participant Data.The participant data required to carry out the valuation was supplied by the Fund. The membershipof the Fund as of August 31,1997, on which the valuation was based, is summarized in Exhibit 1. Itcan be seen that there were 33,632 active contributors, 15,831 pensioners and other beneficiaries,and 1,102 vested terminated members included in the valuation. The total active payroll as of August31, 1997 was $1,362,611,111.

Exhibit ISummary of Membership Data

1. Number of Members(a) Active Members

(i) Vested 22,080(ii) Non-vested 11,552

(b) Members Receiving(i) Retirement Pensions 13,517(ii) Disability Pensions 283(iii) Survivor Pensions 1,972(iv) Reversionary Pensions 59

(c) Vested Terminated Members 1,102(d) Total 50,565

2. Annual Salaries(a) Total Salary $1,362,611,111(b) Average Salary 40,515

3. Total Accumulated Contributionsof Active Members $ 1,011,117,705

41

ACTUARIAL SECTIONblbM&. Public School Teachers' Pension and Retirement Fund of Chicago ~

4. Annual Benefit Payments Currently Being Made(a) Retirement Pensions $ 315,956,105(b) Disability Pensions 3,862,829(c) Survivor Pensions 14,739,486(d) Reversionary Pensions 381,421

Assets.In November of 1994, the Governmental Accounting Standards Board (GASB) issued GASBStatement No. 25, which establishes standards of financial reporting forgovernmental pension plans.The statement is effective for periods beginning after June 15,1996. Under GASB Statement No. 25,the actuarial value of assets to be used for determining a plan's funded status and annual requiredcontribution needs to be market related. In determining the actuarial value of assets, smoothingchanges in the market value of assets over a period of three to five years is considered to beappropriate.

The actuarial value of assets used for the August 31, 1997 actuarial valuation was determined byadjusting the value of assets at cost by the average excess of the market value of assets over assetsat cost as of the last four fiscal year ends. In previous actuarial valuations, the book value of assetshad been used. We have calculated thatthe impact of the change from book value to adjusted marketvalue in determining the actuarial value of assets was to increase the actuarial value of assets by$1,008,122,243. The determination of the actuarial value of assets as of August 31,1997 is shownin Exhibit 2 below:

Exhibit 2Actuarial Value of Assets

1. Cash and Cash Equivalents $ 445,710,9332. Receivables 62,424,8953. Accrued Investment Income 40,511,3094. Prepaid Expenses and Other 1,214,2965. Fixed Assets 182,7426. Securities Lending Collateral 1,246,184,1017. Due from Brokers 8,370,4378. Investments in Bonds at Amortized Cost 2,565,114,3529. Investments in Common Stocks at Cost 2,862,257,683

10. Investments in Real Estate at Cost 242,400,39611. Average Excess of Market Value of Assets

Over Assets at Cost as of the Last FourFiscal Year Ends 1,008,122,243

12. Total Value of Assets $ 8,482,493,38713. Current Liabilities 1,254,244,10814. Actuarial Value of Assets (12-13) $ 7,228,249,279

The development of the market value adjustment used in the determination of the actuarial value ofassets is shown in Exhibit 3 below:

42

97ACTUARIAL SECTION +~1 Public School Teachers' Pension and Retirement Fund of Chicago

Exhibit 3Market Value Adjustment

1. Net assets at market value as of 8/31/97 $ 8,099,468,8592. Net assets at cost as of 8/31/97 6,220,127,0363. Excess of market over cost as of 8/31/97 1,879,341,8234. Net assets at market value as of 8/31/96 6,573,470,9535. Net assets at cost as of 8/31/96 5,805,332,9126. Excess of market over cost as of 8/31/96 768,138,0417. Net assets at market value as of 8/31/95 6,219,412,6378. Net assets at cost as of 8/31/95 5,276,538,8899. Excess of market over cost as of 8/31/95 942,873,748

10. Net assets at market value as of 8/31/94 5,548,390,15411. Net assets at cost as of 8/31/94 5,106,254,79612. Excess of market over cost as of 8/31/94 442,135,35813. Average excess of market value over cost

as of the last four fiscal year ends $ 1,008,122,243

C. FUND PROVISIONS

Our valuation was based on the provisions of the Fund in effect as of August 31, 1997 as provided inArticle 17 of the Illinois Pension Code. A summary of the principal provisions of the Fund is providedon page 10.

D. ACTUARIAL ASSUMPTIONS AND COST METHOD

Based on an analysis of the experience of the Fund over the three-year period 1994-1996, we havemade some changes in the actuarial assumptions used for the August 31,1997 actuarial valuation.These changes are as follows: (1) Termination rates were decreased to bring them more in line withrecent experience; (2) Retirement rates were increased to bring them more in line with recentexperience; (3) Disability rates were decreased to bring them more in line with recent experience; and(4) The assumed rates of salary increase were reduced to bring them more in line with recentexperience.

The actuarial assumptions used for the August 31,1997 valuation are outlined in Appendix 1. In ouropinion, the actuarial assumptions used forthe valuation are reasonable, in the aggregate, taking intoaccount Fund experience and future expectations and represent our best estimate of anticipatedexperience.

The projected unit credit actuarial cost method was used for the August 31, 1997 actuarial valuation.This is the same actuarial cost method that was used for the August 31, 1996 valuation.

E. ACTUARIAL LIABILITY

The actuarial liability as determined under the valuation for the various classes of members issummarized in Exhibit4. The total actuarial liabilityis then compared with the actuarial value of assets

43

.-*.71*.*/

ACTUARIAL SECTIONma=11*t. Public School Teachers' Pension and Retirement Fund of Chicago

in order to arrive at the unfunded actuarial liability.

As of August 31, 1997, the total actuarial liability is $7,248,109,505, the actuarial value of assets is$7,228,249,279 and the unfunded actuarial liability is $19,860,226. The ratio of the actuarial valueof assets to the actuarial liability, or funded ratio, is 99.7%.

Exhibit 4Actuarial Liability as of August 31, 1997

1. Actuarial Liability for Active Members(a) Basic Retirement Annuity $ 2,581,539,897(b) Post Retirement Increase 620,507,581(c) Lump Sum Death Benefit 13,605,331(d) Survivor's Pension 270,296,487(e) Disability Pension 31,926,275(f) Withdrawal Benefit 96,166,651(g) Total $ 3,614,042,222

2. Actuarial Liability Members Receiving Benefits(a) Retirement Pensions $ 3,370,226,071(b) Survivor Pensions 124,512,833(c) Disability Pensions 47,056,867(d) Total $ 3,541,795,771

3. Actuarial Liability for Inactive Members $ 92,271,512

4. Total Actuarial Liability $ 7,248,109,505

5. Actuarial Value of Assets $ 7,228,249,279

6. Unfunded Actuarial Liability $ 19,860,226

7. Funded Ratio 99.7%

Impact of Changes in Actuarial Assumptions.We have estimated that the changes made in the actuarial assumptions used forthe August 31,1997actuarial valuation had the impact of increasing the total actuarial liability by $13,458,399.

F. EMPLOYER'S NORMAL COST

The employer's share of the normal cost for the year beginning September 1, 1997 is developed inExhibit 5. The total normal cost is $221,750,987, employee contributions are estimated to be$109,008,889, resulting in the employer's share of the normal cost of $112,742,098.

Based on a payroll of $1,362,611,111 as of August 31, 1997, the employer's share of the normal costcan be expressed as 8.27% of payroll.

44

{ff"Zixits/3*ti]' j {frif#063T'<.En/MilitACTUARIAL SECTION s*fjS

M.6,., Public School Teachers' Pension and Retirement Fund of Chicago

Exhibit 5Employer's Normal Cost For Year Beginning September 1, 1997

PercentDollar Amount Of Payroll

1. Basic Retirement Pension $ 133,397,907 9.79%2. Post Retirement Increases 32,243,457 2.373. Lump Sum Death Benefits 1,010,781 .074. Survivor's Pension 15,424,681 1.135. Disability Benefits 1,996,296 .156. Withdrawal Benefits 9,277,865 .687. Health Insurance Reimbursement 25,000,000 1.838. Administrative Expenses 3,400,000 .259. Total Normal Cost $ 221,750,987 16.27%

10. Employee Contributions 109,008,889 8.0011. Employer's Share of Normal Cost $ 112,742,098 8.27%

Note. The above figures are based on atotal active payroll of $1,362,611,111 as of August 31,1997.

G. BOARD OF EDUCATION CONTRIBUTION REQUIREMENT FOR FISCAL YEAR 1999

Under the funding plan established by Public Act 89-15, the minimum contribution to the Fund by theBoard of Education shall be an amount determined bythe Fund to be sufficientto bring the total assetsof the Fund up to 90% of the total actuarial liabilities bythe end of fiscal year2045. The required Boardof Education contribution is to be calculated as a level percent of payroll over the years through 2045.For fiscal years 1999 through 2010, the Board of Education's contribution, as a percentage of theapplicable payroll, isto be increased in equal annual increments sothatby Fiscal Year2011, the Boardof Education is contributing at the required rate.

Public Act 90-548, signed into law on December 4,1997 revised the above funding plan to providethat the Board of Education contribution shall not be in excess of the amount needed to maintain theratio of assets to total actuarial liability at the 90% level.

As of August 31, 1997, the ratio of the actuarial value of assets to the total actuarial liability is 99.7%.Using the results of the August 31, 1997 valuation as a starting point and assuming no Board ofEducation contribution in Fiscal Year 1999, we have projected the ratio of the actuarial value of assetsto the total actuarial liability as of August 31,1999 to be 99.1%. Thus, on the basis of the funding planestablished by Public Act 89-15 as revised by Public Act 90-548, there is no Board of Educationcontribution requirement for Fiscal Year 1999.

H. ANNUAL REQUIRED CONTRIBUTION FOR GASB STATEMENT NO. 25

GASB Statement No. 25 requires the disclosure of the annual required employer contribution (ARC),calculated in accordance with certain parameters. Based on the results of the August 31, 1997

45

-~i-i .~'K.1

ACTUARIAL SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago j~

actuarial valuation, we have therefore calculated the annual required contribution for the fiscal yearending on August 31, 1998. In accordance with the parameters prescribed in GASB Statement No.25, in calculating the annual required contribution, we have used a 40-year level percent of payrollamortization of the unfunded liability. On this basis, the annual required contribution for Fiscal Year1998 has been determined to be as follows:

Fiscal Year 19981. Employer's normal cost $ 112,742,0982. Annual amount to amortize the

unfunded liability over 40 yearsas a level percent of payroll 977,897

3. Annual required contribution (1+2) $ 113,719,995

1. RECONCILIATION OF CHANGE IN UNFUNDED ACTUARIAL LIABILITYThe net actuarial experience during the period September 1,1996 to August 31, 1997 resulted in adecrease in the Fund's unfunded actuarial liability of $1,124,638,726. This decrease in unfundedactuarial liability is a result of several kinds of gains and losses. The financial effect of the mostsignificant gains and losses is illustrated in Exhibit 6.

The employer funding requirement for the year of normal cost plus interest on the unfunded actuarialliability amounted to $210,099,754, whereas the actual employer contribution for the year amountedto $91,776,705. Thus, the employer contribution for the year fell short of the funding requirement ofnormal cost plus intereston the unfunded liabilityby$118,323,049. Had all otheraspects of the Fund'sexperience been in line with the actuarial assumptions, the unfunded liability would have increasedby this amount.

The net rate of investment return earned by the Fund during the year, with assets valued at cost, wasapproximately 10.5%, in comparison to the assumed rate of 8.0%. This resulted in a decrease in theunfunded liability of $142,087,875. Salary increases lower than expected resulted in a decrease inthe unfunded liability of $57,795,186.

The changes in assumptions used for the August 31, 1997 actuarial valuation had the impact ofincreasing the unfunded liabilityby$13,458,399. Thechange in the method of valuing assets resultedin a decrease in the unfunded liability of $1,008,122,243.

The various otheraspects of the Fund's experience resulted in a net decrease in the unfunded liabilityof $48,414,870. The aggregate financial experience of the Fund resulted in a decrease in theunfunded liability of $1,124,638,726.

Exhibit 6Reconciliation of Change in Unfunded Actuarial Liability

Over the Period September 1,1996 to August 31, 1997

1. Unfunded Actuarial Liability as of 9/1/96 (prior to restatement) $ 1,144,498,952

46

„

ACTUARIAL SECTION/:.7.: Public School Teachers' Pension and Retirement Fund of Chicago ' :,Lft·,1

'E *~,WL--*& -' - Al.#* - - -- -Abbll//6

2. Employer Contribution Requirement ofNormal Cost Plus Interest on UnfundedLiability for Period 9/1/96 to 8/31/97 210,099,754

3. Actual Employer Contribution for the Year 91,776,7054. Increase in Unfunded Liability Due to

Employer Contribution Being Less Than NormalCost Plus Interest on Unfunded Liability (2-3) 118,323,049

5. Decrease in Unfunded Liability Due to InvestmentReturn Higher Than Assumed 142,087,875

6. Decrease in Unfunded Liability Due to SalaryIncreases Lower Than Assumed 57,795,186

7. Increase in Unfunded Liability Due to Changesin Assumptions 13,458,399

8. Decrease in Unfunded Liability Due to Changein Asset Valuation Method 1,008,122,243

9. Decrease in Unfunded Liability Due toOther Sources 48,414,870

10. Net Decrease in Unfunded Liability for theYear (5-4+6-7+8+9) $ 1,124,638,726

11. Unfunded Actuarial Liability as ofAugust 31,1997 (1-10) $ 19,860,226

J. PROJECTION OF CONTRIBUTIONS, LIABILITIES, AND ASSETS

Based on the results of the August 31, 1997 actuarial valuation, we have projected valuation resultsfor a 48-year period commencing with Fiscal Year 1998. We have based Board of Educationcontributions on the contribution requirements in the funding plan established under Public Act 89-15,as revised by Public Act 90-548. We have assumed that State appropriations in future years willincrease in line with increases in total payroll

Our projections of contributions, liabilities, and assets are based on the actuarial assumptions,membership data and benefit provisions that were used for the regular actuarial valuation. However,in order to determine projected contributions, liabilities, and assets, certain calculations needed to bemade that are not normally required in a regular actuarial valuation. Benefit payout requirements,actuarial liabilities, and payroll were estimated over the 48-year period from 1998 through 2045 byprojecting the membership of the Fund overthe 48-year period, taking into account the impact of newentrants into the Fund over the 48-year period.

In order to make the required projections, assumptions needed to be made regarding the age andsalary distribution of new entrants as well as the size of the active membership of the Fund. Theassumptions regarding the profile of new entrants to the Fund was based on the recent experienceof the Fund with regard to new entrants. The size of the active membership of the Fund was assumedto remain constant over the 48-year projection period.

47

BECII

GII. Public$choor Teactws• Penlion and Retirement Fund of Chicago

Additional Actuarial Tables

Summary of Actu.-ial Liability and Unfunded Actuarial Liability

Assets Unfunded UAL as a Total Actuarial ua%of Actuarial Active %of Active

Fiscal Actuarial Value Actuarial Liability Member Member Year Liability of AISels Liability (UAL) Payroll Payroll

1988 $ 4,191,547,619 $ 3,157,340,452 75.3% $1,034,207,167 $ 882,872,244 117.1% 1989 4,624,431,749 3,225,224,561 69.7% 1,399,207,188 901,338,746 155.2% 1990 5,012,500,170 3,764,801,260 75.1% 1,247,698,910 966,896,368 129.0% 1991 4,902,961,000 4,027,251,505 82.1% 875,709,495 1,085,571,111 80.7% 1992 5,215,601,846 4,299,936,041 82.4% 915,665,805 1,122,442,390 81.6% 1993 5,904,364,135 4,658,030,036 78.9% 1,246,334,099 1,223,533,870 101.9% 1994 s,241,m,m 5,106,254,796 81.7% 1,141,162,983 1,162,159,018 982%

1995 6,523,543,057 5,276,538,889 80.9% 1,247,004,168 1,169,319,610 106.6% 1996(A) 6,949,831,870 6,533,031,737 94.0% 416,800,133 1,278,738,666 32.6% 1997(A) 7,248,109,505 7,228,249,279 99.7% 19,860,226 1,362,611,111 1.5%

Solvency T•t Accrued Liabilili• For

(1) (2) (3)

Active Members Active Members CurrenUy Member Actuarial Percent of Accrued Liabilities

Fiscal Accumulated Receiving Employer Value Covered by AISels Year Contributions Benefits Portion of AISels (1) (2) (3)

1988 $ 663,813,480 $1,181,644,125 $ 2,346,090,014 $ 3,157,340,452 100% 100% 56% 1989 713,959,464 1,334,982,229 2,575,490,056 3,225,224,561 100% 100% 46% 1990 756,253,232 1,453,356,105 2,802,890,833 3,764,801,260 100% 100% 55% 1991 808,935,016 1,549,179,713 2,544,846,271 4,027,251,505 100% 100% 66% 1992 857,624,381 1,701,504,343 2,656,473,122 4,299,936,041 100% 100% 66% 1993 914,065,627 1,823,039,371 3,167,259,137 4,658,030,036 100% 100% 61% 1994 853,538,324 2,942,839,717 2,451,039,738 5,106,254,796 100% 100% 53% 1995 847,054,700 3,391,248,620 2,285,239,737 5,276,538,889 100% 100% 45% 1996(A) 937,992,220 3,485,257,311 2,526,582,339 6,533,031,737 100% 100% 84% 1997(A) 1,011,117,705 3,541,795,771 2,695,196,029 7,228,249,279 100% 100% 99%

\

(A) As of August 31, 1997 assets are presented at smoothed market value in accordance with GASB Statement No. 25. For comparative purposes, results as of August 31, 1996 have been restated accordingly.

48

ACTUARIAL SECTION Public School Teachers' Pension and Retirement Fund of Chicago

Additional Actuarial Tables

Schedule of Actual Employer Contributions And Actuarially Determined Contribution Requirements

Actuarially Determined Contribution

Actual Employer Contribution Requirement

Active Fiscal Member Percent of Percent of Year Payroll Dollar Amount Payroll Payroll

1988 $ 882,872,244 $ 129,809,520 14.70% 15.49% 1989 901,338,746 137,132,890 15.21% 15.84% 1990 966,896,368 143,068,588 14.80% 18.61% 1991 1,085,571,111 64,856,804 5.97% 15.89% 1992 1,122,442,390 75,448,143 6.72% 15.21% 1993 1,223,533,870 164,010,589 (a) 13.40% 14.44% 1994 1,162,159,018 257,438,703 (b) 22.15% 16.57% 1995 1,169,319,610 86,171,m(c) 7.37% 16.71% 1996 1,278,738,666 72,580,416 5.68% 16.42% 1997 1,362,611,111 91,TT6,705 6.74% 15.42%

(a) The Fiscal Year 1993 employer contribution of $164,010,589 includes special employer conlributions of $69,485,416 required for establishing additional service credit under the early retirement incentive program. Excluding these special employer contributions, the regular employer contribution for Fiscal Year 1993 was $94,525,173, which can be expressed as 7.73% of payroll.

(b) The Fiscal Year 1994 employer contribution of $257,438,703 includes special employer contributions of $26,532,254 required for establishing additional service credit under the second ea�y retirement incentive program. Excluding these special employer contributions, the regular employer contribution for Fiscal Year 1994 was $230,906,449, which can be expressed as 19.87% of payroll.

(c) The Fiscal Year 1995 employer contribution of $86,171,1TT includes special employer contributions of $3,753,006 required for establishing additional service credit under the second ea� retirement incentive program. Excluding these special employer contributions, the regular employer contribution forFiscal Year 1995 was $82,418,171, which can be expressed as 7.05% of payroll.

49

AC1VARIALIIICTICII Public School Teachers' Pension and Retiremerit Fund of 01icago

Schedule of Active Member Valuation Data

Active Members

Valuation Annual Annual Date Number Payroll Average Pay

8-31-88 28,141 $ 882,872,244 $ 31,373 8-31-89 28,219 901,338,746 31,949 8-31-90 29,045 966,896,368 33,290 8-31-91 30,510 1,085,571,111 35,581 8-31-92 30,900 1,122,442,390 36,325 8-31-93 31,592 1,223,533,870 38,729 8-31-94 30,804 1,162,159,018 37,728 8-31-95 31,308 1,169,319,610 37,349 8-31-96 32,824 1,278,738,666 38,957 8-31-97 33,632 1,362,611,111 40,515

Schedule of Beneficiaries Added to and Removed from Rolla

Ascal Beginning Ending Year Balance Additions Deletions Balance

1988 10,445 628 363 10,710 1989 10,710 879 609 10,980 1990 10,980 780 512 11,248 1991 11,248 757 508 11,497

1992 11,497 862 483 11,876 1993 11,876 752 573 12,055 1994 12,055 3,269 626 14,698 1995 14,698 1,583 561 15,720 1996 15,720 635 556 15,799 1997 15,799 690 658 15,831

50

ACTUAIIIAL 8EC'l'ION Public School Teachers' Pension and Retirement Fund of Chicago

Appendix 1 Summary of Actuarial Assumptions and Actuarial Cost Method

Actuarial Assumptions. The actuarial assumptions used for the August 31, 1997 valuation are summarized below. The assumptions were adopted as of August 31, 1997.

Mortality Rates. The 1983 GAM Table, rated down 6 years for active members, rated down 3 years for retirees and survivors, and without age rating for disabled members.

Termination Rates. Termination rates based on the recent experience of the Fund. The following is a sample of the termination rates that were used:

Age

20

25

30

35

40

45

50

55

60

62 and later

Rate of Termination Per 1,000 Members

40

40

32

23

15

9

6

5

1

0

Disability Rates. Disability rates based on the recent experience of the Fund. The following is a sample of the disability rates that were used:

Age

20

30

40

50

60

62 and over

51

Disabilities Per 1,000 Members

.2

.3

.4

.8

1.0

0

ACTUARIAL SECTION Public School Teachers' Pension and Retirement· Fund of Chicago

Retirement Rates. Rates of retirement for each age from 55 to 75 based on the recent experience of the Fund were used. The following are samples of the rates of retirement that were used:

Age

55 60 65 70 75

Rate of Retirement Per 1,000 Members

90 130 250 300

1,000

Salary Progression. Rates of salary increase which vary by age. The following is a sample of the assumed rates of salary increase.

Age

25 30 35 40 45 50 55 and later

Interest Rate. 8.0% per year, compounded annually.

Assumed Rate of

Increase

11.2% 8.9% 7.3% 6.2% 5.4% 4.7% 4.5%

Marital Status. 75% of participants were assumed to be married.

Spouse's Age. The age of the spouse was assumed to be 1 year older than the age of the employee.

Assumption Regarding Total Service Credit At Retirement. It was assumed that a teacher's total service credit at retirement would be 103.3% of the teacher's regular period of service at retirement.

Actuarial Cost Method. The projected unit credit actuarial cost method was used. Actuarial gains and losses are reflected in the unfunded actuarial liability. This actuarial cost method was adopted as of August 31, 1991.

52


Appendix 2Glossary of Terms used in Report

1. Actuarial Present Value. The value of an amount or series of amounts payable at various times,determined as of a given date by the application of a particular set of actuarial assumptions.

2. Actuarial Cost Method or Funding Method. A procedure for determining the actuarial presentvalue of pension plan benefits and for determining an actuarially equivalent allocation of such valueto time periods, usually in the form of a normal cost and an actuarial accrued liability.

3. Normal Cost. That portion of the present value of pension plan benefits which is allocated to avaluation year by the actuarial cost method.

4. Actuarial Accrued Liability or Accrued Liability. That portion, as determined by a particularactuarial cost method, of the actuarial present value of pension benefits which is not provided for byfuture normal costs.

5. Actuarial Value of Assets. The value assigned by the actuary to the assets of the pension planfor purposes of an actuarial valuation.

6. Unfunded Actuarial Liability. Theexcess of theactuarial liabilityovertheactuarial value of assets.

7. Projected Unit Credit Actuarial Cost Method. A cost method under which the projected benefitsof each individual included in an actuarial valuation are allocated by a consistent formula to valuationyears. The actuarial present value of benefits allocated to a valuation year is called the normal cost.The actuarial present value of benefits allocated to all periods prior to a valuation year is called theactuarial liability.

Under this method, the actuarial gains (losses), as they occur, generally reduce (increase) theunfunded actuarial liability.

8. Actuarial Assumptions. Assumptions as to future events affecting pension costs.

9. Actuarial Valuation. The determination, as of the valuation date, of the normal cost, actuarialliability, actuarial value of assets, and related actuarial present values for a pension plan.

10. Vested Benefits. Benefits that are not contingent on an employee's future service.

53

Public School Teacher9' Pension and Retirement Fund of Chicago

55

STATISTICAL SECTION Public School Teachers' Pension and Retirement Fund of Chicago

1997 REVENUE

EMPLOYER

APPLICATIONS

56

SOURCES

INVESTMENT

HEALTH INS. REBATE 1.3%

.6%

.2%

DEATH BENEFITS .2%

ADMIN. & INVEST. EXP. 1.1%

PARTICIPATING MEMBERS SALARY DISTRIBUTION

Avtrage

fllCII Total Attained Yen of

y .. Salaries ($) Salary($) Age SelYic:e

1988 883,715,495 31,364 45.6 15.2

1989 901,274,198 31,939 48.1 15.7

1990 966,896,368 33,290 48.4 15.5

1991 1,090,255,093 35,m 48.4 15.1

1992 1,127,334,634 36,519 48.6 15.1

1993 1,223,533,870 38,718 48.6 15.1

1994 1,162,159,018 37,728 45.6 13.7

1995 1,169,319,610 37,349 45.2 13.0

1996 1,278,738,666 38,957 45.7 13.0

1997 1,362,611,111 40,515 45.7 13.2

LENGTH OF SERVICE

Total Filcal Actlvt Under 1 to4 5to9 101014 1sv ... y .. Member 1Year YNII y.,. YNII andOvw

1988 28,176 1,418 4,561 2,704 4,664 14,829

1989 28,219 1,363 4,406 2,833 3,979 15,638

1990 29,045 2,200 4,380 3,176 3,241 16,048

1991 30,475 2,558 4,968 3,919 2,881 16,349

1992 30,870 2,284 5,an 4,164 2,421 16,324

1993 31,592 2,397 6,356 4,159 2,403 16,2n

1994 30,804 3,517 6,640 4,161 2,357 14,129

1995 31,820 3,150 8,082 4,766 2,598 13,224

1996 32,824 2,982 8,488 5,020 3,154 13,200

1997 33,632 3,037 8,588 5,397 3,366 13,266

NUMBER OF MEMBERS

Fiscal Mlle Ftmalt

Year Particip.,11 Particip.,ta Total

1988 8,138 20,038 28,176

1989 8,027 20,192 28,219

1990 8,187 20,858 29,045

1991 8,503 21,972 30,475

1992 8,466 22,404 30,870

1993 8,549 23,043 31,592

1994 8,089 22,715 30,804

1995 8,248 23,572 31,820

1996 8,400 24,424 32,824

1997 8,501 25,131 33,632

57

Fiscal Year

1988 1989 1990 1991 1992 1993 1994 1995 1996 1997

Fiscal Year

1988 1989 1990 1991 1992 1993 1994 1995 1996 1997

BrATISTICAL SECTION Public School Teachers' Pension and Retirement Fund of Chicago

ANNUITANTS CHANGES IN THE NUMBER OF RECURRING BENEFIT PAYMENTS

Additions Deletions End of Year

Annuity

422 510 464 439 546 426

2,595 1,069

303 268

Disability

28 17 26 31 25 23 13 19 15 22

Annuity

384 408 348 364 336 398 428 426 370 437

Disability

13 23 22 24 20 25 28 23 24 17

Annuity

7,652 7,754 7,870 7,945 8,155 8,183

10,350 10,993 10,926 10,757

Single Sum Payments AVERAGE BENERT PAYMENT AMOUNTS

Recurring Payments

Separation Refunds

6,424 6,751 7,071 7,081 7,263 7,319 7,212 7,834 7,645 8,272

Lump Sum Death Benefit ($)

3,546

3,565 3,692 4,497 4,988 5,049 5,183 5,338 5,141 5,083

Annual Disability ($)

9,247 9,754

10,273 11,030 11,349 11,825 12,051 12,520 12,970 13,649

Annual Retirement ($)

14,001 14,856 15,889 16,887 17,995 19,123 22,368 23,904 24,926 25,851

Disability

298 292 296 303 308 306 291 287 278 283

Trend Tota�$)

33,218 34,926 36,925 39,495 41,595 43,316 46,814 49,596 50,682 52,855

• Averages were calculated from the Annual Statistical Reports, except for lump sum death benefits.

DISTRIBUTION OF CURRENT ANNUITANTS BY PENSION AMOUNT

RETIIEMENT DISABILITY SURVIVOR REVERSIONARY RECl'ROCAL ALL ANNUITES

MONTHLY PENSION AMT. MALES FEMALES MALES FEMALES MALES FEMALES MALES FEMALES MALES FEMALES MALES FEMALES

UNDER $500 79 298 10 28 296 608 13 28 372 652 770 1,614 $500TOUNDER$1,000 151 874 30 58 325 393 1 11 221 249 728 1,585 $1,000TOUNDER$1,500 253 1,219 24 71 104 166 1 6 134 245 516 1,707 $1,SOOTOUNDER$2,000 415 1,493 15 38 15 43 1 4 94 209 540 1,787 $2,000TOUNDER$2,500 484 1,403 6 12 2 14 0 0 72 .199 564 1,628 $2,500 TO UNDER $3,000 622 1,339 1 2 1 5 0 1 75 116 699 1,463 $3,000 TO UNDER $3,500 534 804 0 0 0 2 0 0 22 38 556 844 $3,500 TO liNDER $4,000 210 107 0 0 0 0 0 0 16 13 226 120 $4,000 TO UNDER $4,500 127 102 0 0 0 0 0 0 14 6 141 108 $4,500 TO UNDER $5,000 91 45 0 0 1 0 0 0 7 2 99 47 $5,000 TO UNDER $5,500 40 10 0 0 0 0 0 0 2 1 42 11 $5,500 TO UNDER $6,000 26 6 0 0 0 0 0 0 1 0 27 6 $6,000 TO UNDER $6,500 14 4 0 0 0 0 0 0 0 0 14 4 $6,SOOTOUNDER$7,000 2 2 0 0 0 0 0 0 2 0 4 2 $7,000TOUNDER$7,500 1 1 0 0 0 0 0 0 0 0 1 1 $7,500TOUNDER$8,000 1 0 0 0 0 0 0 0 0 0 1 0 $8,000TOUNDER$8,500 0 0 0 0 0 0 0 0 0 0 0 0 $8,500 TO UNDER $9,000 0 0 0 0 0 0 0 0 1 0 1 0

---- ---- ---- ----

TOTAL 3,050 7,707 86 209 744 1,231 16 50 1,033 1,730 4,929 10,927

58

STATUfflCAL SEC'IICJN Public School Teachers' Pension and Retirement Fund of Chicago

BENEFITS PAID

BENEFIT EXPENSE BY TYPE

Annuities ($) Refunds($)

Fiscal Fiscal

Year Retirement Survivors Disability Year Separation Death Other (1)

1988 119,939,322 4,819,162 2,612,242 1988 3,930,071 2,019,636 TTG,394 1989 130,044,936 5,526,099 2,766,985 1989 4,262,573 2,483,305 1,373,591 1990 141,000,560 6,241,895 2,922,436 1990 3,675,703 2,161,267 1,200,450 1991 152,437,231 6,774,135 3,238,024 1991 3,439,886 2,367,364 1,319,391 1992 166,821,003 7,436,127 3,399,868 1992 4,482,814 2,808,640 1,311,739 1993 191,675,794 8,201,323 3,413,666 1993 3,238,519 2,673,518 1,648,439 1994 268,755,485 9,148,457 3,449,195 1994 3,902,576 2,955,143 9,102,027 1995 303,013,708 10,002,639 3,630,122 1995 5,314,556 3,290,569 1,672,805 1996 314,533,780 11,245,347 3,588,271 1996 4,432,055 3,085,766 1,128,778 1997 324,195,727 12,883,617 3,830,135 1997 5,649,447 3,470,452 1,553,306

Health Ins.

Death Benefits ($) Premium Rebate ($)

Fiscal Heirs of Heirs of Fiscal Grand

Year Active Tea. Ann. Year Amount Total

1988 536,531 1,201,030 1988 2,619,578 138,453,966 1989 580,261 1,345,000 1989 6,858,148 155,240,898 1990 524,925 1,336,000 1990 7,815,376 166,878,612 1991 644,660 1,568,000 1991 8,140,830 179,929,521 1992 780,166 2,103,560 1992 12,928,357 202,072,274 1993 672,832 2,078,833 1993 25,367,192 238,970,116 1994 792,990 2,336,000 1994 21,409,221 321,851,094 1995 799,070 2,676,250 1995 26,003,656 356,403,375 1996 694,809 2,501,083 1996 28,540,558 369,750,447 1997 804,963 2,364,869 1997 22,796,866 377,549,382

(1) Includes excess contributions and retum of contributions for survivor benefits when no survivors exist.

59

25

20

15

10

w

z 5 w

w

0

-5

-10

-15

TOTAL FUND RATE OF RETURN

1988-97

17.70% 16.80%

16.01% 16.23%

2.8%

-10.10%

24.49%

1988 1989 1990 1991 1992 1993 1994 1995 1996 1997

62

liFINVESTMENT SECTION

/1 *

i Public School Teachers' Pension and Retirement Fund of Chicago i.2

INVESTMENT PORTFOLIO ASSET ALLOCATION(MARKET VALUE)

STOCKS58.73%

BONDS32.46% REAL ESTATE

3.24%

CASH &CASHEQUIV.5.57%

Note: 9.4% of market value invested in foreign currency & securities.

63

BONDS: Government Corporate Miscellaneous

TOTAL BONDS

STOCKS

REAL ESTATE

SHORT-TERM

CASH & CASH EQUIV.

TOTAL PORTFOLIO

INVESTMENT PORTFOLIO SUMMARY

(IN MILLIONS OF DOLLARS)

August 31, 1996

Market

Value Additions Disposals

2,016.7 1,640.6 1,891.2 538.9 498.1 317.1 48.6 0.1 12.1

2,604.2 2,138.8 2,220.4

3,685.8 1,125.4 989.8

145.8 100.6 0.8

0.0 296.6 296.6

246.7 199.0*

6,682.5 3,860.4 3,507.6

*Net of cash receipts & disbursements for year ending 8/31/97

•• Net of realized and unrealized gains and losses

64

August 31, 1997

Market Value Market

Adjustments " Value

53.6 1,819.7 17.4 737.3 .1.4 38.0

72.4 2,595.0

873.7 4,695.1

13.4 259.0

0.0 0.0

445.7

959.5. 7,994.8

INVESTMENT SECTION Public School Teachers' Pension and Retirement Fund of Chicago

August 31

1959

1960

1961

1962

1963

.1964

1965

1966

1967

1968

1969

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

COMPARATIVE ANALYSIS

INVESTMENT ASSETS AND YIELDS

INVESTMENT IN BONDS

SEPTEMBER 1, 1959 - AUGUST 31, 1997

Par Value ($)

51,204,248

61,507,248

76,825,248

89,663,748

101,382,500

113,788,500

121,587,770

133,356,692

142,536,235

156,676,589

166,426,333

176,850,040

187,270,529

207,630,761

217,108,128

242,088,745

275,208,499

308,722,152

352,963,485

378,978,430

384,421,300

542,348,526

697,272,626

784,789,776

920,597,656

972,637,768

975,899,026

1,054,479,986

1,339,979,026

1,487,011,423

1,696,472,813

2,006,968,966

2,152,512,079

1,840,674,022

2,004,581,468

1,948,863,801

2,081,975,010

2,608,252,405

2,355,477,188

Market Value ($)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

165,500,000

175,000,000

172,000,000

212,000,000

265,000,000

322,000,000

329,000,000

324,000,000

428,500,000

489,000,000

646,000,000

801,000,000

818,000,000

926,000,000

1,101,000,000

1,118,000,000

1,255,000,000

1,517,486,000

1,800,889,881

2,019,026,302

1,798,456,122

2,007,674,997

1,961,388,352

2,156,444,727

2,604,193,297

2,595,049,259

NIA- Not Available

65

Average Yield(%)

3.42

3.71

3.90

4.22

4.29

4.30

4.33

4.39

4.47

4.68

4.93

6.44

6.76

6.94

7.07

7.48

7.95

8.18

8.04

8.06

8.40

9.50

10.95

12.09

12.20

12.01

11.87

11.25

10.78

10.00

10.20

9.63

7.64

7.10

6.70

7.40

6.80

7.02

6.52

. -- - ---- - --- -- -- - - - - - ----------------------


COMPARATIVE ANALYSIS INVESTMENT ASSETS AND YIELDS (CONTINUED)

August 31

1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997

INVESTMENT IN STOCKS* MAY14, 1964-AUGUST31, 1997

Cost($)

419,529 1,622,530 3,377,343 5,198,701 7,324,496

13,194,933 23,470,199 34,727,593 46,317,605 55,088,695 79,821,625

101,429,443 137,247,123 162,849,550 119,089,781 109,213,120 132,999,699 196,408,551 221,707,759 424,439,842 621,724,653 790,212,674 910,349,902

1,313,251,426 857,059,825 679,137,244

1,143,914,400 1,457,356,534 2,151,226,946 2,236,739,700 2,571,354,776 2,771,364,577 2,726,684,302 2,862,257,684

Market Value ($)

419,178 1,665,048 2,905,978 5,479,112 7,730,802

12,948,139 21,326,506 38,451,156 51,162,195 50,162,751 53,252,761 95,480,746

157,103,226 171,455,910 129,456,176 122,465,859 162,068,961 221,103,199 238,887,045 528,792,404 734,673,049

1,014,840,382 1,395,822,723 1,980,057,396

941,691,073 1,006,057,307 1,091,298,560 1,655,481,619 2,407,441,530 2,910,618,508 3,087,537,990 3,680,803,988 3,685,821,469 4,695,096,170

• Authorized by the 73rd General Assembly, enacted July 1, 1963.

Average Yield(%)"

2.69 3.05 3.29 3.34 3.43 3.14 3.57 3.61 3.54 3.40 3.47 4.02 4.09 4.18 4.73 5.40 5.85 5.85 6.09 5.22 4.66 4.18 4.20 3.68 3.34 3.95 3.55 3.00 2.80 1.90 2.10 2.60 1.51 1.10

" This represents cash yield only. No recognition of unrealized gain or loss is included in this calculation.

66


INVESTMENT IN BONDS As of August 31, 1997

RATINGS INTEREST MATURITY PAR MARKET DESCRIPTION MOODYS S&P RATE(%) DATE VALUE($) VALUE($)

MUNICIPAL, UNITED STATES GOVERNMENT AND AGENCIES

Denver Colo. Cty. & Cnty. Sch. Dist #1 AAA NR 7.250 12-15-18 2,500,000 2,448,450 F.N.M.A., Bonds AAA NR 4.875 10-15-98 2,000,000 1,975,620 F.N.M.A., Bonds AAA NR 4.950 09-30-98 700,000 692,672 F.N.M.A., Bonds AAA NR 6.160 07-13-99 1,000,000 999,370 F.N.M.A., Bonds AAA NR 6.200 11-12-03 1,000,000 970,000 F.N.M.A., Bonds AAA NR 6.200 07-10-03 1,000,000 970,780 F.N.M.A.,Bonds AAA NR 6.375 01-16-02 2,000,000 2,003,120 F.N.M.A., Bonds AAA NR 7.650 03-10-05 1,000,000 1,063,280 F.N.M.A., Bonds AAA NR 8.000 04-13-05 1,000,000 1,009,690 F.N.M.A., Bonds AAA NR 6.250 08-12-03 3,500,000 3,411,415 F.N.M.A., Debs. AAA NR 5.750 12-10-98 2,000,000 1,993,120 F.N.M.A., Debs. AAA NR 6.550 08-10-00 2,000,000 2,000,320 F.N.M.A., Debs. AAA NR 6.900 03-10-04 1,100,000 1,086,767 F.N.M.A., Debs. AAA NR 8.200 03-10-16 1,700,000 1,915,424 F.N.M.A., Debs. AAA NR 8.250 12-18-00 7,900,000 8,311,813 F.N.M.A., Medium Term Notes AAA NR 5.870 10-15-03 1,800,000 1,728,000 F.N.M.A., Medium Term Notes AAA NR 6.280 02-03-04 1,000,000 967,970 F.N.M.A., Medium Term Notes AAA NR 6.380 06-25-03 1,000,000 979,370 F.N.M.A., Medium Term Notes AAA NR 6.810 05-15-00 2,000,000 2,007,820 F.N.M.A., Medium Term Notes AAA NR 7.375 03-28-05 1,000,000 1,044,220 F.N.M.A., Medium Term Notes AAA NR 5.840 03-15-01 2,000,000 1,968,740 F.N.M.A., Medium Term Notes AAA NR 5.840 03-29-99 2,000,000 1,992,820 F.N.M.A., Medium Term Notes AAA NR 6.540 09-08-00 1,000,000 999,220 F.N.M.A., Medium Term Notes AAA NR 6.850 08-22-05 1,200,000 1,218,372 F.N.M.A., Medium Term Notes AAA NR 6.940 04-20-01 2,000,000 2,004,680 F.N.M.A., Medium Term Notes AAA NR 7.060 04-24-02 3,000,000 3,041,250 F.N.M.A., Medium Term Notes AAA NR 7.110 03-20-06 1,800,000 1,797,193 F.N.M.A., Medium Term Notes AAA NR 7.330 04-02-07 3,000,000 3,041,730 F.N.M.A., Medium Term Notes AAA NR 7.580 04-19-06 2,000,000 2,010,620 F.N.M.A., Medium Term Notes AAA NR 8.280 01-10-25 1,100,000 1,268,784 F.N.M.A., Pool #050965 AAA NR 6.500 01-01-24 163,534 158,371 F.N.M.A., Pool #050992 AAA NR 6.500 03-01-24 1,665,060 1,612,495 F.N.M.A., Pool #124257 AAA NR 7.000 03-01-99 1,927,702 1,941,697 F.N.M.A., Pool #124966 AAA NR 6.500 08-01-23 95,148 92,222 F.N.M.A., Pool #124969 AAA NR 6.500 08-01-23 2,571,050 2,491,990 F.N.M.A., Pool #190031 AAA NR 8.000 12-01-19 1,388,144 1,440,366 F.N.M.A., Pool #190240 AAA NR 7.000 09-01-23 7,347,632 7,292,524 F.N.M.A., Pool #190249 AAA NR 6.500 10-01-23 135,704 131,420 F.N.M.A., Pool #190541 AAA NR 7.000 01-01-24 7,642,240 7,577,739 F.N.M.A., Pool #199468 AAA NR 7.000 01-01-08 2,024,891 2,040,908 F.N.M.A., Pool #212519 AAA NR 6.500 06-01-23 97,799 94,792 F.N.M.A., Pool #213744 AAA NR 6.500 09-01-23 1,255,107 1,215,483 F.N.M.A., Pool #213812 AAA NR 6.500 10-01-23 48,474 46,944 F.N.M.A., Pool #229194 AAA NR 6.500 08-01-23 1,074,635 1,041,590 F.N.M.A., Pool #249722 AAA NR 6.500 11-01-23 315,118 305,169 F.N.M.A., Pool #250059 AAA NR 7.000 06-01-24 19,964,685 19,796,183 F.N.M.A., Pool #250375 AAA NR 6.500 09-01-25 267,136 258,536 F.N.M.A., Pool #250553 AAA NR 6.000 05-01-11 4,521,465 4,395,678 F.N.M.A., Pool #250596 AAA NR 7.000 06-01-03 9,248,383 9,319,133 F.N.M.A., Pool #264130 AAA NR 6.500 01-01-24 290,864 281,681 F.N.M.A., Pool #265095 AAA NR 6.500 01-01-24 2,368,376 2,293,606 F.N.M.A., Pool #265374 AAA NR 6.500 12-01-23 255,958 248,087 F.N.M.A., Pool #266212 AAA NR 6.500 01-01-24 338,575 327,886 F.N.M.A., Pool #266253 AAA NR 6.500 01-01-24 76,518 74,103 F.N.M.A., Pool #266938 AAA NR 6.500 01-01-24 3,770,246 3,651,220 F.N.M.A., Pool #266950 AAA NR 6.500 01-01-24 8,180,974 7,922,700 F.N.M.A., Pool #267331 AAA NR 6.500 02-01-24 83,502 80,866 F.N.M.A., Pool #267373 AAA NR 6.500 01-01-24 26,927 26,077 F.N.M.A., Pool #268030 AAA NR 6.500 01-01-24 421,638 408,673

67


RATllGS INTEREST MATURITY PAR MARKET

DESCRIPTION IIOODYS S&P RATE(%) DAT£ VALUE($) VALUE($)

MUNICIPAL, UNITED STATES GOVERNMENT AND AGENCIES (cont'd.)

F.N.M.A., Pool #268322 AAA NR 6.500 01-01-24 34,569 33,477 F.N.M.A., Pool #268331 AAA NR 6.500 01-01-24 720,220 698,074 F.N.M.A., Pool #269753 AAA NR 6.500 04-01-24 425,972 412,524 F.N.M.A., Pool #271005 AAA NR 6.500 01-01-24 39,123 37,888 F.N.M.A., Pool #272094 AAA NR 6.500 02-01-24 811,652 786,028 F.N.M.A., Pool #273285 AAA NR 6.500 02-01-24 41,998 40,672 F.N.M.A., Pool #275207 AAA NR 6.500 03-01-24 427,575 414,076 F.N.M.A., Pool #276207 AAA NR 6.500 04-01-24 30,821 29,848 F.N.M.A., Pool #277035 AAA NR 6.500 04-01-24 1,297,284 1,256,329 F.N.M.A., Pool #277607 AAA NR 6.500 04-01-24 50,824 49,219 F.N.M.A., Pool #278015 AAA NR 6.500 03-01-24 482,675 467.437 F.N.M.A., Pool #279167 AAA NR 6.500 04-01-24 77,319 74,878 F.N.M.A., Pool #279731 AAA NR 6.500 04-01-24 60,131 58,233 F.N.M.A., Pool #280738 AAA NR 7.000 04-01-24 311,765 309,134 F.N.M.A., Pool #280813 AAA NR 7.000 05-01-24 394,791 391,459 F.N.M.A., Pool #281285 AAA NR 7.000 05-01-24 70,667 70,071 F.N.M.A., Pool #281343 AAA NR 7.000 06-01-24 113,339 112,382 F.N.M.A., Pool #281606 AAA NR 7.000 05-01-24 142,393 141,191 F.N.M.A., Pool #281613 AAA NR 7.000 05-01-24 215,985 214,162 F.N.M.A .• Pool #281690 AAA NR 7.000 05-01-24 48,169 47,763 F.N.M.A., Pool #282281 AAA NR 7.000 05-01-24 833,347 826,313 F.N.M.A., Pool #282436 AAA NR 7.000 06-01-24 118,986 117,982 F.N.M.A., Pool #282590 AAA NR 7.000 05-01-24 106,377 105,479 F.N.M.A., Pool #282879 AAA NR 7.000 05-01-24 82,932 82,232 F.N.M.A., Pool #282885 AAA NR 7.000 05-01-24 346,342 343,419 F.N.M.A., Pool #283144 AAA NR 7.000 05-01-24 111,186 110,248 F.N.M.A., Pool #283715 AAA NR 7.000 05-01-24 715,887 709,845 F.N.M.A., Pool #283716 AAA NR 7.000 05-01-24 342,236 339,348 F.N.M.A., Pool #285185 AAA NR 7.000 05-01-24 115,595 114,620 F.N.M.A., Pool #285274 AAA NR 7.000 05-01-24 415,625 412,117 F.N.M.A., Pool #285793 AAA NR 6.500 05-01-24 190,883 184,857 F.N.M.A., Pool #286122 AAA NR 7.000 06-01-24 256,488 254,323 F.N.M.A., Pool #286451 AAA NR 7.000 06-01-24 272,975 270,671 F.N.M.A., Pool #286570 AAA NR 7.000 06-01-24 686,126 680,335 F.N.M.A., Pool #287346 AAA NR 6.500 03-01-24 298,876 289,858 F.N.M.A., Pool #287426 AAA NR 7.000 07-01-24 41,419 41,070 F.N.M.A., Pool #288041 AAA NR 6.500 08-01-24 400,275 387,638 F.N.M.A., Pool #289077 AAA NR 7.000 07-01-24 328,606 325,832 F.N.M.A., Pool #289542 AAA NR 7.000 07-01-24 206,475 204,733 F.N.M.A., Pool #291293 AAA NR 6.500 09-01-24 29,482 28,551 F.N.M.A., Pool #294436 AAA NR 7.000 09-01-24 310,077 307,460 F.N.M.A., Pool #295441 AAA NR 7.000 09-01-24 244,780 242,639 F.N.M.A., Pool #295465 AAA NR 6.500 09-01-24 73,195 70,839 F.N.M.A., Pool #295477 AAA NR 7.000 10-01-24 33,783 33,487 F.N.M.A., Pool #295785 AAA NR 7.000 09-01-24 3,293,675 3,265,876 F.N.M.A., Pool #303108 AAA NR 6.500 09-01-24 412,714 399,684 F.N.M.A., Pool #303197 AAA NR 8.500 03-01-25 2,626,351 2,745,350 F.N.M.A., Pool #303456 AAA NR 6.500 07-01-25 414,072 401,000 F.N.M.A., Pool #303831 AAA NR 6.000 04-01-11 362,470 352,386 F.N.M.A., Pool #312146 AAA NR 7.000 03-01-23 627,143 623,286 F.N.M.A., Pool #312149 AAA NR 7.000 06-01-25 321,008 318,199 F.N.M.A., Pool #312761 AAA NR 6.500 06-01-24 13,798,334 13,374,035 F.N.M.A., Pool #313031 AAA NR 6.834 07-01-03 3,006,407 3,061,515 F.N.M.A., Pool#315079 AAA NR 7.000 08-01-25 434,597 430,794 F.N.M.A., Pool #318357 AAA NR 7.000 07-01-26 385,036 381,667 F.N.M.A., Pool #318792 AAA NR 6.500 08-01-25 514,504 497,942 F.N.M.A., Pool#319236 AAA NR 6.500 11-01-25 241,897 233,430 F.N.M.A., Pool #322413 AAA NR 6.500 09-01-25 280,384 271,358 F.N.M.A., Pool #325003 AAA NR 6.500 10-01-25 172,575 166,535 F.N.M.A., Pool #325332 AAA NR 6.500 12-01-25 296,501 286,123 F.N.M.A., Pool #325450 AAA NR 6.500 10-01-25 69,304 67,073 F.N.M.A., Pool #326084 AAA NR 6.500 10-01-25 202,162 195,654 F.N.M.A., Pool #326129 AAA NR 6.500 09-01-25 312,189 302,139 F.N.M.A., Pool #328116 AAA NR 7.000 01-01-26 369,045 365,930 F.N.M.A., Pool #328325 AAA NR 6.500 07-01-24 1,015,255 984,036

68


RAffiGS INTEREST MATURITY PAR MARKET

DESCRIPTION MOODYS S&P RATE(%) DATE VALUE($) VALUE($)


F.N.M.A., Pool #331039 AAA NR 6.500 12-01-25 221,780 214,018 F.N.M.A., Pool #331700 AAA NR 6.500 02-01-26 4,686,749 4,522,713 F.N.M.A., Pool #332050 AAA NR 6.500 12-01-25 372,399 359,365 F.N.M.A., Pool #332724 AAA NR 6.500 12-01-25 5TT,352 557,145 F.N.M.A., Pool #332912 AAA NR 6.500 12·01·25 371,132 358,142 F.N.M.A., Pool #333397 AAA NR 6.500 01-01-25 6,181,160 5,994,674 F.N.M.A., Pool #335203 AAA NR 6.000 02-01-11 71,131 69,152 F.N.M.A., Pool #337547 AAA NR 6.500 04-01-24 449,414 435,855 F.N.M.A., Pool #338036 AAA NR 6.000 05-01-11 419,967 408,283 F.N.M.A., Pool #338345 AAA NR 6.000 04-01-11 444,921 432,543 F.N.M.A., Pool #338362 AAA NR 6.000 04-01-11 96,309 93,630 F.N.M.A., Pool #340638 AAA NR 6.000 03-01-11 60,039 58,369 F.N.M.A., Pool #340680 AAA NR 6.000 03-01-11 3,144,500 3,057,021 F.N.M.A., Pool #344783 AAA NR 6.000 05-01-11 399,378 388,267 F.N.M.A., Pool #345645 AAA NR 6.000 05-01-11 446,616 434,191 F.N.M.A., Pool #345717 AAA NR 8.000 08-01-26 1,273,125 1,309,715 F.N.M.A., Pool #353989 AAA NR 7.500 08-01-26 3,292,191 3,327,154 F.N.M.A., Pool #355664 AAA NR 7.000 04-01-11 2,523,481 2,543,971 F.N.M.A., Pool #358620 AAA NR 7.000 09-01-26 2,967,139 2,933,758 F.N.M.A., Pool #50929 AAA NR 6.500 11-01-23 273,274 264,647 F.N.M.A., Pool #50946 AAA NR 6.500 12-01-23 1,547,525 1,498,670 F.N.M.A., Pool #50991 AAA NR 6.500 02-01·24 858,630 831,523 F.N.M.A., Pool #73203 AAA NR 6.835 10-01-05 1,921,960 1,927,111 F.N.M.A., Pool #73410 AAA NR 6.500 04-01-03 4,214,810 4,203,008 F.N.M.A., Pool #73464 AAA NR 7.320 05-01-16 1,838,479 1,861,589 F.N.M.A., Remic Tr Ser 1990-108 CL 108-E Gtd. AAA NR 8.500 06-25-19 753,326 764,385 F.N.M.A., Remic Tr Ser 1996-32 Cl PC Gtd Mtg AAA NR 7.000 07-25-16 1,000,000 1,011,560 F.N.M.A., Remic Tr Ser 1997-M6 CL C Gtd Mtg AAA NR 6.850 05-17-20 6,980,000 7,074,858 F.N.M.A., Remic Tr Ser G94·7 CL A GTD AAA NR 7.500 11-17-23 1,461,146 1,483,517 F.N.M.A., Remic Tr Ser X130A Cl NC Gtd Mtg AAA NR 6.500 01-25-23 2,213,143 2,206,216 F.N.M.A.-Global Bond AAA NR 8.500 02-01-05 2,000,000 2,092,180 F.N.M.A.-Global Bond AAA NR 6.300 11-13-00 2,000,000 1,985,000 Fed Home Loan Bnk, Cons. Bonds AAA NR 5.320 11-16-98 1,000,000 990,000 Fed Home Loan Bnk, Cons. Bonds AAA NR 6.160 01-21-04 1,000,000 965,000 Fed Home Loan Bnk, Cons. Bonds AAA NR 6.210 03·29-99 966,184 965,729 Fed Home Loan Bnk, Cons. Bonds AAA NR 7.360 05-04-01 1,000,000 1,007,340 Fed Home Loan Bnk, Cons. Bonds AAA NR 7.360 07-01-04 2,000,000 2,093,440 Fed Home Loan Bnk, Cons. Bonds AAA NR 6.375 05.17.99 2,000,000 1,997,180 Fed Home Loan Bnk, Cons. Bonds AAA NR 6.420 07-27-00 2,000,000 1,999,060 Fed Home Loan Bnk, Cons. Bonds AAA NR 6.355 10-23-01 5,000,000 4,995,300 Fed Home Loan Bnk, Debs. AAA NR 5.580 02-23-01 2,000,000 1,946,240 Fed Home Loan Bnk, Notes AAA NR 7.000 10-30-00 3,000,000 3,014,520 Fed Home Loan Mtg. Corp., #55-5059 AAA NR 7.500 01-01-19 1,318,800 1,351,190 Fed Home Loan Mtg. Corp., Bonds AAA NR 5.740 09-17-03 4,500,000 4,300,290 Fed Home Loan Mtg. Corp., Bonds AAA NR 7.256 09-17-01 2,000,000 2,014,380 Fed Home Loan Mtg. Corp., Debs AAA NR 5.570 02-22-99 1,900,000 1,888,429 Fed Home Loan Mtg. Corp., Debs. AAA NR 6.030 02-12-03 2,300,000 2,235,301 Fed Home Loan Mtg. Corp., Debs. AAA NR 6.500 01-14-00 2,000,000 1,999,060 Fed Home Loan Mtg. Corp., Debs. AAA NR 7.750 11-07-01 975,000 1,022,990 Fed Home Loan Mtg. Corp., Debs. AAA NR 7.900 04-27-05 1,000,000 1,007,340 Fed Home Loan Mtg. Corp., Debs. AAA NR 7.000 05-29-01 250,000 250,860 Fed Home Loan Mtg. Corp., Debs. AAA NR 7.015 09-07-05 1,000,000 997,340 Fed Home Loan Mtg. Corp., Debs. AAA NR 5.780 10-22-03 2,000,000 1,912,820 Fed Home Loan Mtg. Corp., Group #C80252 AAA NR 8.500 01-01-25 3,446,218 3,601,264 Fed Home Loan Mtg. Corp., Group #C80406 AAA NR 6.500 06-01-26 583,638 563,940 Fed Home Loan Mtg. Corp., Group #C80422 AAA NR 6.500 07-01-26 487,289 470,843 Fed Home Loan Mtg. Corp., Group #063830 AAA NR 8.000 08-01-25 2,962,080 3,066,672 Fed Home Loan Mtg. Corp., Group #D6551 O AAA NR 6.500 11-01-25 917,942 886,961 Fed Home Loan Mtg. Corp., Group #D67226 AAA NR 6.500 01-01-26 124,074 119,887 Fed Home Loan Mtg. Corp., Group #D67336 AAA NR 6.500 01-01-26 488,092 471,619 Fed Home Loan Mtg. Corp., Group #D67446 AAA NR 6.500 01-01-26 48,288 46,659 Fed Home Loan Mtg. Corp., Group #D68228 AAA NR 6.500 02-01-26 428,507 414,045 Fed Home Loan Mtg. Corp., Group #D68540 AAA NR 6.500 02-01·26 482,138 465,866 Fed Home Loan Mtg. Corp., Group #D69374 AAA NR 6.500 03-01·26 336,800 325,433 Fed Home Loan Mtg. Corp., Group #D69387 AAA NR 6.500 03-01-26 387,148 374,082

69

INVESTMENT SECTION

Public School Teachers' Pension and Retirement· Fund of Chicago

RATfjGS INTBIEST MATURITY PAR MARKET

DESCRIPTION IIOODYS S&P RATE(%) DATE VALUE($) VALUE($)


Fed Home Loan Mtg. Corp., Group #069579 AAA NR 6.500 03-01-26 491,846 475,246 Fed Home Loan Mtg. Corp., Group #D69626 AAA NR 6.500 04-01-26 100,464 97,073 Fed Home Loan Mtg. Corp., Group #070118 AAA NR 6.500 04-01-26 31,096 30,047 Fed Home Loan Mtg. Corp., Group #070153 AAA NR 6.500 04-01-26 463,007 447,380 Fed Home Loan Mtg. Corp., Group #070295 AAA NR 6.500 04-01-26 2,196,169 2,122,049 Fed Home Loan Mtg. Corp., Group #070315 AAA NR 6.500 04-01-26 435,242 420,553 Fed Home Loan Mtg. Corp., Group #070409 AAA NR 6.500 03-01-26 379,875 367,054 Fed Home Loan Mtg. Corp., Group #070700 AAA NR 7.000 04-01-26 4,191,220 4,150,607 Fed Home Loan Mtg. Corp., Group #071202 AAA NR 6.500 05-01-26 724,601 700,145 Fed Home Loan Mtg. Corp., Group #072442 AAA NR 6.500 06-01-26 141,439 136,665 Fed Home Loan Mtg. Corp., Group #072492 AAA NR 6.500 06-01-26 396 433 383,053 Fed Home Loan Mtg. Corp., Group #073249 AAA NR 7.500 07-01-26 4,862,164 4,921,385 Fed Home Loan Mtg. Corp., Group #073719 AAA NR 8.500 08-01-26 1,442,644 1,506,207 Fed Home Loan Mtg. Corp., Group #G00663 AAA NR 8.000 01-01-27 7,113,497 7,329,107 Fed Home Loan Mtg. Corp., Group #L90219 AAA NR 6.500 06-01-01 4,530,140 4,533,265 Fed Home Loan Mtg. Corp., Group #L90220 AAA NR 7.000 06-01-01 7,659,578 7,731,273 Fed Home Loan Mtg. Corp., Group #M80454 AAA NR 7.500 12-01-03 1,313,507 1,334,024 Fed Home Loan Mtg. Corp., Group #N97285 AAA NR 7.000 12-01-03 1,051,299 1,058,521 Fed Home Loan Mtg. Corp., M-CI. Ser 1784 AAA NR 7.250 03-15-20 3,173,500 3,212,153 Fed Home Loan Mtg. Corp., M-CI. Ser 1935 AD AAA NR 7.000 06-15-21 3,440,000 3,434,034 Fed Home Loan Mtg. Corp., M-CI. Ser 1985 PB AAA NR 6.250 08-17-12 15,000,000 14,948,400 Fed Home Loan Mtg. Corp., M-CI. Ser E0-0282 AAA NR 6.500 03-01-09 20,602,605 20,425,010 Fed Home Loan Mtg. Corp., Notes AAA NR 6.610 03-04-03 1,500,000 1,480,305 Fed Home Loan Mtg. Corp., Notes AAA NR 7.050 05-15-02 1,000,000 1,000,780 Fed Home Loan Mtg. Corp., Notes AAA NR 7.125 07-21-99 2,000,000 2,035,940 Fed Home Loan Mtg. Corp., Notes AAA NR 7.410 05-18-05 2,000,000 1,995,940 Fed Home Loan Mtg. Corp., Sub Cap Debs AAA NR 8.250 06-01-16 1,000,000 1,127,970 FHA Federal Hsg Adm., lnsd Pj #071-32092 AAA NR 7.500 04-01-22 6,376,840 6,719,595 G.N.M.A., Pool #366804 AAA NR 7.000 06-15-24 3,789,530 3,755,197 G.N.M.A., Pool #375987 AAA NR 7.000 01-15-24 4,029,411 3,992,905 G.N.M.A., Pool #384925 AAA NR 8.000 11-15-25 306,638 315,454 G.N.M.A., Pool #393262 AAA NR 8.000 01-01-27 2,804,895 2,883,768 G.N.M.A., Pool #395883 AAA NR 8.000 09-15-25 737,140 758,782 G.N.M.A., Pool #398880 AAA NR 7.500 09-15-11 92,499 94,725 G.N.M.A., Pool #408125 AAA NR 8.000 11-15-25 275,306 283,221 G.N.M.A., Pool #412404 AAA NR 8.000 06-15-26 192,533 197,947 G.N.M.A., Pool #418021 AAA NR 8.000 06-15-26 228,125 234,540 G.N.M.A., Pool #418312 AAA NR 8.000 06-15-26 271,625 279,263 G.N.M.A., Pool #419283 AAA NR 8.000 11-15-25 322,954 332,239 G.N.M.A., Pool #421509 AAA NR 7.500 09-15-11 999,187 1,023,227 G.N.M.A., Pool #421762 AAA NR 7.500 08-15-11 1,700,150 1,741,056 G.N.M.A., Pool #422406 AAA NR 8.000 01-15-26 317,383 326,308 G.N.M.A., Pool #424694 AAA NR 8.000 12-15-25 282,921 291,055 G.N.M.A., Pool #425657 AAA NR 8.000 07-15-26 211,512 217,460 G.N.M.A., Pool #425904 AAA NR 8.500 10-15-26 3,911,390 4,083,726 G.N.M.A., Pool #426424 AAA NR 8.000 07-15-26 866,527 890,893 G.N.M.A., Pool #428490 AAA NR 8.000 06-15-26 327,723 336,93� G.N.M.A., Pool #432741 AAA NR 7.500 07-15-11 727,010 744,502 G.KM.A., Pool #432923 AAA NR 7.500 07-15-11 893,107 914,596 G.N.M.A., Pool #433161 AAA NR 7.500 08-15-11 234,841 240,491 G.N.M.A., Pool #435594 AAA NR 8.000 06-15-26 391,739 402,755 G.N.M.A., Pool #439558 AAA NR 7.500 05-15-27 5,632,554 5,681,839 G.N.M.A., Pool #451321 AAA NR 7.500 07-15-27 1,285,649 1,296,898 G.N.M.A., Pool #9999999 AAA NR 7.500 05-15-25 1,300,000 1,311,375 G.N.M.A., Remic Ser 1994-1 CL PE GTD AAA NR 7.500 07-25-22 3,000,000 3,062,790 Government Trust, CTF Cl 1-D AAA NR 0.000 05-15-09 3,000,000 1,376,850 Intl Bank For Recon & Dev., Bonds AAA NR 7.625 01-19-23 1,000,000 1,082,010 Intl Bank For Recon & Dev., Wash D.C. AAA NR 8.625 10-15-16 1,000,000 1,184,750 Israel States, U.S. Govt. Gld. Notes AAA NR 5.700 02-15-03 31,000,000 29,867,880 MAS Advisory Mortgage, Port!. Mut. Fund NR NR 12,635,242 132,670,038 Private Export Funding, Notes AAA NR 9.450 12-31-99 1,000,000 1,070,250 Resolution Funding Corp., Bonds AAA NR 8.625 01-15-21 2,400,000 2,889,384 Resolution Funding Corp., Bonds AAA NR 9.375 10-15-20 1,800,000 2,320,596 Resolution Funding Corp., Bonds AAA NR 8.625 01-15-30 2,000,000 2,465,000 Resolution Funding Corp., Refco Ser A-2019 AAA NR 8.125 10-15-19 19,840,000 22,673,350

70


RATINGS INTEREST MATURITY PAR MARKET

DESCRIPTION IIOODYS SIP RATE(%) DATE VALUE($) VALUE($)


Resolution Funding Corp., Refco Ser B-2030 AAA NR 8.875 04-15-30 2,300,000 2,911,294 Resolution Funding Corp., Ser A-2020 AAA NR 8.875 07-15-20 36,540,000 44,972,701 Resolution Tr. Corp. Sec. Inc., Ser 92-M3, Cl A-2 AAA NR 8.625 07-25-30 1,978,614 2,010,766 Student Loan Mtg. Association AAA NR 7.300 08-01-12 1,000,000 1,043,280 Tenn. Val. Auth. Pwr., 1992 Ser D AAA NR 8.250 04-15-42 1,200,000 1,343,196 Tenn. Val. Auth. Pwr., 1992 Ser F AAA NR 6.875 08-01-02 2,000,000 2,007,180 Tenn. Val. Auth. Pwr., Bonds AAA NR 8.375 10-01-99 1,500,000 1,564,455 Tenn. Val. Auth. Pwr., Bonds AAA NR 5.980 04-0136 2,250,000 2,260,958 Tenn. Val. Auth. Pwr., Debs AAA NR 7.850 06-15-44 2,000,000 2,067,120 Tenn. Val. Auth. Pwr., Debs AAA NR 6.750 11-01-25 3,000,000 2,927,610 Tenn. Val. Auth. Pwr., Debs AAA NR 6.375 06-15-05 2,000,000 1,974,380 U.S.A. Treasury, Bonds AAA NR 6.000 07-31-02 11,500,000 11,392,130 U.S.A. Treasury, Bonds AAA NR 6.250 08-15-23· 16,850,000 15,923,250 U.S.A. Treasury, Bonds AAA NR 6.625 07-31-01 14,900,000 15,123,500 U.S.A. Treasury, Bonds AAA NR 6.875 08-15-25 6,800,000 6,964,696 U.S.A. Treasury, Bonds AAA NR 7.250 08-15-22 12,200,000 12,993,000 U.S.A. Treasury, Bonds AAA NR 7.625 02-15-25 11,900,000 13,283,375 U.S.A. Treasury, Bonds AAA NR 9.250 02-15-16 4,200,000 5,336,604 U.S.A. Treasury, Bonds AAA NR 6.000 07-31-02 2.500,000 2,476,550 U.S.A. Treasury, Bonds AAA NR 6.250 08-15-23 7,925,000 7,489,125 U.S.A. Treasury, Bonds AAA NR 7.250 08-15-22 212,000 225,780 U.S.A. Treasury, Bonds AAA NR 6.000 02-15-26 4,000,000 3,658,120 U.S.A. Treasury, Bonds AAA NR 10.000 05-15-10 4,900,000 5,931,303 U.S.A. Treasury, Bonds AAA NR 10.375 11-15-12 4,470,000 5,720,885 U.S.A. Treasury, Bonds AAA NR 10.625 08-15-15 1,750,000 2,471,053 U.S.A. Treasury, Bonds AAA NR 10.750 08-15-05 5,000,000 6,338,300 U.S.A. Treasury, Bonds AAA NR 10.750 02-15-03 4,000,000 4,814,360 U.S.A. Treasury, Bonds AAA NR 10.750 05-15-03 1,000,000 1,210,780 U.S.A. Treasury, Bonds AAA NR 11.250 02-15-15 4,210,000 6,205,161 U.S.A. Treasury, Bonds AAA NR 11.625 11-15-04 4,800,000 6,236,256 U.S.A. Treasury, Bonds AAA NR 11.750 11-15-14 1,�00,000 2,568,096 U.S.A. Treasury, Bonds AAA NR 11.875 11-15-03 4,100,000 5,251,854 U.S.A. Treasury, Bonds AAA NR 12.000 05-15-05 1,700,000 2,271,897 U.S.A. Treasury, Bonds AAA NR 12.000 08-15-13 4,300,000 6,099,937 U.S.A. Treasury, Bonds AAA NR 12.375 05-15-04 2,350,000 3,113,750 U.S.A. Treasury, Bonds AAA NR 12.500 08-15-14 2,200,000 3,261,148 U.S.A. Treasury, Bonds AAA NR 13.250 05-15-14 1,000,000 1,537,500 U.S.A. Treasury, Bonds AAA NR 13.750 08-15-04 1,000,000 1,409,840 U.S.A. Treasury, Bonds AAA NR 13.875 05-15-11 1,900,000 2,821,196 U.S.A. Treasury, Bonds AAA NR 14.000 11-15-11 1,000,000 1,513,750 U.S.A. Treasury, Bonds AAA NR 14.250 02-15-02 1,800,000 2,354,34€ U.S.A. Treasury, Bonds AAA NR 7.250 05-15-16 7,400,000 7,853,250 U.S.A. Treasury, Bonds AAA NR 7.500 11-15-24 4,210,000 4,629,695 U.S.A. Treasury, Bonds AAA NR 7.875 02-15-21 4,100,000 4,659,896 U.S.A. Treasury, Bonds AAA NR 8.000 11-15-21 11,300,000 13,025,058 U.S.A. Treasury, Bonds AAA NR 8.125 05-15-21 5,000,000 5,831,250 U.S.A. Treasury, Bonds AAA NR 8.125 08-15-21 5,000,000 5,835,150 U.S.A. Treasury, Bonds AAA NR 8.500 02-15-20 3,700,000 4,466,603 U.S.A. Treasury, Bonds AAA NR 8.750 05-15-17 7,800,000 9,548,916 U.S.A. Treasury, Bonds AAA NR 8.750 11-15-08 2,900,000 3,230,339 U.S.A. Treasury, Bonds AAA NR 8.750 05-15-20 4,400,000 5,442,228 U.S.A. Treasury, Bonds AAA NR 8.750 08-15-20 6,325,000 7,832,121 U.S.A. Treasury, Bonds AAA NR 8.875 08-15-17 5,100,000 6,317,625 U.S.A. Treasury, Bonds AAA NR 9.125 05-15-09 2,700,000 3,083,481 U.S.A. Treasury, Bonds AAA NR 9.375 02-15-06 3,770,000 4,499,269 U.S.A. Treasury, Bonds AAA NR 9.875 11-15-15 6,300,000 8,413,461 U.S.A. Treasury, Bonds AAA NR 9.125 05-15-18 9,000,000 11,430,000 U.S.A. Treasury, Bonds AAA NR 11.750 02-15-10 3,435,000 4,497,171 U.S.A. Treasury, Bonds AAA NR 7.875 02-15-21 3,268,000 3,714,278 U.S.A. Treasury, Bonds AAA NR 8.125 05-15-21 117,000 136,451 U.S.A. Treasury, Bonds AAA NR 9.000 11-15-18 3,431,000 4,318,771 U.S.A. Treasury, Bonds AAA NR 9.125 05-15-18 1,210,000 1,536,700 U.S.A. Treasury, Bonds AAA NR 10.375 11-15-12 10,000,000 12,798,400 U.S.A. Treasury, Bonds AAA NR 12.000 08-15-13 5,000,000 7,092,950 U.S.A. Treasury, Bonds AAA NR 7.125 02-15-23 10,719,000 11,265,026

71

-.Y@f.*·-'~r151mv* · =Z-ES,1'!MI25~35~ .

INVESTMENT SECTIONPublic School Teachers' Pension and Retirement Fund of Chicago .**.3

RATINGS INTEREST MATURITY PAR MARKETDESCRIPTION MOODYS S&P RATE(%) DATE VALUE ($) VALUE ($)


U.S.A. -reasury, Bonds, CV. AM NR 11.250 02-15-15 1,210,000 1,783,431U.S.A. -reasury, Bonds, CV AAA NR 8.125 08-15-19 14,800,000 17,205,000U.S.A. -reasury, Bonds, CV AAA NR 7.500 11-15-16 8,500,000 9,242,390U.S.A. -reasury, Bonds, CV. AAA NR 8.875 02-15-19 8,800,000 10,965,592U.S.A. -reasury, Bonds, CV. AAA NR 7.500 11-15-16 6,470,000 7,035,090U.S.A. -reasury, Bonds, CV. AAA NR 8.125 08-15-19 12,340,000 14,345,250U,S.A. -reasury, Bonds, CV. AM NR 7.500 11-15-16 12,500,000 13,591,750U.S.A. -reasury, Inflation Index NT CV AM NR 3.375 01-15-07 7,950,000 7,896,800U.S.A.-reasury, otes AAA NA 4.750 10-31-98 15,100,000 14,913,666U.S.A.-reasury, otes AAA NR 5.000 01-31-99 14,500,000 14,325,565U.S.A. -reasury, otes AAA NR 5.750 12-31-98 12,500,000 12,484,375U.S.A, -reasury, otes AAA NR 5.875 07-31-99 15,000,000 14,974,200U.S.A. -reasury, otes AAA NR 5.875 10-31-98 6,100,000 6,100,976U.S.A.-reasury, otes AAA NA 5.875 02-15-04 5,700,000 5,573,517U.S.A. -reasury, otes AAA NR 5.875 06-30-00 6,400,000 6,368,000U.S.A. --reasury, otes AM NR 6.000 09-30-98 13,000,000 13,028,470U.S.A. -reasury, otes AAA NR 6.000 06-30-99 4,500,000 4,502,790U.S.A.-reasury, otes AAA NR 6.125 07-31-00 3,300,000 3,303,102U.S.A.-reasury, otes AM NR 6.125 12-31-01 4,000,000 3,985,640U.SA -reasury, otes AAA NR 6.125 08-15-07 3,800,000 3,740,036U.SA-reasury, otes AAA NR 6.250 05-31-00 17,500,000 17,576,475U.S.A.-reasury, otes AM NR 6.250 04-30-01 6,000,000 6,014,040U.SA-reasury, otes AM NR 6.250 10-31-01 15,550,000 15,569,438U.S.A.-reasury, otes AAA NR 6.250 01-31-02 12,000,000 12,009,360U.S.A.-reasury, otes AM NA 6.375 04-30-99 8,000,000 8,053,760U.S.A. -reasury, otes AM NR 6.375 09-30-01 8,000,000 8,047,520U.S.A. -reasury, otes AAA NR 6.500 05-31-01 9,000,000 9,094,230U.S.A. -reasury, otes AAA NR 6.500 05-15-05 5,000,000 5,039,050U.S.A.-reasury, otes AAA NR 6.500 04-30-99 6,400,000 6,456,000U.S.A. -reasury, otes AAA NR 6.500 08-15-05 10,200,000 10,276,500U.S.A. -reasury, otes AAA NR 6.625 06-30-01 6,500,000 6,593,405U.S.A. -reasury, otes AAA NR 6.625 03-31-02 7,000,000 7,105,000U.S.A. -reasury, otes AM NR 6.625 05-15-07 6,000,000 6,103,140U.S.A.-reasury, otes AM NR 6.750 04-30-00 10,000,000 10,160,900U.S.A. -reasury, otes AAA NR 6.750 05-31-99 15,600,000 15,799,836U.S.A. -reasury, otes AAA NR 6.875 07-31-99 3,600,000 3,657,924U.SA -reasury, otes AAA NR 6.875 08-31-99 5,700,000 5,794,392USA -reasury, otes AM NR 6.875 03-31-00 7,300,000 7,439,138USA -reasury, otes AM NR 7.125 02-29-00 10,200,000 10,445,412U.S.A. -reasury, otes AM NR 7.250 05-15-04 5,800,000 6,090,928U.S.A. -reasury, otes AAA NR 7.500 02-15-05 7,085,000 7,556,578U.S.A.-reasury, otes AM NR 7.500 10-31-99 3,700,000 3,809,853USA -reasury, otes AM NR 7.625 11-15-22 4,060,000 4,511,025U.S.A. -reasury, otes AM NR 7.750 01-31-00 5,700,000 5,912,838U .S .A. -reasury, otes AM NR 7.750 12-31 -99 5, 000,000 5, 183,600USA -reasury, otes AM NR 7.875 11-15-04 9,600,000 10,432,512U.S.A.-reasury, otes AM NR 5.750 10-31-00 10,600,000 10,487,322U.S.A.-reasury, otes AM NR 5.875 11-15-05 8,300,000 8,032,823U.S.A.-reasury, otes AAA NR 5.875 03-31-99 8,250,000 8,246,123USA.-reasury, otes AAA NR 6.250 08-31-00 7,400,000 7,428,934U.S.A. -reasury, otes AM NR 6.875 05-15-06 5,700,000 5,873,679U.S.A. -reasury, otes AAA NA 7.875 08-15-01 5,700,000 6,029,517U.S.A. -reasury, otes AAA NR 5.875 02-15-00 6,200,000 6,174,828U.S.A.-reasury, otes AM NR 6.000 06-30-99 7,100,000 7,104,402U.S.A.-reasury, otes AM NR 6.125 09-30-00 2,000,000 2,000,620U.S.A.-reasury, otes AAA NR 6.625 05-15-07 2,000,000 2,034,380USA. -reasury, otes AAA NR 6.875 05-15-06 3,505,000 3,611,797USA -reasury, otes AAA NR 5.625 11-30-98 23,915,000 23,851,386USA -reasury, otes AM NR 5.000 01-31-98 2,245,000 2,239,028U.S.A. -reasury, otes AM NR 5.625 02-15-06 15,400,000 14,630,000U.S.A. -reasury, otes AAA NR 4.750 10-31-98 520,000 513,583U.S.A. -reasury, otes AM NR 7.250 05-15-04 1,900,000 1,995,304U.S.A. -reasury, otes AM NR 6.250 10-31-01 663,000 663,829U.S.A.-reasury, otes AM NR 6.250 05-31-00 10,000,000 10,043,700U,S.A.-reasury, otes AM NR 6.750 04-30-00 4,000,000 4,064,360

72

INVESTMENT SECTION



DESCRIPTION IIOODYS SIP RATE(%) DATE VALUE($) VALUE($)


U.S.A. Treasury, Notes AAA NA 6.875 . 03-31-00 1,000,000 1,019,060 U.S.A. Treasury, Notes AAA NA 7.500 10·31·99 10,000,000 10,296,900 U.S.A. Treasury, Notes AAA NA 5.000 02·15-99 23,400,000 23,111,244 U.S.A. Treasury, Notes AAA NA 5.625 02·28-01 4,400,000 4,328,500 U.S.A. Treasury, Notes AAA NA 6.750 06-30-99 8,750,000 8,866,200 U.S.A. Treasury, Notes (Bonds) AAA NA 5.125 11·30-98 25,125,000 24,909,176 U.S.A. Treasury, Notes, CV AAA NA 6.500 10·15-06 20,750,000 20,879,688 U.S.A. Treasury, Ser A· 1999 Notes AAA NA 8.875 02-15-99 5,500,000 5,724,290 U.S.A. Treasury, Ser A-2000 Notes AAA NA 8.500 02-15-00 2,500,000 2,637,100 U.S.A. Treasury, Ser A-2001 Notes AAA NA 7.750 02·15-01 14,200,000 14,896,652 U.S.A. Treasury, Ser A-2002 Notes AAA NA 7.500 05-15-02 4,700,000 4,940,875 U.S.A. Treasury, Ser A-2003 Notes AAA NA 6.250 02-15-03 8,395,000 8,391,054 U.S.A. Treasury, Ser AE-1998 Notes AAA NA 5.125 12·31·98 28,560,000 28,301,246 U.S.A. Treasury, Ser B, Notes, CV AAA NA 5.750 08·15-03 17,850,000 17,381,438 U.S.A. Treasury, Ser B· 1999 Notes AAA NA 9.125 05-15-99 2,500,000 2,626,175 U.S.A. Treasury, Ser B-2000 Notes AAA NA 8.875 05-15-00 3,300,000 3,528,426

U.S.A. Treasury, Ser B-2001 Notes AAA NA 8.000 05·15-01 6,300,000 6,675,039 U.S.A. Treasury, Ser B-2002 Notes AAA NA 6.375 08·15-02 8,900,000 8,952,866 U.S.A. Treasury, Ser C-1999 Notes AAA NA 8.000 08·15-99 10,300,000 10,676,568 U.S.A. Treasury, Ser C-2000 Notes AAA NA 8.750 08·15-00 4,200,000 4,496,604 U.S.A. Treasury, Ser C-2004 Notes AAA NA 7.250 08-15-04 5,000,000 5,253,100 U.S.A. Treasury, Ser D-1998 Notes AAA NA 8.875 11-15-98 7,200,000 7,447,464 U.S.A. Treasury, Ser D-1999 Notes AAA NA 7.875 11-15-99 9,600,000 9,960,000 U.S.A. Treasury, Ser D-2000 Notes AAA NA 8.500 11-15-00 11,915,000 12,724,863 U.S.A. Treasury, Ser D-2001 Notes AAA NA 7.500 11-15-01 10,100,000 10,570,256 U.S.A. Treasury, Ser E-2000 Notes AAA NA 6.375 01-15-00 2,200,000 2,216,852 U.S.A. Treasury, Ser F· 1999 Notes AAA NA 7.000 04·15-99 3,700,000 3,760,125 U.S.A. Treasury, Ser F-2000 Notes AAA NA 5.500 04-15-00 1,600,000 1,578,256 U.S.A. Treasury, Ser G-1999 Notes AAA NA 6.375 07-15-99 5,500,000 5,538,665 U.S.A. Treasury, Ser H·1998 Notes AAA NA 7.125 10-15-98 2,500,000 2,534,775 U.S.A. Treasury, Ser H-1999 Notes AAA NA 6.000 10·15-99 3,900,000 3,904,251 U.S.A. Treasury, Ser S-1998 Notes AAA NA 4.750 09-30-98 5,000,000 4,947,650 U.S.A. Treasury, Ser S-1999 Notes AAA NA 7.125 09.30,99 5,000,000 5,110,150 U.S.A. Treasury, Ser U-1999 Notes AAA NA 7.750 11-30-99 17,100,000 17,706,537

TOTAL MUNICIPAL, US GOVERNMENT AND AGENCIES 1,626,298,978 1,819,779,397

CORPORATE BONDS

A T & T Corp., Debs. AA3 AA· 8.625 12-01·31 4,650,000 4,944,485 A T & T Corp., Sr. Notes AA3 AA· 7.750 03-01-07 1,000,000 1,064,150 Abbey National, PLC, Tranch #SB 00001 MTN AA3 A+ 6.690 10-17-05 520,000 513,854 Abbey National!, 1st Cap., Bonds AA3 AA· 8.200 10-15-04 3,000,000 3,219,930 Abbott Laboratories, Bonds AA1 AAA 6.800 05-15-05 1,000,000 1,003,380 ABN Am bro Bk. NV. NY Brh, Tranche AA2 AA· 8.250 08-01-09 1,000,000 1,059,560 Advanced Micro Devices, Sr. Seed. Notes BA1 BB- 11.000 08-01-03 350,000 391,125 Aetna Services Inc., Debs. A2 A 7.250 08·15-23 500,000 488,285 Ahmanson H.F.& Co., Notes BAA1 BBB+ 8.250 10-01-02 1,000,000 1,063,840 Air Prods. & Chems. Inc., Sr. Notes A2 A 7.375 05-01-05 1,000,000 1,034,920 AK Steel Corp., Sr. Notes BA2 BB- 9.125 12·15-06 500,000 526,250 Alabama Power Co., Bonds A1 A+ 9.000 12-01-24 1,000,000 1,073,250 Alabama Power Co., Bonds A1 A+ 6.000 03·01-00 950,000 941,545 Alcoa Aluminio, S A, ABS NA BBB 7.500 12-16-08 1,121,662 1,108,067 Allstate Corp., Bonds A2 A+ 6.750 06·15-03 500,000 498,610 ALPS 94·1, Pass Thru Tr Cl A-4, CTF AA2 AA 7.800 09·15-04 660,000 673,834 ALPS 94·1, Pass Thru Tr Cl C-2, CTF BAA2 BBB 9.350 09·15-04 596,956 613,223 American Express Credit A·C Master Ser 1997 • 1 AAA AAA 6.400 04-15-05 7,500,000 7,500,000 American Express Credit Corp., Notes AA3 A+ 6.125 06·15-00 1,000,000 993,670 American Gen. Fin., Corp., Sr. Notes A1 A+ 6.375 03-01-03 1,000,000 978,290 American Gen. Fin., Corp., Sr. Notes A2 A+ 7.450 07-01·02 4,000,000 4,114,520 American General Corp., Bonds A1 AA· 7.750 04-01-05 1,000,000 1,046,980 American Home Prods. Corp., Notes A2 A 6.500 10-15-02 1,000,000 996,720 Amerus Capital I, Ser A, Cap. Sec. BBB- BAA3 8.850 02-01-27 2,500,000 2,623,000 AMR Corp., Bonds BAA3 BBB· 9.750 03-15-00 700,000 751,232

73



DESCRIPTION MOODYS S&P RATE(%) DATE VALUE($) VALUE($)

CORPORATE BONDS (cont'd.)

AMTROL Inc. Sr. Sub. Notes B3 B- 10.625 12-31-06 475,000 498,750 ANR Pipeline Co., Deb. BAA2 BBB 9.625 11-01-21 1,000,000 1,245,220 Anthem Insurance Co., Sr. Note BAA3 BBB+ 9.000 04-01-27 900,000 942,678 Archer Daniels Midland Co., Notes AA2 AA- 6.250 05-15-03 1,000,000 982,280 Arco Chemical Co., Bonds A3 A 9.800 02-01-20 1,000,000 1,262,450 Argentina Republic Par Ser L-GP Bonds( var. rate) B1 BB 5.250 03-31-23 1,375,000 1,008,906 Aristar Inc., Sr. Sub. BAA1 BBB+ 7.500 07-01-99 1,000,000 1,020,260 Arizona Pub. Svc. Co., FM Bonds BAA1 A- 9.000 12-15-21 1,000,000 1,060,810 Armco, Inc., Sr. Notes B2 B+ 9.375 11-01-00 410,000 423,325 Asian Dev. Bk, Sr Unsub Global Bonds AAA AAA 6.125 03-09-04 1,000,000 984,430 Associate Corp. North America, Notes AA3 AA- 6.875 08-01-03 2,500,000 2,515,875 Associate Corp. North America, Notes AA3 AA- 5.960 02-15-37 2,000,000 2,012,680 Associate Corp., Bonds AA3 AA- 7.750 02-15-05 2,000,000 2,128,580 Astor Corp., Ser B, Sr. Notes B3 B- 10.500 10-15-06 350,000 368,375 Atlantic Richfield Co., Notes A2 A 9.875 03-01-16 1,000,000 1,271,550 Baltimore Gas & Electric Co., Bonds A1 AA- 5.500 04-15-04 1,000,000 926,820 Baltimore Gas & Electric Co., FRM Bonds A1 A+ 5.500 07-15-00 145,000 141,475 Banc One Corp., Bonds A1 A+ 7.000 07-15-05 1,000,000 1,008,240 Bank Boston Corp., Bonds BAA1 BBB+ 6.625 12-01-05 1,000,000 974,200 Bank N.Y. Inc., Sub Notes A2 A 6.500 12-01-03 1,000,000 989,740 BankAmerica Corp., Bonds A2 A 9.750 07-01-00 1,000,000 1,083,760 BankAmerica Corp., Bonds A2 A- 8.070 12-31-26 1,200,000 1,215,912 BankAmerica Corp., Sr. Notes AA3 At 6.625 05-30-01 1,825,000 1,829,599 BankAmerica Corp., Sub Notes A2 A 7.125 10-15-11 1,000,000 995,870 BankAmerica, Cap II AA3 A- 8.000 12-15-26 2,000,000 2,028,000 Bankers Trust, NY Corp., Bonds A3 A- 7.250 10-15-11 1,500,000 1,494,510 Banque Nationale De Paris NY, Sub Notes A1 A 7.200 01-15-07 2,200,000 2,211,506 Barclays North Amer. Cap Corp., Gtd. Notes AA3 AA- 9.750 05-15-21 500,000 559,310 Barnett Banks Inc., Bonds A3 BBB+ 8.500 01-15-07 1,000,000 1,098,700 Bass America Inc., Notes A1 A+ 8.125 03-31-02 1,000,000 1,059,170 Bear Stearns Cos., Inc. Notes A2 A 7.000 03-01-07 1,500,000 1,485,615 Bear Steams Cos., Inc., Bonds A2 A 6.625 01-15-04 1,000,000 984,350 Bear Steams Cos., Inc., Bonds A2 A 6.875 10-01-05 1,000,000 988,640 Bear Stearns Cos., Inc., Sr. Notes A2 A 6.750 05-01-01 2,750,000 2,761,660 Becton Dickinson & Co., Bonds A1 A+ 8.700 01-15-25 1,250,000 1,366,263 Bell & Howell Co., Ser B Multi CPN B3 B 11.500 03.01-05 250,000 208,750 Bell Telephone Co., Pa., Bonds AA1 AA 7.700 01-15-23 600,000 604,415 BellSouth Capital Funding, Bonds AA1 AAA 7.120 07-15-2097 225,000 219,269 BellSouth Svgs. & Sec. ESOP Tr., MT Notes AA1 AAA 9.125 07-01-03 966,909 1,025,910 BellSouth Telecommunications Inc., Bonds AAA AAA 6.750 10-15-33 1,000,000 917,730 BellSouth Telecommunications Inc., Bonds AAA AAA 7.625 05-15-35 1,000,000 1,011,340 BellSouth Telecommunications Inc., Debs. AAA AAA 7.875 08-01-32 1,000,000 1,030,000 BellSouth Telecommunications Inc., Notes AAA AAA 6.250 05-15-03 1,000,000 986,460 Benchmarlc Fund, Short-lnterm. Bond CL A N-R N-R 267,602 5,440,340 Berlcley W. R. Corp., Bonds A3 A 8.700 01-01-22 500,000 561,400 Bethlehem Steel Corp., Sr. Notes B1 B+ 10.375 09-01-03 250,000 265,000 BHP Finance U.S.A., Bonds A2 A 8.500 12-01-12 1,000,000 1,113,470 Black Ix Decker Corp., Bonds BAA2 BBB- 6.625 11-15-00 1,000,000 999,610 Boeing Co., Debs. A1 AA+ 7.250 06-15-25 1,000,000 1,013,630 Borden Chems & Plastic, Bonds BA2 BB+ 9.500 05-01-05 150,000 159,000 BP America Inc., Bonds AA2 AA 9.375 11-01-00 1,000,000 1,084,220 Browning Ferris Inds., Inc., MT Notes A3 A 7.875 03-15-05 1,500,000 1,577,475 BT Institutional, Bonds A3 BBB+ 8.090 12-01-26 1,000,000 988,780 Burlington Northern RR Co., Cons. Mtg. Ser H A3 BBB 9.250 10-01-06 1,000,000 1,146,220 Burlington Northern Santa Fe Corp., Bonds BAA2 BBB 7.000 12-15-25 1,500,000 1,417,905 Burlington Resources Inc., Debs. A3 BBB 9.875 06-15-10 1,000,000 1,212,310 BWay Corp., Sr. Sub. Notes B2 B 10250 04-15-07 155,000 168,175 Cablevision Sys. Corp. Sr. Sub. Notes B1 BB- 9.250 11-01-05 250,000 257,500 Cablevision Sys. Corp., Debs. BA2 BB+ 8.125 08-15-09 160,000 159,200 Cabot Safety Corp., Sr. Sub. Notes B3 B 12.500 07-15-05 250,000 273,438 Calmar Inc., Del., Ser. B Sr. Sub. Notes B3 B- 11.500 08-15-05 255,000 275,400 Campbell Soup Co., Debs. AA3 AA- 8.875 05-01-21 1,000,000 1,194,530 Canadian Gov't. Bonds AA2 AA+ 6.750 08-28-06 1,000,000 1,010,650 Canadian Govt., (Global) Debs. AA2 AA+ 6.375 07-21-05 750,000 796,668 Capital Equip. Rec'ble Tr Ser 1996-1 Notes AAA AAA 6.280 06-15-00 7,660,000 7,673,750

74



DESCRIPTION MODDYS S&P RATE(%) DATE VALUE($) VALUE($)


Carnival Corp., Notes � A 7.050 05-15-05 1,000,000 1,008,660 Carolina Power & Light Co., FM Bonds � A 6.750 10-01-02 1,000,000 1,001,130 Carter Holt Harvey Ltd., Sr. Notes, Bonds Bm BBB+ 8.875 12-01-04 1,000,000 1,105,670 Case Corp., Notes BAA1 A- 7.250 01-15-16 1,000,000 982,450 Caterpillar Inc., Bonds � A+ 9.000 04-15-06 1,500,000 1,711,170 Caterpillar Inc., Sr. Notes � A+ 7.375 03-01-2097 830,000 825,485 Central Pwr. & Lt. Co., Bonds � A 6.625 07-01-05 1,000,000 982,230 Chancellor Media, L A Sr. Sub. Notes B3 B- 9.375 10-01-04 250,000 258,750 Chase Credit Card Master Tr Ser 1997-2 CL A AAA AAA 6.300 08-15-00 5,575,000 5,573,885 Chase Manhattan Corp., Sub Debs. A1 A- 7.125 03-01-05 1,000,000 1,016,440 Chase Manhattan Corp., Grantor Tr Ser 1996-B CL A A1 A- 6.610 09-16-02 1,048,180 1,053,745 Chase Manhattan Corp., Sub Notes A1 A- 7.500 02-01-03 1,500,000 1,549,725 Chase Manhattan Corp., Sub Notes A1 A- 10.000 06-15-99 1,000,000 1,060,410 Chevron Cap USA; Inc., Bonds m AA 7.450 08-15-04 1,500,000 1,545,900 Chevy Chase Savings Bank, FSB MD, Sub Debs. B1 B+ 9.250 12-01-08 250,000 248,750 China lnt'I. Tr. & lnvt. Corp., Notes BAA1 BBB 9.000 10-15-06 1,000,000 1,099,650 Chrysler Financial Corp., Notes A3 A 6.625 08-15-00 1,000,000 1,004,670 Chrysler Financial Corp., Notes A3 A 6.950 03-25-02 1,000,000 1,011,430 Cincinnati Gas & Elec. Co., FM Bonds A3 A- 5.800 02-15-99 1,500,000 1,490,550 Circuit City Cr. Card Tr. Ser 1995-A, Cl A AAA AAA 6.375 08-15-05 12,000,000 12,023,062 Circus Circus Enterprises, Inc., Debs. Bm BBB 7.000 11-15-36 1,500,000 1,475,775 CIT Group Holdings Inc., MT Notes AA3 A+ 6.150 12-15-02 4,000,000 3,902,520 CIT Group Holdings Inc., Notes AA3 A+ 5.875 10-15-08 1,000,000 915,400 CIT Group Home Equity Tr., Ser 1997-1 Cl A3 AAA AAA 6.250 09-15-11 625,000 627,344 Citicorp Capital I AA3 A- 7.933 02-15-27 2,000,000 2,015,300 Citicorp, Sr. Notes A1 A+ 5.625 02-15-01 1,500,000 1,460,040 Cijicorp, Sub Notes � A 7.250 10-15-11 1,000,000 1,007,740 Citicorp, Tranche #SB 00088 Sub MT Notes A1 A 6.750 10-15-07 875,000 866,075 Clark Schwebel, Inc. Sr. Notes B2 B 10.500 04-15-06 325,000 350,188 CMS Energy Corp., Sr Notes BA3 BB 8.125 05-15-02 350,000 355,908 CNA Financial Corp., Notes A3 A- 6.250 11-15-03 1,000,000 966,990 Coca Cola Enterprises Inc., Debs. A3 A+ 6.750 09-15-23 500,000 464,590 Coca Cola Enterprises Inc., Notes A3 A+ 8.500 02-01-22 1,000,000 1,122,710 Collins & Aikman Prods. Co., Gtd. Sr. Sub Notes B3 B 11.500 04-15-06 350,000 397,250 Columbia Gas Systems, Inc., Debs. BAA1 BBB+ 6.800 11-28-05 2,000,000 1,977,360 Columbia-HCA Heatlhcare Corp., Bonds � BBB 6.410 06-15-00 1,000,000 988,340 Columbia-HCA Heatlhcare Corp., Bonds � BBB 6.910 06-15-05 1,000,000 976,970 Comcast Cellular, Sr. Notes BA3 BB+ 9.500 05-01-07 150,000 155,250 Comcast Corp., Bonds BA3 BB+ 9.375 05-15-05 150,000 159,750 Comerica Bank, Detroij Mich., Bonds � A- 7.125 12-01-13 1,000,000 973,550 Commercial Credit Group, Inc., Bonds A1 A+ 6.700 08-01-99 1,000,000 1,005,520 Commercial Credij Group, Inc., Notes A1 A+ 9.600 05-15-99 1,000,000 1,051,140 Commonweallh Edison Co., FM Bonds Bm BBB 7.750 07-15-23 1,000,000 982,200 Commonweallh Edison Co., FM Bonds Bm BBB 8.125 01-15-07 900,000 921,465 Conagra Inc., Sr. Notes BAA1 BBB+ 9.875 11-15-05 500,000 587,030 Consolidated Edison Co. NY Inc., Debs. A1 A+ 7.625 03-01-04 1,000,000 1,040,000 Consolidated Natural Gas, Debs. A1 AA- 8.750 06-01-99 1,000,000 1,039,920 Consolidated Natural Gas, Debs. A1 AA- 6.875 10-15-26 2,000,000 2,045,160 Consumer Energy Co., Bonds BAA3 BBB+ 7.375 09-15-23 1,000,000 952,770 Container Corp., Bonds B1 B+ 9.750 04-01-03 500,000 541,250 Contimortgage Home Equity Loan Tr. Ser 1996-3 AAA AAA 7.340 07-15-11 835,000 849,085 Continental Cablevision, Inc., Sr. Notes Bm BBB+ 8.300 05-15-06 2,500,000 2,688,300 CoreStates Capi1al Corp., Bonds � A- 5.875 10-15-03 1,000,000 952,290 CoreStates Capital Corp., Debs. A1 A- 8.000 12-15-26 1,075,000 1,085,643 Cox Communications Inc., 2005 Notes-Bonds Bm A- 6.875 06-15-05 1,000,000 991,230 Cross Timber Oil, Ser B, Sr. Sub notes B2 B 9.250 04-01-07 500,000 512,500 Crown Cork & Seal Inc., Debs-Bonds BAA1 BBB+ 8.000 04-15-23 1,000,000 1,001,660 CWMBS Inc., Ser. 1997-A8 CL A9 GMO NR AAA 7.250 10-25-27 1,650,000 1,644,324 Cyprus Amax Minn. Co., Bonds Bm BBB- 7.375 05-15-07 1,000,000 1,010,470 Dailey Petroleum Svcs. Corp., Sr. Sub Notes B1 B+ 9.750 08-15-07 70,000 71,225 Dayton Hudson Corp., Debs. BAA1 BBB+ 8.500 12-01-22 1,000,000 1,031,030 Dayton Hudson Corp., Debs. BAA1 BBB+ 9.875 07-01-20 1,000,000 1,245,100 Dayton Hudson Corp., Notes BAA1 BBB+ 7.250 09-01-04 1,000,000 1,013,220 Decisionone Corp., Sr. Sub Notes B3 B- 9.750 08-01-07 200,000 204,000 Deere John C�al Corp., Sub Debs. A3 A- 8.625 08-01-19 500,000 532,865

75

INVESTMENT SECTION.MI.£ Public School Teachers' Pension and Retirement Fund of Chicago ~~



Diamond Shamrock Inc., Debs. BAA2 BBB 8.000 04-01-23 1,000,000 989,090Dillard Department Store, Bonds A2 A+ 7.875 01-01-23 500,000 525,445Disney Walt Co., Bonds A2 A 6.375 03-30-01 1,000.000 998,250Disney Walt Co., Bonds A2 A 6.750 03-30-06 1,000,000 996,040Dole Food Co., Inc., Notes BAA3 BBB- 6.750 07-15-00 1,000,000 1,007,500Doman Industries, Ltd., Sr. Notes 81 BB- 8.750 03-15-04 500,000 492,500Dow Capital, B V, Notes Al A 7.375 07-15-02 1,000,000 1,027,440DR Structured Fin. Corp., Ser 1994 K-1 CL A-1 NR BB- 7.600 08-15-07 1,140,218 1,083,105DR Structured Fin. Corp., Ser 1994 K-1 CL A-2 NR BB- 8.375 08-15-15 375,000 338,906Du Pont E.1. De Nemours & Co., Bonds AA3 AA- 8.250 01-15-22 1,500,000 1,570,395Duke Power Co ., Bonds AA2 AA- 7.000 09-01 -05 1 ,200,000 1 ,200,660Duke Power Co., F&RM Bonds AA2 AA· 6.875 08-01-23 750,000 692,228Duquesne Light Co., FCT Bonds BAAl BBB+ 8.750 05-15-22 500,000 532,960Eaton Off Shore Ltd., Bonds A2 A 9.000 02-15-01 1,000,000 1,066,730Edison Mission Energy Funding Corp., Bonds BAAl BBB 7.330 09-15-08 700,000 705,620El Paso Electric Co., Ser D, FM Bonds BA3 BB- 8.900 02-01-06 250,000 266,845Enron Corp., Notes BAA2 BBB+ 7.125 05-15-07 1,000,000 1,007,800Enserch Corp., Bonds BAA2 BBB 7.125 06-15-05 1,200,000 1,207,224EQCC Home Equity Loan Trust ABS AAA AAA 6.700 06-15-08 1,670,000 1,676,263Equitable Life Assum., Notes A2 A 6.950 12-01-05 1,275,000 1,266,891Essex Group, Inc., Sr. Notes 81 BB 10.000 05-01-03 500,000 528,110European Investment Bank, Debs. AAA AAA 8.875 03-01-01 1,000,000 1,078,810Exide Corp., Sr. Notes NR 81 10.000 04-15-05 150,000 159,750Export Import Bank of Korea, Bonds Al 8+ 6.500 02-10-02 2,000,000 1,956,800Fairchild Semicondoctor Corp., Sr. Sub Notes 82 B 10.125 03-15-07 500,000 533,750Falcon Building Prods, Sr. Sub Notes 83 8- 9.500 06-15-07 90,000 91,350Farmers Insurance Exchange, Surp. Notes A2 BBB+ 8.625 05-01-24 950,000 990,603Federal Express Corp., Bonds BAA2 BBB 9.625 10-15-19 1,000,000 1,071,260Federal Mogul Corp., Sr. Notes BA2 BB 8.800 04-15-07 500,000 517,600Fifth Third Bank Cin. Ohio, Bonds Al A+ 6.750 07-15-05 1,000,000 991,450Financial Corp., Debs. N-R Nfl 8.600 09-26-19 600,000 711,282Financial Corp., Notes N-R N-R 9.400 02-08-18 1,000,000 1,269,220Finland Republic, Debs. AAl AA 7.875 07-28-04 1,000,000 1,068,670First Bank Sys. Inc., Bonds A3 A- 7.625 05-01-05 1,000,000 1,043,000First Chicago NBD Corp., Bonds A2 A- 7.950 12-01-26 1,700,000 1,672,154First Finl. Caribbean Corp., Sr. Notes BAA3 BBB- 7.840 10-1006 1,350,000 1,376,109First Interstate Bancorp, Sub. Notes A2 A- 9.125 02-01-04 1,000,000 1,116,250First Nationwide Parents HIdgs. Sr. Notes 83 B 12.500 04-15-03 150,000 169,875First Omni Bank Cr. Card TR Ser 1996-A CL A AM AM 6.650 09·15·03 13,900,000 14,012,868First Union Corp., Notes A2 A- 9.450 08·15-01 1,000,000 1,094,210First Union Corp., Sr. Notes Al A- 6.600 06-15-00 2,000,000 2,012,080First Union Corp., Sub Notes A2 A- 6.550 10-15-35 2,000,000 1,961,620First Union Instl. TA 1, Bonds A2 BBB+ 8.040 12-01-26 1,400,000 1,405,180First USA Credit Card Master Ser 1997-6CLA AAA AAA 6.420 07-17-02 2,500,000 2,494,068Fletcher Capital Canada, Bonds BAA2 BBB 8.250 06-20-16 1,000,000 1,062,960Flores & Rucks, Inc., Sr. Sub Notes 83 8- 9.750 10-01-06 250,000 264,375Florida Power & Light Co., FM Notes AA3 AA- 5.500 07-01-99 1,000,000 988,520Florida Props. & Cas., Notes A3 A- 7.375 07-01-03 425,000 431,205Florida Windstrom, Bonds A3 A- 6.700 08-25-04 1,325,000 1,326,988Fonda Group Inc., Ser 8, Sr. Sub Notes 83 8- 9.500 03-01-07 350,000 336,000Ford Holdings Inc., Bonds Al A 9.250 03-01-00 1,000,000 1,064,350Ford Motor Co., Debs. Al A 9.950 02-15-32 1,000,000 1,315,360Ford Motor Credit Co., Bonds Al A 6.125 01-09-06 2,500,000 2,372,150Ford Motor Credit Co., Bonds Al A 6.375 04-15-00 1,200,000 1,199,148Ford Motor Credit Co., MT Notes Al A 7.500 01-15-03 4,000,000 4.133,400Ford Motor Credit Co., MT Notes Al A 8.200 02-15-02 1,000,000 1,057,500Ford Motor Credit Co., Notes Al A 5.750 01-25-01 4,000,000 3,905,080Ford Motor Credit Co., Notes Al A 6.250 12-08-05 1,100,000 1,052,689Ford Motor Credit Co., Notes Al A 6.750 08-15-08 1,200,000 1,173,612Ford Motor Credit Co., Sr. Unsub Al A+ 7.000 09-25-01 1,755,000 1,780,395Fortune Brands, Inc., Notes A2 A 9.000 06-15-99 1,000,000 1,044,820Freedom Chemical Co., Sr. Sub Notes 83 8- 10.625 10-15-06 100,000 105,000Fruit Of The Loom Inc., Debs. BAA3 BBB- 7.375 11-15-23 1,000,000 941,590GCB Acelex Corp., Bonds 81 88- 9.750 10-01-03 450,000 460,125General Electric Capital Corp., Bonds AM AM 8.850 04-01-05 1,500,000 1,687,530

76



DESCRIPTION IIOODYS SAP RATE(%) DATE VALUE($) VALUE($)


General Electric Capital Corp., Debs. AAA AAA 8.125 05-15-12 3,000,000 3,323,610 General Motors Accep Corp., Bonds A3 A· 9.625 12-15-01 1,200,000 1,331,088 General Motors Accep. Corp., MT Notes A3 A- 8.500 01-01-03 1,000,000 1,077,690 General Motors Accep. Corp., Notes A3 A- 6.750 03-15-03 2,000,000 2,003,960 General Motors Accep. Corp., Sr. Unsub Notes A3 A- 6.750 02-7-02 3,000,000 3,010,650 General Motors Corp., Bonds A3 A- 8.800 03-01-21 1,000,000 1,159,080 General Motors Corp., MT Notes A3 A- 9.125 07-15-01 1,000,000 1,083,950 Genesis Health Ventures, Inc., Sr. Sub Notes 82 8- 9.250 10-01-00 15,000 15,375 Genesis Health Ventures, Inc., Sr. Sub Notes B2 8- 9.750 06-15-05 150,000 156,750 Georgia Pacific Corp., Bonds BAA2 BBB- 9.625 03-15-22 1,000,000 1,097,870 Georgia Pacific Corp., Bonds BAA2 BBB- 8.250 03-01-23 1,000,000 1,024,220 Georgia Power Co., FM Bonds A1 A+ 7.550 08-01-23 1,000,000 995,840 Golden West Finl. Corp., Sub Notes A3 A- 8.375 04-15-02 1,500,000 1,584,630 Grace W A & Co.; Conn., Notes BAA3 BBB 7.400 02-01-00 1,000,000 1,019,540 Grand Met. Investment Corp., Gtd. Debs A2 A+ 9.000 08-15-11 1,000,000 1,172,200 Grand Met. Investment Corp., Zero Coupon A2 A+ 0.000 01-06-04 1,000,000 651,700 Grantte Broadcasting Corp., Sr. Sub Note B3 8- 10.375 05-15-05 100,000 102,750 Great Lakes Power Inc., Notes BAA3 BBB- 9.000 08-01-04 1,000,000 1,075,990 Greyhound Financial Corp., Bonds BAA1 A- 8.500 02-15-99 1,000,000 1,031,240 GS Technologies Oper. Inc., GTD Sr. Notes B2 B 12.250 10-01-05 350,000 386,750 GTE California Inc., Ser A, Debs. A1 AA- 5.625 02-01-01 2,000,000 1,942,160 GTE Corp., Debs. A3 A 7.830 05-01-23 1,000,000 1,000,400 GTE Corp., Debs. A3 A 7.900 02-01-27 1,200,000 1,231,068 GTE Hawaiian Telephone Inc., FM Bonds BAA1 A 6.750 02-15-05 1,000,000 987,290 Hancock John, Ser 144A, Bonds A1 AA- 7.375 02-15-24 1,400,000 1,363,292 Hanna M A Co., Sr. Notes BAA2 BBB 9.000 09-15-98 500,000 513,960 Hanson Overseas, B V Sr. Notes A3 A- 6.750 09-15-05 500,000 493,585 Hayes Wheels lnt'I., Inc., Sr. Sub Notes 83 B 11.000 07-15-06 150,000 165,750 Hayes Wheels lnt'I., Inc., Sr. Sub Notes 83 B 9.125 07-15-07 100,000 101,000 Heinz HJ Co., Notes A1 A+ 6.750 10-15-99 1,000,000 1,010,170 Heller Financial Inc., Notes A2 BBB+ 6.500 05-15-00 1,000,000 1,000,270 Heller Financial Inc., Notes A2 BBB+ 7.000 05-15-02 2,000,000 2,017,780 Hertz Corp., Bonds A3 A- 8.125 03-11-99 1,000,000 1,027,850 Hertz Corp., Sr. Notes A3 A- 7.375 06-15-01 1,700,000 1,736,278 HMH Properties, Inc., Sr. Notes BA3 BB- 8.875 07-15-07 275,000 280,500 Honda Auto Receivable Grantor Tr Ser 97-A AAA AAA 5.850 02-15-03 1,976,170 1,974,637 Honeywell Inc., Notes A2 A 6.750 03-15-02 2,000,000 2,013,560 Household Financial Corp., Bonds A2 A 7.125 09-01-05 1,000,000 1,015,430 Household Financial Corp., Sr. Notes A2 A 6.875 03-01-07 1,000,000 983,250 Household International, Bonds A3 A 6.000 03-15-99 1,000,000 995,810 Household International, Neth B V Bonds A3 A 6.125 03-01-03 2,300,000 2,219,040 Houston Light & Power Corp., FM Bonds A3 A- 7.750 03-15-23 1,000,000 987,350 Howmet Corp., Del., Sr. Sub Notes 82 B 10.000 12-01-03 245,000 264,600 Huntsman Corp., Sr. Sub Notes BA B+ 9.500 07-01-07 170,000 177,650 Huntsman Corp., Sr. Sub Notes (Var. Rate) 82 B+ 07-01-07 75,000 77,438 Huntsman Polymers Corp., Sr. Notes B1 BB- 11.750 12-01-04 500,000 572,500 Hydro-Quebec, Bonds A2 A+ 8.400 01-15-22 1,500,000 1,656,540 Hydro-Quebec, Debs. A2 A+ 8.500 12-01-29 1,000,000 1,121,670 Hydro-Quebec, Debs. A2 A+ 8.875 03-01-26 1,500,000 1,707,495 Hyundai Semicon., Sr. Notes BAA3 BBB- 8.625 05-15-07 690,000 703,214 ICI North America, Inc., Debs. A2 A- 8.875 11-15-06 1,000,000 1,133,350 ICIFC Seed. Asst. Corp., Ser 1997-2 CL A18 Mtg. NA AAA 8.000 07-25-28 124,385 128,117 IES Utilities, Debs. A3 A- 6.625 08-01-09 238,000 231,962 Illinois Power Co., New Mtg. Bonds BAA1 BBB 8.000 02-15-23 1,000,000 1,017,450 ln'I. Wire Group, Inc., Ser B, Sr. Sub Notes 83 8- 11.750 06-01-05 305,000 333,640 Inter. American Dev. Bank, Bonds AAA AAA 7.125 03-15-23 1,000,000 970,530 Inter. American Dev. Bank, Bonds AAA AAA 8.875 06-01-09 500,000 586,875 International Business Mach. Corp., Bonds A1 A 6.375 06-15-00 4,100,000 4,105,125 International Business Mach. Corp., Debs A1 A 7.000 10-30-25 1,100,000 1,044,208 International Business Mach. Corp., Debs. A1 A 7.500 06-15-13 1,000,000 1,041,710 International Business Mach. Corp., Debs. A1 A 6.220 08-01-27 3,259,000 3,203,760 International Lease Financial Corp., Notes A2 A+ 6.875 05-01-01 2,500,000 2,527,850 International Paper Co., Bonds A3 A- 6.875 11-01-23 1,500,000 1,393,845 ITT Corp., Notes BAA1 BBB 6.750 11-15-05 1,000,000 981,990 ITT Hartford Group Inc., Notes A2 A 8.300 12-01-01 1,000,000 1,055,600

77

INVESTMENT SECTION Public School Teachers' Pension and Ret.irement. Fund of Chicago

RATINGS INTBIEST MATURITY PAR IIARKET

DESCRIPTION IIOODYS SlP RATE(%) DATE VALUE($) VALUE($)

CORPORATE BONDS {cont'd.)

Jacor Communications Co., Gld. Notes B2 B 8.750 06-15-07 100,000 100,500 Jacor Communications Co., Sr. Sub Notes B2 B 9.750 12-15-06 145,000 152,250 James River Corp., Debs. BAA3 BBB- 7.750 11-15-23 1,000,000 1,008,250 Johnstown American Inds., Sr. Sub Notes B3 B 11.750 08-15-05 150,000 157,500 JP Morgan & Co., Inc., Bonds AA3 AA 7.625 11-15-98 1,000,000 1,018,180 JP Morgan Capital Trust I AA2 AA- 7.540 01-15-27 2,430,000 2,353,066 K & F Industries Inc., Ser B, Sr. Sub Notes B2 B 10.375 09-01-04 250,000 268,750 Kauhnan & Broad Home Corp., Sr. Sub Notes BA3 B+ 9.625 11-15-06 150,000 156,000 Key Plastics, Ser B, Sr. Sub Notes B3 B- 10250 03-15-07 500,000 520,000 KeyCorp., Sub Notes A2 BBB+ 8.000 07-01-04 1,000,000 1,048,380 KFW International Fin. Inc., Gtd. Notes AAA AAA 8.850 06-15-99 1,000,000 1,044,600 Korea Development Bank, Global Bonds A1 B+ 7.250 05-15-06 1,500,000 1,470,450 Korea Electric Power, Debs. A1 B+ 6.000 12-01-01 2,000,000 1,968,980 Korea T etecommunications , Notes A1 AA- 7.625 04-15-07 2,000,000 1,997,620 Kroger Company, Sr. Notes BAA3 BBB- 7.650 04-15-07 2,000,000 2,076,780 Laidlaw, Inc., Bonds BAA2 BBB+ 8.750 04-15-25 1,500,000 1,706,865 L.asmo {U.SA.) Inc., Notes BAA2 BBB 7.125 06-01-03 500,000 507,755 LDM Technologies, Inc., Ser B, Sr. Sub Notes 83 B- 10.750 01-15-07 250,000 266,875 Lear Corp., Sub Notes BA3 BB+ 9.500 07-15-06 250,000 272,500 Lehman Brothers Hldgs., Inc., Bonds BAA1 A 7.625 07-15-99 600,000 612,234 Lehman Brothers Hldgs., Inc., Bonds BAA1 A 8.750 05-15-02 1,860,000 1,994,032 Lehman Brothers Hldgs .• Inc., Sr. MT Notes BAA1 A 8.750 03-15-05 1,000,000 1,091,240 Lehman Brothers. Inc., Bonds BAA1 A 7.250 04-15-03 4,000,000 4,049,760 Liberty Property Lid. Partner, Sr. Notes BAA3 BBB- 7.250 08-15-07 2,500,000 2,487,575 Lilly Eli & Co., Bonds AA3 AA 8.125 12-01-01 1,000,000 1,059,410 Limijed, Inc., Bonds BAA2 BBB+ 8.875 08-15-99 1,000,000 1,036,560 Lockheed Corp., Bonds A3 BBB+ 7.875 03-15-23 1,000,000 1,007,670 Lockheed Martin Corp., Debs. A3 BBB+ 7.650 05-01-16 1,000,000 1,039,790 Loews Corp., Sr. Notes A1 AA- 7.000 10-15-23 500,000 458,440 Long Beach Accep., Ser 97-2 CL A, Bonds AAA AAA 6.690 09-25-04 850,000 850,000 Loral Corp., Sr. Debs. A3 BBB+ 9.125 02-01-22 1,000,000 1,196,680 Louisiana Power & Light Co., FM Bonds BAA2 BBB 6.000 03-01-00 500,000 492,510 Lowe's Companies, Inc., Tranche Tr 33 Ser B MTN A2 A 7.110 05-15-37 2,500,000 2,583,000 Marcus Cable Co., Sr. Sub Gtd. Notes B3 B 13.500 08-01-04 350,000 310,625 Martin Marietta Corp., Bonds A3 BBB+ 6.500 04-15-03 1,000,000 989,940 MAS Advisory Foreign Fixed Income Portfolio AA1 AAA 240,352 2,434,760 Masco Corp., Notes A3 BBB+ 6.625 09-15-99 500,000 502,055 May Department Stores Co., Debs. A2 A 7.600 06-01-25 2,500,000 2,559,550 McDermott J Ray SA, Sr. Sub Notes B1 BB- 9.375 07-15-06 255,000 264,563 McDonalds Corp., Bonds AA2 AA 8.875 04-01-11 1,000,000 1,177,950 McDonnel Douglas Corp., Notes BAA1 AA+ 9.250 04-01-02 1,000,000 1,102,580 MCI Communications Corp., Debs. A2 A 7.750 03-15-24 1,000,000 1,017,420 Mellon Bank Ca¢al I, Bonds A2 BBB+ 7.720 12-01-26 2,000,000 1,953,160 Mellon Financial Co., Sub Notes A3 A- 9.750 06-15-01 1,000,000 1,101,880 Merrill Lynch & Co., Inc., Bonds AA3 AA- 6.250 01-15-06 500,000 478,920 Merrill Lynch & Co., Inc., Bonds AA3 AA- 8.000 02-01-02 1,000,000 1,049,890 Merrill Lynch & Co., Inc., Notes AA3 AA- 6.500 04-01-01 1,000,000 998,500 Merrill Lynch Mtg. lnvs., Ser 1995-C2 CL-A Var. Rt AAA AAA 7.436 06-15-21 4,871,054 4,951,377 Met Life Inc., Surp Notes A1 AA 7.450 11-01-23 950,000 905,398 Metris Master Trust, Ser 1997-1 CL A AAA AAA 6.870 10-20-05 7,200,000 7,294,464 Mettler Toledo Inc., Gtd. Notes B2 B 9.750 10-01-06 350,000 369,250 Midland American Capital Corp .. Gtd. Notes A1 A 12.750 11-15-03 500,000 536,435 Mobil Corp., Debs. AA2 AA 8.000 08-12-32 1,300,000 1,352,442 Money Market Store Inc., Bonds AAA AAA 6.565 04-15-12 10,000,000 10,040,600 Moog Inc., Ser B Sr. Sub Notes B2 B 10.000 05-01-06 175,000 183,750 Morgan Stanley Group, Debs. A1 A+ 7.500 02-01-24 750,000 731,760 Motorola Inc., Bonds AA3 AA 8.400 08-15-31 1,000,000 1,173,890 Motorola Inc., Bonds AA3 AA 6.500 09-01-25 2,500,000 2,493,725 Mountain States Tel. & Tel. Co., Bonds AA3 A 9.500 05-01-00 550,000 590,937 Muzak L P Capital, Sr. Notes BA3 B+ 10.000 10-01-03 500,000 522,500 Nabisco, Inc., Notes BAA2 BBB 6.850 06-15-05 1,000,000 987,400 National Arctives Faes. Tr. AAA AAA 8.500 09-01-09 2,868,376 3,287,044 National Power Corp., Gtd Bonds BA1 BB+ 7.875 12-15-06 1,400,000 1,346,940 National Rural Utilities Coop. Fin. Corp., Notes AA3 AA 9.000 09-01-21 1,000,000 1,079,370 National Westminister Bank, Bonds AA3 AA- 9.450 05-01-01 1,000,000 1,092,770

78



DESCRIPTION IIOODYS S&P RATE(%) DATE VALUE($) VALUE($)


NationsBank Corp., Bonds A2. A 7.625 04-15-05 1,500,000 1,561,545 NationsBank Corp., Sr. Notes A1 A+ 7.000 05-15-03 1,500,000 1,521,810 NationsBank Corp., Sub Notes A2. A 6.875 02-15-05 1,000,000 997,320 NationsBank Corp., Sub Notes A2. A 6.500 08-15-03 959,000 944,557 Nationswide Mutual Life, Notes A1 A+ 7.500 02-15-24 900,000 867,366 Navistar Financial Corp., Ser B. Sr. Sub Notes B1 B+ 9.000 06-01-02 150,000 150,000 Neenah Corp., Sr. Sub Notes B3 B- 11.125 05-01-07 250,000 265,625 New American Holdings Inc., Notes BAA3 BBB- 9.250 02-01-13 1,000,000 1,120,370 New Yor1c Life Ins. Co., Surp Notes AA2. AA 7.500 12-15-23 975,000 941,879 NewYor1cTelephone Co., Debs. A2. A+ 8.625 11-15-10 1,000,000 1,135,480 New Yor1c Telephone Co .• Notes A2. A+ 5.875 09-01-03 1,000,000 957,870 New Yor1c nmes Co., Bonds A1 A+ 6.500 03-01-05 2,000,000 1,962,840 New Yor1c nmes Co., Bonds A1 A+ 7.625 03-15-05 1,000,000 1,047,920 New Zealand Gov't., Bonds AA1 AA+ 10.625 11-15-05 1,000,000 1,250,010 News American Holdings, Inc., Bonds BAA3 BBB- 8.500 02-15-05 1,500,000 1,604,505 News American Holdings, Inc .• Bonds BAA3 BBB 8.875 04-26-23 690,000 754,052 News American Holdings, Inc., Sr. Debs. BAA3 BBB- 7.750 01-20-24 1,415,000 1,366,352 Noranda, Debs. BAA2. BBB 8.125 06-15-04 1,000,000 1,053,420 Norfolk Southern Corp., Bonds BAA1 BBB+ 7.700 05-15-17 2,000,000 2,077,200 Norfolk Southern Corp., Notes A1 BBB+ 9.000 03-01-21 1,000,000 1,171,220 Northern Illinois Gas Co., FM Bonds AA1 AA 6.450 08-01-01 2,000,000 1,997,760 Northern Telecommunications. Ltd., Notes A2. A 6.875 09-01-23 1,000,000 939,470 Norwest Corp., Bonds AA3 AA- 8.150 11-01-01 500,000 529,250 Norwest Corp., MT Notes AA3 AA- 6.800 05-12-02 500,000 503,070 Norwest Corp., Sr. MT Notes AA3 AA- 6.250 03-15-01 1,500,000 1,490,445 Norwest Financial Inc., Notes AA3 AA- 6.875 06-15-00 1,000,000 1,012,200 NS Group, Inc., Sr. Secured Notes 63 B- 13.500 07-15-03 135,000 155,925 Occidental Petroleum Corp., Bonds BAA2. BBB 10.125 09-15-09 1,000,000 1,240,040 Oklahoma Gas & Electric Co., Sr. Notes AA3 AA 6.650 07-15-27 2,720,000 2,717,688 Olympic Automobile, Ser 1996-A AAA AAA 5.850 03-15-99 9,000,000 8,997,571 Olympic Financial Ltd., Sr. Notes B2 BB- 11.500 03-15-07 150 150,000 Ontario (Province oQ. Bonds AA3 AA- 6.000 02-21-06 2,000,000 1,904,320 Onyx Accep Grant or Trust, Ser 1996-3 CL A AAA AAA 6.450 12-15-02 1,683,160 1,688,933 Owens & Minor, Inc., Sr. Sub Notes 61 B+ 10.875 06-01-0S 350,000 381,500 Pacific Bell, Bonds A1 AA- 7.125 03-15-26 3,000,000 2,963,730 Pacific Bell, Debs. A1 AA- 7.375 06-15-25 1,000,000 979,320 Pacific Gas & Electric Co., F&RM Bonds A1 AA- 5.875 10-01-05 1,000,000 943.740 Packard Bioscience, Inc., Ser B Sr. Sub Notes 63 B- 9.375 03-01-07 500,000 505,000 Paine Webber Group Inc., Sr. Notes BAA1 BBB+ 8.875 03-15-05 1,000,000 1,096,590 Paiton Energy Funding, B V, Sr. Seed. Bonds BAA3 BBB- 9.340 02-15-14 850,000 915,968 Panhandle Eastern Corp., Bonds BAA2. A 7.250 05-15-05 1,000,000 1,021,640 Paramount Communications, Inc., Bonds BA2. BB+ 8.250 08-01-22 1,500,000 1,452,990 Penney (J. C.) Inc., Bonds A2. A 5.375 11-15-98 1,000,000 991,210 Penney (J. C.) Inc., Bonds A2. A 7.625 03-01-2097 3,250,000 3,262,675 Penney (J. C.) Inc., Debs A2. A 7.400 04-01-37 1,600,000 1,678,095 Pennsylvania Pwr. & Light Co., FM Bonds A3 A- 7.750 05-01-02 1,000,000 1,043,220 Penske Truck Leasing Co .• Sr. Notes AAA AAA 7.750 05-15-99 1,000,000 1,024,670 Penzoil Co., Debs. BAA3 BBB 10.125 11-15-09 1,000,000 1,237,320 Peoples Republic of China, Bonds A3 BBB+ 7.750 07-05-06 1,000,000 1,041,930 PepsiCo, Inc., Notes A1 A 7.625 12-18-98 1,000,000 1,018,910 Petro-Canada, Inc., Bonds A3 BBB+ 8.600 10-15-01 1,000,000 1,064,800 Petrozuata Finance Inc., Ser B, Bonds BAA1 BBB 8.220 04-01-17 1,115,000 1,151,327 Philadelphia Electric Co., F&RM Bonds BAA1 BBB+ 5.625 11-01-01 1,000,000 964,400 Philadelphia Electric Co., F&RM Bonds BAA1 BBB+ 7.250 11-01-24 900,000 854,748 Philip Morris Cos., Inc., Bonds A2. A 9.000 01-01-01 1,000,000 1,066,640 Philip Morris Cos., Inc., Bonds A2. A 7.125 10-01-04 2,000,000 2,003,980 Philip Morris Cos., Inc., Bonds A2. A 9.250 02-15-00 1,000,000 1,059,700 Philip Morris Cos., Inc., Notes A2. A 7.200 02-01-07 2,000,000 1,994,320 Philip Morris Cos .• Inc., Notes A2. A 8.750 06-01-01 1,000,000 1,062,980 Philip Morris Cos., Inc., Notes A2 A 7.500 01-15-02 2,000,000 2,044,800 Philips Electric, N.V., Debs. A3 BBB+ 7.750 05-15-25 1,000,000 1,010,940 Phillips Petroleum Co., Bonds A3 A- 9.375 02-15-11 1,000,000 1,191,020 Pierce Leahy Corp., Sr. Sub Notes 63 B- 9.125 07-15-07 200,000 208,000 Pioneer Amers. Acqstn. Corp., Sr. Notes 61 B+ 9.250 06-15-07 250,000 246,875 Plains Resources, Inc., Ser B, Sr. Sub Notes B2 B 10.250 03-15-06 500,000 532,500

79

INVESTMENT SECTION.·, s: .··.. Public School Teachers' Pension and Retirement Fund of Chicago „il



Pim Theaters, Inc., Sr. Sub Notes 83 8- 10.875 05-15-04 100,000 106,000PNC Institutional Capital Trust, Bonds A2 BBB+ 7.950 12-15-26 1,200,000 1,189,632PNC Funding Corp., Sub Notes A3 BBB+ 6.125 09-01-03 1,000,000 962,890PNC Student Loan Trust 1, Ser 1997-2 CL A2 AAA AAA 6.138 01-25·00 3,135,000 3,135,377Pohang Iron & Steel Co., Notes A2 8+ 7.125 07-15-04 2,000,000 1,935,460Polaroid Corp., Notes BAA3 BBB 8.000 03-15-99 1,000,000 1,024,040Premier Auto Trust, Ser 1997-2 Cl A4 Notes AAA AAA 6.250 06-06-01 2,050,000 2,051,599Pride Petroleum Services, Inc., Sr. Notes BA3 BB- 9.375 05-01-07 100,000 105,000Prime Property Fundingll Inc., Notes AA3 A 7.000 08-15-04 935,000 932,214Procter & Gamble Co., Debi A2 AA 6.450 01-15-26 1,000,000 920,300Procter & Gamble Co., Notes A2 AA 8.000 11-15-03 1,000,000 1,067,960Public Service Elec. & Gas Co., Bonds A3 A- 7.500 03-01-23 495,000 474,453Quebec Prov., Canada, Tranche Tr., MT Notes A2 A+ 6.890 04-15-26 2,000,000 1,998,420Quorum Health Group, Inc., Sr. Sub Notes BA3 BB- 8.750 11-01-05 100,000 103,750Railcar Tr., Ser 1992, Bonds AAA AAA 7.750 06-01-04 13,644,467 14,201,387Ralston Purina Co., Bonds BAAl A- 9.250 10-15-09 1,000,000 1,164,540RAS Laffan Gas, Bonds A3 BBB+ 8.294 03-15-14 1,450,000 1,555,125Raytheon Co., Bonds BAAl BBB 6.500 07-15-05 1,000,000 974,700Repsol International Finance, B V Bonds AA3 AA- 7.000 08-01-05 500,000 507,195Republic NY Corp,, Sub. Notes Al AA- 7.750 05-15-09 1,000,000 1,059,840Republic of Columbia, Yankee Notes BAA3 BBB- 8.700 02-15-16 645,000 669,387Rifkin Acqstn. Partner, LLLP, Sr. Sub Notes 83 8- 11.125 01-15-06 150,000 161,250RJR Nabisco Inc., Bonds BAA3 BBB- 8.625 12-01-02 1,000,000 1,042,500RJR Nabisco Inc., Notes BAA3 BBB- 9.250 08-15-13 1,150,000 1,216,666Rockwell International Corp. Notes Al AA 6.625 06-01-05 1,000,000 995,940Roller Bearing Co. Amer., Gtd. Sr Sub Notes 83 8- 9.625 06-15-07 155,000 158,100Royal Caribbean Cruises, Notes BAA3 BBB- 8.250 04-01-05 1,000,000 1,059,170S D Warren, Ser B, Sr. Sub Notes 81 8+ 12.000 12-15-04 350,000 392,875Salomon Mtg Sec VII Ser 1996-LB2, CL A-3 AAA AM 6.875 10-25-26 5,900,000 5,934,018Salomon Mtg Sec VII Ser 19974.82, CLA-3 AM MA 7.200 04-25-27 4,575,000 4,637,129Salomon, Inc., Bonds A2 A 7.750 05-15-00 1,000,000 1,029,730Salomon, Inc., Notes A2 A 6.750 02-15-03 1,000,000 986,310Santander Fncl. Issuances Ltd, Gtd. Sub Notes Al A+ 6.375 02-15-11 1,000,000 927,950Seagram Joseph E. & Sons, Inc., Debs. A2 A 6.500 04-01-03 1,000,000 985,030Sears Credit A/C Master Tr. 11, Ser 1995-5 AM AAA 6.050 01-15-08 1,500,000 1,466,250Sears Credit A/C Master Tr. 11. Ser 1996-1 AAA AAA 6.200 02-15-06 8,260,000 8,210,936Sears Credit A/C Master Tr. 11, Ser 1996-2 AM AM 6.500 10-15-03 5,000,000 5,032,800Sears Roebuck & Co., Bonds A2 A- 9.375 11-01-11 1,000,000 1,195,850Sears Roebuck & Co., MT Notes A2 A- 6.240 08-03-99 700,000 698,859Sears Roebuck Acceptance Corp., MT Notes A2 A- 6.150 11-15-05 2,000,000 1,982,500Security-Connecticut Corp., MT Notes A3 A- 7.125 03-01-03 1,550,000 1,568,600Silgan Holdings, Inc., Sr. Sub Notes 81 8 9.000 06-01-09 500,000 507,500SK Telecomunications Co., Ltd., Notes Al A+ 7.750 04-25-04 2,500,000 2,516,975Smith Barney Holdings. Inc., New Bonds A2 A 7.980 03-01-00 500,000 517,535Smithkline Beecham Corp., MT Notes AA3 AA- 7.375 04-15-05 500,000 518,595South Carolina Elec. & Gas Co., Bonds Al A 7.625 04-01-25 1,500,000 1,581,090Southbury Finance Corp., Ser A, Notes BAAl N-R 7.750 04-01-99 500,000 505,715Southern California Edison Co., Bonds Al A+ 6.750 01-15-00 900,000 905,139Southern California Edison Co., Bonds Al A+ 7.500 04-15-99 1,000,000 1,019,490Southland Corp., st Priority Sr. Sub Debs. BA3 BB+ 5.000 12-15-03 835,000 707,663Southwestern Bell Tel. Co., Notes AA3 AA 5.750 09-01-04 1,000,000 943,000Sovereign Specialty Chem., Sr. Sub Notes 83 B- 9.500 08-01-07 75,000 75,000Standard Pacific Corp., Sr. Notes BA2 88 8.500 06-15-07 230,000 232,300State Street Bank, Bonds A2 A 7.940 12-30-26 950,000 956,830State Street Instjt, Bonds A2 A 8.035 03-15-27 175,000 177,277Sun Media Corp., Sr. Sub Notes 83 8- 9.500 02-15-07 350,000 360,500Suntrust Banks Inc., Notes Al A+ 7.375 07-01-02 1,000,000 1,030,550Suntrust Capitalll, Bonds Al A- 7.900 06-15-27 3,735,000 3,781,613Supervalu Inc., Notes BAAl BBB+ 7.800 11-15·02 1,000,000 1,042,060Team Fleet Financing Corp., Notes AA3 A- 7.350 05-15-03 1,200,000 1,232,760Tele-Communications Inc., Debs. BAl BBB- 9.250 01-15-23 600,000 627,408Tele-Communications Inc., Notes BAl BBB- 9.250 04-15-02 2,750,000 2,976,298Tele-Communications Inc., Sr. Notes BAl BBB- 8.750 02-15-23 975,000 978,354Teleport Communications Group., Sr. Disc. Notes 81 8 0.000 07-01-01 1,295,000 964,775Tembec, Inc., Bonds 81 88 9.875 09-30-05 350,000 366,625

80


RATIIGS IN'TBIEST MATURITY PAR MARKET

DESCRIPTION IIOODYS SlP RATE(%) DATE VALUE($) VALUE($)


Temple Inland Inc., Bonds f.2. A- 9.000 05-01-01 1,000,000 1,076,000 Tenneco Inc., Notes BAA1 BBB 8.075 10-01-02 1,000,000 1,055,110 Terra Industries, Inc., Ser B, Sr. Notes BA3 BB- 10.500 06-15-05 150,000 164,250 Texaco Capital, Gtd. Notes A1 A+ 8.500 02-15-03 1,100,000 1,192,916 Texas Utilities Electric Co., FM Bonds BAA1 BBB+ 5.500 10-01-98 1,000,000 991,970 Texas Utilities Electric Co., FM Bonds BAA1 BBB+ 7.625 07-01-25 1,000,000 990,990 Time Warner Entertainment Co., LP Sr., Notes BAA3 BBB- 9.625 05-01-02 1,000,000 1,108,400 Torchmark Corp., Bonds BAA1 A 8.250 08-15-09 1,500,000 1,607,175 Tosco Corp., Gtd. FM Bonds BAA1 BBB- 8.250 05-15-03 1,000,000 1,058,190 Trans-Canada Pipeline, Tranch #TR 1 MTN f.2. A- 6.770 04-01-01 1,000,000 1,006,760 Transco Energy Co., Notes BA/.2. BBB- 9.375 08-15-01 500,000 545,645 Travelers Capital Trust, Bonds A1 AA- 7.625 12-01-36 1,000,000 1,004,780 Travelers Group Inc., Bonds AA3 AA- 7.875 05-15-25 1,000,000 1,056,020 Tyson Foods, Inc., MT Notes A3 A- 6.625 10-17-05 1,000,000 984,120 Union Carbide Corp., Bonds BA/.2. BBB 8.750 08-01-22 500,000 528,670 Union Pacific Corp., Notes BA/.2. BBB 6.000 09-01-03 1,000,000 949,800 Unisys Corp., Ser B, Sr. Notes B1 B+ 12.000 01-15-03 250,000 275,000 United Mexican States, Ser W-A, E-Clear Bonds BA2 BB 6.250 12-31-19 825,000 604,065 Untted Telecomm. Inc., Kans., Bonds A3 A- 9.750 04-01-00 1,071,000 1,151,400 US Leasing International Inc., Notes A1 A 6.625 05-15-03 1,000,000 992,120 US West Communications, Inc., Debs. AA3 A 6.875 09-15-33 1,000,000 908,130 USX Marathon Group, Bonds BAA3 BBB- 9.375 05-15-22 1,190,000 1,416,778 Utilicorp Untted Inc., Sr. MT Notes BAA3 BBB 10.500 12-01-20 1,000,000 1,157,440 Vencor, Inc., Sr. Sub Notes B1 B 8.625 07-15-07 260,000 260,000 Virginia Elect. & Power Co., FM Bonds f.2. A 8.000 03-01-04 1,000,000 1,064,770 Wachovia Corp., Bonds A1 AA- 6.800 06-01-05 1,000,000 999,220 Wal-Mart Stores Inc., Bonds m AA 6.750 05-15-02 1,000,000 1,006,950 Wal-Mart Stores.Inc., Notes m AA 8.625 04-01-01 1,000,000 1,068,650 Walbro Corp, Ser B, Sr. Notes B1 B+ 9.875 07-15-05 150,000 155,625 Weirton Steel Corp., Sr. Notes B2 B 11.375 07-01-04 500,000 540,000 Wellington International Bonds Fund AAA AAA 2,077,038 24,031,327 Wells Fargo & Co., Sub Notes f.2. A- 8.375 05-15-02 1,000,000 1,063,400 Wells Fargo Capital, Bonds f.2. BBB 8.125 12-01-26 1,525,000 1,538,298 Western Financial Savings Bank, Sub Cap Debs. B1 BB+ 8.875 08-01-07 350,000 342,878 Western Financial Savings Bank, Sub Cap Debs. B1 BB+ 8.500 07-01-03 120,000 121,039 Western Resources Inc., Bonds A3 A- 7.650 04-15-03 1,000,000 960,500 Westpac Banking Corp., Bonds A1 A+ 7.875 10-15-02 750,000 789,143 WestPoint Stevens, Sr. Notes BA3 BB- 8.750 12-15-01 250,000 258,125 Weyerhaeuser Co., Debs. f.2. A 7.250 07-01-13 500,000 502,925 Whitman Corp., Bonds BA/.2. BBB+ 8.250 02-15-07 1,000,000 1,076,640 Williams Cos. Inc., Debs. BA/.2. BBB- 10.250 07-15-20 1,300,000 1,656,837 WMX Technologies Inc., Notes f.2. A- 6.375 12-01-03 1,200,000 1,171,212 WMX Technologies Inc., Notes f.2. A- 7.000 10-15-06 1,000,000 1,000,510 WMX Technologies Inc., Sr. Notes f.2. A- 6.700 05-01-01 1,000,000 1,001,670 World Color Press Inc., Sub Sr. Notes B1 BB- 9.125 03-15-03 175,000 180,250 World Fin. Network Cr. Card, Ser 1996-A AAA AAA 6.700 02-15-04 12,050,000 12,165,565 World Finl. Prop., Tower B Fin Ser 1996 AA3 AA- 6.910 09-01-13 297,917 295,420 World Finl. Prop., Tower D Fin Ser WFP-D AA3 AA- 6.950 09-01-13 2,000,000 2,000,940 World Omni Auto Lease, Ser 1996-A Bd AAA AAA 6.300 06-25-02 10,856,162 10,883,303 World Omni Auto Lease, Ser 1996-D CL A3 AAA AAA 6.250 11-15-02 5,000,000 4,990,600 Xerox Corp., Bonds f.2. A 8.125 04-15-02 500,000 528,380 Xerox Corp., Bonds f.2. A 7.150 08-01-04 2,000,000 2,043,300 Xerox Corp., Tranch #TR 40 Ser C MT Notes f.2. A 5.545 07-22-37 3,000,000 2,955,990 Xerox Credit Corp., Bonds f.2. A 10.000 04-01-99 1,000,000 1,054,330 Zeneca Wilmington, Gtd. Notes A1 AA- 6.300 06-15-03 650,000 633,347

TOTAL CORPORATE 692,702,758 737,283,428

MISCELLANEOUS BONDS

African Development Bank, Sub Bonds AA1 AA- 8.800 09-01-19 500,000 589,965 Alberta Province, Canada, Bonds m AA+ 9.250 04-01-00 1,000,000 1,069,490 Amoco Canada Petroleum Co., Ltd. AA1 AAA 6.750 02-15-05 1,000,000 1,004,540 Bank of China, Bonds BAA1 BBB 8.250 03-15-14 500,000 520,545 Canadian Pacific Ltd., Etc. BA/.2. BBB+ 8.850 06-01-22 1,000,000 1,072,340

81

INVES'IMENT SECTION Public School Teachers' Pension and Retirement Fund of Chicago

RATIIGS IHTEREST MATURITY PAR MARKET

DESCRPTION IIOODYS S&P RATE('1,) DATE VALUE($) VALUE($)

MISCELLANEOUS BONDS (cont'd.)

Export-Import Bank Japan, Gld. Notes AM AM 8.350 12-01-99 1,000,000 1,041,930 Foreign Fixed Income holdings N-A N-A 65,452 43,736 Hoechst Celanese Co,p., Tr. 00001 A2 A+ 7.125 03-15-09 500,000 505,980 Hydro-Quebec, Ser. GW A2 A+ 9.750 01-15-18 1,500,000 1,675,515 Iceland Republic, Bonds AA3 A+ 6.125 02-01-04 1,000,000 969,300 Israel States US Govt., Bonds AM N-R 4.875 09-15-98 1,000,000 989,300 Italy Republic, Bonds AA3 AA 6.000 09-27-03 1,000,000 975,640 Italy Republic, Bonds AA3 AA 6.875 09-27-23 2,000,000 1,923,240 Kansallis-Osake-Parld<i, Sub Notes A3 BBB 10.000 05-01-02 1,000,000 1,124,400 Korea Development Bank, Gtd. Eurobonds A1 B+ 6.250 05-01-00 1,000,000 994,930 Korea Electric Power Co,p., Global Bonds A1 B+ 6.375 12-01-03 1,000,000 944,790 l.andeskreditbank Baden-Wurttemberg AM AM 7.625 02-01-23 1,000,000 1,060,940 Manitoba (Province of), Debs. A1 A+ 8.000 04-15-02 625,000 659,950 Manitoba (Province of), Debs. A1 A+ 8.800 01-15-20 1,000,000 1,163,640 Manitoba (Province of), Debs. A1 A+ 6.875 09-15-02 1,000,000 1,013,640 New Brunswick (Province on, Debs. A1 AA- 7.120 10-01-02 1,000,000 1,024,350 Newfooodland (Province oij, Euro debs. BAA1 BBB+ 9.875 06-01-20 1,000,000 1,268,480 Norsk Hydro A S A2 A 7.750 06-15-23 1,000,000 1,036,000 Nova Scotia (Province of) A3 A- 7.250 07-15-13 1,000,000 1,012,600 Ontario (Province on. Bonds AA3 AA- 7.375 01-27-03 1,000,000 1,036,640 Ontario (Province on, Bonds AA3 AA- 8.000 10-17-01 500,000 526,625 Ontario (province on, Global Bonds AA3 AA- 6.125 06-28-00 1,000,000 997,150 Ontario (province of), Global Bonds AA3 AA- 7.750 06-04-02 1,000,000 1,050,050 Quebec (Province on, Bonds A2 A+ 7.500 07-15-23 3,000,000 3,014,880 Quebec (Province of), Bonds A2 A+ 8.625 01-19-05 1,000,000 1,097,630 Quebec (Province on, Debs. A2 A+ 13.000 10-01-13 500,000 556,640 Saskatchewan (Province on, Canada, Bonds A3 A 8.000 02-01-13 1,000,000 1,082,130 Shell Canada Ltd. A1 AA 8.875 01-14-01 1,035,000 1,109,820 Skandinaviska Enskilda Banken, Sub Notes A3 BBB+ 6.875 05-26-33 500,000 486,660 Societe Nationale Elf Aquttaine AA3 AA- 7.750 05-01-99 1,000,000 1,023,280 Swedish Export Creal Co,p., Notes AA3 AA+ 9.875 03-15-38 500,000 533,145 Toronto Dominion Bank. NY. AA3 AA- 6.450 01-15-09 750,000 716,783 Victorian Public Auth. Fin. Aust., Bonds AA1 AA 8.450 10-01-01 1,000,000 1,069,760

TOTAL MISCELLANEOUS 36,475,452 37,986,434

TOTAL INVESTMENT IN BONDS 2,355,477,188 2,595,049,259

82

INVESTMENT 81:CIION Public School Teachers' Pension and RetJrement Fund of Chicago

INVESTMENT IN STOCKS As of August 31, 1997

NUMBER MARKET NAME OF SHARES VALUE($)

AEROSPACE Allied Signal, Inc. 367,500 30,341,720 Boeing Co. 592,138 32,271,520 General Dynamics Corp. 13,940 1,113,458 Lockheed Martin Corp. 161,490 16,744,495 Northrop Gruman Corp. 14,800 1,732,525 Sllldstrand Corp. 117,100 6,908,900 Textron, Inc. 160,300 9,988,694 Tracor, Inc. 55,100 1,659,887 TRW, Inc. 27,800 1,449,075

. Unijed Technologies Corp. 217,500 16,978,594

TOTAL 1,727,668 119,188,868

AIRLINES-TRANSPORTATION AMR Corp. 109,400 11,022,050 Delta Airlines, Inc. 16,400 1,418,600 Southwest Airlines Co. 32,400 907,200 U.S. Air Group 17,500 597,188

TOTAL 175,700 13,945,038

ALUMINUM Alcan Aluminum, Ltd. 50,600 1,767,837 Aluminum Co. of America 87,800 7,221,550 Reynolds Metals Co. 16,300 1,152,205

TOTAL 154,700 10,141,592

AUTOMOTIVE CARS & ACCESSORIES Briggs & Stratton Corp. 5,600 270,550 Ch,ysler Corp. 404,200 14,197,525 Cummins Engine Co., Inc. 8,500 653,969 Dana Corp. 94,600 4,357,513 Echlin Inc. 13,900 515,168 Ford Motor Co. 330,000 14,190,000 General Motors Corp. 268,300 16,835,825 Genuine Parts Co. 40,100 1,238,088 Lear Corp. 70,300 3,220,619 Snap-On Inc. 13,550 569,100

TOTAL 1,249,050 56,048,357

BANKING & FINANCE Ahmanson H F & Co. 22,400 1,136,800 Ambac Financial Group 24,900 2,012,230 American Express Co. 245,000 19,048,750 Americredit Corp 90,300 2,415,525 Associates First Gap. Corp., Cl A 30,600 1,776,713 Banc One Corp. 128,032 6,857,714 Bank of Boston Corp. 42,900 3,566,063 Bank of New Yor1< Co., Inc. 163,600 7,300,650 BankAmerica Corp. 372,700 24,528,319 Bankers Trust New Yor1< Corp. 17,300 1,794,875 Barnett Banks, Inc. 44,300 3,017,938 Beneficial Corp. 12,000 858,750 Capital RE Corporation 27,000 1,371,938 Chase Manhattan Corp. 211,892 23,559,742 Citicorp 269,850 34,507,069 Comerica, Inc 23,500 1,664,094 Commerce Bancorp Inc. NJ" 43,659 1,615,383 CoreStates Financial Corp. 46,000 2,829,000 Countrywide Cre<it Industries, Inc. 83,300 2,806,169 Edwards A.G., Inc. 41,000 1,629,750

83

INVESTMENT SEC110N Public School Teachers' Pension and RetJrement·Fund of Chicago

NUMBER MARKET NAME Of SHARES VALUE($)

BANKtlG & FINANCE (cont'd.) Equijax Inc. 86,800 2,555,175

Federal Home Loan Mtg. Corp. 859,700 28,047,712

Federal National Mtg. Association 576,300 25,357,200

Fiflh Third Bancorp 35,400 2,070,900

Finova Group 6,300 532,744

First Commerce Corp. 5,100 272,213

First Union Corp. 127,460 6,126,046

Fleet Financial Group, Inc. 58,401 3,766,865

Franklin Resources, Inc 42,000 3,249,750

Golden West Financial Corp. 12,800 1,053,600

Greentree Financial Corp. 97,800 4,297,086 Hartford Financial Svcs. Grp. 26,300 2,097,425 Household Intl., Inc. 27,200 3,017,500

Huntington Bancshares, Inc. 35,500 1,149,313

Insignia Financial Group 35,600 676,400 KeyCorp 56,900 3,449,563 Marsh & Mclennan Co's, Inc. 36,900 2,518,425 MBNA Corp. 74,400 2,859,750 Mellon Bank Corp. 57,600 2,772,000

Merrill Lynch & Co., Inc. 88,600 5,448,900 Morgan St. Dean W. Discover Grp. 127,602 6,140,846 Morgan, J.P. & Co., Inc. 41,000 4,407,500 National Ci1y Corp. 49,100 2,774,150 NationsBank Corp. 316,000 18,881,000 Northern Trust Corp. 126,950 6,744,219 Norwest Corp. 197,300 11,332,419 PNC Bank Corp. 71,700 3,101,025 Price T Rowe Associates, Inc. 58,300 3,206,500 Republic New York Corp. 12,100 1,295,455 Rouse Co. 225,800 6,632,875 Salomon, Inc. 26,300 1,574,713 Scwab Charles Corp. 39,000 1,667,250 SLM Holding Corp. 97,600 13,224,800 Sun Trust Banks, Inc. 49,100 3,068,750 SunAmerica , Inc. 29,100 1,567,163 U.S. Bancorp 113,354 9,925,560 Wachovia Corp. 36,000 2,241,000 Washington Mutual, Inc., 106,380 6,369,503 Wells Fargo & Co. 51,466 13,085,230

TOTAL 6,061,446 362,856,597

BUILDING Annstrong World Industries, Inc. 9,100 622,780 Centex Corp 6,400 348,000 Dover Corp. 25,000 1,726,562 Fleetwood Enterprises, Inc. 7,900 245,888 Fluor Corp. 79,100 4,439,489 Johnson Controls, Inc. 18,600 886,987 Kaufman & Broad Home Corp. 8,600 172,000 Louisiana-Pacific Corp. 24,300 537,638 Masco Corp. 35,900 1,595,305 Owens Coming 11,900 482,694 Sherwin-Williams Co. 76,000 2,085,250

TOTAL 302,800 13,142,593

C!iEMICALS Air Products & Chemicals, Inc. 160,300 13,074,469 Betzdearbom, Inc. 57,400 3,741,762 Brady W. H., Cl A 70,500 2,141,438 Crompton & Knowles Corp. 175,600 4,433,900 Cytec Industries 27,100 1,322,819 Dow Chemical Co. 106,100 9,389,850 du Pont, (E.I.) de Nemours & Co. 543,900 33,891,769 Eastman Chemical Co. 17,500 1,046,719 Ecolab, Inc. 141,750 6,387,609

84

INVESIMlllr 'IICIICIII Public School Teachers' Panaion and Ratirement Fundu �


CHEMICALS (cont'd.) Grace, W R & Co. 16,200 1,114,762 Great Lakes Chemical Corp. 36,300 1,687,950 Hercules, Inc. 190,700 9,856,806 Monsanto Co. 657,500 28,888,908 Morton International, Inc. 31,200 1,037,400 Nalco Chemicals Co. 14,900 596,000 Pall Corp. 28,200 667,987 PPG Industries 157,900 9,947,700 Polymer Group, Inc. 133,500 1,852,313 Praxair, Inc. 271,500 14,508,282 Protein Design Labs Inc. 21,800 776,625 Pulte Corp. 4,700 172,138 Raychem Corp. 9,700 902,705 Rohm & Haas Co. 13,800 1,322,212 Sealed Air Corp. 24,300 1,260,563

. Sigma-Aldrich Corp. 22,300 727,538 Tyco International 111,400 8,737,937 Union Carbide Corp. 153,300 7,866,205

TOTAL 3,199,350 167,354,366

COAL Nacco Industries, Inc., Cl A 1,800 155,250

TOTAL 1,800 155,250

COMMUNICATIONS Advanced Fibre Communicaitons 5,900 367,275 Airtouch Communications 112,100 3,790,381 Arch Communications Group 123,400 771,250 Ascend Communications 123,200 5,228,300 Aspect Telecommunications 47,600 1,047,200 Comcast Corp., Cl A 78,000 1,828,125 Cox Communications, Inc. 114,800 3,106,775 DSC Communications Corp. 26,100 760,162 Evergreen Media Corp., Cl A 64,900 3,107,087 Frontier Corp. 36,600 807,487 Glenayre Technologies, Inc. 86,500 1,513,750 Jacor Communications Inc., Cl A 89,100 3,920,400 Kernel Corporation 119,400 3,477,525 Leasing Solutions Inc. 76,900 1,259,238 Loral Space & Communications 9,300 162,750 MCI Communications Corp 155,800 4,440,300 MGM Grand, Inc. 57,300 2,306,325 QUALCOMM, Inc. 11,700 541,125 Sprint Corp; 237,200 11,148,400 Tele Comm., Ser A, TCI Group. 420,400 7,357,000 T eleport Comm. Group. Inc., Cl A 12,300 447,413 Time Warner, Inc. 361,880 18,636,820 True N. Communications 13,300 334,163 U.S. West Media Group 135,100 2,702,000 Viacom Inc. 78,547 2,326,955 Worldcom, Inc. 478,340 14,320,305

TOTAL 3,075,667 95,708,511

COMMON FUND ASSETS ANB multiple Minicap Equity Fd. 11,676,176 440,166,160 DFA Small Cap Value Sub Trust 253,018 80,153,610

TOTAL 11,929,194 520,319,770

CONGLOMERATES & MISCELLANEOUS Brunswick Corp. 22,100 674,050 Clorox Co. 25,400 3,336,925 Colgate-Palmolive Co. 290,400 18,186,301 Entergy Corp. 52,900 1,312,581 First Brands Corp. 323,600 8,069,775 Gillette Co. 410,206 33,995,824

85

'·/Irell.

INVESTMENT SECTION »2 .- Public School Teachers' Pension and Retirement Fund of Chicago :~E.., :.w

' X*....1-' *.-*..#.I-.. *.-*.--'..~ .

NUMBER MARKETNAME OF SHARES VALUE ($)

CONGLOMERATES & MISCELLANEOUS (cont'd.)Harcourt General, Inc. 15,777 750,394ITT Corp 47,400 2,977,312ITT Industries, Inc. 26,400 831,600Interpublic Group Companies, Inc. 27,400 1,335,750Moore Corp., Lid. 19,623 390,007Newell Co. 35,400 1,398,300Owens-Illinois, Inc. 145,800 5,075,663Procter & Gamble Co. 255,150 33,966,845Rubbemiaid, Inc. 33,400 835,000Tupperware Corp. 13,700 459,806Valspar Corp 12,100 378,125

TOTAL 1,756,756 113,974,258

CONTAINERSBall Corp.

518,4626,700 220,263

Bemis Co., Inc. 11,800Crown Cork & Seal Co. 28,600 1,455,025

TOTAL 47,100 2,193,750

DRUGSAbbott Laboratories 331,775 19,885,764Allergan, Inc. 70,500 2,282,437Aim Corp. 18,900 544,556American HomePatient, Inc. 72,500 1,214,375Amedcan Home Products Corp. 241,400 17,380,800Amedsource Distr Corp., Cl A 66,600 3,334,162Bergen Brunswig Corp., Cl A 114,841 4,823,322Bristol Myers Squibb Co. 431,100 32,763,600Elly, Eli & Co. 299,300 31,314,263Long Drug Stores Corp. 201,600 5,103,000Merck & Co., Inc. 565,050 51,878,655Pfiizer Inc. 644,000 35,701,751Pharmacia & Upjohn Inc, 119,995 4,087,329Physician Sales & Svc, Inc. 104,700 1,779,900Scherer (R P ) Corp. 43,100 2,427,069Schering-Plough Corp. 485,400 23,299,200Warner Lambert Co. 152,850 19,421,503

TOTAL 3,963,611 257,241,686

ELECTRONICS & MISC. TECHNOLOGYAdaptec, Inc. 154,300 7,406,400Adobe System, Inc. 15,900 626,063Advanced Micro Devices, Inc. 31,300 1,177,662Aeroquip Vickers, Inc. 62,700 3,503,362Affiliated Computer Svs. 85,700 2,249,625America On-Une 27,200 1,754,400AMP, Inc. 48,932 2,446,600Analog Devices, Inc. 47,066 1,559,061Applied Materials, Inc. 283,000 26,708,126Autodesk Inc. 10,600 463,750Bell& Howell Holdings Co. 28,600 875,875Black Box Corporation 73,700 2,680,837BMC Software, Inc. 32,100 2,010,262Burr-Brown Corp. 68,000 2,414,000Cabletron Systems, Inc. 75,100 2,271,775Centura Software Corp. 10,518 16,434Celidian Corp. 68,000 2,350,250Cidco Inc. 93,400 1,996,425Cisco Systems, Inc. 336,450 25,359,919Compaq Computer Corp. 510,150 33,414,825Computer Associates Intl., Inc. 197,250 13,191,094Cooper Industries, Inc. 26,400 1,407,450Coming Inc. 74,800 3,955,050Culligan Water Technologies 27,500 1,268,437Digital Equipment Corp. 34,000 1,462,000

86


ELECTRONICS & MISC. TECHNOLOGY (cont'd.) E G & G Inc. 10,300 218,875 Eaton Corp. 64,300 5,791,019 Electric Data Sys. Corp. 4,550 172,047 Electronic for Imaging Inc. 22,300 1,193,050 Emerson Electric Co. 192,400 10,521,875 FMC Corp. 8,300 689,419 General Electric Company 1,420,800 88,888,801 General Motor Corp., CL H 53,800 3,419,662 General Signal Corp. 11,200 485,800 Grainger, W.W., Inc. 15,900 1,412,119 HBO&Co. 126,100 9,031,913 Harris Corp. 8,900 775,412 Hewlett-Packard Co 325,300 20,005,950 Honeywell, Inc. 38,700 2,675,137 Hughes Sup., Inc. 37,800 968,625 .Intel Corp. 830,000 76,463,751 Kent Electronics Corp. 109,000 4,080,688 Lattice Semiconductor Corp. 43,900 2,795,881 Linear T ecmologies Corp. 57,700 3,782,956 LSI Logic Corp. 35,550 1,146,487 lucent Technologies, Inc. 180,418 14,050,051 Maxim Integrated Prods., Inc. 44,300 3,062,237 Micron Technology, Inc. 235,100 10,461,950 Microsoft Corp. 508,950 67,276,830 Motorola, Inc. 261,600 19,194,900 National Semiconductor Corp. 146,400 5,014,200 Netscape Communicatiions Corp. 162 6,450 Nextlevel Sys Inc. 296,800 5,954,551 Northern Telecom. Ltd. 57,900 5,739,337 Oak Industries, Inc. 176,100 5,095,894 Orade Systems Corp. 546,487 20,834,817 Parametric Tech Corp. 28,400 1,318,825 Peoplesoft Inc. 183,100 10,299,375 Perkin-Elmer Corp. 9,800 725,200 Perseptive Biosystem, Inc. 3,222 29,302

PMC Sierra, Inc. 33,500 961,031 Rational Software Corp. 61,800 1,019,700 Raytheon Co. 56,200 3,091,000 Rockwell Inti. Corp. 47,500 2,850,000 Schlumberger, Ltd. 144,800 11,031,950 Scientific-Atlanta, Inc. 17,300 376,275 Seagate Technology 54,600 2,085,037 Shared Medical Systems Corp. 5,500 269,500 Solectron Corp. 97,000 4,061,875 Structural Dynamics Research Corp. 83,100 2,207,344 Synopsys, Inc. 63,400 2,195,225 Tektronix, Inc. 7,400 411,162 Tellabs Inc. 148,400 8,857,625 Texas Instruments, Inc. 145,900 16,5TT,888 Thermo Electron Corp. 33,400 1,344,350 Three (3) Com Corp 236,700 11,820,207 Thomas & Betts Corp. 12,000 672,000 UCAR International, Inc. 74,900 3,534,344 Visio Corp 4,200 144,900 VLSI Tech Inc. 32,500 1,072,500 Xerox Corp. 136,900 10,335,950 Zebra Technologies Corp. Cl A 123,600 3,630,750

TOTAL 10,138,805 634,703,681

ENERGY CalEnergy, Inc. 92,600 3,067,375 Cross Timbers Oil Co 46,350 999,422 Dresser Ind., Inc. 59,300 2,475,775 Eastern Enterprises 4,500 160,594 Enron Corp. 75,500 2,906,750 PECO Energy Co 49,600 1,181,100

87



ENERGY (cont'd.) Union Pacific Resources Grp. 56,485 1,426,246

Williams Co., Inc. 35,300 1,648,069

TOTAL 419,635 13,865,331

FOOD• STORES, CONFEC. & RESTAURANTS American Stores Co. 94,400 2,253,800 Archer-Daniels-Midland Co. 124,778 2,698,320

Brown-Forman, Inc., Cl B 15,400 743,050 Campbell Soup Co. 125,500 5,820,063

Canadaigua Wine Inc. Cl A 31,400 1,279,550 Cardinal Health, Inc. 54,500 3,610,625 Casey's General Stores 124,700 2,836,925

Conagra, Inc. 79,700 5,135,669 CPC International, Inc. 144,600 12,887,475 Darden Restaurants Inc. 34,100 343,131 Dole Food, Inc. 124,100 4,847,656 Dominicks Supermarkets, Inc. 109,600 3,014,000 Evans Bob Farm, Inc. 222,683 3,952,623 Fleming Companies, Inc. 8,400 158,550 General Mills, Inc. 35,900 2,306,575 Giant Food Inc., CL A 13,300 432,250 Great Atlantic & Pacific Tea Co., Inc. 8,500 213,031 Heinz H J Co. 171,700 7,147,013 Hershey Foods Corp. 68,000 3,629,500 Kellog Co. 92,600 4,143,850 Kroger Co. 156,800 4,723,600 McCormick & Co., Inc. 160,600 3,794,175 McDonald's Corp. 340,900 16,128,831 Pioneer Hi-Bred Intl, Inc. 23,100 1,979,381 Quaker Oats Co. 30,400 1,428,800 Ralston-Ralston Purina Group 51,600 4,644,000 RJR Nabisco Holdings Corp. 79,320 2,761,327 Safeway, Inc. 156,200 7,966,200 Sara Lee Corp. 146,100 5,880,525 Starbucks, Corp. 31,000 1,271,000 Super Yalu, Inc. 13,400 525,950 Sysco Corp. 62,900 2,232,950 Wendy's International, Inc. 36,600 878,400 Winn-Dixie Stores, Inc. 33,200 1,118,425 Wrigley Wm Jr. Co. 25,900 1,877,750

TOTAL 3,031,881 124,664,970

FURNISHINGS- APPLIANCES Black & Decker Corp. 21,000 804,562 Leggett & Platt, Inc. 148,780 6,397,540 Maytag Corp. 72,200 1,980,987 Miller, Herman, Inc. 67,180 3,476,565 Stanley Works 73,900 3,145,369 Westinghouse Electric Corp. 141,600 3,637,350 Whirtpool Corp. 16,600 950,350

TOTAL 541,260 20,392,723

HEALTH CARE & COSMETICS Access Health Marketing 16,600 518,750 Alberto-Culver Co., Cl B 62,400 1,821,300 Amgen, Inc. 87,900 4,356,544 Avon Products, Inc. 297,200 19,020,800 Bard C R, Inc. 12,700 438,150 Bausch & Lomb, Inc. 12,400 509,175 Baxter International, Inc. 94,300 5,015,581 Becton Dickinson & Co. 203,400 9,750,488 Beverty Enterprises, Inc. 22,100 360,506 Biomet, Inc. 24,800 514,600 Boston Scientific Corp. 143,100 10,088,550 Cognex Corp. 133,100 5,091,075

88

IIIVES1MENT SECTION Public School Teachers' Pension and Retirement Fund of Chicago


HEAL TH CARE & COSMETICS (cont'd.) Colllllbia/HCA Healthcare Corp. 196,150 6,190,985 DENTSPLY International, Inc. 73,850 4,154,062 Express Scripts, Inc. 49,500 2,468,812 Guidant Corp. 204,350 17,944,485 Health Management Assoc. Inc. 161,349 4,769,880 Healthsouth Corp. 158,200 3,945,113 Humana, Inc. 69,100 1,628,169 International Flavors & Fragrances Inc. 29,250 1,495,406 Johnson & Johnson 373,900 21,195,456 Lauder Estee Cos Inc., Cl A 23,800 1,130,500 Mallinckrodt Inc. 16,300 592,912 Manor Care, Inc. 14,150 436,881 Medtronic, Inc. 241,000 21,780,376 Millipore Corp. 9,700 480,150 Omnicare Inc. 245,000 7,089,688 Physicians Resource Group, Inc. 86,700 764,044

· Physio-Control International Corp. 100,000 1,400,000 Renal Treatment Centers, Inc. 37,200 1,260,150 Sola International, Inc. 118,800 3,682,800 St. Jude Medical, Inc. 45,400 1,728,037 Sybron International Corp. 75,800 3,027,262 Tenet Healthcare Corp. 681,100 18,559,975 Total Renal Care Holdings, Inc. 44,600 2,040,450 Un�ed Dental Care, Inc. 102,700 1,810,088 Un�ed Healthcare Corp. 41,500 2,017,937 UNUM Corp 118,300 4,953,813 U.S. Su� Corp. 16,300 536,881 Wellpoint Health Networks. Inc. 37,100 2,017,312

TOTAL 4,481,099 196,587,143

INSURANCE - LIFE, FIRE & CASUAL TY Aetna, Inc. 97,810 9,334,742 Allstate Corp. 168,504 12,311,324 Amerin Corp. 130,200 3,010,875 American General Corp. 53,789 2,591,957 American International Group, Inc. 257,305 24,283,159 Aon Corp. 37,050 1,887,234 Choicepoin� Inc. 3,430 121,765 Chubb Corp. 38,900 2,601,437 Cigna Corp. 23,200 4,254,300 Conseco, Inc. 252,200 10,844,600 Gallagher (Arthur J) & Co. 28,500 1,018,875 General Re Corp. 33,200 6,436,650 Horace Mann Educators Corp. 50,300 2,747,637 Jefferson-Pilot Corp. 15,725 1,093,870 Lincoln National Corp. 23,000 1,539,562 Loews Corp. 25,600 2,609,600 MBIA Corp. 90,135 10,207,789 MGIC lnvesbnent Corp. 26,300 1,323,219 Mutual Risk Management Co. 53,299 2,465,079 Progressive Corp. 15,900 1,574,100 Providian Corp. 20,900 778,525 SAFECO Corp. 28,100 1,380,412 St. Paul Companies, Inc. 18,600 1,364,775 Torchmark Corp. 31,100 1,177,912 Transamerica Corp. 109,112 10,754,352 Travelers Corp. 571,227 36,272,915 UICI 22,200 666,000 USF & G Corp. 24,600 538,125

TOTAL 2,250,186 155,190,790

LEISURE & ENTERTAINMENT Callaway Golf Co. 50,000 1,684,375 Carnival Corp., Cl A 12,000 523,500 Harrah's Entertainment, Inc. 22,850 512,697 Hasbro, Inc. 268,725 7,221,984

89

INVESTMENT SEcnaN· Public School Teachers' Pension and Retirement Fund of Chicago


LEISURE & ENTERTAINMENT (cont'd.) Hilton Hotels Corp. 311,400 9,556,088

King World Productions, Inc. 43,300 1,721,175

La Quinta Inns, Inc. 90,300 1,896,300

Marriott International 81,800 5,444,812

Mattel, Inc. 427,412 14,291,589

Mirage Resorts Inc. 220,100 5,901,431

Premier Pks, Inc. 64,400 2,076,900

Sabre Group Holdings, Inc. 14,500 445,875

Walt Disney Co. 249,650 19,176,241

TOTAL 1,856,437 70,452,967

MACHINERY & TOOLS Case Corp. 42,400 2,843,450

Caterpillar Inc. 488,700 28,375,144

Cincinnati Milacron 8,900 229,175 Crane Co. 10,250 452,281 Deere & Co. 250,400 14,022,400 Foster Wheeler Corp. 46,800 2,138,175 General Binding Corp. 115,070 3,567,170 Hamischfeger Industries, Inc. 11,000 441,375 Illinois Tool Works, Inc. 55,500 2,684,812 Navistar International Corp. 16,340 405,436 Paccar, Inc. 17,340 821,482 Parker-Hannifin Corp. 73,100 4,701,244 New Holland N V 113,400 3,047,625 Specialty Equipment Cos., Inc. 408,900 6,082,388 Timken Co. 13,900 520,381

TOTAL 1,672,000 70,332,538

MERCHANDISING Albertson's, Inc. 63,000 2,157,750 American Greetings Corp., Cl A 16,700 580,325 AutoZone, Inc. 33,600 949,200 Avery Dennison Corp. 23,000 944,437 Channing Shoppes, Inc. 23,500 141,729 Circuit City Stores, Inc. 236,400 8,421,751 Costco Companies 47,000 1,694,937 CUC Intl., Inc. 471,487 11,168,348 CVS Corporation 113,150 6,378,831 Dayton-Hudson Corp. 335,500 19,123,500 Dillard Dept. Stores, Inc., Cl A 25,300 1,012,000 Federated Dept. Stores, Inc. 46,900 1,969,800 Fortune Brands Inc. 38,300 1,311,775 Fruit of the Loom, Cl A 17,000 454,750 Furniture Brands Intl., Inc. 127,300 2,243,663 Gap, Inc. 276,500 12,286,969 Home Depot, Inc. 668,250 31,533,046 Ingersoll-Rand Co. 95,400 5,735,925 Jostens, Inc. 8,680 209,405 K Mart Corp. 108,000 1,498,500 Kohls Corp. 80,100 5,521,894 Lands End Inc. 26,000 684,125 Limited Inc. 60,413 1,374,396 Linens N Things, Inc. 88,700 2,572,300 Liz Claiborne, Inc. 15,700 699,631 Lowe's Companies, Inc. 62,100 2,146,331 May Department Stores Co. 255,900 13,770,619 Mercantile Stores Co., Inc. 8,200 511,988 Nine West Group Inc. 31,900 1,347,775 Nordstrom, Inc. 17,700 1,035,450 Party City Corp. 69,000 1,656,000 Penney, J.C. Co., Inc. 55,000 3,300,000 Pep Boys-Manny Moe & Jack 13,600 360,400 Rite Aid Corp. 68,400 3,424,275 Sears Roebuck & Co. 195,800 11,111,650 Stage Stores, Inc. 31,700 980,719

90

INVESTMENT SECTION

Public School Teachers' Pension and Ret.irement Fund of Chicago


MERCHANDISING (cont'd.) Staples Inc. 58,800 1,381,800 Stride Rite Corp. 10,900 129,438 Tandy Corp. 12,139 805,726 TJX Cos., Inc. 254,200 6,990,500 Toys R Us, Inc. 190,100 6,570,331 Viking Office Prods., Inc. 20,450 432,006 Walgreen Co. 128,250 3,454,735 Wal-Mart Stores, Inc. 931,300 33,061,150 Whitman Corp. 198,100 4,865,832 Woolworth Corp. 29,900 669,013

TOTAL 5,689,319 218,674,725

MISCELLANEOUS American Power Conversion 90,900 2,386,125 Bacou USA, Inc 99,500 1,629,313 Bertitz International, Inc. 4,000 105,000 Credence System Corp. 98,700 4,645,069 Essex International, Inc. 85,700 3,294,094 General Cable Corp. 40,000 1,385,000 General Semiconductor , Inc. 108,900 1,538,213 Omega Environmental, Inc. 5,644 1,942 United Video Satellite 57,700 1,608,387 Water Corp. 50,300 1,675,619

TOTAL 641,344 18,268,762

MOTOR CARRIERS Ryder Systems, Inc. 17,000 606,687 U S Xpress Enterprise 83,300 1,598,319

TOTAL 100,300 2,205,006

NON-FERROUS METALS Asarco, Inc. 9,600 295,200 Barrick Gold Corp. 83,000 1,888,250 Battle Mountain Gold Co. 51,200 291,200 Cyprus Amax Minerals Co. 20,800 525,200 Echo Bay Mines, Ltd. 31,000 156,938 Engelhard Corp. 32,112 670,338 Freeport McMoran C. & G., Cl A 176,286 4,715,651 Freeport McMoran C. & G., Cl B 143,644 4,022,032 Homestake Mining Co. 32,700 457,800 lnco, Ltd. 37,100 1,004,019 Minnesota Mining and Mfg. 113,100 10,164,863 Newmont Mining Corp. 34,774 1,471,375 Placer Dome, Inc. 53,300 886,112 Phelps Dodge Corp. 13,800 1,110,037

TOTAL 832,416 27,659,015

OFFICE EQUIPMENT Altera Corp. 12,700 676,275 Amdahl Corp. 27,300 336,130 Amer. Mgmt Sys., Inc. 116,950 2,923,750 Andrew Corp. 20,335 505,833 Apple Computer, Inc. 28,100 611,175 Bay Networks Inc. 44,300 1,569,881 Comdisco, Inc. 72,600 1,982,888 Computer Sciences Corp. 17,000 1,264,375 Data General Corp. 9,000 323,437 Dell Computer Corp. 94,000 7,713,875 EMC Corp., Mass. 85,950 4,394,194 Hunt Manufacturing Co. 142,500 3,001,406 lnH. Business Machines Corp. 327,000 33,149,625 Novell, Inc. n,300 724,688 Silicon Graphics, Inc. 39,400 1,081,038 Sun Microsystems, Inc. 82,200 3,945,600 Tandem Computers, Inc. 25,800 883,650

91

IIIIVE8TMENT 8EC'l10N. Public School Teachers' Pension and Retirement Fund of Chicago


OFFICE EQUIPMENT (cont'd.) Unisys Colp. 38,900 440,056

TOTAL 1,261,335 65,527,876

OIL SERVICES Ashland Inc. 16,500 827,063 Baker Hughes Inc. 36,700 1,559,750 Coastal Corp. 23,600 1,362,900 Halliburton Co. 159,700 7,625,675 Helmerich & Payne, Inc. 5,600 395,500 McDennott Intl., Inc. 12,200 393,450 Rowan Companies, Inc. 19,100 570,612

TOTAL 273,400 12,734,950

PAPER Amer. Pad & Paper 214,800 4,940,400 Boise Cascade Corp. 10,800 427,275 Champion International Corp. 56,300 3,332,256 Ft James Corporation 77,638 3,260,775 Georgia-Pacific Corp. 60,400 5,511,500 International Paper Co. 122,993 6,487,881 Kimberly-Clark Corp. 314,724 14,929,720 Mead Corp. 11,600 822,875 Potlatch Colp. 6,400 298,800 Shorewood Packaging Corp. 220,900 4,776,963 Stone Container Co. 22,074 380,777 Temple Inland, Inc. 12,300 793,350 Union Camp Corp. 15,400 913,413 Westvaco Corp. 22,750 770,656 Weyerhaeuser Co. 114,800 6,629,700 Willamette Ind., Inc. 51,400 4,099,150

TOTAL 1,335,279 58,375,491

PETROLEUM· DOMESTIC & INTERNATIONAL Amerada Hess Corp. 20,700 1,199,306 Amoco Corp. 112,200 10,609,912 Anadarko Petro Corp. 128,000 9,392,000 Apache Corp. 20,100 797,719 A�antic Richfield Co. 71,700 5,377,500 Burlington Resources, Inc. 89,900 4,556,806 Chevron Corp. 145,600 11,274,900 Exxon Colp. 553,100 33,842,806 Kerr-Mc Gee Corp. 10,700 664,738 Lotisiana Land & Exploration Co. 7,600 581,400 Mobil Corp. 254,100 18,485,775 Occidental Petroleum Corp. 73,500 1,722,656 Oil-Ori Corp. of America 40,200 713,550 Oryx Energy Co. 23,500 621,281 Pennzoil Co. 10,500 810,469 Phillips Petroleum Co. 125,400 5,964,338 Pogo Products Co. 60,600 2,628,525 Royal Dutch Petro. Co. 505,600 25,659,200 Sun Co., Inc. 16,228 630,864 Tenneco, Inc. 38,100 1,850,231 Texaco, Inc. 69,900 8,064,712 Tosco Corp. 114,100 3,772,431 Union Texas Petro. Holdings, Inc. 67,000 1,561,937 Unocal Corp. 55,600 2,171,875 USX - Marathon Group 64,100 2,087,256

TOTAL 2,678,028 155,042,187

PHOTOGRAPHIC Eastman Kodak 73,300 4,791,987 Polaroid Corp. 10,000 528,125

TOTAL 83,300 5,320,112

92

INVE81MEIIT SECTION Public School Teachers' Pension and Retirement Fund of Chicago


PRINTING AND PUBLISHING American Media, Inc. Cl A 734,075 6,010,239 Central Newspaper, Inc., Cl A 91,100 6,200,494 Deluxe Corp. 18,300 602,756 Donnelley R.R. & Sons Co. 273,700 10,657,194 Dow Jones & Co., Inc. 21,300 911,906 Gannett Co., Inc. 31,500 3,069,281 Golden Books Family Entmnt. 277,400 2,756,663 Hartand, Jolvl H. Co. 6,900 136,706 Knight-Ridder, Inc. 20,300 1,027,687 Mcgraw Hill Companies, Inc. 22,300 1,367,269 Meredith Corp. 11,900 357,000 Nelson Thomas (Thomas Nelson) 110,500 1,381,250 New York Times Co., Cl A 21,300 1,006,425 Times Mirror Co., Ser A 21,300 1,079,644 Tribune Company 35,400 1,750,087

· Western Atlas, Inc. 12,000 951,000

TOTAL 1,709,275 39,265,601

RAILROADS Burlington Northern, Inc. 79,826 7,319,046 CSX Corp. 48,500 2,773,594 Illinois Central Corp. 52,500 1,762,031 Norlolk Southern Corp. 78,600 7,702,800 Union Pacific Corp. 136,300 8,850,981

TOTAL 395,726 28,408,452

RUBBER Cooper Tire & Rubber Co. 17,500 439,687 Goodrich, B.F. Co. 12,000 505,500 Goodyear Tire & Rubber Co. 128,900 7,943,463

TOTAL 158,400 8,888,650

SERVICE INDUSTRIES Accustaff, Inc. 95,400 2,534,062 Allied Waste Inds, Inc. 337,700 5,086,606 Automatic Data Processing, Inc. 116,100 5,289,806 BISYS Grol4), Inc. 51,000 1,721,250 Block, H & R, Inc. 48,800 1,915,400 Browning-Ferris Industries, Inc. 136,800 4,788,000 Budget Group, Inc. 98,000 2,878,750 Caliber Sys Inc. 8,700 363,225 Cognizant Corp. 68,900 2,893,800 Concord EFS, Inc. 4,850 134,588 Devry lnc. 62,100 1,676,700 DST Systems, Inc. 35,400 1,281,037 Dun & Bradstreet Corp. 38,100 1,066,800 Federal Express Corp. 25,500 1,694,156 Federal Signal Corp. 13,000 338,000 First Data Corp. 312,500 12,832,032 FORE Systems, Inc. 136,400 2,787,675 HFS, Inc. 205,400 11,438,213 Health Care & Ret. Corp. 32,000 1,166,000 Ikon Office Solutions, Inc. 29,500 767,000 Jacobs Engineering Group, Inc. 11,800 378,338 JP Foodservice 70,300 2,139,756 Laidlaw Inc., Cl B 73,200 1,070,550 Manpower, Inc., Wis. 53,000 2,262,437 Memberworks, Inc. 119,300 2,400,913 Minerals Technologies, Inc. 39,300 1,562,175 National Data Corp. 35,770 1,339,139 National Service Industries, Inc. 10,100 446,925 Omnicom Group, Inc. 178,000 12,059,500 Oxford Health Plans, Inc. 102,900 7,524,563 Paycheck, Inc. 29,875 1,023,219

93


SERVICE INDUSTRIES (cont'd.) Persomel Group Amer., Inc. 15,100 505,850 Pharmaceutical Prod. Dev., Inc. 82,400 1,792,200 Pierce Leahy Corp. 43,300 1,179,925 Pitney Bowes, Inc. 95,400 7,286,175 Platinum Tech, Inc. 69,600 1,653,000 Robert Hall International , Inc. 14,200 828,925 Safety-Kleen Corp. 376,150 7,593,529 Service Corp. Ind. 335,500 10,736,000 Stewart Enterprises. Inc., Cl A 134,500 5,312,750 S1J198rd Data Sys., Inc. 113,000 5,890,125 United Waste Sys. Inc. 47,300 1,986,600 Waste Management, Inc. 100,951 3,230,432

TOTAL 4,007,096 142,856,126

STEEL Allegy Teledyne, Inc. 39,195 1,210,146 Annco, Inc. 23,800 141,313 Bethlehem Steel Corp. 25,000 300,000 Inland Steel Industries, Inc. 10,900 229,581 Nucor Corp. 19,600 1,111,075 USX-US Steel Group 19,120 671,590 Worthington Industries, Inc. 21,550 400,022

TOTAL 159,165 4,063,727

TEXTILES/SHOES G & K Services, Inc., Cl A 53,600 1,869,300 Interface, Inc., Cl A 240,300 6,728,400 Jones Apparel Group, Inc., 61,600 3,091,550 Nike, Inc .• Cl B 73,600 3,928,401 Reebok International 12,500 549,219 Russell Corp. 8,100 230,850 Springs Industries, Inc., Cl A 4,500 211,500 Unifi, Inc. 76,200 2,924,175 V.F. Corp. 39,200 3,464,300

TOTAL 569,600 22,997,695

TOBACCO AND BEVERAGES Anheuser-Busch Companies, Inc. 309,500 13,192,438 Coca Cola Co. 679,600 38,949,575 Coors Adolph Co., Cl B 8,300 306,062 Pepsico, Inc. 769,000 27,684,000 Phillip Morris Companies, Inc. 847,300 37,016,419 Seagram Co. Ltd- La Compagnie Seagram 82,600 2,885,837 UST, Inc. 40,900 1,180,987

TOTAL 2,737,200 121,215,318

UTILmES • ELECTRIC AES Corp 118,400 4,380,800 American Electric Power Co. 42,000 1,834,875 Battimore Gas & Electric Co. 32,850 886,950 Calpine Corporation 161,000 2,978,500 Carolina Power & Light Co. 33,600 1,134,000 Central & South West Corp. 47,300 978,519 Cinergy Corp. 35,133 1,161,585 Consolidated Edison Co. N.Y., Inc. 52,300 1,601,687 DTE Energy Co. TT,300 2,299,675 Domirion Resources, Inc., VA 41,100 1,479,600 Duke Energy Corp. 196,840 9,534,438 Edison International 91,400 2,205,025 FPL Group, Inc. 40,600 1,880,287 G PU, Inc. 26,800 901,150 Houston Industries, Inc. 65,637 1,329,149 Niagara Mohawk Power Corp. 32,200 287,788 Northam State Power Co. 15,400 741,125 Ohio Edison Co. 34,000 748,000

94



UTILmES - ELECTRICS (cont'd.) PP&L Resources, Inc. 36,600 802,913 Pacificorp 65,900 1,367,425

Public Serv. Enterprise Group, Inc. 51,700 1,282,806

Southern Co. 151,800 3,197,288

Texas Utilities Co. 57,200 1,994,850 Unicom (Formerly: Commw. Ed. Co.) 48,200 1,138,725

Union Electric Co. 22,700 844,156

TOTAL 1,577,960 46,991,316

UTILmES- NATURAL GAS Columbia Gas System, Inc. 12,300 811,800 Consolidated Natural Gas Co. 21,200 1,252,125 El Paso Natural Gas Co. 66,518 3,741,637 Enserch Corp. 23,992 215,928 MCN Energy Group, Inc. 17,700 539,850

• Nicor, Inc. 10,900 395,806 Oneok, Inc. 6,200 200,725 Pacific Enterprises 18,600 612,638 Peoples Energy Corp. 7,800 293,962 PG&E Corp. 97,700 2,259,312 Primark Corp. 58,500 1,590,469 Sonat, Inc. 19,200 956,400

TOTAL 360,610 12,870,652

UTILmES • TELEPHONE AT & T Corp. 361,932 14,115,348 Alltel Corp. 41,600 1,315,600 Ameritech Corp. 122,300 7,666,681 Bell Atlantic Corp. 172,841 12,509,353 BellSouth Corp. 221,100 9,728,400 Cincinnati Bell, Inc. 54,500 1,468,094 Century Tel. Enterprises, Inc 125,700 4,564,481 GTE Corp. 220,700 9,834,944 SBC Communications 304,906 16,579,264 U.S. West Communications 106,800 3,824,775

TOTAL 1,732,379 81,606,940

FOREIGN Foreign Equity 485,924,945 Emerging Markets 4,190,911 117,737,845

TOTAL 4,190,911 603,662,790

TOTAL INVESTMENT IN STOCK 88,529,188 4,695,096,170

95

8ECI .. PubfiC School Teactwa' Pension and Retit'Sfllent Fund of Chicago

INVESTMENT IN REAL ESTATE

AUGUST 31, 1997

Description

AMB Value Added Fund CIGNA Real Estate Fund Equity Office Property, (public REITS) JP Morgan Real Estate Fund RREEF America REIT, (private REITS) Schroder Office Opportunity Fund C,LP Walton Street Real Estate Fund I, LLC

96

Number of Units

8,998,410

22,310

946,534

192,865

367,394

20,000,000

3,888,613

34,416,126

Market Value($)

8,998,410

63,759,360

27,567,803

94,075,331

39,021,678

21,694,442

3,851,801

258,968,825

INVESTMENT SECTION~' . ,,4<~£u~blic School Teachers' Pension and Retirement Fund of Chicago S. ~

I .*·. ·.:i·.i ..;Qii**.· 4''

INVESTMENT AUTHORITYILLINOIS PENSION CODE

SECTION 5/17-146. TO MAKE INVESTMENTS

To make investments. To invest the moneys of the Fund, subject to the requirements and restrictionsset forth inthisArticle andin Sections 1-109, 1-109.1,1 -109.2,1 -110,1 -111,1-114 and 1-115. Nobankor savings and loan association shall receive investment funds as permitted by this Section, unlessit has complied with the requirements established pursuant to Section 6 of the Public FundsInvestment Act. Those requirements shall be applicable only at the time of investment and shall notrequire the liquidation of any investment at any time.

The Board of Trustees shall have the authority to enter into any agreements and to execute anydocuments that it determines to be necessary to complete any investment transaction.

All investments shall be clearly held and accounted for to indicate ownership by the Fund. The Boardof Trustees may direct the registration of securities or the holding of interests in real property in thename of the Fund or inthe name of a nominee created forthe express purpose of registering securitiesor holding interests in real properly bya national or state bank ortrust company authorized to conducta trust business in the State of Illinois. The Board of Trustees may hold title to interests in real propertyin the name of the Fund or in the name of a title holding corporation created for the express purposeof holding title to interests in real property.

Investments shall be carried at cost or at a value determined in accordance with generally acceptedaccounting principles and accounting procedures approved by the Board of Trustees.

The value of investments held bythe Fund in one or more commingled investment accounts shall bedetermined in accordance with generally accepted accounting principles.

The Board of Trustees of any Fund established under this Article may not transfer its investmentauthority, nor transfer the assets of the Fund to any other person or entity for the purpose ofconsolidating or merging its assets and management with anyotherpension fund orpublic investmentauthority, unless the Board of Trustees resolution authorizing such transfer is submitted for approvaltothe contributors and pensioners of the Fund atelections held not lessthan 30days afterthe adoptionof such resolution bythe Board of Trustees, and such resolution is approved by a majority of the votescast on the question in both the contributors election and the pensioners election. The electionprocedures and qualifications governing the election of trustees shall govern the submission ofresolutions for approval under this paragraph, insofar as they may be made applicable.

SECTION 5/17-146.2. TO LEND SECURITIESTo lend securities. The Board of Trustees may lend securities owned by the Fund to a borrower uponsuch writtenterms and conditions as maybe mutuallyagreed. The agreementshall providethatduringthe period of the loan the Fund (or the custodian of the Fund, or agent thereof, as applicable) shallretain the right to receive or collect from the borrower all dividends, interest and distributions to whichthe Fund would have otherwise been entitled. The borrower shall deposit with the Fund collateral forthe loan equal to the market value of the securities at the time the loan is made, and shall increase

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INVESTMENT SECTION9~*:''* Public School Teachers' Pension and Retirement Fund of Chicago all.*..49

the amount of collateral if the Board of Trustees requests an additional amountbecause of subsequentincreased market value of the securities. The Board of Trustees may accept from the borrower cashcollateral orcollateral consisting of assets described in Section 1 -113 of this Act. To the extentthat theFund participates in a securities lending program established and maintained by (1) a national or Statebank which is authorizedto do business in the State of Illinois, or(2) an investment manager, the Boardof Trustees mayacceptcollateral consisting of an undivided interest in a pool of commingled collateralthat has been established by the bank or investment manager for the purpose of pooling collateralreceived for the loans of securities owned by substantially all of the participants in such bank's orinvestment manager's securities lending program. Nothing in Sections 1-109,1-110 or 1-113 of thisAct shall be construed to prohibit the Fund's lending of securities in accordance with this Section.

SECTION 5/17-147. CUSTODY OF FUND-BONDS-LEGAL PROCEEDINGSCustody of fund-Bonds-Legal proceedings. The city treasurer, ex-officio, shall be the custodian of thefund, and shall secure and safely keep it, subject to the control and direction of the Board of Trustees.He shall keep his books and accounts concerning the Fund in the manner prescribed by the Boardof Trustees. The books and accounts shall always be subjectto the inspection of the Board of Trusteesoranymemberthereof. Thecitytreasurershall be liableon his official bond forthe properperformanceof his duties and the conservation of the Fund.

Payments from the Fund shall be made upon warrants signed by the president and the secretary ofthe Board of Education, the president of the Board of Trustees, and countersigned by the executivedirector or by such person as the Board of Trustees may designate from time to time by appropriateresolution.

Neither the treasurer nor any other officer having the custody of the Fund is entitled to retain anyinterest accruing thereon, butsuch interest shall accrue and inure to the benefit of such Fund, becomea part thereof, subject to the purposes of this Afticle.

Any legal proceedings necessary forthe enforcement of the provisions of this Article shall be broughtby and in the name of the Board of Trustees of the Fund.

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